L_2014191EN.01000101.xml

ANNEX I

REPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS

COREP TEMPLATES
Template number	Template code	Name of the template /group of templates	Short name
		CAPITAL ADEQUACY	CA
1	C 01.00	OWN FUNDS	CA1
2	C 02.00	OWN FUNDS REQUIREMENTS	CA2
3	C 03.00	CAPITAL RATIOS	CA3
4	C 04.00	MEMORANDUM ITEMS:	CA4
		TRANSITIONAL PROVISIONS	CA5
5,1	C 05.01	TRANSITIONAL PROVISIONS	CA5.1
5,2	C 05.02	GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUING STATE AID	CA5.2
		GROUP SOLVENCY	GS
6	C 06.00	GROUP SOLVENCY	GS
		CREDIT RISK	CR
7	C 07.00	CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: STANDARDISED APPROACH TO CAPITAL REQUIREMENTS	CR SA
		CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS	CR IRB
8,1	C 08.01	CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS	CR IRB 1
8,2	C 08.02	CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS (Breakdown by obligor grades or pools)	CR IRB 2
		GEOGRAPHICAL BREAKDOWN	CR GB
9,1	C 09.01	Table 9.1 - Geographical breakdown of exposures by residence of the obligor (SA exposures)	CR GB 1
9,2	C 09.02	Table 9.2 - Geographical breakdown of exposures by residence of the obligor (IRB exposures)	CR GB 2
9,3	C 09.03	Table 9.3 - Breakdown of total own funds requirements for credit risk of relevant credit exposures by country	CR GB 3
		CREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS	CR EQU IRB
10,1	C 10.01	CREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS	CR EQU IRB 1
10,2	C 10.02	CREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS. BREAKDOWN OF TOTAL EXPOSURES UNDER THE PD/LGD APRROACH BY OBLIGOR GRADES:	CR EQU IRB 2
11	C 11.00	SETTLEMENT/DELIVERY RISK	CR SETT
12	C 12.00	CREDIT RISK: SECURITISATIONS - STANDARDISED APPROACH TO OWN FUNDS REQUIREMENTS	CR SEC SA
13	C 13.00	CREDIT RISK: SECURITISATIONS - IRB APPROACH TO OWN FUNDS REQUIREMENTS	CR SEC IRB
14	C 14.00	DETAILED INFORMATION ON SECURITISATIONS	CR SEC Details
		OPERATIONAL RISK	OPR
16	C 16.00	OPERATIONAL RISK	OPR
17	C 17.00	OPERATIONAL RISK: GROSS LOSSES BY BUSINESS LINES AND EVENT TYPES IN THE LAST YEAR	OPR Details
		MARKET RISK	MKR
18	C 18.00	MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS	MKR SA TDI
19	C 19.00	MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS	MKR SA SEC
20	C 20.00	MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN THE CORRELATION TRADING PORTFOLIO	MKR SA CTP
21	C 21.00	MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES	MKR SA EQU
22	C 22.00	MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK	MKR SA FX
23	C 23.00	MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES	MKR SA COM
24	C 24.00	MARKET RISK INTERNAL MODELS	MKR IM
25	C 25.00	CREDIT VALUE ADJUSTMENT RISK	CVA

C 01.00 — OWN FUNDS (CA1)

Rows	ID	Item	Amount
010	1	OWN FUNDS
015	1.1	TIER 1 CAPITAL
020	1.1.1	COMMON EQUITY TIER 1 CAPITAL
030	1.1.1.1	Capital instruments eligible as CET1 Capital
040	1.1.1.1.1	Paid up capital instruments
050	1.1.1.1.2*	Memorandum item: Capital instruments not eligible
060	1.1.1.1.3	Share premium
070	1.1.1.1.4	(-) Own CET1 instruments
080	1.1.1.1.4.1	(-) Direct holdings of CET1 instruments
090	1.1.1.1.4.2	(-) Indirect holdings of CET1 instruments
091	1.1.1.1.4.3	(-) Synthetic holdings of CET1 instruments
092	1.1.1.1.5	(-) Actual or contingent obligations to purchase own CET1 instruments
130	1.1.1.2	Retained earnings
140	1.1.1.2.1	Previous years retained earnings
150	1.1.1.2.2	Profit or loss eligible
160	1.1.1.2.2.1	Profit or loss attributable to owners of the parent
170	1.1.1.2.2.2	(-) Part of interim or year-end profit not eligible
180	1.1.1.3	Accumulated other comprehensive income
200	1.1.1.4	Other reserves
210	1.1.1.5	Funds for general banking risk
220	1.1.1.6	Transitional adjustments due to grandfathered CET1 Capital instruments
230	1.1.1.7	Minority interest given recognition in CET1 capital
240	1.1.1.8	Transitional adjustments due to additional minority interests
250	1.1.1.9	Adjustments to CET1 due to prudential filters
260	1.1.1.9.1	(-) Increases in equity resulting from securitised assets
270	1.1.1.9.2	Cash flow hedge reserve
280	1.1.1.9.3	Cumulative gains and losses due to changes in own credit risk on fair valued liabilities
285	1.1.1.9.4	Fair value gains and losses arising from the institution's own credit risk related to derivative liabilities
290	1.1.1.9.5	(-) Value adjustments due to the requirements for prudent valuation
300	1.1.1.10	(-) Goodwill
310	1.1.1.10.1	(-) Goodwill accounted for as intangible asset
320	1.1.1.10.2	(-) Goodwill included in the valuation of significant investments
330	1.1.1.10.3	Deferred tax liabilities associated to goodwill
340	1.1.1.11	(-) Other intangible assets
350	1.1.1.11.1	(-) Other intangible assets gross amount
360	1.1.1.11.2	Deferred tax liabilities associated to other intangible assets
370	1.1.1.12	(-) Deferred tax assets that rely on future profitability and do not arise from temporary differences net of associated tax liabilities
380	1.1.1.13	(-) IRB shortfall of credit risk adjustments to expected losses
390	1.1.1.14	(-)Defined benefit pension fund assets
400	1.1.1.14.1	(-)Defined benefit pension fund assets gross amount
410	1.1.1.14.2	Deferred tax liabilities associated to defined benefit pension fund assets
420	1.1.1.14.3	Defined benefit pension fund assets which the institution has an unrestricted ability to use
430	1.1.1.15	(-) Reciprocal cross holdings in CET1 Capital
440	1.1.1.16	(-) Excess of deduction from AT1 items over AT1 Capital
450	1.1.1.17	(-) Qualifying holdings outside the financial sector which can alternatively be subject to a 1 250 % risk weight
460	1.1.1.18	(-) Securitisation positions which can alternatively be subject to a 1 250 % risk weight
470	1.1.1.19	(-) Free deliveries which can alternatively be subject to a 1 250 % risk weight
471	1.1.1.20	(-) Positions in a basket for which an institution cannot determine the risk weight under the IRB approach, and can alternatively be subject to a 1 250 % risk weight
472	1.1.1.21	(-) Equity exposures under an internal models approach which can alternatively be subject to a 1 250 % risk weight
480	1.1.1.22	(-) CET1 instruments of financial sector entites where the institution does not have a significant investment
490	1.1.1.23	(-) Deductible deferred tax assets that rely on future profitability and arise from temporary differences
500	1.1.1.24	(-) CET1 instruments of financial sector entities where the institution has a significant investment
510	1.1.1.25	(-) Amount exceeding the 17,65 % threshold
520	1.1.1.26	Other transitional adjustments to CET1 Capital
524	1.1.1.27	(-) Additional deductions of CET1 Capital due to Article 3 CRR
529	1.1.1.28	CET1 capital elements or deductions - other
530	1.1.2	ADDITIONAL TIER 1 CAPITAL
540	1.1.2.1	Capital instruments eligible as AT1 Capital
550	1.1.2.1.1	Paid up capital instruments
560	1.1.2.1.2*	Memorandum item: Capital instruments not eligible
570	1.1.2.1.3	Share premium
580	1.1.2.1.4	(-) Own AT1 instruments
590	1.1.2.1.4.1	(-) Direct holdings of AT1 instruments
620	1.1.2.1.4.2	(-) Indirect holdings of AT1 instruments
621	1.1.2.1.4.3	(-) Synthetic holdings of AT1 instruments
622	1.1.2.1.5	(-) Actual or contingent obligations to purchase own AT1 instruments
660	1.1.2.2	Transitional adjustments due to grandfathered AT1 Capital instruments
670	1.1.2.3	Instruments issued by subsidiaries that are given recognition in AT1 Capital
680	1.1.2.4	Transitional adjustments due to additional recognition in AT1 Capital of instruments issued by subsidiaries
690	1.1.2.5	(-) Reciprocal cross holdings in AT1 Capital
700	1.1.2.6	(-) AT1 instruments of financial sector entities where the institution does not have a significant investment
710	1.1.2.7	(-) AT1 instruments of financial sector entities where the institution has a significant investment
720	1.1.2.8	(-) Excess of deduction from T2 items over T2 Capital
730	1.1.2.9	Other transitional adjustments to AT1 Capital
740	1.1.2.10	Excess of deduction from AT1 items over AT1 Capital (deducted in CET1)
744	1.1.2.11	(-) Additional deductions of AT1 Capital due to Article 3 CRR
748	1.1.2.12	AT1 capital elements or deductions - other
750	1.2	TIER 2 CAPITAL
760	1.2.1	Capital instruments and subordinated loans eligible as T2 Capital
770	1.2.1.1	Paid up capital instruments and subordinated loans
780	1.2.1.1*	Memorandum item: Capital instruments and subordinated loans not eligible
790	1.2.1.3	Share premium
800	1.2.1.4	(-) Own T2 instruments
810	1.2.1.4.1	(-) Direct holdings of T2 instruments
840	1.2.1.4.2	(-) Indirect holdings of T2 instruments
841	1.2.1.4.3	(-) Synthetic holdings of T2 instruments
842	1.2.1.5	(-) Actual or contingent obligations to purchase own T2 instruments
880	1.2.2	Transitional adjustments due to grandfathered T2 Capital instruments and subordinated loans
890	1.2.3	Instruments issued by subsidiaries that are given recognition in T2 Capital
900	1.2.4	Transitional adjustments due to additional recognition in T2 Capital of instruments issued by subsidiaries
910	1.2.5	IRB Excess of provisions over expected losses eligible
920	1.2.6	SA General credit risk adjustments
930	1.2.7	(-) Reciprocal cross holdings in T2 Capital
940	1.2.8	(-) T2 instruments of financial sector entities where the institution does not have a significant investment
950	1.2.9	(-) T2 instruments of financial sector entities where the institution has a significant investment
960	1.2.10	Other transitional adjustments to T2 Capital
970	1.2.11	Excess of deduction from T2 items over T2 Capital (deducted in AT1)
974	1.2.12	(-) Additional deductions of T2 Capital due to Article 3 CRR
978	1.2.13	T2 capital elements or deductions - other

C 02.00 — OWN FUNDS REQUIREMENTS (CA2)

Rows	Item	Label	Amount
010	1	TOTAL RISK EXPOSURE AMOUNT
020	1*	Of which: Investment firms under Article 95 paragraph 2 and Article 98 of CRR
030	1**	Of which: Investment firms under Article 96 paragraph 2 and Article 97 of CRR
040	1.1	RISK WEIGHTED EXPOSURE AMOUNTS FOR CREDIT, COUNTERPARTY CREDIT AND DILUTION RISKS AND FREE DELIVERIES
050	1.1.1	Standardised approach (SA)
060	1.1.1.1	SA exposure classes excluding securitisation positions
070	1.1.1.1.01	Central governments or central banks
080	1.1.1.1.02	Regional governments or local authorities
090	1.1.1.1.03	Public sector entities
100	1.1.1.1.04	Multilateral Development Banks
110	1.1.1.1.05	International Organisations
120	1.1.1.1.06	Institutions
130	1.1.1.1.07	Corporates
140	1.1.1.1.08	Retail
150	1.1.1.1.09	Secured by mortgages on immovable property
160	1.1.1.1.10	Exposures in default
170	1.1.1.1.11	Items associated with particular high risk
180	1.1.1.1.12	Covered bonds
190	1.1.1.1.13	Claims on institutions and corporates with a short-term credit assessment
200	1.1.1.1.14	Collective investments undertakings (CIU)
210	1.1.1.1.15	Equity
211	1.1.1.1.16	Other items
220	1.1.1.2	Securitisation positions SA
230	1.1.1.2*	of which: resecuritisation
240	1.1.2	Internal ratings based Approach (IRB)
250	1.1.2.1	IRB approaches when neither own estimates of LGD nor Conversion Factors are used
260	1.1.2.1.01	Central governments and central banks
270	1.1.2.1.02	Institutions
280	1.1.2.1.03	Corporates - SME
290	1.1.2.1.04	Corporates - Specialised Lending
300	1.1.2.1.05	Corporates - Other
310	1.1.2.2	IRB approaches when own estimates of LGD and/or Conversion Factors are used
320	1.1.2.2.01	Central governments and central banks
330	1.1.2.2.02	Institutions
340	1.1.2.2.03	Corporates - SME
350	1.1.2.2.04	Corporates - Specialised Lending
360	1.1.2.2.05	Corporates - Other
370	1.1.2.2.06	Retail - Secured by real estate SME
380	1.1.2.2.07	Retail - Secured by real estate non-SME
390	1.1.2.2.08	Retail - Qualifying revolving
400	1.1.2.2.09	Retail - Other SME
410	1.1.2.2.10	Retail - Other non-SME
420	1.1.2.3	Equity IRB
430	1.1.2.4	Securitisation positions IRB
440	1.1.2.4*	Of which: resecuritisation
450	1.1.2.5	Other non credit-obligation assets
460	1.1.3	Risk exposure amount for contributions to the default fund of a CCP
490	1.2	TOTAL RISK EXPOSURE AMOUNT FOR SETTLEMENT/DELIVERY
500	1.2.1	Settlement/delivery risk in the non-Trading book
510	1.2.2	Settlement/delivery risk in the Trading book
520	1.3	TOTAL RISK EXPOSURE AMOUNT FOR POSITION, FOREIGN EXCHANGE AND COMMODITIES RISKS
530	1.3.1	Risk exposure amount for position, foreign exchange and commodities risks under standardised approaches (SA)
540	1.3.1.1	Traded debt instruments
550	1.3.1.2	Equity
560	1.3.1.3	Foreign Exchange
570	1.3.1.4	Commodities
580	1.3.2	Risk exposure amount for Position, foreign exchange and commodities risks under internal models (IM)
590	1.4	TOTAL RISK EXPOSURE AMOUNT FOR OPERATIONAL RISK (OpR )
600	1.4.1	OpR Basic indicator approach (BIA)
610	1.4.2	OpR Standardised (STA) / Alternative Standardised (ASA) approaches
620	1.4.3	OpR Advanced measurement approaches (AMA)
630	1.5	ADDITIONAL RISK EXPOSURE AMOUNT DUE TO FIXED OVERHEADS
640	1.6	TOTAL RISK EXPOSURE AMOUNT FOR CREDIT VALUATION ADJUSTMENT
650	1.6.1	Advanced method
660	1.6.2	Standardised method
670	1.6.3	Based on OEM
680	1.7	TOTAL RISK EXPOSURE AMOUNT RELATED TO LARGE EXPOSURES IN THE TRADING BOOK
690	1.8	OTHER RISK EXPOSURE AMOUNTS
710	1.8.2	Of which: Additional stricter prudential requirements based on Art 458
720	1.8.2*	Of which: requirements for large exposures
730	1.8.2**	Of which: due to modified risk weights for targeting asset bubbles in the residential and commercial property
740	1.8.2***	Of which: due to intra financial sector exposures
750	1.8.3	Of which: Additional stricter prudential requirements based on Art 459
760	1.8.4	Of which: Additional risk exposure amount due to Article 3 CRR

C 03.00 — CAPITAL RATIOS AND CAPITAL LEVELS (CA3)

Rows	ID	Item	Amount
010	1	CET1 Capital ratio
020	2	Surplus(+)/Deficit(-) of CET1 capital
030	3	T1 Capital ratio
040	4	Surplus(+)/Deficit(-) of T1 capital
050	5	Total capital ratio
060	6	Surplus(+)/Deficit(-) of total capital
Memorandum Items: Capital ratios due to Pillar II adjustments
070	7	CET1 capital ratio including Pillar II adjustments
080	8	Target CET1 capital ratio due to Pillar II adjustments
090	9	T1 capital ratio including Pillar II adjustments
100	10	Target T1 capital ratio due to Pillar II adjustments
110	11	Total capital ratio including Pillar II adjustments
120	12	Target Total capital ratio due to Pillar II adjustments

C 04.00 — MEMORANDUM ITEMS (CA4)

Row	ID	Item	Column
Deferred tax assest and liabilities			010
010	1	Total deferred tax assets
020	1.1	Deferred tax assets that do not rely on future profitability
030	1.2	Deferred tax assets that rely on future profitability and do not arise from temporary differences
040	1.3	Deferred tax assets that rely on future profitability and arise from temporary differences
050	2	Total deferred tax liabilities
060	2.1	Deferred tax liabilities non deductible from deferred tax assets that rely on future profitability
070	2.2	Deferred tax liabilities deductible from deferred tax assets that rely on future profitability
080	2.2.1	Deductible deferred tax liabilities associated with deferred tax assets that rely on future profitability and do not arise from temporary differences
090	2.2.2	Deductible deferred tax liabilities associated with deferred tax assets that rely on future profitability and arise from temporary differences
Credit risk adjustments and expected losses
100	3	IRB excess (+) or shortfall (-) of credit risk adjustments, additional value adjustments and other own funds reductions to expected losses for non defaulted exposures
110	3.1	Total credit risk adjustments, additional value adjustments and other own funds reductions eligible for inclusion in the calculation of the expected loss amount
120	3.1.1	General credit risk adjustments
130	3.1.2	Specific credit risk adjustments
131	3.1.3	Additional value adjustments and other own funds reductions
140	3.2	Total expected losses eligible
145	4	IRB excess (+) or shortfall (-) of specific credit risk adjustments to expected losses for defaulted exposures
150	4.1	Specific credit risk adjustments and positions treated similarily
155	4.2	Total expected losses eligible
160	5	Risk weighted exposure amounts for calculating the cap to the excess of provision eligible as T2
170	6	Total gross provisions eligible for inclusion in T2 capital
180	7	Risk weighted exposure amounts for calculating the cap to the provision eligible as T2
Thresholds for Common Equity Tier 1 deductions
190	8	Threshold non deductible of holdings in financial sector entities where an institution does not have a significant investment
200	9	10 % CET1 threshold
210	10	17,65 % CET1 threshold
220	11	Eligible capital for the purposes of qualifying holdings outside the financial sector and large exposures
Investments in the capital of financial sector entities where the institution does not have a significant investment
230	12	Holdings of CET1 capital of financial sector entities where the institution does not have a significant investment, net of short positions
240	12.1	Direct holdings of CET1 capital of financial sector entities where the institution does not have a significant investment
250	12.1.1	Gross direct holdings of CET1 capital of financial sector entities where the institution does not have a significant investment
260	12.1.2	(-) Permitted offsetting short positions in relation to the direct gross holdings included above
270	12.2	Indirect holdings of CET1 capital of financial sector entities where the institution does not have a significant investment
280	12.2.1	Gross indirect holdings of CET1 capital of financial sector entities where the institution does not have a significant investment
290	12.2.2	(-) Permitted offsetting short positions in relation to the indirect gross holdings included above
291	12.3	Synthetic holdings of CET1 capital of financial sector entities where the institution does not have a significant investment
292	12.3.1	Gross synthetic holdings of CET1 capital of financial sector entities where the institution does not have a significant investment
293	12.3.2	(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above
300	13	Holdings of AT1 capital of financial sector entities where the institution does not have a significant investment, net of short positions
310	13.1	Direct holdings of AT1 capital of financial sector entities where the institution does not have a significant investment
320	13.1.1	Gross direct holdings of AT1 capital of financial sector entities where the institution does not have a significant investment
330	13.1.2	(-) Permitted offsetting short positions in relation to the direct gross holdings included above
340	13.2	Indirect holdings of AT1 capital of financial sector entities where the institution does not have a significant investment
350	13.2.1	Gross indirect holdings of AT1 capital of financial sector entities where the institution does not have a significant investment
360	13.2.2	(-) Permitted offsetting short positions in relation to the indirect gross holdings included above
361	13.3	Synthetic holdings of AT1 capital of financial sector entities where the institution does not have a significant investment
362	13.3.1	Gross synthetic holdings of AT1 capital of financial sector entities where the institution does not have a significant investment
363	13.3.2	(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above
370	14	Holdings of T2 capital of financial sector entities where the institution does not have a significant investment, net of short positions
380	14.1	Direct holdings of T2 capital of financial sector entities where the institution does not have a significant investment
390	14.1.1	Gross direct holdings of T2 capital of financial sector entities where the institution does not have a significant investment
400	14.1.2	(-) Permitted offsetting short positions in relation to the direct gross holdings included above
410	14.2	Indirect holdings of T2 capital of financial sector entities where the institution does not have a significant investment
420	14.2.1	Gross indirect holdings of T2 capital of financial sector entities where the institution does not have a significant investment
430	14.2.2	(-) Permitted offsetting short positions in relation to the indirect gross holdings included above
431	14.3	Synthetic holdings of T2 capital of financial sector entities where the institution does not have a significant investment
432	14.3.1	Gross synthetic holdings of T2 capital of financial sector entities where the institution does not have a significant investment
433	14.3.2	(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above
Investments in the capital of financial sector entities where the institution has a significant investment
440	15	Holdings of CET1 capital of financial sector entities where the institution has a significant investment, net of short positions
450	15.1	Direct holdings of CET1 capital of financial sector entities where the institution has a significant investment
460	15.1.1	Gross direct holdings of CET1 capital of financial sector entities where the institution has a significant investment
470	15.1.2	(-) Permitted offsetting short positions in relation to the direct gross holdings included above
480	15.2	Indirect holdings of CET1 capital of financial sector entities where the institution has a significant investment
490	15.2.1	Gross indirect holdings of CET1 capital of financial sector entities where the institution has a significant investment
500	15.2.2	(-) Permitted offsetting short positions in relation to the indirect gross holdings included above
501	15.3	Synthetic holdings of CET1 capital of financial sector entities where the institution has a significant investment
502	15.3.1	Gross synthetic holdings of CET1 capital of financial sector entities where the institution has a significant investment
503	15.3.2	(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above
510	16	Holdings of AT1 capital of financial sector entities where the institution has a significant investment, net of short positions
520	16.1	Direct holdings of AT1 capital of financial sector entities where the institution has a significant investment
530	16.1.1	Gross direct holdings of AT1 capital of financial sector entities where the institution has a significant investment
540	16.1.2	(-) Permitted offsetting short positions in relation to the direct gross holdings included above
550	16.2	Indirect holdings of AT1 capital of financial sector entities where the institution has a significant investment
560	16.2.1	Gross indirect holdings of AT1 capital of financial sector entities where the institution has a significant investment
570	16.2.2	(-) Permitted offsetting short positions in relation to the indirect gross holdings included above
571	16.3	Synthetic holdings of AT1 capital of financial sector entities where the institution has a significant investment
572	16.3.1	Gross synthetic holdings of AT1 capital of financial sector entities where the institution has a significant investment
573	16.3.2	(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above
580	17	Holdings of T2 capital of financial sector entities where the institution has a significant investment, net of short positions
590	17.1	Direct holdings of T2 capital of financial sector entities where the institution has a significant investment
600	17.1.1	Gross direct holdings of T2 capital of financial sector entities where the institution has a significant investment
610	17.1.2	(-) Permitted offsetting short positions in relation to the direct gross holdings included above
620	17.2	Indirect holdings of T2 capital of financial sector entities where the institution has a significant investment
630	17.2.1	Gross indirect holdings of T2 capital of financial sector entities where the institution has a significant investment
640	17.2.2	(-) Permitted offsetting short positions in relation to the indirect gross holdings included above
641	17.3	Synthetic holdings of T2 capital of financial sector entities where the institution has a significant investment
642	17.3.1	Gross synthetic holdings of T2 capital of financial sector entities where the institution has a significant investment
643	17.3.2	(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above
Total risk exposure amounts of holdings not deducted from the corresponding capital category:
650	18	Risk weighted exposures of CET1 holdings in financial sector entities which are not deducted from the institution's CET1 capital
660	19	Risk weighted exposures of AT1 holdings in financial sector entities which are not deducted from the institution's AT1 capital
670	20	Risk weighted exposures of T2 holdings in financial sector entities which are not deducted from the institution's T2 capital
Temporary waiver from deduction from own funds
680	21	Holdings on CET1 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived
690	22	Holdings on CET1 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived
700	23	Holdings on AT1 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived
710	24	Holdings on AT1 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived
720	25	Holdings on T2 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived
730	26	Holdings on T2 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived
Capital buffers
740	27	Combined buffer requirement
750		Capital conservation buffer
760		Conservation buffer due to macro-prudential or systemic risk identified at the level of a Member State
770		Institution specific countercyclical capital buffer
780		Systemic risk buffer
790		Systemical important institution buffer
800		Global Systemically Important Institution buffer
810		Other Systemically Important Institution buffer
Pillar II requirements
820	28	Own funds requirements related to Pillar II adjustments
Additional information for investment firms
830	29	Initial capital
840	30	Own funds based on Fixed Overheads
Additional information for calculation of reporting thresholds
850	31	Non-domestic original exposures
860	32	Total original exposures
Basel I floor
870		Adjustments to total own funds
880		Own funds fully adjusted for Basel I floor
890		Own funds requirements for Basel I floor
900		Own funds requirements for Basel I floor - SA alternative

C 05.01 — TRANSITIONAL PROVISIONS (CA5.1)

			Adjustments to CET1	Adjustments to AT1	Adjustments to T2	Adjustments included in RWAs	Memorandum items
			Adjustments to CET1	Adjustments to AT1	Adjustments to T2	Adjustments included in RWAs	Applicable percentage	Eligible amount without transitional provisions
Code	ID	Item	010	020	030	040	050	060
010	1	TOTAL ADJUSTMENTS
020	1.1	GRANDFATHERED INSTRUMENTS	link to {CA1;r220}	link to {CA1;r660}	link to {CA1;r880}
030	1.1.1	Grandfathered instruments: Instruments constituting state aid
040	1.1.1.1	Instruments that qualified as own funds according to 2006/48/EC
050	1.1.1.2	Instruments issued by institutions that are incorporated in a Member State that is subject to an Economic Adjustment Programme
060	1.1.2	Instruments not constituting state aid	link to {CA5.2;r010;c060}	link to {CA5.2;r020;c060}	link to {CA5.2;r090;c060}
070	1.2	MINORITY INTERESTS AND EQUIVALENTS	link to {CA1;r240}	link to {CA1;r680}	link to {CA1;r900}
080	1.2.1	Capital instruments and items that do not qualify as minority interests
090	1.2.2	Transitional recognition in consolidated own funds of minority interests
091	1.2.3	Transitional recognition in consolidated own funds of qualifying Additional Tier 1 capital
092	1.2.4	Transitional recognition in consolidated own funds of qualifying Tier 2 capital
100	1.3	OTHER TRANSITIONAL ADJUSTMENTS	link to {CA1;r520}	link to {CA1;r730}	link to {CA1;r960}
110	1.3.1	Unrealised gains and losses
120	1.3.1.1	Unrealised gains
130	1.3.1.2	Unrealised losses
133	1.3.1.3.	Unrealised gains on exposures to central governments classified in the ‘Available for sale’ category of EU-endorsed IAS39
136	1.3.1.4.	Unrealised loss on exposures to central governments classified in the ‘Available for sale’ category of EU-endorsed IAS39
138	1.3.1.5.	Fair value gains and losses arising from the institution's own credit risk related to derivative liabilities
140	1.3.2	Deductions
150	1.3.2.1	Losses for the current financial year
160	1.3.2.2	Intangible assets
170	1.3.2.3	Deferred tax assets that rely on future profitability and do not arise from temporary differences
180	1.3.2.4	IRB shortfall of provisions to expected losses
190	1.3.2.5	Defined benefit pension fund assets
194	1.3.2.5*	of which: Introduction of amendments to IAS 19 - positive item
198	1.3.2.5**	of which: Introduction of amendments to IAS 19 - negative item
200	1.3.2.6	Own instruments
210	1.3.2.6.1	Own CET1 instruments
211	1.3.2.6.1**	of which: Direct holdings
212	1.3.2.6.1*	of which: Indirect holdings
220	1.3.2.6.2	Own AT1 instruments
221	1.3.2.6.2**	of which: Direct holdings
222	1.3.2.6.2*	of which: Indirect holdings
230	1.3.2.6.3	Own T2 instruments
231	1.3.2.6.3*	of which: Direct holdings
232	1.3.2.6.3**	of which: Indirect holdings
240	1.3.2.7	Reciprocal cross holdings
250	1.3.2.7.1	Reciprocal cross holdings in CET1 Capital
260	1.3.2.7.1.1	Reciprocal cross holdings in CET1 Capital of financial sector entities where the institution does not have a significant investment
270	1.3.2.7.1.2	Reciprocal cross holdings in CET1 Capital of financial sector entities where the institution has a significant investment
280	1.3.2.7.2	Reciprocal cross holdings in AT1 Capital
290	1.3.2.7.2.1	Reciprocal cross holdings in AT1 Capital of financial sector entities where the institution does not have a significant investment
300	1.3.2.7.2.2	Reciprocal cross holdings in AT1 Capital of financial sector entities where the institution has a significant investment
310	1.3.2.7.3	Reciprocal cross holdings in T2 Capital
320	1.3.2.7.3.1	Reciprocal cross holdings in T2 Capital of financial sector entities where the institution does not have a significant investment
330	1.3.2.7.3.2	Reciprocal cross holdings in T2 Capital of financial sector entities where the institution has a significant investment
340	1.3.2.8	Own funds instruments of financial sector entities where the institution does not have a significant investment
350	1.3.2.8.1	CET1 instruments of financial sector entities where the institution does not have a significant investment
360	1.3.2.8.2	AT1 instruments of financial sector entities where the institution does not have a significant investment
370	1.3.2.8.3	T2 instruments of financial sector entities where the institution does not have a significant investment
380	1.3.2.9	Deferred tax assets that are dependent on future profitability and arise from temporary differences and CET1 instruments of financial sector entities where the institution has a significant investment
390	1.3.2.10	Own funds instruments of financial sector entities where the institution has a significant investment
400	1.3.2.10.1	CET1 instruments of financial sector entities where the institution has a significant investment
410	1.3.2.10.2	AT1 instruments of financial sector entities where the institution has a significant investment
420	1.3.2.10.3	T2 instruments of financial sector entities where the institution has a significant investment
425	1.3.2.11	Exemption from deduction of Equity Holdings in Insurance Companies from CET 1 Items
430	1.3.3	Additional filters and deductions

C 05.02 — GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUING STATE AID (CA5.2)

CA 5.2 Grandfathered instruments: Instruments not constituting State aid			Amount of instruments plus related share premium	Base for calculating the limit	Applicable percentage	Limit	(-) Amount that exceeds the limits for grandfathering	Total grandfathered amount
Code	ID	Item	010	020	030	040	050	060
010	1.	Instruments that qualified for point a) of Article 57 of 2006/48/EC						link to {CA5.1;r060;c010)
020	2.	Instruments that qualified for point ca) of Article 57 and Article 154(8) and (9) of 2006/48/EC, subject to the limit of Article 489						link to {CA5.1;r060;c020)
030	2.1	Total instruments without a call or an incentive to redeem
040	2.2.	Grandfathered instruments with a call and incentive to redeem
050	2.2.1	Instruments with a call exercisable after the reporting date, and which meet the conditions in Article 49 of CRR after the date of effective maturity
060	2.2.2	Instruments with a call exercisable after the reporting date, and which do not meet the conditions in Article 49 of CRR after the date of effective maturity
070	2.2.3	Instruments with a call exercisable prior to or on 20 July 2011, and which do not meet the conditions in Article 49 of CRR after the date of effective maturity
080	2.3	Excess on the limit of CET1 grandfathered instruments
090	3	Items that qualified for points e), f), g) or h) of Article 57 of 2006/48/EC, subject to the limit of Article 490						link to {CA5.1;r060;c030)
100	3.1	Total items without an incentive to redeem
110	3.2	Grandfathered items with an incentive to redeem
120	3.2.1	Items with a call exercisable after the reporting date, and which meet the conditions in Article 63 of CRR after the date of effective maturity
130	3.2.2	Items with a call exercisable after the reporting date, and which do not meet the conditions in Article 63 of CRR after the date of effective maturity
140	3.2.3	Items with a call exercisable prior to or on 20 July 2011, and which do not meet the conditions in Article 63 of CRR after the date of effective maturity
150	3.3	Excess on the limit of AT1 grandfathered instruments

C 06.00 — GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS)

	ENTITIES WITHIN SCOPE OF CONSOLIDATION							INFORMATION ON ENTITIES SUBJECT TO OWN FUNDS REQUIREMENTS																		INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP																CAPITAL BUFFERS
	NAME	CODE	LEI code	INSITUTION OR EQUIVALENT (YES / NO)	SCOPE OF DATA: SOLO FULLY CONSOLIDATED (SF), SOLO PARTIALLY CONSOLIDATED (SP) OR SUBCONSOLIDATED (SC)	COUNTRY CODE	SHARE OF HOLDING (%)	TOTAL RISK EXPOSURE AMOUNT					OWN FUNDS													TOTAL RISK EXPOSURE AMOUNT					QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS						CONSOLIDATED OWN FUNDS					COMBINED BUFFER REQUIRE-MENTS
									CREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/DELIVERY RISK	POSITION, FX AND COMMODITIES RISKS	OPERATIONAL RISK	OTHER RISK EXPOSURE AMOUNTS				TOTAL TIER 1 CAPITAL								TIER 2 CAPITAL			CREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/DELIVERY RISK	POSITION, FX AND COMMODITIES RISKS	OPERATIONAL RISK	OTHER RISK EXPOSURE AMOUNTS		QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 1 CAPITAL			QUALIFYING OWN FUNDS INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 2 CAPITAL	MEMORANDUM ITEM: GOODWILL (-) / (+) NEGATIVE GOODWILL		OF WHICH: COMMON EQUITY TIER 1	OF WHICH: ADDITIONAL TIER 1	OF WHICH: CONRIBUTIONS TO CONSOLIDATED RESULT	OF WHICH: (-) GOODWILL / (+) NEGATIVE GOODWILL		CAPITAL CONSERVATION BUFFER	INSTITUTION SPECIFIC COUNTER-CYCLICAL CAPITAL BUFFER	CONSERVATION BUFFER DUE TO MACRO-PRUDENTIAL OR SYSTEMIC RISK IDENTIFIED AT THE LEVEL OF A MEMBER STATE	SYSTEMIC RISK BUFFER	SYSTEMICAL IMPORTANT INSTITUTION BUFFER	GLOBAL SYSTEMICALLY IMPORTANT INSTITUTION BUFFER	OTHER SYSTEMICALLY IMPORTANT INSTITUTION BUFFER
																			COMMON EQUITY TIER 1 CAPITAL			ADDITIONAL TIER 1 CAPITAL											MINORITY INTERESTS INCLUDED IN CONSOLIDATED COMMON EQUITY TIER 1 CAPITAL	QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED ADDITIONAL TIER 1 CAPITAL
														OF WHICH: QUALIFYING OWN FUNDS	OF WHICH: OWN FUNDS INSTRUMENTS, RELATED RETAINED EARNINGS AND SHARE PREMIUM ACCOUNTS		OF WHICH: QUALIFYING TIER 1 CAPITAL	OF WHICH: T1 INSTRUMENTS, RELATED RETAINED EARNINGS AND SHARE PREMIUM ACCOUNTS	COMMON EQUITY TIER 1 CAPITAL	OF WHICH: MINORITY INTERESTS	OF WHICH: OWN FUNDS INSTRUMENTS, RELATED RETAINED EARNINGS, SHARE PREMIUM ACCOUNTS AND OTHER RESERVES	ADDITIONAL TIER 1 CAPITAL	OF WHICH: QUALIFYING ADDITIONAL TIER 1 CAPITAL		OF WHICH: QUALIFYING TIER 2 CAPITAL
	010	020	025	030	040	050	060	070	080	090	100	110	120	130	140	150	160	170	180	190	200	210	220	230	240	250	260	270	280	290	300	310	320	330	340	350	360	370	380	390	400	410	420	430	440	450	460	470	480
010	TOTAL
001
002
....
NNN

C 07.00 — CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: STANDARDISED APPROACH TO CAPITAL REQUIREMENTS (CR SA)

SA Exposure class

		ORIGINAL EXPOSURE PRE CONVERSION FACTORS		(-) VALUE ADJUSTMENTS AND PROVISIONS ASSOCIATED WITH THE ORIGINAL EXPOSURE	EXPOSURE NET OF VALUE ADJUSTMENTS AND PROVISIONS	CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE						NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS	CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE EXPOSURE AMOUNT: FUNDED CREDIT PROTECTION. FINANCIAL COLLATERAL COMPREHENSIVE METHOD			FULLY ADJUSTED EXPOSURE VALUE (E*)	BREAKDOWN OF THE FULLY ADJUSTED EXPOSURE OF OFF-BALANCE SHEET ITEMS BY CONVERSION FACTORS				EXPOSURE VALUE		RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR	RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR
			OF WHICH: ARISING FROM DEFAULT FUND CONTRIBUTIONS			UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (Ga)		FUNDED CREDIT PROTECTION		SUBSTITUTION OF THE EXPOSURE DUE TO CRM			VOLATILITY ADJUSTMENT TO THE EXPOSURE	(-) FINANCIAL COLLATERAL: ADJUSTED VALUE (Cvam)			0%	20%	50%	100%		OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK			OF WHICH: WITH A CREDIT ASSESSMENT BY A NOMINATED ECAI	OF WHICH: WITH A CREDIT ASSESSMENT DERIVED FROM CENTRAL GOVERNMENT
			OF WHICH: ARISING FROM DEFAULT FUND CONTRIBUTIONS			(-) GUARANTEES	(-) CREDIT DERIVATIVES	(-) FINANCIAL COLLATERAL: SIMPLE METHOD	(-) OTHER FUNDED CREDIT PROTECTION	(-) TOTAL OUTFLOWS	TOTAL INFLOWS (+)		VOLATILITY ADJUSTMENT TO THE EXPOSURE		OF WHICH: VOLATILITY AND MATURITY ADJUSTMENTS		0%	20%	50%	100%		OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK			OF WHICH: WITH A CREDIT ASSESSMENT BY A NOMINATED ECAI
		010	020	030	040	050	060	070	080	090	100	110	120	130	140	150	160	170	180	190	200	210	215	220	230	240
010	TOTAL EXPOSURES																							Cell linked to CA
020	of which: SME
030	of which: SME subject to SME-supporting factor
040	of which: Secured by mortgages on immovable property - Residential property
050	of which: Exposures under the permanent partial use of the standardised approach
060	of which: Exposures under the standardised approach with prior supervisory permission to carry out a sequential IRB implementation
BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:
070	On balance sheet exposures subject to credit risk
080	Off balance sheet exposures subject to credit risk
090	Securities Financing Transactions
100	of which: centrally cleared through a QCCP
110	Derivatives & Long Settlement Transactions
120	of which: centrally cleared through a QCCP
130	From Contractual Cross Product Netting
BREAKDOWN OF TOTAL EXPOSURES BY RISK WEIGHTS:
140	0 %
150	2 %
160	4 %
170	10 %
180	20 %
190	35 %
200	50 %
210	70 %
220	75 %
230	100 %
240	150 %
250	250 %
260	370 %
270	1 250 %
280	Other risk weights
MEMORANDUM ITEMS
290	Exposures secured by mortgages on commercial immovable property
300	Exposures in default subject to a risk weight of 100 %
310	Exposures secured by mortgages on residential property
320	Exposures in default subject to a risk weight of 150 %

C 08.01 — CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS (CR IRB 1)

IRB Exposure class:

Own estimates of LGD and/or conversion factors:

		INTERNAL RATING SYSTEM	ORIGINAL EXPOSURE PRE CONVERSION FACTORS		CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE					EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS		EXPOSURE VALUE				CREDIT RISK MITIGATION TECHNIQUES TAKEN INTO ACCOUNT IN LGD ESTIMATES EXCLUDING DOUBLE DEFAULT TREATMENT							SUBJECT TO DOUBLE DEFAULT TREATMENT	EXPOSURE WEIGHTED AVERAGE LGD (%)	EXPOSURE WEIGHTED AVERAGE LGD (%) FOR LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES	EXPOSURE-WEIGHTED AVERAGE MATURITY VALUE (DAYS)	RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR	RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR		MEMORANDUM ITEMS:
		INTERNAL RATING SYSTEM	ORIGINAL EXPOSURE PRE CONVERSION FACTORS		UNFUNDED CREDIT PROTECTION		(-) OTHER FUNDED CREDIT PROTECTION	SUBSTITUTION OF THE EXPOSURE DUE TO CRM								OWN ESTIMATES OF LGD'S ARE USED: UNFUNDED CREDIT PROTECTION		FUNDED CREDIT PROTECTION					UNFUNDED CREDIT PROTECTION					RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR		EXPECTED LOSS AMOUNT	(-) VALUE ADJUSTMENTS AND PROVISIONS	NUMBER OF OBLIGORS
		PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%)		OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES	(-) GUARANTEES	(-) CREDIT DERIVATIVES		(-) TOTAL OUTFLOWS	TOTAL INFLOWS (+)		OF WHICH: OFF BALANCE SHEET ITEMS		OF WHICH: OFF BALANCE SHEET ITEMS	OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK	OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES	GUARANTEES	CREDIT DERIVATIVES	OWN ESTIMATES OF LGD'S ARE USED: OTHER FUNDED CREDIT PROTECTION	ELIGIBLE FINANCIAL COLLATERAL	OTHER ELIGIBLE COLLATERAL									OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES
		PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%)			(-) GUARANTEES	(-) CREDIT DERIVATIVES		(-) TOTAL OUTFLOWS	TOTAL INFLOWS (+)		OF WHICH: OFF BALANCE SHEET ITEMS		OF WHICH: OFF BALANCE SHEET ITEMS	OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK		GUARANTEES	CREDIT DERIVATIVES		ELIGIBLE FINANCIAL COLLATERAL	REAL ESTATE	OTHER PHYSICAL COLLATERAL	RECEIVABLES
		010	020	030	040	050	060	070	080	090	100	110	120	130	140	150	160	170	180	190	200	210	220	230	240	250	255	260	270	280	290	300
010	TOTAL EXPOSURES																											Cell linked to CA
	BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:
020	On balance sheet items subject to credit risk
030	Off balance sheet items subject to credit risk
	Exposures / Transactions subject to counterparty credit risk
040	Securities Financing Transactions
050	Derivatives & Long Settlement Transactions
060	From Contractual Cross Product Netting
070	EXPOSURES ASSIGNED TO OBLIGOR GRADES OR POOLS: TOTAL
080	SPECIALIZED LENDING SLOTTING CRITERIA: TOTAL
	BREAKDOWN BY RISK WEIGHTS OF TOTAL EXPOSURES UNDER SPECIALIZED LENDING SLOTTING CRITERIA:
090	RISK WEIGHT: 0 %
100	50 %
110	70 %
120	Of which: in category 1
130	90 %
140	115 %
150	250 %
160	ALTERNATIVE TREATMENT: SECURED BY REAL ESTATE
170	EXPOSURES FROM FREE DELIVERIES APPLYING RISK WEIGHTS UNDER THE ALTERNATIVE TREATMENT OR 100% AND OTHER EXPOSURES SUBJECT TO RISK WEIGHTS
180	DILUTION RISK: TOTAL PURCHASED RECEIVABLES

C 08.02 — CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BREAKDOWN BY OBLIGOR GRADES OR POOLS (CR IRB 2)

IRB Exposure class:

Own estimates of LGD and/or conversion factors:

INTERNAL RATING SYSTEM

ORIGINAL EXPOSURE PRE CONVERSION FACTORS

CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE

EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS

EXPOSURE VALUE

CREDIT RISK MITIGATION TECHNIQUES TAKEN INTO ACCOUNT IN LGD ESTIMATES EXCLUDING DOUBLE DEFAULT TREATMENT

SUBJECT TO DOUBLE DEFAULT TREATMENT

EXPOSURE WEIGHTED AVERAGE LGD (%)

EXPOSURE WEIGHTED AVERAGE LGD (%) FOR LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

EXPOSURE-WEIGHTED AVERAGE MATURITY VALUE (DAYS)

RISK WEIGHTED EXPOSURE AMOUNT PRE SME-FACTOR

RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-FACTOR

MEMORANDUM ITEMS:

UNFUNDED CREDIT PROTECTION

(-) OTHER FUNDED CREDIT PROTECTION

SUBSTITUTION OF THE EXPOSURE DUE TO CRM

OWN ESTIMATES OF LGD'S ARE USED: UNFUNDED CREDIT PROTECTION

FUNDED CREDIT PROTECTION

UNFUNDED CREDIT PROTECTION

EXPECTED LOSS AMOUNT

(-) VALUE ADJUSTMENTS AND PROVISIONS

NUMBER OF OBLIGORS

PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%)

OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

(-) GUARANTEES

(-) CREDIT DERIVATIVES

(-) TOTAL OUTFLOWS

TOTAL INFLOWS (+)

OF WHICH: OFF BALANCE SHEET ITEMS

OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK

OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

GUARANTEES

CREDIT DERIVATIVES

OWN ESTIMATES OF LGD'S ARE USED: OTHER FUNDED CREDIT PROTECTION

ELIGIBLE FINANCIAL COLLATERAL

OTHER ELIGIBLE COLLATERAL

OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

REAL ESTATE

OTHER PHYSICAL COLLATERAL

RECEIVABLES

010

020

030

040

050

060

070

080

090

100

110

120

130

140

150

160

170

180

190

200

210

220

230

240

250

255

260

270

280

290

300

BREAKDOWN OF TOTAL EXPOSURES ASSIGNED TO OBLIGOR GRADES OR POOLS:

OBLIGOR GRADE OR POOL:1

.....

C 09.01 — GEOGRAPHICAL BREAKDOWN OF EXPOSURES BY RESIDENCE OF THE OBLIGOR: SA EXPOSURES (CR GB 1)

Country:

		ORIGINAL EXPOSURE PRE CONVERSION FACTORS	Exposures in default	Observed new defaults for the period	General credit risk adjustments	Specific credit risk adjustments	Of which: write off	Credit risk adjustments/write-offs for observed new defaults	EXPOSURE VALUE	RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR	RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR
		010	020	040	050	055	060	070	075	080	090
010	Central governments or central banks
020	Regional governments or local authorities
030	Public sector entities
040	Multilateral Development Banks
050	International Organisations
060	Institutions
070	Corporates
075	of which: SME
080	Retail
085	of which: SME
090	Secured by mortgages on immovable property
095	of which: SME
100	Exposures in default
110	Items associated with particularly high risk
120	Covered bonds
130	Claims on institutions and corporates with a short-term credit assessment
140	Collective investments undertakings (CIU)
150	Equity exposures
160	Other exposures
	Total exposures

C 09.02 — GEOGRAPHICAL BREAKDOWN OF EXPOSURES BY RESIDENCE OF THE OBLIGOR: IRB EXPOSURES (CR GB 2)

Country:

		ORIGINAL EXPOSURE PRE CONVERSION FACTORS	Of which: defaulted	Observed new defaults for the period	General credit risk adjustments	Specific credit risk adjustments	Of which: write off	Credit risk adjustments/write-offs for observed new defaults	PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%)	EXPOSURE WEIGHTED AVERAGE LGD (%)	Of which: defaulted	EXPOSURE VALUE	RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR	Of which: defaulted	RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR	EXPECTED LOSS AMOUNT
		010	030	040	050	055	060	070	080	090	100	105	110	120	125	130
010	Central governments or central banks
020	Institutions
030	Corporates
040	Of Which: Specialised Lending
050	Of Which: SME
060	Retail
070	Secured by real estate property
080	SME
090	Non-SME
100	Qualifying Revolving
110	Other Retail
120	SME
130	Non-SME
140	Equity
	Total exposures

C 09.03 — BREAKDOWN OF TOTAL OWN FUNDS REQUIREMENTS FOR CREDIT RISK OF RELEVANT CREDIT EXPOSURES BY COUNTRY (CR GB 3)

Country:

		Amount
		010
010	Own fund requirements for credit risk

C 10.01 — CREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS (CR EQU IRB 1)

		INTERNAL RATING SYSTEM	ORIGINAL EXPOSURE PRE CONVERSION FACTORS	CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE			EXPOSURE VALUE	EXPOSURE WEIGHTED AVERAGE LGD (%)	RISK WEIGHTED EXPOSURE AMOUNT	MEMORANDUM ITEM:
		INTERNAL RATING SYSTEM		UNFUNDED CREDIT PROTECTION		SUBSTITUTION OF THE EXPOSURE DUE TO CRM				EXPECTED LOSS AMOUNT
		PD ASSIGNED TO THE OBLIGOR GRADE (%)		(-) GUARANTEES	(-) CREDIT DERIVATIVES	(-) TOTAL OUTFLOWS				EXPECTED LOSS AMOUNT
		010	020	030	040	050	060	070	080	090
010	TOTAL IRB EQUITY EXPOSURES								Cell linked to CA
020	PD/LGD APRROACH: TOTAL
050	SIMPLE RISK WEIGHT APPROACH: TOTAL
060	BREAKDOWN OF TOTAL EXPOSURES UNDER THE SIMPLE RISK WEIGHT APRROACH BY RISK WEIGHTS:
070	RISK WEIGHT: 190 %
080	290 %
090	370 %
100	INTERNAL MODELS APPROACH
110	EQUITY EXPOSURES SUBJECT TO RISK WEIGHTS

C 10.02 — CREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS. BREAKDOWN OF TOTAL EXPOSURES UNDER THE PD/LGD APRROACH BY OBLIGOR GRADES (CR EQU IRB 2)

	INTERNAL RATING SYSTEM	ORIGINAL EXPOSURE PRE CONVERSION FACTORS	CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE			EXPOSURE VALUE	EXPOSURE WEIGHTED AVERAGE LGD (%)	RISK WEIGHTED EXPOSURE AMOUNT	MEMORANDUM ITEM:
	INTERNAL RATING SYSTEM		UNFUNDED CREDIT PROTECTION		SUBSTITUTION OF THE EXPOSURE DUE TO CRM				EXPECTED LOSS AMOUNT
	PD ASSIGNED TO THE OBLIGOR GRADE (%)		(-) GUARANTEES	(-) CREDIT DERIVATIVES	(-) TOTAL OUTFLOWS				EXPECTED LOSS AMOUNT
	010	020	030	040	050	060	070	080	090
BREAKDOWN OF TOTAL EXPOSURES UNDER THE PD/LGD APRROACH BY OBLIGOR GRADES:
OBLIGOR GRADE(a): 001
002
…
NNN

C 11.00 — SETTLEMENT/DELIVERY RISK (CR SETT)

		UNSETTLED TRANSACTIONS AT SETTLEMENT PRICE	PRICE DIFFERENCE EXPOSURE DUE TO UNSETTLED TRANSACTIONS	OWN FUNDS REQUIREMENTS	TOTAL SETTLEMENT RISK EXPOSURE AMOUNT
		010	020	030	040
010	Total unsettled transactions in the Non-trading Book				Cell linked to CA
020	Transactions unsettled up to 4 days (Factor 0 %)
030	Transactions unsettled between 5 and 15 days (Factor 8 %)
040	Transactions unsettled between 16 and 30 days (Factor 50 %)
050	Transactions unsettled between 31 and 45 days (Factor 75 %)
060	Transactions unsettled for 46 days or more (Factor 100 %)
070	Total unsettled transactions in the Trading Book				Cell linked to CA
080	Transactions unsettled up to 4 days (Factor 0 %)
090	Transactions unsettled between 5 and 15 days (Factor 8 %)
100	Transactions unsettled between 16 and 30 days (Factor 50 %)
110	Transactions unsettled between 31 and 45 days (Factor 75 %)
120	Transactions unsettled for 46 days or more (Factor 100 %)

C 12.00 — CREDIT RISK: SECURITISATIONS - STANDARDISED APPROACH TO OWN FUNDS REQUIREMENTS (CR SEC SA)

		TOTAL AMOUNT OF SECURITISATI0N EXPOSURES ORIGINATED	SYNTHETIC SECURITISATIONS: CREDIT PROTECTION TO THE SECURITISED EXPOSURES			SECURITISATION POSITIONS	(-) VALUE ADJUSTMENTS AND PROVISIONS	EXPOSURE NET OF VALUE ADJUSTMENTS AND PROVISIONS	CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE				NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS	(-) CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE AMOUNT OF THE EXPOSURE: FUNDED CREDIT PROTECTION FINANCIAL COLLATERAL COMPREHENSIVE METHOD ADJUSTED VALUE (Cvam)	FULLY ADJUSTED EXPOSURE VALUE (E*)	BREAKDOWN OF THE FULLY ADJUSTED EXPOSURE VALUE (E*) OF OFF BALANCE SHEET ITEMS ACCORDING TO CONVERSION FACTORS				EXPOSURE VALUE			BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS							BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS				RISK-WEIGHTED EXPOSURE AMOUNT		OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONS	ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO MATURITY MISMATCHES	TOTAL RISK-WEIGHTED EXPOSURE AMOUNT		MEMORANDUM ITEM: RISK WEIGHTED EXPOSURE AMOUNT CORRESPONDING TO THE OUTFLOWS FROM THE SA SECURITISATION TO OTHER EXPOSURE CLASSES
			(-) FUNDED CREDIT PROTECTION (Cva)	(-) TOTAL OUTFLOWS	NOTIONAL AMOUNT RETAINED OR REPURCHASED OF CREDIT PROTECTION	ORIGINAL EXPOSURE PRE CONVERSION FACTORS			(-) UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (Ga)	(-) FUNDED CREDIT PROTECTION	SUBSTITUTION OF THE EXPOSURE DUE TO CRM					0 %	>0 % and <=20 %	>20 % and <=50 %	>50 % and <=100 %		(-) DEDUCTED FROM OWN FUNDS	SUBJECT TO RISK WEIGHTS	RATED (CREDIT QUALITY STEPS)					1250%	LOOK-THROUGH			INTERNAL ASSESMENT APPROACH		RISK-WEIGHTED EXPOSURE AMOUNT				TOTAL RISK-WEIGHTED EXPOSURE AMOUNT
			(-) FUNDED CREDIT PROTECTION (Cva)	(-) UNFUNDED CREDIT PROTECTION ADJUSTED VALUES (G*)		ORIGINAL EXPOSURE PRE CONVERSION FACTORS			(-) UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (Ga)	(-) FUNDED CREDIT PROTECTION	(-) TOTAL OUTFLOWS	TOTAL INFLOWS				0 %	>0 % and <=20 %	>20 % and <=50 %	>50 % and <=100 %		(-) DEDUCTED FROM OWN FUNDS	SUBJECT TO RISK WEIGHTS	CQS 1	CQS 2	CQS 3	CQS 4	ALL OTHER CQS	UNRATED		OF WHICH: SECOND LOSS IN ABCP	OF WHICH: AVERAGE RISK WEIGHT (%)		AVERAGE RISK WEIGHT (%)		OF WHICH: SYNTHETIC SECURITISATIONS			BEFORE CAP	AFTER CAP
		010	020	030	040	050	060	070	080	090	100	110	120	130	140	150	160	170	180	190	200	210	220	230	240	250	260	270	280	290	300	310	320	330	340	350	360	370	380	390
010	TOTAL EXPOSURES																																						Cell linked to CA
020	OF WHICH: RE-SECURITISATIONS																																						Cell linked to CA
030	ORIGINATOR: TOTAL EXPOSURES
040	ON-BALANCE SHEET ITEMS
050	SECURITISATIONS
060	RE-SECURITISATIONS
070	OFF-BALANCE SHEET ITEMS AND DERIVATIVES
080	SECURITISATIONS
090	RE-SECURITISATIONS
100	EARLY AMORTISATION
110	INVESTOR: TOTAL EXPOSURES
120	ON-BALANCE SHEET ITEMS
130	SECURITISATIONS
140	RE-SECURITISATIONS
150	OFF-BALANCE SHEET ITEMS AND DERIVATIVES
160	SECURITISATIONS
170	RE-SECURITISATIONS
180	SPONSOR: TOTAL EXPOSURES
190	ON-BALANCE SHEET ITEMS
200	SECURITISATIONS
210	RE-SECURITISATIONS
220	OFF-BALANCE SHEET ITEMS AND DERIVATIVES
230	SECURITISATIONS
240	RE-SECURITISATIONS
	BREAKDOWN OF OUTSTANDING POSITIONS ACCORDING TO CQS AT INCEPTION:
250	CQS 1
260	CQS 2
270	CQS 3
280	CQS 4
290	ALL OTHER CQS AND UNRATED

C 13.00 — CREDIT RISK: SECURITISATIONS - IRB APPROACH TO OWN FUNDS REQUIREMENTS (CR SEC IRB)

			TOTAL AMOUNT OF SECURITISATI0N EXPOSURES ORIGINATED	SYNTHETIC SECURITIZATIONS: CREDIT PROTECTION TO THE SECURITISED EXPOSURES			SECURITISATION POSITIONS	CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE				EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS	(-) CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE AMOUNT OF THE EXPOSURE: FUNDED CREDIT PROTECTION FINANCIAL COLLATERAL COMPREHENSIVE METHOD ADJUSTED VALUE (Cvam)	FULLY ADJUSTED EXPOSURE VALUE (E*)	BREAKDOWN OF THE FULLY ADJUSTED EXPOSURE VALUE (E*) OF OFF BALANCE SHEET ITEMS ACCORDING TO CREDIT CONVERSION FACTORS				EXPOSURE VALUE			BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS																			(-) REDUCTION IN RISK WEIGHTED EXPOSURE AMOUNT DUE TO VALUE ADJUSTMENTS AND PROVISIONS	RISK-WEIGHTED EXPOSURE AMOUNT		OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONS	ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO MATURITY MISMATCHES	TOTAL RISK-WEIGHTED EXPOSURE AMOUNT		MEMORANDUM ITEM: RISK WEIGHTED EXPOSURE AMOUNT CORRESPONDING TO THE OUTFLOWS FROM THE IRB SECURITISATION TO OTHER EXPOSURE CLASSES
				(-) FUNDED CREDIT PROTECTION (Cva)	(-) TOTAL OUTFLOWS	NOTIONAL AMOUNT RETAINED OR REPURCHASED OF CREDIT PROTECTION	ORIGINAL EXPOSURE PRE CONVERSION FACTORS	(-) UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (Ga)	(-) FUNDED CREDIT PROTECTION	SUBSTITUTION OF THE EXPOSURE DUE TO CRM					0 %	>0 % and <=20 %	>20 % and <=50 %	>50 % and <=100 %		(-) DEDUCTED FROM OWN FUNDS	SUBJECT TO RISK WEIGHTS	RATINGS BASED METHOD (CREDIT QUALITY STEPS)												1250%	SUPERVISORY FORMULA METHOD		LOOK-THROUGH		INTERNAL ASSESSMENT APPROACH			RISK-WEIGHTED EXPOSURE AMOUNT				TOTAL RISK-WEIGHTED EXPOSURE AMOUNT
				(-) FUNDED CREDIT PROTECTION (Cva)	(-) UNFUNDED CREDIT PROTECTION ADJUSTED VALUES (G*)		ORIGINAL EXPOSURE PRE CONVERSION FACTORS	(-) UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (Ga)	(-) FUNDED CREDIT PROTECTION	(-) TOTAL OUTFLOWS	TOTAL INFLOWS				0 %	>0 % and <=20 %	>20 % and <=50 %	>50 % and <=100 %		(-) DEDUCTED FROM OWN FUNDS	SUBJECT TO RISK WEIGHTS	CQS 1 & S/T CQS 1	CQS 2	CQS 3	CQS 4 & S/T CQS 2	CQS 5	CQS 6	CQS 7 & S/T CQS 3	CQS 8	CQS 9	CQS 10	CQS 11	ALL OTHER CQS	UNRATED		AVERAGE RISK WEIGHT (%)		AVERAGE RISK WEIGHT (%)		AVERAGE RISK WEIGHT (%)			OF WHICH: SYNTHETIC SECURITISATIONS			BEFORE CAP	AFTER CAP
			010	020	030	040	050	060	070	080	090	100	110	120	130	140	150	160	170	180	190	200	210	220	230	240	250	260	270	280	290	300	310	320	330	340	350	360	370	380	390	400	410	420	430	440	450	460
010	TOTAL EXPOSURES																																														Cell linked to CA
020	OF WHICH: RE-SECURITISATIONS																																														Cell linked to CA
030	ORIGINATOR: TOTAL EXPOSURES
040	ON-BALANCE SHEET ITEMS
050	SECURITISATIONS	A
060		B
070		C
080	RE-SECURITISATIONS	D
090	RE-SECURITISATIONS	E
100	OFF-BALANCE SHEET ITEMS AND DERIVATIVES
110	SECURITISATIONS	A
120		B
130		C
140	RE-SECURITISATIONS	D
150	RE-SECURITISATIONS	E
160	EARLY AMORTISATION
170	INVESTOR: TOTAL EXPOSURES
180	ON-BALANCE SHEET ITEMS
190	SECURITISATIONS	A
200		B
210		C
220	RE-SECURITISATIONS	D
230	RE-SECURITISATIONS	E
240	OFF-BALANCE SHEET ITEMS AND DERIVATIVES
250	SECURITISATIONS	A
260		B
270		C
280	RE-SECURITISATIONS	D
290	RE-SECURITISATIONS	E
300	SPONSOR: TOTAL EXPOSURES
310	ON-BALANCE SHEET ITEMS
320	SECURITISATIONS	A
330		B
340		C
350	RE-SECURITISATIONS	D
360	RE-SECURITISATIONS	E
370	OFF-BALANCE SHEET ITEMS AND DERIVATIVES
380	SECURITISATIONS	A
390		B
400		C
410	RE-SECURITISATIONS	D
420	RE-SECURITISATIONS	E
	BREAKDOWN OF OUTSTANDING POSITIONS ACCORDING TO CQS AT INCEPTION:
430	CQS 1 & S/T CQS 1
440	CQS 2
450	CQS 3
460	CQS 4 & S/T CQS 2
470	CQS 5
480	CQS 6
490	CQS 7 & S/T CQS 3
500	CQS 8
510	CQS 9
520	CQS 10
530	CQS 11
540	ALL OTHER CQS AND UNRATED

C 14.00 — DETAILED INFORMATION ON SECURITISATIONS (SEC Details)

INTERNAL CODE	IDENTIFIER OF THE SECURITISATION	IDENTIFIER OF THE ORIGINATOR	SECURITISATION TYPE: (TRADITIONAL / SYNTHETIC)	ACCOUNTING TREATMENT: Securitised exposures are kept or removed from the balance sheet?	SOLVENCY TREATMENT: Securitisation positions subject to own funds requirements ?	SECURITISATION OR RE-SECURITISATION?	RETENTION			ROLE OF THE INSTITUTION: (ORIGINATOR / SPONSOR / ORIGINAL LENDER / INVESTOR)	NON ABCP PROGRAMMES		SECURITISED EXPOSURES									SECURITISATION STRUCTURE								SECURITISATION POSITIONS											(-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS	TOTAL RISK-WEIGHTED EXPOSURE AMOUNT		SECURITISATION POSITIONS - TRADING BOOK
							TYPE OF RETENTION APPLIED	% OF RETENTION AT REPORTING DATE	COMPLIANCE WITH THE RETENTION REQUIREMENT?		ORIGINATION DATE (mm/yyyy)	TOTAL AMOUNT OF SECURITISED EXPOSURES AT ORIGINATION DATE	TOTAL AMOUNT	INSTITUTION'S SHARE (%)	TYPE	APPROACH APPLIED (SA/IRB/MIX)	NUMBER OF EXPOSURES	COUNTRY	ELGD (%)	(-) VALUE ADJUSTMENTS AND PROVISIONS	OWN FUNDS REQUIREMENTS BEFORE SECURITISATION (%)	ON-BALANCE SHEET ITEMS			OFF-BALANCE SHEET ITEMS AND DERIVATIVES			MATURITY		ORIGINAL EXPOSURE PRE-CONVERSION FACTORS						MEMORANDUM ITEMS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES				EARLY AMORTISATION				CTP OR NON-CTP?	NET POSITIONS		TOTAL OWN FUNDS REQUIREMENTS (SA)
																						SENIOR	MEZZANINE	FIRST LOSS	SENIOR	MEZZANINE	FIRST LOSS	FIRST FORESEEABLE TERMINATION DATE	LEGAL FINAL MATURITY DATE	ON-BALANCE SHEET ITEMS			OFF-BALANCE SHEET ITEMS AND DERIVATIVES			DIRECT CREDIT SUBSTITUTES	IRS / CRS	ELIGIBLE LIQUIDITY FACILITIES	OTHER (including non-eligible LF)	CONVERSION FACTOR APPLIED
																														SENIOR	MEZZANINE	FIRST LOSS	SENIOR	MEZZANINE	FIRST LOSS							BEFORE CAP	AFTER CAP
																																													LONG	SHORT	SPECIFIC RISK
010	020	030	040	050	060	070	080	090	100	110	120	130	140	150	160	170	180	190	200	210	220	230	240	250	260	270	280	290	300	310	320	330	340	350	360	370	380	390	400	410	420	430	440	450	460	470	480

C 16.00 — OPERATIONAL RISK (OPR)

BANKING ACTIVITIES		RELEVANT INDICATOR			LOANS AND ADVANCES (IN CASE OF ASA APPLICATION)			OWN FUNDS REQUIREMENT	Total operational risk exposure amount	AMA MEMORANDUM ITEMS TO BE REPORTED IF APPLICABLE
		YEAR-3	YEAR-2	LAST YEAR	YEAR-3	YEAR-2	LAST YEAR	OWN FUNDS REQUIREMENT	Total operational risk exposure amount	OF WHICH: DUE TO AN ALLOCATION MECHANISM	OWN FUNDS REQUIREMENT BEFORE ALLEVIATION DUE TO EXPECTED LOSS, DIVERSIFICATION AND RISK MITIGATION TECHNIQUES	(-) ALLEVIATION OF OWN FUNDS REQUIREMENT DUE TO THE EXPECTED LOSS CAPTURED IN BUSINESS PRACTICES	(-) ALLEVIATION OF OWN FUNDS REQUIREMENT DUE TO DIVERSIFICATION	(-) ALLEVIATION OF OWN FUNDS REQUIREMENT DUE TO RISK MITIGATION TECHNIQUES (INSURANCE AND OTHER RISK TRANSFER MECHANISMS)
		010	020	030	040	050	060	070	071	080	090	100	110	120
010	1. BANKING ACTIVITIES SUBJECT TO BASIC INDICATOR APPROACH (BIA)								Cell linked to CA2
020	2. BANKING ACTIVITIES SUBJECT TO STANDARDISED (TSA) / ALTERNATIVE STANDARDISED (ASA) APPROACHES								Cell linked to CA2
	SUBJECT TO TSA:
030	CORPORATE FINANCE (CF)
040	TRADING AND SALES (TS)
050	RETAIL BROKERAGE (RBr)
060	COMMERCIAL BANKING (CB)
070	RETAIL BANKING (RB)
080	PAYMENT AND SETTLEMENT (PS)
090	AGENCY SERVICES (AS)
100	ASSET MANAGEMENT (AM)
	SUBJECT TO ASA:
110	COMMERCIAL BANKING (CB)
120	RETAIL BANKING (RB)
130	3. BANKING ACTIVITIES SUBJECT TO ADVANCED MEASUREMENT APPROACHES AMA								Cell linked to CA2

C 17.00 — OPERATIONAL RISK: GROSS LOSSES BY BUSINESS LINES AND EVENT TYPES IN THE LAST YEAR (OPR Details)

MAPPING OF LOSSES TO BUSINESS LINES			EVENT TYPES							TOTAL EVENT TYPES	MEMORANDUM ITEM: THRESHOLD APPLIED IN DATA COLLECTION
MAPPING OF LOSSES TO BUSINESS LINES			INTERNAL FRAUD	EXTERNAL FRAUD	EMPLOYMENT PRACTICES AND WORKPLACE SAFETY	CLIENTS, PRODUCTS & BUSINESS PRACTICES	DAMAGE TO PHYSICAL ASSETS	BUSINESS DISRUPTION AND SYSTEM FAILURES	EXECUTION, DELIVERY & PROCESS MANAGEMENT	TOTAL EVENT TYPES	LOWEST	HIGHEST
Rows			010	020	030	040	050	060	070	080	090	100
010	CORPORATE FINANCE [CF]	Number of events
020		Total loss amount
030		Maximum single loss
040		Sum of the five largest losses
110	TRADING AND SALES [TS]	Number of events
120		Total loss amount
130		Maximum single loss
140		Sum of the five largest losses
210	RETAIL BROKERAGE [RBr]	Number of events
220		Total loss amount
230		Maximum single loss
240		Sum of the five largest losses
310	COMMERCIAL BANKING [CB]	Number of events
320		Total loss amount
330		Maximum single loss
340		Sum of the five largest losses
410	RETAIL BANKING [RB]	Number of events
420		Total loss amount
430		Maximum single loss
440		Sum of the five largest losses
510	PAYMENT AND SETTLEMENT [PS]	Number of events
520		Total loss amount
530		Maximum single loss
540		Sum of the five largest losses
610	AGENCY SERVICES [AS]	Number of events
620		Total loss amount
630		Maximum single loss
640		Sum of the five largest losses
710	ASSET MANAGEMENT [AM]	Number of events
720		Total loss amount
730		Maximum single loss
740		Sum of the five largest losses
810	CORPORATE ITEMS [CI]	Number of events
820		Total loss amount
830		Maximum single loss
840		Sum of the five largest losses
910	TOTAL BUSINESS LINES	Number of events
920		Total loss amount
930		Maximum single loss
940		Sum of the five largest losses

C 18.00 — MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS (MKR SA TDI)

Currency:

		POSITIONS					OWN FUNDS REQUIREMENTS	TOTAL RISK EXPOSURE AMOUNT
		ALL POSITIONS		NET POSITIONS		POSITIONS SUBJECT TO CAPITAL CHARGE
		LONG	SHORT	LONG	SHORT	POSITIONS SUBJECT TO CAPITAL CHARGE
		010	020	030	040	050	060	070
010	TRADED DEBT INSTRUMENTS IN TRADING BOOK							Cell linked to CA2
011	General risk
012	Derivatives
013	Other assets and liabilities
020	Maturity-based approach
030	Zone 1
040	0 ≤ 1 month
050	> 1 ≤ 3 months
060	> 3 ≤ 6 months
070	> 6 ≤ 12 months
080	Zone 2
090	> 1 ≤ 2 (1,9 for cupon of less than 3 %) years
100	> 2 ≤ 3 (> 1,9 ≤ 2,8 for cupon of less than 3 %) years
110	> 3 ≤ 4 (> 2,8 ≤ 3,6 for cupon of less than 3 %) years
120	Zone 3
130	> 4 ≤ 5 (> 3,6 ≤ 4,3 for cupon of less than 3 %) years
140	> 5 ≤ 7 (> 4,3 ≤ 5,7 for cupon of less than 3 %) years
150	> 7 ≤ 10 (> 5,7 ≤ 7,3 for cupon of less than 3 %) years
160	> 10 ≤ 15 (> 7,3 ≤ 9,3 for cupon of less than 3 %) years
170	> 15 ≤ 20 (> 9,3 ≤ 10,6 for cupon of less than 3%) years
180	> 20 (> 10,6 ≤ 12,0 for cupon of less than 3 %) years
190	(> 12,0 ≤ 20,0 for cupon of less than 3 %) years
200	(> 20 for cupon of less than 3 %) years
210	Duration-based approach
220	Zone 1
230	Zone 2
240	Zone 3
250	Specific risk
251	Own funds requirement for non-securitisation debt instruments
260	Debt securities under the first category in Table 1
270	Debt securities under the second category in Table 1
280	With residual term ≤ 6 months
290	With a residual term > 6 months and ≤ 24 months
300	With a residual term > 24 months
310	Debt securities under the third category in Table 1
320	Debt securities under the fourth category in Table 1
321	Rated nth-to default credit derivatives
325	Own funds requirement for securitisation instruments
330	Own funds requirement for the correlation trading portfolio
340	Particular approach for position risk in CIUs
350	Additional requirements for options (non-delta risks)
360	Simplified method
370	Delta plus approach - additional requirements for gamma risk
380	Delta plus approach - additional requirements for vega risk
390	Scenario matrix approach

C 19.00 — MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS (MKR SA SEC)

ALL POSITIONS

(-) POSITIONS DEDUCTED FROM OWN FUNDS

NET POSITIONS

BREAKDOWN OF THE NET POSITIONS (LONG) ACCORDING TO SA AND IRB RISK WEIGHTS

BREAKDOWN OF THE NET POSITIONS (SHORT) ACCORDING TO SA AND IRB RISK WEIGHTS

OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONS

BEFORE CAP

AFTER CAP

TOTAL OWN FUNDS REQUIREMENTS

RISK WEIGHTS < 1 250 %

1 250 %

SUPERVISORY FORMULA METHOD

LOOK-THROUGH

INTERNAL ASSESMENT APPROACH

RISK WEIGHTS < 1 250 %

1 250 %

SUPERVISORY FORMULA METHOD

LOOK-THROUGH

INTERNAL ASSESMENT APPROACH

LONG

SHORT

(-) LONG

(-) SHORT

LONG

SHORT

7 - 10 %

12 - 18 %

20 - 35 %

40 - 75 %

100 %

150 %

200 %

225 %

250 %

300 %

350 %

425 %

500 %

650 %

750 %

850 %

RATED

UNRATED

AVERAGE RISK WEIGHT (%)

7 - 10 %

12 - 18 %

20 - 35 %

40 - 75 %

100 %

150 %

200 %

225 %

250 %

300 %

350 %

425 %

500 %

650 %

750 %

850 %

RATED

UNRATED

AVERAGE RISK WEIGHT (%)

WEIGHTED NET LONG POSITIONS

WEIGHTED NET SHORT POSITIONS

WEIGHTED NET LONG POSITIONS

WEIGHTED NET SHORT POSITIONS

SUM OF WEIGHTED NET LONG AND SHORT POSITIONS

WEIGHTED NET LONG POSITIONS

WEIGHTED NET SHORT POSITIONS

SUM OF WEIGHTED NET LONG AND SHORT POSITIONS

010

020

030

040

050

060

070

080

090

100

110

120

130

140

150

160

170

180

190

200

210

220

230

240

250

260

270

280

290

300

310

320

330

340

350

360

370

380

390

400

410

420

430

440

450

460

470

480

490

500

510

520

530

540

550

560

570

580

590

600

610

010

TOTAL EXPOSURES

Cell linked to MKR SA TDI {325:060}

020

Of which: RE-SECURITISATIONS

030

ORIGINATOR: TOTAL EXPOSURES

040

SECURITISATIONS

050

RE-SECURITISATIONS

060

INVESTOR: TOTAL EXPOSURES

070

SECURITISATIONS

080

RE-SECURITISATIONS

090

SPONSOR: TOTAL EXPOSURES

100

SECURITISATIONS

110

RE-SECURITISATIONS

BREAKDOWN OF THE TOTAL SUM OF WEIGHTED NET LONG AND NET SHORT POSITIONS BY UNDERLYING TYPES:

120

1.	Residential mortgages

130

2.	Commercial mortgages

140

3.	Credit card receivables

150

Leasing

160

5.	Loans to corporates or SMEs

170

6.	Consumer loans

180

7.	Trade receivables

190

8.	Other assets

200

9.	Covered Bondes

210

10.	Other liabilities

C 20.00 — MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN THE CORRELATION TRADING PORTFOLIO (MKR SA CTP)

		ALL POSITIONS		(-) POSITIONS DEDUCTED FROM OWN FUNDS		NET POSITIONS		BREAKDOWN OF THE NET POSITION (LONG) ACCORDING TO SA AND IRB RISK WEIGHTS																	BREAKDOWN OF THE NET POSITION (SHORT) ACCORDING TO SA AND IRB RISK WEIGHTS																	BEFORE CAP		AFTER CAP		TOTAL OWN FUNDS REQUIREMENTS
		ALL POSITIONS		(-) POSITIONS DEDUCTED FROM OWN FUNDS		NET POSITIONS		RISK WEIGHTS < 1 250 %										1 250 %		SUPERVISORY FORMULA METHOD		LOOK-THROUGH	INTERNAL ASSESMENT APPROACH		RISK WEIGHTS < 1 250 %										1 250 %		SUPERVISORY FORMULA METHOD		LOOK-THROUGH	INTERNAL ASSESMENT APPROACH		BEFORE CAP		AFTER CAP
		LONG	SHORT	(-) LONG	(-) SHORT	LONG	SHORT	7 - 10 %	12 - 18 %	20 - 35 %	40- 75 %	100 %	250 %	350 %	425 %	650 %	Other	RATED	UNRATED		AVERAGE RISK WEIGHT (%)	LOOK-THROUGH		AVERAGE RISK WEIGHT (%)	7 - 10 %	12 - 18 %	20 - 35 %	40 - 75 %	100 %	250 %	350 %	425 %	650 %	Other	RATED	UNRATED		AVERAGE RISK WEIGHT (%)	LOOK-THROUGH		AVERAGE RISK WEIGHT (%)	WEIGHTED NET LONG POSITIONS	WEIGHTED NET SHORT POSITIONS	WEIGHTED NET LONG POSITIONS	WEIGHTED NET SHORT POSITIONS
		010	020	030	040	050	060	070	080	090	100	110	120	130	140	150	160	170	180	190	200	210	220	230	240	250	260	270	280	290	300	310	320	330	340	350	360	370	380	390	400	410	420	430	440	450
010	TOTAL EXPOSURES																																													Cell linked to MKR SA TDI {330:060}
	SECURITISATION POSITIONS:
020	ORIGINATOR: TOTAL EXPOSURES
030	SECURITISATIONS
040	OTHER CTP POSITIONS
050	INVESTOR: TOTAL EXPOSURES
060	SECURITISATIONS
070	OTHER CTP POSITIONS
080	SPONSOR: TOTAL EXPOSURES
090	SECURITISATIONS
100	OTHER CTP POSITIONS
	N-TH-TO-DEFAULT CREDIT DERIVATES:
110	N-TH-TO-DEFAULT CREDIT DERIVATIVES
120	OTHER CTP POSITIONS

C 21.00 — MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES (MKR SA EQU)

National market:

		POSITIONS					OWN FUNDS REQUIREMENTS	TOTAL RISK EXPOSURE AMOUNT
		ALL POSITIONS		NET POSITIONS		POSITIONS SUBJECT TO CAPITAL CHARGE
		LONG	SHORT	NET POSITIONS
		LONG	SHORT	LONG	SHORT
		010	020	030	040	050	060	070
010	EQUITIES IN TRADING BOOK							Cell linked to CA
020	General risk
021	Derivatives
022	Other assets and liabilities
030	Exchange traded stock-index futures broadly diversified subject to particular approach
040	Other equities than exchange traded stock-index futures broadly diversified
050	Specific risk
080	Particular approach for position risk in CIUs
090	Additional requirements for options (non-delta risks)
100	Simplified method
110	Delta plus approach - additional requirements for gamma risk
120	Delta plus approach - additional requirements for vega risk
130	Scenario matrix approach

C 22.00 — MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK (MKR SA FX)

		ALL POSITIONS		NET POSITIONS		POSITIONS SUBJECT TO CAPITAL CHARGE (Including redistribution of unmatched positions in currencies subject to special treatment for matched positions)			OWN FUNDS REQUIREMENTS	TOTAL RISK EXPOSURE AMOUNT
		LONG	SHORT	LONG	SHORT	LONG	SHORT	MATCHED	OWN FUNDS REQUIREMENTS	TOTAL RISK EXPOSURE AMOUNT
		020	030	040	050	060	070	080	090	100
010	TOTAL POSITIONS IN NON-REPORTING CURRENCIES									Cell linked to CA
020	Currencies closely correlated
030	All other currencies (including CIUs treated as different currencies)
040	Gold
050	Additional requirements for options (non-delta risks)
060	Simplified method
070	Delta plus approach - additional requirements for gamma risk
080	Delta plus approach - additional requirements for vega risk
090	Scenario matrix approach
BREAKDOWN OF TOTAL POSITIONS (REPORTING CURRENCY INCLUDED) BY EXPOSURE TYPES
100	Other assets and liabilities other than off-balance sheet items and derivatives
110	Off-balance sheet items
120	Derivatives
Memorandum items: CURRENCY POSITIONS
130	Euro
140	Lek
150	Argentine Peso
160	Australian Dollar
170	Brazilian Real
180	Bulgarian Lev
190	Canadian Dollar
200	Czech Koruna
210	Danish Krone
220	Egyptian Pound
230	Pound Sterling
240	Forint
250	Yen
260	Latvian Lats
270	Lithuanian Litas
280	Denar
290	Mexican Peso
300	Zloty
310	Rumanian Leu
320	Russian Ruble
330	Serbian Dinar
340	Swedish Krona
350	Swiss Franc
360	Turkish Lira
370	Hryvnia
380	US Dollar
390	Iceland Krona
400	Norwegian Krone
410	Hong Kong Dollar
420	New Taiwan Dollar
430	New Zealand Dollar
440	Singapore Dollar
450	Won
460	Yuan Renminbi
470	Other

C 23.00 — MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES (MKR SA COM)

		ALL POSITIONS		NET POSITIONS		POSITIONS SUBJECT TO CAPITAL CHARGE	OWN FUNDS REQUIREMENTS	TOTAL RISK EXPOSURE AMOUNT
		LONG	SHORT	NET POSITIONS
		LONG	SHORT	LONG	SHORT
		010	020	030	040	050	060	070
010	TOTAL POSITIONS IN COMMODITIES							Cell linked to CA
020	Precious metals (except gold)
030	Base metals
040	Agricultural products (softs)
050	Others
060	Of which energy products (oil, gas)
070	Maturity ladder approach
080	Extended maturity ladder approach
090	Simplified approach: All positions
100	Additional requirements for options (non-delta risks)
110	Simplified method
120	Delta plus approach - additional requirements for gamma risk
130	Delta plus approach - additional requirements for vega risk
140	Scenario matrix approach

C 24.00 — MARKET RISK INTERNAL MODELS (MKR IM)

		VaR		STRESSED VaR		INCREMENTAL DEFAULT AND MIGRATION RISK CAPITAL CHARGE		ALL PRICE RISKS CAPITAL CHARGE FOR CTP			OWN FUNDS REQUIREMENTS	TOTAL RISK EXPOSURE AMOUNT	Number of overshootings during previous 250 working days	VaR Multiplication Factor (mc)	SVaR Multiplication Factor (ms)	ASSUMED CHARGE FOR CTP FLOOR - WEIGHTED NET LONG POSITIONS AFTER CAP	ASSUMED CHARGE FOR CTP FLOOR - WEIGHTED NET SHORT POSITIONS AFTER CAP
		MULTIPLICATION FACTOR (mc) x AVERAGE OF PREVIOUS 60 WORKING DAYS (VaRavg)	PREVIOUS DAY (VaRt-1)	MULTIPLICATION FACTOR (ms) x AVERAGE OF PREVIOUS 60 WORKING DAYS (SVaRavg)	LATEST AVAILABLE (SVaRt-1)	12 WEEKS AVERAGE MEASURE	LAST MEASURE	FLOOR	12 WEEKS AVERAGE MEASURE	LAST MEASURE	OWN FUNDS REQUIREMENTS	TOTAL RISK EXPOSURE AMOUNT	Number of overshootings during previous 250 working days	VaR Multiplication Factor (mc)	SVaR Multiplication Factor (ms)
		030	040	050	060	070	080	090	100	110	120	130	140	150	160	170	180
010	TOTAL POSITIONS											Cell linked to CA
	Memorandum items: BREAKDOWN OF MARKET RISK
020	Traded debt instruments
030	TDI - General risk
040	TDI - Specific Risk
050	Equities
060	Equities - General risk
070	Equities - Specific Risk
080	Foreign Exchange risk
090	Commodities risk
100	Total amount for general risk
110	Total amount for specific risk

C 25.00 — CREDIT VALUE ADJUSTMENT RISK (CVA)

EXPOSURE VALUE

VaR

STRESSED VaR

OWN FUNDS REQUIREMENTS

TOTAL RISK EXPOSURE AMOUNT

MEMORANDUM ITEMS

CVA RISK HEDGE NOTIONALS

of which: OTC Derivatives

of which: SFT

MULTIPLICATION FACTOR (mc) x AVERAGE OF PREVIOUS 60 WORKING DAYS (VaRavg)

PREVIOUS DAY (VaRt-1)

MULTIPLICATION FACTOR (ms) x AVERAGE OF PREVIOUS 60 WORKING DAYS (SVaRavg)

LATEST AVAILABLE (SVaRt-1)

Number of counterparties

of which: proxy was used to determine credit spread

INCURRED CVA

SINGLE NAME CDS

INDEX CDS

010

020

030

040

050

060

070

080

090

100

110

120

130

140

010

CVA risk total

Link to {CA2;r640;c010}

020

According to Advanced method

Link to {CA2;r650;c010}

030

According to Standardised method

Link to {CA2;r660;c010}

040

Based on OEM

Link to {CA2;r670;c010}

ANNEX II

REPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS

Table of Contents

PART I: GENERAL INSTRUCTIONS

103

STRUCTURE AND CONVENTIONS

103

1.1.

STRUCTURE

103

1.2.

NUMBERING CONVENTION

103

1.3.

SIGN CONVENTION

103

PART II: TEMPLATE RELATED INSTRUCTIONS

103

SOLVENCY OVERVIEW (CA)

103

1.1.

GENERAL REMARKS

103

1.2.

C 01.00 — OWN FUNDS (CA1)

104

1.2.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

104

1.3.

C 02.00 — OWN FUNDS REQUIREMENTS (CA2)

114

1.3.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

114

1.4.

C 03.00 — CAPITAL RATIOS AND CAPITAL LEVELS (CA3)

119

1.4.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

119

1.5.

C 04.00 — MEMORANDUM ITEMS (CA4)

120

1.5.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

120

1.6.

TRANSITIONAL PROVISIONS AND GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUING STATE AID (CA 5)

131

1.6.1.

GENERAL REMARKS

131

1.6.2.

C 05.01 — TRANSITIONAL PROVISIONS (CA5.1)

132

1.6.2.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

132

1.6.3.

C 05.02 — GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUING STATE AID (CA5.2)

138

1.6.3.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

139

C 06.00 — GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS)

140

2.1.

GENERAL REMARKS

140

2.2.

DETAILED GROUP SOLVENCY INFORMATION;

140

2.3.

INFORMATION ON THE CONTRIBUTIONS OF INDIVIDUAL ENTITIES TO GROUP SOLVENCY

141

2.4.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

141

CREDIT RISK TEMPLATES

148

3.1.

GENERAL REMARKS

148

3.1.1.

REPORTING OF CRM TECHNIQUES WITH SUBSTITUTION EFFECT

148

3.1.2.

REPORTING OF COUNTERPARTY CREDIT RISK

148

3.2.

C 07.00 — CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: STANDARDISED APPROACH TO OWN FUNDS REQUIREMENTS (CR SA)

148

3.2.1.

GENERAL REMARKS

148

3.2.2.

SCOPE OF THE CR SA TEMPLATE

149

3.2.3.

ASSIGNMENT OF EXPOSURES TO EXPOSURE CLASSES UNDER THE STANDARDISED APPROACH

150

3.2.4.

CLARIFICATIONS ON THE SCOPE OF SOME SPECIFIC EXPOSURE CLASSES REFERRED TO IN ARTICLE 112 OF CRR

153

3.2.4.1.

EXPOSURE CLASS ‘INSTITUTIONS’

153

3.2.4.2.

EXPOSURE CLASS ‘COVERED BONDS’

153

3.2.4.3.

EXPOSURE CLASS ‘COLLECTIVE INVESTMENT UNDERTAKINGS’

153

3.2.5.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

153

3.3.

CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO OWN FUNDS REQUIREMENTS (CR IRB)

159

3.3.1.

SCOPE OF THE CR IRB TEMPLATE

159

3.3.2.

BREAKDOWN OF THE CR IRB TEMPLATE

160

3.3.3.

C 08.01 — CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO OWN FUNDS REQUIREMENTS (CR IRB 1)

161

3.3.3.1

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

161

3.3.4.

C 08.02 — CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS (BREAKDOWN BY OBLIGOR GRADES OR POOLS (CR IRB 2 TEMPLATE)

167

3.4.

CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: INFORMATION WITH GEOGRAPHICAL BREAKDOWN (CR GB)

167

3.4.1.

C 09.01 — GEOGRAPHICAL BREAKDOWN OF EXPOSURES BY RESIDENCE OF THE OBLIGOR: SA EXPOSURES (CR GB 1)

168

3.4.1.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

168

3.4.2.

C 09.02 — GEOGRAPHICAL BREAKDOWN OF EXPOSURES BY RESIDENCE OF THE OBLIGOR: IRB EXPOSURES (CR GB 2)

170

3.4.2.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

170

3.4.3.

C 09.03 — BREAKDOWN OF TOTAL OWN FUNDS REQUIREMENTS FOR CREDIT RISK OF RELEVANT CREDIT EXPOSURES BY COUNTRY (CR GB 3)

172

3.4.3.1.

GENERAL REMARKS

172

3.4.3.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

172

3.5.

C 10.01 AND C 10.02 — EQUITY EXPOSURES UNDER THE INTERNAL RATINGS BASED APPROACH (CR EQU IRB 1 AND CR EQU IRB 2)

172

3.5.1.

GENERAL REMARKS

172

3.5.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS (APPLICABLE TO BOTH CR EQU IRB 1 AND CR EQU IRB 2)

173

3.6.

C 11.00 — SETTLEMENT/DELIVERY RISK (CR SETT)

175

3.6.1.

GENERAL REMARKS

175

3.6.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

176

3.7.

C 12.00 — CREDIT RISK: SECURITISATION — STANDARDISED APPROACH TO OWN FUNDS REQUIREMENTS (CR SEC SA)

177

3.7.1.

GENERAL REMARKS

177

3.7.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

178

3.8.

C 13.00 — CREDIT RISK — SECURITISATIONS: INTERNAL RATINGS BASED APPROACH TO OWN FUNDS REQUIREMENTS (CR SEC IRB)

183

3.8.1.

GENERAL REMARKS

183

3.8.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

184

3.9.

C 14.00 — DETAILED INFORMATION ON SECURITISATIONS (SEC DETAILS)

189

3.9.1.

GENERAL REMARKS

189

3.9.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

190

OPERATIONAL RISK TEMPLATES

197

4.1.

C 16.00 — OPERATIONAL RISK (OPR)

197

4.1.1.

GENERAL REMARKS

197

4.1.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

198

4.2.

C 17.00 — OPERATIONAL RISK: GROSS LOSSES BY BUSINESS LINES AND EVENT TYPES IN THE LAST YEAR (OPR DETAILS)

200

4.2.1.

GENERAL REMARKS

200

4.2.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

200

MARKET RISK TEMPLATES

202

5.1.

C 18.00 — MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS (MKR SA TDI)

202

5.1.1.

GENERAL REMARKS

202

5.1.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

202

5.2.

C 19.00 — MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS (MKR SA SEC)

204

5.2.1.

GENERAL REMARKS

204

5.2.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

204

5.3.

C 20.00 — MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK FOR POSITIONS ASSIGNED TO THE CORRELATION TRADING PORTFOLIO (MKR SA CTP)

207

5.3.1.

GENERAL REMARKS

207

5.3.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

207

5.4.

C 21.00 — MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES (MKR SA EQU)

209

5.4.1.

GENERAL REMARKS

209

5.4.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

209

5.5.

C 22.00 — MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK (MKR SA FX)

211

5.5.1.

GENERAL REMARKS

211

5.5.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

211

5.6.

C 23.00 — MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES (MKR SA COM)

213

5.6.1.

GENERAL REMARKS

213

5.6.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

213

5.7.

C 24.00 — MARKET RISK INTERNAL MODEL (MKR IM)

214

5.7.1.

GENERAL REMARKS

214

5.7.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

214

5.8.

C 25.00 — CREDIT VALUATION ADJUSTMENT RISK (CVA)

216

5.8.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

216

PART I: GENERAL INSTRUCTIONS

1. STRUCTURE AND CONVENTIONS

1.1. STRUCTURE

Overall, the framework consists of five blocks of templates:

a)	Capital adequacy, an overview of regulatory capital; total risk exposure amount;

b)	Group solvency, an overview of the fulfilment of the solvency requirements by all individual entities included in the scope of consolidation of the reporting entity

c)	Credit risk (including counterparty, dilution and settlement risks);

d)	Market risk (including position risk in trading book, foreign exchange risk, commodities risk and CVA risk);

e)	Operational risk.

For each template legal references are provided. Further detailed information regarding more general aspects of the reporting of each block of templates, instructions concerning specific positions as well as examples and validation rules are included in these Guidelines for implementation of the Common Reporting framework.

Institutions report only those templates that are relevant depending on the approach used for determining own funds requirements.

1.2. NUMBERING CONVENTION

The document follows the labelling convention set in the following table, when referring to the columns, rows and cells of the templates. These numerical codes are extensively used in the validation rules.

The following general notation is followed in the instructions: {Template;Row;Column}.

In the case of validations inside a template, in which only data points of that template is used, notations do not refer to a template: {Row;Column}.

In the case of templates with only one column, only rows are referred to. {Template;Row}

An asterisk sign is used to express that the validation is done for the rows or columns specified before.

1.3. SIGN CONVENTION

Any amount that increases the own funds or the capital requirements shall be reported as a positive figure. On the contrary, any amount that reduces the total own funds or the capital requirements shall be reported as a negative figure. Where there is a negative sign (-) preceding the label of an item no positive figure is expected to be reported for that item.

PART II: TEMPLATE RELATED INSTRUCTIONS

1. CAPITAL ADEQUACY OVERVIEW (CA)

1.1. GENERAL REMARKS

10.

CA templates contain information about Pillar 1 numerators (own funds, Tier 1, Common Equity Tier 1), denominator (own funds requirements), and transitional provisions and is structures in five templates:

a)	CA1 template contains the amount of own funds of the institutions, disaggregated in the items needed to get to that amount. The amount of own funds obtained includes the aggregate effect of transitional provisions per type of capital

b)	CA2 template summarizes the total risk exposures amounts (as defined in Article 92(3) of CRR)

c)	CA3 template contains the ratios for which CRR state a minimum level, and some other related data

d)	CA4 template contains memorandums items needed for calculating items in CA1 as well as information with regard to the CRD capital buffers.

e)	CA5 template contains the data needed for calculating the effect of transitional provisions in own funds. CA5 will seize to exist once the transitional provisions will expire.

11.

The templates shall apply to all reporting entities, irrespective of the accounting standards followed, although some items in the numerator are specific for entities applying IAS/IFRS-type valuation rules. Generally, the information in the denominator is linked to the final results reported in the correspondent templates for the calculation of the total risk exposure amount.

12.

The total own funds consist of different types of capital: Tier 1 capital (T1), which is the sum of Common Equity Tier 1 capital (CET1), Additional Tier 1 capital (AT1) as well as Tier 2 capital (T2).

13.

Transitional provisions are treated as follows in CA templates:

The items in CA1 are generally gross of transitional adjustments. This means that figures in CA1 items are calculated according to the final provisions (i.e. as if there were no transitional provisions), with the exception of items summarizing the effect of the transitional provisions. For each type of capital (i.e. CET1; AT1 and T2) there are three different items in which all the adjustments due to transitional provisions are included.

b)	Transitional provisions may also affect the AT1 and the T2 shortfall (i.e. AT1 or T2 the excess of deduction, regulated in articles 36(1) point (j) and 56 point (e) of CRR respectively), and thus the items containing these shortfalls may indirectly reflect the effect of transitional provisions.

c)	Template CA5 is exclusively used for reporting the transitional provisions.

14.

The treatment of Pillar II requirements can be different within the EU (Article 104 (2) CRD IV has to be transposed into national regulation). Only the impact of Pillar II requirements on the solvency ratio or the target ratio shall be included in the solvency reporting of CRR. A detailed reporting of Pillar II requirements is not within the mandate of Article 99 CRR.

a)	The templates CA1, CA2 or CA5 only contain data on Pillar I issues.

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.

The template CA4 contains one cell regarding additional own funds requirements relating to Pillar II. This cell has no link via validation rules to the capital ratios of the CA3 template and reflects Article 104 (2) CRD which explicitly mentions additional own funds requirements as one possibility for Pillar II decisions.

1.2. C 01.00 — OWN FUNDS (CA1)

1.2.1. Instructions concerning specific positions

Row	Legal references and instructions
010	1. Own funds Articles 4(1)(118) and 72 of CRR The own funds of an institution shall consist of the sum of its Tier 1 capital and Tier 2 capital.
015	1.1 Tier 1 capital Article 25 of CRR The Tier 1 capital is the sum of Common Equity Tier 1 Capital and Additional Tier 1 capital
020	1.1.1 Common Equity Tier 1 capital Article 50 of CRR
030	1.1.1.1 Capital instruments eligible as CET1 capital Articles 26(1) points (a) and (b), 27 to 30, 36(1) point (f) and 42 of CRR
040	1.1.1.1.1 Paid up capital instruments Articles 26(1) point (a) and 27 to 30 of CRR Includes capital instruments of mutual, cooperative societies or similar institutions (Articles 27 and 29 of CRR). The amount to be reported shall not include the share premium related to the instruments
050	1.1.1.1.2* Memorandum item: Capital instruments not eligible Article 28(1) points (b), (l) and (m) of CRR Conditions in those points reflect different situations of the capital which are reversible, and thus the amount reported here can be eligible in subsequent periods. The amount to be reported shall not include the share premium related to the instruments
060	1.1.1.1.3 Share premium Articles 4(1)(124), 26(1) point (b) of CRR Share premium has the same meaning as under the applicable accounting standard. The amount to be reported in this item shall be the part related to the ‘Paid up capital instruments’.
070	1.1.1.1.4 (-) Own CET1 instruments Articles 36(1) point (f) and 42 of CRR Own CET1 held by the reporting institution or group at the reporting date. Subject to exceptions in Article 42 of CRR. Holdings on shares included as ‘Capital instruments not eligible’ shall not be reported in this row. The amount to be reported shall include the share premium related to the own shares. Items 1.1.1.1.4 to 1.1.1.1.4.3 do not include actual or contingent obligations to purchase own CET1 instruments. Actual or contingent obligations to purchase own CET1 instruments are reported separately in item 1.1.1.1.5.
080	1.1.1.1.4.1 (-) Direct holdings of CET1 instruments Articles 36(1) point (f) and 42 of CRR Common Equity Tier 1 instruments included in item 1.1.1.1 held by institutions of the consolidated group. The amount to be reported shall include holdings in the trading book calculated on the basis of the net long position, as stated in Article 42 point (a) of CRR.
090	1.1.1.1.4.2 (-) Indirect holdings of CET1 instruments Articles 4(1)(114), 36(1) point (f) and 42 of CRR
091	1.1.1.1.4.3 (-) Synthetic holdings of CET1 instruments Articles 4(1)(126), 36(1) point (f) and 42 of CRR
092	1.1.1.1.5 (-) Actual or contingent obligations to purchase own CET1 instruments Articles 36(1) point (f) and 42 of CRR According to Article 36(1) point (f) of CRR, ‘own Common Equity Tier 1 instruments that an institution is under an actual or contingent obligation to purchase by virtue of an existing contractual obligation’ shall be deducted.
130	1.1.1.2 Retained earnings Articles 26(1) point (c) and 26(2) of CRR Retained earnings includes the previous year retained earnings plus the eligible interim or year-end profits
140	1.1.1.2.1 Previous years retained earnings Articles 4(1)(123) and 26(1) c) of CRR Article 4(1)(123) of CRR defines retained earnings as ‘Profit and losses brought forward as a result of the final application of profit or loss under the applicable accounting standards’.
150	1.1.1.2.2 Profit or loss eligible Articles 4(1)(121), 26(2) and 36(1) point (a) of CRR Article 26(2) of CRR allows including as retained earnings interim or year-end profits, with the prior consent of the competent authorities, if some conditions are met. On the other hand, losses shall be deducted from CET1, as stated in article 36(1) point a) of CRR.
160	1.1.1.2.2.1 Profit or loss attributable to owners of the parent Articles 26(2) and 36(1) point (a) of CRR The amount to be reported shall be the profit or loss reported in the accounting income statement.
170	1.1.1.2.2.2 (-) Part of interim or year-end profit not eligible Article 26(2) of CRR This row shall not present any figure if, for the reference period, the institution has reported losses. This is because the losses shall be completely deducted from CET1. If the institution reports profits, it shall be reported the part which is not eligible according to article 26(2) of CRR (i.e. profits not audited and foreseeable charges or dividends) Note that, in case of profits, the amount to be deduced shall be, at least, the interim dividends.
180	1.1.1.3 Accumulated other comprehensive income Articles 4(1)(100) and 26(1) point (d) of CRR The amount to be reported shall be net of any tax charge foreseeable at the moment of the calculation, and prior to the application of prudential filters
200	1.1.1.4 Other reserves Articles 4(1)(117) and 26(1) point (e) of CRR Other reserves are defined in CRR as ‘Reserves within the meaning of the applicable accounting standard that are required to be disclosed under that applicable accounting standard, excluding any amounts already included in accumulated other comprehensive income or retained earnings’. The amount to be reported shall be net of any tax charge foreseeable at the moment of the calculation.
210	1.1.1.5 Funds for general banking risk Articles 4(1)(112) and 26(1) point (f) of CRR Funds for general banking risk are defined in article 38 of Directive 86/635/EEC as ‘Amounts which a credit institution decides to put aside to cover such risks where that is required by the particular risks associated with banking’ The amount to be reported shall be net of any tax charge foreseeable at the moment of the calculation.
220	1.1.1.6 Transitional adjustments due to grandfathered CET1 Capital instruments Articles 483(1) to (3), and 484 to 487 of CRR Amount of capital instruments transitionally grandfathered as CET1. The amount to be reported is directly obtained from CA5.
230	1.1.1.7 Minority interest given recognition in CET1 capital Article 4 (120) and 84 of CRR Sum of all the amounts of minority interests of subsidiaries that is included in consolidated CET1.
240	1.1.1.8 Transitional adjustments due to additional minority interests Articles 479 and 480 of CRR Adjustments to the minority interests due to transitional provisions. This item is obtained directly from CA5.
250	1.1.1.9 Adjustments to CET1 due to prudential filters Articles 32 to 35 of CRR
260	1.1.1.9.1 (-) Increases in equity resulting from securitised assets Article 32(1) of CRR The amount to be reported is the increase in the equity of the institution resulting from securitised assets, according to the applicable accounting standard. For example, this item includes the future margin income that results in a gain on sale for the institution, or, for originators, the net gains that arise from the capitalisation of future income from the securitised assets that provide credit enhancement to positions in the securitisation.
270	1.1.1.9.2 Cash flow hedge reserve Article 33(1) point (a) of CRR The amount to be reported could either be positive or negative. It shall be positive if cash flow hedges result in a loss (i.e. if it reduces accounting equity) and vice versa. Thus, the sign shall be contrary to the one used in accounting statements. The amount shall be net of any tax charge foreseeable at the moment of the calculation.
280	1.1.1.9.3 Cumulative gains and losses due to changes in own credit risk on fair valued liabilities Article 33(1) point (b) of CRR The amount to be reported could either be positive or negative. It shall be positive if there is a loss due to changes in own credit risk (i.e. if it reduces accounting equity) and vice versa. Thus, the sign shall be contrary to the one used in accounting statements. Unaudited profit shall not be included in this item.
285	1.1.1.9.4 Fair value gains and losses arising from the institution's own credit risk related to derivative liabilities Article 33(1) point (c) and 33(2) of CRR The amount to be reported could either be positive or negative. It shall be positive if there is a loss due to changes in own credit risk and vice versa. Thus, the sign shall be contrary to the one used in accounting statements. Unaudited profit shall not be included in this item.
290	1.1.1.9.5 (-) Value adjustments due to the requirements for prudent valuation Articles 34 and 105 of CRR Adjustments to the fair value of exposures included in the trading book or non-trading book due to stricter standards for prudent valuation set in Article 105 of CRR
300	1.1.1.10 (-) Goodwill Articles 4(1)(113), 36(1) point (b) and 37 of CRR
310	1.1.1.10.1 (-) Goodwill accounted for as intangible asset Articles 4(1)(113) and 36(1) point (b) of CRR Goodwill has the same meaning as under the applicable accounting standard. The amount to be reported here shall be the same that is reported in the balance sheet.
320	1.1.1.10.2 (-) Goodwill included in the valuation of significant investments Article 37 point (b) and 43 of CRR
330	1.1.1.10.3 Deferred tax liabilities associated to goodwill Article 37 point (a) of CRR Amount of deferred tax liabilities that would be extinguished if the goodwill became impaired or was derecognised under the relevant accounting standard
340	1.1.1.11 (-) Other intangible assets Articles 4(1)(115), 36(1) point (b) and 37 point (a) of CRR Other intangible assets are the intangibles assets under the applicable accounting standard, minus the goodwill, also according to the applicable accounting standard.
350	1.1.1.11.1 (-) Other intangible assets gross amount Articles 4(1)(115) and 36(1) point (b) of CRR Other intangible assets are the intangibles assets under the applicable accounting standard, minus the goodwill, also according to the applicable accounting standard. The amount to be reported here shall correspond to the amount reported in the balance sheet of intangible assets others than goodwill.
360	1.1.1.11.2 Deferred tax liabilities associated to other intangible assets Article 37 point (a) of CRR Amount of deferred tax liabilities that would be extinguished if the intangibles assets other than goodwill became impaired or was derecognised under the relevant accounting standard
370	1.1.1.12 (-) Deferred tax assets that rely on future profitability and do not arise from temporary differences net of associated tax liabilities Articles 36(1) point (c) and 38 of CRR
380	1.1.1.13 (-) IRB shortfall of credit risk adjustments to expected losses Articles 36(1) point (d), 40, 158 and 159 of CRR The amount to be reported shall not be reduced by a rise in the level of deferred tax assets that rely on future profitability, or other additional tax effect, that could occur if provisions were to rise to the level of expected losses (Article 40 of CRR)
390	1.1.1.14 (-) Defined benefit pension fund assets Articles 4(1)(109), 36(1) point (e) and 41 of CRR
400	1.1.1.14.1 (-) Defined benefit pension fund assets gross amount Articles 4(1)(109), 36(1) point (e) of CRR Defined benefit pension fund assets are defined as ‘the assets of a defined pension fund or plan, as applicable, calculated after they have been reduced by the amount of obligations under the same fund or plan’ The amount to be reported here shall correspond to the amount reported in the balance sheet (if reported separately).
410	1.1.1.14.2 Deferred tax liabilities associated to defined benefit pension fund assets Articles 4(1)(108) and (109), and 41(1) point (a) of CRR Amount of deferred tax liabilities that would be extinguished if the defined benefit pension fund assets became impaired or were derecognised under the relevant accounting standard.
420	1.1.1.14.3 Defined benefit pension fund assets which the institution has an unrestricted ability to use Articles 4(1)(109) and 41(1) point (b) of CRR This item shall only present any amount if there is a prior consent of the competent authority to reduce the amount of defined benefit pension fund assets to be deducted. The assets included in this row shall receive a risk weight for credit risk requirements.
430	1.1.1.15 (-) Reciprocal cross holdings in CET1 Capital Articles 4(1)(122), 36(1) point (g) and 44 of CRR Holdings in CET1 instruments of financial sector entities (as defined in Article 4(27) of CRR) where there is a reciprocal cross holding that the competent authority considers to have been designed to inflate artificially the own funds of the institution The amount to be reported shall be calculated on the basis of the gross long positions, and shall include Tier 1 own-fund insurance items.
440	1.1.1.16 (-) Excess of deduction from AT1 items over AT1 Capital Article 36(1) point (j) of CRR The amount to be reported is directly taken from CA 1 item ‘Excess of deduction from AT1 items over AT1 Capital’. The amount has to be deducted from CET1.
450	1.1.1.17 (-) Qualifying holdings outside the financial sector which can alternatively be subject to a 1.250 % risk weight Articles 4(1)(36), 36(1) point (k) (i) and 89 to 91 of CRR Qualifying holdings are defined as ‘direct or indirect holding in an undertaking which represents 10 % or more of the capital or of the voting rights or which makes it possible to exercise a significant influence over the management of that undertaking’. According to Article 36(1) point (k) (i) of CRR they can, alternatively, be deducted from CET1 (using this item), or subject to a risk weight of 1250 %.
460	1.1.1.18 (-) Securitisation positions which can alternatively be subject to a 1250 % risk weight Articles 36(1) point (k) (ii), 243(1) point (b), 244(1) point (b) and 258 of CRR Securitisation positions which are subject to a 1250 % risk weight, but alternatively, are allowed to be deducted from CET1 (Article 36(1) point (k) (ii) of CRR). In the latter case, they shall be reported in this item.
470	1.1.1.19 (-) Free deliveries which can alternatively be subject to a 1.250 % risk weight Articles 36(1) point k) (iii) and 379(3) of CRR Free deliveries are subject to a 1250 % risk weight after 5 days post second contractual payment or delivery leg until the extinction of the transaction, according to the own funds requirements for settlement risk. Alternatively, they are allowed to be deducted from CET1 (Article 36(1) point (k) (iii) of CRR). In the latter case, they shall be reported in this item.
471	1.1.1.20 (-) Positions in a basket for which an institution cannot determine the risk weight under the IRB approach, and can alternatively be subject to a 1.250 % risk weight Articles 36(1) point k) (iv) and 153(8) of CRR According to Article 36(1) point (k) (iv) of CRR they can, alternatively, be deducted from CET1 (using this item), or subject to a risk weight of 1250 %.
472	1.1.1.21 (-) Equity exposures under an internal models approach which can alternatively be subject to a 1.250 % risk weight Articles 36(1) point k) (v) and 155(4) of CRR According to Article 36(1) point (k) (v) of CRR they can, alternatively, be deducted from CET1 (using this item), or subject to a risk weight of 1250 %.
480	1.1.1.22 (-) CET1 instruments of financial sector entities where the institution does not have a significant investment Articles 4(1)(27), 36(1) point (h); 43 to 46, 49 (2) and (3) and 79 of CRR Part of holdings by the institution of instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where the institution does not have a significant investment that has to be deducted from CET1 See alternatives to deduction when consolidation is applied (article 49 (2) and (3))
490	1.1.1.23 (-) Deductible deferred tax assets that rely on future profitability and arise from temporary differences Articles 36(1) point (c); 38 and 48(1) point (a) of CRR Part of deferred tax assets that rely in future profitability and arise from temporary differences (net of the part of associated deferred tax liabilities allocated to deferred tax assets that arise from temporary differences, according to article 38(5) point (b) of CRR) which has to be deducted, applying the 10 % threshold in article 48(1) point (a) of CRR.
500	1.1.1.24 (-) CET1 instruments of financial sector entities where the institution has a significant investment Articles 4(1)(27); 36(1) point (i); 43, 45; 47; 48(1) point (b); 49(1) to (3) and 79 of CRR Part of holdings by the institution of CET1 instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where the institution has a significant investment that has to be deducted, applying the 10 % threshold in Article 48(1) point (b) of CRR. See alternatives to deduction when consolidation is applied (article 49(1), (2) and (3)).
510	1.1.1.25 (-) Amount exceeding the 17.65 % threshold Article 48(1) of CRR Part of deferred tax assets that rely in future profitability and arise from temporary differences, and direct and indirect holdings by the institution of the CET1 instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where the institution has a significant investment that has to be deducted, applying the 17.65 % threshold in Article 48(1) of CRR.
520	1.1.1.26 Other transitional adjustments to CET1 Capital Articles 469 to 472, 478 and 481 of CRR Adjustments to deductions due to transitional provisions. The amount to be reported is directly obtained from CA5.
524	1.1.1.27 Additional deductions of CET1 Capital due to Article 3 CRR Article 3 CRR
529	1.1.1.28 CET1 capital elements or deductions — other This row is invented to provide flexibility solely for reporting purposes. It shall only be populated in the rare cases that there is no final decision on the reporting of specific capital items/deductions in the current CA1 template. As a consequence, this row shall only be populated if a CET1 capital element respective a deduction of a CET1 element cannot be assigned to one of the rows 020 to 524. This cell shall not be used to assign capital items/deductions which are not covered by the CRR into the calculation of solvency ratios (e.g. an assignment of national capital items/deductions which are outside the scope of the CRR).
530	1.1.2 ADDITIONAL TIER 1 CAPITAL Article 61 of CRR
540	1.1.2.1 Capital instruments eligible as AT1 Capital Articles 51 point (a), 52 to 54, 56 point (a) and 57 of CRR
550	1.1.2.1.1 Paid up capital instruments Articles 51 point (a) and 52 to 54 of CRR The amount to be reported shall not include the share premium related to the instruments
560	1.1.2.1.2 (*) Memorandum item: Capital instruments not eligible Article 52(1) points (c), (e) and (f) of CRR Conditions in those points reflect different situations of the capital which are reversible, and thus the amount reported here can be eligible in subsequent periods. The amount to be reported shall not include the share premium related to the instruments
570	1.1.2.1.3 Share premium Article 51 point (b) of CRR Share premium has the same meaning as under the applicable accounting standard. The amount to be reported in this item shall be the part related to the ‘Paid up capital instruments’.
580	1.1.2.1.4 (-) Own AT1 instruments Articles 52(1) point (b), 56 point (a) and 57 of CRR Own AT1 instruments held by the reporting institution or group at the reporting date. Subject to exceptions in article 57 of CRR. Holdings on shares included as ‘Capital instruments not eligible’ shall not be reported in this row. The amount to be reported shall include the share premium related to the own shares. Items 1.1.2.1.4 to 1.1.2.1.4.3 do not include actual or contingent obligations to purchase own CET1 instruments. Actual or contingent obligations to purchase own AT1 instruments are reported separately in item 1.1.2.1.5.
590	1.1.2.1.4.1 (-) Direct holdings of AT1 instruments Articles 4(1)(114) 52 (1) point (b), 56 point (a) and 57 of CRR Additional Tier 1 instruments included in item 1.1.2.1.1 held by institutions of the consolidated group.
620	1.1.2.1.4.2 (-) Indirect holdings of AT1 instruments Articles 52 (1) point (b) (ii), 56 point (a) and 57of CRR
621	1.1.2.1.4.3 (-) Synthetic holdings of AT1 instruments Articles 4(1)(126), 52(1) point (b), 56 point (a) and 57 of CRR
622	1.1.2.1.5 (-) Actual or contingent obligations to purchase own AT1 instruments Articles 56 point (a) and 57 of CRR According to Article 56 point (a) of CRR, ‘own Additional Tier 1 instruments that an institution could be obliged to purchase as a result of existing contractual obligations’ shall be deducted.
660	1.1.2.2 Transitional adjustments due to grandfathered AT1 Capital instruments Articles 483(4) and (5), 484 to 487, 489 and 491 of CRR Amount of capital instruments transitionally grandfathered as AT1. The amount to be reported is directly obtained from CA5.
670	1.1.2.3 Instruments issued by subsidiaries that are given recognition in AT1 Capital Articles 85 and 86 of CRR Sum of all the amounts of qualifying T1 capital of subsidiaries that is included in consolidated AT1.
680	1.1.2.4 Transitional adjustments due to additional recognition in AT1 Capital of instruments issued by subsidiaries Article 480 of CRR Adjustments to the qualifying T1 capital included in consolidated AT1 capital due to transitional provisions. This item is obtained directly from CA5.
690	1.1.2.5 (-) Reciprocal cross holdings in AT1 Capital Articles 4(1)(122), 56 point (b) and 58 of CRR Holdings in AT1 instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where there is a reciprocal cross holding that the competent authority considers to have been designed to inflate artificially the own funds of the institution The amount to be reported shall be calculated on the basis of the gross long positions, and shall include Additional Tier 1 own-fund insurance items.
700	1.1.2.6 (-) AT1 instruments of financial sector entities where the institution does not have a significant investment Articles 4(1)(27), 56 point (c); 59, 60 and 79 of CRR Part of holdings by the institution of instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where the institution does not have a significant investment that has to be deducted from AT1
710	1.1.2.7 (-) AT1 instruments of financial sector entities where the institution has a significant investment Articles 4(1)(27), 56 point (d), 59 and 79 of CRR Holdings by the institution of AT1 instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where the institution has a significant investment are completely deducted
720	1.1.2.8 (-) Excess of deduction from T2 items over T2 Capital Article 56 point (e) of CRR The amount to be reported is directly taken from CA 1 item ‘Excess of deduction from T2 items over T2 Capital (deducted in AT1)’.
730	1.1.2.9 Other transitional adjustments to AT1 Capital Articles 474, 475, 478 and 481 of CRR Adjustments due to transitional provisions. The amount to be reported is directly obtained from CA5.
740	1.1.2.10 Excess of deduction from AT1 items over AT1 Capital (deducted in CET1) Article 36(1) point j) of CRR Additional Tier 1 cannot be negative, but it is possible that AT1 deductions are greater than AT1 Capital plus related share premium. When this happens, AT1 has to be equal to zero, and the excess of AT1 deductions has to be deducted from CET1. With this item, it is achieved that the sum of items 1.1.2.1 to 1.1.2.12 is never lower than zero. Then, if this item shows a positive figure, item 1.1.1.16 shall be the inverse of that figure.
744	1.1.2.11 Additional deductions of AT1 Capital due to Article 3 CRR Article 3 CRR
748	1.1.2.12 AT1 capital elements or deductions — other This row is invented to provide flexibility solely for reporting purposes. It shall only be populated in the rare cases that there is no final decision on the reporting of specific capital items/deductions in the current CA1 template. As a consequence, this row shall only be populated if an AT1 capital element respective a deduction of an AT1 element cannot be assigned to one of the rows 530 to 744. This cell shall not be used to assign capital items/deductions which are not covered by the CRR into the calculation of solvency ratios (e.g. an assignment of national capital items/deductions which are outside the scope of the CRR)!
750	1.2 TIER 2 CAPITAL Article 71 of CRR
760	1.2.1 Capital instruments and subordinated loans eligible as T2 Capital Articles 62 point (a), 63 to 65, 66 point (a), and 67 of CRR
770	1.2.1.1 Paid up capital instruments and subordinated loans Articles 62 point (a), 63 and 65 of CRR The amount to be reported shall not include the share premium related to the instruments
780	1.2.1.2 (*)Memorandum item: Capital instruments and subordinated loans not eligible Article 63 points (c), (e) and (f); and article 64 of CRR Conditions in those points reflect different situations of the capital which are reversible, and thus the amount reported here can be eligible in subsequent periods. The amount to be reported shall not include the share premium related to the instruments
790	1.2.1.3 Share premium Articles 62 point (b) and 65 of CRR Share premium has the same meaning as under the applicable accounting standard. The amount to be reported in this item shall be the part related to the ‘Paid up capital instruments’.
800	1.2.1.4 (-) Own T2 instruments Article 63 point (b) (i), 66 point (a), and 67 of CRR Own T2 instruments held by the reporting institution or group at the reporting date. Subject to exceptions in article 67 of CRR. Holdings on shares included as ‘Capital instruments not eligible’ shall not be reported in this row. The amount to be reported shall include the share premium related to the own shares. Items 1.2.1.4 to 1.2.1.4.3 do not include actual or contingent obligations to purchase own T2 instruments. Actual or contingent obligations to purchase own T2 instruments are reported separately in item 1.2.1.5.
810	1.2.1.4.1 (-) Direct holdings of T2 instruments Articles 63 point (b), 66 point (a) and 67 of CRR Tier 2 instruments included in item 1.2.1.1 held by institutions of the consolidated group.
840	1.2.1.4.2 (-) Indirect holdings of T2 instruments Articles 4(1)(114), 63 point (b), 66 point (a) and 67 of CRR
841	1.2.1.4.3 (-) Synthetic holdings of T2 instruments Articles 4(1)(126), 63 point (b), 66 point (a) and 67 of CRR
842	1.2.1.5 (-) Actual or contingent obligations to purchase own T2 instruments Articles 66 point (a) and 67 of CRR According to Article 66 point (a) of CRR, ‘own Tier 2 instruments that an institution could be obliged to purchase as a result of existing contractual obligations’ shall be deducted.
880	1.2.2 Transitional adjustments due to grandfathered T2 Capital instruments and subordinated loans Articles 483(6) and (7), 484, 486, 488, 490 and 491 of CRR Amount of capital instruments transitionally grandfathered as T2. The amount to be reported is directly obtained from CA5.
890	1.2.3 Instruments issued by subsidiaries that are given recognition in T2 Capital Articles 87 and 88 of CRR Sum of all the amounts of qualifying own funds of subsidiaries that is included in consolidated T2.
900	1.2.4 Transitional adjustments due to additional recognition in T2 Capital of instruments issued by subsidiaries Article 480 of CRR Adjustments to the qualifying own funds included in consolidated T2 capital due to transitional provisions. This item is obtained directly from CA5.
910	1.2.5 IRB Excess of provisions over expected losses eligible Article 62 point (d) of CRR For institutions calculating risk-weighted exposure amounts in accordance with IRB approach, this item contains the positive amounts resulting from comparing the provisions and expected losses which are eligible as T2 capital.
920	1.2.6 SA General credit risk adjustments Article 62 point (c) of CRR For institutions calculating risk-weighted exposure amounts in accordance with standard approach, this item contains the general credit risk adjustments eligible as T2 capital.
930	1.2.7 (-) Reciprocal cross holdings in T2 Capital Articles 4(1)(122), 66 point (b) and 68 of CRR Holdings in T2 instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where there is a reciprocal cross holding that the competent authority considers to have been designed to inflate artificially the own funds of the institution. The amount to be reported shall be calculated on the basis of the gross long positions, and shall include Tier 2 and Tier 3 own-fund insurance items.
940	1.2.8 (-) T2 instruments of financial sector entities where the institution does not have a significant investment Articles 4(1)(27), 66 point (c), 68 to 70 and 79 of CRR Part of holdings by the institution of instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where the institution does not have a significant investment that has to be deducted from T2.
950	1.2.9 (-) T2 instruments of financial sector entities where the institution has a significant investment Articles 4(1)(27), 66 point (d), 68, 69 and 79 of CRR Holdings by the institution of T2 instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where the institution has a significant investment shall be completely deducted.
960	1.2.10 Other transitional adjustments to T2 Capital Articles 476 to 478 and 481 of CRR Adjustments due to transitional provisions. The amount to be reported shall be directly obtained from CA5.
970	1.2.11 Excess of deduction from T2 items over T2 Capital (deducted in AT1) Article 56 point (e) of CRR Tier 2 cannot be negative, but it is possible that T2 deductions are greater than T2 Capital plus related share premium. When this happens, T2 shall be equal to zero, and the excess of T2 deductions shall be deducted from AT1. With this item, the sum of items 1.2.1 to 1.2.13 is never lower than zero. If this item shows a positive figure, item 1.1.2.8 shall be the inverse of that figure.
974	1.2.12 (-) Additional deductions of T2 Capital due to Article 3 CRR Article 3 CRR
978	1.2.13 T2 capital elements or deductions — other This row is invented to provide flexibility solely for reporting purposes. It shall only be populated in the rare cases that there is no final decision on the reporting of specific capital items/deductions in the current CA1 template. As a consequence, this row shall only be populated if a T2 capital element respective a deduction of a T2 element cannot be assigned to one of the rows 750 to 974. This cell shall not be used to assign capital items/deductions which are not covered by the CRR into the calculation of solvency ratios (e.g. an assignment of national capital items/deductions which are outside the scope of the CRR).

1.3. C 02.00 — OWN FUNDS REQUIREMENTS (CA2)

1.3.1. Instructions concerning specific positions

Row

Legal references and instructions

010

1. TOTAL RISK EXPOSURE AMOUNT

Articles 92(3), 95, 96 and 98 of CRR

020

1* Of which: Investment firms under Article 95 paragraph 2 and Article 98 of CRR

For investment firms under Article 95 (2) and Article 98 of CRR

030

1** Of which: Investment firms under Article 96 paragraph 2 and Article 97 of CRR

For investment firms under Article 96 (2) and Article 97 of CRR

040

1.1 RISK WEIGHTED EXPOSURE AMOUNTS FOR CREDIT, COUNTERPARTY CREDIT AND DILUTION RISKS AND FREE DELIVERIES

Article 92(3) points (a) and (f) of CRR

050

1.1.1 Standardised approach (SA)

CR SA and SEC SA templates at the level of total exposures.

060

1.1.1.1 SA exposure classes excluding securitisations positions

CR SA template at the level of total exposures. The SA exposure classes are those mentioned in Article 112 of CRR excluding securitisation positions.

070

1.1.1.1.01 Central governments or central banks

See CR SA template

080

1.1.1.1.02 Regional governments or local authorities

See CR SA template

090

1.1.1.1.03 Public sector entities

See CR SA template

100

1.1.1.1.04 Multilateral Development Banks

See CR SA template

110

1.1.1.1.05 International Organisations

See CR SA template

120

1.1.1.1.06 Institutions

See CR SA template

130

1.1.1.1.07 Corporates

See CR SA template

140

1.1.1.1.08 Retail

See CR SA template

150

1.1.1.1.09 Secured by mortgages on immovable property

See CR SA template

160

1.1.1.1.10 Exposures in default

See CR SA template

170

1.1.1.1.11 Items associated with particular high risk

See CR SA template

180

1.1.1.1.12 Covered bonds

See CR SA template

190

1.1.1.1.13 Claims on institutions and corporate with a short-term credit assessment

See CR SA template

200

1.1.1.1.14 Collective investments undertakings (CIU)

See CR SA template

210

1.1.1.1.15 Equity

See CR SA template

211

1.1.1.1.16 Other items

See CR SA template

220

1.1.1.2 Securitisations positions SA

CR SEC SA template at the level of total securitisation types

230

1.1.1.2.* Of which: resecuritisation

CR SEC SA template at the level of total securitisation types

240

1.1.2 Internal ratings based Approach (IRB)

250

1.1.2.1 IRB approaches when neither own estimates of LGD nor Conversion Factors are used

CR IRB template at the level of total exposures (when own estimates of LGD and/or CCF are not used)

260

1.1.2.1.01 Central governments and central banks

See CR IRB template

270

1.1.2.1.02 Institutions

See CR IRB template

280

1.1.2.1.03 Corporates — SME

See CR IRB template

290

1.1.2.1.04 Corporates — Specialised Lending

See CR IRB template

300

1.1.2.1.05 Corporates — Other

See CR IRB template

310

1.1.2.2 IRB approaches when own estimates of LGD and/or Conversion Factor are used

CR IRB template at the level of total exposures (when own estimates of LGD and/or CCF are used)

320

1.1.2.2.01 Central governments and central banks

See CR IRB template

330

1.1.2.2.02 Institutions

See CR IRB template

340

1.1.2.2.03 Corporates — SME

See CR IRB template

350

1.1.2.2.04 Corporates — Specialised Lending

See CR IRB template

360

1.1.2.2.05 Corporates — Other

See CR IRB template

370

1.1.2.2.06 Retail — secure by real estate SME

See CR IRB template

380

1.1.2.2.07 Retail — secure by real estate non-SME

See CR IRB template

390

1.1.2.2.08 Retail — Qualifying revolving

See CR IRB template

400

1.1.2.2. 09 Retail — Other SME

See CR IRB template

410

1.1.2.2.10 Retail — Other non-SME

See CR IRB template

420

1.1.2.3 Equity IRB

See CR EQU IRB template

430

1.1.2.4 Securitisations positions IRB

CR SEC IRB template at the level of total securitisation types

440

1.1.2.4* Of which: resecuritisation

CR SEC IRB template at the level of total securitisation types

450

1.1.2.5 Other non credit-obligation assets

The amount to be reported is the risk weighted exposure amount as calculated according to Article 156 of CRR.

460

1.1.3 Risk exposure amount for contributions to the default fund of a CCP

Articles 307 to 309 of CRR

490

1.2 TOTAL RISK EXPOSURE AMOUNT FOR SETTLEMENT/DELIVERY

Articles 92(3) point (c) (ii) and 92(4) point (b) of CRR

500

1.2.1 Settlement/delivery risk in the non-Trading book

See CR SETT template

510

1.2.2 Settlement/delivery risk in the Trading book

See CR SETT template

520

1.3 TOTAL RISK EXPOSURE AMOUNT FOR POSITION, FOREIGN EXCHANGE AND COMMODITIES RISKS

Articles 92(3) points (b) (i) and (c) (i) and (iii), and 92(4) point (b) of CRR

530

1.3.1 Risk exposure amount for position, foreign exchange and commodities risks under standardised approaches (SA)

540

1.3.1.1 Traded debt instruments

MKR SA TDI template at the level of total currencies.

550

1.3.1.2 Equity

MKR SA EQU template at the level of total national markets.

560

1.3.1.3 Foreign Exchange

See MKR SA FX template

570

1.3.1.4 Commodities

See MKR SA COM template

580

1.3.2 Risk exposure amount for positions, foreign exchange and commodity risks under internal models (IM)

See MKR IM template

590

1.4 TOTAL RISK EXPOSURE AMOUNT FOR OPERATIONAL RISK (OpR)

Article 92(3) point (e) and 92(4) point (b) of CRR

For investment firms under Article 95 (2), Article 96 (2) and Article 98 of CRR this element shall be zero.

600

1.4.1 OpR Basic Indicator approach (BIA)

See OPR template

610

1.4.2 OpR Standardised (TSA)/Alternative Standardised (ASA) approaches

See OPR template

620

1.4.3 OpR Advanced measurement approaches (AMA)

See OPR template

630

1.5 ADDITIONAL RISK EXPOSURE AMOUNT DUE TO FIXED OVERHEADS

Articles 95(2), 96(2), 97 and 98(1) point (a) of CRR

Only for investment firms under Article 95 (2), Article 96 (2) and Article 98 of CRR. See also Article 97 of CRR

Investment firms under Article 96 of CRR shall report the amount referred to in Article 97 multiplied by 12.5.

Investment firms under Article 95 of CRR shall report:

—	If the amount referred to in article 95(2) point (a) of CRR is greater than the amount referred to in article 95(2) point (b) of CRR, the amount to be reported is zero.

—	If the amount referred to in article 95(2) point (b) of CRR is greater than the amount referred to in article 95(2) point (a) of CRR, the amount to be reported is the result of subtracting the latter amount from the former.

640

1.6 TOTAL RISK EXPOSURE AMOUNT FOR CREDIT VALUATION ADJUSTMENT

Article 92(3) point (d) of CRR See CVA template.

650

1.6.1 Advanced method

Own funds requirements for credit valuation adjustment risk according to Article 383 of CRR. See CVA template.

660

1.6.2 Standardised method

Own funds requirements for credit valuation adjustment risk according to Article 384 of CRR. See CVA template.

670

1.6.3. Based on OEM

Own funds requirements for credit valuation adjustment risk according to Article 385 of CRR. See CVA template.

680

1.7 TOTAL RISK EXPOSURE AMOUNT RELATED TO LARGE EXPOSURES IN THE TRADING BOOK

Articles 92(3) point (b) (ii) and 395 to 401 of CRR

690

1.8 OTHER RISK EXPOSURE AMOUNTS

Articles 3, 458 and 459 of CRR and risk exposure amounts which cannot be assigned to one of the items from 1.1 to 1.7.

Institutions shall report the amounts needed to comply with the following:

Stricter prudential requirements imposed by the Commission, in accordance with Article 458 and 459 of CRR

Additional risk exposure amounts due to Article 3 CRR

This item does not have a link to a details template.

710

1.8.2 Of which: Additional stricter prudential requirements based on Art 458

Article 458 of CRR

720

1.8.2* Of which: requirements for large exposures

Article 458 of CRR

730

1.8.2** Of which: due to modified risk weights for targeting asset bubbles in the residential and commercial property

Article 458 of CRR

740

1.8.2*** Of which: Of which: due to intra financial sector exposures

Article 458 of CRR

750

1.8.3 Of which: Additional stricter prudential requirements based on Art 459

Article 459 of CRR

760

1.8.4 Of which: Additional risk exposure amount due to Article 3 CRR

Article 3 CRR

The additional risk exposure amount has to be reported. shall only include the additional amounts (e.g. if an exposure of 100 has a risk-weight of 20 % and the institutions applies a risk weight of 50 % based on article 3 CRR, the amount to be reported is 30).

1.4. C 03.00 — CAPITAL RATIOS AND CAPITAL LEVELS (CA3)

1.4.1. Instructions concerning specific positions

Rows
010	1 CET1 Capital ratio Article 92(2) point (a) of CRR The CET1 capital ratio is the CET1 capital of the institution expressed as a percentage of the total risk exposure amount.
020	2 Surplus(+)/Deficit(-) of CET1 capital This item shows, in absolute figures, the amount of CET1 capital surplus or deficit relating to the requirement set in Article 92(1) point (a) of CRR (4,5 %), i.e. without taking into account the capital buffers and transitional provisions on the ratio.
030	3 T1 Capital ratio Article 92(2) point (b) of CRR The T1 capital ratio is the T1 capital of the institution expressed as a percentage of the total risk exposure amount.
040	4 Surplus(+)/Deficit(-) of T1 capital This item shows, in absolute figures, the amount of T1 capital surplus or deficit relating to the requirement set in Article 92(1) point (b) of CRR (6 %), i.e. without taking into account the capital buffers and transitional provisions on the ratio.
050	5 Total capital ratio Article 92(2) point (c) of CRR The total capital ratio is the own funds of the institution expressed as a percentage of the total risk exposure amount.
060	6 Surplus(+)/Deficit(-) of total capital This item shows, in absolute figures, the amount of own funds surplus or deficit relating to the requirement set in Article 92(1) point (c) of CRR (8 %), i.e. without taking into account the capital buffers and transitional provisions on the ratio.
070	CET1 capital ratio including Pillar II adjustments Article 92(2) point (a) of CRR and Article 104 (2) CRD IV This cell only has to be populated if a decision of a competent authority has an impact on the CET1 capital ratio.
080	Target CET1 capital ratio due to Pillar II adjustments Article 104 (2) CRD IV This cell only has to be populated if a competent authority decides that an institution has to meet a higher target CET1capital ratio.
090	T1 capital ratio including Pillar II adjustments Article 92(2) point (b) of CRR and Article 104 (2) CRD IV This cell only has to be populated if a decision of a competent authority has an impact on the T1 capital ratio.
100	Target T1 capital ratio due to Pillar II adjustments Article 104 (2) CRD IV This cell only has to be populated if a competent authority decides that an institution has to meet a higher target T1 capital ratio.
110	Total capital ratio including Pillar II adjustments Article 92(2) point (c) of CRR and Article 104 (2) CRD IV This cell only has to be populated if a decision of a competent authority has an impact on the total capital ratio.
120	Target Total capital ratio due to Pillar II adjustments Article 104 (2) CRD IV This cell only has to be populated if a competent authority decides that an institution has to meet a higher target total capital ratio.

1.5. C 04.00 — MEMORANDUM ITEMS (CA4)

1.5.1. Instructions concerning specific positions

Rows

010

1. Total deferred tax assets

The amount reported in this item shall be equal to the amount reported in the accounting balance sheet.

020

1.1 Deferred tax assets that do not rely on future profitability

Article 39 of CRR

Deferred tax assets that do not rely on future profitability, and thus are subject to the application of a risk weight.

030

1.2 Deferred tax assets that rely on future profitability and do not arise from temporary differences

Articles 36(1) point (c) and 38 of CRR

Deferred tax assets that rely on future profitability, but do not arise from temporary differences, and thus are not subject to any threshold (i.e. are completely deducted from CET1).

040

1.3 Deferred tax assets that rely on future profitability and arise from temporary differences

Articles 36(1) point (c); 38 and 48(1) point (a) of CRR

Deferred tax assets that rely on future profitability and arise from temporary differences, and thus, their deduction from CET1 is subject to 10 % and 17.65 % thresholds in Article 48 of CRR.

050

2 Total deferred tax liabilities

The amount reported in this item shall be equal to the amount reported in the accounting balance sheet.

060

2.1 Deferred tax liabilities non deductible from deferred tax assets that rely on future profitability

Article 38(3) and (4) of CRR

Deferred tax liabilities for which conditions in Article 38(3) and (4) of CRR are not met. Hence, this item shall include the deferred tax liabilities that reduce the amount of goodwill, other intangible assets or defined benefit pension fund assets required to be deducted, which are reported, respectively, in CA1 items 1.1.1.10.3, 1.1.1.11.2 and 1.1.1.14.2.

070

2.2 Deferred tax liabilities deductible from deferred tax assets that rely on future profitability

Article 38 of CRR

080

2.2.1 Deductible deferred tax liabilities associated with deferred tax assets that rely on future profitability and do not arise from temporary differences

Article 38 (3), (4) and (5) of CRR

Deferred tax liabilities which may reduce the amount of deferred tax assets that rely on future profitability, according to Article 38(3) and (4) of CRR, and are not allocated to deferred tax assets that rely on future profitability and arise from temporary differences, according to Article 38(5) of CRR

090

2.2.2 Deductible deferred tax liabilities associated with deferred tax assets that rely on future profitability and arise from temporary differences

Article 38 (3), (4) and (5) of CRR

Deferred tax liabilities which may reduce the amount of deferred tax assets that rely on future profitability, according to Article 38(3) and (4) of CRR, and are allocated to deferred tax assets that rely on future profitability and arise from temporary differences, according to Article 38(5) of CRR

100

3. IRB excess (+) or shortfall (-) of credit risk adjustments, additional value adjustments and other own funds reductions to expected losses for non defaulted exposures

Articles 36(1) point (d), 62 point (d), 158 and 159 of CRR

This item shall only be reported by IRB institutions.

110

3.1 Total credit risk adjustments, additional value adjustments and other own funds reductions eligible for inclusion in the calculation of the expected loss amount

Article 159 of CRR

This item shall only be reported by IRB institutions.

120

3.1.1 General credit risk adjustments

Article 159 of CRR

This item shall only be reported by IRB institutions.

130

3.1.2 Specific credit risk adjustments

Article 159 of CRR

This item shall only be reported by IRB institutions.

131

3.1.3 Additional value adjustments and other own funds reductions

Articles 34, 110 and 159 of CRR

This item shall only be reported by IRB institutions.

140

3.2 Total expected losses eligible

Articles 158(5), (6) and (10), and 159 of CRR

This item shall only be reported by IRB institutions. Only the expected loss related to non defaulted exposures shall be reported.

145

4 IRB excess (+) or shortfall (-) of specific credit risk adjustments to expected losses for defaulted exposures

Articles 36(1) point (d), 62 point (d), 158 and 159 of CRR

This item shall only be reported by IRB institutions.

150

4.1 Specific credit risk adjustments and positions treated similarily

Article 159 of CRR

This item shall only be reported by IRB institutions.

155

4.2 Total expected losses eligible

Articles 158(5), (6) and (10), and 159 of CRR

This item shall only be reported by IRB institutions. Only the expected loss related to defaulted exposures shall be reported.

160

5 Risk weighted exposure amounts for calculating the cap to the excess of provision eligible as T2

Article 62 point (d) of CRR

For IRB institutions, according to Article 62 point (d) of CRR, the excess amount of provisions (to expected losses) eligible for inclusion in Tier 2 capital is capped at 0.6 % of risk-weighted exposure amounts calculated with the IRB approach.

The amount to be reported in this item is the risk weighted exposure amounts (i.e. not multiplied by 0.6 %) which is the base for calculating the cap.

170

6 Total gross provisions eligible for inclusion in T2 capital

Article 62 point (c) of CRR

This item includes the general credit risk adjustments that are eligible for inclusion in T2 capital, before cap.

The amount to be reported shall be gross of tax effects.

180

7 Risk weighted exposure amounts for calculating the cap to the provision eligible as T2

Article 62 point (c) of CRR

According to Article 62 point (c) of CRR, the credit risk adjustments eligible for inclusion in Tier 2 capital is capped at 1.25 % of risk-weighted exposure amounts.

The amount to be reported in this item is the risk weighted exposure amounts (i.e. not multiplied by 1.25 %) which is the base for calculating the cap.

190

8 Threshold non deductible of holdings in financial sector entities where an institution does not have a significant investment

Article 46(1) point (a) of CRR

This item contains the threshold up to which holdings in a financial sector entity where an institution does not have a significant investment are not deducted. The amount results from adding up all items which are the base of the threshold and multiplying the sum thus obtained by 10 %..

200

9 10 % CET1 threshold

Article 48(1) points (a) and (b) of CRR

This item contains the 10 % threshold for holdings in financial sector entities where an institution has a significant investment, and for deferred tax assets that are dependent on future profitability and arise from temporary differences.

The amount results from adding up all items which are the base of the threshold and multiplying the sum thus obtained by 10 %.

210

10 17.65 % CET1 threshold

Article 48(1) of CRR

This item contains the 17.65 % threshold for holdings in financial sector entities where an institution has a significant investment, and for deferred tax assets that are dependent on future profitability and arise from temporary differences, to be applied after the 10 % threshold.

The threshold is calculated so that the amount of the two items that is recognised must not exceed 15 % of the Common Equity Tier 1 capital, calculated after all deductions, not including any adjustment due to transitional provisions.

220

11 Eligible capital for the purposes of qualifying holdings outside the financial sector and large exposures

Article 4(1)(71)

‘Eligible capital’ is defined, for the purposes of qualifying holdings outside the financial sector and large exposures, as the sum of Tier 1 and Tier 2 capital which is equal to or less than one third of Tier 1 capital.

230

12 Holdings of CET1 capital of financial sector entities where the institution does not have a significant investment, net of short positions

Articles 44 to 46 and 49 of CRR

240

12.1 Direct holdings of CET1 capital Direct holdings of CET1 capital of financial sector entities where the institution does not have a significant investment

Articles 44, 45, 46 and 49 of CRR

250

12.1.1 Gross direct holdings of CET1 capital of financial sector entities where the institution does not have a significant investment

Articles 44, 46 and 49 of CRR

Direct holdings of CET1 capital of financial sector entities where the institution does not have a significant investment, excluding:

a)	Underwriting positions held for 5 working days or fewer;

b)	The amounts relating to the investments for which any alternative in article 49 is applied; and

c)	Holdings which are treated as reciprocal cross holdings according to article 36(1) point (g) of CRR

260

12.1.2 (-) Permitted offsetting short positions in relation to the direct gross holdings included above

Article 45 of CRR

Article 45 of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year.

270

12.2 Indirect holdings of CET1 capital of financial sector entities where the institution does not have a significant investment

Articles 4(1)(114), 44 and 45 of CRR

280

12.2.1 Gross indirect holdings of CET1 capital of financial sector entities where the institution does not have a significant investment

Articles 4(1)(114), 44 and 45 of CRR

The amount to be reported is the indirect holdings in the trading book of the capital instruments of financial sector entities that take the form of holdings of index securities. It is obtained by calculating the underlying exposure to the capital instruments of the financial sector entities in the indices.

Holdings which are treated as reciprocal cross holdings according to article 36(1) point (g) of CRR shall not be included

290

12.2.2 (-) Permitted offsetting short positions in relation to the indirect gross holdings included above

Articles 4(1)(114) and 45 of CRR

Article 45 point (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year.

291

12.3.1 Synthetic holdings of CET1 capital of financial sector entities where the institution does not have a significant investment

Articles 4(1)(126), 44 and 45 of CRR

292

12.3.2 Gross synthetic holdings of CET1 capital of financial sector entities where the institution does not have a significant investment

Articles 4(1)(126), 44 and 45 of CRR

293

12.3.3 (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above

Articles 4(1)(126) and 45 of CRR

300

13 Holdings of AT1 capital of financial sector entities where the institution does not have a significant investment, net of short positions

Articles 58 to 60 of CRR

310

13.1 Direct holdings of AT1 capital of financial sector entities where the institution does not have a significant investment

Articles 58, 59 and 60(2) of CRR

320

13.1.1 Gross direct holdings of AT1 capital of financial sector entities where the institution does not have a significant investment

Articles 58 and 60(2) of CRR

Direct holdings of AT1 capital of financial sector entities where the institution does not have a significant investment, excluding:

a)	Underwriting positions held for 5 working days or fewer; and

b)	Holdings which are treated as reciprocal cross holdings according to article 56 point (b) of CRR

330

13.1.2 (-) Permitted offsetting short positions in relation to the direct gross holdings included above

Article 59 of CRR

Article 59 point (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year.

340

13.2 Indirect holdings of AT1 capital of financial sector entities where the institution does not have a significant investment

Articles 4(1)(114), 58 and 59 of CRR

350

13.2.1 Gross indirect holdings of AT1 capital of financial sector entities where the institution does not have a significant investment

Articles 4(1)(114), 58 and 59 of CRR

Holdings which are treated as reciprocal cross holdings according to article 56 point (b) of CRR shall not be included

360

13.2.2 (-) Permitted offsetting short positions in relation to the indirect gross holdings included above

Articles 4(1)(114) and 59 of CRR

Article 59 (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year.

361

13.3 ynthetic holdings of AT1 capital of financial sector entities where the institution does not have a significant investment

Articles 4(1)(126), 58 and 59 of CRR

362

13.3.1 Gross synthetic holdings of AT1 capital of financial sector entities where the institution does not have a significant investment

Articles 4(1)(126), 58 and 59 of CRR

363

13.3.2 (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above

Articles 4(1)(126) and 59 of CRR

370

14. Holdings of T2 capital of financial sector entities where the institution does not have a significant investment, net of short positions

Articles 68 to 70 of CRR

380

14.1 Direct holdings of T2 capital of financial sector entities where the institution does not have a significant investment

Articles 68, 69 and 70(2) of CRR

390

14.1.1 Gross direct holdings of T2 capital of financial sector entities where the institution does not have a significant investment

Articles 68 and 70(2) of CRR

Direct holdings of T2 capital of financial sector entities where the institution does not have a significant investment, excluding:

a)	Underwriting positions held for 5 working days or fewer; and

b)	Holdings which are treated as reciprocal cross holdings according to article 66 point (b) of CRR

400

14.1.2 (-) Permitted offsetting short positions in relation to the direct gross holdings included above

Article 69 of CRR

Article 69 point (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year.

410

14.2 Indirect holdings of T2 capital of financial sector entities where the institution does not have a significant investment

Article 4(1)(114), 68 and 69 of CRR

420

14.2.1 Gross indirect holdings of T2 capital of financial sector entities where the institution does not have a significant investment

Articles 4(1)(114), 68 and 69 of CRR

Holdings which are treated as reciprocal cross holdings according to article 66 point (b) of CRR shall not be included

430

14.2.2 (-) Permitted offsetting short positions in relation to the indirect gross holdings included above

Articles 4(1)(114) and 69 of CRR

431

14.3 Synthetic holdings of T2 capital of financial sector entities where the institution does not have a significant investment

Articles 4(1)(126), 68 and 69 of CRR

432

14.3.1 Gross synthetic holdings of T2 capital of financial sector entities where the institution does not have a significant investment

Articles 4(1)(126), 68 and 69 of CRR

433

14.3.2 (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above

Articles 4(1)(126) and 69 of CRR

440

15 Holdings of CET1 capital of financial sector entities where the institution has a significant investment, net of short positions

Articles 44, 45, 47 and 49 of CRR

450

15.1 Direct holdings of CET1 capital of financial sector entities where the institution has a significant investment

Articles 44, 45, 47 and 49 of CRR

460

15.1.1 Gross direct holdings of CET1 capital of financial sector entities where the institution has a significant investment

Articles 44, 45, 47 and 49 of CRR

Direct holdings of CET1 capital of financial sector entities where the institution has a significant investment, excluding:

a)	Underwriting positions held for 5 working days or fewer;

b)	The amounts relating to the investments for which any alternative in article 49 is applied; and

c)	Holdings which are treated as reciprocal cross holdings according to article 36(1) point (g) of CRR

470

15.1.2 (-) Permitted offsetting short positions in relation to the direct gross holdings included above

Article 45 of CRR

480

15.2 Indirect holdings of CET1 capital of financial sector entities where the institution has a significant investment

Articles 4(1)(114), 44 and 45 of CRR

490

15.2.1 Gross indirect holdings of CET1 capital of financial sector entities where the institution has a significant investment

Articles 4(1)(114), 44 and 45 of CRR

The amount to be reported shall be the indirect holdings in the trading book of the capital instruments of financial sector entities that take the form of holdings of index securities. It shall be obtained by calculating the underlying exposure to the capital instruments of the financial sector entities in the indices.

Holdings which are treated as reciprocal cross holdings according to article 36(1) point (g) of CRR shall not be included.

500

15.2.2 (-) Permitted offsetting short positions in relation to the indirect gross holdings included above

Articles 4(1)(114) and 45 of CRR

501

15.3 Synthetic holdings of CET1 capital of financial sector entities where the institution has a significant investment

Articles 4(1)(126), 44 and 45 of CRR

502

15.3.1 Gross synthetic holdings of CET1 capital of financial sector entities where the institution has a significant investment

Articles 4(1)(126), 44 and 45 of CRR

503

15.3.2 (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above

Articles 4(1)(126) and 45 of CRR

510

16 Holdings of AT1 capital of financial sector entities where the institution has a significant investment, net of short positions

Articles 58 and 59 of CRR

520

16.1 Direct holdings of AT1 capital of financial sector entities where the institution has a significant investment

Articles 58 and 59 of CRR

530

16.1.1 Gross direct holdings of AT1 capital of financial sector entities where the institution has a significant investment

Article 58 of CRR

Direct holdings of AT1 capital of financial sector entities where the institution has a significant investment, excluding:

a)	Underwriting positions held for 5 working days or fewer (Article 56 point (d); and

b)	Holdings which are treated as reciprocal cross holdings according to article 56 point (b) of CRR

540

16.1.2 (-) Permitted offsetting short positions in relation to the direct gross holdings included above

Article 59 of CRR

550

16.2 Indirect holdings of AT1 capital of financial sector entities where the institution has a significant investment

Articles 4(1)(114), 58 and 59 of CRR

560

16.2.1 Gross indirect holdings of AT1 capital of financial sector entities where the institution has a significant investment

Articles 4(1)(114), 58 and 59 of CRR

Holdings which are treated as reciprocal cross holdings according to article 56 point (b) of CRR shall not be included.

570

16.2.2 (-) Permitted offsetting short positions in relation to the indirect gross holdings included above

Article 4(1)(114) and 59 of CRR

571

16.3 Synthetic holdings of AT1 capital of financial sector entities where the institution has a significant investment

Articles 4(1)(126), 58 and 59 of CRR

572

16.3.1 Gross synthetic holdings of AT1 capital of financial sector entities where the institution has a significant investment

Articles 4(1)(126), 58 and 59 of CRR

573

16.3.2 (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above

Articles 4(1)(126) and 59 of CRR

580

17 Holdings of T2 capital of financial sector entities where the institution has a significant investment, net of short positions

Articles 68 and 69 of CRR

590

17.1 Direct holdings of T2 capital of financial sector entities where the institution has a significant investment

Articles 68 and 69 of CRR

600

17.1.1 Gross direct holdings of T2 capital of financial sector entities where the institution has a significant investment

Article 68 of CRR

Direct holdings of T2 capital of financial sector entities where the institution has a significant investment, excluding:

a)	Underwriting positions held for 5 working days or fewer (Article 66 point (d); and

b)	Holdings which are treated as reciprocal cross holdings according to article 66 point (b) of CRR

610

17.1.2 (-) Permitted offsetting short positions in relation to the direct gross holdings included above

Article 69 of CRR

620

17.2 Indirect holdings of T2 capital of financial sector entities where the institution has a significant investment

Articles 4(1)(114), 68 and 69 of CRR

630

17.2.1 Gross indirect holdings of T2 capital of financial sector entities where the institution has a significant investment

Articles 4(1)(114), 68 and 69 of CRR

Holdings which are treated as reciprocal cross holdings according to article 66 point (b) of CRR shall not be included

640

17.2.2 (-) Permitted offsetting short positions in relation to the indirect gross holdings included above

Articles 4(1)(114), 69 of CRR

641

17.3 Synthetic holdings of T2 capital of financial sector entities where the institution has a significant investment

Articles 4(1)(126), 68 and 69 of CRR

642

17.3.1 Gross synthetic holdings of T2 capital of financial sector entities where the institution has a significant investment

Articles 4(1)(126), 68 and 69 of CRR

643

17.3.2 (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above

Articles 4(1)(126) and 69 of CRR

650

18 Risk weighted exposures of CET1 holdings in financial sector entities which are not deducted from the institution's CET1 capital

Article 46(4) of CRR

660

19 Risk weighted exposures of AT1 holdings in financial sector entities which are not deducted from the institution's AT1 capital

Article 60 of CRR

670

20 Risk weighted exposures of T2 holdings in financial sector entities which are not deducted from the institution's T2 capital

Article 70 of CRR

680

21 Holdings on CET1 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived

Article 79 of CRR

A competent authority may waive on a temporary basis the provisions on deductions from CET1 due to holdings on instruments of a specific financial sector entity, when it deems those holdings to be for the purposes of a financial assistance operation designed to reorganise and save that entity.

Note that these instruments shall also be reported on item 12.1.

690

22 Holdings on CET1 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived

Article 79 of CRR

Note that these instruments shall also be reported on item 15.1.

700

23 Holdings on AT1 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived

Article 79 of CRR

A competent authority may waive on a temporary basis the provisions on deductions from AT1 due to holdings on instruments of a specific financial sector entity, when it deems those holdings to be for the purposes of a financial assistance operation designed to reorganise and save that entity.

Note that these instruments shall also be reported on item 13.1.

710

24 Holdings on AT1 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived

Article 79 of CRR

Note that these instruments shall also be reported on item 16.1.

720

25 Holdings on T2 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived

Article 79 of CRR

A competent authority may waive on a temporary basis the provisions on deductions from T2 due to holdings on instruments of a specific financial sector entity, when it deems those holdings to be for the purposes of a financial assistance operation designed to reorganise and save that entity.

Note that these instruments shall also be reported on item 14.1.

730

26 Holdings on T2 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived

Article 79 of CRR

Note that these instruments shall also be reported on item 17.1.

740

27 Combined buffer requirement

Article 128 point (6) of CRD

750

Capital conservation buffer

Articles 128 point (1) and 129 of CRD

According to Article 129 (1) the capital conservation buffer is an additional amount of Common Equity Tier 1 capital. Due to the fact that the capital conservation buffer rate of 2.5 % is stable, an amount shall be reported in this cell.

760

Conservation buffer due to macro-prudential or systemic risk identified at the level of a Member State

Article 458 (2) point d (iv) of CRR

In this cell the amount of the conservation buffer due to macro-prudential or systemic risk identified at the level of a Member State, which can be requested according to Article 458 CRR in addition to the capital conservation buffer shall be reported.

770

Institution specific countercyclical capital buffer

Articles 128 point (2), 130, 135-140 of CRD

780

Systemic risk buffer

Articles 128 point (5), 133 and 134 of CRD

790

Systemically important institution buffer

Article 131 of CRD

Institutions shall report the amount of the Systemically important institution buffer which is applicable on a consolidated basis.

800

Global Systemically Important Institution buffer

Articles 128 point (3) and 131 of CRD

810

Other Systemically Important Institution buffer

Articles 128 point (4) and 131 of CRD

820

28 Own funds requirements related to Pillar II adjustments

Article 104 (2) of CRD.

If a competent authority decides that an institution has to calculate additional own funds requirements for Pillar II reasons, those additional own funds requirements shall be reported in this cell.

830

29 Initial capital

Articles 12, 28 to 31of CRD and Article 93 of CRR

840

30 Own funds based on Fixed Overheads

Articles 96(2) point (b), 97 and 98(1) point (a) of CRR

850

31 Non-domestic original exposures

Information necessary to calculate the threshold for reporting of the CR GB template according to Article 5(a)(4) of ITS. The calculation of the threshold shall be done at the basis of the original exposure pre conversion factor.

Exposures shall be deemed to be domestic where they are exposures to counterparties located in the Member State where the institution is located.

860

32 Total original exposures

Exposures shall be deemed to be domestic where they are exposures to counterparties located in the Member State where the institution is located.

870

Adjustments to total own funds

Article 500 (4) of CRR

880

Own funds fully adjusted for Basel I floor

Article 500 (1) point (b) and (4) of CRR

890

Own funds requirements for Basel I floor

Article 500 (1) point (b) of CRR

900

Own funds requirements for Basel I floor — SA alternative

Article 500 (2) and (3) of CRR

1.6. TRANSITIONAL PROVISIONS and GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUTING STATE AID (CA 5)

1.6.1. General remarks

15.

CA5 summarizes the calculation of own funds elements and deductions subject to the transitional provisions laid down in Articles 465 to 491 of CRR.

16.

CA5 is structured as follows:

Template 5.1 summarizes the total adjustments which need to be made to the different components of own funds (reported in CA1 according to the final provisions) as a consequence of the application of the transitional provisions. The elements of this table are presented as ‘adjustments’ to the different capital components in CA1, in order to reflect in own funds components the effects of the transitional provisions.

b.	Template 5.2 provides further details on the calculation of those grandfathered instruments which do not constitute state aid.

17.

Institutions shall report in the first four columns the adjustments to Common Equity Tier 1 capital, Additional Tier 1 capital and Tier 2 capital as well as the amount to be treated as risk weighted assets. Institutions are also required to report the applicable percentage in column 050 and the eligible amount without the recognition of transitional provisions in column 060.

18.

Institutions shall only report elements in CA5 during the period where transitional provisions in accordance with Part Ten of CRR apply.

19.

Some of the transitional provisions require a deduction from Tier 1. If this is the case the residual amount of a deduction or deductions is applied to Tier 1 and there is insufficient AT1 to absorb this amount then the excess shall be deducted from CET1.

1.6.2. C 05.01 — Transitional provisions (CA5.1)

20.

Institutions shall report in Table 5.1 the transitional provisions to own funds components as laid down in Articles 465 to 491 of CRR, compared to applying the final provisions laid down in Title II of Part Two of CRR.

21.

Institutions shall report in rows 020 to 060 information in relation with the transitional provisions of grandfathered instruments. The figures to be reported in columns 010 to 060 of row 060 of CA 5.1 can be derived from the respective sections of CA 5.2.

22.

Institutions shall report in rows 070 to 092 information in relation with the transitional provisions of minority interests and additional Tier 1 and Tier 2 instruments issued by subsidiaries (in accordance with Articles 479 and 480 of CRR).

23.

In rows 100 onwards institutions shall report information in relation with the transitional provisions of unrealized gains and losses, deductions as well as additional filters and deductions.

24.

There might be cases where the transitional deductions of CET1, AT1 or T2 capital exceed the CET1, AT1 or T2 capital of an institution. This effect — if it results from transitional provisions — shall be shown in the CA1 template using the respective cells. As a consequence, the adjustments in the columns of the CA5 template do not include any spill-over effects in the case of insufficient capital available.

1.6.2.1. Instructions concerning specific positions

Columns
010	Adjustments to CET1
020	Adjustments to AT1
030	Adjustments to T2
040	Adjustments included in RWAs Column 050 includes the relevant residual amount, i.e. prior the application of provisions of Chapter 2 or 3 of Part Three of CRR. Whereas columns 010 to 030 have a direct link to the CA1 template, the adjustments included in RWA do not have a direct link to the relevant templates for credit risk. If there are adjustments stemming from the transitional provisions to the RWA, those adjustments shall be included directly in the CR SA, CR IRB or CR EQU IRB. Additionally, those effects shall be reported in column 040 of CA5.1. As a consequence, those amounts are only memorandum items.
050	Applicable percentage
060	Eligible amount without transitional provisions Column 060 includes the amount of each instrument prior the application of transitional provisions. I.e. the basis amount relevant to calculate the adjustments.

Rows

010

1. Total adjustments

This row reflects the overall effect of transitional adjustments in the different types of capital, plus the risk weighted amounts arising from these adjustments

020

1.1 Grandfathered instruments

Articles 483 to 491 of CRR

This row reflects the overall effect of instruments transitionally grandfathered in the different types of capital.

030

1.1.1 Grandfathered instruments: Instruments constituting state aid

Article 483 CRR

040

1.1.1.1 Instruments that qualified as own funds according to 2006/48/EC

Article 483 (1) (2), (4) and (6) of CRR

050

1.1.1.2 Instruments issued by institutions that are incorporated in a Member State that is subject to an Economic Adjustment Programme

Article 483 (1), (3), (5), (7) and (8) of CRR

060

1.1.2 Instruments not constituting state aid

The amounts to be reported shall be obtained from column 060 of table CA 5.2.

070

1.2 Minority interests and equivalents

Articles 479 and 480 of CRR

This row reflects the effects of transitional provisions in the minority interests eligible as CET1; the qualifying T1 instruments eligible as consolidated AT1; and the qualifying own funds eligible as consolidated T2.

080

1.2.1 Capital instruments and items that do not qualify as minority interests

Articles 479 of CRR

The amount to be reported in column 060 of this row shall be the amount qualifying as consolidated reserves in accordance with prior regulation.

090

1.2.2 Transitional recognition in consolidated own funds of minority interests

Articles 84 and 480 of CRR

The amount to be reported in column 060 of this row shall be the eligible amount without transitional provisions.

091

1.2.3 Transitional recognition in consolidated own funds of qualifying Additional Tier 1 capital

Article 85 and 480 of CRR

The amount to be reported in column 060 of this row shall be the eligible amount without transitional provisions.

092

1.2.4 Transitional recognition in consolidated own funds of qualifying Tier 2 capital

Article 87 and 480 of CRR

The amount to be reported in column 060 of this row shall be the eligible amount without transitional provisions.

100

1.3 Other transitional adjustments

Articles 467 to 478 and 481 of CRR

This row reflects the overall effect of transitional adjustments in the deduction to different types of capital, unrealised gains and losses, additional filters and deductions plus the risk weighted amounts arising from these adjustments.

110

1.3.1 Unrealised gains and losses

Articles 467 and 468 of CRR

This row reflects the overall effect of transitional provisions on unrealized gains and losses measured at fair value.

120

1.3.1.1 Unrealised gains

Article 468(1) of CRR

130

1.3.1.2 Unrealised losses

Article 467(1) of CRR

133

1.3.1.3 Unrealised gains on exposures to central governments classified in the ‘Available for sale’ category of EU-endorsed IAS39

Article 468 of CRR

136

1.3.1.4 Unrealised loss on exposures to central governments classified in the ‘Available for sale’ category of EU-endorsed IAS39

Article 467 of CRR

138

1.3.1.5 Fair value gains and losses arising from the institution's own credit risk related to derivative liabilities

Article 468 of CRR

140

1.3.2 Deductions

Articles 36(1), 469 to 478 of CRR

This row reflects the overall effect of transitional provisions on deductions.

150

1.3.2.1. Losses for the current financial year

Articles 36 (1) point (a), 469 (1), 472 (3) and 478 of CRR

The amount to be reported in column 060 of this row shall be the original deduction according to Article 36(1)(a) of CRR.

Where firms have only been required to deduct material losses:

—	where the total interim net loss was ’material’, the full residual amount would be deducted from Tier 1, or

—	where the whole total interim net loss was not ’material’, no deduction of residual amount would be made.

160

1.3.2.2. Intangible assets

Articles 36 (1) point (b), 469 (1), 472 (4) and 478 of CRR

When determining the amount of intangible assets to be deducted, institutions shall take into account the provisions of Article 37 of CRR.

The amount to be reported in column 060 of this row shall be the original deduction Article 36(1)(b) of CRR.

170

1.3.2.3. Deferred tax assets that rely on future profitability and do not arise from temporary differences

Articles 36 (1) point (c), 469 (1), 472 (5) and 478 of CRR

When determining the amount of the above-mentioned deferred tax assets (DTA) to be deducted, institutions shall take into account the provisions of Article 38 of CRR relating to the reduction of DTA by deferred tax liabilities.

The amount to be reported in column 060 of this row: Total amount according to Article 469 (1) c) of CRR.

180

1.3.2.4. IRB shortfall of provisions to expected losses

Articles 36 (1) point (d), 469 (1), 472 (6) and 478 of CRR

When determining the amount of the above-mentioned IRB shortfall of provisions to expected losses to be deducted, institutions shall take into account the provisions of Article 40 of CRR.

The amount to be reported in column 060 of this row: Original deduction Article 36(1)(d) of CRR

190

1.3.2.5. Defined benefit pension fund assets

Articles 33 (1) point (e), 469 (1), 472 (7), 473 and 478 of CRR

When determining the amount of the above-mentioned defined benefit pension fund assets to be deducted, institutions shall take into account the provisions of Article 41 of CRR.

The amount to be reported in column 060 of this row: Original deduction Article 36(1)(e) of CRR

194

1.3.2.5.* of which: Introduction of amendments to IAS 19 — positive item

Article 473 of CRR

198

1.3.2.5.** of which: Introduction of amendments to IAS 19 — negative item

Article 473 of CRR

200

1.3.2.6. Own instruments

Articles 36 (1) point (f), 469 (1), 472 (8) and 478 of CRR

The amount to be reported in column 060 of this row: Original deduction Article 36(1)(f) of CRR

210

1.3.2.6.1 Own CET1 instruments

Articles 36 (1) point (f), 469 (1), 472 (8) and 478 of CRR

When determining the amount of the above-mentioned Own Common Equity Tier 1 instruments to be deducted, institutions shall take into account the provisions of Article 42 of CRR.

Given that the treatment of the ‘residual amount’ differs depending upon the nature of the instrument, institutions shall break down holdings in own Common Equity instruments according to ‘direct’ and ‘indirect’ holdings.

The amount to be reported in column 060 of this row: Original deduction Article 36(1)(f) of CRR.

211

1.3.2.6.1** of which: Direct holdings

The amount to be reported in column 060 of this row: Total amount of direct holdings, including instruments that an institution could be obliged to purchase by virtue of an existing or contingent contractual obligation, Article 469 (1) (b), 472 (8) (a) of CRR.

212

1.3.2.6.1* of which: Indirect holdings

The amount to be reported in column 060 of this row: Total amount of indirect holdings, including instruments that an institution could be obliged to purchase by virtue of an existing or contingent contractual obligation, Article 469 (1) (b), 472 (8) (b) of CRR.

220

1.3.2.6.2 Own AT1 instruments

Articles 56 point (a), 474, 475(2) and 478 of CRR

When determining the amount of the above-mentioned holdings to be deducted, institutions shall take into account the provisions of Article 57 of CRR.

Given that the treatment of the ‘residual amount’ differs depending upon the nature of the instrument (Article 475(2) of CRR), institutions shall break down the above-mentioned holdings according to ‘direct’ and ‘indirect’ own Additional Tier 1 holdings.

The amount to be reported in column 060 of this row: Original deduction Article 56 (a) of CRR.

221

1.3.2.6.2** of which: Direct holdings

222

1.3.2.6.2* of which: Indirect holdings

230

1.3.2.6.3 Own T2 instruments

Articles 66 point (a), 476, 477(2) and 478 of CRR

When determining the amount of the holdings to be deducted, institutions shall take into account the provisions of Article 67 of CRR.

Given that the treatment of the ‘residual amount’ differs depending upon the nature of the instrument (Article 477(2) of CRR), institutions shall break down the above-mentioned holdings according to ‘direct’ and ‘indirect’ own Tier 2 holdings.

The amount to be reported in column 060 of this row: Original deduction Article 66 (a) of CRR.

231

of which: Direct holdings

232

of which: Indirect holdings

240

1.3.2.7. Reciprocal cross holdings

Given that the treatment of the ‘residual amount’ differs depending whether the holding of Common Equity Tier 1, Additional Tier 1 or Tier 2 in the financial sector entity is to be considered being significant or not (Articles 472(9), 475 (3) and 477 (3) of CRR), institutions shall break down reciprocal cross holdings according to significant investments and non-significant investments.

250

1.3.2.7.1 Reciprocal cross holdings in CET1 Capital

Articles 36(1) point (g), 469 (1), 472(9) and 478 of CRR

The amount to be reported in column 060 of this row: Original deduction Article 36(1)(g) of CRR

260

1.3.2.7.1.1 Reciprocal cross holdings in CET1 Capital of financial sector entities where the institution does not have a significant investment

Articles 36(1) point (g), 469 (1), 472(9) point (a) and 478 of CRR

The amount to be reported in column 060 of this row: Residual amount according to Article 469 (1) (b) of CRR

270

1.3.2.7.1.2 Reciprocal cross holdings in CET1 Capital of financial sector entities where the institution has a significant investment

Articles 36(1) point (g), 469 (1), 472(9) point (b) and 478 of CRR

The amount to be reported in column 060 of this row: Residual amount according to Article 469 (1) (b) of CRR

280

1.3.2.7.2 Reciprocal cross holdings in AT1 Capital

Articles 56 point (b), 474, 475(3) and 478 of CRR

The amount to be reported in column 060 of this row: Original deduction Article 56 (b) of CRR

290

1.3.2.7.2.1 Reciprocal cross holdings in AT1 Capital of financial sector entities where the institution does not have a significant investment

Articles 56 point (b), 474, 475(3) point (a) and 478 of CRR

The amount to be reported in column 060 of this row: Residual amount according to Article 475 (3) of CRR

300

1.3.2.7.2.2 Reciprocal cross holdings in AT1 Capital of financial sector entities where the institution has a significant investment

Articles 56 point (b), 474, 475(3) point (b) and 478 of CRR

The amount to be reported in column 060 of this row: Residual amount according to Article 475 (3) of CRR

310

1.3.2.7.3 Reciprocal cross holdings in T2 Capital

Articles 66 point (b), 476, 477(3) and 478 of CRR

The amount to be reported in column 060 of this row: Original deduction Article 66 (b) of CRR

320

1.3.2.7.3.1 Reciprocal cross holdings in T2 Capital of financial sector entities where the institution does not have a significant investment

Articles 66 point (b), 476, 477(3) point (a) and 478 of CRR

The amount to be reported in column 060 of this row: Residual amount according to Article 477 (3) of CRR

330

1.3.2.7.3.2 Reciprocal cross holdings in T2 Capital of financial sector entities where the institution has a significant investment

Articles 66 point (b), 476, 477(3) point (b) and 478 of CRR

The amount to be reported in column 060 of this row: Residual amount according to Article 477 (3) of CRR

340

1.3.2.8. Own funds instruments of financial sector entities where the institution does not have a significant investment

350

1.3.2.8.1 CET1 instruments of financial sector entities where the institution does not have a significant investment

Articles 36(1) point (h), 469 (1), 472(10) and 478 of CRR

The amount to be reported in column 060 of this row: Original deduction Article 36 (1) (h) of CRR

360

1.3.2.8.2 AT1 instruments of financial sector entities where the institution does not have a significant investment

Articles 56 point (c), 474, 475(4) and 478 of CRR

The amount to be reported in column 060 of this row: Original deduction Article 56 (c) of CRR

370

1.3.2.8.3 T2 instruments of financial sector entities where the institution does not have a significant investment

Articles 66 point (c), 476, 477(4) and 478 of CRR

The amount to be reported in column 060 of this row: Original deduction Article 66 (c) of CRR

380

1.3.2.9 Deferred tax assets that are dependent on future profitability and arise from temporary differences and CET1 instruments of financial sector entities where the institution has a significant investment

Article 470(2) and (3) of CRR

The amount to be reported in column 060 of this row: Article 470 (1) of CRR

390

1.3.2.10 Own funds instruments of financial sector entities where the institution has a significant investment

400

1.3.2.10.1 CET1 instruments of financial sector entities where the institution has a significant investment

Articles 36(1) point (i), 469 (1), 472(11) and 478 of CRR

The amount to be reported in column 060 of this row: Original deduction Article 36 (1) (i) of CRR

410

1.3.2.10.2 AT1 instruments of financial sector entities where the institution has a significant investment

Articles 56 point (d), 474, 475(4) and 478 of CRR

The amount to be reported in column 060 of this row: Original deduction Article 56 (d) of CRR

420

1.3.2.10.3 T2 instruments of financial sector entities where the institution has a significant investment

Articles 66 point (d), 476, 477(4) and 478 of CRR

The amount to be reported in column 060 of this row: Original deduction Article 66 (d) of CRR

425

1.3.2.11 Exemption from deduction of Equity Holdings in Insurance Companies from CET 1 Items

Article 471 of CRR

430

1.3.3 Additional filters and deductions

Article 481 of CRR

This row reflects the overall effect of transitional provisions on additional filters and deductions.

25.

In accordance with Article 481 of CRR, institutions shall report in item 1.3.3 information relating to the filters and deductions required under the national transposition measures for Articles 57 and 66 of Directive 2006/48/EC and for Articles 13 and 16 of Directive 2006/49/EC, and which are not required in accordance with Part Two.

1.6.3. C 05.02 — Grandfathered instruments: instruments not constituing state aid (CA5.2)

26.

Institutions shall report information in relation with the transitional provisions of grandfathered instruments not constituting state aid (Article 484 to 491 of CRR).

1.6.3.1. Instructions concerning specific positions

Columns
010	Amount of instruments plus related share premium Article 484 (3) to (5) of CRR Instruments which are eligible for each respective row, including their related share premiums.
020	Base for calculating the limit Articles 486 (2) to (4) of CRR
030	Applicable percentage Article 486 (5) of CRR
040	Limit Article 486 (2) to (5) of CRR
050	(-) Amount that exceeds the limits for grandfathering Article 486 (2) to (5) of CRR
060	Total grandfathered amount The amount to be reported shall be equal to the amounts reported in the respective columns in row 060 of CA 5.1.

Rows
010	1. Instruments that qualified for point a) of Article 57 of 2006/48/EC Article 484(3) of CRR The amount to be reported shall include the related share premium accounts.
020	2. Instruments that qualified for point ca) of Article 57 and Article 154(8) and (9) of 2006/48/EC, subject to the limit of Article 489 Article 484(4) of CRR
030	2.1 Total instruments without a call or an incentive to redeem Article 489 of CRR The amount to be reported shall include the related share premium accounts.
040	2.2 Grandfathered instruments with a call and incentive to redeem Article 489 of CRR
050	2.2.1 Instruments with a call exercisable after the reporting date, and which meet the conditions in Article 49 of CRR after the date of effective maturity Articles 489(3), and 491 point (a) of CRR The amount to be reported shall include the related share premium accounts.
060	2.2.2 Instruments with a call exercisable after the reporting date, and which do not meet the conditions in Article 49 of CRR after the date of effective maturity Articles 489(5), and 491 point (a) of CRR The amount to be reported shall include the related share premium accounts.
070	2.2.3 Instruments with a call exercisable prior to or on 20 July 2011, and which do not meet the conditions in Article 49 of CRR after the date of effective maturity Articles 489(6) and 491 point (c) of CRR The amount to be reported shall include the related share premium accounts
080	2.3 Excess on the limit of CET1 grandfathered instruments Article 487(1) of CRR The excess on the limit of CET1 grandfathered instruments may be treated as instruments which can be grandfathered as AT1 instruments.
090	3. Items that qualified for points e), f), g) or h) of Article 57 of 2006/48/EC, subject to the limit of Article 490 Article 484(5) of CRR
100	3.1 Total items without an incentive to redeem Article 490 of CRR
110	3.2 Grandfathered items with an incentive to redeem Article 490 of CRR
120	3.2.1 Items with a call exercisable after the reporting date, and which meet the conditions in Article 63 of CRR after the date of effective maturity Articles 490(3), and 491 point (a) of CRR The amount to be reported shall include the related share premium accounts.
130	3.2.2 Items with a call exercisable after the reporting date, and which do not meet the conditions in Article 63 of CRR after the date of effective maturity Articles 490(5), and 491 point (a) of CRR The amount to be reported shall include the related share premium accounts.
140	3.2.3 Items with a call exercisable prior to or on 20 July 2011, and which do not meet the conditions in Article 63 of CRR after the date of effective maturity Articles 490(6) and 491 point (c) of CRR The amount to be reported shall include the related share premium accounts.
150	3.3 Excess on the limit of AT1 grandfathered instruments Article 487(2) of CRR The excess on the limit of AT1 grandfathered instruments may be treated as instruments which can be grandfathered as T2 instruments.

2. C 06.00 — GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS)

2.1. GENERAL REMARKS

27.

This template consists of four parts in order to gather different information on all individual entities (including the reporting institution) included in the scope of consolidation of the reporting entity.

a)	Entities within the scope of consolidation;

b)	Detailed group solvency information;

c)	Information on the contribution of individual entities to group solvency

d)	Information on capital buffers

28.

Institutions waived according to Article 7 of CRR shall only report the columns 010 to 060 and 250 to 400.

2.2. DETAILED GROUP SOLVENCY INFORMATION;

29.

The second part of this template (detailed group solvency information) in columns 070 to 210 is designed to gather information on credit and other regulated financial institutions which are effectively subject to particular solvency requirements on individual basis. It provides, for each of those entities within the scope of the reporting, the own funds requirements for each risk category and the own funds for solvency purposes.

30.

In the case of proportional consolidation of participations, the figures related to own funds requirements and own funds shall reflect the respective proportional amounts.

2.3. INFORMATION ON THE CONTRIBUTIONS OF INDIVIDUAL ENTITIES TO GROUP SOLVENCY

31.

The objective of the third part of this template (information on the contributions of all entities within CRR scope of consolidation to group solvency), including those that are not subject to particular solvency requirements on an individual basis, in columns 250 to 400, is to identify which entities within the group generate the risks and raise own funds from the market, based on data that are readily available or can easily be reprocessed, without having to reconstruct the capital ratio on a solo or sub-consolidated basis. At the entity level, both risk and own fund figures are contributions to the group figures and not elements of a solvency ratio on a solo basis and as such must not be compared to each other.

32.

The third part also includes the amounts of minority interests, qualifying AT1, and qualifying T2 eligible in the consolidated own funds.

33.

As this third part of the template refers to ‘contributions’, the figures to be reported herein shall defer, when applicable, from the figures reported in the columns referring to detailed group solvency information.

34.

The principle is to delete the cross-exposures within the same groups in a homogeneous way both in terms of risks or own funds, in order to cover the amounts reported in the group's consolidated CA template by adding the amounts reported for each entity in ‘Group Solvency’ template. In cases where the 1 % threshold, is not exceeded a direct link to the CA template is not possible.

35.

The institutions shall define the most appropriate breakdown method between the entities to take into account the possible diversification effects for market risk and operational risk.

36.

Institutions which calculate their own funds requirements on a consolidated basis shall report the GS template. It is possible for one consolidated group to be included within another consolidated group in which case the consolidated entity will have their details included in a higher consolidated group's GS template.

37.

An institution shall report data of the contribution of an entity when its contribution to the total risk exposure amount exceeds 1 % of the total risk exposure amount of the group or when its contribution to the total own funds exceeds 1 % of the total own funds of the group. This threshold does not apply in the case of subsidiaries or subgroups that provide own funds (in the form of minority interests or qualifying AT1 or T2 instruments included in own funds) to the group.

2.4. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

Columns	Instructions
010-060	ENTITIES WITHIN SCOPE OF CONSOLIDATION This template is designed to gather information on all entities on an entity-by-entity-basis within the scope of consolidation according to Chapter 2 of Title II of Part One of CRR. The figures of the parent institutions shall also be included in the group solvency template. This part is not applicable to the total row.
010	NAME Name of the entity within the scope of consolidation.
020	CODE Code assigned to the entity within the scope of consolidation. The actual composition of the code depends on the national reporting system
025	LEI CODE
030	INSTITUTION OR EQUIVALENT: YES/NO ‘YES’ shall be reported in case the entity is subject to own funds requirements according to CRD or provisions at least equivalent to Basel provisions. ‘NO’ shall be reported otherwise. Minority interests: 81(1) point (a) (ii) and 82(1) point (a) (ii) To the effects of minority interests and AT1 and T2 instruments issued by subsidiaries, the subsidiaries whose instruments can be eligible shall be institutions or undertakings subject by virtue of applicable national law to the requirements of CRR.
040	SCOPE OF DATA: SOLO FULLY CONSOLIDATED (SF), SOLO PARTIALLY CONSOLIDATED (SP) OR SUBCONSOLIDATED (SC) ‘SF’ SHALL BE REPORTED FOR INDIVIDUAL SUBSIDIARIES FULLY CONSOLIDATED ‘SP’ SHALL BE REPORTED FOR INDIVIDUAL SUBSIDIARIES PARTIALLY CONSOLIDATED ‘SC’ SHALL BE REPORTED FOR SUBGROUPS.
050	COUNTRY CODE Institutions shall report the two-letter country code according to ISO 3166-2.
060	SHARE OF HOLDING (%) Total percentages of holding held by the reporting institution. This percentage is referred to the actual share of capital relevant for consolidation.
070-240	INFORMATION ON ENTITIES SUBJECT TO OWN FUNDS REQUIREMENT The section of detailed information (i.e. columns 070 to 240) shall gather information only on those entities and subgroups which, being within the scope of consolidation (Chapter 2 of Title II of Part One of CRR), are effectively subject to solvency requirements according to CRR or provisions at least equivalent to Basel provisions (i.e, reported yes in column 030). Information shall be included about all individual institutions of a consolidated group that are subject to own funds requirements, regardless where they are located. The information reported in this part shall be according to the local solvency rules where the institution is operating (therefore for this template it is not necessary to do a double calculation on an individual basis according to the parent institution's rules). When local solvency rules differ from CRR and a comparable breakdown is not given, the information shall be completed where data is available in the respective granularity. Therefore, this part is a factual template that summarises the calculations that the individual institutions of a group shall carry out, bearing in mind that some of those institutions may be subject to different solvency rules. Reporting of fixed overheads of investment firms: Investment firms shall include own funds requirements related to fixed overheads in their calculation of capital ratio according to Articles 95, 96, 97 and 98 of CRR. The part of the total risk exposure amount related to fixed overheads shall be reported in column 100 of part 2 of this template.
070	TOTAL RISK EXPOSURE AMOUNT The sum of the columns 080 to 110 shall be reported.
080	CREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/DELIVERY RISK The amount to be reported in this column corresponds to the sum of risk weighted exposure amounts that are equal or equivalent to the ones that must be reported in row 040 ‘RISK WEIGHTED EXPOSURE AMOUNTS FOR CREDIT, COUNTERPARTY CREDIT AND DILUTION RISKS AND FREE DELIVERIES’ and the amounts of own funds requirements that are equal or equivalent to the ones that must be reported in row 490 ‘TOTAL RISK EXPOSURE AMOUNT FOR SETTLEMENT/DELIVERY RISKS’ of the template CA2.
090	POSITION, FX AND COMMODITY RISKS The amount to be reported in this column corresponds to the amount of own funds requirements that are equal or equivalent to the ones that must be reported in row 520 ‘TOTAL RISK EXPOSURE AMOUNT FOR POSITION, FOREIGN EXCHANGE AND COMMODITIES RISKS’ of the template CA2.
100	OPERATIONAL RISK The amount to be reported in this column corresponds to the risk exposure amount that is equal or equivalent to the one that shall be reported in row 590 ‘TOTAL RISK EXPOSURE AMOUNT FOR OPERATIONAL RISKS (OpR)’ of the template CA2. Fixed overheads shall be included in this column including the row 630 ‘ADDITIONAL RISK EXPOSURE AMOUNT DUE TO FIXED OVERHEADS’ of the template CA2.
110	OTHER RISK EXPOSURE AMOUNTS The amount to be reported in this column corresponds to the risk exposure amount not especially listed above. It is the sum of the amounts of rows 640, 680 and 690 of the template CA2.
120-240	DETAILED INFORMATION ON GROUP SOLVENCY OWN FUNDS The information reported in the following columns shall be according to the local solvency rules where the entity or subgroup is operating.
120	OWN FUNDS The amount to be reported in this column corresponds to the amount of own funds that are equal or equivalent to the ones that must be reported in row 010 ‘OWN FUNDS’ of the template CA1.
130	OF WHICH: QUALIFYING OWN FUNDS Article 82 of CRR This column shall only be provided for the subsidiaries reported on an individual basis that are fully consolidated, which are institutions. Qualifying holdings are, for the subsidiaries specified above, the instruments (plus related retained earnings, share premium accounts and other reserves) owned by persons other than the undertakings included in the CRR consolidation. The amount to be reported shall include the effects of any transitional provision. It shall be the eligible amount on the date of reporting.
140	OF WHICH: OWN FUNDS INSTRUMENTS, RELATED RETAINED EARNINGS, SHARE PREMIUM ACCOUNTS AND OTHER RESERVES Article 87 (1) (b) of CRR
150	TOTAL TIER 1 CAPITAL Article 25 of CRR
160	OF WHICH: QUALIFYING TIER 1 CAPITAL Article 82 of CRR This column shall only be provided for the subsidiaries reported on an individual basis that are fully consolidated, which are institutions. Qualifying holdings are, for the subsidiaries specified above, the instruments (plus related retained earnings and share premium accounts) owned by persons other than the undertakings included in the CRR consolidation. The amount to be reported shall include the effects of any transitional provision. It shall be the eligible amount on the date of reporting.
170	OF WHICH: T1 INSTRUMENTS, RELATED RETAINED EARNINGS AND SHARE PREMIUM ACCOUNTS Article 87 (1) (b) of CRR
180	COMMON EQUITY TIER 1 CAPITAL Article 50 of CRR
190	OF WHICH: MINORITY INTERESTS Article 81 of CRR This column shall only be reported for subsidiaries fully consolidated which are institutions, except subsidiaries referred to in article 84(3) of CRR. Each subsidiary shall be considered on a sub-consolidated basis for the purpose of all the calculations required in article 84 of CRR, if relevant, in accordance with article 84(2), otherwise on a solo basis. To the effects of CRR and this template, minority interests are, for the subsidiaries specified above, the CET1 instruments (plus related retained earnings and share premium accounts) owned by persons other than the undertakings included in the CRR consolidation. The amount to be reported shall include the effects of any transitional provision. It shall be the eligible amount on the date of reporting.
200	OF WHICH: OWN FUNDS INSTRUMENTS, RELATED RETAINED EARNINGS, SHARE PREMIUM ACCOUNTS AND OTHER RESERVES Article 87 (1) (b) of CRR
210	ADDITIONAL TIER 1 CAPITAL Article 61 of CRR
220	OF WHICH: QUALIFYING ADDITIONAL TIER 1 CAPITAL Articles 82 and 83 of CRR This column shall only be provided for the subsidiaries reported on an individual basis that are fully consolidated which are institutions, except subsidiaries referred to in article 85 (2) of CRR. Each subsidiary shall be considered on a sub-consolidated basis for the purpose of all the calculations required in article 85 of CRR, if relevant, in accordance with article 85(2), otherwise on a solo basis. To the effects of CRR and this template, minority interests are, for the subsidiaries specified above, the AT1 instruments (plus related retained earnings and share premium accounts) owned by persons other than the undertakings included in the CRR consolidation. The amount to be reported shall include the effects of any transitional provision. It shall be the eligible amount on the date of reporting.
230	TIER 2 CAPITAL Article 71 of CRR
240	OF WHICH: QUALIFYING TIER 2 CAPITAL Articles 82 and 83 of CRR This column shall only be provided for the subsidiaries reported on an individual basis that are fully consolidated, which are institutions, except subsidiaries referred to in article 87 (2) of CRR. Each subsidiary shall be considered on a sub-consolidated basis for the purpose of all the calculations required in article 87 of CRR, if relevant, in accordance with article 87(2) of CRR, otherwise on a solo basis. To the effects of CRR and this template, minority interests are, for the subsidiaries specified above, the T2 instruments (plus related retained earnings and share premium accounts) owned by persons other than the undertakings included in the CRR consolidation. The amount to be reported shall include the effects of any transitional provision, i.e. it has to be the eligible amount in the date of reporting.
250-400	INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP
250-290	CONTRIBUTION TO RISKS The information reported in the following columns shall be according to the solvency rules applicable to the reporting institution.
250	TOTAL RISK EXPOSURE AMOUNT The sum of the columns 260 to 290 shall be reported.
260	CREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/DELIVERY RISK The amount to be reported shall be the risk weighted exposure amounts for credit risk and own funds requirements of settlement/delivery risk as per CRR, excluding any amount related to transactions with other entities included in the Group consolidated solvency ratio computation.
270	POSITION, FX AND COMMODITY RISKS Risk exposure amounts for market risks are to be computed at each entity level following CRR. Entities shall report the contribution to the total risk exposure amounts for position, FX and commodity risk of the group. The sum of amounts reported here corresponds to the amount reported in row 520 ‘TOTAL RISK EXPOSURE AMOUNTS FOR POSITION, FOREIGN EXCHANGE AND COMMODITY RISKS’ of the consolidated report.
280	OPERATIONAL RISK In case of AMA, the reported risk exposure amounts for operational risk include the effect of diversification. Fixed overheads shall be included in this column.
290	OTHER RISK EXPOSURE AMOUNTS The amount to be reported in this column corresponds to the risk exposure amount not especially listed above.
300-400	CONTRIBUTION TO OWN FUNDS This part of the template does not intend to impose that institutions perform a full computation of the total capital ratio at the level of each entity. Columns 300 to 350 shall be reported for those consolidated entities which contribute to own funds by minority interest, whereas columns 360 to 400 shall be reported by all other consolidated entities which contribute to the consolidated own funds. Own funds brought to an entity by the rest of entities included within the scope of the reporting entity shall not to be taken into account, only the net contribution to the group own funds shall be reported in this column, that is mainly the own funds raised from third parties and accumulated reserves. The information reported in the following columns shall be according to the solvency rules applicable to the reporting institution.
300-350	QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS The amount to be reported as ‘QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS’ shall be the amount as derived from Title II of Part Two of CRR, excluding any fund brought in by other group entities.
300	QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS Article 87 of CRR
310	QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 1 CAPITAL Article 85 of CRR
320	MINORITY INTERESTS INCLUDED IN CONSOLIDATED COMMON EQUITY TIER 1 CAPITAL Article 84 of CRR The amount to be reported is the amount of minority interests of a subsidiary that is included in consolidated CET1 according to the CRR.
330	QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED ADDITIONAL TIER 1 CAPITAL Article 86 of CRR The amount to be reported is the amount of minority interests of a subsidiary that is included in consolidated AT1 according to the CRR.
340	QUALIFYING OWN FUNDS INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 2 CAPITAL Article 89 of CRR The amount to be reported is the amount of minority interests of a subsidiary that is included in consolidated T2 according to the CRR.
350	MEMORANDUM ITEM: GOODWILL (-) /(+) NEGATIVE GOODWILL
360-400	CONSOLIDATED OWN FUNDS Article 18 (2) CRR The amount to be reported as ‘CONSOLIDATED OWN FUNDS’ is the amount as derived from the balance sheet, excluding any fund brought in by other group entities.
360	CONSOLIDATED OWN FUNDS
370	OF WHICH: COMMON EQUITY TIER 1
380	OF WHICH: ADDITIONAL TIER 1
390	OF WHICH: CONRIBUTIONS TO CONSOLIDATED RESULT The contribution of each entity to the consolidated result (profit or loss (-)) is reported. This includes the results attributable to minority interests.
400	OF WHICH: (-) GOODWILL/(+) NEGATIVE GOODWILL Goodwill or negative goodwill of the reporting entity on the subsidiary is reported here.
410-430	CAPITAL BUFFERS The structure of the reporting of capital buffers for the GS template follows the general structure of the template CA4, using the same reporting concepts. When reporting the capital buffers for the GS template, the relevant amounts shall be reported following the calculating of the buffer requirements, that means depending whether the requirements shall be calculated on consolidated, subconsolidated or individual level.
410	COMBINED BUFFER REQUIREMENTS Article 128 point (2) of CRD
420	CAPITAL CONSERVATION BUFFER Article 128 point (1) and 129 of CRD According to Article 129 (1) the capital conservation buffer is an additional amount of Common Equity Tier 1 capital. Due to the fact that the capital conservation buffer rate of 2.5 % is stable, an amount shall be reported in this cell.
430	INSTITUTION SPECIFIC COUNTERCYCLICAL CAPITAL BUFFER Article 128 point (7), Article 130 and 135-140 of CRD In this cell the concrete amount of the countercyclical buffer shall be reported.
440	CONSERVATION BUFFER DUE TO MACRO-PRUDENTIAL OR SYSTEMIC RISK IDENTIFIED AT THE LEVEL OF A MEMBER STATE Article 458 (2) point d (iv) of CRR In this cell the amount of the conservation buffer due to macro-prudential or systemic risk identified at the level of a Member State, which can be requested according to Article 458 of CRR in addition to the capital conservation buffer shall be reported.
450	SYSTEMIC RISK BUFFER Article 133 and 134 of CRD In this cell the amount of the systemic risk buffer shall be reported.
460	SYSTEMICAL IMPORTANT INSTITUTION BUFFER Article 128 point (4) of CRD In this cell the amount of the Systemically important institution buffer shall be reported.
470	GLOBAL SYSTEMICALLY IMPORTANT INSTITUTION BUFFER Article 131 of CRD In this cell the amount of the Global Systemically Important Institution buffer shall be reported.
480	OTHER SYSTEMICALLY IMPORTANT INSTITUTION BUFFER Article 131 of CRD In this cell the amount of the Other Systemically Important Institution buffer shall be reported.

Rows	Instructions
010	The template has a fixed row, which is the total of all the individual entities (not including subgroups). This row does not require information in the first part of the template.
999	Below the fixed row, there shall be a row for each entity.

3. CREDIT RISK TEMPLATES

3.1. GENERAL REMARKS

38.

There are different sets of templates for the Standardised approach and the IRB approach for credit risk. Additionally, separate templates for the geographical breakdown of positions subject to credit risk shall be reported if the relevant threshold as set out in Article 5(a)(4) is exceeded.

3.1.1. Reporting of CRM techniques with substitution effect

39.

Article 235 of CRR describes the computation procedure of the exposure which is fully protected by unfunded protection.

40.

Article 236 of CRR describes the computation procedure of exposure which is fully protected by unfunded protection in the case of full protection/partial protection — equal seniority.

41.

Articles 196, 197 and 200 of CRR regulate the funded credit protection.

42.

Reporting of exposures to obligors (immediate counterparties) and protection providers which are assigned to the same exposure class shall be done as an inflow as well as an outflow to the same exposure class.

43.

The exposure type does not change because of unfunded credit protection.

44.

If an exposure is secured by an unfunded credit protection, the secured part is assigned as an outflow e.g. in the exposure class of the obligor and as an inflow in the exposure class of the protection provider. However, the type of the exposure does not change due to the change of the exposure class.

45.

The substitution effect in the COREP reporting framework shall reflect the risk weighting treatment effectively applicable to the covered part of the exposure. As such, the covered part of the exposure is risk weighted according to the SA approach and shall be reported in the CR SA template.

3.1.2. Reporting of Counterparty Credit Risk

46.

Exposures stemming from Counterparty Credit Risk positions shall be reported in templates CR SA or CR IRB independent from whether they are Banking Book items or Trading Book items.

3.2. C 07.00 — CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: STANDARDISED APPROACH TO CAPITAL REQUIREMENTS (CR SA)

3.2.1. General remarks

47.

The CR SA templates provide the necessary information on the calculation of own funds requirements for credit risk according to the standardised approach. In particular, they provide detailed information on:

a)	the distribution of the exposure values according to the different, exposure types, risk weights and exposure classes;

b)	the amount and type of credit risk mitigation techniques used for mitigating the risks.

3.2.2. Scope of the CR SA template

48.

According to Article 112 of CRR each SA exposure shall be assigned to one of the 16 SA exposure classes in order to calculate the own funds requirements.

49.

The information in CR SA is requested for the total exposure classes and individually for each of the exposure classes as defined for the standardised approach. The total figures as well as the information of each exposure class are reported in a separate dimension.

50.

However the following positions are not within the scope of CR SA:

a)	Exposures assigned to exposure class ‘items representing securitisation positions’ according to Article 112 (m) of CRR which shall be reported in the CR SEC templates.

b)	Exposures deducted from own funds.

51.

The scope of the CR SA template covers the following own funds requirements:

a)	Credit risk in accordance with Chapter 2 (Standardised Approach) of Title II of Part Three of CRR in the banking book, among which Counterparty credit risk in accordance with Chapter 6 (Counterparty credit risk) of Title II of Part Three of CRR in the banking book;

b)	Counterparty credit risk in accordance with Chapter 6 (Counterparty credit risk) of Title II of Part Three of CRR in the trading book;

c)	Settlement risk arising from free deliveries in accordance with Article 379 of CRR in respect of all the business activities.

52.

The scope of the template are all exposures for which the own funds requirements are calculated according to part 3 title II chapter 2 of CRR in conjunction with part 3 title II chapter 4 and 6 of CRR. Institutions that apply Article 94 (1) of CRR also need to report their trading book positions in this template when they apply part 3 title II chapter 2 of CRR to calculate the own funds requirements thereof (part 3 title II chapter 2 and 6 and title V of CRR). Therefore the template provides not only detailed information on the type of the exposure (e.g. on balance sheet/ off balance sheet items), but also information on the allocation of risk weights within the respective exposure class.

53.

In addition CR SA includes memorandum items in rows 220 to 250 in order to collect further information about exposures secured by mortgages on immovable property and exposures in default.

54.

These memorandum items shall only be reported for the following exposure classes:

a)	Central governments or central banks (Article 112 point (a) of CRR)

b)	Regional governments or local authorities (Article 112 point (b) of CRR)

c)	Public sector entities (Article 112 point (c) of CRR)

d)	Institutions (Article 112 point (f) of CRR)

e)	Corporates (Article 112 point (g) of CRR)

f)	Retail (Article 112 point (h) of CRR).

55.

The reporting of the memorandum items affect neither the calculation of the risk weighted exposure amounts of the exposure classes according to Article 112 points a) to c) and f) to h) of CRR nor of the exposure classes according to Article 112 points i) and j) of CRR reported in CR SA,.

56.

The memorandum rows provide additional information about the obligor structure of the exposure classes ‘in default’ or ‘secured by immovable property’. Here exposures shall be reported where the obligors would have been reported in the exposure classes ‘Central governments or central banks’, ‘Regional governments or local authorities’, ‘Public sector entities’, ‘Institutions’, ‘Corporates’ and ‘Retail’ of CR SA, if those exposures were not assigned to the exposure classes ‘in default’ or ‘secured by immovable property’.

57.

E.g. if an exposure, the risk exposure amounts of which are calculated subject to Article 127 of CRR and the value adjustments are less than 20 %, then this information is reported in CR SA, rows 220 in the total and in the exposure class ‘in default’. If this exposure, before it defaulted, was an exposure to an institution then this information shall also be reported in row 220 of exposure class ‘institutions’.

3.2.3. Assignment of exposures to exposure classes under the Standardised Approach

58.

In order to ensure a consistent categorisation of exposures into the different exposure classes as defined in Article 112 of CRR the following sequential approach shall be applied:

a)	In the first step the Original exposure pre conversion factors is classified into the corresponding (original) exposure class as referred to in Article 112 of CRR, without prejudice to the specific treatment (risk weight) that each specific exposure shall receive within the assigned exposure class.

b)	In a second step the exposures may be redistributed to other exposure classes due to the application of credit risk mitigation (CRM) techniques with substitution effects on the exposure (e.g. guarantees, credit derivatives, financial collateral simple method) via inflows and outflows.

59.

The following criteria apply for the classification of the Original exposure pre conversion factors into the different exposure classes (first step) without prejudice to the subsequent redistribution caused by the use of CRM techniques with substitution effects on the exposure or to the treatment (risk weight) that each specific exposure shall receive within the assigned exposure class.

60.

For the purpose of classifying the original exposure pre conversion factor in the first step, the CRM techniques associated to the exposure shall not be considered (note that they shall be considered explicitly in the second phase) unless a protection effect is intrinsically part of the definition of an exposure class as it is the case in the exposure class mentioned in Article 112 point (i) of CRR (exposures secured by mortgages on immovable property).

61.

Article 112 of CRR does not provide criteria for disjoining the exposure classes. This might imply that one exposure could potentially be classified in different exposure classes if no prioritisation in the assessment criteria for the classification is provided. The most obvious case arises between exposures to institutions and corporate with a short-term credit assessment (Article 112 point (n) of CRR) and exposures to institutions (Article 112 point (f) of CRR)/ exposures to corporates (Article 112 point (g) of CRR). In this case it is clear that there is an implicit prioritisation in the CRR since it shall be assessed first if a certain exposure fit for being assigned to Short-term exposures to institutions and corporate and only afterwards do the same process for exposures to institutions and exposures to corporates. Otherwise it is obvious that the exposure class mentioned in Article 112 point (n) of CRR shall never be assigned an exposure. The example provided is one of the most obvious examples but not the only one. It is worth noting that the criteria used for establishing the exposure classes under the standardised approach are different (institutional categorisation, term of the exposure, past due status, etc.) which is the underlying reason for non disjoint groupings.

62.

For a homogeneous and comparable reporting it is necessary to specify prioritisation assessment criteria for the assignment of the Original exposure pre conversion factor by exposure classes, without prejudice to the specific treatment (risk weight) that each specific exposure shall receive within the assigned exposure class. The prioritisation criteria presented below using a decision tree scheme are based on the assessment of the conditions explicitly laid down in the CRR for an exposure to fit in a certain exposure class and, if it is the case, on any decision on the part of the reporting institutions or the supervisor on the applicability of certain exposure classes. As such, the outcome of the exposure assignment process for reporting purposes would be in line with CRR provisions. This does not preclude institutions to apply other internal assignment procedures that may also be consistent with all relevant CRR provisions and its interpretations issued by the appropriate fora.

63.

An exposure class shall be given priority to others in the assessment ranking in the decision tree (i.e. it shall be first assessed if an exposure can be assigned to it, without prejudice to the outcome of that assessment) if otherwise no exposures would potentially be assigned to it. This would be the case when in the absence of prioritisation criteria one exposure class would be a subset of others. As such the criteria graphically depicted in the following decision tree would work on a sequential process.

64.

With this background the assessment ranking in the decision tree mentioned below would follow the following order:

1.	Securitisation positions;

2.	Items associated with particular high risk;

3.	Equity exposures

4.	Exposures in default;

5.	Exposures in the form of units or shares in collective investment undertakings (‘CIU’)/ Exposures in the form of covered bonds (disjoint exposure classes);

6.	Exposures secured by mortgages on immovable property;

7.	Other items;

8.	Exposures to institutions and corporates with a short-term credit assessment;

All other exposure classes (disjoint exposure classes) which include Exposures to central governments or central banks; Exposures to regional governments or local authorities; Exposures to public sector entities; Exposures to multilateral development banks; Exposures to international organisations; Exposures to institutions; Exposures to corporate and Retail exposures.

65.

In the case of exposures in the form of units or shares in collective investment undertakings and where the look through approach (Article 132 (3) to (5) of CRR) is used, the underlying individual exposures shall be considered and classified into their corresponding risk weight line according to their treatment, but all the individual exposures shall be classified within the exposure class of exposures in the form of units or shares in collective investment undertakings (‘CIU’).

66.

In the case of ‘nth’ to default credit derivatives specified in Article 134 (6) of CRR, if they are rated, they shall be directly classified as securitisation positions. If they are not rated, they shall be considered in the ‘Other items’ exposure class. In this latter case the nominal amount of the contract shall be reported as the Original exposure pre conversion factors in the line for ‘Other risk weights’ (the risk weight used shall be that specified by the sum indicated under Article 134 (6) of CRR.

67.

In a second step, as a consequence of credit risk mitigation techniques with substitution effects, exposures shall be reallocated to the exposure class of the protection provider.

DECISION TREE ON HOW TO ASSIGN THE ORIGINAL EXPOSURE PRE CONVERSION FACTORS TO THE EXPOSURE CLASSES OF THE STANDARDISED APPROACH ACCORDING TO CRR

3.2.4. Clarifications on the scope of some specific exposure classes referred to in Article 112 of CRR

3.2.4.1. Exposure Class ‘Institutions’

68.

Reporting of intra-group exposures according to Article 113 (6) to (7) of CRR shall be done as follows:

69.

Exposures which fulfil the requirements of Article 113 (7) of CRR shall be reported in the respective exposure classes where they would be reported if they were no intra-group exposures.

70.

According Article 113 (6) and (7) of CRR ‘an institution may, subject to the prior approval of the competent authorities, decide not to apply the requirements of paragraph 1 of this Article to the exposures of that institution to a counterparty which is its parent undertaking, its subsidiary, a subsidiary of its parent undertaking or an undertaking linked by a relationship within the meaning of Article 12(1) of Directive 83/349/EEC.’ This means that intra-group counterparties are not necessarily institutions but also undertakings which are assigned to other exposure classes, e.g. ancillary services undertakings or undertakings within the meaning of Article 12 (1) of Directive 83/349/EEC. Therefore intra-group exposures shall be reported in the corresponding exposure class.

3.2.4.2. Exposure Class ‘Covered Bonds’

71.

The assignment of SA exposures to the exposure class ‘covered bonds’ shall be done as follows:

72.

Bonds as defined in Article 52 (4) of Directive 2009/65/EC shall fulfil the requirements of Article 129 (1) to (2) of CRR to be classified in the exposure class ‘Covered Bonds’. The fulfilment of those requirements has to be checked in each case. Nevertheless, bonds according to Article 52 (4) of Directive 2009/65/EC and issued before 31 December 2007, are also assigned to the exposure class ‘Covered Bonds’ because of Article 129 (6) of CRR.

3.2.4.3. Exposure class ‘Collective Investment Undertakings’

73.

Where the possibility according to Article 132 (5) of CRR is used, exposures in the form of units or shares in CIUs shall be reported as on balance sheet items according to Article 111 (1) sentence 1 of CRR.

3.2.5. Instructions concerning specific positions

Columns

010

ORIGINAL EXPOSURE PRE CONVERSION FACTORS

Exposure value without taking into account value adjustments and provisions, conversion factors and the effect of credit risk mitigation techniques with the following qualifications stemming from Article 111 (2) of CRR:

For Derivative instruments, repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions subject to part 3 title II chapter 6 of CRR or subject to Article 92 (3) point (f) of CRR, the original exposure shall correspond to the Exposure Value for Counterparty Credit Risk calculated according to the methods laid down in part 3 title II chapter 6 of CRR.

Exposure values for leases are subject to Article 134 (7) of CRR.

In case of on-balance sheet netting laid down in Article 219 of CRR the exposure values shall be reported according to the received cash collateral.

In the case of master netting agreements covering repurchase transactions and/or securities or commodities lending or borrowing transactions and/ or other capital market driven transactions subject to part 3 title II chapter 6 of CRR, the effect of Funded Credit Protection in the form of master netting agreements as under Article 220 (4) of CRR shall be included in column 010. Therefore, in the case of master netting agreements covering repurchase transactions subject to the provisions in part 3 title II chapter 6 of CRR, E* as calculated under Articles 220 and 221 of CRR shall be reported in column 010 of the CR SA template.

020

OF WHICH: ARISING FROM DEFAULT FUND CONTRIBUTIONS

Article 307 and 310 of CRR

030

(-) Value adjustments and provision associated with the original exposure

Article 24 and 110 of CRR

Value adjustments and provisions for credit losses made in accordance with the accounting framework to which the reporting entity is subject to.

040

Exposure net of value adjustments and provisions

Sum of columns 010 and 030.

050-100

CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE

Credit risk mitigation techniques as defined in Article 4 (57) of CRR that reduce the credit risk of an exposure or exposures via the substitution of exposures as defined below in Substitution of the exposure due to CRM.

If collateral has an effect on the exposure value (e.g. if used for credit risk mitigation techniques with substitution effects on the exposure) it shall be capped at the exposure value.

Items to be reported here:

—	collateral, incorporated according to Financial Collateral Simple Method;

—	eligible unfunded credit protection.

Please also see instructions of point 4.1.1.

050-060

Unfunded credit protection: adjusted values (Ga)

Article 235 of CRR

Article 239 (3) of CRR defines the adjusted value Ga of an unfunded credit protection.

050

Guarantees

—	Article 203 of CRR

—	Unfunded Credit Protection as defined in Article 4 (59) of CRR different from Credit Derivatives.

060

Credit derivatives

Article 204 of CRR.

070-080

Funded credit protection

These columns refer to funded credit protection according to Article 4 (58) of CRR and Articles 196, 197 and 200 of CRR. The amounts shall not include master netting agreements (already included in Original Exposure pre conversion factors).

Credit Linked Notes and on-balance sheet netting positions resulting from eligible on-balance sheet netting agreements according to Articles 218 and 219 of CRR shall be treated as cash collateral.

070

Financial collateral: simple method

Article 222 (1) to (2) of CRR.

080

Other funded credit protection

Article 232 of CRR.

090-100

SUBSTITUTION OF THE EXPOSURE DUE TO CRM

Articles 222 (3), Article 235 (1) to (2) and Article 236 of CRR.

Outflows correspond to the covered part of the Original Exposure pre conversion factors, that is deducted from the obligor's exposure class and subsequently assigned to the protection provider's exposure class. This amount shall be considered as an Inflow into the protection provider's exposure class.

Inflows and outflows within the same exposure classes shall also be reported.

Exposures stemming from possible in- and outflows from and to other templates shall be taken into account.

110

NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS

Amount of the exposure net of value adjustments after taking into account outflows and inflows due to CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE

120-140

CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE EXPOSURE AMOUNT. FUNDED CREDIT PROTECTION, FINANCIAL COLLATERAL COMPREHENSIVE METHOD

Articles 223, 224, 225, 226, 227 and 228 of CRR. It also includes credit linked notes (Article 218 of CRR)

Credit Linked Notes and on-balance sheet netting positions resulting from eligible on-balance sheet netting agreements according to Articles 218 and 219 of CRR are treated as cash collateral.

The effect of the collateralization of the Financial Collateral Comprehensive Method applied to an exposure, which is secured by eligible financial collateral, is calculated according to Articles 223, 224, 225, 226, 227 and 228 of CRR.

120

Volatility adjustment to the exposure

Article 223 (2) to (3) of CRR.

The amount to be reported is given by the impact of the volatility adjustment to the exposure (Eva-E) = E*He

130

(-) Financial collateral adjusted value (Cvam)

Article 239 (2) of CRR.

For trading book operations includes financial collateral and commodities eligible for trading book exposures according to Article 299 (2) points (c) to (f) of CRR.

The amount to be reported corresponds to Cvam= C*(1-Hc-Hfx)*(t-t*)/(T-t*). For a definition of C, Hc, Hfx, t, T and t* see part 3 title II chapter 4 section 4 and 5 of CRR.

140

Of which: Volatility and maturity adjustments

Article 223 (1) of CRR and Article 239 (2) of CRR.

The amount to be reported is the joint impact of volatility and maturity adjustments (Cvam-C) = C*[(1-Hc-Hfx)*(t-t*)/(T-t*)-1], where the impact of volatility adjustment is (Cva-C) = C*[(1-Hc-Hfx)-1] and the impact of maturity adjustments is (Cvam-Cva)= C*(1-Hc-Hfx)*[(t-t*)/(T-t*)-1]

150

Fully adjusted exposure value (E*)

Article 220 (4), Article 223 (2) to (5) and Article 228 (1) of CRR.

160-190

Breakdown of the fully adjusted exposure of off-balance sheet items by conversion factors

Article 111 (1) and Article 4 (56) of CRR. See also Article 222 (3) and Article 228 (1) of CRR.

200

Exposure value

Part 3 title II chapter 4 section 4 of CRR.

Exposure value after taking into account value adjustments, all credit risk mitigants and credit conversion factors that is to be assigned to risk weights according to Article 113 and part 3 title II chapter 2 section 2 of CRR.

210

Of which: Arising from Counterparty Credit Risk

For Derivative instruments, repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions subject to part 3 title II chapter 6 of CRR, the exposure value for Counterparty Credit Risk calculated according to the methods laid down in part 3 title II chapter 6 sections 2, 3, 4, 5 of CRR.

215

Risk weighted exposure amount pre SME-supporting factor

Article 113 (1) to (5) of CRR without taking into account the SME-supporting factor according to Article 501 of CRR.

220

Risk weighted exposure amount after SME-supporting factor

Article 113 (1) to (5) of CRR taking into account the SME-supporting factor according to Article 501 of CRR.

230

Of which: with a credit assessment by a nominated ECAI

240

Of which: with a credit assessment derived from central government

Rows	Instructions
010	Total exposures
020	of which: SME This row shall only be reported for the Total and the exposure classes retail, corporate and secured by mortgages on immovable property All exposures to SME shall be reported here.
030	of which: SME subject to the SME-supporting factor This row shall only be reported for the Total and the exposure classes retail, corporate and secured by mortgages on immovable property. Only exposures to SME which meet the requirements of Article 501 CRR shall be reported here.
040	of which: Secured by mortgages on immovable property — Residential property Article 125 of CRR. Only reported in exposure class ’Secured by mortgages on immovable property’
050	of which: Exposures under the permanent partial use of the standardised approach Exposures treated under Article 150(1) of the CRR
060	of which: Exposures under the standardised approach with prior supervisory permission to carry out a sequential IRB implementation Exposures treated under Article 148(1) of the CRR
070-130	BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES Reporting institution's ‘banking book’ positions shall be broken-down, following the criteria provided below, into on-balance sheet exposures subject to credit risk, off-balance sheet exposures subject to credit risk and exposures subject to counterparty credit risk. Reporting institution's ‘trading book’ counterparty credit risk positions according to Article 92 (3) point (f) and Article 299 (2) of CRR are assigned to the exposures subject to counterparty credit risk. Institutions that apply Article 89 (1) of CRR also break down their ‘trading book’ positions following the criteria provided below, into on-balance sheet exposures subject to credit risk, off-balance sheet exposures subject to credit risk and exposures subject to counterparty credit risk.
070	On balance sheet exposures subject to credit risk Assets referred to in Article 24 of CRR not included in any other category. Exposures, which are on-balance sheet items and which are included as Securities Financing Transactions, Derivatives & Long Settlement Transactions or from Contractual Cross Product Netting shall be reported in rows 040,060 and 080, therefore, not reported in this row. Free deliveries according to Article 379 (1) of CRR (if not deducted) do not constitute an on-balance sheet item, but nevertheless shall be reported in this row. Exposures arising from assets posted to a CCP according to Article 4 (90) of CRR and default fund exposures according to Article 4 (89) of CRR shall be included if not reported in row 030.
080	Off balance sheet exposures subject to credit risk Off-balance sheet positions comprise those items listed in Annex I of CRR. Exposures, which are off-balance sheet items and which are included as Securities Financing Transactions, Derivatives & Long Settlement Transactions or from Contractual Cross Product Netting shall be reported in rows 040, 060 and, therefore, not reported in this row. Exposures arising from assets posted to a CCP according to Article 4 (90) of CRR and default fund exposures according to Article 4 (89) of CRR shall be included if they are considered as off-balance sheet items.
090	Securities Financing Transactions Securities Financing Transactions (SFT), as defined in paragraph 17 of the Basel Committee document ‘The Application of Basel II to Trading Activities and the Treatment of Double Default Effects’, includes: (i) Repurchase and reverse repurchase agreements defined in Article 4 (82) of CRR as well as securities or commodities lending and borrowing transactions; (ii) margin lending transactions as defined in Article 272 (3) of CRR.
100	Of which: centrally cleared through a QCCP Article 306 of CRR for qualifying CCPs according to Articles 4 (88) in conjunction with Article 301 (2) of CRR. Trade exposures to a CCP according to Article 4 (91) of CRR
110	Derivatives and Long Settlement Transactions Derivatives comprise those contract listed in Annex II of CRR. Long Settlement Transactions as defined in Article 272 (2) of CRR. Derivatives and Long Settlement Transactions which are included in a Cross Product Netting and therefore reported in row 080, shall not be reported in this row.
120	Of which: centrally cleared through a QCCP Article 306 of CRR for qualifying CCPs according to Articles 4 (88) in conjunction with Article 301 (2) of CRR Trade exposures to a CCP according to Article 4 (91) of CRR
130	From Contractual Cross Product Netting Exposures that due to the existence of a contractual cross product netting (as defined in Article 272 (11) of CRR cannot be assigned to either Derivatives & Long Settlement Transactions or Securities Financing Transactions) shall be included in this row.
140-280	BREAKDOWN OF EXPOSURES BY RISK WEIGHTS
140	0 %
150	2 % Article 306 (1) of CRR
160	4 % Article 305 (3) of CRR
170	10 %
180	20 %
190	35 %
200	50 %
210	70 % Article 232 (3) point (c) of CRR.
220	75 %
230	100 %
240	150 %
250	250 % Article 133 (2) of CRR
260	370 % Article 471 of CRR
270	1250 % Article 133 (2) of CRR
280	Other risk weights This row is not available for exposure classes Government, Corporates, Institutions and Retail. For reporting those exposures not subject to the risk weights listed in the template. Article 113 (1) to (5) of CRR. Unrated nth to default credit derivatives under the Standardized Approach (Article 134 (6) of CRR) shall be reported in this row under the exposure class ‘Other items’. See also Article 124 (2) and Article 152 (2) point (b) of CRR.
290-320	Memorandum Items See also the explanation of the purpose of the memorandum items in the general section of the CR SA.
290	Exposures secured by mortgages on commercial immovable property Article 112 point (i) of CRR This is a memorandum item only. Independent from the calculation of risk exposure amounts of exposures secured by commercial immovable property according to Article 124 and 126 of CRR the exposures shall be broken down and reported in this row based on the criteria whether the exposures are secured by commercial real estate.
300	Exposures in default subject to a risk weight of 100 % Article 112 point (j) of CRR. Exposures included in the exposure class ‘exposures in default’ which shall be included in this exposure class if they were not in default.
310	Exposures secured by mortgages on residential property Article 112 point (i) of CRR. This is a memorandum item only. Independent from the calculation of risk exposure amounts of exposures secured by mortgages on residential property according to Article 124 and 125 of CRR the exposures shall be broken down and reported in this row based on the criteria whether the exposures are secured by real estate property.
320	Exposures in default subject to a risk weight of 150 % Article 112 point (j) of CRR. Exposures included in the exposure class ‘exposures in default’ which shall be included in this exposure class if they were not in default.

3.3. CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO OWN FUNDS REQUIREMENTS (CR IRB)

3.3.1. Scope of the CR IRB template

74.

The scope of the CR IRB template covers own funds requirements for:

Credit risk in the banking book, among which:

—	Counterparty credit risk in the banking book;

—	Dilution risk for purchased receivables;

ii.	Counterparty credit risk in the trading book;

iii.	Free deliveries resulting from all business activities..

75.

The scope of the template refers to the exposures for which the risk weighted exposure amounts are calculated according to Articles 151 to 157 Part Three Title II Chapter 3 CRR (IRB approach).

76.

The CR IRB template does not cover the following data:

i.	Equity exposures, which are reported in the CR EQU IRB template;

ii.	Securitisation positions, which are reported in the CR SEC SA, CR SEC IRB and/or CR SEC Details templates;

iii.

‘Other non-obligation assets’, according to Article 147 (2) point (g) CRR. The risk weight for this exposure class has to be set at 100 % at any time except for cash in hand, equivalent cash items and exposures that are residual values of leased assets, according to Article 156 CRR. The risk weighted exposure amounts for this exposure class are reported directly in the CA-Template;

iv.	Credit valuation adjustment risk, which is reported on the CVA Risk template; The CR IRB template does not require a geographical breakdown of IRB exposures by residence of the counterparty. This breakdown is reported in the template CR GB.

77.

In order to clarify whether the institution uses its own estimates for LGD and/or credit conversion factors the following information shall be provided for each reported exposure class:

‘NO’= in case the supervisory estimates of LGD and credit conversion factors are used (Foundation IRB)

‘YES’= in case own estimates of LGD and credit conversion factors are used (Advanced IRB)

In any case, for the reporting of the retail portfolios ‘YES’ has to be reported.

In case an institution uses own estimates of LGDs to calculate risk weighted exposure amounts for a part of its IRB exposures as well as uses supervisory LGDs to calculate risk weighted exposure amounts for the other part of its IRB exposures, an CR IRB Total for F-IRB positions and one CR IRB Total for A-IRB positions has to be reported.

3.3.2. Breakdown of the CR IRB template

78.

The CR IRB consists of two templates. CR IRB 1 provides a general overview of IRB exposures and the different methods to calculate total risk exposure amounts as well as a breakdown of total exposures by exposure types. CR IRB 2 provides a breakdown of total exposures assigned to obligor grades or pools. The templates CR IRB 1 and CR IRB 2 shall be reported separately for the following exposure and sub-exposure classes:

1)	Total (The Total template must be reported for the Foundation IRB and, separately for the Advanced IRB approach.)

2)	Central banks and central governments (Article 147 (2) (a) CRR)

3)	Institutions (Article 147 (2) point (b) CRR)

4.1)	Corporate — SME (Article 147 (2) point (c) CRR

4.1)*

Corporate — SME subject to SME-supporting factor

(Article 147 (2) point (c) CRR in conjunction with Article 501 (2))

4.2)	Corporate — Specialised lending (Article 147 (8) CRR)

4.3)	Corporate — Other (All corporates according to article 147 (2) point (c), not reported under 4.1 and 4.2).

5.1)	Retail — Secured by immovable property SME (Exposures reflecting Article 147 (2) point (d) in conjunction with Article 154 (3) CRR which are secured by immovable property).

5.1)*

Retail — Secured by immovable property SME subject to SME-supporting factor

(Exposures reflecting Article 147 (2) point (d) in conjunction with Article 154 (3) CRR which are secured by immovable property).

5.2)	Retail — Secured by immovable property non-SME (Exposures reflecting Article 147 (2) point (d) CRR which are secured by immovable property and not reported under 5.1).

5.3)	Retail — Qualifying revolving (Article 147 (2) point (d) in conjunction with Article 154 (4) CRR).

5.4)	Retail — Other SME (Article 147 (2) point (d) not reported under 5.1 and 5.3).

5.4)*

Retail — Other SME subject to SME supporting factor

(Article 147 (2) point (d) in conjunction with Article 501 (2) CRR not reported under 5.1 and 5.3).

5.5)	Retail — Other non — SME (Article 147 (2) point (d) CRR which were not reported under 5.2 and 5.3).

For the sub-exposure classes 4.1)*, 5.1)* and 5.4)* only row 010 (Total exposures) shall be reported. They represent ‘of which’ positions of the relevant exposure classes with the effect that data relating to these sub-exposure classes shall also be included in the exposure classes 4.1, 5.1 and 5.4.

3.3.3. C 08.01 — Credit and counterparty credit risks and free deliveries: IRB Approach to Capital Requirements (CR IRB 1)

3.3.3.1 Instructions concerning specific positions

Columns

Instructions

010

INTERNAL RATING SYSTEM/ PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%)

The PD assigned to the obligor grade or pool to be reported shall be based on the provisions laid down in Article 180 of CRR. For each individual grade or pool, the PD assigned to the specific obligor grade or pool shall be reported. For figures corresponding to an aggregation of obligor grades or pools (e.g. total exposures) the exposure weighted average of the PDs assigned to the obligor grades or pools included in the aggregation shall be provided. The exposure value (column 110) shall be used for the calculation of the exposure-weighted average PD.

For each individual grade or pool the PD assigned to the specific obligor grade or pool shall be reported. All reported risk parameters shall be derived from the risk parameters used in the internal rating system approved by the respective competent authority.

It is neither intended nor desirable to have a supervisory master scale. If the reporting institution applies a unique rating system or is able to report according to an internal master scale, this scale is used.

Otherwise, the different rating systems shall be merged and ordered according to the following criteria: Obligor grades of the different rating systems shall be pooled and ordered from the lower PD assigned to each obligor grade to the higher. Where the institution uses a large number of grades or pools, a reduced number of grades or pools to be reported may be agreed with the competent authorities.

Institutions shall contact their competent authority in advance, if they want to report a different number of grades in comparison with the internal number of grades.

For the purposes of weighting the average PD the exposure value reported in column 110 is used. All exposures, including defaulted exposures are to be considered for the purpose of the calculation of the exposure weighted average PD (e.g. for ‘total exposure’). Defaulted exposures are those assigned to the last rating grade/s with a PD of 100 %.

020

ORIGINAL EXPOSURE PRE CONVERSION FACTORS

Institutions report the exposure value before taking into account any value adjustments, provisions, effects due to credit risk mitigation techniques or credit conversion factors.

The original exposure value shall be reported in accordance with Article 24 of CRR and Article 166 (1) and (2) and (4) to (7) of CRR.

The effect resulting from Article 166 (3) of CRR (effect of on balance sheet netting of loans and deposits) is reported separately as Funded Credit Protection and therefore shall not reduce the Original Exposure.

030

OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

Breakdown of the original exposure pre conversion factor for all exposures defined according to Article 142 (4) and (5) CRR subject to the higher correlation according to Article 153 (2) CRR.

040-080

CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE

Credit risk mitigation techniques as defined in article 4 (57) of CRR that reduce the credit risk of an exposure or exposures via the substitution of exposures as defined below in ‘SUBSTITUTION OF THE EXPOSURE DUE TO CRM’.

040-050

UNFUNDED CREDIT PROTECTION

Unfunded credit protection: Values as they are defined in Article 4 (59) of CRR.

If collateral has an effect on the exposure (e.g. if used for credit risk mitigation techniques with substitution effects on the exposure) it shall be capped at the exposure value.

040

GUARANTEES:

If the CRM effect of the guarantee is calculated by recognition of the substitution effect, the Adjusted Value (Ga) as defined in Article 236 of CRR shall be provided.

Regarding exposures subject to the double default treatment, the value of unfunded credit protection is reported in Column 220.

When own estimates of LGD are not used: The Adjusted Value (Ga) as defined in Article 236 of CRR shall be provided.

When Own estimates of LGD are used: Article 183 of CRR, except paragraph 3. The nominal amount of the guarantees shall be reported.

Guarantees shall be reported in column 040 when the adjustment is not made in the LGD. When the adjustment is made in the LGD, the amount of the guarantee shall be reported in column 150.

050

CREDIT DERIVATIVES:

When own estimates of LGD are not used, the Adjusted Value (Ga) as defined in Article 216 of CRR shall be provided.

When the adjustment is made in the LGD, the amount of the credit derivatives shall be reported in column 160

Regarding exposures subject to the double default treatment the value of unfunded credit protection is reported in Column 220.

060

OTHER FUNDED CREDIT PROTECTION

When own estimates of LGD are not used: Article 232 of CRR

When own estimates of LGD are used: those credit risk mitigants that comply with the criteria in Article 212 of the CRR.

To be reported in column 060 when the adjustment is not made in the LGD. When an adjustment is made in the LGD the amount shall be reported in column 170

070-080

SUBSTITUTION OF THE EXPOSURE DUE TO CRM

Outflows correspond to the covered part of the Original Exposure pre conversion factors, that is deducted from the obligor's exposure class and, when relevant, obligor grade or pool, and subsequently assigned to the protection provider's exposure class and, when relevant, obligor grade or pool. This amount shall be considered as an Inflow into the protection provider's exposure class and, when relevant, obligor grades or pools.

Inflows and outflows within the same exposure classes and, when relevant, obligor grades or pools shall also be considered.

Exposures stemming from possible in- and outflows from and to other templates shall be taken into account.

090

EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS

Exposure assigned in the corresponding obligor grade or pool and exposure class after taking into account outflows and inflows due to CRM techniques with substitution effects on the exposure.

100, 120

Of which: Off Balance Sheet Items

See CR-SA instructions

110

EXPOSURE VALUE

The value in accordance with Article 166 of CRR and Article 230 (1) sentence 2 of CRR are reported.

For the instruments as defined in Annex I, the credit conversion factors (Article 166 (8) to (10) of CRR) irrespective the approach chosen by the institution, are applied.

For rows 040-060 (securities financing transactions, derivatives and long settlement transactions and exposures from contractual cross-product netting) subject to part 3 title II chapter 6 of CRR, the Exposure Value is the same as the value for Counterparty Credit Risk calculated according to the methods laid down in part 3 title II chapter 6 sections 3, 4, 5, 6 and 7 of CRR. These values are reported in this column and not column 130 ’Of which: arising from counterparty credit risk’.

130

Of which: Arising from counterparty Credit Risk

See CR SA instructions.

140

OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

Breakdown of the exposure value for all exposures defined according to Article 142 (4) and (5) CRR subject to the higher correlation according to Article 153 (2) CRR.

150-210

CREDIT RISK MITIGATION TECHNIQUES TAKEN INTO ACCOUNT IN LGD ESTIMATES EXCLUDING DOUBLE DEFAULT TREATMENT

CRM techniques that have an impact on LGDs as a result of the application of the substitution effect of CRM techniques shall not be included in these columns.

Where own estimates of LGD are not used: Articles 228 (2), 230 (1) and (2), 231 of the CRR

Where own estimates of LGD are used:

—	Regarding unfunded credit protection, for exposures to central government and central banks, institutions and corporates: Article 161 paragraph 3 of the CRR. For retail exposures Article 164 paragraph 2 of the CRR.

—	Regarding funded credit protection collateral taken into account in the LGD estimates according to Article 181 (1) points (e) and (f) of the CRR.

150

GUARANTEES

See instructions to column 040.

160

CREDIT DERIVATIVES

See instructions to column 050.

170

OWN ESTIMATES OF LGDS ARE USED: OTHER FUNDED CREDIT PROTECTION

The relevant value used in the internal modelling of the institution.

Those credit risk mitigants that comply with the criteria in Article 212 of the CRR.

180

ELIGIBLE FINANCIAL COLLATERAL

For trading book operations includes financial instruments and commodities eligible for trading book exposures according to Article 299 paragaph 2 point. (c) to (f) of CRR Credit linked Notes and on -balance sheet netting according to Part 3 Title II Chapter 4 Section 4 of CRR are treated as cash collateral.

When own estimates of LGD are not used: values in accordance with Article 193 (1) to (4) and Article 194 (1) of CRR. The adjusted value (Cvam) as set out in Article 223 (2) of CRR is reported.

When own estimates of LGD are used: financial collateral taken into account in the LGD estimates according to Article 181 (1) points (e) and (f) of CRR. The amount to be reported shall be the estimated market value of the collateral.

190-210

OTHER ELIGIBLE COLLATERAL

Where own estimates of LGD are not used: Article 199 (1) to (8) of CRR and Article 229 of CRR.

Where own estimates of LGD are used: other collateral taken into account in the LGD estimates according to Article 181 (1) points (e) and (f) of CRR.

190

REAL ESTATE

Where own estimates of LGD are not used, values in accordance with Article 199 (2) to (4) of CRR shall be reported. Leasing of real estate property is also included (see Article 199 (7) of CRR). See also Article 229 of CRR.

When own estimates of LGD are used the amount to be reported shall be the estimated market value.

200

OTHER PHYSICAL COLLATERAL

Where own estimates of LGD are not used, values in accordance with Article 199 (6) and (8) of CRR shall be reported. Leasing of property different from real estate is also included (see Article 199 (7) of CRR). See also Article 229 (3) of CRR.

Where own estimates of LGD are used the amount to be reported shall be the estimated market value of collateral.

210

RECEIVABLES

When own estimates of LGD are not used, values in accordance with Articles 199 (5), 229 (2) of CRR are reported.

When own estimates of LGD are used, the amount to be reported shall be the estimated market value of collateral.

220

SUBJECT TO DOUBLE DEFAULT TREATMENT: UNFUNDED CREDIT PROTECTION

Guarantees and credit derivatives covering exposures subject to the double default treatment reflecting Articles 202 and 217 (1) of CRR. See also columns 040 ’Guarantees’ and 050 ’Credit derivatives’.

230

EXPOSURE WEIGHTED AVERAGE LGD (%)

All the impact of CRM techniques on LGD values as specified in Part 3 Title II Chapters 3 and 4 of CRR shall be considered. In the case of exposures subject to the double default treatment the LGD to be reported shall correspond to the one selected according to Article 161 (4) of CRR.

For defaulted exposures, provisions laid down in Article 181 (1) point (h) of CRR shall be considered.

The definition of exposure value as in Column 110 shall be used for the calculation of the exposure-weighted averages.

All effects shall be considered (so the floor applicable to mortgages shall be included in the reporting).

For institutions applying the IRB approach but not using their own estimates of LGD the risk mitigation effects of financial collateral are reflected in E*, the fully adjusted value of the exposure, and then reflected in LGD* according to Article 228 (2) CRR.

The exposure weighted average LGD associated to each PD ‘obligor grade or pool’ shall result from the average of the prudential LGDs, assigned to the exposures of that PD grade/pool, weighted by the respective exposure value of Column 110.

If own estimates of LGD are applied Article 175 and Article 181 (1) and (2) of CRR shall be considered.

In the case of exposures subject to the double default treatment the LGD to be reported shall correspond to the one selected according to Article 161 (4) of CRR.

The calculation of the exposure weighted average LGD shall be derived from the risk parameters really used in the internal rating system approved by the respective competent authority.

Data shall not be reported for specialized lending exposures referred to in article 153 (5).

Exposure and the respective LGD's for large regulated financial sector entities and unregulated financial entities shall not be included in the calculation of column 230, they shall only be included in the calculation of column 240.

240

EXPOSURE WEIGHTED AVERAGE LGD (%) FOR LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

Exposure weighted average LGD (%) for all exposures defined according to Article 142 (4) and (5) CRR subject to the higher correlation according to Article 153 (2) CRR.

250

EXPOSURE-WEIGHTED AVERAGE MATURITY VALUE (DAYS)

The value reported reflects Article 162 of CRR. The exposure value (Column 110) shall be used for the calculation of the exposure-weighted averages. The average maturity is reported in days.

This data shall not be reported for the exposure values for which the maturity is not an element in the calculation of risk weighted exposure amounts. This means that this column shall not be filled in for the exposure class ‘retail’.

255

RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR

For Central governments and Central Banks, Corporate and Institutions see Article 153 (1) and (3) of CRR. For Retail see Article 154 (1) of CRR.

The SME-supporting factor according to Article 501 of CRR shall not be taken into account.

260

RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR

For Central governments and Central Banks, Corporate and Institutions see Article 153 (1) and (3) of CRR. For Retail see Article 154 (1) of CRR.

The SME-supporting factor according to Article 501 of CRR shall be taken into account.

270

OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

Breakdown of the risk weighted exposure amount after SME supporting factor for all exposures defined according to Article 142 (4) and (5) CRR subject to the higher correlation according to Article 153 (2) CRR.

280

EXPECTED LOSS AMOUNT

For the definition of Expected Loss see Article 5 (3) of CRR and, for calculation see Article 158 of CRR. The expected loss amount to be reported shall be based on the risk parameters really used in the internal rating system approved by the respective competent authority.

290

(-) VALUE ADJUSTMENTS AND PROVISIONS

Value Adjustments as well as specific and general provisions under Article 159 CRR are reported. General provisions shall be reported by assigning the amount pro rata — according to the expected loss of the different obligor grades.

300

NUMBER OF OBLIGORS

Articles 172 (1) and (2) of CRR.

For all exposure classes except retail, the institution shall report the number of legal entities /obligors which were separately rated, regardless of the number of different loans or exposures granted.

Within the exposure class retail the institution shall report the number of exposures which were separately assigned to a certain rating grade or pool. In case Article 172 (2) of CRR applies, an obligor may be considered in more than one grade.

As this column deals with an element of the structure of the rating systems, it relates to the original exposures pre conversion factor assigned to each obligor grade or pool without taking into account the effect of CRM techniques (in particular redistribution effects).

The number of obligors shall be calculated based on groups of connected clients according to Article 4 (39) CRR.

Rows	Instructions
010	TOTAL EXPOSURES
020-060	BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:
020	On balance sheet items subject to credit risk Assets referred to in Article 24 of CRR not included in any other category. Exposures, which are on-balance sheet items and which are included as Securities Financing Transactions, Derivatives & Long Settlement Transactions or from Contractual Cross Product Netting shall be reported in rows 040-060 and, therefore, not reported in this row. Free deliveries according to Article 379 (1) of CRR (if not deducted) do not constitute an on-balance sheet item, but nevertheless shall be reported in this row. Exposures arising from assets posted to a CCP according to Article 4 (91) of CRR and default fund exposures according to Article 4 (89) of CRR shall be included if not reported in row 030.
030	Off balance sheet items subject to credit risk Off-balance sheet positions comprise those items listed in Annex I of CRR. Exposures, which are off-balance sheet items and which are included as Securities Financing Transactions, Derivatives & Long Settlement Transactions or from Contractual Cross Product Netting shall be reported in rows 040-060 and, therefore, not reported in this row. Exposures arising from assets posted to a CCP according to Article 4 (91) of CRR and default fund exposures according to Article 4 (89) of CRR shall be included if they are considered as off-balance sheet items.
040-060	Exposures/Transactions subject to counterparty credit risk
040	Securities Financing Transactions Securities Financing Transactions (SFT), as defined in paragraph 17 of the Basel Committee document ‘The Application of Basel II to Trading Activities and the Treatment of Double Default Effects’, includes: (i) Repurchase and reverse repurchase agreements defined in Article 4 (82) of CRR as well as securities or commodities lending and borrowing transactions and (ii) margin lending transactions as defined in Article 272 (3) of CRR. Securities Financing Transactions, which are included in a Cross Product Netting and therefore reported in row 060, shall not be reported in this row.
050	Derivatives and Long Settlement Transactions Derivatives comprise those contracts listed in Annex II of CRR. Derivatives and Long Settlement Transactions which are included in a Cross Product Netting and therefore reported in row 060 shall not be reported in this row.
060	From Contractual Cross Product Netting See CR SA instructions
070	EXPOSURES ASSIGNED TO OBLIGOR GRADES OR POOLS: TOTAL For exposures to corporates, institutions and Central governments and Central Banks see Article 142 (1) point (6) and Article 170 (1) point c) of CRR. For retail exposures see Article 170 (3) point b) of CRR. For Exposures arising from purchased receivables see Article 166 (6) of CRR. Exposures for dilution risk of purchased receivables shall not be reported by obligor grades or pools and shall be reported in row 180. Where the institution uses a large number of grades or pools, a reduced number of grades or pools to be reported may be agreed with the competent authorities. A master scale is not used. Instead, institutions shall determine the scale to be used themselves.
080	SPECIALIZED LENDING SLOTTING CRITERIA: TOTAL Article 153 (5) of CRR. This only applies to the corporates, institutions and central governments and central banks exposure classes.
090-150	BREAKDOWN BY RISK WEIGHTS OF TOTAL EXPOSURES UNDER SPECIALIZED LENDING SLOTTING CRITERIA:
120	Of which: In category 1 Article 153 (5) table 1 of CRR.
160	ALTERNATIVE TREATMENT: SECURED BY REAL ESTATE Articles 193 (1) and (2), 194 (1) to (7) and 230 (3) of CRR.
170	EXPOSURES FROM FREE DELIVERIES APPLYING RISK WEIGHTS UNDER THE ALTERNATIVE TREATMENT OR 100 % AND OTHER EXPOSURES SUBJECT TO RISK WEIGHTS Exposures arising from free deliveries for which the alternative treatment referred to in Article 379 (2) first subparagraph, last sentence of CRR is used or for which a 100 % risk weight is applied according to a Article 379 (2) last subparagraph of CRR. Unrated nth to default credit derivatives under Article 153 (8) of CRR and any other exposure subject to risk weights not included in any other row shall be reported in this row.
180	DILUTION RISK: TOTAL PURCHASED RECEIVABLES See Article 4 (53) of CRR for a definition of dilution risk. For calculation of risk weight for dilution risk see Article 157 (1) of CRR. According to Article 166 (6) of CRR the exposure value of purchased receivables shall be the outstanding amount minus the risk weighted exposure amounts for dilution risk prior to credit risk mitigation.

3.3.4. C 08.02 — Credit and counterparty credit risks and free deliveries: IRB approach to capital requirements (breakdown by obligor grades or pools (CR IRB 2 template)

Column	Instructions
010-300	Instructions for each of these columns are the same as for the corresponding numbered columns in table CR IRB 1.

Row

Instructions

010-001 — 010-NNN

Values reported in these rows must be in ordered from the lower to the higher according to the PD assigned to the obligor grade or pool. PD of obligors in default shall be 100 %. Exposures subject to the alternative treatment for real estate collateral (only available when not using own estimates for the LGD) shall not be assigned according to the PD of the obligor and not reported in this template..

3.4. CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: INFORMATION WITH GEOGRAPHICAL BREAKDOWN (CR GB)

79.

Institutions fulfilling the threshold set in Article 5 (a) (4) shall submit information regarding the domestic country as well as any non-domestic country. The threshold is only applicable to Table 1 and Table 2.

80.

The term ‘residence of the obligor’ refers to the country of incorporation of the obligor. This concept can be applied on an immediate-obligor basis and on an ultimate-risk basis. Hence, CRM techniques can change the allocation of an exposure to a country.

81.

Data regarding ‘original exposure pre conversion factors’ shall be reported referring to the country of residence of the immediate obligor. Data regarding ‘exposure value’ and ‘Risk weighted exposure amounts’ shall be reported as of the country of residence of the ultimate obligor.

3.4.1. C 09.01 — Geographical breakdown of exposures by residence of the obligor: SA exposures (CR GB 1)

3.4.1.1. Instructions concerning specific positions

Columns
010	ORIGINAL EXPOSURE PRE CONVERSION FACTORS Same definition as for column 010 of CR SA template
020	Exposures in default Original exposure pre conversion factors for those exposures which have been classified as ‘defaulted exposures’. This ’memorandum item’ provides additional information about the obligor structure of the exposure class ’in default’. Exposures shall be reported where the obligors would have been reported if those exposures were not assigned to the exposure classes ‘in default’. This information is a ‘memorandum item’ — hence does not affect the calculation of risk weighted exposure amounts of exposure class ‘in default’ according to Article 112 point (j) of CRR.
040	Observed new defaults for the period The amount of original exposures which have moved into exposure class ‘Exposures in default’ during the 3-month period since the last reporting reference date shall be reported against the exposure class to which the obligor originally belonged.
050	General credit risk adjustments Credit risk adjustments according to Article 110 of CRR.
055	Specific credit risk adjustments Credit risk adjustments according to Article 110 of CRR.
060	Write-offs Write-offs include both reductions of the carrying of impaired financial assets recognised directly in profit or loss [IFRS 7.B5.(d).(i)] and reductions in the amounts of the allowance accounts charged against the impaired financial assets [IFRS 7.B5.(d).(ii)].
070	Credit risk adjustments/write-offs for observed new defaults Sum of credit risk adjustments and write-offs for those exposures which were classified as ‘defaulted exposures’ during the 3-month period since the last data submission.
075	Exposure value Same definition as for column 200 of CR SA template
080	RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR Same definition as for column 215 of CR SA template
090	RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR Same definition as for column 220 of CR SA template

Rows
010	Central governments or central banks Article 112 point (a) of CRR.
020	Regional governments or local authorities Article 112 point (b) of CRR.
030	Public sector entities Article 112 point (c) of CRR.
040	Multilateral developments banks Article 112 point (d) of CRR.
050	International organisations Article 112 point (e) of CRR.
060	Institutions Article 112 point (f) of CRR.
070	Corporates Article 112 point (g) of CRR.
075	of which: SME Same definition as for row 020of CR SA template
080	Retail Article 112 point (h) of CRR.
085	of which: SME Same definition as for row 020of CR SA template
090	Secured by mortgages on immovable property Article 112 point (i) of CRR.
095	of which: SME Same definition as for row 020of CR SA template
100	Exposures in default Article 112 point (j) of CRR.
110	Items associated with particularly high risk Article 112 point (k) of CRR.
120	Covered bonds Article 112 point (l) of CRR.
130	Claims on institutions and corporates with a short-term credit assessment Article 112 point (n) of CRR.
140	Collective investments undertakings (CIU) Article 112 point (o) of CRR.
150	Equity exposures Article 112 point (p) of CRR.
160	Other exposures Article 112 point (q) of CRR.

3.4.2. C 09.02 — Geographical breakdown of exposures by residence of the obligor: IRB exposures (CR GB 2)

3.4.2.1. Instructions concerning specific positions

Columns
010	ORIGINAL EXPOSURE PRE CONVERSION FACTORS Same definition as for column 020 of CR IRB template
030	Of which defaulted Original exposure value for those exposures which have been classified as ‘defaulted exposures’ according to CRR article 178.
040	Observed new defaults for the period The amount of original exposures which have moved into exposure class ‘Exposures in default’ during the 3-month period since the last reporting reference date shall be reported against the exposure class to which the obligor originally belonged.
050	General credit risk adjustments Credit risk adjustments according to Article 110of CRR..
055	Specific credit risk adjustments Credit risk adjustments according to Article 110 of CRR.
060	Write-offs Write-offs include both reductions of the carrying of impaired financial assets recognised directly in profit or loss [IFRS 7.B5.(d).(i)] and reductions in the amounts of the allowance accounts charged against the impaired financial assets [IFRS 7.B5.(d).(ii)].
070	Credit risk adjustments/write-offs for observed new defaults Sum of credit risk adjustments and write-offs for those exposures which were classified as ‘defaulted exposures’ during the 3-month period since the last data submission.
080	INTERNAL RATING SYSTEM/ PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%) Same definition as for column 010 of CR IRB template
090	EXPOSURE WEIGHTED AVERAGE LGD (%) Same definition as for column 230 of CR IRB template. Provisions laid down in Article 181 (1) point h) of CRR shall apply. Data shall not be reported for specialized lending exposures referred to in article 153 (5).
100	Of which: defaulted Exposure weighted LGD for those exposures which have been classified as ‘defaulted exposures’ according to Article 178 of CRR.
105	Exposure value Same definition as for column 110 of CR IRB template.
110	RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR Same definition as for column 255 of CR IRB template
120	Of which defaulted Risk weighted exposure amount for those exposures which have been classified as ‘defaulted exposures’ according to Article 178 of CRR.
125	RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR Same definition as for column 260 of CR IRB template
130	EXPECTED LOSS AMOUNT Same definition as for column 280 of CR IRB template

Rows
010	Central banks and central governments (Article 147 (2) (a) CRR)
020	Institutions (Article 147 (2) point (b) CRR)
030	Corporates (All corporates according to article 147 (2) point (c).)
040	Of which: Specialized lending (Article 147 (8) a CRR) Data shall not be reported for specialized lending exposures referred to in article 153 (5).
050	Of which: SME (Article 147 (2) point (c) CRR)
060	Retail All Retail exposures according to Article 147 (2) point (d)
070	Retail — Secured by real estate property Exposures reflecting Article 147 (2) point (d) CRR which are secured by real estate.
080	SME Retail exposures reflecting Article 147 (2) point (d) in conjunction with Article 153 (3) CRR which are secured by real estate.
090	non-SME Retail exposures reflecting Article 147 (2) point (d) CRR which are secured by real estate.
100	Retail — Qualifying revolving (Article 147 (2) point (d) in conjunction with Article 154 (4) CRR).
110	Other Retail Other retail exposures according to Article 147 (2) point (d) not reported in rows 070 — 100.
120	SME Other retail exposures reflecting Article 147 (2) point (d) in conjunction with Article 153 (3) CRR.
130	non-SME Other retail exposures reflecting Article 147 (2) point (d) CRR.
140	Equity Equity exposures reflecting Article 147 (2) point (e) CRR.

3.4.3. C 09.03 — Breakdown of total own funds requirements for credit risk of relevant credit exposures by country (CR GB 3)

3.4.3.1. General remarks

82.

According to Article 128 point (7) in connection with Articles 130 and 140 (1) CRD the countercyclical buffer rate is the ‘weighted average of the countercyclical buffer rates that apply in the jurisdiction where the relevant credit exposures of the institution are located’. The weighted average is calculated as follows:

a)	Numerator: Total own funds requirements for credit risk determined in accordance with Part Three, Titles II and IV of CRR that relate to the relevant credit exposures in the territory in question

b)	Denominator: Total own funds requirements for credit risk that relate to the relevant credit exposures

83.

This table is implemented in order to receive more information regarding the elements of the institution specific countercyclical buffer. The information requested refers to the own funds requirements determined in accordance with Part Three, Title II of the CRR which includes credit risk and securitisation calculated on the basis of the relevant credit exposures broken down by country.

84.

The information shall be reported by each country. The threshold set in Article 5 (a) (4) is not relevant for the reporting of this breakdown.

3.4.3.2. Instructions concerning specific positions

Rows

010

Own funds requirements for credit risk

Part Three, Title II of the CRR

3.5. C 10.01 AND C 10.02 — EQUITY EXPOSURES UNDER THE INTERNAL RATINGS BASED APPROACH (CR EQU IRB 1 AND CR EQU IRB 2)

3.5.1. General remarks

85.

The CR EQU IRB template consists of two templates: CR EQU IRB 1 provides a general overview of IRB exposures of the equity exposure class and the different methods to calculate total risk exposure amounts. CR EQU IRB 2 provides a breakdown of total exposures assigned to obligor grades in the context of the PD/LGD approach. ‘CR EQU IRB’ refers to both ‘CR EQU IRB 1’ and ‘CR EQU IRB 2’ templates, as applicable, in the following instructions.

86.

The CR EQU IRB template provides information on the calculation of risk weighted exposure amounts for credit risk (Article 92 (3) point (a) of CRR) according to the IRB method (Part Three, Title II, Chapter 3 of CRR) for equity exposures referred to in Article 147(2) point (e) of CRR.

87.

According to Article 147 (6) of CRR, the following exposures shall be assigned to the equity exposure class:

a)	non-debt exposures conveying a subordinated, residual claim on the assets or income of the issuer; or

b)	debt exposures and other securities, partnerships, derivatives, or other vehicles, the economic substance of which is similar to the exposures specified in point (a).

88.

Collective investment undertakings treated according to the simple risk weight approach as referred to in Article 152 of CRR shall also be reported in the CR EQU IRB template.

89.

In accordance with Article 151(1) of CRR, institutions shall provide the CR EQU IRB template when applying one of the three approaches referred to in Article 155 of CRR:

—	the Simple Risk Weight approach,

—	the PD/LGD approach, or

—	the Internal Models approach.

Moreover, institutions applying the IRB approach shall also report in the CR EQU IRB template riskweighted exposure amounts for those equity exposures which attract a fixed riskweight treatment (without however being explicitly treated according to the Simple Risk Weight approach or the (temporary or permanent) partial use of the credit risk standardised approach (e.g. equity exposures attracting a riskweight of 250 % in accordance with Article 48(4) of CRR, respectively a riskweight of 370 % in accordance with Article 471(2) of CRR))).

90.

The following equity claims shall not be reported in the CR EQU IRB template:

—	Equity exposures in the trading book (in case where institutions are not exempted from calculating own funds requirements for trading book positions according to Article 94 of CRR).

—	Equity exposures subject to the partial use of the standardised approach (Article 150 of CRR), including:

—	Grandfathered equity exposures according to Article 495(1) of CRR,

—	Equity exposures to entities whose credit obligations are assigned a 0 % risk weight under the Standardised Approach, including those publicly sponsored entities where a 0 % risk weight can be applied (Article 150(1) point (g) of CRR),

—	Equity exposures incurred under legislated programmes to promote specified sectors of the economy that provide significant subsidies for the investment to the institution and involve some form of government oversight and restrictions on the equity investments (Article 150(1) point (h) of CRR).

—	Equity exposures to ancillary services undertakings whose risk weighted exposure amounts may be calculated according to the treatment of ‘other non credit-obligation assets’ (in accordance with Article 155(1) of CRR).

—	Equity claims deducted from own funds in accordance with Articles 46 and 48 of the CRR.

3.5.2. Instructions concerning specific positions (applicable to both CR EQU IRB 1 and CR EQU IRB 2)

Columns
010	INTERNAL RATING SYSTEM PD ASSIGNED TO THE OBLIGOR GRADE (%) Institutions applying the PD/LGD approach report in column 010 the probability of default (PD) calculated in accordance with the provisions referred to in Article 165(1) of CRR. The PD assigned to the obligor grade or pool to be reported shall be in line with the minimum requirements as laid down in Part Three, Title II, Chapter 3, Section 6 of CRR. For each individual grade or pool, the PD assigned to that specific obligor grade or pool shall be reported. All reported risk parameters shall be derived from the risk parameters used in the internal rating system approved by the respective competent authority. For figures corresponding to an aggregation of obligor grades or pools (e.g. ‘total exposures’) the exposure weighted average of the PDs assigned to the obligor grades or pools included in the aggregation shall be provided. All exposures, including defaulted exposures are to be considered for the purpose of the calculation of the exposure weighted average PD. For the calculation of the exposure-weighted average PD, the exposure value taking into account unfunded credit protection (column 060) shall be used for weighting purposes.
020	ORIGINAL EXPOSURE PRE CONVERSION FACTORS Institutions report in column 020 the original exposure value (pre conversion factors). According to the provisions laid down in Article 167 of CRR, the exposure value for equity exposures shall be the accounting value remaining after specific credit risk adjustments. The exposure value of off-balance sheet equity exposures shall be its nominal value after specific credit risk adjustments. Institutions also include in column 020 off balance sheet items referred to in Annex I of CRR assigned to the equity exposure class (e.g. ‘the unpaid portion of partly-paid shares’). Institutions applying the Simple Risk Weight approach or the PD/LGD approach (as referred to in Article 165(1) also consider the offsetting provisions referred to in Article 155(2) of CRR.
030-040	CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE UNFUNDED CREDIT PROTECTION GUARANTEES CREDIT DERIVATIVES Irrespective of the approach adopted for the calculation of risk weighted exposure amounts for equity exposures, institutions may recognize unfunded credit protection obtained on equity exposures (Article 155(2),(3) and (4) of CRR). Institutions applying the Simple Risk Weight approach or the PD/LGD approach report in columns 030 and 040 the amount of unfunded credit protection under the form of guarantees (column 030) or credit derivatives (column 040) recognised in accordance with the methods set out in Part Three, Title II, Chapter 4 of CRR.
050	CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE SUBSTITUTION OF THE EXPOSURE DUE TO CRM (-) TOTAL OUTFLOWS Institutions report in column 050 the part of the original exposure pre conversion factors covered by unfunded credit protection recognised in accordance with the methods set out in Part Three, Title II, Chapter 4 of CRR.
060	EXPOSURE VALUE Institutions applying the Simple Risk Weight approach or the PD/LGD approach report in column 060 the exposure value taking into account substitution effects stemming from unfunded credit protection (Article 155(2) and (3), Article 167 of CRR). As a reminder, in the case of equity off-balance sheet exposures, the exposure value shall be the nominal value after specific credit risk adjustments (Article 167 of CRR).
070	EXPOSURE WEIGHTED AVERAGE LGD (%) Institutions applying the PD/LGD approach report in column 070 of the CR EQU IRB 2 template the exposure weighted average of the LGDs assigned to the obligor grades or pools included in the aggregation; the same applies for row 020 of the CR EQU IRB template. The exposure value taking into account unfunded credit protection (column 060) shall be used for the calculation of the exposure-weighted average LGD. Institutions shall take into accounts the provisions laid down in Article 165(2) of CRR.
080	RISK WEIGHTED EXPOSURE AMOUNT Institutions report risk-weighted exposure amounts for equity exposures in column 080, calculated in accordance with the provisions laid down in Article 155 of CRR. In case where institutions applying the PD/LGD approach do not have sufficient information to use the definition of default set out in Article 178 of CRR, a scaling factor of 1.5 shall be assigned to the risk weights when calculating risk weighted exposure amounts (Article 155(3) of CRR). With regard to the input parameter M (Maturity) to the risk-weight function, the maturity assigned to equity exposures equals 5 years (Article 165(3) of CRR).
090	MEMORANDUM ITEM: EXPECTED LOSS AMOUNT Institutions report in column 090 the expected loss amount for equity exposures calculated in accordance with Article 158(4), (7), (8) and (9) of CRR.

91.

In accordance with Article 155 of CRR, institutions may employ different approaches (Simple Risk Weight approach, PD/LGD approach or Internal Models approach) to different portfolios when they use these different approaches internally. Institutions shall also report in the CR EQU IRB 1 template riskweighted exposure amounts for those equity exposures which attract a fixed riskweight treatment (without however being explicitly treated according to the Simple Risk Weight approach or the (temporary or permanent) partial use of the credit risk Standardised approach).

Rows

CR EQU IRB 1 — row 020

PD/LGD APRROACH: TOTAL

Institutions applying the PD/LGD approach (Article 155(3) of CRR) report the requested information in row 020 of the CR EQU IRB 1 template.

CR EQU IRB 1 — rows 050-090

SIMPLE RISK WEIGHT APPROACH: TOTAL

BREAKDOWN OF TOTAL EXPOSURES UNDER THE SIMPLE RISK WEIGHT APRROACH BY RISK WEIGHTS:

Institutions applying the Simple Risk Weight approach (Article 155(2) of CRR) report the requested information according to the characteristics of the underlying exposures in rows 050 to 090.

CR EQU IRB 1 — row 100

INTERNAL MODELS APPROACH

Institutions applying the Internal Models approach (Article 155(4) of CRR) report the requested information in row 100.

CR EQU IRB 1 — row 110

EQUITY EXPOSURES SUBJECT TO RISK WEIGHTS

Institutions applying the IRB approach shall report risk weighted exposure amounts for those equity exposures which attract a fixed risk weight treatment (without however being explicitly treated according to the Simple Risk Weight approach or the (temporary or permanent) partial use of the credit risk standardised approach). As an example,

—	the risk weighted exposure amount of equity positions in financial sector entities treated in accordance with Article 48(4) of the CRR, as well as

—	equity positions risk-weighted with 370 % in accordance with Article 471 (2) CRR

shall be reported in row 110.

CR EQU IRB 2

BREAKDOWN OF TOTAL EXPOSURES UNDER THE PD/LGD APRROACH BY OBLIGOR GRADES:

Institutions applying the PD/LGD approach (Article 155(3) of CRR) report the requested information in the CR EQU IRB 2 template.

In case where institutions using the PD/LGD approach apply a unique rating system or are able to report according to an internal master scale, they report in CR EQU IRB 2 the rating grades or pools associated to this unique rating system/masterscale. In any other case, the different rating systems shall be merged and ordered according to the following criteria: Obligor grades or pools of the different rating systems shall be pooled together and ordered from the lower PD assigned to each obligor grade or pool to the higher.

3.6. C 11.00 — SETTLEMENT/DELIVERY RISK (CR SETT)

3.6.1. General remarks

92.

This template requests information on both trading and non-trading book transactions which are unsettled after their due delivery dates, and their corresponding own funds requirements for settlement risk according to Articles 92(3) Point c) ii) and 378 of CRR.

93.

Institutions report in the CR SETT template information on the settlement/delivery risk in connection with debt instruments, equities, foreign currencies and commodities held in their trading or non-trading book.

94.

According to Article 378 of CRR, repurchase transactions, securities or commodities lending and securities or commodities borrowing in connection with debt instruments, equities, foreign currencies and commodities are not subject to settlement/delivery risk. Note however that, derivatives and long settlement transactions unsettled after their due delivery dates are nevertheless subject to own funds requirements for settlement/delivery risk as determined in Article 378 of CRR.

95.

In the case of unsettled transactions after the due delivery date, institutions calculate the price difference to which they are exposed. This is the difference between the agreed settlement price for the debt instrument, equity, foreign currency or commodity in question and its current market value, where the difference could involve a loss for the institution.

96.

Institutions multiply this difference by the appropriate factor of Table 1 of Article 378 of CRR to determine the corresponding own funds requirements.

97.

According to Article 92(4) Point (b), the own funds requirements for settlement/delivery risk shall be multiplied by 12.5 to calculate the risk exposure amount.

98.

Note that own funds requirements for free deliveries as laid down in Article 379 of CRR are not within the scope of the CR SETT template; the latter shall be reported in the credit risk templates (CR SA, CR IRB).

3.6.2. Instructions concerning specific positions

Columns
010	UNSETTLED TRANSACTIONS AT SETTLEMENT PRICE In accordance with Article 378 of CRR, institutions report in this column 010 the unsettled transactions after their due delivery date at the respective agreed settlement prices. All unsettled transactions shall be included in this column 010, irrespective of whether or not they are at a gain or at a loss after the due settlement date.
020	PRICE DIFFERENCE EXPOSURE DUE TO UNSETTLED TRANSACTIONS In accordance with Article 378 of CRR, institutions report in column 020 the price difference between the agreed settlement price and its current market value for the debt instrument, equity, foreign currency or commodity in question, where the difference could involve a loss for the institution. Only unsettled transactions at a loss after the due settlement date shall be reported in column 020
030	OWN FUNDS REQUIREMENTS Institutions report in column 030 the own funds requirements calculated in accordance with Article 378 of CRR.
040	TOTAL SETTLEMENT RISK EXPOSURE AMOUNT In accordance with Article 92(4) point (b) of CRR, institutions multiply their own funds requirements reported in column 030 by 12.5 in order to obtain the settlement risk exposure amount.

Rows
010	Total unsettled transactions in the Non-trading Book Institutions report in row 010 aggregated information in relation with settlement/delivery risk for non-trading book positions (in accordance with Articles 92(3) Point c) ii) and 378 of CRR). Institutions report in 010/010 the aggregated sum of unsettled transactions after their due delivery dates at the respective agreed settlement prices. Institutions report in 010/020 the aggregated information for price difference exposure due to unsettled transactions at a loss. Institutions report in 010/030 the aggregated own funds requirements derived from summing the own funds requirements for unsettled transactions by multiplying the ‘price difference’ reported in column 020 by the appropriate factor based on the number of working days after due settlement date (categories referred to in Table 1 of Article 378 of CRR).
020 to 060	Transactions unsettled up to 4 days (Factor 0 %) Transactions unsettled between 5 and 15 days (Factor 8 %) Transactions unsettled between 16 and 30 days (Factor 50 %) Transactions unsettled between 31 and 45 days (Factor 75 %) Transactions unsettled for 46 days or more (Factor 100 %) Institutions report the information in relation with settlement/delivery risk for non-trading book positions according to the categories referred to in Table 1 of Article 378 of CRR in rows 020 to 060. No own funds requirements for settlement/delivery risk are required for transactions unsettled less than 5 working days after the due settlement date.
070	Total unsettled transactions in the Trading Book Institutions report in row 070 aggregated information in relation with settlement/delivery risk for trading book positions (in accordance with Articles 92(3) Point c) ii) and 378 of CRR). Institutions report in 070/010 the aggregated sum of unsettled transactions after their due delivery dates at the respective agreed settlement prices. Institutions report in 070/020 the aggregated information for price difference exposure due to unsettled transactions at a loss. Institutions report in 070/030 the aggregated own funds requirements derived from summing the own funds requirements for unsettled transactions by multiplying the ‘price difference’ reported in column 020 by an appropriate factor based on the number of working days after due settlement date (categories referred to in Table 1 of Article 378 of CRR).
080 to 120	Transactions unsettled up to 4 days (Factor 0 %) Transactions unsettled between 5 and 15 days (Factor 8 %) Transactions unsettled between 16 and 30 days (Factor 50 %) Transactions unsettled between 31 and 45 days (Factor 75 %) Transactions unsettled for 46 days or more (Factor 100 %) Institutions report the information in relation with settlement/delivery risk for trading book positions according to the categories referred to in Table 1 of Article 378 of CRR in rows 080 to 120. No own funds requirements for settlement/delivery risk are required for transactions unsettled less than 5 working days after the due settlement date.

3.7. C 12.00 — CREDIT RISK: SECURITISATION — STANDARDISED APPROACH TO OWN FUNDS REQUIREMENTS (CR SEC SA)

3.7.1. General remarks

99.

The information in this template is requested for all securitisations in which the reporting institution is involved in a securitisation treated under the Standardised Approach. The information to be reported is contingent on the role of the institution as for the securitisation. As such, specific reporting items are applicable for originators, sponsors and investors.

100.

The CR SEC SA template gathers joint information on both traditional and synthetic securitisations held in the banking book, as defined in Article 242 (10) and (11) of CRR, respectively.

3.7.2. Instructions concerning specific positions

Columns
010	TOTAL AMOUNT OF SECURITISATION EXPOSURES ORIGINATED Originator institutions must report the outstanding amount at the reporting date of all current securitisation exposures originated in the securitisation transaction, irrespective of who holds the positions. As such, on-balance sheet securitisation exposures (e.g. bonds, subordinated loans) as well as off-balance sheet exposures and derivatives (e.g. subordinated credit lines, liquidity facilities, interest rate swaps, credit default swaps, etc.) that have been originated in the securitisation shall be reported. In the case of traditional securitisations where the originator does not hold any position, then the originator shall not consider that securitisation in the reporting of the CR SEC SA or CR SEC IRB templates. For this purpose securitisation positions held by the originator include early amortisation provisions in a securitisation of revolving exposures, as defined under Article 242(12) of CRR. For all other securitisations for which there is a recognition of significant risk transfer it shall be further clarified that under column 010 of the CR SEC IRB and CR SEC SA templates the originator shall report all the securitisation exposures originated irrespective of who is holding them.
020-040	SYNTHETIC SECURITISATIONS: CREDIT PROTECTION TO THE SECURITISED EXPOSURES Following the provisions in Articles 249 and 250 of CRR the credit protection to the securitised exposures shall be as if there was no maturity mismatch.
020	(-) FUNDED CREDIT PROTECTION (CVA ) The detailed calculation procedure of the volatility-adjusted value of the collateral (CVA ) which is expected to be reported in this column is established in Article 223(2) of CRR.
030	(-) TOTAL OUTFLOWS: UNFUNDED CREDIT PROTECTION ADJUSTED VALUES (G) Following the general rule for ‘inflows’ and ‘outflows’ the amounts reported under this column shall appear as ‘inflows’ in the corresponding credit risk template (CR SA or CR IRB) and exposure class relevant for the protection provider (i.e. the third party to which the tranche is transferred by means of unfunded credit protection) The calculation procedure of the ‘foreign exchange risk’- adjusted nominal amount of the credit protection (G) is established in Article 233(3) of CRR.
040	NOTIONAL AMOUNT RETAINED OR REPURCHASED OF CREDIT PROTECTION All tranches which have been retained or bought back, e.g. retained first loss positions, shall be reported with their nominal amount. The effect of supervisory haircuts in the credit protection shall not be taken into account when computing the retained or repurchased amount of credit protection.
050	SECURITISATION POSITIONS: ORIGINAL EXPOSURE PRE CONVERSION FACTORS Securitisation positions held by the reporting institution, calculated according to Article 246 (1) and (2) of CRR, without applying credit conversion factors and any credit risk adjustments and provisions. Netting only relevant with respect to multiple derivative contracts provided to the same SSPE, covered by eligible netting agreement. Value adjustments and provisions to be reported in this column only refer to securitisation positions. Value adjustments of securitised positions are not considered. In case of early amortization clauses, institutions must specify the amount of ‘originator's' interest’ as defined in Article 256(2) of CRR. In synthetic securitisations, the positions held by the originator in the form of on-balance sheet items and/or investor's interest (early amortisation) shall be the result of the aggregation of columns 010 to 040.
060	(-) VALUE ADJUSTMENTS AND PROVISIONS Value adjustments and provisions (Article 159 of CRR) for credit losses made in accordance with the accounting framework to which the reporting entity is subject. Value adjustments include any amount recognized in profit or loss for credit losses of financial assets since their initial recognition in the balance sheet (including losses due to credit risk of financial assets measured at fair value that shall not be deducted from the exposure value) plus the discounts on exposures purchased when in default according to Article 166(1) of CRR. Provisions include accumulated amounts of credit losses in off-balance sheet items.
070	EXPOSURE NET OF VALUE ADJUSTMENTS AND PROVISIONS Securitisation positions according to Article 246(1) and (2) of CRR, without applying conversion factors. This piece of information is related to column 040 of the CR SA Total template.
080-110	CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE Article 4 (57) and Part Three, Title II, Chapter 4 of CRR. This block of columns gathers information on credit risk mitigation techniques that reduce the credit risk of an exposure or exposures via the substitution of exposures (as indicated below for Inflows and Outflows). See CR SA instructions (Reporting of CRM techniques with substitution effect).
080	(-) UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (GA ) Unfunded credit protection is defined in Article 4 (59) and regulated in Article 235 of CRR. See CR SA instructions (Reporting of CRM techniques with substitution effect).
090	(-) FUNDED CREDIT PROTECTION Funded credit protection is defined in Article 4 (58) and regulated in Articles 195, 197 and 200 of CRR. Credit linked notes and on-balance sheet netting according to Articles 218-236 of CRR are treated as cash collateral. See CR SA instructions (Reporting of CRM techniques with substitution effect).
100-110	SUBSTITUTION OF THE EXPOSURE DUE TO CRM: Inflows and outflows within the same exposure classes and, when relevant, risk weights or obligor grades shall also be reported.
100	(-) TOTAL OUTFLOWS Articles 222 (3) and 235 (1) and (2). Outflows correspond to the covered part of the ‘Exposure net of value adjustments and provisions’, that is deducted from the obligor's exposure class and, when relevant, risk weight or obligor grade, and subsequently assigned to the protection provider's exposure class and, when relevant, risk weight or obligor grade. This amount shall be considered as an Inflow into the protection provider's exposure class and, when relevant, risk weights or obligor grades. This piece of information is related to column 090 [(-) Total Outflows] of the CR SA Total template.
110	TOTAL INFLOWS Securitisation positions which are debt securities and are eligible financial collateral according to Article 197 (1) of CRR and where the Financial Collateral Simple Method is used, shall be reported as inflows in this column. This piece of information is related to column 100 (Total Inflows) of the CR SA Total template.
120	NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS Exposure assigned in the corresponding risk weight and exposure class after taking into account outflows and inflows due to ‘Credit risk mitigation (CRM) techniques with substitution effects on the exposure’. This piece of information is related to column 110 of the CR SA Total template.
130	(-) CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE AMOUNT OF THE EXPOSURE: FUNDED CREDIT PROTECTION FINANCIAL COLLATERAL COMPREHENSIVE METHOD ADJUSTED VALUE (CVAM ) This item also includes credit linked notes (Article 218 of CRR). This piece of information is related to columns 120 and 130 of the CR SA Total template.
140	FULLY ADJUSTED EXPOSURE VALUE (E*) Securitisation positions according to Article 246 of CRR, therefore without applying the conversion figures laid down in Article 246(1) point c) of CRR. This piece of information is related to column 150 of the CR SA Total template.
150-180	BREAKDOWN OF THE FULLY ADJUSTED EXPOSURE VALUE (E) OF OFF BALANCE SHEET ITEMS ACCORDING TO CONVERSION FACTORS Article 246(1) point c) of CRR foresees that the exposure value of an off-balance sheet securitisation position shall be its nominal value multiplied by a conversion factor. This conversion figure shall be 100 % unless otherwise specified in the CRR. See columns 160 to 190 of the CR SA Total template. For reporting purposes, fully adjusted exposure values (E) shall be reported according to the following four mutually exclusive intervals of conversion factors: 0 %, [0 %, 20 %], [20 %, [50 %] and [50 %, 100 %].
190	EXPOSURE VALUE Securitisation positions according to Article 246 of CRR. This piece of information is related to column 200 of the CR SA Total template.
200	(-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS Article 258 of CRR envisages that in case of a securitisation position in respect of which a 1250 % risk weight is assigned, institutions may, as an alternative to including the position in their calculation of risk-weighted exposure amounts, deduct from own funds the exposure value of the position.
210	EXPOSURE VALUE SUBJECT TO RISK WEIGHTS Exposure value minus the exposure value deducted from own funds.
220-320	BREAKDOWN OF EXPOSURE VALUE SUBJECT TO RISK WEIGHTS ACCORDING TO RISK WEIGHTS
220-260	RATED Article 242(8) of CRR defines rated positions. Exposure values subject to risk weights are broken down according to credit quality steps (CQS) as envisaged for the SA in Article 251 (Table 1) of CRR.
270	1250 % (UNRATED) Article 242(7) of CRR defines unrated positions.
280	LOOK-THROUGH Articles 253, 254 and 256(5) of CRR. The look-through columns comprise all the cases of unrated exposures where the risk weight is obtained from the underlying portfolio of exposures (average risk weight of the pool, highest risk weight of the pool, or the use of a concentration ratio).
290	LOOK-THROUGH — OF WHICH: SECOND LOSS IN ABCP Exposure value subject to the treatment of securitisation positions in a second loss tranche or better in an ABCP programme is set in 254 of CRR. Article 242(9) of CRR defines Asset-backed commercial paper (ABCP) programme.
300	LOOK-THROUGH OF WHICH: AVERAGE RISK WEIGHT (%) Exposure value weighted average risk weight shall be provided.
310	INTERNAL ASSESSMENT APPROACH (IAA) Articles 109 (1) and 259 (3) of CRR. Exposure value of securitisation positions under the internal assessment approach.
320	IAA: AVERAGE RISK WEIGHT (%) Exposure value weighted average risk weight shall be provided.
330	RISK-WEIGHTED EXPOSURE AMOUNT Total risk-weighted exposure amount calculated according to Part Three, Title II, Chapter 5, Section 3 of CRR, prior to adjustments due to maturity mismatches or infringement of due diligence provisions, and excluding any risk weighted exposure amount corresponding to exposures redistributed via outflows to another template.
340	OF WHICH: SYNTHETIC SECURITISATIONS For synthetic securitisations, the amount to be reported in this column shall ignore any maturity mismatch.
350	OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONS Articles 14 (2), 406 (2) and 407 of CRR foresee that whenever certain requirements are not met by the institution, Member States shall ensure that the competent authorities impose a proportionate additional risk weight of no less than 250 % of the risk weight (capped at 1250 %) which would apply to the relevant securitisation positions under Part Three, Title II, Chapter 5, Section 3 of CRR.
360	ADJUSTMENT TO THE RISK WEIGHTED EXPOSURE AMOUNT DUE TO MATURITY MISMATCHES For maturity mismatches in synthetic securitisations RW*-RW(SP), as defined in Article 250 of CRR, shall be included, except in the case of tranches subject to a risk weighting of 1250 % where the amount to be reported is zero. Note that RW(SP) not only includes the risk weighted exposure amounts reported under column 330 but also the risk weighted exposure amounts corresponding to exposures redistributed via outflows to other templates.
370-380	TOTAL RISK-WEIGHTED EXPOSURE AMOUNT: BEFORE CAP/ AFTER CAP Total risk-weighted exposure amount calculated according to Part Three, Title II, Chapter 5, Section 3 of CRR, before (col. 370) /after (col. 380) applying the limits specified in Articles 252 -securitisation of items currently in default or associated with particular high risk items- or 256 (4) -additional own funds requirements for securitisations of revolving exposures with early amortisation provisions- of CRR.
390	MEMORANDUM ITEM: RISK WEIGHTED EXPOSURE AMOUNT CORRESPONDING TO THE OUTFLOWS FROM THE SA SECURITISATION TO OTHER EXPOSURE CLASSES Risk weighted exposure amount stemming from exposures redistributed to the risk mitigant provider, and therefore computed in the corresponding template, that are considered in the computation of the cap for securitisation positions.

101.

The CR SEC SA template is divided into three major blocks of rows which gather data on the originated/sponsored/retained or purchased exposures by originators, investors and sponsors. For each of them, the information is broken down by on-balance sheet items and off-balance sheet items and derivatives as well as by securitisations and re-securitisations.

102.

Total exposures (at reporting date) are also broken down according to the credit quality steps applied at inception (last block of rows). Originators, sponsors as well as investors shall report this information.

Rows
010	TOTAL EXPOSURES Total exposures refer to the total amount of outstanding securitisations. This row summarizes all the information reported by originators, sponsors and investors in subsequent rows.
020	OF WHICH: RE-SECURITISATIONS Total amount of outstanding re-securitisations according to definitions in Article 4(1)(63) and (64) of CRR.
030	ORIGINATOR: TOTAL EXPOSURES This row summarizes information on on-balance items and off-balance sheet items and derivatives and early amortisation of those securitisation positions for which the institution plays the role of originator, as defined by Article 4(1)(13) of CRR.
040-060	ON-BALANCE SHEET ITEMS Article 246 (1) point (a) of CRR states that for those institutions which calculate risk-weighted exposure amounts under the Standardised Approach, the exposure value of an on-balance sheet securitisation position shall be its accounting value after application of specific credit risk adjustments. On-balance sheet items are broken down by securitisations (row 050) and re-securitisations (row 060).
070-090	OFF-BALANCE SHEET ITEMS AND DERIVATIVES These rows gather information on off-balance sheet items and derivatives securitisation positions subject to a conversion factor under the securitisation framework. The exposure value of an off-balance sheet securitisation position shall be its nominal value, less any specific credit risk adjustment of that securitisation position, multiplied by a 100 % conversion figure unless otherwise specified. The exposure value for the counterparty credit risk of a derivative instrument listed in Annex II of CRR, shall be determined in accordance to Part Three, Title II, Chapter 6 of CRR. For liquidity facilities, credit facilities and servicer cash advances, institutions shall provide the undrawn amount. For interest rate and currency swaps they shall provide the exposure value (according to Article 246(1) of CRR) as specified in the CR SA Total template. Off-balance sheet items and derivatives are broken down by securitisations (row 080) and re-securitisations (row 090) as in Article 251 Table 1 of CRR.
100	EARLY AMORTISATION This row only applies to those originators with revolving exposure securitisations containing early amortisation provisions, as stated in Article 242 (13) and (14) of CRR.
110	INVESTOR: TOTAL EXPOSURES This row summarizes information on on-balance and off-balance sheet items and derivatives of those securitisation positions for which the institution plays the role of investor. The CRR does not provide an explicit definition for investor. Therefore, in this context it shall be understood as an institution that holds a securitisation position in a securitisation transaction for which it is neither originator nor sponsor.
120-140	ON-BALANCE SHEET ITEMS The same criteria of classification among securitisations and re-securitisations used for on-balance sheet items for originators shall be applied here.
150-170	OFF-BALANCE SHEET ITEMS AND DERIVATIVES The same criteria of classification among securitisations and re-securitisations used for off-balance sheet items and derivatives for originators shall be applied here.
180	SPONSOR: TOTAL EXPOSURES This row summarizes information on on-balance and off-balance sheet items and derivatives of those securitisation positions for which the institution plays the role of a sponsor, as defined by Article 4 (14) of CRR. If a sponsor is also securitising it own assets, it shall fill in the originator's rows the information regarding its own securitised assets.
190-210	ON-BALANCE SHEET ITEMS The same criteria of classification among securitisations and re-securitisations used for on-balance sheet items for originators shall be applied here.
220-240	OFF-BALANCE SHEET ITEMS AND DERIVATIVES The same criteria of classification among securitisations and re-securitisations used for off-balance sheet items and derivatives for originators shall be applied here.
250-290	BREAKDOWN OF OUTSTANDING POSITIONS ACCORDING TO CQS AT INCEPTION These rows gather information on outstanding positions (at reporting date) according to credit quality steps (envisaged for the SA in Article 251 (Table 1) of CRR) applied at origination date (inception). In the absence of this information, the earliest CQS-equivalent data available shall be reported. These rows are only to be reported for columns 190 to 270 and columns 330 to 340.

3.8. C 13.00 — CREDIT RISK — SECURITISATIONS: INTERNAL RATINGS BASED APPROACH TO OWN FUNDS REQUIREMENTS (CR SEC IRB)

3.8.1. General remarks

103.

The information in this template is requested for all securitisations in which the reporting institution is involved in a securitisation treated under the Internal Ratings Based Approach.

104.

The information to be reported is contingent on the role of the institution as for the securitisation. As such, specific reporting items are applicable for originators, sponsors and investors.

105.

The CR SEC IRB template has the same scope as the CR SEC SA, it gathers joint information on both traditional and synthetic securitisations held in the banking book.

3.8.2. Instructions concerning specific positions

Columns
010	TOTAL AMOUNT OF SECURITISATION EXPOSURES ORIGINATED For the row total on balance sheet items the amount reported under this column corresponds to the outstanding amount of securitised exposures at the reporting date. See column 010 of CR SEC SA.
020-040	SYNTHETIC SECURITISATIONS: CREDIT PROTECTION TO THE SECURITISED EXPOSURES Articles 249 and 250 of CRR. Maturity mismatches shall not be taken into account in the adjusted value of the credit risk mitigation techniques involved in the securitisation structure.
020	(-) FUNDED CREDIT PROTECTION (CVA ) The detailed calculation procedure of the volatility-adjusted value of the collateral (CVA ) which is expected to be reported in this column is established in Article 223(2) of CRR.
030	(-) TOTAL OUTFLOWS: UNFUNDED CREDIT PROTECTION ADJUSTED VALUES (G) Following the general rule for ‘inflows’ and ‘outflows’ the amounts reported under column 030 of the CR SEC IRB template shall appear as ‘inflows’ in the corresponding credit risk template (CR SA or CR IRB) and exposure class relevant for the protection provider (i.e. the third party to which the tranche is transferred by means of unfunded credit protection). The calculation procedure of the ’foreign exchange risk’- adjusted nominal amount of the credit protection (G) is established in Article 233(3) of CRR.
040	NOTIONAL AMOUNT RETAINED OR REPURCHASED OF CREDIT PROTECTION All tranches which have been retained or bought back, e.g. retained first loss positions, shall be reported with their nominal amount. The effect of supervisory haircuts in the credit protection shall not be taken into account when computing the retained or repurchased amount of credit protection.
050	SECURITISATION POSITIONS: ORIGINAL EXPOSURE PRE CONVERSION FACTORS Securitisation positions held by the reporting institution, calculated according to Article 246(1) and(2) of CRR, without applying credit conversion factors and gross of value adjustments and provisions. Netting only relevant with respect to multiple derivative contracts provided to the same SSPE, covered by eligible netting agreement. Value adjustments and provisions to be reported in this column only refer to securitisation positions. Value adjustments of securitized positions are not considered. In case of early amortisation clauses, institutions must specify the amount of ‘originator's' interest’ as defined in Article 256(2) of CRR. In synthetic securitisations, the positions held by the originator in the form of on-balance sheet items and/or investor's interest (early amortisation) shall be the result of the aggregation of columns 010 to 040.
060-090	CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE See Article 4(1)(57) and Part Three, Title II, Chapter 4 of CRR. This block of columns gathers information on credit risk mitigation techniques that reduce the credit risk of an exposure or exposures via the substitution of exposures (as indicated below for Inflows and Outflows).
060	(-) UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (GA ) Unfunded credit protection is defined in Article 4(1)(59) of CRR. Article 236 of CRR describes the computation procedure of GA in the case of full protection/partial protection — equal seniority. This piece of information is related to columns 040 and 050 of the CR IRB template.
070	(-) FUNDED CREDIT PROTECTION Funded credit protection is defined in Article 4(1)(58) of CRR. Since the Financial Collateral Simple Method is not applicable, only funded credit protection according to Article 200 of CRR shall be reported in this column. This piece of information is related to column 060 of the CR IRB template.
080-090	SUBSTITUTION OF THE EXPOSURE DUE TO CRM: Inflows and outflows within the same exposure classes and, when relevant, risk weights or obligor grades shall also be reported.
080	(-) TOTAL OUTFLOWS Article 236 of CRR. Outflows correspond to the covered part of the ’Exposure net of value adjustments and provisions’, that is deducted from the obligor's exposure class and, when relevant, risk weight or obligor grade, and subsequently assigned to the protection provider's exposure class and, when relevant, risk weight or obligor grade. This amount shall be considered as an Inflow into the protection provider's exposure class and, when relevant, risk weights or obligor grades. This piece of information is related to column 070 of the CR IRB template.
090	TOTAL INFLOWS This piece of information is related to column 080 of the CR IRB template.
100	EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS Exposure assigned in the corresponding risk weight and exposure class after taking into account outflows and inflows due to ’Credit risk mitigation (CRM) techniques with substitution effects on the exposure’. This piece of information is related to column 090 of the CR IRB template.
110	(-) CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE AMOUNT OF THE EXPOSURE: FUNDED CREDIT PROTECTION FINANCIAL COLLATERAL COMPREHENSIVE METHOD ADJUSTED VALUE (CVAM) Articles 218 to 222 of CRR. This item also includes credit linked notes (Article 218 of CRR).
120	FULLY ADJUSTED EXPOSURE VALUE (E*) Securitisation positions according to Article 246 of CRR, therefore without applying the conversion factors laid down in Article 246(1) point c) of CRR.
130-160	BREAKDOWN OF THE FULLY ADJUSTED EXPOSURE VALUE (E) OF OFF BALANCE SHEET ITEMS ACCORDING TO CONVERSION FACTORS Article 246(1) point c) of CRR foresees that the exposure value of an off-balance sheet securitisation position shall be its nominal value multiplied by a conversion figure. This conversion figure shall be 100 % unless otherwise specified. In this respect, Article 4(1)(56) of CRR defines conversion factor. For reporting purposes, fully adjusted exposure values (E) shall be reported according to the following four mutually exclusive intervals of conversion factors: 0 %, (0 %, 20 %], (20 %, 50 %] and (50 %, 100 %].
170	EXPOSURE VALUE Securitisation positions according to Article 246 of CRR. This piece of information is related to column 110 of the CR IRB template.
180	(-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS Article 266(3) of CRR foresees that in case of a securitisation position in respect of which a 1250 % risk weight applies, institutions may, as an alternative to including the position in their calculation of risk-weighted exposure amounts, deduct from own funds the exposure value of the position.
190	EXPOSURE VALUE SUBJECT TO RISK WEIGHTS
200-320	RATINGS BASED METHOD (CREDIT QUALITY STEPS) Article 261 of CRR. IRB-Securitisation positions with an inferred rating according to Article 259(2) of CRR shall be reported as positions with a rating. Exposure values subject to risk weights are broken down according to credit quality steps (CQS) as envisaged for the IRB Approach Article 261(1) Table 4 of CRR.
330	SUPERVISORY FORMULA METHOD For the Supervisory Formula Method (SFM), Article 262 of CRR. The risk weight for a securitisation position shall be the greater of 7 % or the risk weight to be applied in accordance with the formulas provided.
340	SUPERVSIORY FORMULA METHOD: AVERAGE RISK WEIGHT Credit risk mitigation on securitisation positions may be recognised in accordance with Article 264 of CRR. In this case, the institution shall indicate the ‘effective risk weight’ of the position when full protection has been received, according to what is established in Article 264(2) of CRR (the effective risk weight equals the risk-weighted exposure amount of the position divided by the exposure value of the position, multiplied by 100). When the position benefits from partial protection, the institution must apply the Supervisory Formula Method using the ’T’ adjusted according to what is established in Article 264(3) of CRR. Weighted average risk weights shall be reported in this column.
350	LOOK-THROUGH The look-through columns comprise all the cases of unrated exposures where the risk weight is obtained from the underlying portfolio of exposures (highest risk weight of the pool). Article 263(2) and (3) of CRR envisage an exceptional treatment where Kirb cannot be calculated. The undrawn amount of the liquidity facilities shall be reported under ‘Off balance sheet items and derivatives’. As long as an originator would be under the exceptional treatment where Kirb cannot be calculated, then column 350 would be the right column to use for the reporting of the risk weighting treatment given to the exposure value of a liquidity facility subject to the treatment laid down in Article 263 of CRR. For early amortisations see Articles 256(5) and 265 of CRR.
360	LOOK-THROUGH: AVERAGE RISK WEIGHT Exposure value weighted average risk weight shall be provided.
370	INTERNAL ASSESSMENT APPROACH Article 259(3) and (4) of CRR envisages the ’Internal Assessment Approach’ (IAA) for positions in ABCP programmes.
380	IAA: AVERAGE RISK WEIGHT Weighted average risk weights shall be reported in this column.
390	(-) REDUCTION IN RISK WEIGHTED EXPOSURE AMOUNT DUE TO VALUE ADJUSTMENTS AND PROVISIONS Institutions applying the IRB Approach shall follow Article 266(1) (only applicable for originators, when the exposure has not been deducted from own funds) and (2) of CRR. Value adjustments and provisions (Article 159 of CRR) for credit losses made in accordance with the accounting framework to which the reporting entity is subject. Value adjustments include any amount recognized in profit or loss for credit losses of financial assets since their initial recognition in the balance sheet (including losses due to credit risk of financial assets measured at fair value that shall not be deducted from the exposure value) plus the discounts on exposures purchased when in default according to Article 166(1) of CRR. Provisions include accumulated amounts of credit losses in off-balance sheet items.
400	RISK-WEIGHTED EXPOSURE AMOUNT Part Three, Title II, Chapter 5, Section 3 of CRR prior to adjustments due to maturity mismatches or infringement of due diligence provisions, and excluding any risk weighted exposure amount corresponding to exposures redistributed via outflows to another template.
410	RWEA OF WHICH: SYNTHETIC SECURITISATIONS For synthetic securitisations with maturity mismatches, the amount to be reported in this column shall ignore any maturity mismatch.
420	OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONS Articles 14(2), 406(2) and 407 of CRR foresee that whenever certain requirements are not met by the institution, Member States shall ensure that the competent authorities impose a proportionate additional risk weight of no less than 250 % of the risk weight (capped at 1250 %) which would apply to the relevant securitisation positions under Part Three, Title II, Chapter 5, Section 3 of CRR.
430	ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO MATURITY MISMATCHES For maturity mismatches in synthetic securitisations RW*-RW(SP), as defined in Article 250 of CRR, shall be included, except in the case of tranches subject to a risk weighting of 1250 % where the amount to be reported is zero. Note that RW(SP) not only includes the risk weighted exposure amounts reported under column 400 but also the risk weighted exposure amounts corresponding to exposures redistributed via outflows to other templates. Negative values shall be reported in this column.
440-450	TOTAL RISK-WEIGHTED EXPOSURE AMOUNT: BEFORE CAP/ AFTER CAP Total risk-weighted exposure amount calculated according to Part Three, Title II, Chapter 5, Section 3 of CRR, before (col 440)/after (col 450) applying the limits specified in Article 260 of CRR. Additionally Article 265 of CRR (additional own funds requirements for securitisations of revolving exposures with early amortisation provisions) has to be considered.
460	MEMORANDUM ITEM: RISK WEIGHTED EXPOSURE AMOUNT CORRESPONDING TO THE OUTFLOWS FROM THE IRB SECURITISATION TO OTHER EXPOSURE CLASSES Risk weighted exposure amount stemming from exposures redistributed to the risk mitigant provider, and therefore computed in the corresponding template, that are considered in the computation of the cap for securitisation positions.

106.

The CR SEC IRB template is divided into three major blocks of rows which gather data on the originated/sponsored/retained or purchased exposures by originators, investors and sponsors. For each of them, the information is broken down by on-balance sheet items and off-balance sheet items and derivatives, as well as by risk weight groupings of securitisations and re-securitisations.

107.

Rows
010	TOTAL EXPOSURES Total exposures refer to the total amount of outstanding securitisations. This row summarizes all the information reported by originators, sponsors and investors in subsequent rows.
020	OF WHICH: RE-SECURITISATIONS Total amount of outstanding re-securitisations according to definitions in Article 4(1)(63) and (64) of CRR.
030	ORIGINATOR: TOTAL EXPOSURES This row summarizes information on on-balance items and off-balance sheet items and derivatives and early amortisation of those securitisation positions for which the institution plays the role of originator, as defined by Article 4(1)(13) of CRR.
040-090	ON-BALANCE SHEET ITEMS Article 246 (1) lit b) of CRR states that for those institutions which calculate risk-weighted exposure amounts under the IRB Approach, the exposure value of an on-balance sheet securitisation position shall be the accounting value without taking into account any credit risk adjustments made. On-balance sheet items are broken down according to risk weight groupings of securitisations (A-B-C), in rows 050-070, and re-securitisations (D-E), in rows 080-090, as stated in Article 261(1) Table 4 of CRR.
100-150	OFF-BALANCE SHEET ITEMS AND DERIVATIVES These rows gather information on off-balance sheet items and derivatives securitisation positions subject to a conversion factor under the securitisation framework. The exposure value of an off-balance sheet securitisation position shall be its nominal value, less any specific credit risk adjustment of that securitisation position, multiplied by a 100 % conversion factor unless otherwise specified. Off-balance sheet securitisation positions arising from a derivative instrument listed in Annex II of CRR, shall be determined in accordance to Part Three, Title II, Chapter 6 of CRR. The exposure value for the counterparty credit risk of a derivative instrument listed in Annex II of CRR, shall be determined in accordance to Part Three, Title II, Chapter 6 of CRR. For liquidity facilities, credit facilities and servicer cash advances, institutions shall provide the undrawn amount. For interest rate and currency swaps they shall provide the exposure value (according to Article 246(1) of CRR) as specified in the CR SA Total template. Off-balance sheet items are broken down according to risk weight groupings of securitisations (A-B-C), in rows 110-130, and re-securitisations (D-E), in rows 140-150, as stated in Article 261(1) Table 4 of CRR.
160	EARLY AMORTISATION This row only applies to those originators with revolving exposure securitisations containing early amortisation provisions, as stated in Article 242 (13) and (14) of CRR.
170	INVESTOR: TOTAL EXPOSURES This row summarizes information on on-balance and off-balance sheet items and derivatives of those securitisation positions for which the institution plays the role of investor. The CRR does not provide an explicit definition for investor. Therefore, in this context it shall be understood as an institution that holds a securitisation position in a securitisation transaction for which it is neither originator nor sponsor.
180-230	ON-BALANCE SHEET ITEMS The same criteria of classification among securitisations (A-B-C) and re-securitisations (D-E) used for on-balance sheet items for originators shall be applied here.
240-290	OFF-BALANCE SHEET ITEMS AND DERIVATIVES The same criteria of classification among securitisations (A-B-C) and re-securitisations (D-E) used for off-balance sheet items and derivatives for originators shall be applied here.
300	SPONSOR: TOTAL EXPOSURES This row summarizes information on on-balance and off-balance sheet items and derivatives of those securitisation positions for which the institution plays the role of a sponsor, as defined by Article 4(1)(14) of CRR. If a sponsor is also securitising it own assets, it shall fill in the originator's rows with the information regarding its own securitised assets.
310-360	ON-BALANCE SHEET ITEMS The same criteria of classification among securitisations (A-B-C) and re-securitisations (D-E) used for on-balance sheet items and derivatives for originators shall be applied here.
370-420	OFF-BALANCE SHEET ITEMS AND DERIVATIVES The same criteria of classification among securitisations (A-B-C) and re-securitisations (D-E) used for off-balance sheet items and derivatives for originators shall be applied here.
430-540	BREAKDOWN OF OUTSTANDING POSITIONS ACCORDING TO CQS AT INCEPTION These rows gather information on outstanding positions (at reporting date) according to credit quality steps (envisaged for the IRB in Article 261 Table 4 of CRR) applied at origination date (inception). In the absence of this information, the earliest CQS-equivalent data available shall be reported. These rows are only to be reported for columns 170 to 320 and columns 400 to 410.

3.9. C 14.00 — DETAILED INFORMATION ON SECURITISATIONS (SEC DETAILS)

3.9.1. General remarks

108.

This template gathers information on a transaction basis (versus the aggregate information reported in CR SEC SA, CR SEC IRB, MKR SA SEC and MKR SA CTP templates) on all securitisations the reporting institution is involved. The main features of each securitisation, such as the nature of the underlying pool and the own funds requirements are requested.

109.

This template is to be reported for:

Securitisations originated/sponsored by the reporting institution in case it holds at least one position in the securitisation. This means that, regardless of whether there has been a significant risk transfer or not, institutions shall report information on all the positions they hold (either in the banking book or trading book). Positions held include those positions retained due to Article 405 of CRR.

b.	Securitisations originated/sponsored by the reporting institution during the year of report (1), in case it holds no position.

c.	Securitisations of financial liabilities (e.g. covered bonds) issued by the reporting institution.

d.	Positions held in securitisations where the reporting institution is neither originator nor sponsor (i.e. investors and original lenders).

110.

This template has to be rendered on a consolidated basis, i.e. only by consolidated groups and stand alone institutions (2) located in the same country where they are subject to own funds requirements. In case of securitisations involving more than one entity of the same consolidated group, the entity-by-entity detail breakdown shall be provided.

111.

On account of Article 406 (1) of CRR, which establishes that institutions investing in securitisation positions shall acquire a great deal of information on them in order to comply with due diligence requirements the reporting scope of the template is applied to a limited extent to investors. In particular, they shall report columns 010-040; 070-110; 160; 190; 290-400; 420-470.

112.

Institutions playing the role of original lenders (not performing also the role of originators or sponsors in the same securitisation) shall generally report the template to the same extent as investors.

3.9.2. Instructions concerning specific positions

‘T’ for Traditional;

‘S’ for Synthetic.

The definitions of ’traditional securitisation’ and ’synthetic securitisation’ is provided in Article 242(10) and (11) of CRR.

‘K’ if entirely recognised

‘P’ if partially derecognised

‘R’ if entirely derecognised

‘N’ if not applicable.

This column summarises the accounting treatment of the transaction.

In case of synthetic securitisations, originators shall report that securitised exposures are removed from the balance sheet.

In all cases, investors shall report ‘N’ (not applicable).

In case of the securitisations of liabilities originators shall not report this column.

Option ‘P’ (partially removed) shall be reported when the securitised assets are recognized in the balance sheet to the extent of the reporting entity' continuing involvement as regulated in IAS 39.30-35.

‘N’ not subject to own funds requirements;

‘B’ banking book;

‘T’ trading book;

‘A’ partly in both books.

Articles 109, 243 and 244 of CRR.

This column summarises the solvency treatment of the securitisation scheme by the originator. It indicates whether own funds requirements are computed according to securitised exposures or securitisation positions (banking book/trading book).

If own funds requirements are based on securitised exposures (for not being significant risk transfer) the computation of own funds requirements for credit risk shall be reported in the CR SA template, in case the Standardised Approach is used, or in the CR IRB template, in case the Internal Ratings Based Approach is used by the institution.

Conversely, if own funds requirements are based on securitisation positions held in the banking book (for being significant risk transfer) the computation of own funds requirements for credit risk shall be reported in the CR SEC SA template or in the CR SEC IRB template. In the case of securitisation positions held in the trading book the computation of own funds requirements for market risk shall be reported in the MKR SA TDI (standardised general position risk) and in the MKR SA SEC or MKR SA CTP (standardised specific position risk) or in the MKR IM (internal models) templates.

In the case of the securitisations of liabilities originators shall not report this column.

‘S’ for securitisation;

‘R’ for re-securitisation.

‘O’ for Originator;

‘S’ for Sponsor;

‘L’ for Original Lender;

‘I’ for Investor.

See definitions in Article 4(1)(13) (Originator) and Article 4(1)(14) (Sponsor) of CRR. Investors are assumed to be those institutions to which provisions in Articles 406 and 407of CRR apply.

‘S’ for Standardised Approach;

‘I’ for Internal Ratings Based Approach;

‘M’ for a combination of both approaches (SA/IRB).

If under SA, ‘P’ is reported in column 050 then the computation of own funds requirements shall be reported in the CR SEC SA template.

If under IRB, ‘P’ is reported in column 050 then the computation of own funds requirements shall be reported in the CR SEC IRB template.

If under combination of SA and IRB, ‘P’ is reported in column 050 then the computation of own funds requirements shall be reported in both the CR SEC SA and CR SEC IRB templates.

This piece of information shall be reported even when the reporting entity does not hold any positions in the securitisation. Nevertheless, this column does not apply to securitisations of liabilities. Sponsors shall not report this column.

Columns

010

INTERNAL CODE

Internal (alpha-numerical) code used by the institution to identify the securitisation. The internal code shall be associated to the identifier of the securitisation.

020

IDENTIFIER OF THE SECURITISATION (Code/Name)

Code used for the legal registration of the securitisation or, if not available, the name by which the securitisation is known in the market. When the International Securities Identification Number -ISIN- is available (i.e. for public transactions) the eight characters that are common to all tranches of the securitisation shall be reported in this column.

030

IDENTIFIER OF THE ORIGINATOR (Code/Name)

The code given by the supervisory authority to the originator or, if not available, the name of the institution itself shall be reported for this column.

In the case of multi-seller securitisations the reporting entity shall provide the identifier of all the entities within its consolidated group that are involved in the transaction. Whenever the code is not available or is not known by the reporting entity, the name of the institution shall be reported.

040

SECURITISATION TYPE: (TRADITIONAL/SYNTHETIC)

Report the following abbreviations:

—

050

ACCOUNTING TREATMENT: SECURITISED EXPOSURES ARE KEPT OR REMOVED FROM THE BALANCE SHEET?

Report the following abbreviations:

—

060

SOLVENCY TREATMENT: SECURITISATION POSITIONS SUBJECT TO OWN FUNDS REQUIREMENTS?

Originators, only, shall report the following abbreviations:

—

070

SECURITISATION OR RE-SECURITISATION ?

According to definitions of ’securitisation’ and ’re-securitisation’ are provided in Article 4(1)(61) and (62) to (64) of CRR, report the type of underlying using the following abbreviations:

—

080-100

RETENTION

Articles 404 to 410 of CRR.

080

TYPE OF RETENTION APPLIED

For each securitisation scheme originated, it shall be reported the relevant type of retention of net economic interest, as envisaged in Article405 of CRR:

A —

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’.

V — 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.

B — 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’ .

C — 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’ .

D — 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’ .

E — Exempted. This code shall be reported for those securitisations affected by provisions in Article 405(3) of CRR.

N — Not applicable. This code shall be reported for those securitisations affected by provisions in Article 404 of CRR.

U — In breach or unknown. This code shall be reported when the reporting does not know with certain which type of retention is being applied or in case of non-compliance.

090

% OF RETENTION AT REPORTING DATE

The retention of material net economic interest by the originator, sponsor or original lender of the securitisation shall be no less than 5 % (at origination date).

Notwithstanding Article 405(1) of CRR, measurement of retention at origination can typically be interpreted as being when the exposures were first securitised, and not when the exposures were first created (for instance, not when the underlying loans were first extended). Measurement of retention at origination means that 5 % is the retention percentage that is required at the point in time when such retention level was measured and the requirement fulfilled (for instance, when the exposures were first securitised); dynamic re-measurement and readjustment of the retained percentage throughout the life of the transaction is not necessarily required.

This column shall not be reported in case codes ’E’ (exempted) or ’N’ (not applicable) are reported under column 080 (Type of retention applied).

100

COMPLIANCE WITH THE RETENTION REQUIREMENT?

Article 405(1) of CRR.

Report the following abbreviations:

Y — Yes;

N — No.

This column shall not be reported in case codes ’E’ (exempted) or ’N’ (not applicable) are reported under column 080 (Type of retention applied).

110

ROLE OF THE INSTITUTION: (ORIGINATOR/SPONSOR/ORIGINAL LENDER/INVESTOR)

Report the following abbreviations:

—

120-130

NON ABCP PROGRAMS

Because of their special character because they comprise of several single securitisation positions, ABCP programs (defined in Article 242(9) of CRR) are exempted from reporting in columns 120 and 130.

120

ORIGINATION DATE (mm/yyyy)

The month and year of the origination date (i.e. cut-off or closing date of the pool) of the securitisation shall be reported according to the following format: ‘mm/yyyy’.

For each securitisation scheme the origination date cannot change between reporting dates. In the particular case of securitisation schemes backed by open pools, the origination date shall be the date of the first issuance of securities.

This piece of information shall be reported even when the reporting entity does not hold any positions in the securitisation.

130

TOTAL AMOUNT OF SECURITISED EXPOSURES AT ORIGINATION DATE

This column gathers the amount (according to original exposures pre conversion factors) of the securitised portfolio at the origination date.

In case of securitisation schemes backed by open pools the amount referring to the origination date of the first issuance of securities shall be reported. In the case of traditional securitisations no other assets of the securitisation pool shall be included. In the case of multi-seller securitisation schemes (i.e. with more than one originator) only the amount corresponding to the reporting entity's contribution in the securitised portfolio shall be reported. In the case of the securitisation of liabilities only the amounts issued by the reporting entity shall be reported.

This piece of information shall be reported even when the reporting entity does not hold any positions in the securitisation.

140-220

SECURITISED EXPOSURES

Columns 140 to 220 request information on several features of the securitised portfolio by the reporting entity.

140

TOTAL AMOUNT

Institutions shall report the value of the securitised portfolio at reporting date, i.e. the outstanding amount of the securitised exposures. In the case of traditional securitisations no other assets of the securitisation pool shall be included. In the case of multi-seller securitisation schemes (i.e. with more than one originator) only the amount corresponding to the reporting entity's contribution in the securitised portfolio shall be reported. In the case of securitisation schemes backed by closed pools (i.e. the portfolio of securitised assets cannot be enlarged after the origination date) the amount will progressively be reduced.

This piece of information shall be reported even when the reporting entity does not hold any positions in the securitisation.

150

INSTITUTION'S SHARE (%)

It shall be reported the institution's share (percentage with two decimals) at reporting date in the securitised portfolio. The figure to be reported in this column is, by default, 100 % except for multi-seller securitisation schemes. In that case the reporting entity shall report its current contribution to the securitised portfolio (equivalent to column 140 in relative terms).

This piece of information shall be reported even when the reporting entity does not hold any positions in the securitisation.

160

TYPE

This column gathers information on the type of assets (’1’ to ’9’) or liabilities (’10’ and ’11’) of the securitised portfolio. The institution must report one of the following number codes:

1 —	Residential mortgages;

2 —	Commercial mortgages;

3 —	Credit card receivables;

4 —

Leasing;

5 —	Loans to corporates or SMEs (treated as corporates);

6 —	Consumer loans;

7 —	Trade receivables;

8 —	Other assets;

9 —	Covered bonds;

10 —	Other liabilities.

In case the pool of securitised exposures is a mix of the previous types, the institution shall indicate the most important type. In case of re-securitisations, the institution shall refer to the ultimate underlying pool of assets. Type ‘10’ (Other liabilities) includes treasury bonds and credit linked notes.

For securitisation schemes backed by closed pools the type cannot change between reporting dates.

170

APPROACH APPLIED (SA/IRB/MIX)

This column gathers information on the approach that at reporting date the institution would apply to the securitised exposures.

Report the following abbreviations:

—

180

NUMBER OF EXPOSURES

Article 261(1) of CRR.

This column is only compulsory for those institutions using the IRB approach to the securitisation positions (and, therefore, reporting ‘I’ in column 170). The institution shall report the letter code according to the relevant interval:

(a) N<6;

(b) 6≤N<34

(d) 100<N<=1000;

(e) N>1000.

This column shall not be reported in case of securitisation of liabilities or when the own funds requirements are based on the securitised exposures (in case of securitisation of assets). This column shall not be fulfilled when the reporting entity does not hold any positions in the securitisation. This column shall not be fulfilled by investors.

190

COUNTRY

Report the code (ISO 3166-1 alpha-2) of the country of origin of the ultimate underlying of the transaction, i.e. the country of the immediate obligor of the original securitised exposures (look through). In case the pool of the securitisation consists of different countries, the institution shall indicate the most important country. If no country exceeds a 20 % threshold based on the amount of assets/liabilities, then ‘OT’ (other) shall be reported.

200

ELGD (%)

The exposure-weighted average loss-given-default (ELGD) shall only be reported by those institutions applying the Supervisory Formula Method (and, therefore, reporting ‘I’ in column 170). The ELGD is to be calculated as indicated in Article 262(1) of CRR.

This column shall not be reported in case of securitisation of liabilities or when the own funds requirements are based on the securitised exposures (in case of securitisation of assets). This column shall not be fulfilled either when the reporting entity does not hold any positions in the securitisation. Sponsors shall not report this column.

210

(-) VALUE ADJUSTMENTS AND PROVISIONS

See columns 060 in CR SEC SA and 390 in CR SEC IRB.

This column gathers information on the value adjustments and provisions applied to the securitised exposures. This column shall not be reported in case of securitisation of liabilities.

This piece of information shall be reported even when the reporting entity does not hold any positions in the securitisation.

Sponsors shall not report this column.

220

OWN FUNDS REQUIREMENTS BEFORE SECURITISATION (%)

This column gathers information on the own funds requirements of the securitised portfolio in case there had been no securitisation plus the expected losses related to those risks (kirb ), as a percentage (with two decimals) on the total of securitised exposures at origination date. kirb is defined in Article 242 (4) of CRR.

This column shall not be reported in case of securitisation of liabilities. In case of the securitisation of assets, this piece of information shall be reported even when the reporting entity does not hold any positions in the securitisation.

Sponsors shall not report this column.

230-300

SECURITISATION STRUCTURE

This block of six columns gathers information on the structure of the securitisation according to on/off balance sheet positions, tranches (senior/mezzanine/ first loss) and maturity.

In the case of multi-seller securitisations, for the first loss tranche only the amount corresponding or attributed to the reporting institution shall be reported.

230-250

ON-BALANCE SHEET ITEMS

This block of columns gathers information on on-balance sheet items broken down by tranches (senior/mezzanine/first loss).

230

SENIOR

All tranches that do not qualify as mezzanine or first loss shall be included in this category.

240

MEZZANINE

See Articles 243 (3) (traditional securitisations) and 244 (3) (synthetic securitisations) of CRR.

250

FIRST LOSS

First loss tranche is defined in Article 242 (15) of CRR.

260-280

OFF-BALANCE SHEET ITEMS AND DERIVATIVES

This block of columns gathers information on off-balance sheet items and derivatives broken down by tranches (senior/mezzanine/first loss).

The same criteria of classification among tranches used for on-balance sheet items shall be applied here.

290

FIRST FORESEEABLE TERMINATION DATE

The likely termination date of the whole securitisation in the light of its contractual clauses and the currently expected financial conditions. Generally, it would be the earliest of the following dates:

(i)	the date when a clean-up call (defined in Article 242(2) of CRR) might first be exercised taking into account the maturity of the underlying exposure(s) as well as their expected pre-payment rate or potential re-negotiation activities;

(ii)	the date on which the originator may first exercise any other call option embedded in the contractual clauses of the securitisation which would result in the total redemption of the securitisation.

The month and year of the first foreseeable termination date shall be reported according to the following format: ‘mm/yyyy’.

300

LEGAL FINAL MATURITY DATE

The date upon which all principal and interest of the securitisation must be legally repaid (based on the transaction documentation).

The month and year of the legal final maturity date shall be reported according to the following format: ‘mm/yyyy’.

310-400

SECURITISATION POSITIONS: ORIGINAL EXPOSURE PRE CONVERSION FACTORS

This block of columns gathers information on the securitisation positions according to on/off balance sheet positions and the tranches (senior/mezzanine/ first loss) at reporting date.

310-330

ON-BALANCE SHEET ITEMS

The same criteria of classification among tranches used for on-balance sheet items shall be applied here.

340-360

OFF-BALANCE SHEET ITEMS AND DERIVATIVES

The same criteria of classification among tranches used for off-balance sheet items shall be applied here.

370-400

MEMORANDUM ITEMS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES

This block of columns gathers additional information on the total off-balance sheet items and derivatives (which are already reported under a different breakdown in columns 340-360).

370

DIRECT CREDIT SUBSTITUTES (DCS)

This column applies to those securitisation positions held by the originator and guaranteed with direct credit substitutes (DCS).

According to Annex I of CRR the following full risk off-balance sheet items are regarded as DCS:

—	Guarantees having the character of credit substitutes.

—	Irrevocable standby letters of credit having the character of credit substitutes.

380

IRS/CRS

IRS stands for Interest Rate Swaps, whereas CRS stands for Currency Rate Swaps. These derivatives are listed in Annex II of CRR.

390

ELIGIBLE LIQUIDITY FACILITIES

Liquidity facilities (LF), defined in Article 242(3) of CRR must satisfy a list of six conditions established in Article 255(1) of CRR to be considered as eligible (regardless of the method applied by the institution -SA or IRB-).

400

OTHER (INCLUDING NON-ELIGIBLE LF)

This column is devoted to remaining off-balance sheet items such as non-eligible liquidity facilities (i.e. those LF that do not meet the conditions listed in Article 255(1) of CRR).

410

EARLY AMORTISATION: CONVERSION FACTOR APPLIED

Articles 242(12) and 256(5) (SA) and Article 265(1) (IRB) of CRR envisage a set of conversion factors to be applied to amount of the investors' interest (in order to calculate risk-weighted exposure amounts).

This column applies to securitisation schemes with early amortisation clauses (i.e. revolving securitisations).

According to Article 256(6) of CRR, the conversion figure to be applied shall be determined by the level of the actual three month average excess spread.

In the case of the securitisations of liabilities this column shall not be reported. This piece of information is related to row 100 in CR SEC SA and row 160 in the CR SEC IRB template.

420

(-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS

This piece of information is closely related to column 200 in the CR SEC SA template and column 180 in the CR SEC IRB template.

A negative figure shall be reported in this column.

430

TOTAL RISK WEIGHTED EXPOSURE AMOUNT BEFORE CAP

This column gathers information on the risk weighted exposure amount before cap applicable to the securitisation positions (i.e. in case of securitisation schemes with significant risk transfer). In case of securitisation schemes without significant risk transfer (i.e. risk weighted exposure amount computed according securitised exposures) no data shall be reported in this column.

In the case of the securitisations of liabilities this column shall not be reported.

440

TOTAL RISK WEIGHTED EXPOSURE AMOUNT AFTER CAP

This column gathers information on the risk weighted exposure amount after cap applicable to the securitisation positions (i.e. in case of securitisation schemes with significant risk transfer). In case of securitisation schemes without significant risk transfer (i.e. own funds requirements computed according securitised exposures) no data shall be reported in this column.

In the case of the securitisations of liabilities this column shall not be reported.

450-510

SECURITISATION POSITIONS — TRADING BOOK

450

CTP OR NON-CTP?

Report the following abbreviations:

C —- Correlation Trading Portfolio (CTP);

N —- Non-CTP

460-470

NET POSITIONS — LONG/SHORT

See columns 050/060 of MKR SA SEC or MKR SA CTP, respectively.

480

TOTAL OWN FUNDS REQUIREMENTS (SA) — SPECIFIC RISK

See column 610 of MKR SA SEC, or column 450 of MKR SA CTP, respectively.

4. OPERATIONAL RISK TEMPLATES

4.1. C 16.00 — OPERATIONAL RISK (OPR)

4.1.1. General Remarks

113.

This template provides information on the calculation of own funds requirements according to Articles 312 to 324 of CRR for Operational Risk under the Basic Indicator Approach (BIA), the Standardised Approach (TSA), the Alternative Standardised Approach (ASA) and the Advanced Measurement Approaches (AMA). An institution can not apply TSA and ASA for the business lines retail banking and commercial banking at the same time at solo level

114.

Institutions using the BIA, TSA and/or ASA shall calculate their own funds requirement, based on the information at financial year end. When audited figures are not available, institutions may use business estimates. If audited figures are used, institutions shall report the audited figures which should remain unchanged. Deviations from this ‘unchanged’ principle are possible, for instance if during that period the exceptional circumstances, such as recent acquisitions or disposals of entities or activities, are met.

115.

If an institution can justify its competent authority that — due to exceptional circumstances such as a merger or a disposal of entities or activities — using a three year average to calculating the relevant indicator would lead to a biased estimation for the own funds requirement for operational risk,, the competent authority may permit the institution to modify the calculation in a way that would take into account such events. Also the competent authority may on its own initiative, require an institution to modify the calculation. Where an institution has been in operation for less than three years it may use forward looking business estimates in calculating the relevant indicator, provided that it starts using historical data as soon as they are available.

116.

By columns, this template presents information, for the three most recent years, on the amount of the relevant indicator of the banking activities subject to operational risk and on the amount of loans and advances (the latter only applicable in the case of ASA). Next, information on the amount of own funds requirement for operational risk is reported. If applicable, it must be detailed which part of this amount is due to an allocation mechanism. Regarding AMA, memorandum items are added to present a detail of the effect of the expected loss, diversification and mitigation techniques on own funds requirement for operational risk.

117.

By rows, information is presented by method of calculation of the operational risk own funds requirement detailing business lines for TSA and ASA.

118.

This template shall be submitted by all institutions subject to operational risk own funds requirement.

4.1.2. Instructions concerning specific positions

Columns
010-030	RELEVANT INDICATOR Institutions using the relevant indicator to calculate the own funds requirement for operational risk (BIA, TSA and ASA) report relevant indicator for the respective years in columns 010 to 030. Moreover, in the case of a combined use of different approaches as referred in Article 314 of CRR, institutions also report, for information purposes, relevant indicator for the activities subject to AMA. It is also the case for all other AMA banks. Hereafter, the term ‘relevant indicator’ refers to ‘the sum of the elements’ at the end of the financial year as defined in Article 316 point 1, Table1 of CRR. If the institution has less than 3 years of data on ‘relevant indicator’ available, the available historical data (audited figures) shall be assigned by priority to the corresponding columns in the table. If, for instance, historical data for only one year is available, it shall be reported in column 030. If it seems reasonable, the forward looking estimates shall then be included in column 020 (estimate of next year) and column 010 (estimate of year +2). Furthermore if there are no historical data on ‘relevant indicator’ available the institution may use forward-looking business estimates.
040-060	LOANS AND ADVANCES (IN THE CASE OF ASA APPLICATION) These columns shall be used to report the amounts of the loans and advances for business lines ‘Commercial banking’ and ‘Retail banking’, as referred to in Article 319 (1) point (b) of CRR. These amounts shall be used to calculate the alternative relevant indicator that leads to the own funds requirements corresponding to the activities subject to ASA (Article 319 (1) point a) of CRR). For the ‘commercial banking’ business line, securities held in the non-trading book shall also be included.
070	OWN FUND REQUIREMENT The own fund requirement is calculated according to the approach used, following Articles 312 to 324 of CRR The resulting amount is reported in column 070.
071	TOTAL OPERATIONAL RISK EXPOSURE AMOUNT Article 92 (4) of CRR. Own funds requirements in column 070 multiplied by 12.5.
080	OF WHICH: DUE TO AN ALLOCATION MECHANISM Article 18 (1) of CRR (related to the inclusion, in the application referred to in Article 312 (2) of CRR) of the methodology used for allocating operational risk capital between the different entities of the group and of whether and how diversification effects are intended to be factored in the risk measurement system used by a EU parent credit institution and its subsidiaries or jointly by the subsidiaries of an EU parent financial holding company or EU parent mixed financial holding company.
090-120	AMA MEMORANDUM ITEMS TO BE REPORTED IF APPLICABLE
090	OWN FUNDS REQUIREMENT BEFORE ALLEVIATION DUE TO EXPECTED LOSS, DIVERSIFICATION AND RISK MITIGATION TECHNIQUES The own funds requirement reported in column 090 is the one of column 070 but calculated before taking into account the alleviation effects due to expected loss, diversification and risk mitigation techniques (see below).
100	(-) ALLEVIATION OF OWN FUNDS REQUIREMENTS DUE TO THE EXPECTED LOSS CAPTURED IN BUSINESS PRACTICES In column 100 the alleviation of own funds requirements due to expected loss captured in internal business practices (as referred to in Article 322 (2) point a) of CRR) is reported.
110	(-) ALLEVIATION OF OWN FUNDS REQUIREMENTS DUE TO DIVERSIFICATION The diversification effect in column 110 is the difference between the sum of own funds requirements calculated separately for each operational risk class (i.e. a ‘perfect dependence’ situation) and the diversified own funds requirement calculated by taking into account correlations and dependencies (i.e. assuming less than ‘perfect dependence’ between the risk classes). The ‘perfect dependence’ situation occurs in the ‘default case’, that is when the institution does not use explicit correlations structure between the risk classes, hence the AMA capital is computed as the sum of the individual operational risk measures of the chosen risk classes. In this case the correlation between the risk classes is assumed of 100 % and the value in the column has to be set to zero. Conversely, when the institution computes an explicit correlations structure between risk classes, it has to include in this column the difference between the AMA capital as stemming from the ‘default case’ and that obtained after applying the correlations structure between the risk classes. The value reflects the ‘diversification capacity’ of the AMA model, that is the ability of the model to capture the not simultaneous occurrence of severe operational risk loss events. In the column 110 the amount by which the assumed correlation structure decreases the AMA capital relative to the assumption of 100 % correlation has to be reported.
120	(-) ALLEVIATION OF OWN FUNDS REQUIREMENT DUE TO RISK MITIGATION TECHNIQUES (INSURANCE AND OTHER RISK TRANSFER MECHANISMS) In column 120 the impact of insurance and other risk transfer mechanisms according to Article 323(1) to (5) of CRR is reported.

Rows
010	BANKING ACTIVITIES SUBJECT TO BASIC INDICATOR APPROACH (BIA) This row shall present the amounts corresponding to activities subject to the BIA to calculate the own funds requirement for operational risk (Articles 315 and 316 of CRR).
020	BANKING ACTIVITIES SUBJECT TO STANDARISED (TSA)/ ALTERNATIVE STANDARDISED (ASA) APPROACHES The own funds requirement calculated according to the TSA and ASA (Articles 317 to 319 of CRR) shall be reported.
030-100	SUBJECT TO TSA In the case of using the TSA, relevant indicator for each respective year shall be distributed in rows 030 to 100 amongst the business lines defined in Article 317, Table 2 of CRR. The mapping of activities into business lines shall follow the principles described in Article 318 of CRR.
110-120	SUBJECT TO ASA Institutions using the ASA (Article 319 of CRR) shall report for the respective years relevant indicator separately for each business line in the rows 030 to 050 and 080 to 100 and in the rows 110 and 120 for business lines ‘Commercial banking’ and ‘Retail banking’. Rows 110 and 120 shall present the amount of relevant indicator of activities subject to ASA distinguishing between those corresponding to the business line ‘Commercial banking’ and those corresponding to the business line ‘Retail banking’ (Article 319 of CRR). There can be amounts for the rows corresponding to ‘Commercial banking’ and ‘Retail banking’ under the TSA (rows 060 and 070) as well as under the ASA rows 110 and 120 (e.g. if a subsidiary is subject to TSA whereas the parent entity is subject to ASA).
130	BANKING ACTIVITIES SUBJECT TO ADVANCED MEASUREMENT APPROACHES AMA The relevant data for AMA institutions (Article 312 point 2 and Article 321 to 323 of CRR) shall be reported. In the case of combined use of different approaches as indicated in Article 314 of CRR, information on relevant indicator for activities subject to AMA shall be reported. It is also the case for all other AMA banks.

4.2. C 17.00 — OPERATIONAL RISK: GROSS LOSSES BY BUSINESS LINES AND EVENT TYPES IN THE LAST YEAR (OPR DETAILS)

4.2.1. General Remarks

119.

This template summarises the information on the gross losses registered by an institution in the last year according to event types and business lines, based on the first accounting date of the loss.

120.

The information is presented by distributing the gross losses above internal thresholds amongst business lines (as defined in Article 317 of CRR, Table 2 of CRR including the additional business line ‘Corporate items’ as referred to in Article 322 (3) point b) of CRR) and event types (as defined in Article 324 of CRR), being possible that the losses corresponding to one event are distributed amongst several business lines.

121.

Columns present the different event types and the totals for each business line, together with a memorandum item that shows the lowest internal threshold applied in the data collection of losses, revealing within each business line the lowest and the highest threshold if there is more than one threshold.

122.

Rows present the business lines, and within each business line, information on the number of events, the amount of the total loss, the maximum single loss and the sum of the five largest losses (regardless the number of losses).

123.

This template shall be reported by institutions using AMA or TSA/ASA for the calculation of their own funds requirements.

124.

Institutions subject to Article 5 point (b) (2) ii may only report the following information for the sum of all event types (column 080) of the OPR Details template:

a.	Number of events (row 910),

b.	Total loss amount (row 920),

c.	Maximum single loss (row 930) and

d.	Sum of the five largest losses (row 940).

4.2.2. Instructions concerning specific positions

Columns
010-070	EVENT TYPES Institutions report the losses in the respective columns 010 to 070 according to the event types as defined in Article 324 of CRR. Institutions that calculate their own funds requirement according to TSA or ASA can report the losses for which the event type is not identified in column 080.
080	TOTAL EVENT TYPES In column 080, for each business line, institutions report the total ’number of events’ and the total of ’total loss amount’ as the simple aggregation of the number of loss events and the total gross loss amounts reported in columns 010 to 070. The ’maximum single loss’ in column080 is the maximum of the ’maximum single gross losses’ reported in columns 010 to 070. For the sum of the five largest losses, in column 080 the sum of the five largest losses within one business line is reported.
090-100	MEMORANDUM ITEM: THRESHOLD APPLIED IN DATA COLLECTION Institutions report in the columns 090 and 100 the minimum loss thresholds they are using for the internal loss data collection in accordance with Article 322 (3) point c) of CRR, last sentence of CRR. If the institution applies only one threshold for in each business line, only the column 090 shall be filled in. In the case where there are different thresholds applied within the same regulatory business line, then the highest applicable threshold (column 100) shall be filled in as well.

Rows

010-840

BUSINESS LINES: CORPORATE FINANCE, TRADING AND SALES, RETAIL BROKERAGE, COMMERCIAL BANKING, RETAIL BANKING, PAYMENT AND SETTLEMENT, AGENCY SERVICES, ASSET MANAGEMENT, CORPORATE ITEMS

For each business line as defined in Article 317 (4) table 2 of CRR, including the additional business line ‘Corporate items’ as referred to in Article 322 (3) point b) of CRR, and for each event type, the institution shall report, according to the thresholds the following information: number of events, total loss amount, maximum single loss and sum of the five largest losses. For a loss event that affects more than one business line the ‘total loss amount’ is distributed among all the affected business lines.

910-940

TOTAL BUSINESS LINES

For each event type (column 010 to 080), the following information ( Article 322 (3) points b), c) and e) of CRR on total business lines (rows 910 to 940) has to be reported:

—

Number of events (row 910): the number of events above the threshold by event types for the total business lines. This figure may be lower than the aggregation of the number of events by business lines since the events with multiple impacts (impacts in different business lines) shall be considered as one.

—	Total loss amount (row 920): the total loss amount is the simple aggregation of the total loss amount for each business line.

—	Maximum single loss (row 930): the maximum single loss is the maximum loss over the threshold for each event type and amongst all business lines. These figures may be higher than the highest single loss recorded in each business line if an event impacts different business lines.

—

Sum of the five largest losses (row 940): the sum of the five largest gross losses for each event type and amongst all business lines is reported. This sum may be higher than the highest sum of the five largest losses recorded in each business line. This sum has to be reported regardless the number of losses.

910-940/080

TOTAL BUSINESS LINES — TOTAL EVENT TYPES

—

Number of events: it is equal to the horizontal aggregation of the number of events in row 910, given that in those figures the events with impacts in different business lines shall have already been considered as one event. This number shall not necessarily be equal to the vertical aggregation of the number of events which are included in column 080, given that one event can have an impact in different business lines simultaneously.

—	Total loss amount: it is equal to both the horizontal aggregation of total loss amounts by event type in row 920 and the vertical aggregation of total loss amounts by business line in column 080.

—

Maximum single loss: as previously mentioned, when an event has impact in different business lines, it may be that the amount for ‘Maximum single loss’ in ‘Total Business lines’ for that particular event type is higher than the amounts of ‘Maximum single loss’ in each business line. Hence, the amount in this cell shall be equal to the highest of the values of ‘Maximum single loss’ in ‘Total Business lines’, which may not necessarily be equal to the highest value of ‘Maximum single loss’ across business lines in column 080.

—

Sum of the five largest losses: it is the sum of the five largest losses in the whole matrix, which means that it may not necessarily be equal to neither the maximum value of ‘sum of the five largest losses’ in ‘Total Business lines’ nor the maximum value of ‘sum of the five largest losses’ in column 080.

5. MARKET RISK TEMPLATES

125.

These instructions refer to the templates reporting of the calculation of own funds requirements according to the standardised approach for foreign exchange risk (MKR SA FX), commodities risk (MKR SA COM) interest rate risk (MKR SA TDI, MKR SA SEC, MKR SA CTP) and equity risk (MKR SA EQU). Additionally, instructions for the template reporting of the calculation of own funds requirements according to the internal models approach (MKR IM) are included in this part.

126.

The position risk on a traded debt instrument or equity (or debt or equity derivative) shall be divided into two components in order to calculate the capital required against it. The first shall be its specific-risk component — this is the risk of a price change in the instrument concerned due to factors related to its issuer or, in the case of a derivative, the issuer of the underlying instrument. The second component shall cover its general risk — this is the risk of a price change in the instrument due (in the case of a traded debt instrument or debt derivative) to a change in the level of interest rates or (in the case of an equity or equity derivative) to a broad equity- market movement unrelated to any specific attributes of individual securities. The general treatment of specific instruments and netting procedures can be found in Articles 326 to 333 of CRR.

5.1. C 18.00 — MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS (MKR SA TDI)

5.1.1. General Remarks

127.

This template captures the positions and the related own funds requirements for position risks on traded debt instruments under the standardised approach (Articles 102 and 105 (1) of CRR). The different risks and methods available under the CRR are considered by rows. The specific risk associated with exposures included in MKR SA SEC and MKR SA CTP only has to be reported in the Total template of the MKR SA TDI. The own funds requirements reported in those templates shall be transferred to cell {325;060} (securitisations) and {330;060} (CTP) respectively.

128.

The template has to be filled out separately for the ‘Total’, plus a pre-defined list of following currencies: EUR, ALL, BGN, CZK, DKK, EGP, GBP, HUF, ISK, JPY, LVL, LTL, MKD, NOK, PLN, RON, RUB, RSD, SEK, CHF, TRY, UAH, USD and one residual template for all other currencies.

5.1.2. Instructions concerning specific positions

Columns
010-020	ALL POSITIONS (LONG AND SHORT) Articles 102 and 105 (1) of CRR. These are gross positions not netted by instruments but excluding underwriting positions subscribed or sub-underwritten by third parties (Article 345 second sentence of CRR). Regarding the distinction between Long and Short positions, also applicable to these gross positions, see Article 328 (2) of CRR.
030-040	NET POSITIONS (LONG AND SHORT) Articles 327 to 329 and 334 of CRR. Regarding the distinction between Long and Short positions see Article 328 (2) of CRR.
050	POSITIONS SUBJECT TO CAPITAL CHARGE Those net positions that, according to the different approaches considered in Part 3 Title IV Chapter 2 of CRR, receive a capital charge.
060	OWN FUNDS REQUIREMENTS The capital charge for any relevant position according to Part 3 Title IV Chapter 2 of CRR.
070	TOTAL RISK EXPOSURE AMOUNT Article 92 (4) lit. b of CRR. Result of the multiplication of the own funds requirements by 12.5.

Rows
010-350	TRADED DEBT INSTRUMENTS IN TRADING BOOK Positions in traded debt instruments in Trading Book and their correspondent own funds requirements for position risk according to Article 92 (3) point b) (i) CRR and Part 3 Title IV Chapter 2 of CRR are reported depending on risk category, maturity and approach used.
011	GENERAL RISK.
012	Derivatives Derivatives included in the calculation of interest rate risk of trading book positions taking into account Articles 328 to 331, if applicable.
013	Other assets and liabilities Instruments other than derivatives included in the calculation of interest rate risk of trading book positions.
020-200	MATURITY BASED APPROACH Positions in traded debt instruments subject to the maturity-based approach according to Article 339 (1) to (8) of CRR and the correspondent own funds requirements set up in Article 339 (9) of CRR. The position shall be split by zones 1, 2 and 3 and these by the maturity of the instruments.
210-240	GENERAL RISK. DURATION BASED APPROACH Positions in traded debt instruments subject to the duration-based approach according to Article 340 (1) to (6) of CRR and the correspondent own funds requirements set up in Article 340 (7) of CRR. The position shall be split by zones 1, 2 and 3.
250	SPECIFIC RISK Sum of amounts reported in rows 251, 325 and 330. Positions in traded debt instruments subject to the specific risk capital charge and their correspondent capital charge according to Article 92 (3) lit. b and 335, 336 (1) to (3), 337 and 338 of CRR. Be also aware of last sentence in Article 327 (1) of CRR.
251-321	Own funds requirement for non-securitisation debt instruments Sum of the amounts reported in rows 260 to 321. The own funds requirement of the n-th to default credit derivatives which are not rated externally has to be computed by summing up the risk weights of the reference entities (Article 332 (1) point e) para 1 and 2 CRR — ‘look-through’). N-th-to-default credit derivatives which are rated externally (Article 332 (1) point e) para 3 CRR) shall be reported separately in line 321. Reporting of positions subject to Article 336 (3) CRR: There is a special treatment for bonds which qualify for a 10 % risk weight in the banking book according to Article 129 (3) CRR (covered bonds). The specific own funds requirements is half of the percentage of the second category of table 1 of Article 336 CRR. Those positions have to be assigned to rows 280-300 according to the residual term to final maturity. If the general risk of interest rate positions is hedged by a credit derivative, Articles 346 and 347 shall be applied.
325	Own funds requirement for securitisation instruments Total own funds requirements reported in column 610 of template MKR SA SEC. It shall only be reported on Total level of the MKR SA TDI.
330	Own funds requirement for the correlation trading portfolio Total own funds requirements reported in column 450 of template MKR SA CTP. It shall only be reported on Total level of the MKR SA TDI.
340	PARTICULAR APPROACH FOR POSITION RISK IN CIUs Articles 348 to 350 of CRR. Applicable when positions in CIUs or the underlying instruments are not treated in accordance with the methods set out in Part 3 Title IV Chapter 5 of CRR. It includes, if it is the case, the effects of applicable caps in the own funds requirements. If the particular approach according to Article 348 sentence 1 of CRR is applied, the amount to be reported is 32 % of the net position of the CIU exposure in question. If the particular approach according to Article 348 sentence 2 of CRR is applied, the amount to be reported is the lower of 32 % of the net position of the relevant CIU exposure and the difference between 40 % of this net position and the own funds requirements that arise from the foreign exchange risk associated with this CIU exposure.
350-390	ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS) Article 329 (3) of CRR. The additional requirements for options related to non-delta risks shall be reported in the method used for its calculation.

5.2. C 19.00 — MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS (MKR SA SEC)

5.2.1. General Remarks

129.

This template requests information on positions (all/net and long/short) and the related own funds requirements for the specific risk component of position risk in securitisations/ re-securitisations held in the trading book (not eligible for correlation trading portfolio) under the standardised approach.

130.

The MKR SA SEC template determines the own funds requirement only for the specific risk of securitisation positions according to Articles 335 in connection with 337 CRR. If securitisation positions of the trading book are hedged by credit derivatives, Articles 346 and 347 CRR apply. There is only one template for all positions of the trading book, irrespective of the fact whether the institution uses the Standardised Approach or the Internal Ratings Based Approach to determine the risk weight for each of the positions according to Part Three Title II Chapter 5 of CRR. The reporting of the own funds requirements of the general risk of these positions is conducted in the MKR SA TDI or the MKR IM template.

131.

Positions which receive a risk weight of 1.250 % can alternatively be deducted from CET1 (see 243(1) point (b), 244(1) point (b) and 258 of CRR). If this is the case, those positions have to be reported in row 460 of CA1.

5.2.2. Instructions concerning specific positions

Columns
010-020	ALL POSITIONS (LONG AND SHORT) Articles 102 and 105 (1) of CRR in connection with Article 337 of CRR (securitisation positions). Regarding the distinction between Long and Short positions, also applicable to these gross positions, see Article 328 (2) of CRR.
030-040	(-) POSITIONS DEDUCTED FROM OWN FUNDS (LONG AND SHORT) Article 258 of CRR.
050-060	NET POSITIONS (LONG AND SHORT) Articles 327 to 329 and 334 of CRR. Regarding the distinction between Long and Short positions see Article 328 (2) of CRR.
070-520	BREAKDOWN OF THE NET POSITIONS ACCORDING TO RISK WEIGHTS Articles 251 (Table 1) and 261 (1) (Table 4) of CRR. The breakdown has to be done separately for long and short positions.
230-240 and 460-470	1250 % Articles 251 (Table 1) and 261 (1) (Table 4) of CRR.
250-260 and 480-490	SUPERVISORY FORMULA METHOD Article 337 (2) of CRR in connection with Article 262 of CRR. These columns shall be reported when the institutions uses the alternative Supervisory Formula Approach (SFA), which determines the own funds requirements as a function of the characteristics of the collateral pool and contractual properties of the tranche.
270 and 500	LOOK THROUGH SA: Articles 253, 254 and 256 (5) of CRR. The look-through columns comprise all the cases of unrated exposures where the risk weight is obtained from the underlying portfolio of exposures (average risk weight of the pool, highest risk weight of the pool, or the use of a concentration ratio). IRB: Articles 263 (2) and (3) of CRR. For early amortisations see Article 265 (1) and 256 (5) of CRR.
280-290/510-520	INTERNAL ASSESSMENT APPROACH Article 109 (1) sentence 2 and Article 259 (3) and (4) of CRR. These columns shall be reported when the institution uses the internal assessment approach for determining capital charges for liquidity facilities and credit enhancements that banks (including third-party banks) extend to ABCP conduits. The IAA, based on ECAI's methodologies, is applicable only to exposures to ABCP conduits that have an internal rating equivalent of investment-grade at inception.
530-540	OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONS Article 337 (3) of CRR in connection with Article 407 of CRR. Article 13 (2) of CRR
550-570	BEFORE CAP — WEIGHTED NET LONG/SHORT POSITIONS AND SUM OF WEIGHTED NET LONG AND SHORT POSITIONS Article 337 of CRR without taking into account the discretion of Article 335 of CRR, that allows an institution to cap the product of the weight and the net position at the maximum possible default-risk related loss.
580-600	AFTER CAP — WEIGHTED NET LONG/SHORT POSITIONS AND SUM OF WEIGHTED NET LONG AND SHORT POSITIONS Article 337 of CRR taking into account the discretion of Article 335 of CRR.
610	TOTAL OWN FUNDS REQUIREMENTS According to Article 337 (4) of CRR for a transitional period ending 31 December 2014, the institution shall sum separately its weighted net long positions (col. 580) and its weighted net short positions (col. 590). The larger of those sums (after cap) shall constitute the own funds requirement. From 2015 onwards according to Article 337 (4) of CRR, the institution shall sum its weighted net positions, regardless whether they are long or short (col. 600), in order to calculate the own funds requirements.

Rows

010

TOTAL EXPOSURES

Total amount of outstanding securitisations (held in the trading book) reported by the institution playing the role/s of originator and/or investor and/or sponsor.

040, 070 and 100

SECURITISATIONS

Article 4 (38) of CRR.

020, 050, 80 and 110

RE-SECURITISATIONS

Article 4 (39) and (40) of CRR.

030-050

ORIGINATOR

Article 4 (41) of CRR

060-080

INVESTOR

Credit institution that holds a securitisation positions in a securitisation transaction for which it is neither originator nor sponsor

090-110

SPONSOR

Article 4 (42) of CRR. If a sponsor is also securitising it own assets, it shall fill in the originator's rows with the information regarding its own securitised assets

120-210

BREAKDOWN OF THE TOTAL SUM OF WEIGHTED NET LONG AND NET SHORT POSITIONS BY UNDERLYING TYPES

Article 337 (4), last sentence of CRR.

The breakdown of the underlying assets follows the classification used in the SEC Details template (Column ’Type’):

—	1-residential mortgages;

—	2-commercial mortgages;

—	3-credit card receivables;

—	4-leasing;

—	5-loans to corporates or SMEs (treated as corporates);

—	6-consumer loans;

—	7-trade receivables;

—	8-other assets;

—	9-covered bonds;

—	10-other liabilities.

For each securitisation, in case the pool consists of different types of assets, the institution shall consider the most important type.

5.3. C 20.00 — MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK FOR POSITIONS ASSIGNED TO THE CORRELATION TRADING PORTFOLIO (MKR SA CTP)

5.3.1. General Remarks

132.

This template requests information on positions of the CTP (comprising securitisations, nth-to-default credit derivatives and other CTP positions included according to Article 338 (3)) and the corresponding own funds requirements under the standardised approach.

133.

The MKR SA CTP template determines the own funds requirement only for the specific risk of positions assigned to the Correlation Trading Portfolio according to Articles 335 in connection with 338 (2) and (3) of CRR. If CTP- positions of the trading book are hedged by credit derivatives, Articles 346 and 347 CRR apply. There is only one template for all CTP-positions of the trading book, irrespective of the fact whether the institution uses the Standardised Approach or the Internal Ratings Based Approach to determine the risk weight for each of the positions according to Part Three Title II Chapter 5 of CRR. The reporting of the own funds requirements of the general risk of these positions is conducted in the MKR SA TDI or the MKR IM template.

134.

This structure of the template separates securitisation positions, n-th to default credit derivatives and other CTP-positions. As a result, securitisation positions shall always be reported in rows 030, 060 or 090 (depending on the role of the institution in the securitisation). N-th to default credit derivatives shall always be reported in line 110. The ‘other CTP-positions’ are neither securitisation positions nor n-th to default credit derivatives (see definition in Article 338 (3) CRR), but they are explicitly ‘linked’ (because of the hedging intent) to one of these two positions. That is why they are assigned either under the sub-heading ‘securitisation’ or ‘n-th to default credit derivative’.

135.

5.3.2. Instructions concerning specific positions

Columns
010-020	ALL POSITIONS (LONG AND SHORT) Articles 102 and 105 (1) of CRR in connection with positions assigned to the Correlation Trading Portfolio according to Article 338 (2) and (3) of CRR. Regarding the distinction between Long and Short positions, also applicable to these gross positions, see Article 328 (2) of CRR.
030-040	(-) POSITIONS DEDUCTED FROM OWN FUNDS (LONG AND SHORT) Article 258 of CRR.
050-060	NET POSITIONS (LONG AND SHORT) Articles 327 to 329 and 334 of CRR. Regarding the distinction between Long and Short positions see Article 328 (2) of CRR.
070-400	BREAKDOWN OF THE NET POSITIONS ACCORDING TO RISK WEIGHTS (SA AND IRB) Articles 251 (Table 1) and 261 (1) (Table 4) of CRR.
160 and 330	OTHER Other risk weights not explicitly mentioned in the previous columns. For n-th-to-default credit derivatives only those which are not externally rated. Externally rated n-th to default credit derivatives are either to be reported in the MKR SA TDI template (row 321) or — if they are incorporated into the CTP — shall be assigned to the column of the respective risk weight.
170-180 and 360-370	1250 % Articles 251 (Table 1) and 261 (1) (Table 4) of CRR.
190-200 and 340-350	SUPERVISORY FORMULA METHOD Article 337 (2) of CRR in connection with Article 262 of CRR.
210/380	LOOK THROUGH SA: Articles 253, 254 and 256 (5) of CRR. The look-through columns comprise all the cases of unrated exposures where the risk weight is obtained from the underlying portfolio of exposures (average risk weight of the pool, highest risk weight of the pool, or the use of a concentration ratio). IRB: Articles 263 (2) and (3) of CRR. For early amortisations see Article 265 (1) and 256 (5) of CRR.
220-230 and 390-400	INTERNAL ASSESSMENT APPROACH Article 259 (3) and (4) of CRR.
410-420	BEFORE CAP — WEIGHTED NET LONG/SHORT POSITIONS Article 338 without taking into account the discretion of Article 335 of CRR.
430-440	AFTER CAP — WEIGHTED NET LONG/SHORT POSITIONS Article 338 taking into account the discretion of Article 335 of CRR.
450	TOTAL OWN FUNDS REQUIREMENTS The own funds requirement is determined as the larger of either (i) the specific risk charge that would apply just to the net long positions (col. 430) or (ii) the specific risk charge that would apply just to the net short positions (col. 440).

Rows

010

TOTAL EXPOSURES

Total amount of outstanding positions (held in the correlation trading portfolio) reported by the institution playing the role/s of originator, investor or sponsor.

020-040

ORIGINATOR

Article 4 (41) of CRR

050-070

INVESTOR

Credit institution that holds a securitisation positions in a securitisation transaction for which it is neither originator nor sponsor

080-100

SPONSOR

Article 4 (42) of CRR. If a sponsor is also securitising it own assets, it shall fill in the originator's rows with the information regarding its own securitised assets

030, 060 and 090

SECURITISATIONS

The correlation trading portfolio comprises securitisations, n-th-to-default credit derivatives and possibly other hedging positions that meet the criteria set in Article 338 (2) and (3) of CRR.

Derivatives of securitisation exposures that provide a pro-rata share as well as positions hedging CTP positions shall be included in row ’Other CTP positions’.

110

N-TH-TO-DEFAULT CREDIT DERIVATIVES

N-th to default credit derivatives that are hedged by n-th-to-default credit derivatives according to Article 347 CRR shall both be reported here.

The positions originator, investor and sponsor do not fit for n-th to default credit derivatives. As a consequence, the breakdown as for securitisation positions cannot be provided for n-th to default credit derivatives..

040, 070, 100 and 120

OTHER CTP POSITIONS

The positions in:

—	Derivatives of securitisation exposures that provide a pro-rata share as well as positions hedging CTP positions shall be included in row 'Other CTP positions;

—	CTP positions hedged by credit derivatives according to Article 346 CRR;

—	Other positions that satisfy Article 338 (3) of CRR;

are included.

5.4. C 21.00 — MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES (MKR SA EQU)

5.4.1. General Remarks

136.

This template requests information on the positions and the corresponding own funds requirements for position risk in equities held in the trading book and treated under the standardised approach.

137.

The template has to be filled out separately for the ‘Total’, plus a static, pre-defined list of following markets: Austria, Belgium, Bulgaria, Cyprus, Czech Republic, Denmark, Estonia, Egypt, Finland, France, Germany, Greece, Hungary, Iceland, Ireland, Italy, Latvia, Lithuania, Liechtenstein, Luxembourg, Malta, Netherlands, Norway, Poland, Portugal, Romania, Slovakia, Slovenia, Spain, Sweden, United Kingdom, Albania, Japan, Former Yugoslav Republic of Macedonia, Russian Federation, Serbia, Switzerland, Turkey, Ukraine, USA plus one residual template for all other markets. For the purpose of this reporting requirement the term ‘market’ shall be read as ‘country’.

5.4.2. Instructions concerning specific positions

Columns
010-020	ALL POSITIONS (LONG AND SHORT) Articles 102 and 105 (1) of CRR. These are gross positions not netted by instruments but excluding underwriting positions subscribed or sub-underwritten by third parties (Article 345 second sentence of CRR).
030-040	NET POSITIONS (LONG AND SHORT) Articles 327, 329, 332, 341 and 345 of CRR.
050	POSITIONS SUBJECT TO CAPITAL CHARGE Those net positions that, according to the different approaches considered in Part 3 Title IV Chapter 2 of CRR, receive a capital charge. The capital charge has to be calculated for each national market separately.
060	OWN FUNDS REQUIREMENTS The capital charge for any relevant position according to Part 3 Title IV Chapter 2 of CRR.
070	TOTAL RISK EXPOSURE AMOUNT Article 92 (4) lit. b of CRR. Result of the multiplication of the own funds requirements by 12.5.

Rows
010-130	EQUITIES IN TRADING BOOK Own funds requirements for position risk according to article 92 (3) point b) (i) CRR and Part 3 Title IV Chapter 2 Section 3 of CRR.
020-040	GENERAL RISK Positions in equities subject to general risk (Article 343 of CRR) and their correspondent own funds requirement according to Part 3 Title IV Chapter 2 Section 3 of CRR. Both breakdowns (021/022 as well as 030/040) are a breakdown related to all positions subject to general risk. Rows 021 and 022 requests information on the breakdown according to instruments. Only the breakdown in rows 030 and 040 is used as a basis for the calculation of own funds requirements.
021	Derivatives Derivatives included in the calculation of equity risk of trading book positions taking into account Articles 329 and 332, if applicable.
022	Other assets and liabilities Instruments other than derivatives included in the calculation of equity risk of trading book positions.
030	Exchange traded stock-index futures broadly diversified and subject to a particular approach Exchange traded stock-index futures broadly diversified and subject to a particular approach according to Article 344 (1) amd (4) of CRR. These positions are only subject to general risk and, accordingly, must not be reported in row (050).
040	Other equities than exchange traded stock-index futures broadly diversified Other positions in equities subject to specific risk and the correspondent own funds requirements according to Article 343 and 344 (3) of CRR.
050	SPECIFIC RISK Positions in equities subject to specific risk and the correspondent own funds requirement according to Articles 342 and 344 (4) CRR.
080	PARTICULAR APPROACH FOR POSITION RISK IN CIUs The CRR does not explicitly assign those positions to either the interest rate risk or the equity risk. For reporting purposes, those positions shall be reported in the MKR SA EQU template. Positions in CIUs if capital requirements are calculated according to Article 348 (1) CRR. Applicable when positions in CIUs or the underlying instruments are not treated in accordance with the methods set out in Part 3 Title IV Chapter 5 (reference to the ‘Use of internal models to calculate own funds requirements’) of CRR. If the particular approach according to Article 348 (1) sentence 1 of CRR is applied, the amount to be reported is 32 % of the net position of the CIU exposure in question. If the particular approach according to Article 348 (1) sentence 2 of CRR is applied, the amount to be reported is the lower of 32 % of the net position of the relevant CIU exposure and the difference between 40 % of this net position and the own funds requirements that arise from the foreign exchange risk associated with this CIU exposure. If the specific methods of Article 350 CRR are applicable, the reporting of those positions shall follow the underlying investments. As a consequence, those positions would be reported in the relevant rows of either the MKR SA TDI or the MKR SA EQU template.
090-130	ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS) Article 329 (3) of CRR. The additional requirements for options related to non-delta risks shall be reported in the method used for its calculation.

5.5. C 22.00 — MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK (MKR SA FX)

5.5.1. General Remarks

138.

This template request information on the positions in each currency (reporting currency included) and the corresponding own funds requirements for foreign exchange and treated under the standardised approach. The position is calculated for each currency (including euro), gold, and positions to CIUs.

139.

The memorandum items of the template shall be filled out separately for All currencies of the member states of the European Union and the following currencies: USD, CHF, JPY, RUB, TRY, AUD, CAD, RSD, ALL, UAH, MKD, EGP, ARS, BRL, MXN, HKD, ICK, TWD, NZD, NOK, SGD, KRW, CNY and all other currencies.

5.5.2. Instructions concerning specific positions

Columns
010	CURRENCY The three-letter currency unit code according to ISO 4217 shall be reported under the block Memorandum of items (currency 6 onwards).
020-030	ALL POSITIONS (LONG AND SHORT) Gross positions due to assets, amounts to be received and similar items referred to in Article 352 (1) of CRR.
040-050	NET POSITIONS (LONG AND SHORT) Articles 352 (3) and 353 of CRR. The net positions are calculated by each currency, accordingly there may be simultaneous long and short positions.
060-080	POSITIONS SUBJECT TO CAPITAL CHARGE Articles 352 (2) and (4), 353 and 354 of CRR.
060-070	POSITIONS SUBJECT TO CAPITAL CHARGE (LONG AND SHORT) The long and short net positions for each currency are calculated by deducting the total of short positions from the total of long positions. Long net positions for each operation in a currency are added to obtain the long net position in that currency. Short net positions for each operation in a currency are added to obtain the short net position in that currency. Unmatched positions are added to positions subject to capital charges for other currencies (row 030) in column (040) or (050) depending on their short or long arrangement.
080	POSITIONS SUBJECT TO CAPITAL CHARGE (MATCHED) Matched positions for closely correlated currencies
	RISK CAPITAL CHARGE (%) As defined in Articles 351 and 354, the risk capital charges in percentage.
090	OWN FUNDS REQUIREMENTS The capital charge for any relevant position according to Part 3 Title IV Chapter 3 of CRR.
100	TOTAL RISK EXPOSURE AMOUNT Article 92 (4) lit. b of CRR. Result of the multiplication of the own funds requirements by 12.5.

Rows

010

TOTAL POSITIONS IN NON REPORTING CURRENCIES

Positions in non-reporting currencies and their correspondent own funds requirements according to article 92 (3) point c) (i) and Article 352 (2) and (4) of CRR (for conversion into the reporting currency).

020

CURRENCIES CLOSELY CORRELATED

Positions and their correspondent own funds requirements for currencies referred to in Article 354 of CRR.

030

ALL OTHER CURRENCIES (including CIU's treated as different currencies)

Positions and their correspondent own funds requirements for currencies subject to the general procedure referred to in Articles 351 and 352 (2) and (4) of CRR.

Reporting of CIU's treated as separate currencies according to Article 353 CRR:

There are two different treatments of CIU's treated as separate currencies for calculating the capital requirements:

1.	The modified gold method, if the direction of the CIU's investment is not available (those CIU's shall be added to an institution's overall net foreign-exchange position)

2.	If the direction of the CIU's investment is available, those CIU's shall be added to the total open foreign exchange position (long or short, depending on the direction of the CIU)

The reporting of those CIU's follows the calculation of the capital requirements accordingly.

040

GOLD

Positions and their correspondent own funds requirements for currencies subject to the general procedure referred to in Articles 351 and 352 (2) and (4) of CRR.

050-090

ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS)

Article 352 (5) and (6) of CRR.

The additional requirements for options related to non-delta risks shall be reported in the method used for its calculation.

100-120

Breakdown of total positions (reporting currency included) by exposure types

Total positions shall be broken down according to derivatives, other assets and liabilities and off-balance sheet items.

100

Other assets and liabilities other than off-balance sheet items and derivatives

Positions not included in row 110 or 120 shall be included here.

110

Off-balance sheet items

Items included in Annex I of CRR except those included as Securities Financing Transactions & Long Settlement Transactions or from Contractual Cross Product Netting.

120

Derivatives

Positions valued according to Articles 352 CRR.

130-410

MEMORANDUM ITEMS: CURRENCY POSITIONS

5.6. C 23.00 — MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES (MKR SA COM)

5.6.1. General Remarks

140.

This template request information on the positions in commodities and the corresponding own funds requirements treated under the standardised approach.

5.6.2. Instructions concerning specific positions

Columns
010-020	All POSITIONS (LONG AND SHORT) Gross long/short positions considered positions in the same commodity according to Article 357 (1) and (5) of CRR (see also Article 359 (1) of CRR).
030-040	NET POSITIONS (LONG AND SHORT) As defined in Article 357 (4) of CRR.
050	POSITIONS SUBJECT TO CAPITAL CHARGE Those net positions that, according to the different approaches considered in Part 3 Title IV Chapter 4 of CRR, receive a capital charge.
060	OWN FUNDS REQUIREMENTS The capital charge for any relevant position according to Part 3 Title IV Chapter 4 of CRR.
070	TOTAL RISK EXPOSURE AMOUNT Article 92 (4) lit. b of CRR. Result of the multiplication of the own funds requirements * 12.5.

Rows
010	TOTAL POSITIONS IN COMMODITIES Positions in commodities and their correspondent own funds requirements for market risk according to article 92 (3) point c) (iii) CRR and Part 3 Title IV Chapter 4 of CRR.
020-060	POSITIONS BY CATEGORY OF COMMODITY For reporting purposes commodities are grouped in the four main groups of commodities referred to in Table 2 of Article 361 CRR.
070	MATURITY LADDER APPROACH Positions in commodities subject to the Maturity Ladder approach as referred to in Article 359 of CRR.
080	EXTENDED MATURITY LADDER APPROACH Positions in commodities subject to the Extended Maturity Ladder approach as referred to in Article 361 of CRR
090	SIMPLIFIED APPROACH Positions in commodities subject to the Simplified approach as referred to in Article 360 of CRR.
100-140	ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS) Article 358 (4) of CRR. The additional requirements for options related to non-delta risks shall be reported in the method used for its calculation

5.7. C 24.00 — MARKET RISK INTERNAL MODEL (MKR IM)

5.7.1. General Remarks

141.

This template provides a breakdown of VaR and stressed VaR (sVaR) figures according to the different market risks (debt, equity, FX, commodities) and other information relevant for the calculation of the own funds requirements.

142.

Generally the reporting depends on the structure of the model of the institutions whether they report the figures for general and specific risk separately or together. The same holds true for the decomposition of the VAR /Stress-Var into the risk categories (interest rate risk, equity risk, commodities risk and foreign exchange risk). An institution can resign to report the decompositions mentioned above if it proves that a reporting of these figures would be unduly burdensome.

5.7.2. Instructions concerning specific positions

columns
030-040	VaR It means the maximum potential loss that would result from a price change with a given probability over a specified time horizon.
030	Multiplication factor (mc) x Average of previous 60 working days VaR (VaRavg) Articles 364 (1) point a) (ii) and 365 (1) of CRR.
040	Previous day VaR (VaRt-1) Articles 364 (1) point a) (i) and 365 (1) of CRR.
050-060	Stressed VaR It means the maximum potential loss that would result from a price change with a given probability over a specified time horizon obtained by using input calibrated to historical data from a continuous 12-months period of financial stress relevant to the institution's portfolio.
050	Multiplication factor (ms) x Average of previous 60 working days (SVaRavg) Articles 364 (1) point b) (ii) and 365 (1) of CRR.
060	Latest available (SVaRt-1) Articles 364 (1) point b) (i) and 365 (1) of CRR.
070-080	INCREMENTAL DEFAULT AND MIGRATION RISK CAPITAL CHARGE It means the maximum potential loss that would result from a price change linked to default and migration risks calculated accordingly to Article 364 (2) point b) in connection with Part Three Title IV Chapter 5 Section 4 of CRR.
070	12 weeks average measure Article 364 (2) point b) (ii) in connection with Part Three Title IV Chapter 5 Section 4 of CRR.
080	Last Measure Article 364 (2) point b) (i) in connection with Part Three Title IV Chapter 5 Section 4 of CRR.
090-110	ALL PRICE RISKS CAPITAL CHARGE FOR CTP
090	FLOOR Article 364 (3) point (c) of CRR. = 8 % of the capital charge that would be calculated in accordance with Article 338 (1) of CRR for all positions in the ’all price risks’ capital charge.
100-110	12 WEEKS AVERAGE MEASURE AND LAST MEASURE Article 364 (3) point (b).
110	LAST MEASURE Article 364 (3) point (a)
120	OWN FUNDS REQUIREMENTS Referred to in Article 364 of CRR of all risk factors taking into account correlation effects, if applicable, plus incremental default and migration risk and all price of risks for CTP but excluding the Securitization capital charges for Securitization and nth-to-default credit derivative according Article 364 (2) of CRR.
130	TOTAL RISK EXPOSURE AMOUNT Article 92 (4) lit. b of CRR. Result of the multiplication of the own funds requirements * 12.5.
140	Number of overshootings (during previous 250 working days) Referred to in Article 366 of CRR.
150-160	VaR Multiplication Factor (mc) and SVaR Multiplication Factor (ms) As referred to in Article 366 of CRR.
170-180	ASSUMED CHARGE FOR CTP FLOOR — WEIGHTED NET LONG/ SHORT POSITIONS AFTER CAP The amounts reported and serving as the basis to calculate the floor capital charge for all price risks according to Article 364 (3) point (c) of CRR take into account the discretion of Article 335 of CRR which says that the institution may cap the product of the weight and the net position at the maximum possible default-risk related loss.

Rows
010	TOTAL POSITIONS Corresponds to the part of position, foreign exchange and commodities risk referred to in Article 363 (1) of CRR linked to the risk factors specified in Article 367 (2) of CRR. Concerning the columns 030 to 060 (VAR and Stress-VAR) the figures in the total row is not equal to the decomposition of the figures for the VAR/Stress-VAR of the relevant risk components. Hence the decomposition are memorandum items.
020	TRADED DEBT INSTRUMENTS Corresponds to the part of position risk referred to in 363 (1) of CRR linked to the interest rates risk factors as specified in Article 367 (2) of CRR.
030	TDI — GENERAL RISK General risk defined in Article 362 of CRR.
040	TDI — SPECIFIC RISK Specific risk defined in Article 362 of CRR.
050	EQUITIES Corresponds to the part of position risk referred to in 363 (1) of CRR linked to the equity risk factors as specified in Article 367 (2) of CRR.
060	EQUITIES — GENERAL RISK General risk defined in Article 362 of CRR.
070	EQUITIES — SPECIFIC RISK Specific risk defined in Article 362 of CRR.
080	FOREIGN EXCHANGE RISK Articles 363 (1) and 367 (2) of CRR.
090	COMMODITY RISK Articles 363 (1) and 367 (2) of CRR.
100	TOTAL AMOUNT FOR GENERAL RISK Market risk caused by general market movements of traded debt instruments, equities, foreign exchange and commodities. VAR for general risk of all risk factors (taking into account correlation effects if applicable).
110	TOTAL AMOUNT FOR SPECIFIC RISK Specific risk component of traded debt instruments and equities. VAR for specific risk of equities and traded debt instruments of trading book (taking into account correlation effects if applicable).

5.8. C 25.00 — CREDIT VALUATION ADJUSTMENT RISK (CVA)

5.8.1. Instructions concerning specific positions

Columns
010	Exposure value Article 271 of CRR in accordance with article 382 of CRR Total EAD from all transactions subject to CVA charge
020	Of which: OTC derivatives Article 271 of CRR in accordance with article 382 (1) of CRR The part of the total counterparty credit risk exposure solely due to OTC derivatives. The information is not required from IMM institutions holding OTC derivatives and SFTs in the same netting set
030	Of which: SFT Article 271 of CRR in accordance with article 382 (2) of CRR The part of the total counterparty credit risk exposure solely due to SFT derivatives. The information is not required from IMM institutions holding OTC derivatives and SFTs in the same netting set
040	MULTIPLICATION FACTOR (mc) x AVERAGE OF PREVIOUS 60 WORKING DAYS (VaRavg) Article 383 of CRR in accordance with article 363 (1)(d) of CRR VaR calculation based on internal models for market risk
050	PREVIOUS DAY (VaRt-1) See instructions referring to column 040
060	MULTIPLICATION FACTOR (ms) x AVERAGE OF PREVIOUS 60 WORKING DAYS (SVaRavg) See instructions referring to column 040
070	LATEST AVAILABLE (SVaRt-1) See instructions referring to column 040
080	OWN FUNDS REQUIREMENTS Article 92 (3) d) of CRR Own funds requirements for CVA Risk calculated via the chosen method
090	TOTAL RISK EXPOSURE AMOUNT Article 92 (4) b) of CRR Own funds requirements multiplied by 12,5.
	Memorandum items
100	Number of counterparties Article 382 of CRR Number of counterparties included in calculation of own funds for CVA risk Counterparties are a subset of obligors. They only exist in case of derivatives transactions or SFTs where they are simply the other contracting party.
110	Of which: proxy was used to determine credit spread number of counterparties where the credit spread was determined using a proxy instead of directly observed market data
120	INCURRED CVA Accounting provisions due to decreased credit worthiness of derivatives counterparties
130	SINGLE NAME CDS Article 386 (1) lit. a of CRR Total notional amounts of single name CDS used as hedge for CVA risk
140	INDEX CDS Article 386 (1) lit. b) of CRR Total notional amounts of index CDS used as hedge for CVA risk

Rows
010	CVA risk total Sum of rows 020-040 as applicable
020	According to Advanced method Advanced CVA risk method as prescribed by Article 383 of CRR
030	According to Standardised method Standardised CVA risk method as prescribed by Article 384 of CRR
040	Based on OEM Amounts subject to the application of Art. 385 of CRR

(1) The data requested to the institutions in this template shall be reported on an accumulated basis for the natural year or report (i.e. since 1st of January of the current year).

(2) ‘Stand alone institutions’ are neither part of a group, nor consolidate themselves in the same country where they are subject to own funds requirements.

ANNEX III

REPORTING FINANCIAL INFORMATION ACCORDING TO IFRS

FINREP TEMPLATES FOR IFRS
TEMPLATE NUMBER	TEMPLATE CODE	NAME OF THE TEMPLATE OR OF THE GROUP OF TEMPLATES
		PART 1 [QUARTERLY FREQUENCY]
		Balance Sheet Statement [Statement of Financial Position]
1.1	F 01.01	Balance Sheet Statement: assets
1.2	F 01.02	Balance Sheet Statement: liabilities
1.3	F 01.03	Balance Sheet Statement: equity
2	F 02.00	Statement of profit or loss
3	F 03.00	Statement of comprehensive income
		Breakdown of financial assets by instrument and by counterparty sector
4,1	F 04.01	Breakdown of financial assets by instrument and by counterparty sector: financial assets held for trading
4,2	F 04.02	Breakdown of financial assets by instrument and by counterparty sector: financial assets designated at fair value through profit or loss
4,3	F 04.03	Breakdown of financial assets by instrument and by counterparty sector: available-for-sale financial assets
4,4	F 04.04	Breakdown of financial assets by instrument and by counterparty sector: loans and receivables and held-to-maturity investments
4,5	F 04.05	Subordinated financial assets
5	F 05.00	Breakdown of loans and advances by product
6	F 06.00	Breakdown of loans and advances to non-financial corporations by NACE codes
7	F 07.00	Financial assets subject to impairment that are past due or impaired
		Breakdown of financial liabilities
8,1	F 08.01	Breakdown of financial liabilities by product and by counterparty sector
8,2	F 08.02	Subordinated financial liabilities
		Loan commitments, financial guarantees and other commitments
9,1	F 09.01	Off-balance sheet exposures: loan commitments, financial guarantees and other commitments given
9,2	F 09.02	Loan commitments, financial guarantees and other commitments received
10	F 10.00	Derivatives — Trading
		Derivatives — Hedge accounting
11,1	F 11.01	Derivatives — Hedge accounting: Breakdown by type of risk and type of hedge
12	F 12.00	Movements in allowances for credit losses and impairment of equity instruments
		Collateral and guarantees received
13,1	F 13.01	Breakdown of loans and advances by collateral and guarantees
13,2	F 13.02	Collateral obtained by taking possession during the period [held at the reporting date]
13,3	F 13.03	Collateral obtained by taking possession [tangible assets] accumulated
14	F 14.00	Fair value hierarchy: financial instruments at fair value
15	F 15.00	Derecognition and financial liabilities associated with transferred financial assets
		Breakdown of selected statement of profit or loss items
16,1	F 16.01	Interest income and expenses by instrument and counterparty sector
16,2	F 16.02	Gains or losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss by instrument
16,3	F 16.03	Gains or losses on financial assets and liabilities held for trading by instrument
16,4	F 16.04	Gains or losses on financial assets and liabilities held for trading by risk
16,5	F 16.05	Gains or losses on financial assets and liabilities designated at fair value through profit or loss by instrument
16,6	F 16.06	Gains or losses from hedge accounting
16,7	F 16.07	Impairment on financial and non-financial assets
		Reconciliation between accounting and CRR scope of consolidation: Balance Sheet
17,1	F 17.01	Reconciliation between accounting and CRR scope of consolidation: Assets
17,2	F 17.02	Reconciliation between accounting and CRR scope of consolidation: Off-balance sheet exposures - loan commitments, financial guarantees and other commitments given
17,3	F 17.03	Reconciliation between accounting and CRR scope of consolidation: Liabilities
18	F 18.00	[Performing and non-performing exposures: to be inserted when final]
19	F 19.00	[Forborne exposures: to be inserted when final]
		PART 2 [QUATERLY WITH THRESHOLD: QUARTERLY FREQUENCY OR NOT REPORTING]
		Geographical breakdown
20,1	F 20.01	Geographical breakdown of assets by location of the activities
20,2	F 20.02	Geographical breakdown of liabilities by location of the activities
20,3	F 20.03	Geographical breakdown of main statement of profit or loss items by location of the activities
20,4	F 20.04	Geographical breakdown of assets by residence of the counterparty
20,5	F 20.05	Geographical breakdown of off-balance sheet exposures by residence of the counterparty
20,6	F 20.06	Geographical breakdown of liabilities by residence of the counterparty
20,7	F 20.07	Geographical breakdown by residence of the counterparty of loans and advances to non-financial corporations by NACE codes
21	F 21.00	Tangible and intangible assets: assets subject to operating lease
		Asset management, custody and other service functions
22,1	F 22.01	Fee and commission income and expenses by activity
22,2	F 22.02	Assets involved in the services provided
		PART 3 [SEMI-ANNUAL]
		Off-balance sheet activities: interests in unconsolidated structured entities
30,1	F 30.01	Interests in unconsolidated structured entities
30,2	F 30.02	Breakdown of interests in unconsolidated structured entities by nature of the activities
		Related parties
31,1	F 31.01	Related parties: amounts payable to and amounts receivable from
31,2	F 31.02	Related parties: expenses and income generated by transactions with
		PART 4 [ANNUAL]
		Group structure
40,1	F 40.01	Group structure: ‘entity-by-entity’
40,2	F 40.02	Group structure: ‘instrument-by-instrument’
		Fair value
41,1	F 41.01	Fair value hierarchy: financial instruments at amortised cost
41,2	F 41.02	Use of the Fair Value Option
41,3	F 41.03	Hybrid financial instruments not designated at fair value through profit or loss
42	F 42.00	Tangible and intangible assets: carrying amount by measurement method
43	F 43.00	Provisions
		Defined benefit plans and employee benefits
44,1	F 44.01	Components of net defined benefit plan assets and liabilities
44,2	F 44.02	Movements in defined benefit plan obligations
44,3	F 44.03	Memo items [related to staff expenses]
		Breakdown of selected items of statement of profit or loss
45,1	F 45.01	Gains or losses on financial assets and liabilities designated at fair value through profit or loss by accounting portfolio
45,2	F 45.02	Gains or losses on derecognition of non-financial assets other than held for sale
45,3	F 45.03	Other operating income and expenses
46	F 46.00	Statement of changes in equity

1. Balance Sheet Statement [Statement of Financial Position]

1.1 Assets

		References	Breakdown in table	Carrying amount
		References	Breakdown in table	010
010	Cash and cash balances at central banks	IAS 1.54 (i)
020	Cash on hand	Annex V.Part 2.1
030	Cash balances at central banks	Annex V.Part 2.2	4
040	Other demand deposits	Annex V.Part 2.3	4
050	Financial assets held for trading	IFRS 7.8(a)(ii); IAS 39.9, AG 14
060	Derivatives	IAS 39.9	10
070	Equity instruments	IAS 32.11	4
080	Debt securities	Annex V.Part 1.24, 26	4
090	Loans and advances	Annex V.Part 1.24, 27	4
100	Financial assets designated at fair value through profit or loss	IFRS 7.8(a)(i); IAS 39.9	4
110	Equity instruments	IAS 32.11	4
120	Debt securities	Annex V.Part 1.24, 26	4
130	Loans and advances	Annex V.Part 1.24, 27	4
140	Available-for-sale financial assets	IFRS 7.8(d); IAS 39.9	4
150	Equity instruments	IAS 32.11	4
160	Debt securities	Annex V.Part 1.24, 26	4
170	Loans and advances	Annex V.Part 1.24, 27	4
180	Loans and receivables	IFRS 7.8(c); IAS 39.9, AG16, AG26; Annex V.Part 1.16	4
190	Debt securities	Annex V.Part 1.24, 26	4
200	Loans and advances	Annex V.Part 1.24, 27	4
210	Held-to-maturity investments	IFRS 7.8(b); IAS 39.9, AG16, AG26	4
220	Debt securities	Annex V.Part 1.24, 26	4
230	Loans and advances	Annex V.Part 1.24, 27	4
240	Derivatives – Hedge accounting	IFRS 7.22(b); IAS 39.9	11
250	Fair value changes of the hedged items in portfolio hedge of interest rate risk	IAS 39.89A(a)
260	Investments in subsidaries, joint ventures and associates	IAS 1.54(e); Annex V.Part 2.4	4, 40
270	Tangible assets
280	Property, Plant and Equipment	IAS 16.6; IAS 1.54(a)	21, 42
290	Investment property	IAS 40.5; IAS 1.54(b)	21, 42
300	Intangible assets	IAS 1.54(c); CRR art 4(1)(115)
310	Goodwill	IFRS 3.B67(d); CRR art 4(1)(113)
320	Other intangible assets	IAS 38.8,118	21, 42
330	Tax assets	IAS 1.54(n-o)
340	Current tax assets	IAS 1.54(n); IAS 12.5
350	Deferred tax assets	IAS 1.54(o); IAS 12.5; CRR art 4(106)
360	Other assets	Annex V.Part 2.5
370	Non-current assets and disposal groups classified as held for sale	IAS 1.54(j); IFRS 5.38, Annex V.Part 2.6
380	TOTAL ASSETS	IAS 1.9(a), IG 6

1.2 Liabilities

		References	Breakdown in table	Carrying amount
		References	Breakdown in table	010
010	Financial liabilities held for trading	IFRS 7.8 (e) (ii); IAS 39.9, AG 14-15	8
020	Derivatives	IAS 39.9, AG 15(a)	10
030	Short positions	IAS 39.AG 15(b)	8
040	Deposits	ECB/2008/32 Annex 2.Part 2.9, Annex V.Part 1.30	8
050	Debt securities issued	Annex V.Part 1.31	8
060	Other financial liabilities	Annex V.Part 1.32-34	8
070	Financial liabilities designated at fair value through profit or loss	IFRS 7.8 (e)(i); IAS 39.9	8
080	Deposits	ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30	8
090	Debt securities issued	Annex V.Part 1.31	8
100	Other financial liabilities	Annex V.Part 1.32-34	8
110	Financial liabilities measured at amortised cost	IFRS 7.8(f); IAS 39.47	8
120	Deposits	ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30	8
130	Debt securities issued	Annex V.Part 1.31	8
140	Other financial liabilities	Annex V.Part 1.32-34	8
150	Derivatives – Hedge accounting	IFRS 7.22(b); IAS 39.9; Annex V.Part 1.23	8
160	Fair value changes of the hedged items in portfolio hedge of interest rate risk	IAS 39.89A(b)
170	Provisions	IAS 37.10; IAS 1.54(l)	11
180	Pensions and other post employment defined benefit obligations	IAS 19.63; IAS 1.78(d); Annex V.Part 2.7
190	Other long term employee benefits	IAS 19.153; IAS 1.78(d); Annex V.Part 2.8	43
200	Restructuring	IAS 37.71, 84(a)	43
210	Pending legal issues and tax litigation	IAS 37.Appendix C. Examples 6 and 10	43
220	Commitments and guarantees given	IAS 37.Appendix C.9	43
230	Other provisions		43
240	Tax liabilities	IAS 1.54(n-o)
250	Current tax liabilities	IAS 1.54(n); IAS 12.5
260	Deferred tax liabilities	IAS 1.54(o); IAS 12.5; CRR art 4(1)(108)
270	Share capital repayable on demand	IAS 32 IE 33; IFRIC 2; Annex V.Part 2.9
280	Other liabilities	Annex V.Part 2.10
290	Liabilities included in disposal groups classified as held for sale	IAS 1.54 (p); IFRS 5.38, Annex V.Part 2.11
300	TOTAL LIABILITIES	IAS 1.9(b);IG 6

1.3 Equity

		References	Breakdown in table	Carrying amount
		References	Breakdown in table	010
010	Capital	IAS 1.54(r), BAD art 22	46
020	Paid up capital	IAS 1.78(e)
030	Unpaid capital which has been called up	IAS 1.78(e); Annex V.Part 2.14
040	Share premium	IAS 1.78(e); CRR art 4(1)(124)	46
050	Equity instruments issued other than capital	Annex V.Part 2.15-16	46
060	Equity component of compound financial instruments	IAS 32.28-29; Annex V.Part 2.15
070	Other equity instruments issued	Annex V.Part 2.16
080	Other equity	IFRS 2.10; Annex V.Part 2.17
090	Accumulated other comprehensive income	CRR art 4(1)(100)	46
095	Items that will not be reclassified to profit or loss	IAS 1.82A(a)
100	Tangible assets	IAS 16.39-41
110	Intangible assets	IAS 38.85-87
120	Actuarial gains or (–) losses on defined benefit pension plans	IAS 1.7
122	Non-current assets and disposal groups classified as held for sale	IFRS 5.38, IG Example 12
124	Share of other recognised income and expense of investments in subsidaries, joint ventures and associates	IAS 1.82(h); IAS 28.11
128	Items that may be reclassified to profit or loss	IAS 1.82A(a)
130	Hedge of net investments in foreign operations [effective portion]	IAS 39.102(a)
140	Foreign currency translation	IAS 21.52(b); IAS 21.32, 38-49
150	Hedging derivatives. Cash flow hedges [effective portion]	IFRS 7.23(c); IAS 39.95-101
160	Available-for-sale financial assets	IFRS 7.20(a)(ii); IAS 39.55(b)
170	Non-current assets and disposal groups classified as held for sale	IFRS 5.38, IG Example 12
180	Share of other recognised income and expense of investments in subsidaries, joint ventures and associates	IAS 1.82(h); IAS 28.11
190	Retained earnings	CRR art 4(1)(123)
200	Revaluation reserves	IFRS 1.30, D5-D8; Annex V.Part 2.18
210	Other reserves	IAS 1.54; IAS 1.78(e)
220	Reserves or accumulated losses of investments in subsidaries, joint ventures and associates	IAS 28.11; Annex V.Part 2.19
230	Other	Annex V.Part 2.19
240	(–) Treasury shares	IAS 1.79(a)(vi); IAS 32.33-34, AG 14, AG 36; Annex V.Part 2.20	46
250	Profit or loss attributable to owners of the parent	IAS 27.28; IAS 1.83(a)(ii)	2
260	(–) Interim dividends	IAS 32.35
270	Minority interests [Non-controlling interests]	IAS 27.4; IAS 1.54(q); IAS 27.27
280	Accumulated Other Comprehensive Income	IAS 27.27-28; CRR art 4(1)(100)	46
290	Other items	IAS 27.27-28	46
300	TOTAL EQUITY	IAS 1.9(c), IG 6	46
310	TOTAL EQUITY AND TOTAL LIABILITIES	IAS 1.IG6

2. Statement of profit or loss

		References	Breakdown in table	Current period
		References	Breakdown in table	010
010	Interest income	IAS 1.97; IAS 18.35(b)(iii); Annex V.Part 2.21	16
020	Financial assets held for trading	IFRS 7.20(a)(i), B5(e); Annex V.Part 2.24
030	Financial assets designated at fair value through profit or loss	IFRS 7.20(a)(i), B5(e)
040	Available-for-sale financial assets	IFRS 7.20(b); IAS 39.55(b); IAS 39.9
050	Loans and receivables	IFRS 7.20(b); IAS 39.9, 39.46(a)
060	Held-to-maturity investments	IFRS 7.20(b); IAS 39.9, 39.46(b)
070	Derivatives - Hedge accounting, interest rate risk	IAS 39.9; Annex V.Part 2.23
080	Other assets	Annex V.Part 2.25
090	(Interest expenses)	IAS 1.97; Annex V.Part 2.21	16
100	(Financial liabilities held for trading	IFRS 7.20(a)(i), B5(e); Annex V.Part 2.24
110	(Financial liabilities designated at fair value through profit or loss	IFRS 7.20(a)(i), B5(e)
120	(Financial liabilities measured at amortised cost)	IFRS 7.20(b); IAS 39.47
130	(Derivatives - Hedge accounting, interest rate risk)	IAS 39.9; Annex V.Part 2.23
140	(Other liabilities)	Annex V.Part 2.26
150	(Expenses on share capital repayable on demand)	IFRIC 2.11
160	Dividend income	IAS 18.35(b)(v); Annex V.Part 2.28
170	Financial assets held for trading	IFRS 7.20(a)(i), B5(e)
180	Financial assets designated at fair value through profit or loss	IFRS 7.20(a)(i), B5(e); IAS 39.9
190	Available-for-sale financial assets	IFRS 7.20(a)(ii); IAS 39.9, 39.55(b)
200	Fee and commission income	IFRS 7.20(c)	22
210	(Fee and commission expenses)	IFRS 7.20(c)	22
220	Gains or (-) losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss, net	IFRS 7.20(a) (ii-v); Annex V.Part 2.97	16
230	Available-for-sale financial assets	IFRS 7.20(a)(ii); IAS 39.9, 39.55(b)
240	Loans and receivables	IFRS 7.20(a)(iv); IAS 39.9, 39.56
250	Held-to-maturity investments	IFRS 7.20(a)(iii); IAS 39.9, 39.56
260	Financial liabilities measured at amortised cost	IFRS 7.20(a)(v); IAS 39.56
270	Other
280	Gains or (-) losses on financial assets and liabilities held for trading, net	IFRS 7.20(a)(i); IAS 39.55(a)	16
290	Gains or (-) losses on financial assets and liabilities designated at fair value through profit or loss, net	IFRS 7.20(a)(i); IAS 39.55(a)	16, 45
300	Gains or (-) losses from hedge accounting, net	IFRS 7.24; Annex V.Part 2.30	16
310	Exchange differences [gain or (-) loss], net	IAS 21.28, 52 (a)
330	Gains or (-) losses on derecognition of non financial assets, net	IAS 1.34	45
340	Other operating income	Annex V.Part 2.141-143	45
350	(Other operating expenses)	Annex V.Part 2.141-143	45
355	TOTAL OPERATING INCOME, NET
360	(Administrative expenses)
370	(Staff expenses)	IAS 19.7; IAS 1.102, IG 6	44
380	(Other administrative expenses)
390	(Depreciation)	IAS 1.102, 104
400	(Property, Plant and Equipment)	IAS 1.104; IAS 16.73(e)(vii)
410	(Investment Properties)	IAS 1.104; IAS 40.79(d)(iv)
420	(Other intangible assets)	IAS 1.104; IAS 38.118(e)(vi)
430	(Provisions or (-) reversal of provisions)	IAS 37.59, 84; IAS 1.98(b)(f)(g)	43
440	(Commitments and guarantees given)
450	(Other provisions)
460	(Impairment or (-) reversal of impairment on financial assets not measured at fair value through profit or loss)	IFRS 7.20(e)	16
470	(Financial assets measured at cost)	IFRS 7.20(e); IAS 39.66
480	(Available- for-sale financial assets)	IFRS 7.20(e); IAS 39.67
490	(Loans and receivables	IFRS 7.20(e); IAS 39.63
500	(Held to maturity investments)	IFRS 7.20(e); IAS 39.63
510	(Impairment or (-) reversal of impairment of investments in subsidaries, joint ventures and associates)	IAS 28.40-43	16
520	(Impairment or (-) reversal of impairment on non-financial assets)	IAS 36.126(a)(b)	16
530	(Property, plant and equipment)	IAS 16.73(e)(v-vi)
540	(Investment properties)	IAS 40.79(d)(v)
550	(Goodwill)	IFRS 3.Appendix B67(d)(v); IAS 36.124
560	(Other intangible assets)	IAS 38.118 (e)(iv)(v)
570	(Other)	IAS 36.126 (a)(b)
580	Negative goodwill recognised in profit or loss	IFRS 3.Appendix B64(n)(i)
590	Share of the profit or (-) loss of investments in subsidaries, joint ventures and associates	IAS 1.82(c)
600	Profit or (-) loss from non-current assets and disposal groups classified as held for sale not qualifying as discontinued operations	IFRS 5.37; Annex V.Part 2.27
610	PROFIT OR (-) LOSS BEFORE TAX FROM CONTINUING OPERATIONS	IAS 1.102, IG 6; IFRS 5.33 A
620	(Tax expense or (-) income related to profit or loss from continuing operations)	IAS 1.82(d); IAS 12.77
630	PROFIT OR (-) LOSS AFTER TAX FROM CONTINUING OPERATIONS	IAS 1, IG 6
640	Profit or (-) loss after tax from discontinued operations	IAS 1.82(e) ; IFRS 5.33(a), 5.33 A
650	Profit or (-) loss before tax from discontinued operations	IFRS 5.33(b)(i)
660	(Tax expense or (-) income related to discontinued operations)	IFRS 5.33 (b)(ii),(iv)
670	PROFIT OR (-) LOSS FOR THE YEAR	IAS 1.82(f)
680	Attributable to minority interest [non-controlling interests]	IAS 1.83(a)(i)
690	Attributable to owners of the parent	IAS 1.83(a)(ii)

3. Statement of comprehensive income

		References	Current period
		References	010
010	Profit or (-) loss for the year	IAS 1.7, 81(b), 83(a), IG6
020	Other comprehensive income	IAS 1.7, 81(b), IG6
030	Items that will not be reclassified to profit or loss	IAS 1.82A(a)
040	Tangible assets	IAS 1.7, IG6; IAS 16.39-40
050	Intangible assets	IAS 1.7; IAS 38.85-86
060	Actuarial gains or (-) losses on defined benefit pension plans	IAS 1.7, IG6; IAS 19.93A
070	Non-current assets and disposal groups held for sale	IFRS 5.38
080	Share of other recognised income and expense of entities accounted for using the equity method	IAS 1.82(h), IG6; IAS 28.11
090	Income tax relating to items that will not be reclassified	IAS 1.91(b); Annex V.Part 2.31
100	Items that may be reclassified to profit or loss	IAS 1.82A(b)
110	Hedge of net investments in foreign operations [effective portion]	IAS 39.102(a)
120	Valuation gains or (-) losses taken to equity	IAS 39.102(a)
130	Transferred to profit or loss	IAS 1.7, 92-95; IAS 39.102(a)
140	Other reclassifications
150	Foreign currency translation	IAS 1.7, IG6; IAS 21.52(b)
160	Translation gains or (-) losses taken to equity	IAS 21.32, 38-47
170	Transferred to profit or loss	IAS 1.7, 92-95; IAS 21.48-49
180	Other reclassifications
190	Cash flow hedges [effective portion]	IAS 1.7, IG6; IFRS 7.23(c); IAS 39.95(a)-96
200	Valuation gains or (-) losses taken to equity	IAS 1.IG6; IAS 39.95(a)-96
210	Transferred to profit or loss	IAS 1.7, 92-95, IG6; IAS 39.97-101
220	Transferred to initial carrying amount of hedged items	IAS 1.IG6; IAS 39.97-101
230	Other reclassifications
240	Available-for-sale financial assets	IAS 1.7, IG 6; IFRS 7.20(a)(ii); IAS 1.IG6; IAS 39.55(b)
250	Valuation gains or (-) losses taken to equity	IFRS 7.20(a)(ii); IAS 1.IG6; IAS 39.55(b)
260	Transferred to profit or loss	IFRS 7.20(a)(ii); IAS 1.7, IAS 1.92-95, IAS 1.IG6; IAS 39.55(b)
270	Other reclassifications	IFRS 5.IG Example 12
280	Non-current assets and disposal groups held for sale	IFRS 5.38
290	Valuation gains or (-) losses taken to equity	IFRS 5.38
300	Transferred to profit or loss	IAS 1.7, 92-95; IFRS 5.38
310	Other reclassifications	IFRS 5.IG Example 12
320	Share of other recognised income and expense of Investments in subsidaries, joint ventures and associates	IAS 1.82(h), IG6; IAS 28.11
330	Income tax relating to items that may be reclassified to profit or (-) loss	IAS 1.91(b), IG6; Annex V.Part 2.31
340	Total comprehensive income for the year	IAS 1.7, 81A(a), IG6
350	Attributable to minority interest [Non-controlling interest]	IAS 1.83(b)(i), IG6
360	Attributable to owners of the parent	IAS 1.83(b)(ii), IG6

4. Breakdown of financial assets by instrument and by counterparty sector

4.1 Financial assets held for trading

		References	Carrying amount	Accumulated changes in fair value due to credit risk
			Carrying amount	IFRS 7.9 (c); Annex V.Part 2.46
			010	020
010	Equity instruments	IAS 32.11
020	of which: at cost	IAS 39.46(c)
030	of which: credit institutions	Annex V.Part 1.35(c)
040	of which: other financial corporations	Annex V.Part 1.35(d)
050	of which: non-financial corporations	Annex V.Part 1.35(e)
060	Debt securities	Annex V.Part 1.24, 26
070	Central banks	Annex V.Part 1.35(a)
080	General governments	Annex V.Part 1.35(b)
090	Credit institutions	Annex V.Part 1.35(c)
100	Other financial corporations	Annex V.Part 1.35(d)
110	Non-financial corporations	Annex V.Part 1.35(e)
120	Loans and advances	Annex V.Part 1.24, 27
130	Central banks	Annex V.Part 1.35(a)
140	General governments	Annex V.Part 1.35(b)
150	Credit institutions	Annex V.Part 1.35(c)
160	Other financial corporations	Annex V.Part 1.35(d)
170	Non-financial corporations	Annex V.Part 1.35(e)
180	Households	Annex V.Part 1.35(f)

4.2 Financial assets designated at fair value through profit or loss

		References	Carrying amount	Accumulated changes in fair value due to credit risk
			Carrying amount	IFRS 7.9 (c); Annex V.Part 2.46
			010	020
010	Equity instruments	IAS 32.11
020	of which: at cost	IAS 39.46(c)
030	of which: credit institutions	Annex V.Part 1.35(c)
040	of which: other financial corporations	Annex V.Part 1.35(d)
050	of which: non-financial corporations	Annex V.Part 1.35(e)
060	Debt securities	Annex V.Part 1.24, 26
070	Central banks	Annex V.Part 1.35(a)
080	General governments	Annex V.Part 1.35(b)
090	Credit institutions	Annex V.Part 1.35(c)
100	Other financial corporations	Annex V.Part 1.35(d)
110	Non-financial corporations	Annex V.Part 1.35(e)
120	Loans and advances	Annex V.Part 1.24, 27
130	Central banks	Annex V.Part 1.35(a)
140	General governments	Annex V.Part 1.35(b)
150	Credit institutions	Annex V.Part 1.35(c)
160	Other financial corporations	Annex V.Part 1.35(d)
170	Non-financial corporations	Annex V.Part 1.35(e)
180	Households	Annex V.Part 1.35(f)
190	FINANCIAL ASSETS DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS	IFRS 7.8(a)(i); IAS 39.9

4.3 Available-for-sale financial assets

		References	Carrying amount of unimpaired assets	Carrying amount of impaired assets	Carrying amount	Accumulated impairment
			Carrying amount of unimpaired assets	IAS 39.58-62	Annex V.Part 2.34	Annex V.Part 2.46
			010	020	030	040
010	Equity instruments	IAS 32.11
020	of which: at cost	IAS 39.46(c)
030	of which: credit institutions	Annex V.Part 1.35(c)
040	of which: other financial corporations	Annex V.Part 1.35(d)
050	of which: non-financial corporations	Annex V.Part 1.35(e)
060	Debt securities	Annex V.Part 1.24, 26
070	Central banks	Annex V.Part 1.35(a)
080	General governments	Annex V.Part 1.35(b)
090	Credit institutions	Annex V.Part 1.35(c)
100	Other financial corporations	Annex V.Part 1.35(d)
110	Non-financial corporations	Annex V.Part 1.35(e)
120	Loans and advances	Annex V.Part 1.24, 27
130	Central banks	Annex V.Part 1.35(a)
140	General governments	Annex V.Part 1.35(b)
150	Credit institutions	Annex V.Part 1.35(c)
160	Other financial corporations	Annex V.Part 1.35(d)
170	Non-financial corporations	Annex V.Part 1.35(e)
180	Households	Annex V.Part 1.35(f)
190	AVAILABLE-FOR-SALE FINANCIAL ASSETS	IFRS 7.8(d); IAS 39.9

4.4 Loans and receivables and held-to-maturity investments

		References	Unimpaired assets [gross carrying amount]	Impaired assets [gross carrying amount]	Specific allowances for individually assessed financial assets	Specific allowances for collectively assessed financial assets	Collective allowances for incurrred but not reported losses	Carrying amount
				IFRS 7.37(b); IFRS 7.IG 29 (a); IAS 39.58-59	IAS 39.AG 84-92; Annex V.Part 2.36	IAS 39.AG 84-92; Annex V.Part 2.37	IAS 39.AG 84-92; Annex V.Part 2.38	Annex V.Part 2.39
			010	020	030	040	050	060
010	Debt securities	Annex V.Part 1.24, 26
020	Central banks	Annex V.Part 1.35(a)
030	General governments	Annex V.Part 1.35(b)
040	Credit institutions	Annex V.Part 1.35(c)
050	Other financial corporations	Annex V.Part 1.35(d)
060	Non-financial corporations	Annex V.Part 1.35(e)
070	Loans and advances	Annex V.Part 1.24, 27
080	Central banks	Annex V.Part 1.35(a)
090	General governments	Annex V.Part 1.35(b)
100	Credit institutions	Annex V.Part 1.35(c)
110	Other financial corporations	Annex V.Part 1.35(d)
120	Non-financial corporations	Annex V.Part 1.35(e)
130	Households	Annex V.Part 1.35(f)
140	LOANS AND RECEIVABLES	IAS 39,9 AG 16, AG26; Annex V.Part 1.16
150	Debt securities	Annex V.Part 1.24, 26
160	Central banks	Annex V.Part 1.35(a)
170	General governments	Annex V.Part 1.35(b)
180	Credit institutions	Annex V.Part 1.35(c)
190	Other financial corporations	Annex V.Part 1.35(d)
200	Non-financial corporations	Annex V.Part 1.35(e)
210	Loans and advances	Annex V.Part 1.24, 27
220	Central banks	Annex V.Part 1.35(a)
230	General governments	Annex V.Part 1.35(b)
240	Credit institutions	Annex V.Part 1.35(c)
250	Other financial corporations	Annex V.Part 1.35(d)
260	Non-financial corporations	Annex V.Part 1.35(e)
270	Households	Annex V.Part 1.35(f)
280	HELD-TO-MATURITY	IFRS 7.8(c); IAS 39.9, AG16, AG26

4.5 Subordinated financial assets

		References	Carrying amount
		References	010
010	Loans and advances	Annex V.Part 1.24, 27
020	Debt securities	Annex V.Part 1.24, 26
030	SUBORDINATED [FOR THE ISSUER] FINANCIAL ASSETS	Annex V.Part 2.40, 54

5. Breakdown of Loan and advances by product

			References	Central banks	General governments	Credit institutions	Other financial corporations	Non-financial corporations	Households
				Annex V.Part 1.35(a)	Annex V.Part 1.35(b)	Annex V.Part 1.35(c)	Annex V.Part 1.35(d)	Annex V.Part 1.35(e)	Annex V.Part 1.35(f)
				010	020	030	040	050	060
By product	010	On demand [call] and short notice [current account]	Annex V.Part 2.41(a)
	020	Credit card debt	Annex V.Part 2.41(b)
	030	Trade receivables	Annex V.Part 2.41(c)
	040	Finance leases	Annex V.Part 2.41(d)
	050	Reverse repurchase loans	Annex V.Part 2.41(e)
	060	Other term loans	Annex V.Part 2.41(f)
	070	Advances that are not loans	Annex V.Part 2.41(g)
	080	LOANS AND ADVANCES	Annex V.Part 1.24, 27
By collateral	090	of which: mortgage loans [Loans collateralized by immovable property]	Annex V.Part 2.41(h)
By collateral	100	of which: other collateralized loans	Annex V.Part 2.41(i)
By purpose	110	of which: credit for consumption	Annex V.Part 2.41(j)
By purpose	120	of which: lending for house purchase	Annex V.Part 2.41(k)
By subordination	130	of which: project finance loans	Annex V.Part 2.41(l)

6. Breakdown of loans and advances to non-financial corporations by NACE codes

		References	Non-financial corporations
			Gross carrying amount	Accumulated impairment or Accumulated changes in fair value due to credit risk
			Annex V.Part 2.45	Annex V.Part 2.46
			010	020
010	A Agriculture, forestry and fishing	NACE Regulation
020	B Mining and quarrying	NACE Regulation
030	C Manufacturing	NACE Regulation
040	D Electricity, gas, steam and air conditioning supply	NACE Regulation
050	E Water supply	NACE Regulation
060	F Construction	NACE Regulation
070	G Wholesale and retail trade	NACE Regulation
080	H Transport and storage	NACE Regulation
090	I Accommodation and food service activities	NACE Regulation
100	J Information and communication	NACE Regulation
110	L Real estate activities	NACE Regulation
120	M Professional, scientific and technical activities	NACE Regulation
130	N Administrative and support service activities	NACE Regulation
140	O Public administration and defence, compulsory social security	NACE Regulation
150	P Education	NACE Regulation
160	Q Human health services and social work activities	NACE Regulation
170	R Arts, entertainment and recreation	NACE Regulation
180	S Other services	NACE Regulation
190	LOANS AND ADVANCES	Annex V.Part 1.24, 27, 2.42-43

7. Financial assets subject to impairment that are past due or impaired

References

Past due but not impaired

Carrying amount ofthe impaired assets

Specific allowances forindividually assessedfinancial assets

Specific allowances forcollectively assessedfinancial assets

Collective allowances forincurrred but not reported losses

Accumulated write-offs

≤ 30 days

> 30 days ≤ 60 days

> 60 days ≤ 90 days

> 90 days ≤ 180days

> 180 days ≤ 1year

> 1year

IFRS 7.37(a); IG 26-28; Annex V.Part 2.47-48

IAS 39.58-70

IAS 39 AG 84-92; IFRS 7.37(b); Annex V.Part 2.36

IAS 39 AG 84-92; Annex V.Part 2.37

IAS 39 AG 84-92; Annex V.Part 2.38

IAS 39 AG 84-92; IFRS 7.16,37(b); B5(d); Annex V.Part 2.49-50

010

020

030

040

050

060

070

080

090

100

110

010

Equity instruments

IAS 32.11

020

of which: at cost

IAS 39.46(c)

030

of which: credit institutions

Annex V.Part 1.35(c)

040

of which: other financial corporations

Annex V.Part 1.35(d)

050

of which: non-financial corporations

Annex V.Part 1.35(e)

060

Debt securities

Annex V.Part 1.24, 26

070

Central banks

Annex V.Part 1.35(a)

080

General governments

Annex V.Part 1.35(b)

090

Credit institutions

Annex V.Part 1.35(c)

100

Other financial corporations

Annex V.Part 1.35(d)

110

Non-financial corporations

Annex V.Part 1.35(e)

120

Loans and advances

Annex V.Part 1.24, 27

130

Central banks

Annex V.Part 1.35(a)

140

General governments

Annex V.Part 1.35(b)

150

Credit institutions

Annex V.Part 1.35(c)

160

Other financial corporations

Annex V.Part 1.35(d)

170

Non-financial corporations

Annex V.Part 1.35(e)

180

Households

Annex V.Part 1.35(f)

190

TOTAL

Loans and advances by product, by collateral and by subordination

200

On demand [call] and short notice [current account]

Annex V.Part 2.41(a)

210

Credit card debt

Annex V.Part 2.41(b)

220

Trade receivables

Annex V.Part 2.41(c)

230

Finance leases

Annex V.Part 2.41(d)

240

Reverse repurchase loans

Annex V.Part 2.41(e)

250

Other term loans

Annex V.Part 2.41(f)

260

Advances that are not loans

Annex V.Part 2.41(g)

270

of which: mortgage loans [Loans collateralized by inmovable property]

Annex V.Part 2.41(h)

280

of which: other collateralized loans

Annex V.Part 2.41(i)

290

of which: credit for consumption

Annex V.Part 2.41(j)

300

of which: lending for house purchase

Annex V.Part 2.41(k)

310

of which: project finance loans

Annex V.Part 2.41(l)

8. Breakdown of financial liabilities

8.1 Breakdown of financial liabilities by product and by counterparty sector

		References	Carrying amount				Amount of cumulative change in fair values attributable to changes in credit risk	Amount contractually required to pay at maturity
			Held for trading	Designated at fair value through profit or loss	Amortised cost	Hedge accounting		Amount contractually required to pay at maturity
			IFRS 7.8(e)(ii); IAS 39.9, AG 14-15	IFRS 7.8(e)(i); IAS 39.9	IFRS 7.8(f); IAS 39.47	IFRS 7.22(b); IAS 39.9	IFRS 7.10(a);CRR art 30(b), art 424(1)(d)(i)	IFRS 7.10(b)
			010	020	030	037	040	050
010	Derivatives	IAS 39.9, AG 15(a)
020	Short positions	IAS 39 AG 15(b)
030	Equity instruments	IAS 32.11
040	Debt securities	Annex V.Part 1.24, 26
050	Deposits	ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30
060	Central banks	Annex V.Part 1.35(a)
070	Current accounts / overnight deposits	ECB/2008/32 Annex 2.Part 2.9.1
080	Deposits with agreed maturity	ECB/2008/32 Annex 2.Part 2.9.2
090	Deposits redeemable at notice	ECB/2008/32 Annex 2.Part 2.9.3; Annex V.Part 2.51
100	Repurchase agreements	ECB/2008/32 Annex 2.Part 2.9.4
110	General governments	Annex V.Part 1.35(b)
120	Current accounts / overnight deposits	ECB/2008/32 Annex 2.Part 2.9.1
130	Deposits with agreed maturity	ECB/2008/32 Annex 2.Part 2.9.2
140	Deposits redeemable at notice	ECB/2008/32 Annex 2.Part 2.9.3; Annex V.Part 2.51
150	Repurchase agreements	ECB/2008/32 Annex 2.Part 2.9.4
160	Credit institutions	Annex V.Part 1.35(c)
170	Current accounts / overnight deposits	ECB/2008/32 Annex 2.Part 2.9.1
180	Deposits with agreed maturity	ECB/2008/32 Annex 2.Part 2.9.2
190	Deposits redeemable at notice	ECB/2008/32 Annex 2.Part 2.9.3; Annex V.Part 2.51
200	Repurchase agreements	ECB/2008/32 Annex 2.Part 2.9.4
210	Other financial corporations	Annex V.Part 1.35(d)
220	Current accounts / overnight deposits	ECB/2008/32 Annex 2.Part 2.9.1
230	Deposits with agreed maturity	ECB/2008/32 Annex 2.Part 2.9.2
240	Deposits redeemable at notice	ECB/2008/32 Annex 2.Part 2.9.3; Annex V.Part 2.51
250	Repurchase agreements	ECB/2008/32 Annex 2.Part 2.9.4
260	Non-financial corporations	Annex V.Part 1.35(e)
270	Current accounts / overnight deposits	ECB/2008/32 Annex 2.Part 2.9.1
280	Deposits with agreed maturity	ECB/2008/32 Annex 2.Part 2.9.2
290	Deposits redeemable at notice	ECB/2008/32 Annex 2.Part 2.9.3; Annex V.Part 2.51
300	Repurchase agreements	ECB/2008/32 Annex 2.Part 2.9.4
310	Households	Annex V.Part 1.35(f)
320	Current accounts / overnight deposits	ECB/2008/32 Annex 2.Part 2.9.1
330	Deposits with agreed maturity	ECB/2008/32 Annex 2.Part 2.9.2
340	Deposits redeemable at notice	ECB/2008/32 Annex 2.Part 2.9.3; Annex V.Part 2.51
350	Repurchase agreements	ECB/2008/32 Annex 2.Part 2.9.4
360	Debt securities issued	Annex V.Part 1.31; Annex V.Part 2.52
370	Certificates of deposits	Annex V.Part 2.52(a)
380	Asset-backed securities	CRR art 4(1)(61)
390	Covered bonds	CRR art 129(1)
400	Hybrid contracts	IAS 39.10-11, AG27, AG29; IFRIC 9; Annex V.Part 2.52(d)
410	Other debt securities issued	Annex V.Part 2.52(e)
420	Convertible compound financial instruments	IAS 32.AG 31
430	Non-convertible
440	Other financial liabilities	Annex V.Part 1.32-34
450	FINANCIAL LIABILITIES

8.2. Subordinated financial liabilities

			Carriyng amount
		References	Designated at fair value through profit or loss	At amortized cost
			IFRS 7.8(e)(i); IAS 39.9	IFRS 7.8(f); IAS 39.47
			010	020
010	Deposits	ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30
020	Debt securities issued	Annex V.Part 1.31
030	SUBORDINATED FINANCIAL LIABILITIES	Annex V.Part 2.53-54

9. Loan commitments, financial guarantees and other commitments

9.1 Off-balance sheet exposures: Loan commitments, financial guarantees and other commitments given

		References	Nominal amount
			IFRS 7.36(a), B10(c)(d); CRR Annex I; Annex V.Part 2.62
			010
010	Loan commitments given	IAS 39.2 (h), 4 (a) ( c), BC 15; CRR Annex I; Annex V.Part 2.56-57
020	of which: defaulted	Annex V.Part 2.61
030	Central banks	Annex V.Part 1.35(a)
040	General governments	Annex V.Part 1.35(b)
050	Credit institutions	Annex V.Part 1.35(c)
060	Other financial corporations	Annex V.Part 1.35(d)
070	Non-financial corporations	Annex V.Part 1.35(e)
080	Households	Annex V.Part 1.35(f)
090	Financial guarantees given	IAS 39.9 AG 4, BC 21; IFRS 4 Annex A; CRR Annex I; Annex V.Part 2.56, 58
100	of which: defaulted	Annex V.Part 2.61
110	Central banks	Annex V.Part 1.35(a)
120	General governments	Annex V.Part 1.35(b)
130	Credit institutions	Annex V.Part 1.35(c)
140	Other financial corporations	Annex V.Part 1.35(d)
150	Non-financial corporations	Annex V.Part 1.35(e)
160	Households	Annex V.Part 1.35(f)
170	Other Commitments given	CRR Annex I; Annex V.Part 2.56, 59
180	of which: defaulted	Annex V.Part 2.61
190	Central banks	Annex V.Part 1.35(a)
200	General governments	Annex V.Part 1.35(b)
210	Credit institutions	Annex V.Part 1.35(c)
220	Other financial corporations	Annex V.Part 1.35(d)
230	Non-financial corporations	Annex V.Part 1.35(e)
240	Households	Annex V.Part 1.35(f)

9.2 Loan commitments, financial guarantees and other commitments received

		References	Maximum amount of the guarantee that can be considered	Nominal amount
			IFRS 7.36 (b); Annex V.Part 2.63	Annex V.Part 2.63
			010	020
010	Loan commitments received	IAS 39.2(h), 4(a)( c), BC 15; Annex V.Part 2.56-57
020	Central banks	Annex V.Part 1.35(a)
030	General governments	Annex V.Part 1.35(b)
040	Credit institutions	Annex V.Part 1.35(c)
050	Other financial corporations	Annex V.Part 1.35(d)
060	Non-financial corporations	Annex V.Part 1.35(e)
070	Households	Annex V.Part 1.35(f)
080	Financial guarantees received	IAS 39.9 AG 4, BC 21; IFRS 4 Annex A; Annex V.Part 2.56, 58
090	Central banks	Annex V.Part 1.35(a)
100	General governments	Annex V.Part 1.35(b)
110	Credit institutions	Annex V.Part 1.35(c)
120	Other financial corporations	Annex V.Part 1.35(d)
130	Non-financial corporations	Annex V.Part 1.35(e)
140	Households	Annex V.Part 1.35(f)
150	Other Commitments received	Annex V.Part 2.56, 59
160	Central banks	Annex V.Part 1.35(a)
170	General governments	Annex V.Part 1.35(b)
180	Credit institutions	Annex V.Part 1.35(c)
190	Other financial corporations	Annex V.Part 1.35(d)
200	Non-financial corporations	Annex V.Part 1.35(e)
210	Households	Annex V.Part 1.35(f)

10. Derivatives - Trading

By type of risk / By product or by type of market		References	Carrying amount		Notional amount
			Financial assets held for trading	Financial liabilities held for trading	Total Trading	of which: sold
			Annex V.Part 2.69	Annex V.Part 2.69	Annex V.Part 2.70-71	Annex V.Part 2.72
			010	020	030	040
010	Interest rate	Annex V.Part 2.67(a)
020	of which: economic hedges	Annex V.Part 2.74
030	OTC options
040	OTC other
050	Organized market options
060	Organized market other
070	Equity	Annex V.Part 2.67(b)
080	of which: economic hedges	Annex V.Part 2.74
090	OTC options
100	OTC other
110	Organized market options
120	Organized market other
130	Foreign exchange and gold	Annex V.Part 2.67(c)
140	of which: economic hedges	Annex V.Part 2.74
150	OTC options
160	OTC other
170	Organized market options
180	Organized market other
190	Credit	Annex V.Part 2.67(d)
200	of which: economic hedges	Annex V.Part 2.74
210	Credit default swap
220	Credit spread option
230	Total return swap
240	Other
250	Commodity	Annex V.Part 2.67(e)
260	of which: economic hedges	Annex V.Part 2.74
270	Other	Annex V.Part 2.67(f)
280	of which: economic hedges	Annex V.Part 2.74
290	DERIVATIVES	IAS 39.9
300	of which: OTC - credit institutions	Annex V.Part 1.35(c), 2.75(a)
310	of which: OTC - other financial corporations	Annex V.Part 1.35(d), 2.75(b)
320	of which: OTC - rest	Annex V.Part 2.75(c)

11. Derivatives - Hedge accounting

11.1 Derivatives - Hedge accounting: Breakdown by type of risk and type of hedge

By product or by type of market		References	Carrying amount		Notional amount
			Assets	Liabilities	Total Hedging	of which: sold
			Annex V.Part 2.69	Annex V.Part 2.69	Annex V.Part 2.70, 71	Annex V.Part 2.72
			010	020	030	040
010	Interest rate	Annex V.Part 2.67(a)
020	OTC options
030	OTC other
040	Organized market options
050	Organized market other
060	Equity	Annex V.Part 2.67(b)
070	OTC options
080	OTC other
090	Organized market options
100	Organized market other
110	Foreign exchange and gold	Annex V.Part 2.67(c)
120	OTC options
130	OTC other
140	Organized market options
150	Organized market other
160	Credit	Annex V.Part 2.67(d)
170	Credit default swap
180	Credit spread option
190	Total return swap
200	Other
210	Commodity	Annex V.Part 2.67(e)
220	Other	Annex V.Part 2.67(f)
230	FAIR VALUE HEDGES	IFRS 7.22(b); IAS 39.86(a)
240	Interest rate	Annex V.Part 2.67(a)
250	OTC options
260	OTC other
270	Organized market options
280	Organized market other
290	Equity	Annex V.Part 2.67(b)
300	OTC options
310	OTC other
320	Organized market options
330	Organized market other
340	Foreign exchange and gold	Annex V.Part 2.67(c)
350	OTC options
360	OTC other
370	Organized market options
380	Organized market other
390	Credit	Annex V.Part 2.67(d)
400	Credit default swap
410	Credit spread option
420	Total return swap
430	Other
440	Commodity	Annex V.Part 2.67(e)
450	Other	Annex V.Part 2.67(f)
460	CASH FLOW HEDGES	IFRS 7.22(b); IAS 39.86(b)
470	HEDGE OF NET INVESTMENTS IN A FOREIGN OPERATION	IFRS 7.22(b); IAS 39.86(c)
480	PORTFOLIO FAIR VALUE HEDGES OF INTEREST RATE RISK	IAS 39.89A, IE 1-31
490	PORTFOLIO CASH FLOW HEDGES OF INTEREST RATE RISK	IAS 39 IG F6 1-3
500	DERIVATIVES-HEDGE ACCOUNTING	IFRS 7.22(b); IAS 39.9
510	of which: OTC - credit institutions	Annex V.Part 1.35(c), 2.75(a)
520	of which: OTC - other financial corporations	Annex V.Part 1.35(d), 2.75(b)
530	of which: OTC - rest	Annex V.Part 2.75(c)

12. Movements in allowances for credit losses and impairment of equity instruments

		References	Opening balance	Increases due toamounts setaside for estimated loanlosses during the period	Decreases due toamountsreversed for estimated loanlosses during the period	Decreases due toamountstaken against allowances	Transfers between allowances	Other adjustments	Closing balance	Recoveries recorded directlyto the statement of profit or loss	Value adjustments recordeddirectly to the statementof profit or loss
				Annex V.Part 2.77	Annex V.Part 2.77	Annex V.Part 2.78					Annex V.Part 2.78
			010	020	030	040	050	060	070	080	090
010	Equity instruments
020	Specific allowances for individually assessed financial assets	IAS 39.63-70, AG 84-92; IFRS 7.37 (b); Annex V.Part 2.36
030	Debt securities	Annex V.Part 1.26
040	Central banks	Annex V.Part 1.35(a)
050	General governments	Annex V.Part 1.35(b)
060	Credit institutions	Annex V.Part 1.35(c)
070	Other financial corporations	Annex V.Part 1.35(d)
080	Non-financial corporations	Annex V.Part 1.35(e)
090	Loans and advances	Annex V.Part 1.27
100	Central banks	Annex V.Part 1.35(a)
110	General governments	Annex V.Part 1.35(b)
120	Credit institutions	Annex V.Part 1.35(c)
130	Other financial corporations	Annex V.Part 1.35(d)
140	Non-financial corporations	Annex V.Part 1.35(e)
150	Households	Annex V.Part 1.35(f)
160	Specific allowances for collectively assessed financial assets	IAS 39.59, 64; Annex V.Part 2.37
170	Debt securities	Annex V.Part 1.26
180	Central banks	Annex V.Part 1.35(a)
190	General governments	Annex V.Part 1.35(b)
200	Credit institutions	Annex V.Part 1.35(c)
210	Other financial corporations	Annex V.Part 1.35(d)
220	Non-financial corporations	Annex V.Part 1.35(e)
230	Loans and advances	Annex V.Part 1.27
240	Central banks	Annex V.Part 1.35(a)
250	General governments	Annex V.Part 1.35(b)
260	Credit institutions	Annex V.Part 1.35(c)
270	Other financial corporations	Annex V.Part 1.35(d)
280	Non-financial corporations	Annex V.Part 1.35(e)
290	Households	Annex V.Part 1.35(f)
300	Collective allowances for incurred but not reported losses on financial assets	IAS 39.59, 64; Annex V.Part 2.38
310	Debt securities	Annex V.Part 1.26
320	Loans and advances	Annex V.Part 1.27
530	Total

13. Collateral and guarantees received

13.1 Breakdown of loans and advances by collateral and guarantees

			Maximum amount of the collateral or guarantee that can be considered
Guarantees and collateral		References	Mortgage loans [Loans collateralized by immovable property]		Other collateralized loans		Financial guarantees received
		References	Residential	Commercial	Cash [Debt instruments issued]	Rest	Financial guarantees received
		IFRS 7.36(b)	Annex V.Part 2.81(a)	Annex V.Part 2.81(a)	Annex V.Part 2.81(b)	Annex V.Part 2.81(b)	Annex V.Part 2.81(c)
		IFRS 7.36(b)	010	020	030	040	050
010	Loans and advances	Annex V.Part 2.81
020	of which: Other financial corporations	Annex V.Part 1.35(d)
030	of which: Non-financial corporations	Annex V.Part 1.35(e)
040	of which: Households	Annex V.Part 1.35(f)

13.2 Collateral obtained by taking possession during the period [held at the reporting date]

		References	Carrying amount
		References	010
010	Non-current assets held-for-sale	IFRS 7.38(a)
020	Property, plant and equipment	IFRS 7.38(a)
030	Investment property	IFRS 7.38(a)
040	Equity and debt instruments	IFRS 7.38(a)
050	Other	IFRS 7.38(a)
060	Total

13.3 Collateral obtained by taking possession [tangible assets] accumulated

		References	Carrying amount
		References	010
010	Foreclosure [tangible assets]	IFRS 7.38(a); Annex V.Part 2.84

14. Fair value hierachy: financial instruments at fair value

		References	Fair value hierarchy IFRS 13.93 (b)			Change in fair value for the period ITS V.Part 2.86		Accumulated change in fair value before taxes ITS V.Part 2.87
			Level 1	Level 2	Level 3	Level 2	Level 3	Level 1	Level 2	Level 3
			IFRS 13.76	IFRS 13.81	IFRS 13.86	IFRS 13.81	IFRS 13.86, 93(f)	IFRS 13.76	IFRS 13.81	IFRS 13.86
			010	020	030	040	050	060	070	080
ASSETS
010	Financial assets held for trading	IFRS 7.8(a)(ii); IAS 39.9, AG 14
020	Derivatives	IAS 39.9
030	Equity instruments	IAS 32.11
040	Debt securities	Annex V.Part 1.24, 26
050	Loans and advances	Annex V.Part 1.24, 27
060	Financial assets designated at fair value through profit or loss	IFRS 7.8(a)(i); IAS 39.9
070	Equity instruments	IAS 32.11
080	Debt securities	Annex V.Part 1.24, 26
090	Loans and advances	Annex V.Part 1.24, 27
100	Available-for-sale financial assets	IFRS 7.8 (h)(d); IAS 39.9
110	Equity instruments	IAS 32.11
120	Debt securities	Annex V.Part 1.24, 26
130	Loans and advances	Annex V.Part 1.24, 27
140	Derivatives – Hedge accounting	IFRS 7.22 (b); IAS 39.9; Annex V.Part 1.19
LIABILITIES
150	Financial liabilities held for trading	IFRS 7.8 (e) (ii); IAS 39.9, AG 14-15
160	Derivatives	IAS 39.9, AG 15(a)
170	Short positions	IAS 39 AG 15(b)
180	Deposits	ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30
190	Debt securities issued	Annex V.Part 1.31
200	Other financial liabilities	Annex V.Part 1.32-34
210	Financial liabilities designated at fair value through profit or loss	IFRS 7.8 (e) (i); IAS 39.9
220	Deposits	ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30
230	Debt securities issued	Annex V.Part 1.31
240	Other financial liabilities	Annex V.Part 1.32-34
250	Derivatives – Hedge accounting	IFRS 7.22 (b); IAS 39.9; Annex V.Part 1.19

15. Derecognition and financial liabilities associated with transferred financial assets

References

Transferred financial assets entirely recognized

Transferred financial assets recognized to the extent of the instution's continuing involvement

Principal amount outstanting of transferred financial assets entirely derecognised for which the intitution retains servicing rights

Amounts derecognised for capital purposes

Transferred assets

Associated liabilities ITS V.Part 2.89

Principal amount outstanding of the original assets

Carrying amount of assets still recognised [continuing involvement]

Carrying amount of associated liabilites

Carrying amount

Of which: securitizations

Of which: repurchase agreements

Carrying amount

Of which: securitizations

Of which: repurchase agreements

IFRS 7.42D.(e)

IFRS 7.42D(e); CRR art 4(1)(61)

IFRS 7.42D(e); Annex V.Part 2.91, 92

IFRS 7.42D(e)

IFRS 7.42D.(e)

IFRS 7.42D(e); Annex V.Part 2.91, 92

IFRS 7.42D(f)

IFRS 7.42D(f); Annex V.Part 2.89

CRR art 109; Annex V.Part 2.90

010

020

030

040

050

060

070

080

090

100

110

010

Financial assets held for trading

IFRS 7.8 (a)(ii); IAS 39.9, AG 14

020

Equity instruments

IAS 32.11

030

Debt securities

Annex V.Part 1.24, 26

040

Loans and advances

Annex V.Part 1.24, 27

050

Financial assets designated at fair value through profit or loss

IFRS 7.8(a)(i); IAS 39.9

060

Equity instruments

IAS 32.11

070

Debt securities

Annex V.Part 1.24, 26

080

Loans and advances

Annex V.Part 1.24, 27

090

Available-for-sale financial assets

IFRS 7.8(d); IAS 39.9

100

Equity instruments

IAS 32.11

110

Debt securities

Annex V.Part 1.24, 26

120

Loans and advances

Annex V.Part 1.24, 27

130

Loans and receivables

IFRS 7.8 (c); IAS 39.9, AG16, AG26

140

Debt securities

Annex V.Part 1.24, 26

150

Loans and advances

Annex V.Part 1.24, 27

160

Held-to-maturity investments

IFRS 7.8(b); IAS 39.9, AG16, AG26

170

Debt securities

Annex V.Part 1.24, 26

180

Loans and advances

Annex V.Part 1.24, 27

190

Total

16. Breakdown of selected statement of profit or loss items

16.1 Interest income and expenses by instrument and counterparty sector

			Current period
		References	Income	Expenses
			Annex V.Part 2.95	Annex V.Part 2.95
			010	020
010	Derivatives -Trading	IAS 39.9; Annex V.Part 2.96
020	Debt securities	Annex V.Part 1.26
030	Central banks	Annex V.Part 1.35(a)
040	General governments	Annex V.Part 1.35(b)
050	Credit institutions	Annex V.Part 1.35(c)
060	Other financial corporations	Annex V.Part 1.35(d)
070	Non-financial corporations	Annex V.Part 1.35(e)
080	Loans and advances	Annex V.Part 1.27
090	Central banks	Annex V.Part 1.35(a)
100	General governments	Annex V.Part 1.35(b)
110	Credit institutions	Annex V.Part 1.35(c)
120	Other financial corporations	Annex V.Part 1.35(d)
130	Non-financial corporations	Annex V.Part 1.35(e)
140	Households	Annex V.Part 1.35(f)
150	Other assets	Annex V.Part 1.51
160	Deposits	ECB/2008/32 Annex 2.Part 2.9
170	Central banks	Annex V.Part 1.35(a)
180	General governments	Annex V.Part 1.35(b)
190	Credit institutions	Annex V.Part 1.35(c)
200	Other financial corporations	Annex V.Part 1.35(d)
210	Non-financial corporations	Annex V.Part 1.35(e)
220	Households	Annex V.Part 1.35(f)
230	Debt securities issued	Annex V.Part 1.31
240	Other financial liabilities	Annex V.Part 1.32-34
250	Derivatives - Hedge accounting, interest rate risk	Annex V.Part 2.95
260	Other Liabilities	Annex V.Part 2.10
270	INTEREST	IAS 18.35(b); IAS 1.97

16.2 Gains or losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss by instrument

		References	Current period
		References	010
010	Equity instruments	IAS 32.11
020	Debt securities	Annex V.Part 1.26
030	Loans and advances	Annex V.Part 1.27
040	Deposits	ECB/2008/32 Annex 2.Part 2.9
050	Debt securities issued	Annex V.Part 1.31
060	Other financial liabilities	Annex V.Part 1.32-34
070	GAINS OR (-) LOSSES ON DERECOGNITION OF FINANCIAL ASSETS AND LIABILITIES NOT MEASURED AT FAIR VALUE THROUGH PROFIT OR LOSS, NET	IFRS 7.20(a)(v-vii); IAS 39.55(a)

16.3 Gains or losses on financial assets and liabilities held for trading by instrument

		References	Current period

			010
010	Derivatives	IAS 39.9
020	Equity instruments	IAS 32.11
030	Debt securities	Annex V.Part 1.26
040	Loans and advances	Annex V.Part 1.27
050	Short positions	IAS 39 AG 15(b)
060	Deposits	ECB/2008/32 Annex 2.Part 2.9
070	Debt securities issued	Annex V.Part 1.31
080	Other financial liabilities	Annex V.Part 1.32-34
090	GAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES HELD FOR TRADING, NET	IFRS 7.20(a)(i)

16.4. Gains or losses on financial assets and liabilities held for trading by risk

		References	Current period

			010
010	Interest rate instruments and related derivatives	Annex V.Part 2.99(a)
020	Equity instruments and related derivatives	Annex V.Part 2.99(b)
030	Foreign exchange trading and derivatives related with foreign exchange and gold	Annex V.Part 2.99(c)
040	Credit risk instruments and related derivatives	Annex V.Part 2.99(d)
050	Derivatives related with commodities	Annex V.Part 2.99(e)
060	Other	Annex V.Part 2.99(f)
070	GAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES HELD FOR TRADING, NET	IFRS 7.20(a)(i)

16.5 Gains or losses on financial assets and liabilities designated at fair value through profit or loss by instrument

		References	Current period	Accumulated changes in fair value due to credit risk
				Annex V.Part 2.100
			010	020
010	Equity instruments	IAS 32.11
020	Debt securities	Annex V.Part 1.26
030	Loans and advances	Annex V.Part 1.27
040	Deposits	ECB/2008/32 Annex 2.Part 2.9
050	Debt securities issued	Annex V.Part 1.31
060	Other financial liabilities	Annex V.Part 1.32-34
070	GAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS, NET	IFRS 7.20(a)(i)

16.6 Gains or losses from hedge accounting

		References	Current period
		References	010
010	Fair value changes of the hedging instrument [including discontinuation]	IFRS 7.24(a)(i)
020	Fair value changes of the hedged item attributable to the hedged risk	IFRS 7.24(a)(ii)
030	Ineffectiveness in profit or loss from cash flow hedges	IFRS 7.24(b)
040	Ineffectiveness in profit or loss from hedges of net investments in foreign operations	IFRS 7.24(c)
050	GAINS OR (-) LOSSES FROM HEDGE ACCOUNTING, NET	IFRS 7.24

16.7 Impairment on financial and non-financial assets

			Current period
		References	Additions Annex V.Part 2.102	Reversals Annex V.Part 2.102	Total	Accumulated impairment
		References	010	020	030	040
010	Impairment or (-) reversal of impairment on financial assets not measured at fair value through profit or loss	IFRS 7.20(e)
020	Financial assets measured at cost	IFRS 7.20(e); IAS 39.66
030	Available-for-sale financial assets	IFRS 7.20(e); IAS 39.67-70
040	Loans and receivables	IFRS 7.20(e); IAS 39.63-65
050	Held-to-maturity investments	IFRS 7.20(e); IAS 39.63-65
060	Impairment or (-) reversal of impairment of investments in subsidaries, joint ventures and associates	IAS 28.40-43
070	Subsidiaries	IFRS 10 Appendix A
080	Joint ventures	IAS 28.3
090	Associates	IAS 28.3
100	Impairment or (-) reversal of impairment on non-financial assets	IAS 36.126(a),(b)
110	Property, plant and equipment	IAS 16.73(e)(v-vi)
120	Investment properties	IAS 40.79(d)(v)
130	Goodwill	IAS 36.10b; IAS 36.88-99, 124; IFRS 3 Appendix B67(d)(v)
140	Other intangible assets	IAS 38.118(e)(iv)(v)
150	TOTAL
160	Interest income on impaired financial assets accrued	IFRS 7.20(d); IAS 39.AG 93

17. Reconciliation between Accounting and CRR scope of consolidation: Balance Sheet

17.1 Assets

		References	Accounting scope of consolidation [Carrying amount]
		References	010
010	Cash and cash balances at central banks	IAS 1.54 (i)
020	Cash on hand	Annex V.Part 2.1
030	Cash balances at central banks	Annex V.Part 2.2
040	Other demand deposits	Annex V.Part 2.3
050	Financial assets held for trading	IFRS 7.8(a)(ii); IAS 39.9, AG 14
060	Derivatives	IAS 39.9
070	Equity instruments	IAS 32.11
080	Debt securities	Annex V.Part 1.24, 26
090	Loans and advances	Annex V.Part 1.24, 27
100	Financial assets designated at fair value through profit or loss	IFRS 7.8(a)(i); IAS 39.9
110	Equity instruments	IAS 32.11
120	Debt securities	Annex V.Part 1.24, 26
130	Loans and advances	Annex V.Part 1.24, 27
140	Available-for-sale financial assets	IFRS 7.8(d); IAS 39.9
150	Equity instruments	IAS 32.11
160	Debt securities	Annex V.Part 1.24, 26
170	Loans and advances	Annex V.Part 1.24, 27
180	Loans and receivables	IFRS 7.8(c); IAS 39.9, AG16, AG26; Annex V.Part 1.16
190	Debt securities	Annex V.Part 1.24, 26
200	Loans and advances	Annex V.Part 1.24, 27
210	Held-to-maturity investments	IFRS 7.8(b); IAS 39.9, AG16, AG26
220	Debt securities	Annex V.Part 1.24, 26
230	Loans and advances	Annex V.Part 1.24, 27
240	Derivatives – Hedge accounting	IFRS 7.22(b); IAS 39.9
250	Fair value changes of the hedged items in portfolio hedge of interest rate risk	IAS 39.89A(a)
260	Investments in subsidaries, joint ventures and associates	IAS 1.54(e); Annex V.Part 2.4
270	Assets under reinsurance and insurance contracts	IFRS 4.IG20.(b)-(c); Annex V.Part 2.105
280	Tangible assets
290	Intangible assets	IAS 1.54(c); CRR art 4(1)(115)
300	Goodwill	IFRS 3.B67(d); CRR art 4(1)(113)
310	Other intangible assets	IAS 38.8,118
320	Tax assets	IAS 1.54(n-o)
330	Current tax assets	IAS 1.54(n); IAS 12.5
340	Deferred tax assets	IAS 1.54(o); IAS 12.5; CRR art 4(1)(106)
350	Other assets	Annex V.Part 2.5
360	Non-current assets and disposal groups classified as held for sale	IAS 1.54(j); IFRS 5.38, Annex V.Part 2.6
370	TOTAL ASSETS	IAS 1.9(a), IG 6

17.2 Off-balance sheet exposures: Loan commitments, financial guarantees and other commitments given

		References	Accounting scope of consolidation [Nominal amount]
		References	010
010	Loan commitments given	IAS 39.2(h), 4(a)(c), BC 15; CRR Annex I; Annex V.Part 2.56, 57
020	Financial guarantees given	IAS 39.9 AG 4, BC 21; IFRS 4 A; CRR Annex I; Annex V.Part 2.56, 58
030	Other Commitments given	CRR Annex I; Annex V.Part 2.56, 59
040	OFF-BALANCE SHEET EXPOSURES

17.3 Liabilities and equity

		References	Accounting scope of consolidation [Carrying amount]
		References	010
010	Financial liabilities held for trading	IFRS 7.8 (e) (ii); IAS 39.9, AG 14-15
020	Derivatives	IAS 39.9, AG 15(a)
030	Short positions	IAS 39.AG 15(b)
040	Deposits	ECB/2008/32 Annex 2.Part 2.9, Annex V.Part 1.30
050	Debt securities issued	Annex V.Part 1.31
060	Other financial liabilities	Annex V.Part 1.32-34
070	Financial liabilities designated at fair value through profit or loss	IFRS 7.8 (e)(i); IAS 39.9
080	Deposits	ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30
090	Debt securities issued	Annex V.Part 1.31
100	Other financial liabilities	Annex V.Part 1.32-34
110	Financial liabilities measured at amortised cost	IFRS 7.8(f); IAS 39.47
120	Deposits	ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30
130	Debt securities issued	Annex V.Part 1.31
140	Other financial liabilities	Annex V.Part 1.32-34
150	Derivatives – Hedge accounting	IFRS 7.22(b); IAS 39.9; Annex V.Part 1.23
160	Fair value changes of the hedged items in portfolio hedge of interest rate risk	IAS 39.89A(b)
170	Liabilities under insurance and reinsurance contracts	IFRS 4.IG20(a); Annex V.Part 2.106
180	Provisions	IAS 37.10; IAS 1.54(l)
190	Tax liabilities	IAS 1.54(n-o)
200	Current tax liabilities	IAS 1.54(n); IAS 12.5
210	Deferred tax liabilities	IAS 1.54(o); IAS 12.5; CRR art 4(1)(108)
220	Share capital repayable on demand	IAS 32 IE 33; IFRIC 2; Annex V.Part 2.9
230	Other liabilities	Annex V.Part 2.10
240	Liabilities included in disposal groups classified as held for sale	IAS 1.54 (p); IFRS 5.38, Annex V.Part 2.11
250	LIABILITIES	IAS 1.9(b);IG 6
260	Capital	IAS 1.54(r), BAD art 22
270	Share premium	IAS 1.78(e); CRR art 4(1)(124)
280	Equity instruments issued other than capital	Annex V.Part 2.15-16
290	Other equity	IFRS 2.10; Annex V.Part 2.17
300	Accumulated other comprehensive income	CRR art 4(1)(100)
310	Retained earnings	CRR art 4(1)(123)
320	Revaluation reserves	IFRS 1.30, D5-D8
330	Other reserves	IAS 1.54; IAS 1.78 (e)
340	(-) Treasury shares	IAS 1.79(a)(vi); IAS 32.33-34, AG 14, AG 36; Annex V.Part 2.20
350	Profit or loss attributable to owners of the parent	IAS 27.28; IAS 1.83(a)(ii)
360	(-) Interim dividends	IAS 32.35
370	Minority interests [Non-controlling interests]	IAS 27.4; IAS 1.54(q); IAS 27.27
380	TOTAL EQUITY	IAS 1.9(c), IG 6
390	TOTAL EQUITY AND TOTAL LIABILITIES	IAS 1.IG6

18. Performing and non-performing exposures

19. Forborne exposures

20. Geographical breakdown

20.1 Geographical breakdown of assets by location of the activities

		References	Carrying amount
			Domestic activitivies	Non-domestic activities
			Annex V.Part 2.107	Annex V.Part 2.107
			010	020
010	Cash and cash balances at central banks	IAS 1.54 (i)
020	Cash on hand	Annex V.Part 2.1
030	Cash balances at central banks	Annex V.Part 2.2
040	Other demand deposits	Annex V.Part 2.3
050	Financial assets held for trading	IFRS 7.8(a)(ii); IAS 39.9, AG 14
060	Derivatives	IAS 39.9
070	Equity instruments	IAS 32.11
080	Debt securities	Annex V.Part 1.24, 26
090	Loans and advances	Annex V.Part 1.24, 27
100	Financial assets designated at fair value through profit or loss	IFRS 7.8(a)(i); IAS 39.9
110	Equity instruments	IAS 32.11
120	Debt securities	Annex V.Part 1.24, 26
130	Loans and advances	Annex V.Part 1.24, 27
140	Available-for-sale financial assets	IFRS 7.8(d); IAS 39.9
150	Equity instruments	IAS 32.11
160	Debt securities	Annex V.Part 1.24, 26
170	Loans and advances	Annex V.Part 1.24, 27
180	Loans and receivables	IFRS 7.8(c); IAS 39.9, AG16, AG26; Annex V.Part 1.16
190	Debt securities	Annex V.Part 1.24, 26
200	Loans and advances	Annex V.Part 1.24, 27
210	Held-to-maturity investments	IFRS 7.8(b); IAS 39.9, AG16, AG26
220	Debt securities	Annex V.Part 1.24, 26
230	Loans and advances	Annex V.Part 1.24, 27
240	Derivatives – Hedge accounting	IFRS 7.22(b); IAS 39.9
250	Fair value changes of the hedged items in portfolio hedge of interest rate risk	IAS 39.89A(a)
260	Investments in subsidaries, joint ventures and associates	IAS 1.54(e); Annex V.Part 2.4
270	Tangible assets
280	Intangible assets	IAS 1.54(c); CRR art 4(1)(115)
290	Tax assets	IAS 1.54(n-o)
300	Other assets	Annex V.Part 2.5
310	Non-current assets and disposal groups classified as held for sale	IAS 1.54(j); IFRS 5.38
320	ASSETS	IAS 1.9(a), IG 6

20.2 Geographical breakdown of liabilities by location of the activities

		References	Carrying amount
			Domestic activitivies	Non-domestic activities
			Annex V.Part 2.107	Annex V.Part 2.107
			010	020
010	Financial liabilities held for trading	IFRS 7.8 (e) (ii); IAS 39.9, AG 14-15
020	Derivatives	IAS 39.9, AG 15(a)
030	Short positions	IAS 39.AG 15(b)
040	Deposits	ECB/2008/32 Annex 2.Part 2.9, Annex V.Part 1.30
050	Debt securities issued	Annex V.Part 1.31
060	Other financial liabilities	Annex V.Part 1.32-34
070	Financial liabilities designated at fair value through profit or loss	IFRS 7.8 (e)(i); IAS 39.9
080	Deposits	ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30
090	Debt securities issued	Annex V.Part 1.31
100	Other financial liabilities	Annex V.Part 1.32-34
110	Financial liabilities measured at amortised cost	IFRS 7.8(f); IAS 39.47
120	Deposits	ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30
130	Debt securities issued	Annex V.Part 1.31
140	Other financial liabilities	Annex V.Part 1.32-34
150	Derivatives – Hedge accounting	IFRS 7.22(b); IAS 39.9; Annex V.Part 1.23
160	Fair value changes of the hedged items in portfolio hedge of interest rate risk	IAS 39.89A(b)
170	Provisions	IAS 37.10; IAS 1.54(l)
180	Tax liabilities	IAS 1.54(n-o)
190	Share capital repayable on demand	IAS 32.IE 33; IFRIC 2; Annex V.Part 2.09
200	Other liabilities	Annex V.Part 2.10
210	Liabilities included in disposal groups classified as held for sale	IAS 1.54(p); IFRS 5.38
220	LIABILITIES	IAS 1.9(b);IG 6

20.3 Geographical breakdown of statement of profit or loss items by location of the activities

		References	Current period
			Domestic activitivies	Non-domestic activities
			Annex V.Part 2.107	Annex V.Part 2.107
			010	020
010	Interest income	IAS 1.97; IAS 18.35(b)(iii); Annex V.Part 2.21
020	(Interest expense)	IAS 1.97; Annex V.Part 2.21
030	(Expenses on share capital repayable on demand)	IFRIC 2.11
040	Dividend income	IAS 18.35(b)(v); Annex V.Part 2.28
050	Fee and commission income	IFRS 7.20(c)
060	(Fee and commission expenses)	IFRS 7.20(c)
070	Gains or (-) losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss, net	IFRS 7.20(a)(ii-v)
080	Gains or (-) losses on financial assets and liabilities held for trading, net	IFRS 7.20(a)(i); IAS 39.55(a)
090	Gains or (-) losses on financial assets and liabilities designated at fair value through profit or loss, net	IFRS 7.20(a) (i); IAS 39.55(a)
100	Gains or (-) losses from hedge accounting, net	IFRS 7.24
110	Exchange differences [gain or (-) loss], net	IAS 21.28, 52(a)
120	Gains or (-) losses on derecognition of investments in subsidiaries, joint ventures and associates, net
130	Gains or (-) losses on derecognition of non financial assets, net	IAS 1.34
140	Other operating income	Annex V.Part 2.141-143
150	(Other operating expenses)	Annex V.Part 2.141-143
155	TOTAL OPERATING INCOME, NET
160	(Administrative expenses)
170	(Depreciation)	IAS 1.102, 104
180	(Provisions or (-) reversal of provisions)	IAS 37.59, 84; IAS 1.98(b)(f)(g)
190	(Impairment or (-) reversal of impairment on financial assets not measured at fair value through profit or loss)	IFRS 7.20(e)
200	(Impairment or (-) reversal of impairment of investments in subsidaries, joint ventures and associates)	IAS 28.40-43
210	(Impairment or (-) reversal of impairment on non-financial assets)	IAS 36.126(a)(b)
220	Negative goodwill recognised in profit or loss	IFRS 3.Appendix B64(n)(i)
230	Share of the profit or (-) loss of investments in subsidaries, joint ventures and associates	IAS 1.82(c)
240	Profit or (-) loss from non-current assets and disposal groups classified as held for sale not qualifying as discontinued operations	IFRS 5.37; Annex V.Part 2.27
250	PROFIT OR (-) LOSS BEFORE TAX FROM CONTINUING OPERATIONS	IAS 1.102, IG 6; IFRS 5.33 A
260	(Tax expense or (-) income related to profit or loss from continuing operations)	IAS 1.82(d); IAS 12.77
270	PROFIT OR (-) LOSS AFTER TAX FROM CONTINUING OPERATIONS	IAS 1, IG 6
280	Profit or (-) loss after tax from discontinued operations	IAS 1.82(e) ; IFRS 5.33(a), 5.33 A
290	PROFIT OR (-) LOSS FOR THE YEAR	IAS 1.82(f)

20.4 Geographical breakdown of assets by residence of the counterparty

z-axis		Country of residence of the counterparty
		References	Gross carrying amount	of which: defaulted	Accumulated impairment or Accumulated changes in fair value due to credit risk
			Annex V.Part 2.109	Annex V.Part 2.109	Annex V.Part 2.46
			010	020	030
010	Derivatives	IAS 39.9
020	Of which: credit institutions	Annex V.Part 1.35(c)
030	Of which: other financial corporations	Annex V.Part 1.35(d)
040	Equity instruments	IAS 32.11
050	Of which: credit institutions	Annex V.Part 1.35(c)
060	Of which: other financial corporations	Annex V.Part 1.35(d)
070	Of which: non-financial corporations	Annex V.Part 1.35(e)
080	Debt securities	Annex V.Part 1.24, 26
090	Central banks	Annex V.Part 1.35(a)
100	General governments	Annex V.Part 1.35(b)
110	Credit institutions	Annex V.Part 1.35(c)
120	Other financial corporations	Annex V.Part 1.35(d)
130	Non-financial corporations	Annex V.Part 1.35(e)
140	Loans and advances	Annex V.Part 1.24, 27
150	Central banks	Annex V.Part 1.35(a)
160	General governments	Annex V.Part 1.35(b)
170	Credit institutions	Annex V.Part 1.35(c)
180	Other financial corporations	Annex V.Part 1.35(d)
190	Non-financial corporations	Annex V.Part 1.35(e)
200	Of which: Small and Medium-sized Enterprises	SME Art 1 2(a)
210	Of which: Commercial immovable property
220	Households	Annex V.Part 1.35(f)
230	Of which: Loans collateralized by residential immovable property
240	Of which: Credit for consumption

20.5 Geographical breakdown of off-balance sheet exposures by residence of the counterparty

z-axis		Country of residence of the counterparty
		References	Nominal amount	of which: defaulted	Provisions for commitments and guarantees given
			Annex V.Part 2.62	Annex V.Part 2.61
			010	020	030
010	Loan commitments given	IAS 39.2(h), 4(a)(c), BC 15; CRR Annex I; Annex V.Part 2.56, 57
020	Financial guarantees given	IAS 39.9 AG 4, BC 21; IFRS 4 A; CRR Annex I; Annex V.Part 2.56, 58
030	Other Commitments given	CRR Annex I; Annex V.Part 2.56, 59

20.6 Geographical breakdown of liabilities by residence of the counterparty

z-axis		Country of residence of the counterparty
		References	Carrying amount
			Annex V.Part 1.28, 2.107
			010
010	Derivatives	IAS 39.9, AG 15(a)
020	Of which: credit institutions	Annex V.Part 1.35(c)
030	Of which: other financial corporations	Annex V.Part 1.35(d)
040	Short positions	IAS 39 AG 15(b)
050	Of which: credit institutions	Annex V.Part 1.35(c)
060	Of which: other financial corporations	Annex V.Part 1.35(d)
070	Deposits	ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30
080	Central banks	Annex V.Part 1.35(a)
090	General governments	Annex V.Part 1.35(b)
100	Credit institutions	Annex V.Part 1.35(c)
110	Other financial corporations	Annex V.Part 1.35(d)
120	Non-financial corporations	Annex V.Part 1.35(e)
130	Households	Annex V.Part 1.35(f)

20.7 Breakdown of loans and advances to non-financial corporations by NACE codes and by residence of the counterparty

z-axis		Country of residence of the counterparty
		Non-financial corporations
		References	Gross carrying amount	Accumulated impairment or Accumulated changes in fair value due to credit risk
			Annex V.Part 2.109	Annex V.Part 2.46
			010	020
010	A Agriculture, forestry and fishing	NACE Regulation
020	B Mining and quarrying	NACE Regulation
030	C Manufacturing	NACE Regulation
040	D Electricity, gas, steam and air conditioning supply	NACE Regulation
050	E Water supply	NACE Regulation
060	F Construction	NACE Regulation
070	G Wholesale and retail trade	NACE Regulation
080	H Transport ans storage	NACE Regulation
090	I Accommodation and food service activities	NACE Regulation
100	J Information and communication	NACE Regulation
110	L Real estate activities	NACE Regulation
120	M Professional, scientific and technical activities	NACE Regulation
130	N Administrative and support service activities	NACE Regulation
140	O Public administration and defence, compulsory social security	NACE Regulation
150	P Education	NACE Regulation
160	Q Human health services and social work activities	NACE Regulation
170	R Arts, entertainment and recreation	NACE Regulation
180	S Other services	NACE Regulation
190	LOANS AND ADVANCES	Annex V.Part 1.24, 27

21. Tangible and intangible assets: assets subject to operating lease

		References	Carrying amount
			Annex V.Part 2.110-111
			010
010	Property plant and equipment	IAS 16.6; IAS 1.54(a)
020	Revaluation model	IAS 17.49; IAS 16.31, 73(a)(d)
030	Cost model	IAS 17.49; IAS 16.30, 73(a)(d)
040	Investment property	IAS 40.IN5; IAS 1.54(b)
050	Fair value model	IAS 17.49; IAS 40.33-55, 76
060	Cost model	IAS 17.49; IAS 40.56,79(c)
070	Other intangible assets	IAS 38.8, 118
080	Revaluation model	IAS 17.49; IAS 38.75-87, 124(a)(ii)
090	Cost model	IAS 17.49; IAS 38.74

22. Asset management, custody and other service functions

22.1 Fee and commission income and expenses by activity

		References IFRS 7.20(c)	Current period
		References IFRS 7.20(c)	010
010	Fee and commission income	Annex V.Part 2.113-115
020	Securities
030	Issuances	Annex V.Part 2.116(a)
040	Transfer orders	Annex V.Part 2.116(b)
050	Other	Annex V.Part 2.116(c)
060	Clearing and settlement	Annex V.Part 2.116(d)
070	Asset management	Annex V.Part 2.116(e); Annex V.Part 2.117(a)
080	Custody [by type of customer]	Annex V.Part 2.116(e); Annex V.Part 2.117(b)
090	Collective investment
100	Other
110	Central administrative services for collective investment	Annex V.Part 2.116(e); Annex V.Part 2.117(c)
120	Fiduciary transactions	Annex V.Part 2.116(e); Annex V.Part 2.117(d)
130	Payment services	Annex V.Part 2.116(e); Annex V.Part 2.117(e)
140	Customer resources distributed but not managed [by type of product]	Annex V.Part 2.117(f)
150	Collective investment
160	Insurance products
170	Other
180	Structured Finance	Annex V.Part 2.116(f)
190	Servicing of securitization activities	Annex V.Part 2.116(g)
200	Loan commitments given	IAS 39.47(d)(ii); Annex V.Part 2.116(h)
210	Financial guarantees given	IAS 39.47(c)(ii); Annex V.Part 2.116(h)
220	Other	Annex V.Part 2.116(j)
230	(Fee and commission expenses)	Annex V.Part 2.113-115
240	(Clearing and settlement)	Annex V.Part 2.116(d)
250	(Custody)	Annex V.Part 2.117(b)
260	(Servicing of securitization activities)	Annex V.Part 2.116(g)
270	(Loan commitments received)	Annex V.Part 2.116(i)
280	(Financial guarantees received)	Annex V.Part 2.116(i)
290	(Other)	Annex V.Part 2.116(j)

22.2 Assets involved in the services provided

		References	Amount of the assets involved in the services provided
			Annex V.Part 2.117(g)
			010
010	Asset management [by type of customer]	Annex V.Part 2.117(a)
020	Collective investment
030	Pension funds
040	Customer portfolios managed on a discretionary basis
050	Other investment vehicles
060	Custody assets [by type of customer]	Annex V.Part 2.117(b)
070	Collective investment
080	Other
090	Of which: entrusted to other entities
100	Central administrative services for collective investment	Annex V.Part 2.117(c)
110	Fiduciary transactions	Annex V.Part 2.117(d)
120	Payment services	Annex V.Part 2.117(e)
130	Customer resources distributed but not managed [by type of product]	Annex V.Part 2.117(f)
140	Collective investment
150	Insurance products
160	Other

30. Off-balance sheet activities: Interests in unconsolidated structured entities

30.1 Interests in unconsolidated structured entities

		References	Carrying amount of financialassets recognisedin the balance sheet	Of which: liquidity support drawn	Fair value of liquidity support drawn	Carrying amount of financialliabilities recognisedin the balance sheet	Nominal amount of off-balance sheetitems given by thereporting–institution	Of which: Nominal amount ofloan commitments given	Losses incurred by the reportinginstitution in the current period
			IFRS 12.29(a)	IFRS 12.29(a); Annex V.Part 2.118		IFRS 12.29(a)	IFRS 12.B26(e)		IFRS 12 B26(b)
			010	020	030	040	050	060	070
010	Total

30.2 Breakdown of interests in unconsolidated structured entities by nature of the activities

By nature of the activities		References	Securitisation Special Purpose Entities	Asset management	Other activities
			CRR art 4(1)(66)	Annex V.Part 2.117(a)	Other activities
			Carrying amount
		IFRS 12.28, B6.(a)	010	020	030
010	Selected financial assets recognised in the reporting institution's balance sheet	IFRS 12.29(a),(b)
020	of which: defaulted
030	Derivatives	IAS 39.9
040	Equity instruments	IAS 32.11
050	Debt securities	Annex V.Part 1.24, 26
060	Loans and advances	Annex V.Part 1.24, 27
070	Selected equity and financial liabilites recognised in the reporting institution's balance sheet	IFRS 12.29(a),(b)
080	Equity instruments issued	IAS 32.4
090	Derivatives	IAS 39.9, AG 15 (a)
100	Deposits	ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30
110	Debt securities issued	Annex V.Part 1.31
			Nominal amount
120	Off-balance sheet items given by thereporting institution	IFRS 12.B26.(e)
130	of which: defaulted	Annex V.Part 2.61

31. Related parties

31.1 Related parties: amounts payable to and amounts receivable from

		References	Outstanding balances
			Parent and entities withjoint control orsignificant influence	Subsidiaries and otherentities of the same group	Associates and joint ventures	Key management ofthe institution or its parent	Other related parties
			IAS 24.19(a),(b)	IAS 24.19(c); Annex V.Part 2.120	IAS 24.19(d),(e); Annex V.Part 2.120	IAS 24.19(f)	IAS 24.19(g)
		Annex V.Part 2.120	010	020	030	040	050
010	Selected financial assets	IAS 24.18(b)
020	Equity instruments	IAS 32.11
030	Debt securities	Annex V.Part 1.24, 26
040	Loans and advances	Annex V.Part 1.24, 27
050	of which: Impaired financial assets
060	Selected financial liabilities	IAS 24.18(b)
070	Deposits	ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30
080	Debt securities issued	Annex V.Part 1.31
090	Nominal amount of loan commitments, financial guarantees and other commitments given	IAS 24.18(b); Annex V.Part 2.62
100	of which: defaulted	IAS 24.18(b); Annex V.Part 2.61
110	Loan commitments, financial guarantees and other commitments received	IAS 24.18(b); Annex V.Part 2.63, 121
120	Notional amount of derivatives	Annex V.Part 2.70-71
130	Allowances and provisions for impaired debt instruments, defaulted guarantees and defaulted commitments [To be replaced by ‘Accumulated impairment, accumulated changes in fair value due to credit risk and provisions on non-performing exposures’ when reporting of non-performing exposures would be final]	IAS 24.18(c)

31.2 Related parties: expenses and income generated by transactions with

		References	Current period
			Parent and entities withjoint control orsignificant influence	Subsidiaries and otherentities of the same group	Associates and joint ventures	Key management ofthe institution or its parent	Other related parties
			IAS 24.19(a),(b)	IAS 24.19(c)	IAS 24.19(d),(e)	IAS 24.19(f)	IAS 24.19(g)
		Annex V.Part 2.120	010	020	030	040	050
010	Interest income	IAS 24.18(a); IAS 18.35(b)(iii); Annex V.Part 2.21
020	Interest expenses	IAS 24.18(a); IAS 1.97; Annex V.Part 2.21
030	Dividend income	IAS 24.18(a); IAS 18.35(b)(v); Annex V.Part 2.28
040	Fee and commission income	IAS 24.18(a); IFRS 7.20(c)
050	Fee and commission expenses	IAS 24.18(a); IFRS 7.20(c)
060	Gains or (-) losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss	IAS 24.18(a)
070	Gains or (-) losses on derecognition of non-financial assets	IAS 24.18(a); Annex V.Part 2.122
080	Increase or (-) decrease during the period in impairment and provisions for impaired debt instruments, defaulted guarantees and defaulted commitments	IAS 24.18(d)

40. Group structure

40.1 Group structure: ”entity-by-entity”

LEI code

Entity code

Entity name

Entry date

Share capital

Equity of investee

Total assets of investee

Profit or (-) loss of investee

Residence of investee

Sector of investee

NACE Code

Accumulated equity interest [%]

Voting rights [%]

Group structure [relationship]

Accounting treatment [Accounting Group]

Accounting treatment [CRR Group]

Carrying amount

Acquisition cost

Goodwill link to Investee

Fair value of investments for which there are published price quotations

Annex V.Part 2.123, 124(a)

Annex V.Part 2.123, 124(b)

IFRS 12.12(a), 21(a)(i); Annex V.Part 2.123, 124(c)

Annex V.Part 2.123, 124(d)

Annex V.Part 2.123, 124(e)

IFRS 12.B12(b); Annex V.Part 2.123, 124(f)

IFRS 12.12.(b), 21.(a).(iii); Annex V.Part 2.123, 124(g)

Annex V.Part 2.123, 124(h)

Annex V.Part 2.123, 124(i)

IFRS 12.21(iv); Annex V.Part 2.123, 124(j)

IFRS 12.21(iv); Annex V.Part 2.123, 124(k)

IFRS 12.10(a)(i); Annex V.Part 2.123, 124(l)

IFRS 12.21(b); Annex V.Part 2.123, 124(m)

CRR art 18; Annex V.Part 2.123, 124(n)

Annex V.Part 2.123, 124(0)

Annex V.Part 2.123, 124(p)

Annex V.Part 2.123, 124(q)

IFRS 12.21(b)(iii); Annex V.Part 2.123, 124(r)

010

020

030

040

050

060

070

080

090

095

100

110

120

130

140

150

160

170

180

190

40.2 Group structure: ”instrument-by-instrument”

Security code	Entity code	Holding company LEI code	Holding company code	Holding company name	Accumulated equity interest (%)	Carrying amount	Acquisition cost
Annex V.Part 2.125(a)	Annex V.Part 2.124(b), 125(c)		Annex V.Part 2.125(b)		Annex V.Part 2.124(j), 125(c)	Annex V.Part 2.124(o), 125(c)	Annex V.Part 2.124(p), 125(c)
010	020	030	040	050	060	070	080

41. Fair value

41.1 Fair value hierarchy: financial instruments at amortised cost

ASSETS		References	Fair value	Fair value hierarchy IFRS 13.93(b), BC216
			IFRS 7.25-26	Level 1 IFRS 13.76	Level 2 IFRS 13.81	Level 3 IFRS 13.86
			010	020	030	040
010	Loans and receivables	IFRS 7.8 (c); IAS 39.9, AG16, AG26
020	Debt securities	Annex V.Part 1.24, 26
030	Loans and advances	Annex V.Part 1.24, 27
040	Held-to-maturity investments	IFRS 7.8(b); IAS 39.9, AG16, AG26
050	Debt securities	Annex V.Part 1.24, 26
060	Loans and advances	Annex V.Part 1.24, 27
LIABILITIES
070	Financial liabilities measured at amortised cost	IFRS 7.8(f); IAS 39.47
080	Deposits	ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30
090	Debt securities issued	Annex V.Part 1.31
100	Other financial liabilities	Annex V.Part 1.32-34

41.2 Use of the Fair Value Option

	Financial instruments designated at fair value through profit or loss	References	Carrying amount
			Accounting mismatch	Evaluation on a fair value basis	Hybrid contracts
	IFRS 7.B5(a)		IAS 39.9b(i)	IAS 39.9b(ii)	IAS 39.11A-12
	ASSETS		010	020	030
010	Financial assets designated at fair value through profit or loss	IFRS 7.8(a)(i); IAS 39.9
020	Equity Instruments	IAS 32.11
030	Debt securities	Annex V.Part 1.24, 26
040	Loans and advances	Annex V.Part 1.24, 27
LIABILITIES
050	Financial liabilities designated at fair value through profit or loss	IFRS 7.8(e)(i); IAS 39.9
060	Deposits	ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30
070	Debt securities issued	Annex V.Part 1.31
080	Other financial liabilities	Annex V.Part 1.32-34

41.3 Hybrid financial instruments not designated at fair value through profit or loss

	Rest of separable hybrid contracts [not designated at fair value through profit or loss]	References	Carrying amount
	FINANCIAL ASSETS	References	010
010	Financial assets held for trading	IAS 39.9; Annex V.Part 2.129
020	Available-for-sale [Host contracts]	IAS 39.11; Annex V.Part 2.130
030	Loans and receivables [Host contracts]	IAS 39.11; Annex V.Part 2.130
040	Held-to-maturity investments [Host contracts]	IAS 39.11; Annex V.Part 2.130
FINANCIAL LIABILITES
050	Financial liabilities held for trading	IAS 39.9; Annex V.Part 2.129
060	Financial liabilities measured at amortized cost [Host contracts]	IAS 39.11; Annex V.Part 2.130

42. Tangible and intangible assets: carrying amount by measurement method

		References	Carrying amount
		References	010
010	Property plant and equipment	IAS 16.6; IAS 16.29; IAS 1.54(a)
020	Revaluation model	IAS 16.31, 73(a),(d)
030	Cost model	IAS 16.30, 73(a),(d)
040	Investment property	IAS 40.5, 30; IAS 1.54(b)
050	Fair value model	IAS 40,33-55, 76
060	Cost model	IAS 40.56, 79(c)
070	Other intangible assets	IAS 38.8, 118, 122 ; Annex V.Part 2.132
080	Revaluation model	IAS 38.75-87, 124(a)(ii)
090	Cost model	IAS 38.74

43. Provisions

		References	Carrying amount
			Pensions and other post employment defined benefit obligations	Other long term employee benefits	Restructuring	Pending legal issues and tax litigation	Commitments and guarantees given	Other provisions	Total
			IAS 19.63; IAS 1.78(d); Annex V.Part 2.7	IAS 19.153; IAS 1.78(d); Annex V.Part 2.8	IAS 37.70-83	IAS 37.App C.6-10	IAS 37.App C.9; IAS 39.2(h), 47(c)(d), BC 15, AG 4	IAS 37.14
			010	020	030	040	050	060	070
010	Opening balance [carrying amount at the beginning of the period]	IAS 37.84 (a)
020	Additions, including increases in existing provisions	IAS 37.84 (b)
030	(-) Amounts used	IAS 37.84 (c)
040	(-) Unused amounts reversed during the period	IAS 37.84 (d)
050	Increase in the discounted amount [passage of time] and effect of any change in the discount rate	IAS 37.84 (e)
060	Other movements
070	Closing balance [carrying amount at the end of the period]	IAS 37.84 (a)

44. Defined benefit plans and employee benefits

44.1 Components of net defined benefit plan assets and liabilities

		References	Amount
		References	010
010	Fair value of defined benefit plan assets	IAS 19.140(a)(i), 142
020	Of which: Financial instruments issued by the institution	IAS 19.143
030	Equity instruments	IAS 19.142(b)
040	Debt instruments	IAS 19.142(c)
050	Real estate	IAS 19.142(d)
060	Other defined benefit plan assets
070	Present value of defined benefit obligations	IAS 19.140(a)(ii)
080	Effect of the asset ceiling	IAS 19.140(a)(iii)
090	Net defined benefit assets [Carrying amount]	IAS 19.63; Annex V.Part 2.136
100	Provisions for pensions and other post-employment defined benefit obligations [Carrying amount]	IAS 19.63, IAS 1.78(d); Annex V.Part 2.7
110	Memo item: Fair value of any right to reimbursement recognised as an asset	IAS 19.140(b)

44.2 Movements in defined benefit obligations

		References	Defined benefit obligations
		References	010
010	Opening balance [present value]	IAS 19.140(a)(ii)
020	Current service cost	IAS 19.141(a)
030	Interest cost	IAS 19.141(b)
040	Contributions paid	IAS 19.141(f)
050	Actuarial (-) gains or losses from changes in demographic assumptions	IAS 19.141(c)(ii)
060	Actuarial (-) gains or losses from changes in financial assumptions	IAS 19.141(c)(iii)
070	Foreign currency exchange increase or (-) decrease	IAS 19.141(e)
080	Benefits paid	IAS 19.141(g)
090	Past service cost,including gains and losses arising from settlements	IAS 19.141(d)
100	Increase or (-) decrease through business combinations and disposals	IAS 19.141(h)
110	Other increases or (-) decreases
120	Closing balance [present value]	IAS 19.140(a)(ii); Annex V.Part 2.138

44.3 Memo items [related to staff expenses]

		References	Current period
		References	010
010	Pension and similar expenses	Annex V.Part 2.139(a)
020	Share based payments	IFRS 2.44; Annex V.Part 2.139(b)

45. Breakdown of selected items of statement of profit or loss

45.1 Gains or losses on financial assets and liabilities designated at fair value through profit or loss by accounting portfolio

		References	Current period	Changes in fair value due to credit risk
		References	010	020
010	Financial assets designated at fair value through profit or loss	IFRS 7.20(a)(i); IAS 39.55(a)
020	Financial liabilities designated at fair value through profit or loss	IFRS 7.20(a)(i); IAS 39.55(a)
030	GAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES AT FAIR VALUE THROUGH PROFIT OR LOSS	IFRS 7.20(a)(i)

45.2 Gains or losses on derecognition of non-financial assets other than held for sale

		References	Current period
		References	010
020	Investment property	IAS 40.69; IAS 1.34(a), 98(d)
030	Intangible assets	IAS 38.113-115A; IAS 1.34(a)
040	Other assets	IAS 1.34 (a)
050	GAINS OR (-) LOSSES ON DERECOGNITION OF NON-FINANCIAL ASSETS	IAS 1.34

45.3 Other operating income and expenses

		References	Income	Expenses
		References	010	020
010	Changes in fair value in tangible assets measured using the fair value model	IAS 40.76(d); Annex V.Part 2.141
020	Investment property	IAS 40.75(f); Annex V.Part 2.141
030	Operating leases other than investment property	IAS 17.50, 51, 56(b); Annex V.Part 2.142
040	Other	Annex V.Part 2.143
050	OTHER OPERATING INCOME OR EXPENSES	Annex V.Part 2.141-142

46. Statement of changes in equity

Sources of equity changes

References

Capital

Share premium

Equity instrumentsissued other than Capital

Other equity

Accumulated othercomprehensive income

Retained earnings

Revaluation reserves

Other reserves

(-) Treasury shares

Profit or (-) loss atributableto owners of the parent

(-) Interim dividends

Minority interests

Total

Accumulated OtherComprehensive Income

Other items

IAS 1.106, 54(r)

IAS 1.106, 78(e)

IAS 1.106, Annex V.Part 2.15-16

IAS 1.106; Annex V.Part 2.17

IAS 1.106

CRR art 4(1)(123)

IFRS 1.30 D5-D8

IAS 1.106, 54(c)

IAS 1.106; IAS 32.34, 33; Annex V.Part 2.20

IAS 1.106(a), 83 (a)(ii)

IAS 1.106; IAS 32.35

IAS 1.54(q), 106(a); IAS 27.27-28

IAS 1.9(c), IG6

010

020

030

040

050

060