
CHAPTER 1
Article 1 
This Regulation lays down uniform requirements in relation to supervisory reporting to competent authorities for the following areas:

((a)) own funds requirements and financial information according to Article 99 of Regulation (EU) No 575/2013;
((b)) losses stemming from lending collateralised by immovable property according to Article 101(4)(a) of Regulation (EU) No 575/2013;
((c)) large exposures and other largest exposures according to Article 394(1) of Regulation (EU) No 575/2013;
((d)) leverage ratio according to Article 430 of Regulation (EU) No 575/2013;
((e)) Liquidity Coverage requirements and Net Stable Funding requirements according to Article 415 of Regulation (EU) No 575/2013.
CHAPTER 2
Article 2 

1. Institutions shall submit information to competent authorities as it stands on the following reporting reference dates:
(a) Monthly reporting: on the last day of each month;
(b) Quarterly reporting: 31 March, 30 June, 30 September and 31 December;
(c) Semi-annual reporting: 30 June and 31 December;
(d) Annual reporting: 31 December.
2. Information submitted pursuant to the templates set out in Annex III and Annex IV according to the instructions in Annex V referring to a certain period shall be reported cumulatively from the first day of the accounting year to the reference date.
3. Where institutions are permitted by national laws to report their financial information based on their accounting year-end which deviates from the calendar year, reporting reference dates may be adjusted accordingly, so that reporting of financial information is done every three, six or twelve months from their accounting year-end, respectively.
Article 3 

1. Institutions shall submit information to competent authorities by close of business of the following remittance dates:
(a) Monthly reporting: 15th calendar day after the reporting reference date;
(b) Quarterly reporting: 12 May, 11 August, 11 November and 11 February;
(c) Semi-annual reporting: 11 August and 11 February;
(d) Annual reporting: 11 February.
2. If the remittance day is a public holiday in the Member State of the competent authority to which the report is to be provided, or a Saturday or a Sunday, data shall be submitted on the following working day.
3. Where institutions report their financial information using adjusted reporting reference dates based on their accounting year-end as set out in Article 2 paragraph 3, the remittance dates may also be adjusted accordingly so that the same remittance period from the adjusted reporting reference date is maintained.
4. Institutions may submit unaudited figures. Where audited figures deviate from submitted unaudited figures, the revised, audited figures shall be submitted without undue delay. Unaudited figures are figures that have not received an external auditor's opinion whereas audited figures are figures audited by an external auditor expressing an audit opinion.
5. Other corrections to the submitted reports shall also be submitted to the competent authorities without undue delay.
Article 4 

1. Institutions shall start reporting information subject to thresholds from the next reporting reference date where they have exceeded the threshold on two consecutive reporting reference dates.
2. For the first two reporting reference dates on which institutions have to comply with the requirements of this Regulation, institutions shall report the information subject to thresholds if they exceed the relevant thresholds on the same reporting reference date.
3. Institutions may stop reporting information subject to thresholds from the next reporting reference date where they have fallen below the relevant thresholds on three consecutive reporting reference dates.
CHAPTER 3
SECTION 1
Article 5 
In order to report information on own funds and on own funds requirements according to Article 99 of Regulation (EU) No 575/2013 on an individual basis, institutions shall submit all the information listed in paragraphs (a) and (b).

((a)) Institutions shall submit the following information with a quarterly frequency:

((1)) the information relating to own funds and own funds requirements as specified in templates 1 to 5 of Annex I, according to the instructions in Part II point 1 of Annex II;
((2)) the information on credit risk and counterparty credit risk exposures treated under the Standardised Approach as specified in template 7 of Annex I, according to the instructions in Part II point 3.2 of Annex II;
((3)) the information on credit risk and counterparty credit risk exposures treated under the Internal Rating Based Approach as specified in template 8 of Annex I, according to the instructions in Part II point 3.3 of Annex II;
((4)) the information on the geographical distribution of exposures by country as specified in template 9 of Annex I, according to the instructions in Part II point 3.4 of Annex II, where non-domestic original exposures in all ‘non-domestic’ countries in all exposures classes, as reported in row 850 of template 4 of Annex I, are equal or higher than 10 % of total domestic and non-domestic original exposures as reported in row 860 of template 4 of Annex I. For this purpose exposures shall be deemed to be domestic where they are exposures to counterparties located in the Member State where the institution is located. The entry and exit criteria of Article 4 shall apply;
((5)) the information on equity exposures treated under the Internal Ratings Based Approach as specified in template 10 of Annex I, according to the instructions in Part II point 3.5 of Annex II;
((6)) the information on settlement risk as specified in template 11 of Annex I, according to the instructions in Part II point 3.6 of Annex II;
((7)) the information on securitisations exposures treated under the Standardised Approach as specified in template 12 of Annex I, according to the instructions in Part II point 3.7 of Annex II;
((8)) the information on securitisation exposures treated under the Internal Rating Based Approach as specified in template 13 of Annex I, according to the instructions in Part II point 3.8 of Annex II;
((9)) the information on own funds requirements and losses relating to operational risk as specified in template 16 of Annex I, according to the instructions in Part II point 4.1 of Annex II;
((10)) the information on own funds requirements relating to market risk as specified in templates 18 to 24 of Annex I, according to the instructions in Part II point 5.1 to 5.7 of Annex II;
((11)) the information on own funds requirements relating to credit valuation adjustment risk as specified in template 25 of Annex I, according to the instructions in Part II point 5.8 of Annex II.
((b)) Institutions shall submit the following information with a semi-annual frequency:

((1)) the information on all securitisation exposures as specified in template 14 of Annex I, according to the instructions in Part II point 3.9 of Annex II;
((2)) the information on material losses regarding operational risk in the following manner:

((a)) institutions which calculate own funds requirements relating to operational risk according to Chapters 3 or 4 of Title III of Part 3 of Regulation (EU) No 575/2013 shall report this information as specified in template 17 of Annex I, according to the instructions in Part II point 4.2 of Annex II;
((b)) institutions which calculate own funds requirements relating to operational risk according to Chapter 3 of Title III of Part 3 of Regulation (EU) No 575/2013 and whose ratio of their individual balance sheet total on the sum of individual balance sheet totals of all institutions within the same Member State is below 1 % may only report the information as specified in template 17 of Annex I according to the instructions in paragraph 124 of Part II of Annex II. Balance sheet total figures shall be based on year-end figures for the year before the year preceding the reporting reference date. The entry and exit criteria of Article 4 shall apply;
((c)) institutions which calculate the own funds requirements relating to operational risk according to Chapter 2 of Title III of Part Three of Regulation (EU) No 575/2013 are entirely exempted from reporting information referred to in template 17 of Annex I and point 4.2 of Part II of Annex II.
Article 6 
In order to report information on own funds and own funds requirements according to Article 99 of Regulation (EU) No 575/2013 on a consolidated basis, institutions in a member state shall submit:

((a)) the information specified in Article 5 in the frequency specified therein but on a consolidated basis;
((b)) the information specified in template 6 of Annex I according to the instructions provided in point 2 of Part II of Annex II regarding entities included in the scope of consolidation, with a semi-annual frequency.
Article 7 

1. In order to report information on own funds and on own funds requirements according to Article 99 of Regulation (EU) No 575/2013 on an individual basis, investment firms subject to Article 95 of Regulation (EU) No 575/2013 shall submit the information specified in templates 1 to 5 of Annex I, according to the instructions in point 1 of Part II of Annex II with a quarterly frequency.
2. In order to report information on own funds and own funds requirements according to Article 99 of Regulation (EU) No 575/2013 on an individual basis, investment firms subject to Article 96 of Regulation (EU) No 575/2013 shall submit the information specified in points (a) and (b) (1) of Article 5 of this Regulation with the frequency specified therein.
Article 8 

1. In order to report information on own funds and on own funds requirements according to Article 99 of Regulation (EU) No 575/2013 on a consolidated basis, investment firms of groups which consist only of investment firms subject to Article 95 of Regulation (EU) No 575/2013 shall submit the following information on a consolidated basis:
(a) the information on own funds and own funds requirements as specified in templates 1 to 5 of Annex I according to the instructions in point 1 of Part II of Annex II, with a quarterly frequency;
(b) the information on own funds and own funds requirements regarding entities included in the scope of consolidation as specified in template 6 of Annex I, according to the instructions in point 2 of Part II of Annex II, with a semi-annual frequency.
2. In order to report information on own funds and on own funds requirements according to Article 99 of Regulation (EU) No 575/2013 on a consolidated basis, investment firms of groups which consist of investment firms subject to both Article 95 and Article 96 as well as groups which consist only of investment firms subject to Article 96 of Regulation (EU) No 575/2013 shall submit the following information on a consolidated basis:
(a) the information specified in points (a) and (b) (1) of Article 5, with the frequency specified therein;
(b) the information regarding entities included in the scope of consolidation as specified in template 6 of Annex I, according to the instructions of point 2 of Part II of Annex II, with a semi-annual frequency.
SECTION 2
Article 9 

1. In order to report financial information on a consolidated basis according to Article 99 (2) of Regulation (EU) No 575/2013, institutions established in a Member State shall submit the information specified in Annex III on a consolidated basis, according to the instructions in Annex V and the information specified in Annex VIII on a consolidated basis, according to the instructions in Annex IX.
2. The information referred to in paragraph 1 shall be submitted according to the following specifications:
(a) the information specified in Part 1 of Annex III with a quarterly frequency;
(b) the information specified in Part 3 of Annex III with a semi-annual frequency;
(c) the information specified in Part 4 of Annex III with an annual frequency;
(d) the information specified in template 20 in Part 2 of Annex III with a quarterly frequency in the manner provided in point (4) of Article 5 (a). The entry and exit criteria referred to in Article 4 shall apply;
(e) the information specified in template 21 in Part 2 of Annex III where tangible assets subject to operating leases are equal or higher than 10 % of total tangible assets as reported in template 1.1 in Part 1 of Annex III with a quarterly frequency. The entry and exit criteria referred to in Article 4 shall apply;
(f) the information specified in template 22 in Part 2 of Annex III where net fee and commission income is equal or higher than 10 % of the sum of net fee and commission income and net interest income as reported in template 2 in Part 1 of Annex III with a quarterly frequency. The entry and exit criteria referred to in Article 4 shall apply;
(g) the information specified in Annex VIII for exposures whose exposure value is larger than or equal to EUR 300 million but less than 10 % of the institution's eligible capital with a quarterly frequency.
Article 10 
Where a competent authority has extended the reporting requirements of financial information on a consolidated basis to institutions in a Member State in accordance with Article 99(3) Regulation (EU) No 575/2013, institutions shall submit financial information according to Article 9.
Article 11 

1. Where a competent authority has extended the reporting requirements of financial information on a consolidated basis to institutions established in a Member State in accordance with Article 99(6) Regulation (EU) No 575/2013, institutions shall submit the information specified in Annex IV on a consolidated basis, according to the instructions in Annex V and the information specified in Annex VIII on a consolidated basis, according to the instructions in Annex IX.
2. The information referred to in paragraph 1 shall be submitted according to the following specifications:
(a) the information specified in Part 1 of Annex IV with a quarterly frequency;
(b) the information specified in Part 3 of Annex IV with a semi-annual frequency;
(c) the information specified in Part 4 of Annex IV with an annual frequency;
(d) the information specified in template 20 in Part 2 of Annex IV with a quarterly frequency in the manner provided in point (4) of Article 5 (a). The entry and exit criteria referred to in Article 4 shall apply;
(e) the information specified in template 21 in Part 2 of Annex IV where tangible assets subject to operating leases are equal or higher than 10 % of total tangible assets as reported in template 1.1 in Part 1 of Annex IV with a quarterly frequency. The entry and exit criteria referred to in Article 4 shall apply;
(f) the information specified in template 22 in Part 2 of Annex IV where net fee and commission income is equal or higher than 10 % of the sum of net fee and commission income and net interest income as reported in template 2 in Part 1 of Annex IV with a quarterly frequency. The entry and exit criteria referred to in Article 4 shall apply;
(g) the information specified in Annex VIII for exposures whose exposure value is larger than or equal to EUR 300 million but less than 10 % of the institution's eligible capital with a quarterly frequency.
CHAPTER 4
Article 12 

1. Institutions shall submit information as specified in Annex VI according to the instructions in Annex VII on a consolidated basis with a semi-annual frequency.
2. Institutions shall submit information as specified in Annex VI according to the instructions in Annex VII on an individual basis with a semi-annual frequency.
3. Branches in another Member State shall also submit to the competent authority of the host Member State information as specified in Annex VI according to the instructions in Annex VII related to that branch with a semi-annual frequency.
CHAPTER 5
Article 13 

1. In order to report information on large exposures to clients and groups of connected clients according to Article 394(1) of Regulation (EU) No 575/2013 on an individual and a consolidated basis, institutions shall submit the information specified in Annex VIII according to the instructions in Annex IX, with a quarterly frequency.
2. In order to report information on the twenty largest exposures to clients or groups of connected clients according to the last sentence of Article 394(1) of Regulation (EU) No 575/2013 on a consolidated basis, institutions which are subject to Chapter 3 of Title II of Part Three of Regulation (EU) No 575/2013 shall submit the information specified in Annex VIII according to the instructions in Annex IX, with a quarterly frequency.
3. In order to report information on the ten largest exposures to institutions as well as on the ten largest exposures to unregulated financial entities according to Article 394(2) of Regulation (EU) No 575/2013 on a consolidated basis, institutions shall submit the information specified in Annex VIII according to the instructions in Annex IX, with a quarterly frequency.
CHAPTER 6
Article 14 

1. In order to report information on the leverage ratio according to Article 430 (1) of Regulation (EU) No 575/2013 on an individual and a consolidated basis, institutions shall submit the information specified in Annex X according to the instructions in Annex XI, with a quarterly frequency.
2. The reporting of this data shall reflect the methodology applicable for the calculation of the leverage ratio, either as the simple arithmetic mean of monthly data over the quarter, as per Article 429(2) of Regulation (EU) No 575/2013, or, where competent authorities have exercised the derogation in Article 499 (3) of the Regulation (EU) No 575/2013, as end of quarter leverage ratio.
3. Institutions are required to report the information referred to in paragraph 22 of Part II of Annex XI in the next reporting period, if one of the following conditions is met:
(a) the derivatives share referred to in paragraph 15 of Part II of Annex XI is more than 1,5 %;
(b) the derivatives share referred to in paragraph 15 of Part II of Annex XI exceeds 2,0 %.The entry criteria of Article 4 shall apply, except for point (b) where institutions shall start reporting information from the next reporting reference date where they have exceeded the threshold on one reporting reference date
4. Institutions for which the total notional value of derivatives as defined in paragraph 17 of Part II of Annex XI exceeds 10 billion € shall report the information referred to in paragraph 22 of Part II of Annex XI, even though their derivatives share does not fulfil the conditions described in paragraph 3.The entry criteria of Article 4 shall not apply for paragraph 4. Institutions shall start reporting information from the next reporting reference date where they have exceeded the threshold on one reporting reference date.
5. Institutions are required to report the information referred to in paragraph 23 of Part II of Annex XI in the next reporting period where one of the following conditions is met:
(a) the credit derivatives volume referred to in paragraph 18 of Part II of Annex XI is more than EUR 300 million;
(b) the credit derivatives volume referred to in paragraph 18 of Part II of Annex XI exceeds EUR 500 million.The entry criteria of Article 4 shall apply, except for point (b) where institutions shall start reporting information from the next reporting reference date where they have exceeded the threshold on one reporting reference date.
6. Where the threshold that is specified in paragraph 39 of Part II of Annex XI is in all cases not met, institutions shall be exempted from the requirement to report information as specified in paragraph 40 of Part II of Annex XI.
CHAPTER 7
Article 15 

1. In order to report information on the liquidity coverage requirement according to Article 415 of Regulation (EU) No 575/2013 on an individual and consolidated basis, institutions shall submit the information specified in Annex XII according to the instructions in Annex XIII with a monthly frequency.
2. The information set out in Annex XII shall take into account the information submitted for the reference date and the information on the cash-flows of the institution over the following 30 calendar days.
Article 16 
In order to report information on the stable funding according to Article 415 of Regulation (EU) No 575/2013 on an individual and consolidated basis, institutions shall submit the information specified in Annex XII according to the instructions in Annex XIII with a quarterly frequency.
CHAPTER 8
Article 17 

1. Institutions shall submit the information referred to in this Regulation in the data exchange formats and representations specified by competent authorities, respecting the data point definition included in the data point model specified in Annex XIV and the validation formulae specified in Annex XV as well as the following specifications:
(a) information that is not required or not applicable shall not be included in a data submission;
(b) numeric values shall be submitted as facts according to the following:
((a)) data points with the data type ‘Monetary’ shall be reported using a minimum precision equivalent to thousands of units;
((b)) data points with the data type ‘Percentage’ shall be expressed as per unit with a minimum precision equivalent to four decimals;
((c)) data points with the data type ‘Integer’ shall be reported using no decimals and a precision equivalent to units.
2. The data submitted by the institutions shall be associated with the following information:
(a) reporting reference date and reference period;
(b) reporting currency;
(c) accounting standard;
(d) identifier of the reporting institution;
(e) level of application as individual or consolidated.
CHAPTER 9
Article 18 
The remittance date for data with a quarterly reporting frequency relating to the reference date 31 March 2014 for information to be reported shall be 30 June 2014 at the latest.
For the period from 31 March 2014 to 30 April 2014 as a deviation from point (a) of Article 3(1) the reporting remittance date relating to monthly reporting shall be 30 June 2014.
For the period from 31 May 2014 to 31 December 2014 as a deviation from point (a) of Article 3(1) the reporting remittance date relating to monthly reporting shall be the thirtieth calendar day after the reporting reference date
Article 19 
This Regulation shall enter into force on the day following that of its publication in the Official Journal of the European Union.
This Regulation shall apply from 1 January 2014.
Articles 9, 10 and 11 shall apply from 1 July 2014.
Article 15 shall apply from 1 March 2014.
This Regulation shall be binding in its entirety and directly applicable in all Member States.Done at Brussels, 16 April 2014.
For the Commission
The President
José Manuel BARROSO
ANNEX I













 Amount
010
010 Own fund requirements for credit risk 
















ANNEX II

PART I: GENERAL INSTRUCTIONS
1.  1.1.  1. 

a)) Capital adequacy, an overview of regulatory capital; total risk exposure amount;
b)) Group solvency, an overview of the fulfilment of the solvency requirements by all individual entities included in the scope of consolidation of the reporting entity
c)) Credit risk (including counterparty, dilution and settlement risks);
d)) Market risk (including position risk in trading book, foreign exchange risk, commodities risk and CVA risk);
e)) Operational risk.
 2. For each template legal references are provided. Further detailed information regarding more general aspects of the reporting of each block of templates, instructions concerning specific positions as well as examples and validation rules are included in these Guidelines for implementation of the Common Reporting framework.
 3. Institutions report only those templates that are relevant depending on the approach used for determining own funds requirements.
 1.2.  4. The document follows the labelling convention set in the following table, when referring to the columns, rows and cells of the templates. These numerical codes are extensively used in the validation rules.
 5. The following general notation is followed in the instructions: {Template;Row;Column}.
 6. In the case of validations inside a template, in which only data points of that template is used, notations do not refer to a template: {Row;Column}.
 7. In the case of templates with only one column, only rows are referred to. {Template;Row}
 8. An asterisk sign is used to express that the validation is done for the rows or columns specified before.
 1.3.  9. Any amount that increases the own funds or the capital requirements shall be reported as a positive figure. On the contrary, any amount that reduces the total own funds or the capital requirements shall be reported as a negative figure. Where there is a negative sign (-) preceding the label of an item no positive figure is expected to be reported for that item.

PART II: TEMPLATE RELATED INSTRUCTIONS
1.  1.1.  10. 

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. 

a)) The items in CA1 are generally gross of transitional adjustments. This means that figures in CA1 items are calculated according to the final provisions (i.e. as if there were no transitional provisions), with the exception of items summarizing the effect of the transitional provisions. For each type of capital (i.e. CET1; AT1 and T2) there are three different items in which all the adjustments due to transitional provisions are included.
b)) Transitional provisions may also affect the AT1 and the T2 shortfall (i.e. AT1 or T2 the excess of deduction, regulated in articles 36(1) point (j) and 56 point (e) of CRR respectively), and thus the items containing these shortfalls may indirectly reflect the effect of transitional provisions.
c)) Template CA5 is exclusively used for reporting the transitional provisions.
 14. 

a)) The templates CA1, CA2 or CA5 only contain data on Pillar I issues.
b)) The template CA3 contains the impact of additional Pillar II-requirements on the solvency ratio on an aggregated basis. One block focuses on the impact of amounts on the ratios, whereas the other block focuses on the ratio itself. Both blocks of ratios do not have any further link to the templates CA1, CA2 or CA5.
c)) The template CA4 contains one cell regarding additional own funds requirements relating to Pillar II. This cell has no link via validation rules to the capital ratios of the CA3 template and reflects Article 104 (2) CRD which explicitly mentions additional own funds requirements as one possibility for Pillar II decisions.
 1.2.  1.2.1. 
 1.3.  1.3.1. 
 1.4.  1.4.1. 
Rows
010  1 
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 
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 
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 
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 
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 
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 
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 
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 
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 
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 
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 
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.  1.5.1. 
 1.6.  1.6.1.  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. 

a.. Template 5.1 summarizes the total adjustments which need to be made to the different components of own funds (reported in CA1 according to the final provisions) as a consequence of the application of the transitional provisions. The elements of this table are presented as ‘adjustments’ to the different capital components in CA1, in order to reflect in own funds components the effects of the transitional provisions.
b.. Template 5.2 provides further details on the calculation of those grandfathered instruments which do not constitute state aid.
 17. Institutions shall report in the first four columns the adjustments to Common Equity Tier 1 capital, Additional Tier 1 capital and Tier 2 capital as well as the amount to be treated as risk weighted assets. Institutions are also required to report the applicable percentage in column 050 and the eligible amount without the recognition of transitional provisions in column 060.
 18. Institutions shall only report elements in CA5 during the period where transitional provisions in accordance with Part Ten of CRR apply.
 19. Some of the transitional provisions require a deduction from Tier 1. If this is the case the residual amount of a deduction or deductions is applied to Tier 1 and there is insufficient AT1 to absorb this amount then the excess shall be deducted from CET1.
 1.6.2.  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. 
Columns
010 Adjustments to CET1
020 Adjustments to AT1
030 Adjustments to T2
040 
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 
Column 060 includes the amount of each instrument prior the application of transitional provisions. I.e. the basis amount relevant to calculate the adjustments.

 1.6.3.  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. 
Columns
010 
Article 484 (3) to (5) of CRR

Instruments which are eligible for each respective row, including their related share premiums.

020 
Articles 486 (2) to (4) of CRR

030 
Article 486 (5) of CRR

040 
Article 486 (2) to (5) of CRR

050 
Article 486 (2) to (5) of CRR

060 
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. 
Article 484(3) of CRR

The amount to be reported shall include the related share premium accounts.

020  2. 
Article 484(4) of CRR

030  2.1 
Article 489 of CRR

The amount to be reported shall include the related share premium accounts.

040  2.2 
Article 489 of CRR

050  2.2.1 
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 
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 
Articles 489(6) and 491 point (c) of CRR

The amount to be reported shall include the related share premium accounts

080  2.3 
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. 
Article 484(5) of CRR

100  3.1 
Article 490 of CRR

110  3.2 
Article 490 of CRR

120  3.2.1 
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 
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 
Articles 490(6) and 491 point (c) of CRR

The amount to be reported shall include the related share premium accounts.

150  3.3 
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.  2.1.  27. 

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.  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.  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. 

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.  3.1.  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.  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.  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.  3.2.1.  47. 

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.  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. 

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. 

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. 

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.  58. 

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. 

1.. Securitisation positions;
2.. Items associated with particular high risk;
3.. Equity exposures
4.. Exposures in default;
5.. Exposures in the form of units or shares in collective investment undertakings (‘CIU’)/ Exposures in the form of covered bonds (disjoint exposure classes);
6.. Exposures secured by mortgages on immovable property;
7.. Other items;
8.. Exposures to institutions and corporates with a short-term credit assessment;
9.. All other exposure classes (disjoint exposure classes) which include Exposures to central governments or central banks; Exposures to regional governments or local authorities; Exposures to public sector entities; Exposures to multilateral development banks; Exposures to international organisations; Exposures to institutions; Exposures to corporate and Retail exposures.
 65. In the case of exposures in the form of units or shares in collective investment undertakings and where the look through approach (Article 132 (3) to (5) of CRR) is used, the underlying individual exposures shall be considered and classified into their corresponding risk weight line according to their treatment, but all the individual exposures shall be classified within the exposure class of exposures in the form of units or shares in collective investment undertakings (‘CIU’).
 66. In the case of ‘nth’ to default credit derivatives specified in Article 134 (6) of CRR, if they are rated, they shall be directly classified as securitisation positions. If they are not rated, they shall be considered in the ‘Other items’ exposure class. In this latter case the nominal amount of the contract shall be reported as the Original exposure pre conversion factors in the line for ‘Other risk weights’ (the risk weight used shall be that specified by the sum indicated under Article 134 (6) of CRR.
 67. In a second step, as a consequence of credit risk mitigation techniques with substitution effects, exposures shall be reallocated to the exposure class of the protection provider.
 3.2.4.  3.2.4.1.  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.  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.  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. 

 3.3.  3.3.1.  74. 

i.. Credit risk in the banking book, among which:

— Counterparty credit risk in the banking book;
— Dilution risk for purchased receivables;
ii.. Counterparty credit risk in the trading book;
iii.. Free deliveries resulting from all business activities..
 75. The scope of the template refers to the exposures for which the risk weighted exposure amounts are calculated according to Articles 151 to 157 Part Three Title II Chapter 3 CRR (IRB approach).
 76. 

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. 
‘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.  78. 

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.  3.3.3.1 

Rows Instructions
010 
020-060 BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:
020 
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 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 
040 
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 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 
See CR SA instructions

070 
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 
Article 153 (5) of CRR. This only applies to the corporates, institutions and central governments and central banks exposure classes.

090-150 
120 
Article 153 (5) table 1 of CRR.

160 
Articles 193 (1) and (2), 194 (1) to (7) and 230 (3) of CRR.

170 
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 
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. 
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.  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.  3.4.1.1. 
Columns
010 
Same definition as for column 010 of CR SA template

020 
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 
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 
Credit risk adjustments according to Article 110 of CRR.

055 
Credit risk adjustments according to Article 110 of CRR.

060 
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 
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 
Same definition as for column 200 of CR SA template

080 
Same definition as for column 215 of CR SA template

090 
Same definition as for column 220 of CR SA template

Rows
010 
Article 112 point (a) of CRR.

020 
Article 112 point (b) of CRR.

030 
Article 112 point (c) of CRR.

040 
Article 112 point (d) of CRR.

050 
Article 112 point (e) of CRR.

060 
Article 112 point (f) of CRR.

070 
Article 112 point (g) of CRR.

075 
Same definition as for row 020of CR SA template

080 
Article 112 point (h) of CRR.

085 
Same definition as for row 020of CR SA template

090 
Article 112 point (i) of CRR.

095 
Same definition as for row 020of CR SA template

100 
Article 112 point (j) of CRR.

110 
Article 112 point (k) of CRR.

120 
Article 112 point (l) of CRR.

130 
Article 112 point (n) of CRR.

140 
Article 112 point (o) of CRR.

150 
Article 112 point (p) of CRR.

160 
Article 112 point (q) of CRR.
 3.4.2.  3.4.2.1. 
Columns
010 
Same definition as for column 020 of CR IRB template

030 
Original exposure value for those exposures which have been classified as ‘defaulted exposures’ according to CRR article 178.

040 
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 
Credit risk adjustments according to Article 110of CRR..

055 
Credit risk adjustments according to Article 110 of CRR.

060 
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 
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 
Same definition as for column 010 of CR IRB template

090 
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 
Exposure weighted LGD for those exposures which have been classified as ‘defaulted exposures’ according to Article 178 of CRR.

105 
Same definition as for column 110 of CR IRB template.

110 
Same definition as for column 255 of CR IRB template

120 
Risk weighted exposure amount for those exposures which have been classified as ‘defaulted exposures’ according to Article 178 of CRR.

125 
Same definition as for column 260 of CR IRB template

130 
Same definition as for column 280 of CR IRB template

Rows
010 
(Article 147 (2) (a) CRR)

020 
(Article 147 (2) point (b) CRR)

030 
(All corporates according to article 147 (2) point (c).)

040 
(Article 147 (8) a CRR)

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

050 
(Article 147 (2) point (c) CRR)

060 
All Retail exposures according to Article 147 (2) point (d)

070 
Exposures reflecting Article 147 (2) point (d) CRR which are secured by real estate.

080 
Retail exposures reflecting Article 147 (2) point (d) in conjunction with Article 153 (3) CRR which are secured by real estate.

090 
Retail exposures reflecting Article 147 (2) point (d) CRR which are secured by real estate.

100 
(Article 147 (2) point (d) in conjunction with Article 154 (4) CRR).

110 
Other retail exposures according to Article 147 (2) point (d) not reported in rows 070 — 100.

120 
Other retail exposures reflecting Article 147 (2) point (d) in conjunction with Article 153 (3) CRR.

130 
Other retail exposures reflecting Article 147 (2) point (d) CRR.

140 
Equity exposures reflecting Article 147 (2) point (e) CRR.
 3.4.3.  3.4.3.1.  82. 

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. 
Rows
010 
Part Three, Title II of the CRR
 3.5.  3.5.1.  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. 

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. 

— 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. 

— 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. 
Columns
010  INTERNAL RATING SYSTEM 
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 
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 
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 
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 
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 
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 
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 
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. 
Rows
CR EQU IRB 1 — row 020 
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 
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 
Institutions applying the Internal Models approach (Article 155(4) of CRR) report the requested information in row 100.

CR EQU IRB 1 — row 110 
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 
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.  3.6.1.  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. 
Columns
010 
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 
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 
Institutions report in column 030 the own funds requirements calculated in accordance with Article 378 of CRR.

040 
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 
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 %) 
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 
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 %) 
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.  3.7.1.  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. 
 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. 
Rows
010 
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 
Total amount of outstanding re-securitisations according to definitions in Article 4(1)(63) and (64) of CRR.

030 
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 
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 
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 
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 
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 
The same criteria of classification among securitisations and re-securitisations used for on-balance sheet items for originators shall be applied here.

150-170 
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 
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 
The same criteria of classification among securitisations and re-securitisations used for on-balance sheet items for originators shall be applied here.

220-240 
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 
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.  3.8.1.  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. 
 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 refer to the total amount of outstanding securitisations. This row summarizes all the information reported by originators, sponsors and investors in subsequent rows.

020 
Total amount of outstanding re-securitisations according to definitions in Article 4(1)(63) and (64) of CRR.

030 
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 
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 
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 
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 
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 
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 
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 
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 
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 
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 
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.  3.9.1.  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. 

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

4.  4.1.  4.1.1.  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. 
Columns
010-030 
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 
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 
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 
Article 92 (4) of CRR. Own funds requirements in column 070 multiplied by 12.5.

080 
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 
090 
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 
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 
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 
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 
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 
The own funds requirement calculated according to the TSA and ASA (Articles 317 to 319 of CRR) shall be reported.

030-100 
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 
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 
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.  4.2.1.  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. 

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. 
Columns
010-070 
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 
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 
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 
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 
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 

— 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.  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.  5.1.1.  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. 
Columns
010-020 
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 
Articles 327 to 329 and 334 of CRR. Regarding the distinction between Long and Short positions see Article 328 (2) of CRR.

050 
Those net positions that, according to the different approaches considered in Part 3 Title IV Chapter 2 of CRR, receive a capital charge.

060 
The capital charge for any relevant position according to Part 3 Title IV Chapter 2 of CRR.

070 
Article 92 (4) lit. b of CRR. Result of the multiplication of the own funds requirements by 12.5.

Rows
010-350 
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 
012 DerivativesDerivatives 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 liabilitiesInstruments other than derivatives included in the calculation of interest rate risk of trading book positions.
020-200 
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 
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 
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 
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 
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 
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 
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.  5.2.1.  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. 
Columns
010-020 
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 
Article 258 of CRR.

050-060 
Articles 327 to 329 and 334 of CRR. Regarding the distinction between Long and Short positions see Article 328 (2) of CRR.

070-520 
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 
Articles 251 (Table 1) and 261 (1) (Table 4) of CRR.

250-260 and 480-490 
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 
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 
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 
Article 337 (3) of CRR in connection with Article 407 of CRR. Article 13 (2) of CRR

550-570 
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 
Article 337 of CRR taking into account the discretion of Article 335 of CRR.

610 
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 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 
Article 4 (38) of CRR.

020, 050, 80 and 110 
Article 4 (39) and (40) of CRR.

030-050 
Article 4 (41) of CRR

060-080 
Credit institution that holds a securitisation positions in a securitisation transaction for which it is neither originator nor sponsor

090-110 
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 
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.  5.3.1.  132. This template requests information on positions of the CTP (comprising securitisations, nth-to-default credit derivatives and other CTP positions included according to Article 338 (3)) and the corresponding own funds requirements under the standardised approach.
 133. The MKR SA CTP template determines the own funds requirement only for the specific risk of positions assigned to the Correlation Trading Portfolio according to Articles 335 in connection with 338 (2) and (3) of CRR. If CTP- positions of the trading book are hedged by credit derivatives, Articles 346 and 347 CRR apply. There is only one template for all CTP-positions of the trading book, irrespective of the fact whether the institution uses the Standardised Approach or the Internal Ratings Based Approach to determine the risk weight for each of the positions according to Part Three Title II Chapter 5 of CRR. The reporting of the own funds requirements of the general risk of these positions is conducted in the MKR SA TDI or the MKR IM template.
 134. This structure of the template separates securitisation positions, n-th to default credit derivatives and other CTP-positions. As a result, securitisation positions shall always be reported in rows 030, 060 or 090 (depending on the role of the institution in the securitisation). N-th to default credit derivatives shall always be reported in line 110. The ‘other CTP-positions’ are neither securitisation positions nor n-th to default credit derivatives (see definition in Article 338 (3) CRR), but they are explicitly ‘linked’ (because of the hedging intent) to one of these two positions. That is why they are assigned either under the sub-heading ‘securitisation’ or ‘n-th to default credit derivative’.
 135. Positions which receive a risk weight of 1.250 % can alternatively be deducted from CET1 (see 243(1) point (b), 244(1) point (b) and 258 of CRR). If this is the case, those positions have to be reported in row 460 of CA1.
 5.3.2. 
Columns
010-020 
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 
Article 258 of CRR.

050-060 
Articles 327 to 329 and 334 of CRR. Regarding the distinction between Long and Short positions see Article 328 (2) of CRR.

070-400 
Articles 251 (Table 1) and 261 (1) (Table 4) of CRR.

160 and 330 
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 
Articles 251 (Table 1) and 261 (1) (Table 4) of CRR.

190-200 and 340-350 
Article 337 (2) of CRR in connection with Article 262 of CRR.

210/380 
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 
Article 259 (3) and (4) of CRR.

410-420 
Article 338 without taking into account the discretion of Article 335 of CRR.

430-440 
Article 338 taking into account the discretion of Article 335 of CRR.

450 
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 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 
Article 4 (41) of CRR

050-070 
Credit institution that holds a securitisation positions in a securitisation transaction for which it is neither originator nor sponsor

080-100 
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 
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 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 
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.  5.4.1.  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. 
Columns
010-020 
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 
Articles 327, 329, 332, 341 and 345 of CRR.

050 
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 
The capital charge for any relevant position according to Part 3 Title IV Chapter 2 of CRR.

070 
Article 92 (4) lit. b of CRR. Result of the multiplication of the own funds requirements by 12.5.

Rows
010-130 
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 
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 included in the calculation of equity risk of trading book positions taking into account Articles 329 and 332, if applicable.

022 
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 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 positions in equities subject to specific risk and the correspondent own funds requirements according to Article 343 and 344 (3) of CRR.

050 
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 
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.  5.5.1.  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. 
Columns
010 
The three-letter currency unit code according to ISO 4217 shall be reported under the block Memorandum of items (currency 6 onwards).

020-030 
Gross positions due to assets, amounts to be received and similar items referred to in Article 352 (1) of CRR.

040-050 
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 
Articles 352 (2) and (4), 353 and 354 of CRR.

060-070 
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 
Matched positions for closely correlated currencies

 
As defined in Articles 351 and 354, the risk capital charges in percentage.

090 
The capital charge for any relevant position according to Part 3 Title IV Chapter 3 of CRR.

100 
Article 92 (4) lit. b of CRR. Result of the multiplication of the own funds requirements by 12.5.

Rows
010 
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 
Positions and their correspondent own funds requirements for currencies referred to in Article 354 of CRR.

030 
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 
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 
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 
Total positions shall be broken down according to derivatives, other assets and liabilities and off-balance sheet items.

100 
Positions not included in row 110 or 120 shall be included here.

110 
Items included in Annex I of CRR except those included as Securities Financing Transactions & Long Settlement Transactions or from Contractual Cross Product Netting.

120 
Positions valued according to Articles 352 CRR.

130-410 
The memorandum items of the template shall be filled out separately for All currencies of the member states of the European Union and the following currencies: USD, CHF, JPY, RUB, TRY, AUD, CAD, RSD, ALL, UAH, MKD, EGP, ARS, BRL, MXN, HKD, ICK, TWD, NZD, NOK, SGD, KRW, CNY and all other currencies.
 5.6.  5.6.1.  140. This template request information on the positions in commodities and the corresponding own funds requirements treated under the standardised approach.
 5.6.2. 
Columns
010-020 
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 
As defined in Article 357 (4) of CRR.

050 
Those net positions that, according to the different approaches considered in Part 3 Title IV Chapter 4 of CRR, receive a capital charge.

060 
The capital charge for any relevant position according to Part 3 Title IV Chapter 4 of CRR.

070 
Article 92 (4) lit. b of CRR. Result of the multiplication of the own funds requirements * 12.5.

Rows
010 
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 
For reporting purposes commodities are grouped in the four main groups of commodities referred to in Table 2 of Article 361 CRR.

070 
Positions in commodities subject to the Maturity Ladder approach as referred to in Article 359 of CRR.

080 
Positions in commodities subject to the Extended Maturity Ladder approach as referred to in Article 361 of CRR

090 
Positions in commodities subject to the Simplified approach as referred to in Article 360 of CRR.

100-140 
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.  5.7.1.  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. 
columns
030-040 
It means the maximum potential loss that would result from a price change with a given probability over a specified time horizon.

030 
Articles 364 (1) point a) (ii) and 365 (1) of CRR.

040 
Articles 364 (1) point a) (i) and 365 (1) of CRR.

050-060 
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 
Articles 364 (1) point b) (ii) and 365 (1) of CRR.

060 
Articles 364 (1) point b) (i) and 365 (1) of CRR.

070-080 
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 
Article 364 (2) point b) (ii) in connection with Part Three Title IV Chapter 5 Section 4 of CRR.

080 
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 
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 
Article 364 (3) point (b).

110 
Article 364 (3) point (a)

120 
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 
Article 92 (4) lit. b of CRR. Result of the multiplication of the own funds requirements * 12.5.

140 
Referred to in Article 366 of CRR.

150-160 
As referred to in Article 366 of CRR.

170-180 
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 
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 
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 
General risk defined in Article 362 of CRR.

040 
Specific risk defined in Article 362 of CRR.

050 
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 
General risk defined in Article 362 of CRR.

070 
Specific risk defined in Article 362 of CRR.

080 
Articles 363 (1) and 367 (2) of CRR.

090 
Articles 363 (1) and 367 (2) of CRR.

100 
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 
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.  5.8.1. 
Columns
010 
Article 271 of CRR in accordance with article 382 of CRR

Total EAD from all transactions subject to CVA charge

020 
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 
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 
Article 383 of CRR in accordance with article 363 (1)(d) of CRR

VaR calculation based on internal models for market risk

050 
See instructions referring to column 040

060 
See instructions referring to column 040

070 
See instructions referring to column 040

080 
Article 92 (3) d) of CRR

Own funds requirements for CVA Risk calculated via the chosen method

090 
Article 92 (4) b) of CRR

Own funds requirements multiplied by 12,5.

 
100 
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 
number of counterparties where the credit spread was determined using a proxy instead of directly observed market data

120 
Accounting provisions due to decreased credit worthiness of derivatives counterparties

130 
Article 386 (1) lit. a of CRR

Total notional amounts of single name CDS used as hedge for CVA risk

140 
Article 386 (1) lit. b) of CRR

Total notional amounts of index CDS used as hedge for CVA risk

Rows
010 
Sum of rows 020-040 as applicable

020 
Advanced CVA risk method as prescribed by Article 383 of CRR

030 
Standardised CVA risk method as prescribed by Article 384 of CRR

040 
Amounts subject to the application of Art. 385 of CRR

ANNEX III

1.  1.1 
 1.2 
 1.3 

2. 

3. 

4.  4.1 
 4.2 
 4.3 
 4.4 
 4.5 
 References Carrying amount
010
010 Loans and advances Annex V.Part 1.24, 27 
020 Debt securities Annex V.Part 1.24, 26 
030 SUBORDINATED [FOR THE ISSUER] FINANCIAL ASSETS Annex V.Part 2.40, 54 
5. 

6. 

7. 

8.  8.1 
 8.2. 
 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.  9.1 
 9.2 

10. 

11.  11.1 

12. 

13.  13.1 
 13.2 
 References Carrying amount
010
010 Non-current assets held-for-sale IFRS 7.38(a) 
020 Property, plant and equipment IFRS 7.38(a) 
030 Investment property IFRS 7.38(a) 
040 Equity and debt instruments IFRS 7.38(a) 
050 Other IFRS 7.38(a) 
060 Total   13.3 
 References Carrying amount
010
010 Foreclosure [tangible assets] IFRS 7.38(a); Annex V.Part 2.84 
14. 

15. 

16.  16.1 
 16.2 
 References Current period
010
010 Equity instruments IAS 32.11 
020 Debt securities Annex V.Part 1.26 
030 Loans and advances Annex V.Part 1.27 
040 Deposits ECB/2008/32 Annex 2.Part 2.9 
050 Debt securities issued Annex V.Part 1.31 
060 Other financial liabilities Annex V.Part 1.32-34 
070 GAINS OR (-) LOSSES ON DERECOGNITION OF FINANCIAL ASSETS AND LIABILITIES NOT MEASURED AT FAIR VALUE THROUGH PROFIT OR LOSS, NET IFRS 7.20(a)(v-vii); IAS 39.55(a)  16.3 
 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. 
 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 
 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 
 References Current period
010
010 Fair value changes of the hedging instrument [including discontinuation] IFRS 7.24(a)(i) 
020 Fair value changes of the hedged item attributable to the hedged risk IFRS 7.24(a)(ii) 
030 Ineffectiveness in profit or loss from cash flow hedges IFRS 7.24(b) 
040 Ineffectiveness in profit or loss from hedges of net investments in foreign operations IFRS 7.24(c) 
050 GAINS OR (-) LOSSES FROM HEDGE ACCOUNTING, NET IFRS 7.24  16.7 

17.  17.1 
 17.2 
 References Accounting scope of consolidation [Nominal amount]
010
010 Loan commitments given IAS 39.2(h), 4(a)(c), BC 15; CRR Annex I; Annex V.Part 2.56, 57 
020 Financial guarantees given IAS 39.9 AG 4, BC 21; IFRS 4 A; CRR Annex I; Annex V.Part 2.56, 58 
030 Other Commitments given CRR Annex I; Annex V.Part 2.56, 59 
040 OFF-BALANCE SHEET EXPOSURES   17.3 

18. 
19. 
20.  20.1 
 20.2 
 20.3 
 20.4 
 20.5 
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 
 20.7 

21. 
 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.  22.1 
 22.2 

30.  30.1 
 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 

31.  31.1 
 31.2 

40.  40.1 
 40.2 
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.  41.1 
 41.2 
 41.3 
 Rest of separable hybrid contracts [not designated at fair value through profit or loss] References Carrying amount
FINANCIAL ASSETS 010
010 Financial assets held for trading IAS 39.9; Annex V.Part 2.129 
020 Available-for-sale [Host contracts] IAS 39.11; Annex V.Part 2.130 
030 Loans and receivables [Host contracts] IAS 39.11; Annex V.Part 2.130 
040 Held-to-maturity investments [Host contracts] IAS 39.11; Annex V.Part 2.130 
FINANCIAL LIABILITES  
050 Financial liabilities held for trading IAS 39.9; Annex V.Part 2.129 
060 Financial liabilities measured at amortized cost [Host contracts] IAS 39.11; Annex V.Part 2.130 
42. 
 References Carrying amount
010
010 Property plant and equipment IAS 16.6; IAS 16.29; IAS 1.54(a) 
020 Revaluation model IAS 16.31, 73(a),(d) 
030 Cost model IAS 16.30, 73(a),(d) 
040 Investment property IAS 40.5, 30; IAS 1.54(b) 
050 Fair value model IAS 40,33-55, 76 
060 Cost model IAS 40.56, 79(c) 
070 Other intangible assets IAS 38.8, 118, 122 ; Annex V.Part 2.132 
080 Revaluation model IAS 38.75-87, 124(a)(ii) 
090 Cost model IAS 38.74 
43. 

44.  44.1 
 References Amount
010
010 Fair value of defined benefit plan assets IAS 19.140(a)(i), 142 
020 Of which: Financial instruments issued by the institution IAS 19.143 
030 Equity instruments IAS 19.142(b) 
040 Debt instruments IAS 19.142(c) 
050 Real estate IAS 19.142(d) 
060 Other defined benefit plan assets  
070 Present value of defined benefit obligations IAS 19.140(a)(ii) 
080 Effect of the asset ceiling IAS 19.140(a)(iii) 
090 Net defined benefit assets [Carrying amount] IAS 19.63; Annex V.Part 2.136 
100 Provisions for pensions and other post-employment defined benefit obligations [Carrying amount] IAS 19.63, IAS 1.78(d); Annex V.Part 2.7 
110 Memo item: Fair value of any right to reimbursement recognised as an asset IAS 19.140(b)  44.2 
 44.3 
 References Current period
010
010 Pension and similar expenses Annex V.Part 2.139(a) 
020 Share based payments IFRS 2.44; Annex V.Part 2.139(b) 
45.  45.1 
 References Current period Changes in fair value due to credit risk
010 020
010 Financial assets designated at fair value through profit or loss IFRS 7.20(a)(i); IAS 39.55(a)  
020 Financial liabilities designated at fair value through profit or loss IFRS 7.20(a)(i); IAS 39.55(a)  
030 GAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES AT FAIR VALUE THROUGH PROFIT OR LOSS IFRS 7.20(a)(i)   45.2 
 References Current period
010
020 Investment property IAS 40.69; IAS 1.34(a), 98(d) 
030 Intangible assets IAS 38.113-115A; IAS 1.34(a) 
040 Other assets IAS 1.34 (a) 
050 GAINS OR (-) LOSSES ON DERECOGNITION OF NON-FINANCIAL ASSETS IAS 1.34  45.3 
 References Income Expenses
010 020
010 Changes in fair value in tangible assets measured using the fair value model IAS 40.76(d); Annex V.Part 2.141  
020 Investment property IAS 40.75(f); Annex V.Part 2.141  
030 Operating leases other than investment property IAS 17.50, 51, 56(b); Annex V.Part 2.142  
040 Other Annex V.Part 2.143  
050 OTHER OPERATING INCOME OR EXPENSES Annex V.Part 2.141-142  
46. 

ANNEX IV

1.  1.1 
 1.2 
 1.3 

2. 

3. 

4.  4.1 
 4.2 
 4.3 
 4.4 
 4.5 
 References National GAAP based on BAD References National GAAP compatible IFRS Carrying amount
010
010 Loans and advances Annex V.Part 1.24, 27 Annex V.Part 1.24, 27 
020 Debt securities Annex V.Part 1.24, 26 Annex V.Part 1.24, 26 
030 SUBORDINATED [FOR THE ISSUER] FINANCIAL ASSETS Annex V.Part 2.40, 54 Annex V.Part 2.40, 54  4.6 
 4.7 
 4.8 
 4.9 
 4.10 

5. 

6. 

7. 

8.  8.1 
 8.2 
 References National GAAP References National GAAP compatible IFRS Carriyng amount
Designated at fair value through profit or loss At amortized cost At a cost-based method
IFRS 7.8(e)(i); IAS 39.9 IFRS 7.8(f); IAS 39.47 
4th Directive art 42a(1), (5a); IAS 39.9 4th Directive art 42a(3), (5a); IAS 39.47 4th Directive art 42a(3)
010 020 030
010 Deposits ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30   
020 Debt securities issued Annex V.Part 1.31 Annex V.Part 1.31   
030 SUBORDINATED FINANCIAL LIABILITIES Annex V.Part 2.53-54 Annex V.Part 2.53-54   
9.  9.1 
 9.2 

10. 

11.  11.1 
 11.2 

12. 

13.  13.1 
 13.2 
 References National GAAP based on BAD References National GAAP compatible IFRS Carrying amount
010
010 Non-current assets held-for-sale  IFRS 7.38(a) 
020 Property, plant and equipment  IFRS 7.38(a) 
030 Investment property  IFRS 7.38(a) 
040 Equity and debt instruments  IFRS 7.38(a) 
050 Other  IFRS 7.38(a) 
060 Total    13.3 
 References National GAAP based on BAD References National GAAP compatible IFRS Carrying amount
010
010 Foreclosure [tangible assets] Annex V.Part 2.84 IFRS 7.38(a); Annex V.Part 2.84 
14. 

15. 

16.  16.1 
 16.2 
 References National GAAP based on BAD References National GAAP compatible IFRS Current period
010
010 Equity instruments ECB/2008/32 Annex 2.Part 2.4-5 IAS 32.11 
020 Debt securities Annex V.Part 1.26 Annex V.Part 1.26 
030 Loans and advances Annex V.Part 1.27 Annex V.Part 1.27 
040 Deposits ECB/2008/32 Annex 2.Part 2.9 ECB/2008/32 Annex 2.Part 2.9 
050 Debt securities issued Annex V.Part 1.31 Annex V.Part 1.31 
060 Other financial liabilities Annex V.Part 1.32-34 Annex V.Part 1.32-34 
070 GAINS OR (-) LOSSES ON DERECOGNITION OF FINANCIAL ASSETS AND LIABILITIES NOT MEASURED AT FAIR VALUE THROUGH PROFIT OR LOSS, NET BAD art 27.Vertical layout(6) IFRS 7.20(a)(v-vii); IAS 39.55(a)  16.3 
 16.4 
 16.5 
 16.6 
 References National GAAP based on BAD References National GAAP compatible IFRS Current period
010
010 Fair value changes of the hedging instrument [including discontinuation] 4th Directive art 42a(1), (5a); art 42c(1)(a) IFRS 7.24(a)(i) 
020 Fair value changes of the hedged item attributable to the hedged risk 4th Directive art 42a(1), (5a); art 42c(1)(a) IFRS 7.24(a)(ii) 
030 Ineffectiveness in profit or loss from cash flow hedges 4th Directive art 42a(1), (5a); art 42c(1)(a) IFRS 7.24(b) 
040 Ineffectiveness in profit or loss from hedges of net investments in foreign operations 4th Directive art 42a(1), (5a); art 42c(1)(a) IFRS 7.24(c) 
050 GAINS OR (-) LOSSES FROM HEDGE ACCOUNTING, NET 4th Directive art 42a(1), (5a), art 42c(1)(a) IFRS 7.24  16.7 

17.  17.1 
 17.2 
 References National GAAP based on BAD References National GAAP compatible IFRS Accounting scope of consolidation [Nominal amount]
010
010 Loan commitments given CRR Annex I; Annex V.Part 2.56, 57 IAS 39.2(h), 4(a)(c), BC 15; CRR Annex I; Annex V.Part 2.56, 57 
020 Financial guarantees given CRR Annex I; Annex V.Part 2.56, 58 IAS 39.9 AG 4, BC 21; IFRS 4 A; CRR Annex I; Annex V.Part 2.56, 58 
030 Other Commitments given CRR Annex I; Annex V.Part 2.56, 59 CRR Annex I; Annex V.Part 2.56, 59 
040 OFF-BALANCE SHEET EXPOSURES    17.3 

18. 
19. 
20.  20.1 
 20.2 
 20.3 
 20.4 

z-axis 20.5 

z-axis References National GAAP based on BAD References National GAAP compatible IFRS 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 CRR Annex I; Annex V.Part 2.56, 57 IAS 39.2(h), 4(a)(c), BC 15; CRR Annex I; Annex V.Part 2.56, 57   
020 Financial guarantees given CRR Annex I; Annex V.Part 2.56, 58 IAS 39.9 AG 4, BC 21; IFRS 4 A; CRR Annex I; Annex V.Part 2.56, 58   
030 Other Commitments given CRR Annex I; Annex V.Part 2.56, 59 CRR Annex I; Annex V.Part 2.56, 59    20.6 

z-axis 20.7 

z-axis
21. 

22.  22.1 
 22.2 

30.  30.1 
  References National GAAP compatible IFRS Carrying amount offinancial assets recognisedin the balance sheet Of which: liquiditysupport drawn Fair value of liquiditysupport drawn Carrying amount offinancial liabilitiesrecognised in thebalance sheet Nominal amount ofoff-balance sheet itemsgiven by the reporting-institution Of which: Nominalamount of loancommitments given Losses incurred by thereporting institutionin 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 

31.  31.1 
 31.2 

40.  40.1 
 40.2. 
Security code Entity code Holding company LEI code Holding company code Holding company name Accumulated equity interest (%) Carrying amount Acquisition cost
Annex V.Part 2.125(a) Annex V.Part 2.124(b), 125(c)  Annex V.Part 2.125(b)  Annex V.Part 2.124(j), 125(c) Annex V.Part 2.124(o), 125(c) Annex V.Part 2.124(p), 125(c)
Annex V.Part 2.125(a) Annex V.Part 2.124(b), 125(c)  Annex V.Part 2.125(b)  Annex V.Part 2.124(j), 125(c) Annex V.Part 2.124(o), 125(c) Annex V.Part 2.124(p), 125(c)
010 020 030 040 050 060 070 080
       
41.  41.1 
 41.2 
 41.3 
 Rest of separable hybrid contracts [not designated at fair value through profit or loss] References National GAAP based on BAD References National GAAP compatible IFRS Carrying amount
FINANCIAL ASSETS 010
010 Financial assets held for trading 4th Directive art 42a(4)(b),(5a); IAS 39.9; Annex V.Part 2.129 IAS 39.9; Annex V.Part 2.129 
020 Available-for-sale [Host contracts] 4th Directive art 42a(4)(b),(5a); IAS 39.11; Annex V.Part 2.130 IAS 39.11; Annex V.Part 2.130 
030 Loans and receivables [Host contracts] 4th Directive art 42a(4)(b),(5a); IAS 39.11; Annex V.Part 2.130 IAS 39.11; Annex V.Part 2.130 
040 Held-to-maturity investments [Host contracts] 4th Directive art 42a(4)(b),(5a); IAS 39.11; Annex V.Part 2.130 IAS 39.11; Annex V.Part 2.130 
FINANCIAL LIABILITES   
050 Financial liabilities held for trading 4th Directive art 42a(4)(b), (5a); IAS 39.9; Annex V.Part 2.129 IAS 39.9; Annex V.Part 2.129 
060 Financial liabilities measured at amortized cost [Host contracts] 4th Directive art 42a(4)(b), (5a); IAS 39.9; Annex V.Part 2.130 IAS 39.11; Annex V.Part 2.130 
42. 
 References National GAAP compatible IFRS Carrying amount
010
010 Property plant and equipment IAS 16.6; IAS 16.29; IAS 1.54(a) 
020 Revaluation model IAS 16.31, 73(a),(d) 
030 Cost model IAS 16.30, 73(a),(d) 
040 Investment property IAS 40.5, 30; IAS 1.54(b) 
050 Fair value model IAS 40,33-55, 76 
060 Cost model IAS 40.56, 79(c) 
070 Other intangible assets IAS 38.8, 118, 122 ; Annex V.Part 2.132 
080 Revaluation model IAS 38.75-87, 124(a)(ii) 
090 Cost model IAS 38.74 
43. 

44  44.1 
 References National GAAP compatible IFRS Amount
010
010 Fair value of defined benefit plan assets IAS 19.140(a)(i), 142 
020 Of which: Financial instruments issued by the institution IAS 19.143 
030 Equity instruments IAS 19.142(b) 
040 Debt instruments IAS 19.142(c) 
050 Real estate IAS 19.142(d) 
060 Other defined benefit plan assets  
070 Present value of defined benefit obligations IAS 19.140(a)(ii) 
080 Effect of the asset ceiling IAS 19.140(a)(iii) 
090 Net defined benefit assets [Carrying amount] IAS 19.63; Annex V.Part 2.136 
100 Provisions for pensions and other post-employment defined benefit obligations [Carrying amount] IAS 19.63, IAS 1.78(d); Annex V.Part 2.7 
110 Memo item: Fair value of any right to reimbursement recognised as an asset IAS 19.140(b)  44.2 
 44.3 
 References National GAAP based on BAD References National GAAP compatible IFRS Current period
010
010 Pension and similar expenses Annex V.Part 2.139(a) Annex V.Part 2.139(a) 
020 Share based payments Annex V.Part 2.139b) IFRS 2.44; Annex V.Part 2.139(b) 
45  45.1 
 References National GAAP based on BAD References National GAAP compatible IFRS Current period Changes in fair value due to credit risk
010 020
010 Financial assets designated at fair value through profit or loss 4th Directive art 42a(1),(5a); IAS 39.9 IFRS 7.20(a)(i); IAS 39.55(a)  
020 Financial liabilities designated at fair value through profit or loss 4th Directive art 42a(1),(5a); IAS 39.9 IFRS 7.20(a)(i); IAS 39.55(a)  
030 GAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES AT FAIR VALUE THROUGH PROFIT OR LOSS BAD art 27.Vertical layout(6) IFRS 7.20(a)(i)   45.2 
 References National GAAP based on BAD References National GAAP compatible IFRS Current period
010
020 Investment property  IAS 40.69; IAS 1.34(a), 98(d) 
030 Intangible assets  IAS 38.113-115A; IAS 1.34(a) 
040 Other assets  IAS 1.34 (a) 
050 GAINS OR (-) LOSSES ON DERECOGNITION OF NON-FINANCIAL ASSETS  IAS 1.34  45.3 
 References National GAAP based on BAD References National GAAP compatible IFRS Income Expenses
010 020
010 Changes in fair value in tangible assets measured using the fair value model Annex V.Part 2.141 IAS 40.76(d); Annex V.Part 2.141  
020 Investment property Annex V.Part 2.141 IAS 40.75(f); Annex V.Part 2.141  
030 Operating leases other than investment property Annex V.Part 2.142 IAS 17.50, 51, 56(b); Annex V.Part 2.142  
040 Other Annex V.Part 2.143 Annex V.Part 2.143  
050 OTHER OPERATING INCOME OR EXPENSES Annex V.Part 2.141-142 Annex V.Part 2.141-142  
46. 

ANNEX V
PART 1
1.  1. This Annex contains additional instructions for the financial information templates (hereinafter ‘FINREP’) included in Annex III and Annex IV of this Regulation. This Annex complements the instructions included in form of references in the templates in Annex III and Annex IV.
 2. The data points identified in the templates shall be drawn up in accordance with the recognition, offsetting and valuation rules of the relevant accounting framework, as defined in Article 4(1)(77) of the CRR.
 3. 

((a)) Assets, liabilities, equity, income and expenses that are recognised by the institution.
((b)) Off-balance sheet exposures and activities in which the institution is involved.
((c)) Transactions performed by the institution.
((d)) Valuation rules, including methods for the estimation of allowances for credit risk, applied by the institution.
 4. 

((a)) ‘IAS regulation’ refers to Regulation (EC) No 1606/2002 of the European Parliament and of the Council of 19 July 2002 on the application of international accounting standards.
((b)) ‘IAS’ or ‘IFRS’ refers to the ‘International Accounting Standards’, as defined in Article 2 of the ‘IAS regulation’ that has been adopted by the Commission in accordance with the aforementioned ‘IAS regulation’.
((c)) ‘ECB BSI Regulation’ or ‘ECB/2008/32’ refers to Regulation of the European Central Bank of 19 December 2008 concerning the balance sheet of monetary financial institutions sector (recast).
((d)) ‘NACE Regulation’ refers to REGULATION (EC) No 1893/2006 of the European Parliament and of the Council of 20 December 2006 establishing the statistical classification of economic activities NACE Revision 2 and amending Council Regulation (EEC) No 3037/90 as well as certain EC Regulations on specific statistical domains.
((e)) ‘BAD’ refers to COUNCIL DIRECTIVE of 8 December 1986 on the annual accounts and consolidated accounts of banks and other financial institutions (86/635/EEC).
((f)) ‘4th Directive’ refers to FOURTH COUNCIL DIRECTIVE of 25 July 1978 based in Article 54(3)(g) of the Treaty on the annual accounts of certain types of companies (78/660/EEC).
((g)) ‘National GAAP’ means national accounting frameworks developed under BAD.
((h)) ‘SME’ refers to COMMISSION RECOMMENDATION of 6 May 2003 concerning definition of micro, small and medium-sized enterprises (2003/361/EC).
((i)) ‘ISIN code’ means the International Securities Identification Number assigned to securities, composed of 12 alphanumeric characters, which uniquely identifies a securities issue.
((j)) ‘LEI code’ means the global Legal Entity Identifier assigned to entities, which uniquely identifies a party to a financial transaction.
((k)) ‘Annex V’ refers to the cited Part of Annex V of this Regulation.

2.  5. For the purposes of Annex III and Annex IV a data point shadowed in grey shall mean that this data point is not requested or that it is not possible to report it. In Annex IV a row or a column with references shadowed in black means that the related data points should not be submitted by those institutions that follow those references in that row or column.
 6. Templates in Annex III and Annex IV include implicit validation rules which are defined in the templates themselves through the use of conventions.
 7. The use of brackets in the label of an item in a template means that this item is to be subtracted to obtain a total, but it does not mean that it shall be reported as negative.
 8. Items that shall be reported in negative are identified in the compiling templates by including ‘(–)’ at the beginning of their label such as in ‘(–) Treasury shares’.
 9. In the ‘Data Point Model’ (hereinafter DPM) for financial information reporting templates described in Annex III and IV, every data point (cell) has a ‘base item’ to which the ‘credit/debit’ attribute is allocated. This allocation ensures that all entities who report data points follow the ‘sign convention’ and allows to know the ‘credit/debit’ attribute that corresponds to each data point.
 10. 

3.  11. 

((a)) Institutions may be permitted or required to apply the equity method to investments in insurance and non-financial subsidiaries in accordance with article 18.5 of the CRR.
((b)) Institutions may be permitted to use the proportional consolidation method for financial subsidiaries in accordance with article 18.2 of the CRR.
((c)) Institutions may be required to use the proportional consolidation method for investment in joint ventures in accordance with article 18.4 of the CRR.

4.  4.1.  12. ‘Accounting portfolios’ shall mean financial instruments aggregated by valuation rules. These aggregations do not include investments in subsidiaries, joint ventures and associates, balances receivable on demand classified as ‘Cash and cash balances at central banks’ as well as those financial instruments classified as ‘Held for sale’ presented in the items ‘Non-current assets and disposal groups classified as held for sale’ and ‘Liabilities included in disposal groups classified as held for sale’.
 13. 

((a)) ‘Financial assets held for trading’,
((b)) ‘Financial assets designated at fair value through profit or loss’,
((c)) ‘Available-for-sale financial assets’,
((d)) ‘Loans and Receivables’,
((e)) ‘Held-to-maturity investments’.
 14. 

((a)) ‘Trading financial assets’,
((b)) ‘Non-trading non-derivative financial assets measured at fair value through profit or loss’,
((c)) ‘Non-trading non-derivative financial assets measured at fair value to equity’,
((d)) ‘Non-trading debt instruments measured at a cost-based method’, and
((e)) ‘Other non-trading non-derivative financial assets’.
 15. ‘Trading financial assets’ has the same meaning as under the relevant National GAAP based on BAD. Under National GAAP based on BAD, derivatives that are not held for hedge accounting shall be reported in this item without regarding the method applied to measure these contracts. Institutions shall include derivatives contracts in the balance sheet only when these contracts are recognised in accordance with the relevant accounting framework.
 16. For financial assets, ‘cost-based methods’ include those valuation rules by which the financial asset is measured at cost plus interest accrued less impairment losses.
 17. Under National GAAP based on BAD, ‘Other non-trading non-derivative financial assets’ shall include financial assets that do not qualify for inclusion in other accounting portfolios. This accounting portfolio includes, among others, financial assets that are measured at the lower of their amount at initial recognition or their fair value (so-called ‘Lower Of Cost Or Market’ or ‘LOCOM’).
 18. Under National GAAP based on BAD, institutions that are permitted or required to apply certain valuation rules for financial instruments in IFRS shall submit, to the extent that they are applied, the relevant accounting portfolios.
 19. ‘Derivatives — Hedge accounting’ shall include derivatives held for hedge accounting under the relevant accounting framework.
 4.2.  20. 

((a)) ‘Financial liabilities held for trading’,
((b)) ‘Financial liabilities designated at fair value through profit or loss’,
((c)) ‘Financial liabilities measured at amortised cost’.
 21. 

((a)) ‘Trading financial liabilities’, and
((b)) ‘Non-trading non-derivative financial liabilities measured at a cost-based method’.
 22. Under National GAAP, institutions that are permitted or required to apply certain valuation rules for financial instruments in IFRS shall submit, to the extent that they are applied, the relevant accounting portfolios.
 23. Both under IFRS and National GAAP, ‘Derivatives — Hedge accounting’ shall include derivatives held for hedge accounting under the relevant accounting framework.

5.  5.1.  24. The carrying amount shall mean the amount to be reported in the asset side of the balance sheet. The carrying amount of financial assets shall include accrued interest.
 25. Financial assets shall be distributed among the following classes of instruments: ‘Cash on hand’, ‘Derivatives’, ‘Equity instruments’, ‘Debt securities’, and ‘Loan and advances’.
 26. ‘Debt securities’ are debt instruments held by the institution issued as securities that are not loans in accordance with the ECB BSI Regulation.
 27. ‘Loans and advances’ are debt instruments held by the institutions that are not securities; this item includes ‘loans’ in accordance with the ECB BSI Regulation as well as advances that cannot be classified as ‘loans’ according to the ECB BSI Regulation. ‘Advances that are not loans’ are further characterized in paragraph 41(g) of this Part. Consequently, ‘debt instruments’ shall include ‘loans and advances’ and ‘debt securities’.
 5.2.  28. The carrying amount shall mean the amount to be reported in the liability side of the balance sheet. The carrying amount of financial liabilities shall include accrued interest.
 29. Financial liabilities shall be distributed among the following classes of instruments: ‘Derivatives’, ‘Short positions’, ‘Deposits’, ‘Debt securities issued’ and ‘Other financial liabilities’.
 30. ‘Deposits’ are defined in the same way as in the ECB BSI Regulation.
 31. ‘Debt securities issued’ are debt instruments issued as securities by the institution that are not deposits in accordance with the ECB BSI Regulation.
 32. ‘Other financial liabilities’ include all financial liabilities other than derivatives, short positions, deposits and debt securities issued.
 33. Under IFRS or compatible National GAAP, ‘Other financial liabilities’ may include financial guarantees when they are measured either at fair value through profit or loss [IAS 39.47(a)] or at the amount initially recognised less cumulative amortization [IAS 39.47(c)(ii)]. Loan commitments shall be reported as ‘Other financial liabilities’ when they are designated as financial liabilities at fair value through profit or loss [IAS 39.4(a)] or they are commitments to provide a loan at a below-market interest rate [IAS 39.4(b), 47(d)]. Provisions arising from these contracts [IAS 39.47(c)(i), (d)(i)] are reported as provisions for ‘Commitments and guarantees given’.
 34. ‘Other financial liabilities’ may also include dividends to be paid, amounts payable in respect of suspense and transit items, and amounts payable in respect of future settlements of transactions in securities or foreign exchange transactions (payables for transactions recognised before the payment date).

6.  35. 

((a)) Central banks.
((b)) General governments: central governments, state or regional governments, and local governments, including administrative bodies and non-commercial undertakings, but excluding public companies and private companies held by these administrations that have a commercial activity (which shall be reported under ‘non-financial corporations’); social security funds; and international organisations, such as the European Community, the International Monetary Fund and the Bank for International Settlements.
((c)) Credit institutions: banks and multilateral banks.
((d)) Other financial corporations: all financial corporations and quasi-corporations other than credit institutions such as investment firms, investment funds, insurance companies, pension funds, collective investment undertakings, and clearing houses as well as remaining financial intermediaries and financial auxiliaries.
((e)) Non-financial corporations: corporations and quasi-corporations not engaged in financial intermediation but principally in the production of market goods and non-financial services according to the ECB BSI Regulation.
((f)) Households: individuals or groups of individuals as consumers, and producers of goods and non financial services exclusively for their own final consumption, and as producers of market goods and non financial and financial services provided that their activities are not those of quasi-corporations. Non-profit institutions which serve households and which are principally engaged in the production of non-market goods and services intended for particular groups of households are included.
 36. The counterparty sector allocation is based exclusively on the nature of the immediate counterparty. The classification of the exposures incurred jointly by more than one obligor shall be done on the basis of the characteristics of the obligor that was the more relevant, or determinant, for the institution to grant the exposure. Among other classifications, the distribution of jointly incurred exposures by counterparty sector, country of residence and NACE codes should be driven by the characteristics of the more relevant or determinant obligor.

PART 2
1.  1.1.  1. ‘Cash on hand’ includes holdings of national and foreign banknotes and coins in circulation that are commonly used to make payments.
 2. ‘Cash balances at central banks’ include balances receivable on demand at central banks.
 3. ‘Other demand deposits’ include balances receivable on demand with credit institutions.
 4. ‘Investments in subsidiaries, joint ventures and associates’ include the investments in associates, joint ventures and subsidiaries which are not fully or proportionally consolidated. The carrying amount of investments accounted for using the equity method includes related goodwill.
 5. Assets that are not financial assets and that due to their nature could not be classified in specific balance sheet items shall be reported in ‘Other assets’. Other assets may include gold, silver and other commodities; even when they are held with trading intent.
 6. ‘Non-current assets and disposal groups classified as held for sale’ has the same meaning as under IFRS 5.
 1.2.  7. Provisions for ‘Pensions and other post employment defined benefit obligations’ include the amount of net defined benefit liabilities.
 8. Under IFRS or compatible National GAAP, provisions for ‘Other long-term employee benefits’ include the amount of the deficits in the long-term employment benefit plans listed in IAS 19.153. The accrued expense from short term employee benefits [IAS 19.11(a)], defined contribution plans [IAS 19.51(a)] and termination benefits [IAS 19.169(a)] shall be included in ‘Other liabilities’.
 9. ‘Share capital repayable on demand’ includes the capital instruments issued by the institution that do not meet the criteria to be classified in equity. Institutions shall include in this item the cooperative shares that do not meet the criteria to be classified in equity.
 10. Liabilities that are not financial liabilities and that due to their nature could not be classified in specific balance sheet items shall be reported in ‘Other liabilities’.
 11. ‘Liabilities included in disposal groups classified as held for sale’ has the same meaning as under IFRS 5.
 12. ‘Funds for general banking risks’ are amounts that have been assigned in accordance with article 38 of the BAD. When recognised, they shall appear separately either as liabilities under ‘provisions’ or within equity under ‘other reserves’.
 1.3.  13. Under IFRS or compatible National GAAP, equity instruments that are financial instruments include those contracts under the scope of IAS 32.
 14. ‘Unpaid capital which has been called up’ includes the carrying amount of capital issued by the institution that has been called-up to the subscribers but not paid at the reference date.
 15. ‘Equity component of compound financial instruments’ includes the equity component of compound financial instruments (that is, financial instruments that contain both a liability and a equity component ) issued by the institution, when segregated in accordance with the relevant accounting framework (including compound financial instruments with multiple embedded derivatives whose values are interdependent);
 16. ‘Other equity instruments issued’ includes equity instruments that are financial instruments other than ‘Capital’ and ‘Equity component of compound financial instruments’.
 17. ‘Other equity’ shall comprise all equity instruments that are not financial instruments including, among others, equity-settled share-based payment transactions [IFRS 2.10].
 18. Under IFRS or compatible National GAAP, ‘Revaluation reserves’ includes the amount of reserves resulting from first-time adoption to IAS, or compatible National GAAP, that have not been released to other type of reserves.
 19. ‘Other reserves’ are split between ‘Reserves or accumulated losses of investments in subsidiaries, joint ventures and associates’ and ‘Other’. ‘Reserves or accumulated losses of investments in subsidiaries, joint ventures and associates’ include the accumulated amount of income and expenses generated by the aforementioned investments through profit or loss in past years. ‘Other’ includes reserves different from those separately disclosed in other items and may include legal reserve and statutory reserve.
 20. ‘Treasury shares’ cover all financial instruments that have the characteristics of own equity instruments which have been reacquired by the institution.

2.  21. Interest income and interest expense from financial instruments held for trading, and from financial instruments designated at fair value through profit or loss, shall be reported either separately from other gains and losses under items ‘interest income’ and ‘interest expense’ (so-called ‘clean price’) or as part of gains or losses from these categories of instruments (‘dirty price’).
 22. 

((a)) ‘Interest income’;
((b)) ‘Interest expense’;
((c)) ‘Dividend income’;
((d)) ‘Gains or losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss, net’;
((e)) ‘Impairment or (–) reversal of impairment on financial assets not measured at fair value through profit or loss’.
 23. ‘Interest income. Derivatives — Hedge accounting, interest rate risk’ and ‘Interest expenses. Derivatives — Hedge accounting, interest rate risk’ include the amounts related to those derivatives classified in the category ‘hedge accounting’ which cover interest rate risk. They shall be reported as interest income and expenses on a gross basis, to present correct interest income and expenses from the hedged items to which they are linked.
 24. The amounts related to those derivatives classified in the category ‘held for trading’ which are hedging instruments from an economic but not accounting point of view may be reported as interest income and expenses, to present correct interest income and expenses from the financial instruments that are hedged. These amounts shall be included as a part of the items ‘Interest income. Financial assets held for trading’ and ‘Interest expenses. Financial liabilities held for trading’.
 25. ‘Interest income — other assets’ includes amounts of interest income not included in the other items. This item may include interest income related to cash and cash balances at central banks and non-current assets and disposal groups classified as held for sale as well as net interest income from net defined benefit asset.
 26. ‘Interest expenses — other liabilities’ includes amounts of interest expenses not included in the other items. This item may include interest expenses related to liabilities included in disposal groups classified as held for sale, expenses derived from increases in the carrying amount of a provision reflecting the passage of time or net interest expenses from net defined benefit liabilities.
 27. ‘Profit or loss from non-current assets and disposal groups classified as held for sale not qualifying as discontinued operations’ includes profit or loss generated by non-current assets and disposal groups classified as held for sale not qualifying as discontinued operations.
 28. Dividend income from financial assets held for trading and from financial assets designated at fair value through profit or loss shall be reported either as ‘dividend income’ separately from other gains and losses from these categories or as part of gains or losses from these categories of instruments. Dividend income from subsidiaries, associates and joint ventures which are outside the scope of consolidation shall be reported within ‘Share of the profit or (–) loss of investments in subsidiaries, joint ventures and associates’.
 29. Under IFRS or compatible National GAAP, Impairment on ‘Financial assets at cost’ includes impairment losses arising from the application of the impairment rules in IAS 39.66.
 30. For ‘Gains or (–) losses from hedge accounting, net’ institutions shall report fair value changes on hedging instruments and hedged items, including the result of ineffectiveness from cash flow hedges and from hedges of net investment in foreign operations.

3.  31. Under IFRS or compatible National GAAP, ‘Income tax relating to items that will not be reclassified’ and ‘Income tax relating to items that may be reclassified to profit or (–) loss’ [IAS 1.91 (b), IG6] shall be reported as separate line items.

4.  32. Financial assets shall be broken down by instrument and — when required — by counterparty.
 33. Under IFRS or compatible National GAAP, equity instruments shall be reported with a specific breakdown (‘of which’) to identify instruments measured at cost and specific counterparty sectors only. Under National GAAP based on BAD, equity instruments shall be reported with a specific breakdown (‘of which’) to identify unquoted and specific counterparty sectors only.
 34. For available-for-sale financial assets institutions shall report the fair value of impaired assets and unimpaired assets respectively, and the cumulative amount of impairment losses recognised in profit or loss as at the reporting date. The sum of fair value of unimpaired assets and fair value of impaired assets shall be the carrying amount of these assets.
 35. Under IFRS or compatible National GAAP, for financial assets classified as ‘Loans and receivables’ or as ‘Held-to-maturity’, the gross carrying amount of unimpaired assets and of impaired assets shall be reported. The allowances shall be broken down to ‘Specific allowances for individually assessed financial assets’, ‘Specific allowances for collectively assessed financial assets’ and ‘Collective allowances for incurred but not reported losses’. Under National GAAP based on BAD, for financial assets classified as ‘non-trading non-derivative financial asset measured at a cost-based method’, the gross carrying amount of unimpaired assets and of impaired assets shall be reported.
 36. ‘Specific allowances for individually assessed financial assets’ shall include cumulative amount of impairment related to financial assets which have been assessed individually.
 37. ‘Specific allowances for collectively assessed financial assets’ shall include the cumulative amount of collective impairment calculated on insignificant loans which are impaired on individual basis and for which the institution decides to use a statistical approach (portfolio basis). This approach does not preclude performing individual impairment evaluation of loans that are individually insignificant and thus to report them as specific allowances for individually assessed financial assets.
 38. ‘Collective allowances for incurred but not reported losses’ shall include the cumulative amount of collective impairment determined on financial assets which are not impaired on individual basis. For ‘allowances for incurred but not reported losses’, IAS 39.59(f), AG87 and AG90 may be followed.
 39. The sum of unimpaired assets and impaired assets net of all the allowances shall be equal to the carrying amount.
 40. Template 4.5 includes the carrying amount of ‘Loans and advances’ and ‘Debt securities’ that meet the definition of ‘subordinated debt’ in paragraph 54 of this Part.

5.  41. 

((a)) ‘On demand (call) and short notice (current account)’ include balances receivable on demand (call), at short notice, current accounts and similar balances which may include loans that are overnight deposits for the borrower, regardless of their legal form. It also includes ‘overdrafts’ that are debit balances on current account balances.
((b)) ‘Credit card debt’ includes credit granted either via delayed debit cards or via credit cards [ECB BSI Regulation].
((c)) ‘Trade receivables’ include loans to other debtors granted on the basis of bills or other documents that give the right to receive the proceeds of transactions for the sale of goods or provision of services. This item includes all factoring transactions (both with and without recourse).
((d)) ‘Finance leases’ include the carrying amount of finance lease receivables. Under IFRS or compatible National GAAP, ‘finance lease receivables’ are as defined in IAS 17.
((e)) ‘Reverse repurchase loans’ include finance granted in exchange for securities bought under repurchase agreements or borrowed under securities lending agreements.
((f)) ‘Other term loans’ include debit balances with contractually fixed maturities or terms that are not included in other items.
((g)) ‘Advances that are not loans’ include advances that cannot be classified as ‘loans’ according to the ECB BSI Regulation. This item includes, among others, gross amounts receivable in respect of suspense items (such as funds that are awaiting investment, transfer, or settlement) and transit items (such as cheques and other forms of payment that have been sent for collection).
((h)) ‘Mortgage loans [Loans collateralized by immovable property]’ include loans formally secured by immovable property collateral independently of their loan/collateral ratio (commonly referred as ‘loan-to-value’).
((i)) ‘Other collateralized loans’ include loans formally backed by collateral, independently of their loan/collateral ratio (so-called ‘loan-to-value’), other than ‘Loans collateralised by immovable property’, ‘Finance leases’ and ‘Reverse repurchase loans’. This collateral includes pledges of securities, cash, and other collateral.
((j)) ‘Credit for consumption’ includes loans granted mainly for the personal consumption of goods and services [ECB BSI Regulation].
((k)) ‘Lending for house purchase’ includes credit extended to households for the purpose of investing in houses for own use and rental, including building and refurbishments [ECB BSI Regulation].
((l)) ‘Project finance loans’ include loans that are recovered solely from the income of the projects financed by them.

6.  42. Gross carrying amount of loans and advances to non-financial corporations shall be classified by sector of economic activities using codes in NACE Regulation (‘NACE Codes’) on the basis of the principal activity of the counterparty.
 43. The classification of the exposures incurred jointly by more than one obligor shall be done in accordance with paragraph 36 in Part 1.
 44. Reporting of NACE codes shall be done with the first level of disaggregation, (by ‘section’).
 45. For debt instruments at amortised cost or at fair value through other comprehensive income, ‘Gross carrying amount’ shall mean the carrying amount excluding ‘Accumulated impairment’. For debt instruments at fair value through profit and loss, ‘Gross carrying amount’ shall mean the carrying amount excluding ‘Accumulated changes in fair value due to credit risk’.
 46. ‘Accumulated impairment’ shall be reported for financial assets at amortised cost or at fair value through other comprehensive income. ‘Accumulated changes in fair value due to credit risk’ figures shall be reported for financial assets at fair value through profit or loss. ‘Accumulated impairment’ shall include specific allowances for individually and collectively assessed financial assets as defined in paragraphs 36 and 37as well as ‘Collective allowances for incurred but not reported losses’ as defined in paragraph 38 but do not include ‘Accumulated write-offs’ amounts as defined in paragraph 49 of this Part.

7.  47. Debt instruments that are past due but not impaired at the reporting reference date shall be reported in the accounting portfolios subject to impairment. According to IFRS or compatible National GAAP, these accounting portfolios comprise the categories ‘Available for sale’, ‘Loans and receivables’, and ‘Held-to-maturity’. According to National GAAP based on BAD, these accounting portfolios comprise also ‘Non-trading debt instruments measured at a cost-based method’ and ‘Other non-trading non-derivative financial assets’.
 48. Assets qualify as past due when counterparties have failed to make a payment when contractually due. The amounts of such assets shall be reported and broken down according to the number of days past due. The past due analysis shall not include any impaired assets. The carrying amount of impaired financial assets shall be reported separately from the past due assets.
 49. The column ‘Accumulated write-offs’ includes the cumulative amount of principal and past due interest of any debt instrument that the institution is no longer recognising because they are considered uncollectible, independently of the portfolio in which they were included. These amounts shall be reported until the total extinguishment of all the institution's rights (by expiry of the statute-of–limitations period, forgiveness or other causes) or until recovery.
 50. ‘Write-offs’ could be caused both by reductions of the carrying amount of financial assets recognised directly in profit or loss as well as by reductions in the amounts of the allowance accounts for credit losses taken against the carrying amount of financial assets.

8.  51. As ‘Deposits’ are defined in the same way as in the ECB BSI Regulation, regulated savings deposits shall be classified in accordance with the ECB BSI Regulation and distributed according to the counterparty. In particular, non-transferable sight savings deposits, which although legally redeemable at demand are subject to significant penalties and restrictions and have features that are very close to overnight deposits, are classified as deposits redeemable at notice.
 52. 

((a)) ‘Certificates of deposits’ are securities that enable the holders to withdraw funds from an account,
((b)) ‘Asset backed securities’ according to article 4(1)(61) of the CRR,
((c)) ‘Covered Bonds’ according to article 129(1) of the CRR,
((d)) ‘Hybrid contracts’ comprise contracts with embedded derivatives,
((e)) ‘Other debt securities issued’ includes debt securities not recorded in the previous lines and distinguishes convertible and non convertible instruments.
 53. ‘Subordinated financial liabilities’ issued are treated in the same way as other financial liabilities incurred. Subordinated liabilities issued in the form of securities are classified as ‘Debt securities issued’, whereas subordinated liabilities in the form of deposits are classified as ‘Deposits’.
 54. Template 8.2 includes the carrying amount of ‘Deposits’ and ‘Debt securities issued’ that meet the definition of subordinated debt classified by accounting portfolios. ‘Subordinated debt’ instruments provide a subsidiary claim on the issuing institution that can only be exercised after all claims with a higher status have been satisfied [ECB BSI Regulation].

9.  55. Off-balance sheet exposures include the off-balance sheet items listed in Annex I of the CRR. Off-balance sheet exposures shall be broken-down in loan commitments given, financial guarantees given, and other commitments given.
 56. Information on loan commitments, financial guarantees, and other commitments given and received include both revocable and irrevocable commitments.
 57. 

((a)) ‘Forward deposits’.
((b)) ‘Undrawn credit facilities’ which comprise agreements to ‘lend’ or provide ‘acceptance facilities’ under pre-specified terms and conditions.
 58. 

((a)) ‘Guarantees having the character of credit substitute’.
((b)) ‘Credit derivatives’ that meet the definition of financial guarantee.
((c)) ‘Irrevocable standby letters of credit having the character of credit substitutes’.
 59. 

((a)) ‘Unpaid portion of partly-paid shares and securities’.
((b)) ‘Documentary credits issued or confirmed’.
((c)) Trade finance Off-balance sheet items.
((d)) ‘Documentary credits in which underlying shipment acts as collateral and other self-liquidating transactions’.
((e)) ‘Warranties and indemnities’ (including tender and performance bonds) and ‘guarantees not having the character of credit substitutes’.
((f)) ‘Shipping guarantees, customs and tax bonds’.
((g)) Note issuance facilities (NIFs) and revolving underwritings facilities (RUFs).
((h)) ‘Undrawn credit facilities’ which comprise agreements to ‘lend’ or provide ‘acceptance facilities’ when the terms and conditions are not pre-specified.
((i)) ‘Undrawn credit facilities’ which comprise agreements to ‘purchase securities’ or ‘provide guarantees’.
((j)) ‘Undrawn credit facilities for tender and performance guarantees’.
((k)) ‘Other off-balance sheet items’ in Annex I of the CRR.
 60. 

((a)) ‘Credit derivatives’ that do not meet the definition of financial guarantees are ‘derivatives’ under IAS 39.
((b)) ‘Acceptances’ are obligations by an institution to pay on maturity the face value of a bill of exchange, normally covering the sale of goods. Consequently, they are classified as ‘trade receivables’ on the balance sheet
((c)) ‘Endorsements on bills’ that do not meet the criteria for derecogniton under IAS 39.
((d)) ‘Transactions with recourse’ that do not meet the criteria for derecogniton under IAS 39.
((e)) ‘Assets purchased under outright forward purchase agreements’ are ‘derivatives’ under IAS 39.
((f)) ‘Asset sale and repurchase agreements as defined in Article 12 (3) and (5) of Directive 86/635/EEC’. In these contracts, the transferee has the option, but not the obligation, to return the assets at a price agreed in advance on a date specified (or to be specified). Therefore, these contracts meet the definition of derivatives under IAS 39.9.
 61. ‘of which: defaulted’ shall include the nominal amount of those loan commitments, financial guarantees and other commitments given whose counterparty has incurred in default according to Article 178 of the CRR.
 62. For off-balance sheet exposures, the ‘Nominal amount’ is the amount that best represents the institution's maximum exposure to credit risk without taking account of any collateral held or other credit enhancements. In particular, for financial guarantees given, the nominal amount is the maximum amount the entity could have to pay if the guarantee is called on. For loan commitments, the nominal amount is the undrawn amount that the institution has committed to lend. Nominal amounts are exposure values before applying conversion factors and credit risk mitigation techniques.
 63. In template 9.2, for loan commitments received, the nominal amount is the total undrawn amount that the counterparty has committed to lend to the institution. For other commitments received the nominal amount is the total amount committed by the other party in the transaction. For financial guarantees received, the ‘maximum amount of the guarantee that can be considered’ is the maximum amount the counterparty could have to pay if the guarantee is called on. When a financial guarantee received has been issued by more than one guarantor, the guaranteed amount shall be reported only once in this template; the guaranteed amount shall be allocated to guarantor that is more relevant for the mitigation of credit risk.

10.  64. The carrying amount and the notional amount of the derivatives held for trading and the derivatives held for hedge accounting shall be reported broken down by type of underlying risk, type of market (over-the-counter versus organised markets) and type of product.
 65. Institutions shall report the derivatives held for hedge accounting broken down by type of hedge.
 66. Derivatives included in hybrid instruments which have been separated from the host contract shall be reported in templates 10 and 11 according to the nature of the derivative. The amount of the host contract is not included in these templates. However, if the hybrid instrument is measured at fair value through profit or loss, the contract as a whole shall be included in the category of held for trading or financial instruments designated at fair value through profit or loss (and, thus, the embedded derivatives are not reported in 10 and 11).
 10.1.  67. 

((a)) Interest rate: Interest rate derivatives are contracts related to an interest-bearing financial instrument whose cash flows are determined by referencing interest rates or another interest rate contract such as an option on a futures contract to purchase a Treasury bill. This category is restricted to those deals where all the legs are exposed to only one currency's interest rate. Thus it excludes contracts involving the exchange of one or more foreign currencies such as cross-currency swaps and currency options, and other contracts whose predominant risk characteristic is foreign exchange risk, which are to be reported as foreign exchange contracts. Interest rate contracts include forward rate agreements, single-currency interest rate swaps, interest rate futures, interest rate options (including caps, floors, collars and corridors), interest rate swaptions and interest rate warrants.
((b)) Equity: Equity derivatives are contracts that have a return, or a portion of their return, linked to the price of a particular equity or to an index of equity prices.
((c)) Foreign exchange and gold: These derivatives include contracts involving the exchange of currencies in the forward market and the exposure to gold. They therefore cover outright forwards, foreign exchange swaps, currency swaps (including cross-currency interest rate swaps), currency futures, currency options, currency swaptions and currency warrant. Foreign exchange derivatives include all deals involving exposure to more than one currency, whether in interest rates or exchange rates. Gold contracts include all deals involving exposure to that commodity.
((d)) Credit: Credit derivatives are contracts that do not meet the definition of financial guarantees and in which the payout is linked primarily to some measure of the creditworthiness of a particular reference credit. The contracts specify an exchange of payments in which at least one of the two legs is determined by the performance of the reference credit. Payouts can be triggered by a number of events, including a default, a rating downgrade or a stipulated change in the credit spread of the reference asset.
((e)) Commodity: These derivatives are contracts that have a return, or a portion of their return, linked to the price of, or to a price index of, a commodity such as a precious metal (other than gold), petroleum, lumber or agricultural products.
((f)) Other: These derivatives are any other derivative contracts, which do not involve an exposure to foreign exchange, interest rate, equity, commodity or credit risk such as climatic derivatives or insurance derivatives.
 68. 

((a)) Commodities: All derivatives transactions involving a commodity or commodity index exposure, whether or not they involve a joint exposure in commodities and any other risk category which may include foreign exchange, interest rate or equity, shall be reported in this category.
((b)) Equities: With the exception of contracts with a joint exposure to commodities and equities, which are to be reported as commodities, all derivatives transactions with a link to the performance of equities or equity indices shall be reported in the equity category. Equity deals with exposure to foreign exchange or interest rates should be included in this category.
((c)) Foreign exchange and gold: This category includes all derivatives transactions (with the exception of those already reported in the commodity or equity categories) with exposure to more than one currency, be it pertaining either to interest-bearing financial instruments or exchange rates.
 10.2.  69. The ‘carrying amount’ for all derivatives (hedging or trading) is the fair value. Derivatives with a positive fair value (above zero) are ‘financial assets’ and derivatives with a negative fair value (below zero) are ‘financial liabilities’. The ‘carrying amount’ shall be reported separately for derivatives with a positive fair value (‘financial assets’) and for those with a negative fair value (‘financial liabilities’). At the date of initial recognition, a derivative is classified as ‘financial asset’ or ‘financial liability’ according to its initial fair value. After initial recognition, as the fair value of a derivative increases or decreases, the terms of the exchange may become either favourable to the institution (and the derivative is classified as ‘financial asset’) or unfavourable (and the derivative is classified as ‘financial liability’).
 70. 

((a)) For contracts with variable nominal or notional principal amounts, the basis for reporting is the nominal or notional principal amounts at the reference date.
((b)) The notional amount value to be reported for a derivative contract with a multiplier component is the contract effective notional amount or par value.
((c)) Swaps: The notional amount of a swap is the underlying principal amount upon which the exchange of interest, foreign exchange or other income or expense is based.
((d)) Equity and commodity-linked contracts: The notional amount to be reported for an equity or commodity contract is the quantity of the commodity or equity product contracted for purchase or sale multiplied by the contract price of a unit. The notional amount to be reported for commodity contracts with multiple exchanges of principal is the contractual amount multiplied by the number of remaining exchanges of principal in the contract.
((e)) Credit derivatives: The contract amount to be reported for credit derivatives is the nominal value of the relevant reference credit.
((f)) Digital options have a predefined payoff which can be either a monetary amount or a number of contracts of an underlying. The notional amount for digital options is defined as either the predefined monetary amount or the fair value of the underlying at the reference date.
 71. The column ‘Notional amount’ of derivatives includes, for each line item, the sum of the notional amounts of all contracts in which the institution is counterparty, independently of whether the derivatives are considered assets or liabilities on the face of the balance sheet. All notional amounts shall be reported regardless whether the fair value of derivatives is positive, negative or equal to zero. Netting among the notional amounts is not allowed.
 72. The ‘Notional amount’ shall be reported by ‘total’ and by ‘of which: sold’ for the line items: ‘OTC options’, ‘Organised market options’, ‘Commodity’ and ‘Other’. The item ‘of which sold’ includes the notional amounts (strike price) of the contracts in which the counterparties (option holders) of the institution (option writer) have the right to exercise the option and for the items related to credit risk derivatives, the notional amounts of the contracts in which the institution (protection seller) has sold (gives) protection to their counterparties (protection buyers).
 10.3.  73. Derivatives that are not effective hedging instruments in accordance with IAS 39 should be included in the ‘held for trading’ portfolio. This applies also to derivatives held for hedging purposes not meeting the requirements in IAS 39 to be effective hedging instruments as well as to derivatives linked to unquoted equity instruments whose fair value cannot be measured reliably.
 74. Derivatives ‘held for trading’ that meet the definition of ‘economic hedges’ shall be reported separately for each type of risk. The item ‘economic hedges’ includes those derivatives that are classified as ‘held for trading’ but they are not part of the trading book as defined in Article 4(1)(86) of the CRR. This item does not include derivatives for proprietary trading.
 10.4.  75. 

((a)) ‘credit institutions’,
((b)) ‘other financial corporations’, and
((c)) ‘rest’ comprising all other counterparties.
 76. All OTC derivatives, without regarding the type of risk to which they are related, shall be broken down by these counterparties. Counterparty breakdown for credit risk derivatives refers to the sector where the counterparty of the institution in the contract (buyer or seller of protection) is allocated.

11.  77. ‘Increases due to amounts set aside for estimated loan losses during the period’ shall be reported when, for the main category of assets or the counterparty, the estimation of the impairment for the period result in the recognition of net expenses; that is, for the given category or counterparty, the increases in the impairment for the period exceed the decreases. ‘Decreases due to amounts reversed for estimated loan losses during the period’ shall be reported when, for the main category of assets or counterparty, the estimation of the impairment for the period result in the recognition of net income; that is, for the given category or counterparty, the decreases in the impairment for the period exceed the increases.
 78. As explained in paragraph 50 of this Part, ‘write-offs’ may be done either by recognising directly in the statement of profit or loss the reduction in the amount of the financial asset (without using an allowance account) or by reducing the amount of the allowance accounts related to a financial asset. ‘Decreases due to amounts taken against allowances’ means decreases in the accumulated amount of allowances due to ‘write-offs’ made during the period because the related debt instruments are considered uncollectible. ‘Value adjustments recorded directly to the statement of profit or loss’ are ‘write-offs’ made during the period directly against the amount of the related financial asset.

12.  12.1.  79. The pledges and guarantees backing the loans and advances shall be reported by type of pledges: mortgage loans and other collateralised loans, and by financial guarantees. The loans and advances shall be broken down by counterparties.
 80. In Template 13.1, the ‘maximum amount of the collateral or guarantee that can be considered’ shall be reported. The sum of the amounts of a financial guarantee and/or collateral shown in the related columns of template 13.1 shall not exceed the carrying amount of the related loan.
 81. 

((a)) within ‘Mortgage loans [Loans collateralised by immovable property]’, ‘Residential’ includes loans secured by residential immovable property and ‘Commercial’ loans secured by pledges of commercial immovable property; in both cases as defined in the CRR.
((b)) within ‘Other collateralised loans’, ‘Cash [Debt instruments issued]’ includes pledges of deposits in or debt securities issued by the institution, and ‘Rest’ includes pledges of other securities or assets.
((c)) ‘Financial guarantees received’ include contracts that require the issuer to make specified payments to reimburse the institution of a loss it incurs, because a specified debtor fails to make payment when due in accordance with the original or modified terms of a debt instrument.
 82. For loans and advances that have simultaneously more than one type of collateral or guarantee, the amount of the ‘Maximum collateral/guarantee that can be considered’ shall be allocated according to its quality starting from the one with the best quality.
 12.2.  83. This template includes the carrying amount of the collateral that has been obtained between the beginning and the end of the reference period and that remain recognised in the balance sheet at the reference date.
 12.3.  84. ‘Foreclosure [tangible assets]’ is the cumulative carrying amount of tangible assets obtained by taking possession of collateral that remains recognised in the balance sheet at the reference date excluding those classified as ‘Property, plant and equipment’.

13.  85. Institutions shall report the value of financial instruments measured at fair value according to the hierarchy provided by in IFRS 13.72.
 86. ‘Change in fair value for the period’ shall include gains or losses from remeasurements of the instruments in the period. These gains and losses are reported as for inclusion in the statement of profit or loss; thus, the amounts reported are before taxes.
 87. ‘Accumulated change in fair value before taxes’ shall include the amount of gains or losses from remeasurements of the instruments accumulated from the initial recognition to the reference date.

14.  88. Template 15 includes information on transferred financial assets of which part or all do not qualify for derecognition, and financial assets entirely derecognised for which the institution retains servicing rights.
 89. The associated liabilities shall be reported according to the portfolio in which the related transferred financial assets were included in the assets side and not according to the portfolio in which they were included in the liability side.
 90. The column ‘Amounts derecognised for capital purposes’ includes the carrying amount of the financial assets recognised for accounting purposes but derecognised for prudential purposes because the institution is treating them as securitisation positions for capital purposes in accordance with Article 109 of the CRR.
 91. 

((a)) Amounts received in exchange for securities temporarily transferred to a third party in the form of securities lending against cash collateral.
((b)) Amounts received in exchange for securities temporarily transferred to a third party in the form of sale/buy-back agreement.
 92. ‘Repurchase agreements’ (‘repos’) and ‘reverse repurchase loans’ (‘reverse repos’) involve cash received or loaned out by the institution.
 93. In a securitisation transaction, when the transferred financial assets are derecognized, institutions shall declare the gains (losses) generated by the item within the income statement corresponding to the ‘accounting portfolios’ in which the financial assets were included prior to their derecognition.

15.  94. For selected items of the income statement further breakdowns of gains (or income) and losses (or expenses) shall be reported.
 15.1.  95. The interests shall be broken down both by interest income on financial and other assets and interest expenses on financial and other liabilities. Interest income on financial assets includes interest income on derivatives held for trading, debt securities, and loans and advances. Interest expenses on financial liabilities includes interest expenses on derivatives held for trading, deposits, debt securities issued and other financial liabilities. All instruments in the various portfolios are taken into account except those included in the items ‘Derivatives — Hedge accounting’ not used to hedge interest rate risk.
 96. Interest on derivatives held for trading includes the amounts related to those derivatives held for trading which qualify as ‘economic hedges’ that are included as interest income or expenses to correct the income and expense of the hedged financial instruments from an economic but not accounting point of view.
 15.2.  97. Gains and losses on derecognition of financial assets and financial liabilities not measured at fair value through profit or loss shall be broken down by type of financial instrument and by accounting portfolio. For each item, the net realised gain or loss stemming from the derecognised transaction shall be reported. The net amount represents the difference between realised gains and realised losses.
 15.3.  98. Gains and losses on financial assets and liabilities held for trading shall be broken down by type of instrument; each item of the breakdown is the net realised and unrealised amount (gains minus losses) of the financial instrument.
 15.4.  99. 

((a)) Interest rate instruments: including trading of loans and advances, deposits and debt securities (held or issued);
((b)) Equity instruments: including trading of shares, quotas of UCITS and other equity instruments;
((c)) Foreign exchange trading: including exclusively trading on foreign exchanges;
((d)) Credit risk instruments: including trading of credit link notes;
((e)) Commodities: this item includes only derivatives because commodities held with trading intent shall be reported under ‘Other assets’ not under ‘Financial assets held for trading’.
((f)) Other: including trading of financial instruments which cannot be classified in other breakdowns.
 15.5.  100. Gains and losses on financial assets and liabilities designated at fair value through profit or loss shall be broken down by type of instrument. Institutions shall report the net realised and unrealised and the amount of change in fair value in the period due to changes in the credit risk (own credit risk of the borrower or issuer).
 15.6.  101. Gains and losses from hedge accounting shall be broken down by type of hedge accounting: fair value hedge, cash flow hedge and hedge of net investments in foreign operations. Gains and losses related to fair value hedge shall be broken down between the hedging instrument and the hedged item.
 15.7.  102. ‘Additions’ shall be reported when, for the accounting portfolio or main category of assets, the estimation of the impairment for the period results in recognition of net expenses. ‘Reversals’ shall be reported when, for the accounting portfolio or main category of assets, the estimation of the impairment for the period result in the recognition of net income.

16.  103. ‘Accounting scope of consolidation’ includes the carrying amount of assets, liabilities and equity as well as the nominal amounts of the off-balance sheet exposures prepared using the accounting scope of consolidation; that is, including in the consolidation insurance undertakings and non-financial corporations.
 104. In this template, the item ‘Investments in subsidiaries, joint ventures and associates’ shall not include subsidiaries as with the accounting scope of consolidation all subsidiaries are fully consolidated
 105. ‘Assets under reinsurance and insurance contracts’ shall include assets under reinsurance ceded as well as, if any, assets related to insurance and reinsurance contracts issued.
 106. ‘Liabilities under insurance and reinsurance contracts’ shall include liabilities under insurance and reinsurance contracts issued.

17.  107. Template 20 shall be reported when the institution exceeds the threshold described in Article 5.1(a)(iv). The geographical breakdown by location of the activities in templates 20.1 to 20.3 distinguishes between ‘domestic activities’ and ‘non-domestic activities’. ‘Location’ means the jurisdiction of incorporation of the legal entity which has recognized the corresponding asset or liability; for branches, it means the jurisdiction of its residence. For these purposes, ‘Domestic’ shall include the activities recognised in Member State where the institution is located.
 108. Templates 20.4 to 20.7 contain information ‘country-by-country’ on the basis of the residence of the immediate counterparty. The breakdown provided shall include exposures or liabilities with residents in each foreign country in which the institution has exposures.
 109. In template 20.4 for debt instruments, ‘gross carrying amount’ shall be reported as defined in paragraph 45 of Part 2. For derivatives and equity instruments, the amount to be reported is the carrying amount. ‘Of which: defaulted’ shall include the carrying amount of those debt instruments whose counterparty has incurred in default according to Article 178 of the CRR. Template 20.7 shall be reported with the classification by NACE Codes on a ‘country-by-country’ basis. NACE Codes shall be reported with the first level of disaggregation (by ‘section’).

18.  110. For the purposes of the calculation of the threshold in Article 9(e) tangible assets that have been leased by the institution (lessor) to third parties in agreements that qualify as operating leases under the relevant accounting framework shall be divided by total of tangible assets.
 111. Under IFRS or compatible National GAAP, assets that have been leased by the institution (as lessor) to third parties in operating leases shall be reported broken-down by measurement method.

19.  112. For the purposes of the calculation of the threshold in Article 9(f), the amount of ‘net fee and commission income’ is the absolute value of the difference between ‘fee and commission income’ and ‘fee and commission expense’. For the same purposes, the amount of ‘net interest’ is the absolute value of the difference between ‘interest income’ and ‘interest expenses’.
 19.1.  113. 

((a)) amounts considered for the calculation of the effective interest of financial instruments [IFRS 7.20.(c)] and
((b)) amounts arising from financial instruments that are measured at fair value through profit or loss [IFRS 7.20.(c).(i)].
 114. Transaction costs directly attributable to the acquisition or issue of financial instruments not measured at fair value through profit or loss shall not be included; they form part of the initial acquisition/issue value of these instruments and are amortised to profit or loss over their residual life using the effective interest rate [see IAS 39.43].
 115. Transaction costs directly attributable to the acquisition or issue of financial instruments measured at fair value through profit or loss shall be included as a part of ‘Gains or losses on financial assets and liabilities held for trading, net’ or ‘Gains or losses on financial assets and liabilities designated at fair value through profit or loss, net’. They shall not be part of the initial acquisition or issuance value of these instruments and are immediately recognized in profit or loss.
 116. 

((a)) ‘Securities. Issuances’ includes fees and commissions received for the involvement in the origination or issuance of securities not originated or issued by the institution.
((b)) ‘Securities. Transfer orders’ includes fees and commissions generated by the reception, transmission and execution on behalf of customers of orders to buy or sell securities.
((c)) ‘Securities. Other’ includes fees and commissions generated by the institution providing other services related with securities not originated or issued by the institution.
((d)) ‘Clearing and settlement’ includes fee and commission income (expenses) generated by (charged to) the institution when participating in counterparty, clearing and settlement facilities.
((e)) ‘Asset management’, ‘Custody’, ‘Central administrative services for collective investment undertakings’, ‘Fiduciary transactions’, ‘Payment services’ include fee and commission income (expenses) generated by (charged to) the institution when providing these services.
((f)) ‘Structured finance’ includes fees and commissions received for the involvement in the origination or issuance of financial instruments other than securities originated or issued by the institution.
((g)) ‘Servicing fees from securitisation activities’ includes, on the income side, the fee and commission income generated by the institution providing loan servicing services and on the expense side, the fee and commission expense charged to the institution by loan service providers.
((h)) ‘Loan commitments given’ and ‘Financial guarantees given’ include the amount, recognized as income during the period, of the amortization of the fees and commission for these activities initially recognised as ‘other financial liabilities’.
((i)) ‘Loan commitments received’ and ‘Financial guarantees received’ include the fee and commission expense recognised by the institution as a consequence of the charge made by the counterparty that has given the loan commitment or the financial guarantee.
((j)) ‘Other’ includes the rest of fee and commission income (expenses) generated by (charged to) the institution such as those derived from ‘other commitments’, from foreign exchange services (such as exchange of foreign banknotes or coins) or from providing (receiving) other fee-based advice and services.
 19.2.  117. 

((a)) ‘Asset management’ refers to assets belonging directly to the customers, for which the institution is providing management. ‘Asset management’ shall be reported by type of customer: collective investment undertakings, pension funds, customer portfolios managed on a discretionary basis, and other investment vehicles.
((b)) ‘Custody assets’ refers to the services of safekeeping and administration of financial instruments for the account of clients provided by the institution and services related to custodianship such as cash and collateral management. ‘Custody assets’ shall be reported by type of customers for which the institution is holding the assets distinguishing between collective investment undertakings and others. The item ‘of which: entrusted to other entities’ refers to the amount of assets included in custody assets for which the institution has given the effective custody to other entities.
((c)) ‘Central administrative services for collective investment’ refers to the administrative services provided by the institution to collective investment undertakings. It includes, among others, the services of transfer agent; of compiling accounting documents; of preparing the prospectus, financial reports and all other documents intended for investors; of carrying out the correspondence by distributing financial reports and all other documents intended for investors; of carrying out issues and redemptions and keeping the register of investors; as well as of calculating the net asset value.
((d)) ‘Fiduciary transactions’ refers to the activities where the institution acts in its own name but for the account and at the risk of its customers. Frequently, in fiduciary transactions, the institution provides services, such as custody asset management services to a structured entity or managing portfolios on a discretionary basis. All fiduciary transactions shall be reported exclusively in this item without regarding whether the institution provides additionally other services.
((e)) ‘Payment services’ refers to the collection on behalf of customers of payments generated by debt instruments that are neither recognised on the balance sheet of the institution nor originated by it.
((f)) ‘Customer resources distributed but not managed’ refers to products issued by entities outside the group that the institution has distributed to its current customers. This item shall be reported by type of product.
((g)) ‘Amount of the assets involved in the services provided’ includes the amount of assets in relation to which the institution is acting, using the fair value. Other measurement bases including nominal value may be used if the fair value is not available. In those cases where the institution provides services to entities such as collective investment undertakings, pension funds, the assets concerned may be shown at the value at which these entities report the assets in their own balance sheet. Reported amounts shall include accrued interest, if appropriate.

20.  118. ‘Liquidity support drawn’ shall mean the sum of the carrying amount of the loan and advances granted to unconsolidated structured entities and the carrying amount of debt securities held that have been issued by unconsolidated structured entities.

21.  119. Institutions shall report amounts and/or transactions related to the balance sheet and the off-balance sheet exposures where the counterparty is a related party.
 120. Intra-group transactions and intra-group outstanding balances shall be eliminated. Under ‘Subsidiaries and other entities of the same group’, institutions shall include balances and transactions with subsidiaries that have not been eliminated either because the subsidiaries are not fully consolidated with the prudential scope of consolidation or because, in accordance with Article 19 of the CRR, the subsidiaries are excluded from the scope of prudential consolidation for being immaterial or because, for institutions that are part of a bigger group, the subsidiaries are of the ultimate parent not of the institution. Under ‘Associates and joint ventures’, institutions shall include the portions of balances and transactions with joint ventures and associates of the group to which the entity belongs that have not been eliminated when either proportional consolidation or the equity method is applied.
 21.1.  121. For ‘Loan commitments, financial guarantees and other commitments received’, the amount that shall be reported is the sum of the ‘nominal’ of loan commitments received, the ‘maximum collateral/guarantee that can be considered’ of financial guarantees received and the ‘nominal’ of the other commitments received.
 21.2.  122. 

((a)) ‘Gains or losses on derecognition of investments in subsidiaries, joint ventures and associates’
((b)) ‘Gains or losses on derecognition of non-financial assets other than held for sale’,
((c)) ‘Profit or loss from non-current assets and disposal groups classified as held for sale not qualifying as discontinued operations’, and
((d)) ‘Profit or loss after tax from discontinued operations’.

22.  123. Institutions shall provide detailed information on subsidiaries, joint ventures and associates as of the reporting date. All subsidiaries regardless the activity they perform shall be reported.
 22.1.  124. 

((a)) ‘LEI code’ includes the LEI code of the investee.
((b)) ‘Entity code’ includes the identification code of the investee.
((c)) ‘Entity name’ includes the name of the investee.
((d)) ‘Entry date’ means the date in which the investee entered within the ‘scope of the group’.
((e)) ‘Share capital’ means the total amount of capital issued by the investee as at the reference date.
((f)) ‘Equity of Investee’, ‘Total assets of the Investee’ and ‘Profit or (loss) of the Investee’ include the amounts of these items in the last financial statements of the investee.
((g)) ‘Residence of investee’ means the country of residence of the investee.
((h)) ‘Sector of investee’ means the sector of counterparty as defined in paragraph 35 of Part 1.
((i)) ‘NACE code’ shall be provided on the basis of the principal activity of the investee. For non-financial corporations, NACE codes shall be reported with the first level of disaggregation (by ‘section’); for financial corporations, NACE codes shall be reported with a two level detail (by ‘division’).
((j)) ‘Accumulated equity interest (%)’ is the percentage of ownership instruments held by the institution as of the reference date.
((k)) ‘Voting rights (%)’ means the percentages of voting rights associated to the ownership instruments held by the institution as of the reference date.
((l)) ‘Group structure [relationship]’ shall indicate the relationship between the parent and the investee (subsidiary, joint venture or associate).
((m)) ‘Accounting treatment [Accounting Group]’ shall indicate the accounting treatment with the accounting scope of consolidation (full consolidation, proportional consolidation or equity method).
((n)) ‘Accounting treatment [CRR Group]’ shall indicate the accounting treatment with the CRR scope of consolidation (full integration, proportional integration or equity method).
((o)) ‘Carrying amount’ means amounts reported on the balance sheet of the institution for investees that are neither fully nor proportionally consolidated.
((p)) ‘Acquisition cost’ means the amount paid by the investors.
((q)) ‘Goodwill link to the investee’ means the amount of goodwill reported on the consolidated balance sheet of the institution for the investee in the items ‘goodwill’ or ‘investments in subsidiaries, joint ventures and associated’.
((r)) ‘Fair value of the investments for which there are published price quotations’ means the price at the reference date; it shall be provided only if the instruments are quoted.
 22.2.  125. 

((a)) ‘Security code’ includes the ISIN code of the security. For securities without ISIN code assigned, it includes another code that uniquely identifies the security.
((b)) ‘Holding company code’ is the identification code of the entity within the group that holds the investment.
((c)) ‘Entity code’, ‘Accumulated equity interest (%)’, ‘Carrying amount’ and ‘Acquisition cost’ are defined above. The amounts shall correspond to the security held by the related holding company.

23.  23.1.  126. Information on the fair value of financial instruments measured at amortised cost, using the hierarchy in IFRS 7.27A shall be reported in this template.
 23.2.  127. Information on the use of fair value option for financial assets and liabilities designated at fair value through profit or loss shall be reported in this template. ‘Hybrid contracts’ includes the carrying amount of hybrid financial instruments classified, as a whole, in these accounting portfolios; that is, it includes non-separated hybrid instruments in their entirely.
 23.3.  128. In this template shall be reported information on hybrid financial instruments with the exception of those hybrid contracts measured at fair value through profit or loss under the ‘fair value option’ that are reported in template 41.2.
 129. ‘Held for trading’ includes the carrying amount of hybrid financial instruments classified, as a whole, as ‘financial assets held for trading’ or ‘financial liabilities held for trading’; that is it includes non-separated hybrid instruments in their entirely.
 130. The other rows include the carrying amount of the host contracts that have been separated from the embedded derivatives according to the relevant accounting framework. The carrying amounts of the embedded derivatives separated from these host contracts, in accordance with the relevant accounting framework, shall be reported in templates 10 and 11.

24.  131. ‘Property, plant and equipment’, ‘Investment property’ and ‘Other intangible assets’ shall be reported by the criteria used in their measurement.
 132. ‘Other intangible assets’ include all other intangible assets than goodwill.

25.  133. This template includes reconciliation between the carrying amount of the item ‘Provisions’ at the beginning and end of the period by the nature of the movements.

26.  134. These templates include accumulated information of all defined benefit plans of the institution. When there is more than one defined benefit plan, aggregated amount of all plans shall be reported.
 26.1.  135. ‘Components of net defined benefit plan assets and liabilities’ shows the reconciliation of the accumulated present value of all net defined benefit liabilities (assets) as well as reimbursement rights [IAS 19.140 (a), (b)].
 136. ‘Net defined benefit assets’ includes, in the event of a surplus, the surplus amounts that shall be recognized in the balance sheet as they are not affected by the limits set up in IAS 19.63. The amount of this item and the amount recognized in the memo item ‘Fair value of any right to reimbursement recognized as asset’ are included in the item ‘Other assets’ of the balance sheet.
 26.2.  137. ‘Movements in defined benefit obligations’ shows the reconciliation of opening and closing balances of the accumulated present value of all defined benefit obligations of the institution. The effects of the different elements listed in IAS 19.141 during the period are presented separately.
 138. The amount of ‘Closing balance [present value]’ in the template for movements in defined benefit obligations shall be equal to ‘Present value defined benefit obligations’.
 26.3.  139. 

((a)) ‘Pension and similar expenses’ includes the amount recognized in the period as staff expenses for any post — employment benefit obligations (both defined contributions plans and defined benefits plans) and contributions to social security funds.
((b)) ‘Share based payments’ include the amount recognized in the period as staff expenses for share based payments.

27.  27.1.  140. Gains and losses on derecognition of non financial assets other than held for sale shall be broken down by type of asset; each line item shall include the gain or the loss on the asset (such as property, software, hardware, gold, investment) that has been derecognised.
 27.2.  141. Other operating income and expenses shall be broken down according to the following items: fair value adjustments on tangible assets measured using the fair value model; rental income and direct operating expenses from investment property; income and expenses on operating leases other than investment property and the rest of operating income and expenses.
 142. ‘Operating leases other than investment property’ includes, for the column ‘income’, the returns obtained, and for the column ‘expenses’ the costs incurred by the institution as lessor in their operating leasing activities other than those with assets classified as investment property. The costs for the institution as lessee shall be included in the item ‘Other administrative expenses’.
 143. Gains or losses from remeasurements of holdings of precious metals and other commodities measured at fair value less cost to sell shall be reported among the items included in ‘Other operating income. Other’ or ‘Other operating expenses. Other’

28.  144. The statement of changes in equity discloses the reconciliation between the carrying amount at the beginning of the period (opening balance) and the end of the period (closing balance) for each component of equity.

PART 3
1. 


Table 3
Internal Ratings Based Approach
IRBA exposure classes (CRR article 147) FINREP counterparty sectors Comments
 (a) Central governments and central banks
  (1) Central banks
 (2) General governments
 (3) Credit institutions
 These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty
 (b) 
(i.e. credit institution and investment firms as well as some general governments and multilateral banks)
  (2) General governments
 (3) Credit institutions
 (4) Other financial corporations
 These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty
 (c) Corporates
  (4) Other financial corporations
 (5) Non-financial corporations
 (6) Households
 These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty
 (d) Retail
  (4) Other financial corporations
 (5) Non financial corporations
 (6) Households
 These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty
 (e) Equity
 Equity instruments In FINREP, equities are separated as instruments under different categories of financial assets
 (f) Securitisation positions
  (2) General governments
 (3) Credit institutions
 (4) Other financial corporations
 (5) Non-financial corporations
 (6) Households
 These exposures shall be assigned to FINREP counterparty sectors according to the underlying risk of the securitisation positions. In FINREP, when securitized positions remain recognised in the balance sheet, the counterparty sectors are the sectors of the immediate counterparties of these positions
 (g) Other non credit obligations
 Various items of the balance sheet In FINREP, other items may be included under different asset categories.
ANNEX VI
IP LOSSES TEMPLATES
Template number Template code Name of the template /group of templates Short name
  IP LOSSES LE
15 C 15.00 Exposures and losses from lending collateralised by immovable property CR IP LOSSES
 Losses Exposures
Sum of losses stemming from lending up to the reference percentages Sum of overall losses Sum of the exposures
 of which: immovable property valued with mortgage lending value  of which: immovable property valued with mortgage lending value
Row column 010 020 030 040 050
collateralised by:     
010 Residential property     
020 Commercial immovable property     
ANNEX VII 1. This Annex contains additional instructions in relation to the tables included in Annex VI of this Regulation. This Annex complements the instructions in format of references included in the tables in Annex VI.
 2. All the general instructions included in Part I of Annex II of this regulation shall also apply.

1.  3. Data specified in Article 101 (1) of CRR is subject to reporting by all institutions using immovable property for the purposes of Part Three, Title II of CRR.
 4. The template covers all national markets an institution/group of institution is exposed to (see Article 101 (1) CRR). According to Article 101 (2) sentence 3 the data should be reported for each property market within the Union separately.

2.  5. Definition of loss: ‘Loss’ means ‘economic loss’ as defined in Article 5 (2) CRR, including losses stemming from leased property. The recovery flows stemming from other sources (e.g. bank guarantees, life insurance, etc) shall not be recognised when calculating losses stemming from immovable property. Losses of one position shall not be netted with the profit of a successful recovery of another position.
 6. According to the definition of Article 5(2) CRR, for exposures secured by residential and commercial property the calculation of economic loss should start from outstanding exposure value at reporting date and should include at least: (i) proceeds from collateral realisation; (ii) direct costs (including interest rates payments and workouts costs linked to the liquidation of the collateral); and (iii) indirect costs (including operating costs of the workout unit). All components need to be discounted to the reporting reference date.
 7. Exposure value: The exposure value follows the rules stipulated in Part Three, Title II of CRR (see Chapter 2 for institutions using the standardised approach, and Chapter 3 for institutions using the IRB approach).
 8. Property value: The property value follows the rules stipulated in Part Three, Title II of CRR
 9. F/X effect: The reporting currency shall be used with the exchange rate at the reporting date. The reporting currency shall be the exchange rate at the reporting date. Moreover, the estimates of the economic losses should consider the F/X effect if the exposure or collateral is denominated in different currency.

3.  10. 

a)) one total template
b)) one template for each national market in the Union where the institution is exposed to, and
c)) one template aggregating the data for all national markets outside the Union where the institution is exposed to.

4.  11. Exposures: All exposures that are treated according to Part Three, Title II of CRR and where the collateral is used to reduce own funds requirements, are reported in CR IP Losses. This also means that in case the risk mitigation effect of immovable property is only used for internal purposes (i.e. under Pillar 2) or for large exposures (see Part Four CRR), the exposures and losses concerned must not reported.
 12. Losses: The institution which has the exposure by the end of the reporting period shall report the losses. Losses shall be reported as soon as provisions are to be booked according to accounting rules. Also estimated losses should be reported. Loss data shall be collected on a loan-by-loan basis, i.e. aggregation of individual loss data stemming from exposures collateralised by immovable property.
 13. 

a)) Losses should be reported for all defaults on loans secured by real estate property that occur during the respective reporting period (i.e. irrespective of whether the work out is completed during the period or not). Since there may be a long time lag between default and loss realisation, loss estimates (which includes incomplete workout process) shall be reported in cases where the workout has not been completed within the reporting period.
b)) For all defaults observed within the reporting period, there are three scenarios: (i.) defaulted loan can be restructured so that it is no longer treated as in default (no loss observed); (ii.) realization of all collateral is completed (completed workout, actual loss known); or (iii.) incomplete workout (loss estimates to be used). Loss reporting shall include only losses stemming from scenario (ii.) realisation of collateral (observed losses) and scenario (iii.) incomplete workout (estimates of losses).
c)) As losses shall be reported only for exposures having defaulted during the reporting period, changes to losses of exposures having defaulted during previous reporting periods will not be reflected in the reported data. I.e. proceeds from the realisation of the collateral at a later reporting period or lower realised costs than previously estimated shall not be reported.
 14. Role of the valuation of the property: The latest valuation of the property before the default date of the exposure is needed as reference date for reporting the part of exposure secured by mortgages on immovable property. After default, the property might be re-valued. This new value should however not be relevant for identifying the part of the exposure which was originally fully (and completely) secured by the mortgages on immovable property. However the new value of the property shall be considered in economic loss reporting (a reduced property value is part of economic costs). In other words, the latest valuation of the property before the default date shall be used to determine which part of the loss shall be reported in cell 010 (identification of exposure values which is fully and completely secured) and the re-valued property value for the amount to be reported (estimation a possible workout from collateral) in cells 010 and 030.
 15. Treatment of loan sales during the reporting period: The institution which has the exposure by the end of the reporting period shall report losses, but only if a default for that exposure was identified.

5. 
Columns
010 
Article 101 (1) points a) and point d) of CRR respectively,

Market value and mortgage lending value according to Article 4 (74) and (76) of CRR

This column collects all losses stemming from lending collateralised by residential property or by commercial immovable property up to the part of exposure treated as fully and completely secured according to Article 124 paragraph 1 of CRR.

020 
Reporting of those losses, where the value of the collateral has been calculated as mortgage lending value.

030 
Article 101 (1) point b) and point e) CRR respectively

Market value and mortgage lending value according to Article 4 (74) and (76) of CRR

This column collects all losses stemming from lending collateralised by residential property or by commercial immovable property up to the part of exposure treated as fully secured according to Article 124 paragraph 1 of CRR.

040 
Reporting of those losses, where the value of the collateral has been calculated as mortgage lending value

050 
Article 101 (1) point c) and point f) CRR respectively

The value to be reported is only that part of the exposure value which is treated as fully secured by immovable property, i.e. the part that is treated as unsecured is not relevant for the loss reporting.

Rows
010 Residential property
020 Commercial immovable property
ANNEX VIII
Template number Template code Name of the template/group of templates Short name
  LARGE EXPOSURES LE
26 C 26.00 Large Exposures limits LE LIMITS
27 C 27.00 Identification of the counterparty LE 1
28 C 28.00 Exposures in the non-trading and trading book LE 2
29 C 29.00 Detail of the exposures to individual clients within groups of connected clients LE 3
30 C 30.00 Maturity buckets of the exposures in the non-trading and trading book LE 4
31 C 31.00 Maturity buckets of exposures to individual clients within groups of connected clients LE 5
 Applicable limit
column
010
row  
010 Non institutions 
020 Institutions 
030 Institutions in % 
COUNTERPARTY IDENTIFICATION
Code Name LEI code Residence of the counterparty Sector of the counterparty NACE code Type of counterparty
010 020 030 040 050 060 070
      




ANNEX IX

PART I: GENERAL INSTRUCTIONS
1.  1. 

a.. Large exposures limits
b.. Identification of the counterparty (LE1 template)
c.. Exposures in the non-trading and trading book (LE2 template)
d.. Detail of the exposures to individual clients within groups of connected clients (LE3 template)
e.. Maturity buckets of the 10 largest exposures to institutions and the 10 largest exposures to unregulated financial entities (LE4 template)
f.. Maturity buckets of the 10 largest exposures to institutions and the 10 largest exposures to unregulated financial entities: detail of the exposures to individual clients within groups of connected clients (LE5 template)
 2. The instructions include legal references as well as detailed information regarding the data that shall be reported in each template.
 3. The instructions and the validation rules follow the labelling convention set in the following paragraphs, when referring to the columns, rows and cells of the templates.
 4. The following convention is generally used in the instructions and validation rules: {Template;Row;Column}. An asterisk sign shall be used to express that the validation is done for all the rows reported.
 5. In the case of validations within a template, in which only data points of that template are used, notations do not refer to a template: {Row;Column}.
 6. ABS(Value) means the absolute value without sign.
 7. Any amount that increases the exposures shall be reported as a positive figure. On the contrary, any amount that reduces the exposures shall be reported as a negative figure. Where there is a negative sign (–) preceding the label of an item, no positive figure shall be reported for that item.

PART II: TEMPLATE RELATED INSTRUCTIONS
In this Annex, instructions relating to the reporting of Large Exposures shall also apply to the reporting of significant exposures required by Articles 9 and 11, in accordance with the scope defined in those Articles.

1.  1. In order to report information on large exposures to clients or groups of connected clients according to Article 394(1) of Regulation (EU) No 575/2013 on a solo basis, institutions shall use the templates LE1, LE2 and LE3.
 2. In order to report information on large exposures to clients or groups of connected clients according to Article 394(1) of Regulation (EU) No 575/2013 on a consolidated basis, the parent institutions in a Member State shall use templates LE1, LE2 and LE3.
 3. Every large exposure defined in accordance with Article 392 of Regulation (EU) No 575/2013 shall be reported, including the large exposures that shall not be considered for the compliance with the large exposure limit laid down in Article 395 of Regulation (EU) No 575/2013.
 4. In order to report information on the 20 largest exposures to clients or groups of connected clients according to the last sentence of Article 394(1) of Regulation (EU) No 575/2013 on a consolidated basis, the parent institutions in a Member State which are subject to Part three, Title II, Chapter 3 of Regulation (EU) No 575/2013 shall use templates LE1, LE2 and LE3. The exposure value resulting from subtracting the amount in column 320 (‘Amounts exempted’) of template LE2 from the amount in column 210 (‘Total’) of that same template is the amount that shall be used for determining these 20 largest exposures.
 5. In order to report information on the 10 largest exposures to institutions as well as on the 10 largest exposures to unregulated financial entities according to Article 394(2), points (a) to (d) of Regulation (EU) No 575/2013 on a consolidated basis, the parent institutions in a Member State shall use templates LE1, LE2 and LE3. For the reporting of the maturity structure of these exposures according to point (e) of Article 394(2) of Regulation (EU) No 575/2013, the parent institutions in a Member State shall use templates LE4 and LE5. The exposure value calculated in column 210 (‘Total’) of template LE2 is the amount that shall be used for determining these 20 largest exposures.
 6. The data on the large exposures and the relevant largest exposures to groups of connected clients and individual clients not belonging to a group of connected clients shall be reported in the template LE2 (in which a group of connected clients shall be reported as one single exposure.
 7. Institutions shall report in the LE3 template data regarding the exposures to individual clients belonging to the groups of connected clients, which are reported in the LE2 template. The reporting of an exposure to an individual client in the LE2 template shall not be duplicated in the LE3 template.

2.  8. The columns of the template LE1 shall present the information related to the identification of individual clients or groups of connected clients to which an institution has an exposure.
 9. 

a.. the exposure value before application of exemptions and before taking into account the effect of the credit risk mitigation, including the direct, indirect exposure and additional exposures arising from transactions where there is an exposure to underlying assets;
b.. the effect of the exemptions and of the credit risk mitigation techniques;
c.. the exposure value after application of exemptions and after taking into account the effect of the credit risk mitigation calculated for the purpose of Article 395(1) of Regulation (EU) No 575/2013.
 10. The columns of the templates LE4 and LE5 shall present the information regarding the maturity buckets to which the expected maturing amounts of the 10 largest exposures to institutions as well as the 10 largest exposures to unregulated financial entities shall be allocated.

3.  11. ‘Group of connected clients’ is defined in Article 4(39) of Regulation (EU) No 575/2013.
 12. ‘Unregulated financial entities’ are defined in Article 142(5) of Regulation (EU) No 575/2013.
 13. ‘Institutions’ shall include credit institutions and investment funds according to Article 4 of Regulation (EU) No 575/2013 and, for the purposes of this reporting, shall mean any private or public undertaking, including its branches, which has been authorised in a third country that applies prudential supervisory and regulatory requirements at least equivalent to those applied in the European Union.
 14. Exposures to ‘Civil-law associations’ shall be reported. In addition, institutions shall add the credit amounts of the civil-law association to the indebtedness of each partner. Exposures towards civil law associations featuring quotas shall be divided or allocated to the partners according to their respective quotas. Certain constructions (e.g. joint accounts, communities of heirs, straw-man loans) working in fact civil law associations have to be reported just like them.
 15. Assets and off balance sheet items shall be used without risk weights or degrees of risk in accordance to Article 389 of Regulation (EU) No 575/2013. Specifically, credit conversion factors shall not be applied to off balance sheet items.
 16. 

a.. Any asset or off-balance sheet items in the non-trading and trading book including items set out in Article 400 of Regulation (EU) No 575/2013, but excluding items which fall under effect of Article 390(6) points (a) to (d) of Regulation (EU) No 575/2013.
b.. ‘Indirect exposures’ are those exposures allocated to the guarantor or to the issuer of the collateral rather than to the immediate borrower in accordance with Article 403 of Regulation (EU) No 575/2013.
c.. The exposures to groups of connected clients shall be calculated in accordance with Article 390(5).
 17. The ‘Netting agreements’ shall be allowed to be taken into account to the effects of large exposures exposure value as laid down in paragraphs (1) to (3) of the Article 390 of Regulation (EU) No 575/2013. The exposure value of a derivative instrument listed in Annex II of Regulation (EU) No 575/2013 shall be determined in accordance with Part Three, Title II, Chapter 6 with the effects of contracts of novation and other netting agreements taken into account for the purposes of those methods in accordance with Part Three, Title II, Chapter 6. The exposure value of repurchase transaction, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions may be determined either in accordance with Part Three, Title II, Chapter 6 or Part Three, Title II, Chapter 4. In accordance to Article 296 of Regulation (EU) No 575/2013, the exposure value of a single legal obligation arising from the contractual cross-product netting agreement with a counterparty of the reporting institution shall be reported as ‘other commitments’ in the LE templates.
 18. The ‘Value of an exposure’ shall be calculated according to Article 390 of Regulation (EU) No 575/2013.
 19. The effect of the full or partial application of exemptions and eligible CRM techniques for the purposes of calculating of exposures for the purpose of Article 395(1) is described in Articles 399 to 403 of Regulation (EU) No 575/2013.
 20. Reverse repurchase agreements which fall under the reporting for large exposures shall be reported accordingly with Article 402(3) of the Regulation (EU) No 575/2013. Provided that the criteria in Article 402(3) of the Regulation (EU) No 575/2013 are met the institution shall report the large exposures to each third party for the amount of the claim that the counterparty to the transaction has on this third party and not for the amount of the exposure to the counterparty.

4.  4.1. 
Rows Legal references and instructions
010 
Articles 395(1), 458(2) point (d)(ii), 458(10) and 459(b) of Regulation (EU) No 575/2013.

The amount of the applicable limit for counterparties other than institutions shall be reported. This amount is 25% of the eligible capital, which is reported in row 220 of template 4 of Annex I, unless a more restrictive percentage applies due to the application of national measures in accordance with Article 458 of Regulation (EU) No 575/2013 or European delegated acts set in accordance with Article 459(b) of Regulation (EU) No 575/2013.

020 
Articles 395(1), 458(2) point (d)(ii), 458(10) and 459(b) of Regulation (EU) No 575/2013.

The amount of the applicable limit for counterparties which are institutions shall be reported. According to Article 395(1) of Regulation (EU) No 575/2013, this amount shall be the following:


— If the 25% of the eligible capital is greater than EUR 150 million (or a lower limit than EUR 150 million set out by the competent authority in accordance with the third paragraph of article 395(1) of Regulation (EU) No 575/2013), 25% of the eligible capital shall be reported.
— In other case, EUR 150 million (or a lower limit than EUR 150 million set out by the competent authority in accordance with the third paragraph of article 395(1) of Regulation (EU) No 575/2013) shall be reported, unless the institution has determined a lower limit in accordance with the policies and procedures to address and control concentration risk, as permitted by the second subparagraph of Article 395(1) of Regulation (EU) No 575/2013.

These limits may be stricter in case of application of national measures in accordance with Article 396(6) or Article 458 of Regulation (EU) No 575/2013 or European delegated acts set in accordance with Articles 459(b) of Regulation (EU) No 575/2013.

030 
Articles 395(1) and 459(a) of Regulation (EU) No 575/2013.

The amount that shall be reported is the absolute limit (reported in row 020) expressed as a percentage of the eligible capital.

5.  5.1. 
Column Legal references and instructions
010-070 
Institutions shall report the identification of any counterparty for which information is being submitted. It shall cover all codes as submitted according to column 010 in templates LE2 to LE5.

According to Article 394(1) point (a) of Regulation (EU) No 575/2013, institutions shall report the identification of the counterparty to which they have a large exposure as defined in Article 392 of Regulation (EU) No 575/2013.

According to Article 394(2) point (a) of Regulation (EU) No 575/2013, institutions shall report the identification of the counterparty to which they have the largest exposures (in the cases where the counterparty is an institution or an unregulated financial entity).

010 
The code shall correspond to the code of the group whenever a group of connected clients exists. In any other case, the code shall correspond to the individual counterparty.

The composition of the code depends on the national reporting system, unless a uniform codification is available in the EU.

For a group of connected clients, the code that shall be reported shall be the code of the parent company. When the group of connected clients does not have a parent, the code that shall be reported shall be the code of the individual entity which is considered by the institution as the most significant within the group of connected clients. This code shall be used in a consistent way across time.

020 
The name shall correspond to the name of the group whenever a group of connected clients exists. In any other case, the name shall correspond to the individual counterparty.

For a group of connected clients, the name that shall be reported shall be the name of the parent company or, when the group of connected clients does not have a parent, it shall be the group’s commercial name.

030 
The legal entity identifier code of the counterparty.

For a group of connected clients, the legal identifier code that shall be reported shall be the code of the parent company. When the group of connected clients does not have a parent, the code that shall be reported shall be the code of the individual entity which is considered by the institution as the most significant within the group of connected clients. This code shall be used in a consistent way across time.

040 
The ISO code 3166-1-alpha-2 of the country of incorporation of the counterparty shall be used (including pseudo-ISO codes for international organisations, available in the last edition of the Eurostat’s ‘Balance of Payments Vademecum’).

For groups of connected clients, no residence shall be reported.

050 
One sector shall be allocated to every counterparty on the basis of FINREP economic sector classes:

(i) Central Banks; (ii) General Governments; (iii) Credit institutions; (iv) Other financial corporations; (v) Non-financial corporations; (vi) households.

For groups of connected clients, no sector shall be reported.

060 
For the economic sector, the NACE codes (Nomenclature statistique des activités économiques dans la Communauté européenne = Statistical Classification of Economic Activities of the EU) shall be used.

This column shall apply only for the counterparties ‘Other financial corporations’ and ‘Non-financial corporations’. NACE codes shall be used for ‘Non-financial corporations’ with one level detail (e.g. ‘F – Construction’) and for ‘Other financial corporations’ with a two level detail, which provides separate information on insurance activities (e.g. ‘K65 - Insurance, reinsurance and pension funding, except compulsory social security’). 

The ‘Other financial corporations’ and ‘Non-financial corporations’ economic sectors shall be classified on the basis of FINREP counterparty breakdown.

For groups of connected clients, no NACE code shall be reported.

070 
Article 394(2)

The type of the counterparty of the 10 largest exposures to institutions and the 10 largest exposures to unregulated financial entities shall be specified by using ‘I’ for institutions or ‘U’ for unregulated financial entities.

6.  6.1. 

7.  7.1. 
Column Legal references and instructions
010-360 The institution shall report in the LE3 template the data of the individual clients belonging to the groups of connected clients included in the rows of LE2 template.
010 
See column 010 of template LE1.

020 
The code shall be the code of the parent company of the group of connected clients. When the group of connected clients does not have a parent, the code to be reported shall be the code of the individual entity which is considered by the institution as the most significant within the group of connected clients. This code shall be used in a consistent way across time.

The actual composition of the code shall depend on the national reporting system unless a uniform codification is available at the EU level.

When a client belongs to several groups of connected clients, it shall be reported as a member of all the groups of connected clients.

030 
See column 030 of template LE2.

040 
The type of connection between the individual entity and the group of connected clients shall be specified by using either:


 ‘a’ with the meaning of Article 4 (39) point a Regulation (EU) No 575/2013 (control); or
 ‘b’ with the meaning of Article 4 (39) point b Regulation (EU) No 575/2013 (interconnectedness).

050-360 When financial instruments in LE2 template are provided to the whole group of connected clients they shall be allocated to the individual counterparties in LE3 template in accordance with the business criteria of the institution.The remaining instructions are the same as for LE2.
8.  8.1. 
Column Legal references and instructions
010 
See column 010 of template LE1.

020-250 
Article 394(2) point (e) of Regulation (EU) No 575/2013

The institution shall report this information for the 10 largest exposures to institutions and the 10 largest exposures to unregulated financial entities.

The maturity buckets are defined with a monthly interval up to one year, with a quarterly interval from one year up to three years and with larger intervals from three years onwards.

For each exposure value before application of exemptions and CRM (column 210 of LE2 template), the expected amounts maturing shall be allocated to the respective bucket. Consequently, an exposure maybe spread across different columns. Instruments which do not have a fixed maturity, like equity, shall be included in the column ‘undefined maturity’.

The expected maturity of the exposure shall be reported for both direct and indirect exposures.

For direct exposures, when allocating expected amounts of equity instruments, debt instruments and derivatives into the different maturity buckets of this template, the instructions of the maturity ladder template of the additional metrics on liquidity shall be used (see consultation paper CP18 published on 23.05.2013).

In the case of off-balance sheet items, the maturity of the underlying risk shall be used in the allocation of expected amounts to maturity buckets. More specifically, for forward deposits that means the maturity structure of the deposit; for financial guarantees, the maturity structure of the underlying financial asset; for undrawn facilities of loan commitments, the maturity structure of the loan; and for other commitments, the maturing structure of the commitment.

In the case of indirect exposures, the allocation into maturity buckets shall be based on the maturity of the guaranteed operations which generate the direct exposure.

9.  9.1. 
Column Legal references and instructions
010-260 The institution shall report in the LE5 template the data of the individual counterparties belonging to the groups of connected clients included in the rows of LE4 template.
010 
See column 010 of template LE1.

020 
See column 020 of template LE3.

030-260 
See columns 020-250 of template LE4.

ANNEX X
LEVERAGE RATIO REPORTING TEMPLATES
Template code Template code Name of the template Short name
45 C 45.00 Leverage ratio calculation LRCalc
40 C 40.00 Alternative treatment of the exposure measure LR1
41 C 41.00 On- and Off-Balance Sheet items - Additional breakdown of exposures LR2
42 C 42.00 Alternative definition of capital LR3
43 C 43.00 Breakdown of leverage ratio exposure measure components LR4
44 C 44.00 General information LR5
46 C 46.00 Entities that are consolidated for accounting purposes but are not within the scope of prudential consolidation LR6


Row  Column
010
010 Common Equity Tier 1 capital - fully phased-in definition 
020 Common Equity Tier 1 capital - transitional definition 
030 Total own funds - fully phased-in definition 
040 Total own funds - transitional definition 
050 Regulatory adjustments - CET1 - fully phased-in definition 
060 Regulatory adjustments - CET1 - transitional definition 
070 Regulatory adjustments - Total own funds - fully phased-in definition 
080 Regulatory adjustments - Total own funds - transitional definition 

Row  Column
010
010 Institutions company structure 
020 Derivatives treatment 
030 Accounting framework 
040 Institution type 
050 Reporting calculation method 
060 Reporting level 


ANNEX XI

PART I: GENERAL INSTRUCTIONS
1.  1.1.  1. This Annex contains additional instructions for the Leverage Ratio (hereinafter ‘LR’) templates included in Annex X of this Standard.
 2. 

— Leverage Ratio Calculation (LRCalc): Leverage ratio calculation
— Leverage Ratio Template 1 (LR1): Alternative treatment of the exposure measure
— Leverage Ratio Template 2 (LR2): On and off-balance sheet items — additional breakdown of exposures
— Leverage Ratio Template 3 (LR3): Alternative definition of capital
— Leverage Ratio Template 4 (LR4): Breakdown of leverage ratio exposure measure components
— Leverage Ratio Template 5 (LR5): General information
— Leverage Ratio Template 6 (LR6): Entities that are consolidated for accounting purposes but are not within the scope of prudential consolidation.
 3. For each template legal references are provided as well as further detailed information regarding more general aspects of the reporting.
 1.2.  4. The document will follow the labelling convention set in the following paragraphs, when referring to the columns, rows and fields of the templates. These numerical codes are extensively used in the validation rules.
 5. The following general notation is followed in the instructions: {Template;Row;Column}. An asterisk sign will be used to express that the validation is done for the whole row or column.
 6. In the case of validations within a template, where only data points from that template are used, notations will not refer to a template: {Row;Column}.
 7. For the purpose of the reporting on leverage, ‘of which’ refers to an item that is a subset of a higher level exposure category whereas ‘memo item’ refers to a separate item that is not a subset of an exposure class. Reporting of both types of fields is mandatory unless otherwise specified.
 1.3.  8. All amounts shall be reported as positive figures. An exception are the amounts reported in {LRCalc;110;1}, {LRCalc;110;2}, {LRCalc;110;3}, {LRCalc;120;1}, {LRCalc;120;2}, {LRCalc;120;3}, {LRCalc;150;1}, {LRCalc;150;2}, {LRCalc;150;3}, {LRCalc;160;1}, {LRCalc;160;2}, {LRCalc;160;3}, {LRCalc;170;1}, {LRCalc;170;2}, {LRCalc;170;3}, {LRCalc;180;1}, {LRCalc;180;2}, {LRCalc;180;3}, {LRCalc;190;1}, {LRCalc;190;2}, {LRCalc;190;3}, {LR3;010;1}, LR3;020;1}, {LR3;030;1}, {LR3;040;1}, {LR3;050;1}, {LR3;060;1}, {LR3;070;1} and LR3;080;1} which can either take positive or negative values. Thereby note that, apart from extreme cases, {LRCalc;150;1}, {LRCalc;150;2}, {LRCalc;150;3}, {LRCalc;170;1}, {LRCalc;170;2}, {LRCalc;170;3}, {LR3;050;1}, {LR3;060;1}, {LR3;070;1} and {LR3;080;1} only take negative values. Also note that, apart from extreme cases, {LRCalc;110;1}, {LRCalc;110;2}, {LRCalc;110;3}, {LRCalc;120;1}, {LRCalc;120;2}, {LRCalc;120;3}, {LRCalc;180;1}, {LRCalc;180;2}, {LRCalc;180;3}, {LRCalc;190;1}, {LRCalc;190;2}, {LRCalc;190;3}, {LR3;010;1}, {LR3;020;1}, {LR3;030;1}, LR3;040;1} only take positive values.

PART II: TEMPLATE RELATED INSTRUCTIONS
1.  1. The leverage ratio template is divided into two parts. Part A comprises all the data items that enter into the calculation of the leverage ratio that institutions shall submit to competent authorities according to Article 430(1), 1st subparagraph, of the CRR, while Part B comprises all the data items that institutions shall submit according to Article 430(1), 2nd subparagraph of the CRR (ie for the purposes of the report referred to in Article 511 of the CRR).
 2. In Part A, institutions shall report end-of-month values unless the derogation specified in Article 499(3) of the CRR applies. In Part B, institutions shall report end-of-quarter values.
 3. When compiling the data for this ITS, institutions shall consider the treatment of fiduciary assets in accordance with Article 429(11) of the CRR.

2.  4. The leverage ratio is based on a capital measure and a total exposure measure, which can be calculated with fields from Part A.
 5. 
LeverageRatio−fullyphased−indefinition=LRmonth1PI+LRmonth2PI+LRmonth3PI3
 6. LR month 1 (PI) = {LRCalc;110;1}/[({LRCalc;010;1} + {LRCalc;020;1} + {LRCalc;030;1} + {LRCalc;040;1} + {LRCalc;050;1} + {LRCalc;060;1} + {LRCalc;070;1} + {LRCalc;080;1} + {LRCalc;090;1} + {LRCalc;100;1} + {LRCalc;130;1} + {LRCalc;150;1} — {LRCalc;160;1})]
 7. LR month 2 (PI) = {LRCalc;110;2}/[({LRCalc;010; 2} + {LRCalc;020; 2} + {LRCalc;030; 2} + {LRCalc;040; 2} + {LRCalc;050; 2} + {LRCalc;060; 2} + {LRCalc;070;2} + {LRCalc;080;2} + {LRCalc;090;2} + {LRCalc;100;2} + {LRCalc;130; 2} + {LRCalc;150; 2} — {LRCalc;160; 2})]
 8. LR month 3 (PI) = {LRCalc;110;3}/[{LRCalc;010;3} + {LRCalc;020;3} + {LRCalc;030;3} + {LRCalc;040;3} + {LRCalc;050;3} + {LRCalc;060;3} + {LRCalc;070;3} + {LRCalc;080;3} + {LRCalc;090;3} + {LRCalc;100;3} + {LRCalc;130;3} + {LRCalc;150;3} — {LRCalc;160;3}]
 9. 
LeverageRatio−transitionaldefinition=LRmonth1T+LRmonth2T+LRmonth3T3
 10. LR month 1 (T) = {LRCalc;120;1}/[({LRCalc;010;1} + {LRCalc;020;1} + {LRCalc;030;1} + {LRCalc;040;1} + {LRCalc;050;1} + {LRCalc;060;1} + {LRCalc;070;1} + {LRCalc;080;1} + {LRCalc;090;1} + {LRCalc;100;1} + {LRCalc;140;1} + {LRCalc;170;1} — {LRCalc;160;1})]
 11. LR month 2 (T) = {LRCalc;120;2}/[({LRCalc;010; 2} + {LRCalc;020; 2} + {LRCalc;030; 2} + {LRCalc;040; 2} + {LRCalc;050; 2} + {LRCalc;060; 2} + {LRCalc;070;2} + {LRCalc;080;2} + {LRCalc;090;2} + {LRCalc;100;2} + {LRCalc;140; 2} + {LRCalc;170; 2} — {LRCalc;160; 2})]
 12. LR month 3 (T) = {LRCalc;120;3}/[{LRCalc;010;3} + {LRCalc;020;3} + {LRCalc;030;3} + {LRCalc;040;3} + {LRCalc;050;3} + {LRCalc;060;3} + {LRCalc;070;3} + {LRCalc;080;3} + {LRCalc;090;3} + {LRCalc;100;3} + {LRCalc;140;3} + {LRCalc;170;3} — {LRCalc;160;3}]
 13. When the derogation specified in Article 499 (3) of the CRR applies, the leverage ratio — fully phased-in definition is equal to LR month 3 (PI) and the leverage ratio — transitional definition is equal to LR month 3 (T).

3.  14. In order to reduce the reporting burden for institutions with limited exposures in derivatives, the following measures are used to gauge the relative importance of derivatives exposures to the total exposure of the leverage ratio. Institutions shall calculate these measures as follows:
 15. 
Derivatives share=LRCalc;030;3+LRCalc;040;3+LRCalc;050;3Totalexposuremeasure
 16. Where total exposure measure is equal to: [{LRCalc;010;3} + {LRCalc;020;3} + {LRCalc;030;3} + {LRCalc;040;3} + {LRCalc;050;3} + {LRCalc;060;3} + {LRCalc;070;3} + {LRCalc;080;3} + {LRCalc;090;3} + {LRCalc;100;3} + {LRCalc;130;3} + {LRCalc;150;3} — {LRCalc;160;3}]
 17. Total notional value of derivatives = {LR1; 010; 7}
 18. Credit derivatives volume = {LR1;020;7} + {LR1;050;7}
 19. 

— The derivatives share referred to in paragraph 15 is more than 1.5 % on two consecutive reporting reference dates; or
— The derivatives share referred to in paragraph 15 exceeds 2.0 %.
 20. Institutions for which the total notional value of derivatives as defined in paragraph 17 exceeds 10 billion € must report the fields referred to in paragraph 22, even though their derivatives share does not fulfil the conditions described in paragraph 19.
 21. 

— The credit derivatives volume referred to in paragraph 18 is more than 300 million € on two consecutive reporting reference dates; or
— The credit derivatives volume referred to in paragraph 18 exceeds 500 million €.
 22. {LR1;010;1},{LR1;010;2},{LR1;010;3},{LR1;010;5};{LR1;010;6},{LR1;010;7},{LR1;020;1},{LR1;020;2},{LR1;020;5},{{LR1;020;7},{LR1;030;5},{LR1;030;7},{LR1;040;5},{LR1;040;7},{LR1;050;1},{LR1;050;2},{LR1;050;5}, },{LR1;050;7}, {LR1;060;1},{LR1;060;2},{LR1;060;5},{LR1;060;7}.
 23. {LR1;050;8}, {LR1;050;9},{LR1;050;10},{LR1;050;11}.

4.  24. This part of the reporting template collects the data that are needed to calculate the leverage ratio as defined in Article 429 of the CRR.
 25. Since the leverage ratio shall be calculated ‘as the simple arithmetic mean of the monthly leverage ratios over a quarter’, institutions shall report the components at an end-of-month basis unless the derogation specified in Article 499(3) of the CRR applies. If the latter is the case, institutions shall only report values in column 3 of LRCalc.
 26. Institutions shall perform the reporting of the leverage ratio quarterly. In each quarter, the ‘Month-1-value’ shall be the value at the last calendar day of the first month of the respective quarter, the ‘Month-2-value’ shall be the value at the last calendar day of the second month of the respective quarter and the ‘Month-3-value’ shall be the value at the last calendar day of the third month of the respective quarter.


5.  27. This part of the reporting collects data on alternative treatment of derivatives, repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions, and off-balance sheet items.
 28. Institutions shall determine the ‘accounting balance sheet values’ in LR1 based on the applicable accounting framework in accordance with Article 4(1)(77) of the CRR. ‘Accounting value assuming not netting or other CRM’ refers to the accounting balance sheet value not taking into account any effects of netting or risk mitigation.


6.  29. Panel LR2 provides information on additional breakdown items of all on and off balance sheet exposures belonging to the non-trading book and of all exposures of the trading book subject to counterparty credit risk. The breakdown is according to the risk weights applied under the credit risk section of the CRR. The information is derived differently for exposures under respectively the standardised and the IRB approach.
 30. For exposures supported by credit risk mitigation techniques implying the substitution of the risk weighting of the counterparty with the risk weighting of the guarantee, institutions shall refer to the risk weight after the substitution effect. Under the internal ratings-based approach for credit risk, institutions shall proceed with the following calculation: for exposures (other than those for which specific regulatory risk weights are provided for) belonging to each obligor grade, the risk weight shall be derived by dividing the risk weighted exposure obtained from the risk weight formula or the supervisory formula (for credit risk and securitisations exposures, respectively) by the exposure value after taking into account inflows and outflows due to CRM techniques with substitution effect on the exposure. Under the internal ratings-based approach, exposures classified as in default shall be excluded from rows 020 to 090 and included in row 100.
 31. Under both approaches, institutions shall consider exposures deducted from the regulatory capital as being applied a 1 250 % risk weight.

Row Legal references and instructions
010 
This is the sum of rows from 020 to 100.

020 
Exposures with a 0 % risk weight

030 
Exposures with a risk weight included within a range of risk weights strictly greater than 0 % and smaller than or equal to 12 %.

040 
Exposures with a risk weight included within a range of risk weights strictly greater than 12 % and smaller than or equal to 20 %.

050 
Exposures with a risk weight included within a range of risk weights strictly greater than 20 % and smaller than or equal to 50 %.

060 
Exposures with a risk weight included within a range of risk weights strictly greater than 50 % and smaller than or equal to 75 %.

070 
Exposures with a risk weight included within a range of risk weights strictly greater than 75 % and smaller than or equal to 100 %.

080 
Exposures with a risk weight included within a range of risk weights strictly greater than 100 % and smaller than or equal to 425 %.

090 
Exposures with a risk weight included within a range of risk weights strictly greater than 425 % and smaller than or equal to 1250 %.

100 
Under the SA approach, exposures falling under Article 112 (j) of the CRR

Under the IRB approach, all exposures with a PD of 100 % are default exposures.

110 
Low risk off-balance sheet items according to Article 111 of the CRR and off-balance sheet items attracting a 0 % conversion factor according to Article 166 of the CRR.

Column Legal references and instructions
1 
On- and off-balance sheet exposure values after taking into account value adjustments, all credit risk mitigants and credit conversion factors, as calculated under Title II, Chapter 2, Part Three of the CRR.

2 
On- and off balance sheet exposures values in accordance with Article 166 of the CRR and Article 230 (1) sentence 2 of the CRR, after taking into account outflows and inflows due to CRM techniques with substitution effects on the exposure.

For off-balance sheet items, institutions shall apply the conversion factors as defined in Article 166 (8) to (10) of the CRR.

3 
Exposure values of off-balance sheet items as defined in Article 111 and 166 of the CRR without the application of conversion factors.

7.  32. Template LR3 provides with the capital measures needed for the review provided for in Article 511 of the CRR.

Row and column Legal references and instructions
{010; 1} 
Article 50 of the CRR

This is the amount of capital as calculated under Article 50 of the CRR, without taking into account the derogation laid down in Chapters 1 and 2 of Part Ten of the CRR.

{020; 1} 
Article 50 of the CRR

This is the amount of capital as calculated under Article 50 of the CRR, after taking into account the derogation laid down in Chapters 1 and 2 of Part Ten of the CRR.

{030; 1} 
Article 72 of the CRR

This is the amount of capital as referred to in Article 72 of the CRR, without taking into account the derogation laid down in Chapters 1 and 2 of Part Ten of the CRR.

{040; 1} 
Article 72 of the CRR

This is the amount of capital as referred to in Article 72 of the CRR, after taking into account the derogation laid down in Chapters 1 and 2 of Part Ten of the CRR.

{050;1} 
It includes the amount of regulatory adjustments from CET1 as reported in Articles 32 to 35 of the CRR, the deductions pursuant to Articles 36 to 47, taking into account the exemptions, alternatives and waivers to such deductions laid down in Articles 48, 49 and 79, without taking into account the derogation laid down in Chapters 1 and 2 of Part Ten of the CRR. To avoid double counting, institutions shall not report adjustments already applied pursuant to Article 111 of the CRR when calculating the exposure value in fields {LRCalc;010;3}, {LRCalc;020;3}, {LRCalc;030;3} and {LRCalc;100;3}.

{060; 1} 
It includes the amount of regulatory adjustments from CET1 as reported in Articles 32 to 35 of the CRR, the deductions pursuant to Articles 36 to 47, taking into account the exemptions, alternatives and waivers to such deductions laid down in Articles 48, 49 and 79, in addition taking into account the derogation laid down in Chapters 1 and 2 of Part Ten of the CRR. To avoid double counting, institutions shall not report adjustments already applied pursuant to Article 111 of the CRR when calculating the exposure value in fields {LRCalc;010;3}, {LRCalc;020;3}, {LRCalc;030;3} and {LRCalc;100;3}.

{070; 1} 
It includes the adjustments required by Articles 32 to 35 of the CRR, the deductions pursuant to Articles 36 to 47, the deductions pursuant to Articles 56 to 60, as well as the deductions referred to in Articles 66 to 70, taking into account the exemptions, alternatives and waivers to such deductions laid down in Articles 48, 49 and 79, without taking into account the derogation laid down in Chapters 1 and 2 of Part Ten of the CRR. To avoid double counting, institutions shall not report adjustments already applied pursuant to Article 111 of the CRR when calculating the exposure value in fields {LRCalc;010;3}, {LRCalc;020;3}, {LRCalc;030;3} and {LRCalc;100;3}.

{080, 1} 
It includes the adjustments required by Articles 32 to 35 of the CRR, the deductions pursuant to Articles 36 to 47, the deductions pursuant to Articles 56 to 60, as well as the deductions referred to in Articles 66 to 70, taking into account the exemptions, alternatives and waivers to such deductions laid down in Articles 48, 49 and 79, in addition taking into account the derogation laid down in Chapters 1 and 2 of Part Ten of the CRR. To avoid double counting, institutions shall not report adjustments already applied pursuant to Article 111 of the CRR when calculating the exposure value in fields {LRCalc;010;3}, {LRCalc;020;3}, {LRCalc;030;3} and {LRCalc;100;3}.

8.  33. In order to avoid double-counting, institutions shall uphold the following:
 34. [{LRCalc;010;3}+{LRCalc;020;3}+{LRCalc;030;3}+{LRCalc;040;3}+{LRCalc;050;3}+{LRCalc;060;3}+{LRCalc;070;3}+{LRCalc;080;3}+{LRCalc;090;3}+{LRCalc;100;3}]= [{LR4;010;1}+{LR4;040;1}+{LR4;050;1}+{LR4;060;1}+{LR4;070;1}+{LR4;080;1}+{LR4;080;2}+{LR4;090;1}+{LR4;090;2}{LR4;140;1}+{LR4;140;2}+{LR4;180;1}+{LR4;180;2}+{LR4;190;1}+{LR4;190;2}+{LR4;210;1}+{LR4;210;2}+{LR4;230;1}+{LR4;230;2}+{LR4;280;1}+{LR4;280;2}+{LR4;290;1}+{LR4;290;2}]


9.  35. Additional information is collected here for the purpose of categorising the institution activities and the regulatory options chosen by the institution.

Row and column Instructions
{010;1} 
The institution shall classify its company structure according to the categories given below:


 Joint stock company
 Mutual/cooperative
 Other non-joint stock company

{020; 1} 
The institution shall specify the regulatory derivatives treatment according to the categories given below:


 Original exposure method
 Mark-to-market method

{030; 1} 
The institution shall specify the accounting framework used according to the categories given below:


 National GAAP
 IFRS

{040; 1} 
The institution shall classify its institution type according to the categories given below:


 Universal banking (retail/commercial and investment banking)
 Retail/commercial banking
 Investment banking
 Specialised lender

{050; 1} 
The institution shall specify whether the derogation specified in Article 499 (3) has been granted, i.e. whether the data reported is based on a quarterly average on monthly data or based on end-quarter data:


 Quarterly — based on monthly averages
 End-quarter

{060, 1} 
The institution shall classify whether the reporting entity is based on a individual or consolidated level:


 Individual
 Consolidated

10.  36. LR6 collects information on financial sector entities as defined in Article 4(1)(27) CRR that are consolidated according to the applicable accounting framework but are not included in the institution's prudential consolidation according to Chapter 2 of Title II of Part One of the CRR, securitisation entities that are consolidated according to the applicable accounting framework but are not included in the institution's prudential consolidation according to Chapter 2 of Title II of Part One of the CRR, and to commercial entities that are consolidated according to the applicable accounting framework but are not included in the institution's prudential consolidation according to Chapter 2 of Title II of Part One of the CRR.
 37. Institutions shall determine the total amount of the equity of the financial sector entities referred to in paragraph 36 reduced by the deductions that relate to the financial sector entities referred to in paragraph 36 pursuant to Article 36 paragraph 1, points (g), (h) and (i) of the CRR. To obtain the inclusion factor for financial sector entities, institutions shall divide the amount specified in the previous sentence by the total amount of the equity of the financial sector entities referred to in paragraph 36.
 38. Institutions shall determine the total amount of the equity of commercial entities referred to in paragraph 36 reduced by the deductions that relate to the commercial entities referred to in paragraph 36 pursuant to Article 36 paragraph 1, point (k)(i) of the CRR. To obtain the inclusion factor for commercial entities, institutions shall divide the amount specified in the previous sentence by the total amount of the equity of the commercial entities referred to in paragraph 36.
 39. For commercial entities referred to in paragraph 36, institutions shall gauge the potential relative importance of these entities to the total exposure of the leverage ratio on an entity by entity basis. When reporting the fields referred to in paragraph 40, institutions are not required to take into account those commercial entities for which the value that enters into {LR6;140; 3} is less than 0.1 % of the amount determined according to paragraph 16.
 40. {LR6;010; 3}, {LR6;020; 3}, {LR6;030; 3}, {LR6;040; 3}, {LR6;050; 3}, {LR6;060; 3}, {LR6;070; 3}, {LR6;080; 3}, {LR6;090; 3}, {LR6;100; 3}, {LR6;110; 3} to {LR6;120; 3}.
 41. For the purpose of LR6 institutions shall treat an entity as a securitisation entity if it is 4(1)(61)4(1)(63)a securitisation special purpose entity as defined in Article 4(1)(66).
 42. For the purpose of LR6 institutions shall treat an entity as a commercial entity if it is an entity that is not a financial sector entity as defined in Article 4(1)(27) CRR and is not a entity within the scope of the previous paragraph.


ANNEX XII
LIQUIDITY TEMPLATES
Template number Template code Name of the template/group of templates
LIQUIDITY COVERAGE TEMPLATES
  PART I — LIQUID ASSETS
51 C 51.00 LIQUIDITY COVERAGE — LIQUID ASSETS
  PART II — OUTFLOWS
52 C 52.00 LIQUIDITY COVERAGE — OUTFLOWS
  PART III — INFLOWS
53 C 53.00 LIQUIDITY COVERAGE — INFLOWS
  PART IV — COLLATERAL SWAPS
54 C 54.00 LIQUIDITY COVERAGE — COLLATERAL SWAPS
STABLE FUNDING TEMPLATES
  PART V — STABLE FUNDING
60 C 60.00 STABLE FUNDING — ITEMS REQUIRING STABLE FUNDING
61 C 61.00 STABLE FUNDING — ITEMS PROVIDING STABLE FUNDING






ANNEX XIII 1.  1.1.  1. This is a summary template which contains information about assets for the purpose of monitoring the liquidity coverage requirement as specified in Article 412 REGULATION (EU) NO 575/2013. Items which do not need to be completed by institutions are colored grey.
 2. Assets shall be reported in one of six sections in this template:
 3. Assets which meet the requirements of Article 416 and Article 417: assets identified as liquid for reporting purposes in the REGULATION (EU) NO 575/2013, which meet the operational requirements for holdings of liquid assets.
 4. Assets which meet the requirements of Article 416 (1) (b) and (d) but do not meet the requirements of Article 417 (b) and (c) REGULATION (EU) NO 575/2013.
 5. Items subject to supplementary reporting of liquid assets according to Annex III REGULATION (EU) NO 575/2013
 6. Assets which do not meet the requirements of Article 416 REGULATION (EU) NO 575/2013 but meet the requirements of Article 417(b) and (c) REGULATION (EU) NO 575/2013.
 7. Treatment for jurisdictions with insufficient liquid assets
 8. Reporting of Shar'iah compliant assets as alternative assets under Article 509(2)(i).
 1.2.  9. For items 1.1 to 1.2 institutions shall report the relevant amounts in column 030.
 10. For items 1.3 to 1.4 institutions shall report the market value of assets in column 010 and the value according to Article 418 in column 020 for each category of assets.
 11. For item 1.5 institutions shall report the relevant undrawn amount in column 040.
 12. For item 1.6.1/1.6.2 institutions shall report the relevant amounts in column 030/040.
 13. For items 1.7 to 2.2, in accordance with the last paragraph of Article 416(1) REGULATION (EU) NO 575/2013 and pending a uniform definition in accordance with Article 460 of high and extremely high liquidity and credit quality, institutions shall identify themselves in a given currency transferable assets that are of extremely high and high liquidity and credit quality and report their market value in columns 010 and 030 and the value according to Article 418 in columns 020 and 040.
 14. For items 1.3 to 1.4 and 1.7 to 1.14, institutions shall only report assets that fulfill all the operational requirements referred to in Article 417 REGULATION (EU) NO 575/2013.
 15. For items 2.1 to 2.2, institutions shall report assets which would otherwise qualify to be reported in section 1.1 to 1.14 but do not meet the operational requirements referred to in Article 417 (b) and (c) REGULATION (EU) NO 575/2013.
 16. For items 1.1 to 2.2, with the exception of item 1.5, institutions shall only report assets which fulfill all the conditions referred to in Article 416(3) REGULATION (EU) NO 575/2013.
 17. For items 3.1 to 3.12, institutions shall only report assets subject to supplementary reporting of liquid assets in accordance with Annex III REGULATION (EU) NO 575/2013. All items, with the exception of those referred to in sections 3.1, 3.2 and 3.9, must satisfy the conditions as set out in the last paragraph of that Annex.
 18. For items 4.1 to 4.12.3, institutions shall only report assets which do not meet the requirements of Article 416 REGULATION (EU) NO 575/2013 but still meet the requirements of Article 417(b) and (c) REGULATION (EU) NO 575/2013
 19. For items 5.1 to 5.2, institutions shall only report items related to the derogations as referred to in Article 419(2) REGULATION (EU) NO 575/2013 for currencies with constraints on the availability of liquid assets
 20. For items 6.1 to 6.1.3, only Shar'iah compliant banks shall report items that are Shar'iah compliant financial products as an alternative to assets that would qualify as liquid assets for the purposes of Article 416 REGULATION (EU) NO 575/2013
 21. The value of the liquid assets of all items in the template, with the exception of 1.1 to 1.2.1, 1.5 to 1.6.2, 3.1 to 3.2, 3.9 to 3.10 and 5.2 shall be the market value and the value after the application of the relevant haircuts. For items 1.1 to 1.2.1, 1.6 to 1.6.2, 3.1 to 3.2, 3.10 and 5.2 the amount of the item shall be reported. For item 1.5 and 3.9 the undrawn amount of the line shall be reported.
 1.2.1. 
 1.  1.1.  1. This is a summary template which contains information about liquidity outflows measured over the next 30 days, for the purpose of monitoring the liquidity coverage requirement as specified in Article 412 of the REGULATION (EU) NO 575/2013. Items which do not need to be completed by institutions are coloured grey.
 2. In accordance with Article 420 REGULATION (EU) NO 575/2013, this section covers reporting requirements on retail deposits (Article 421), other deposits and liabilities (Article 422), additional outflows (Article 423) and outflows from credit and liquidity facilities (Article 424).
 3. In accordance with Article 421(5) of the REGULATION (EU) NO 575/2013, institutions may exclude from the calculation of outflows certain clearly circumscribed categories of retail deposits. For completeness, the reporting of these deposits is requested in item 1.1.6 of the template.
 1.2.  1.2.1. 
 1.  1.1.  1. This is a summary template which contains information about liquidity inflows measured over the next 30 days, for the purpose of monitoring the liquidity coverage requirement as specified in Article 412 of the REGULATION (EU) NO 575/2013. Items which do not need to be completed by institutions are coloured grey.
 2. 

((i)) comprise only contractual inflows from exposures that are not passed due and for which the bank has no reason to expect non-performance within the 30-day time horizon.
((ii)) be reported in full,.
 3. In accordance with Article 425(7) REGULATION (EU) NO 575/2013, institutions shall not report inflows from any of the liquid assets reported in accordance with Article 416 other than payments due on the assets that are not reflected in the market value of the asset.
 4. In accordance with Article 425(8) REGULATION (EU) NO 575/2013, institutions shall not report inflows from any new obligations entered into.
 1.2.  1.2.1. 
 1. 

((a)) Collateral swaps sub template

i.. Instructions concerning specific rows
Row Legal references and instructions
 1. Collateral Swaps
Article 415(1) paragraph 2 of REGULATION (EU) NO 575/2013.Institutions shall report any collateral swap where liquid assets referred to in points (a), (b) or (c) of Article 416 have been obtained against collateral that does not qualify under points (a), (b) and(c) of Article 416(1).Assets that do not qualify under points (a), (b) and(c) of Article 416(1) of REGULATION (EU) NO 575/2013 are referred to as ‘other assets’ in this template.Collateral swaps maturating in less than or equal to 30 days shall be reported in columns 010 and 020. In column 010 the notional amount shall be reported. In column 020 the market value shall be reported.Collateral swaps maturating in greater than 30 days shall be reported in columns 030 and 040. In column 030 the notional amount shall be reported. In column 040 the market value shall be reported.
010-060  1.0 Assets

010  1.1 cash and exposures to central banks
Article 416(1)(a) REGULATION (EU) NO 575/2013
020  1.2 other transferable assets according to Article 416(1)(b)
Article 416(1)(b) REGULATION (EU) NO 575/2013
030-060  1.3 other transferable assets representing claims on or guaranteed by
Article 416(1)(c) of REGULATION (EU) NO 575/2013The following subcategories shall be reported:
030  1.3.1 transferable assets representing claims on or guaranteed by the central government of a Member State, on a region with fiscal autonomy to raise and collect taxes, or of a third country in the domestic currency of the central or regional government, if the institution incurs a liquidity risk in that Member State or third country that it covers by holding those liquid assets
Article 416(1)(c)(i) of REGULATION (EU) NO 575/2013
040  1.3.2 transferable assets representing claims on or guaranteed by central banks and non-central government public sector entities in the domestic currency of the central bank and public sector entity
Article 416(1)(c)(ii) of REGULATION (EU) NO 575/2013
050  1.3.3 transferable assets representing claims on or guaranteed by the Bank for International Settlements, the International Monetary Fund, the Commission and multilateral development banks
Article 416(1)(c)(iii) of REGULATION (EU) NO 575/2013
060  1.3.4 transferable assets representing claims on or guaranteed by the European Financial Stability Facility and the European Stability Mechanism
Article 416(1)(c)(iv) of REGULATION (EU) NO 575/2013
 1.  1.1.  1. This is a summary template which contains information about items providing stable funding. Items which do not need to be completed by institutions are coloured grey.
 2. All own funds and liabilities reported on an institution's balance sheet shall be reported here. The total amount of these two categories shall therefore reflect the size of the institutions' total assets.
 3. 

((a)) liabilities for which the closer of their maturity date and the earliest date at which they can contractually be called is within three months of the reporting date, shall be reported in column F of the relevant category. All sight deposits shall be reported here.
((b)) liabilities for which the closer of their maturity date and the earliest date at which they can contractually be called is between three and six months from the reporting date, shall be reported in column G of the relevant category.
((c)) liabilities for which the closer of their maturity date and the earliest date at which they can contractually be called is between 6 and 9 months from the reporting date, shall be reported in column H of the relevant category.
((d)) liabilities for which the closer of their maturity date and the earliest date at which they can contractually be called is between 9 and 12 months from the reporting date, shall be reported in column I of the relevant category.
((e)) liabilities for which the closer of their maturity date and the earliest date at which they can contractually be called is beyond one year of the reporting date and own funds shall be reported in column J of the relevant category.
 4. Institutions shall assume that investors redeem a call option at the earliest possible date. For funding with options exercisable at the institution's discretion, reputational factors that may limit the institution's ability to exercise the option shall be taken into account. In particular, where the market expects certain liabilities to be redeemed before their legal final maturity date, institutions shall assume such behaviour.
 5. For retail deposits reported in section 1.2, the same assumptions with regard to maturity for the Liquidity Coverage template shall be used in the Available Stable Funding template.
 1.2.  1.2.1. 
 2.  2.1.  1. This is a summary template which contains information about items requiring stable funding. Items which do not need to be completed by institutions are coloured grey.
 2. All assets reported on an institutions balance sheet shall be reported here. The total amount reported shall therefore reflect the size of total own funds and liabilities together.
 3. 

((i)) In accordance with Article 428(2) of the REGULATION (EU) NO 575/2013, items shall be presented in five buckets as follows:

((a)) assets for which the closer of their maturity date and the earliest date at which they can contractually be called is within three months of the reporting date, shall be reported in column 010, 060 or 110 depending on the relevant category.
((b)) assets for which the closer of their maturity date and the earliest date at which they can contractually be called is between three and six months from the reporting date, shall be reported in column 020, 070, or 120 depending on the relevant category.
((c)) assets for which the closer of their maturity date and the earliest date at which they can contractually be called is between 6 and 9 months from the reporting date, shall be reported in column 030, 080, or 130 depending on the relevant category.
((d)) assets for which the closer of their maturity date and the earliest date at which they can contractually be called is between 9 and 12 months from the reporting date, shall be reported in column 040, 090, or 140 depending on the relevant category.
((e)) assets for which the closer of their maturity date and the earliest date at which they can contractually be called is beyond one year of the reporting date and own funds shall be reported in column 050, 100, or 150 depending on the relevant category.
((ii)) For options exercisable at the institution's discretion, institutions shall take into account reputational factors that may limit the ability not to exercise the option. In particular, if third parties expect that an option will not be exercised, the institution shall assume such behaviour for the purpose of reporting assets in this template.
((iii)) Assets shall be reported according to their residual contract maturity and not behavioural assumptions.
 4. 

((i)) The amount of assets reported which are unencumbered shall be reported in the first sub-category.
((ii)) The amount of assets which are encumbered shall be reported in the relevant sub-line depending on the period of encumbrance, as follows:

i.. for a period within three months
ii.. for a period between three and 6 months
iii.. for a period between 6 and 9 months
iv.. for a period between 9 and 12 months
v.. for a period greater than 12 months
 5. 

((i)) Institutions shall exclude assets which they have borrowed in secured lending and capital market driven transactions in accordance with Article 192 or REGULATION (EU) NO 575/2013 (such as reverse repurchase transactions and collateral swaps) of which they do not have beneficial ownership.
((ii)) Institutions shall report those assets they have lent in secured lending and capital market driven transactions in accordance with Article 192 or REGULATION (EU) NO 575/2013 (such as repurchase transactions or collateral swaps) of which they retain beneficial ownership.
((iii)) Where an institution has encumbered securities in repurchase transactions lent in secured lending and capital market driven transactions in accordance with Article 192 or REGULATION (EU) NO 575/2013 but retained beneficial ownership and they remain on their balance sheet, they shall allocate such securities to the appropriate RSF category.
 6. 

((i)) An institution will usually have both net derivatives liabilities (i.e. payables) and net derivative assets (i.e. receivables) on its balance sheet. Institutions shall calculate these according to regulatory netting rules, not accounting rules, and report the amounts in both template 1.1. ‘Required funding’ and template 1.2 ‘Stable funding’ accordingly.
 2.2.  2.2.1. 

ANNEX XIV







ANNEX XV

