
Article 1 
Implementing Regulation (EU) No 680/2014 is amended as follows:

((1)) Article 5 is amended as follows:

((a)) point (a) is amended as follows:

((i)) point (7) is deleted;
((ii)) point (8) is replaced by the following:
'
((8)) the information on securitisation exposures specified in template 13.01 of Annex I, in accordance with the instructions in point 3.7 of Part II of Annex II;';
((b)) in point (b), point (1) is replaced by the following:
'
((1)) the information on all securitisation exposures as specified in templates 14 and 14.01 of Annex I, in accordance with the instructions in point 3.9 of Part II of Annex II;
Institutions shall be exempted from submitting those securitisation details where they are part of a group in the same country in which they are subject to own funds requirements;';
((2)) in Article 9, paragraph 2 is amended as follows:

((i)) point (c) is replaced by the following:
'
((c)) the information specified in Part 4 of Annex III, with the exception of the information specified in template 47, with an annual frequency;';
((ii)) the following points (h) and (i) are added:
'
((h)) with a quarterly frequency, the information specified in templates 23 to 26 in Part 2 of Annex III where both of the following conditions are fulfilled:

((i)) the institution is not a small and non-complex institution as defined in point (145) of Article 4(1) of Regulation (EU) No 575/2013;
((ii)) the ratio between the institution’s gross carrying amount of non-performing loans and advances and the total gross carrying amount of loans and advances falling under the category of non-performing exposures as set out in section 17 of Part 2 of Annex V to this Regulation is equal to or higher than 5 %. For the purposes of this point, the ratio shall exclude loans and advances classified as held for sale, cash balances at central banks and other demand deposits in both the numerator and the denominator.
The entry and exit criteria referred to in Article 4 shall apply.
((i)) with an annual frequency, the information specified in template 47 in Part 4 of Annex III where both of the conditions referred to in points (i) and (ii) of point (h) of this paragraph are fulfilled. The entry and exit criteria referred to in Article 4 shall apply.';
((3)) in Article 11, paragraph 2 is amended as follows:

((i)) point (c) is replaced by the following:
'
((c)) the information specified in Part 4 of Annex IV, with the exception of the information specified in template 47, with an annual frequency;';
((ii)) the following points (h) and (i) are added:
'
((h)) with a quarterly frequency, the information specified in templates 23 to 26 in Part 2 of Annex IV where the conditions referred to in points (i) and (ii) of point (h) of Article 9(2) are fulfilled. The entry and exit criteria referred to in Article 4 shall apply;
((i)) with an annual frequency, the information specified in template 47 in Part 4 of Annex IV where the conditions referred to in points (i) and (ii) of point (h) of Article 9(2) are fulfilled. The entry and exit criteria referred to in Article 4 shall apply.';
((4)) Annex I is replaced by the text in Annex I to this Regulation;
((5)) Annex II is replaced by the text in Annex II to this Regulation.
((6)) Annex III is replaced by the text in Annex III to this Regulation.
((7)) Annex IV is replaced by the text in Annex IV to this Regulation.
((8)) Annex V is replaced by the text in Annex V to this Regulation.
((9)) Annex XVIII is replaced by the text in Annex VI to this Regulation;
((10)) Annex XIX is replaced by the text in Annex VII to this Regulation.
((11)) Annex XXIV is replaced by the text in Annex VIII to this Regulation;
((12)) Annex XXV is replaced by the text in Annex IX to this Regulation.
Article 2 
This Regulation shall enter into force on the day following that of its publication in the Official Journal of the European Union.
Points (1), (4) and (5) of Article 1 shall apply from 30 March 2020. Points (9) to (12) of Article 1 shall apply from 1 April 2020. Points (2), (3), (6) to (8) of Article 1 shall apply from 1 June 2020.
This Regulation shall be binding in its entirety and directly applicable in all Member States.Done at Brussels, 14 February 2020.
For the Commission
The President
Ursula VON DER LEYEN
ANNEX I


ANNEX I 
COREP TEMPLATES
Template number Template code Name of the template /group of templates Short name
  CAPITAL ADEQUACY CA
1 C 01.00 OWN FUNDS CA1
2 C 02.00 OWN FUNDS REQUIREMENTS CA2
3 C 03.00 CAPITAL RATIOS CA3
4 C 04.00 MEMORANDUM ITEMS: CA4
  TRANSITIONAL PROVISIONS CA5
5.1 C 05.01 TRANSITIONAL PROVISIONS CA5.1
5.2 C 05.02 GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUING STATE AID CA5.2
  GROUP SOLVENCY GS
6.1 C 06.01 GROUP SOLVENCY: INFORMATION ON AFFILIATES – TOTAL GS Total
6.2 C 06.02 GROUP SOLVENCY: INFORMATION ON AFFILIATES GS
  CREDIT RISK CR
7 C 07.00 CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: STANDARDISED APPROACH TO CAPITAL REQUIREMENTS CR SA
  CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS CR IRB
8.1 C 08.01 CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS CR IRB 1
8.2 C 08.02 CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS (Breakdown by obligor grades or pools) CR IRB 2
  GEOGRAPHICAL BREAKDOWN CR GB
9.1 C 09.01 Table 9.1 – Geographical breakdown of exposures by residence of the obligor (SA exposures) CR GB 1
9.2 C 09.02 Table 9.2 – Geographical breakdown of exposures by residence of the obligor (IRB exposures) CR GB 2
9.4 C 09.04 Table 9.4 – Breakdown of credit exposures relevant for the calculation of the countercyclical buffer by country and institution-specific countercyclical buffer rate CCB
  CREDIT RISK: EQUITY – IRB APPROACHES TO CAPITAL REQUIREMENTS CR EQU IRB
10.1 C 10.01 CREDIT RISK: EQUITY – IRB APPROACHES TO CAPITAL REQUIREMENTS CR EQU IRB 1
10.2 C 10.02 CREDIT RISK: EQUITY – IRB APPROACHES TO CAPITAL REQUIREMENTS. BREAKDOWN OF TOTAL EXPOSURES UNDER THE PD/LGD APRROACH BY OBLIGOR GRADES: CR EQU IRB 2
11 C 11.00 SETTLEMENT/DELIVERY RISK CR SETT
13.1 C 13.01 CREDIT RISK: SECURITISATIONS CR SEC
14 C 14.00 DETAILED INFORMATION ON SECURITISATIONS CR SEC Details
14.1 C 14.01 DETAILED INFORMATION ON SECURITISATIONS BY APPROACH CR SEC Details 2
  OPERATIONAL RISK OPR
16 C 16.00 OPERATIONAL RISK OPR
  OPERATIONAL RISK: LOSSES AND RECOVERIES 
17.1 C 17.01 OPERATIONAL RISK: LOSSES AND RECOVERIES BY BUSINESS LINES AND LOSS EVENT TYPES IN THE LAST YEAR OPR DETAILS 1
17.2 C 17.02 OPERATIONAL RISK: LARGE LOSS EVENTS OPR DETAILS 2
  MARKET RISK MKR
18 C 18.00 MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS MKR SA TDI
19 C 19.00 MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS MKR SA SEC
20 C 20.00 MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN THE CORRELATION TRADING PORTFOLIO MKR SA CTP
21 C 21.00 MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES MKR SA EQU
22 C 22.00 MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK MKR SA FX
23 C 23.00 MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES MKR SA COM
24 C 24.00 MARKET RISK INTERNAL MODELS MKR IM
25 C 25.00 CREDIT VALUE ADJUSTMENT RISK CVA
  PRUDENT VALUATION MKR
32.1 C 32.01 PRUDENT VALUATION: FAIR-VALUED ASSETS AND LIABILITIES PRUVAL 1
32.2 C 32.02 PRUDENT VALUATION: CORE APPROACH PRUVAL 2
32.3 C 32.03 PRUDENT VALUATION: MODEL RISK AVA PRUVAL 3
32.4 C 32.04 PRUDENT VALUATION: CONCENTRATED POSITIONS AVA PRUVAL 4
  GENERAL GOVERNMENTS EXPOSURES MKR
33 C 33.00 GENERAL GOVERNMENTS EXPOSURES BY COUNTRY OF THE COUNTERPARTY GOV
Rows ID Item Amount
010 1 OWN FUNDS 
015 1.1 TIER 1 CAPITAL 
020 1.1.1 COMMON EQUITY TIER 1 CAPITAL 
030 1.1.1.1 Capital instruments eligible as CET1 Capital 
040 1.1.1.1.1 Paid up capital instruments 
045 1.1.1.1.1* Of which: Capital instruments subscribed by public authorities in emergency situations 
050 1.1.1.1.2* Memorandum item: Capital instruments not eligible 
060 1.1.1.1.3 Share premium 
070 1.1.1.1.4 (-) Own CET1 instruments 
080 1.1.1.1.4.1 (-) Direct holdings of CET1 instruments 
090 1.1.1.1.4.2 (-) Indirect holdings of CET1 instruments 
091 1.1.1.1.4.3 (-) Synthetic holdings of CET1 instruments 
092 1.1.1.1.5 (-) Actual or contingent obligations to purchase own CET1 instruments 
130 1.1.1.2 Retained earnings 
140 1.1.1.2.1 Previous years retained earnings 
150 1.1.1.2.2 Profit or loss eligible 
160 1.1.1.2.2.1 Profit or loss attributable to owners of the parent 
170 1.1.1.2.2.2 (-) Part of interim or year-end profit not eligible 
180 1.1.1.3 Accumulated other comprehensive income 
200 1.1.1.4 Other reserves 
210 1.1.1.5 Funds for general banking risk 
220 1.1.1.6 Transitional adjustments due to grandfathered CET1 Capital instruments 
230 1.1.1.7 Minority interest given recognition in CET1 capital 
240 1.1.1.8 Transitional adjustments due to additional minority interests 
250 1.1.1.9 Adjustments to CET1 due to prudential filters 
260 1.1.1.9.1 (-) Increases in equity resulting from securitised assets 
270 1.1.1.9.2 Cash flow hedge reserve 
280 1.1.1.9.3 Cumulative gains and losses due to changes in own credit risk on fair valued liabilities 
285 1.1.1.9.4 Fair value gains and losses arising from the institution’s own credit risk related to derivative liabilities 
290 1.1.1.9.5 (-) Value adjustments due to the requirements for prudent valuation 
300 1.1.1.10 (-) Goodwill 
310 1.1.1.10.1 (-) Goodwill accounted for as intangible asset 
320 1.1.1.10.2 (-) Goodwill included in the valuation of significant investments 
330 1.1.1.10.3 Deferred tax liabilities associated to goodwill 
340 1.1.1.11 (-) Other intangible assets 
350 1.1.1.11.1 (-) Other intangible assets before deduction of deferred tax liabilities 
360 1.1.1.11.2 Deferred tax liabilities associated to other intangible assets 
370 1.1.1.12 (-) Deferred tax assets that rely on future profitability and do not arise from temporary differences net of associated tax liabilities 
380 1.1.1.13 (-) IRB shortfall of credit risk adjustments to expected losses 
390 1.1.1.14 (-)Defined benefit pension fund assets 
400 1.1.1.14.1 (-)Defined benefit pension fund assets 
410 1.1.1.14.2 Deferred tax liabilities associated to defined benefit pension fund assets 
420 1.1.1.14.3 Defined benefit pension fund assets which the institution has an unrestricted ability to use 
430 1.1.1.15 (-) Reciprocal cross holdings in CET1 Capital 
440 1.1.1.16 (-) Excess of deduction from AT1 items over AT1 Capital 
450 1.1.1.17 (-) Qualifying holdings outside the financial sector which can alternatively be subject to a 1 250 % risk weight 
460 1.1.1.18 (-) Securitisation positions which can alternatively be subject to a 1 250 % risk weight 
470 1.1.1.19 (-) Free deliveries which can alternatively be subject to a 1 250 % risk weight 
471 1.1.1.20 (-) Positions in a basket for which an institution cannot determine the risk weight under the IRB approach, and can alternatively be subject to a 1 250 % risk weight 
472 1.1.1.21 (-) Equity exposures under an internal models approach which can alternatively be subject to a 1 250 % risk weight 
480 1.1.1.22 (-) CET1 instruments of financial sector entites where the institution does not have a significant investment 
490 1.1.1.23 (-) Deductible deferred tax assets that rely on future profitability and arise from temporary differences 
500 1.1.1.24 (-) CET1 instruments of financial sector entities where the institution has a significant investment 
510 1.1.1.25 (-) Amount exceeding the 17,65 % threshold 
520 1.1.1.26 Other transitional adjustments to CET1 Capital 
524 1.1.1.27 (-) Additional deductions of CET1 Capital due to Article 3 CRR 
529 1.1.1.28 CET1 capital elements or deductions – other 
530 1.1.2 ADDITIONAL TIER 1 CAPITAL 
540 1.1.2.1 Capital instruments eligible as AT1 Capital 
550 1.1.2.1.1 Paid up capital instruments 
560 1.1.2.1.2* Memorandum item: Capital instruments not eligible 
570 1.1.2.1.3 Share premium 
580 1.1.2.1.4 (-) Own AT1 instruments 
590 1.1.2.1.4.1 (-) Direct holdings of AT1 instruments 
620 1.1.2.1.4.2 (-) Indirect holdings of AT1 instruments 
621 1.1.2.1.4.3 (-) Synthetic holdings of AT1 instruments 
622 1.1.2.1.5 (-) Actual or contingent obligations to purchase own AT1 instruments 
660 1.1.2.2 Transitional adjustments due to grandfathered AT1 Capital instruments 
670 1.1.2.3 Instruments issued by subsidiaries that are given recognition in AT1 Capital 
680 1.1.2.4 Transitional adjustments due to additional recognition in AT1 Capital of instruments issued by subsidiaries 
690 1.1.2.5 (-) Reciprocal cross holdings in AT1 Capital 
700 1.1.2.6 (-) AT1 instruments of financial sector entities where the institution does not have a significant investment 
710 1.1.2.7 (-) AT1 instruments of financial sector entities where the institution has a significant investment 
720 1.1.2.8 (-) Excess of deduction from T2 items over T2 Capital 
730 1.1.2.9 Other transitional adjustments to AT1 Capital 
740 1.1.2.10 Excess of deduction from AT1 items over AT1 Capital (deducted in CET1) 
744 1.1.2.11 (-) Additional deductions of AT1 Capital due to Article 3 CRR 
748 1.1.2.12 AT1 capital elements or deductions – other 
750 1.2 TIER 2 CAPITAL 
760 1.2.1 Capital instruments and subordinated loans eligible as T2 Capital 
770 1.2.1.1 Paid up capital instruments and subordinated loans 
780 1.2.1.2* Memorandum item: Capital instruments and subordinated loans not eligible 
790 1.2.1.3 Share premium 
800 1.2.1.4 (-) Own T2 instruments 
810 1.2.1.4.1 (-) Direct holdings of T2 instruments 
840 1.2.1.4.2 (-) Indirect holdings of T2 instruments 
841 1.2.1.4.3 (-) Synthetic holdings of T2 instruments 
842 1.2.1.5 (-) Actual or contingent obligations to purchase own T2 instruments 
880 1.2.2 Transitional adjustments due to grandfathered T2 Capital instruments and subordinated loans 
890 1.2.3 Instruments issued by subsidiaries that are given recognition in T2 Capital 
900 1.2.4 Transitional adjustments due to additional recognition in T2 Capital of instruments issued by subsidiaries 
910 1.2.5 IRB Excess of provisions over expected losses eligible 
920 1.2.6 SA General credit risk adjustments 
930 1.2.7 (-) Reciprocal cross holdings in T2 Capital 
940 1.2.8 (-) T2 instruments of financial sector entities where the institution does not have a significant investment 
950 1.2.9 (-) T2 instruments of financial sector entities where the institution has a significant investment 
960 1.2.10 Other transitional adjustments to T2 Capital 
970 1.2.11 Excess of deduction from T2 items over T2 Capital (deducted in AT1) 
974 1.2.12 (-) Additional deductions of T2 Capital due to Article 3 CRR 
978 1.2.13 T2 capital elements or deductions – other 
Rows Item Label Amount
010 1 TOTAL RISK EXPOSURE AMOUNT 
020 1* Of which: Investment firms under Article 95 paragraph 2 and Article 98 of CRR 
030 1** Of which : Investment firms under Article 96 paragraph 2 and Article 97 of CRR 
040 1.1 RISK WEIGHTED EXPOSURE AMOUNTS FOR CREDIT, COUNTERPARTY CREDIT AND DILUTION RISKS AND FREE DELIVERIES 
050 1.1.1 Standardised Approach (SA) 
051 1.1.1* Of which: Additional stricter prudential requirements based on Article 124 CRR 
060 1.1.1.1 SA exposure classes excluding securitisation positions 
070 1.1.1.1.01 Central governments or central banks 
080 1.1.1.1.02 Regional governments or local authorities 
090 1.1.1.1.03 Public sector entities 
100 1.1.1.1.04 Multilateral Development Banks 
110 1.1.1.1.05 International Organisations 
120 1.1.1.1.06 Institutions 
130 1.1.1.1.07 Corporates 
140 1.1.1.1.08 Retail 
150 1.1.1.1.09 Secured by mortgages on immovable property 
160 1.1.1.1.10 Exposures in default 
170 1.1.1.1.11 Items associated with particular high risk 
180 1.1.1.1.12 Covered bonds 
190 1.1.1.1.13 Claims on institutions and corporates with a short-term credit assessment 
200 1.1.1.1.14 Collective investments undertakings (CIU) 
210 1.1.1.1.15 Equity 
211 1.1.1.1.16 Other items 
240 1.1.2 Internal ratings based Approach (IRB) 
241 1.1.2* Of which: Additional stricter prudential requirements based on Article 164 CRR 
242 1.1.2** Of which: Additional stricter prudential requirements based on Article 124 CRR 
250 1.1.2.1 IRB approaches when neither own estimates of LGD nor Conversion Factors are used 
260 1.1.2.1.01 Central governments and central banks 
270 1.1.2.1.02 Institutions 
280 1.1.2.1.03 Corporates – SME 
290 1.1.2.1.04 Corporates – Specialised Lending 
300 1.1.2.1.05 Corporates – Other 
310 1.1.2.2 IRB approaches when own estimates of LGD and/or Conversion Factors are used 
320 1.1.2.2.01 Central governments and central banks 
330 1.1.2.2.02 Institutions 
340 1.1.2.2.03 Corporates – SME 
350 1.1.2.2.04 Corporates – Specialised Lending 
360 1.1.2.2.05 Corporates – Other 
370 1.1.2.2.06 Retail – Secured by real estate SME 
380 1.1.2.2.07 Retail – Secured by real estate non-SME 
390 1.1.2.2.08 Retail – Qualifying revolving 
400 1.1.2.2.09 Retail – Other SME 
410 1.1.2.2.10 Retail – Other non-SME 
420 1.1.2.3 Equity IRB 
450 1.1.2.5 Other non credit-obligation assets 
460 1.1.3 Risk exposure amount for contributions to the default fund of a CCP 
470 1.1.4 Securitisation positions 
490 1.2 TOTAL RISK EXPOSURE AMOUNT FOR SETTLEMENT/DELIVERY 
500 1.2.1 Settlement/delivery risk in the non-Trading book 
510 1.2.2 Settlement/delivery risk in the Trading book 
520 1.3 TOTAL RISK EXPOSURE AMOUNT FOR POSITION, FOREIGN EXCHANGE AND COMMODITIES RISKS 
530 1.3.1 Risk exposure amount for position, foreign exchange and commodities risks under standardised approaches (SA) 
540 1.3.1.1 Traded debt instruments 
550 1.3.1.2 Equity 
555 1.3.1.3 Particular approach for position risk in CIUs 
556 1.3.1.3* Memo item: CIUs exclusively invested in traded debt instruments 
557 1.3.1.3** Memo item: CIUs invested exclusively in equity instruments or in mixed instruments 
560 1.3.1.4 Foreign Exchange 
570 1.3.1.5 Commodities 
580 1.3.2 Risk exposure amount for Position, foreign exchange and commodities risks under internal models (IM) 
590 1.4 TOTAL RISK EXPOSURE AMOUNT FOR OPERATIONAL RISK (OpR ) 
600 1.4.1 OpR Basic indicator approach (BIA) 
610 1.4.2 OpR Standardised (STA) / Alternative Standardised (ASA) approaches 
620 1.4.3 OpR Advanced measurement approaches (AMA) 
630 1.5 ADDITIONAL RISK EXPOSURE AMOUNT DUE TO FIXED OVERHEADS 
640 1.6 TOTAL RISK EXPOSURE AMOUNT FOR CREDIT VALUATION ADJUSTMENT 
650 1.6.1 Advanced method 
660 1.6.2 Standardised method 
670 1.6.3 Based on OEM 
680 1.7 TOTAL RISK EXPOSURE AMOUNT RELATED TO LARGE EXPOSURES IN THE TRADING BOOK 
690 1.8 OTHER RISK EXPOSURE AMOUNTS 
710 1.8.2 Of which: Additional stricter prudential requirements based on Article 458 CRR 
720 1.8.2* Of which: requirements for large exposures 
730 1.8.2** Of which: due to modified risk weights for targeting asset bubbles in the residential and commercial property 
740 1.8.2*** Of which: due to intra financial sector exposures 
750 1.8.3 Of which: Additional stricter prudential requirements based on Article 459 CRR 
760 1.8.4 Of which: Additional risk exposure amount due to Article 3 CRR 
Rows ID Item Amount
010 1 CET1 Capital ratio 
020 2 Surplus(+)/Deficit(-) of CET1 capital 
030 3 T1 Capital ratio 
040 4 Surplus(+)/Deficit(-) of T1 capital 
050 5 Total capital ratio 
060 6 Surplus(+)/Deficit(-) of total capital 
Memorandum Items: Total SREP Capital Requirement (TSCR), Overall Capital Requirement (OCR) and Pillar 2 Guidance (P2G)
130 13 Total SREP capital requirement (TSCR) ratio 
140 13* TSCR: to be made up of CET1 capital 
150 13** TSCR: to be made up of Tier 1 capital 
160 14 Overall capital requirement (OCR) ratio 
170 14* OCR: to be made up of CET1 capital 
180 14** OCR: to be made up of Tier 1 capital 
190 15 OCR and Pillar 2 Guidance (P2G) 
200 15* OCR and P2G: to be made up of CET1 capital 
210 15** OCR and P2G: to be made up of Tier 1 capital 
Row ID Item Column
Deferred tax assest and liabilities 010
010 1 Total deferred tax assets 
020 1.1 Deferred tax assets that do not rely on future profitability 
030 1.2 Deferred tax assets that rely on future profitability and do not arise from temporary differences 
040 1.3 Deferred tax assets that rely on future profitability and arise from temporary differences 
050 2 Total deferred tax liabilities 
060 2.1 Deferred tax liabilities non deductible from deferred tax assets that rely on future profitability 
070 2.2 Deferred tax liabilities deductible from deferred tax assets that rely on future profitability 
080 2.2.1 Deductible deferred tax liabilities associated with deferred tax assets that rely on future profitability and do not arise from temporary differences 
090 2.2.2 Deductible deferred tax liabilities associated with deferred tax assets that rely on future profitability and arise from temporary differences 
093 2A Tax overpayments and tax loss carry backs 
096 2B Deferred Tax Assets subject to a risk weight of 250 % 
097 2C Deferred Tax Assets subject to a risk weight of 0 % 
Credit risk adjustments and expected losses
100 3 IRB excess (+) or shortfall (-) of credit risk adjustments, additional value adjustments and other own funds reductions to expected losses for non defaulted exposures 
110 3.1 Total credit risk adjustments, additional value adjustments and other own funds reductions eligible for inclusion in the calculation of the expected loss amount 
120 3.1.1 General credit risk adjustments 
130 3.1.2 Specific credit risk adjustments 
131 3.1.3 Additional value adjustments and other own funds reductions 
140 3.2 Total expected losses eligible 
145 4 IRB excess (+) or shortfall (-) of specific credit risk adjustments to expected losses for defaulted exposures 
150 4.1 Specific credit risk adjustments and positions treated similarily 
155 4.2 Total expected losses eligible 
160 5 Risk weighted exposure amounts for calculating the cap to the excess of provision eligible as T2 
170 6 Total gross provisions eligible for inclusion in T2 capital 
180 7 Risk weighted exposure amounts for calculating the cap to the provision eligible as T2 
Thresholds for Common Equity Tier 1 deductions
190 8 Threshold non deductible of holdings in financial sector entities where an institution does not have a significant investment 
200 9 10 % CET1 threshold 
210 10 17,65 % CET1 threshold 
225 11.1 Eligible capital for the purposes of qualifying holdings outside the financial sector 
226 11.2 Eligible capital for the purposes of large exposures 
Investments in the capital of financial sector entities where the institution does not have a significant investment
230 12 Holdings of CET1 capital of financial sector entities where the institution does not have a significant investment, net of short positions 
240 12.1 Direct holdings of CET1 capital of financial sector entities where the institution does not have a significant investment 
250 12.1.1 Gross direct holdings of CET1 capital of financial sector entities where the institution does not have a significant investment 
260 12.1.2 (-) Permitted offsetting short positions in relation to the direct gross holdings included above 
270 12.2 Indirect holdings of CET1 capital of financial sector entities where the institution does not have a significant investment 
280 12.2.1 Gross indirect holdings of CET1 capital of financial sector entities where the institution does not have a significant investment 
290 12.2.2 (-) Permitted offsetting short positions in relation to the indirect gross holdings included above 
291 12.3 Synthetic holdings of CET1 capital of financial sector entities where the institution does not have a significant investment 
292 12.3.1 Gross synthetic holdings of CET1 capital of financial sector entities where the institution does not have a significant investment 
293 12.3.2 (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above 
300 13 Holdings of AT1 capital of financial sector entities where the institution does not have a significant investment, net of short positions 
310 13.1 Direct holdings of AT1 capital of financial sector entities where the institution does not have a significant investment 
320 13.1.1 Gross direct holdings of AT1 capital of financial sector entities where the institution does not have a significant investment 
330 13.1.2 (-) Permitted offsetting short positions in relation to the direct gross holdings included above 
340 13.2 Indirect holdings of AT1 capital of financial sector entities where the institution does not have a significant investment 
350 13.2.1 Gross indirect holdings of AT1 capital of financial sector entities where the institution does not have a significant investment 
360 13.2.2 (-) Permitted offsetting short positions in relation to the indirect gross holdings included above 
361 13.3 Synthetic holdings of AT1 capital of financial sector entities where the institution does not have a significant investment 
362 13.3.1 Gross synthetic holdings of AT1 capital of financial sector entities where the institution does not have a significant investment 
363 13.3.2 (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above 
370 14 Holdings of T2 capital of financial sector entities where the institution does not have a significant investment, net of short positions 
380 14.1 Direct holdings of T2 capital of financial sector entities where the institution does not have a significant investment 
390 14.1.1 Gross direct holdings of T2 capital of financial sector entities where the institution does not have a significant investment 
400 14.1.2 (-) Permitted offsetting short positions in relation to the direct gross holdings included above 
410 14.2 Indirect holdings of T2 capital of financial sector entities where the institution does not have a significant investment 
420 14.2.1 Gross indirect holdings of T2 capital of financial sector entities where the institution does not have a significant investment 
430 14.2.2 (-) Permitted offsetting short positions in relation to the indirect gross holdings included above 
431 14.3 Synthetic holdings of T2 capital of financial sector entities where the institution does not have a significant investment 
432 14.3.1 Gross synthetic holdings of T2 capital of financial sector entities where the institution does not have a significant investment 
433 14.3.2 (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above 
Investments in the capital of financial sector entities where the institution has a significant investment
440 15 Holdings of CET1 capital of financial sector entities where the institution has a significant investment, net of short positions 
450 15.1 Direct holdings of CET1 capital of financial sector entities where the institution has a significant investment 
460 15.1.1 Gross direct holdings of CET1 capital of financial sector entities where the institution has a significant investment 
470 15.1.2 (-) Permitted offsetting short positions in relation to the direct gross holdings included above 
480 15.2 Indirect holdings of CET1 capital of financial sector entities where the institution has a significant investment 
490 15.2.1 Gross indirect holdings of CET1 capital of financial sector entities where the institution has a significant investment 
500 15.2.2 (-) Permitted offsetting short positions in relation to the indirect gross holdings included above 
501 15.3 Synthetic holdings of CET1 capital of financial sector entities where the institution has a significant investment 
502 15.3.1 Gross synthetic holdings of CET1 capital of financial sector entities where the institution has a significant investment 
503 15.3.2 (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above 
510 16 Holdings of AT1 capital of financial sector entities where the institution has a significant investment, net of short positions 
520 16.1 Direct holdings of AT1 capital of financial sector entities where the institution has a significant investment 
530 16.1.1 Gross direct holdings of AT1 capital of financial sector entities where the institution has a significant investment 
540 16.1.2 (-) Permitted offsetting short positions in relation to the direct gross holdings included above 
550 16.2 Indirect holdings of AT1 capital of financial sector entities where the institution has a significant investment 
560 16.2.1 Gross indirect holdings of AT1 capital of financial sector entities where the institution has a significant investment 
570 16.2.2 (-) Permitted offsetting short positions in relation to the indirect gross holdings included above 
571 16.3 Synthetic holdings of AT1 capital of financial sector entities where the institution has a significant investment 
572 16.3.1 Gross synthetic holdings of AT1 capital of financial sector entities where the institution has a significant investment 
573 16.3.2 (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above 
580 17 Holdings of T2 capital of financial sector entities where the institution has a significant investment, net of short positions 
590 17.1 Direct holdings of T2 capital of financial sector entities where the institution has a significant investment 
600 17.1.1 Gross direct holdings of T2 capital of financial sector entities where the institution has a significant investment 
610 17.1.2 (-) Permitted offsetting short positions in relation to the direct gross holdings included above 
620 17.2 Indirect holdings of T2 capital of financial sector entities where the institution has a significant investment 
630 17.2.1 Gross indirect holdings of T2 capital of financial sector entities where the institution has a significant investment 
640 17.2.2 (-) Permitted offsetting short positions in relation to the indirect gross holdings included above 
641 17.3 Synthetic holdings of T2 capital of financial sector entities where the institution has a significant investment 
642 17.3.1 Gross synthetic holdings of T2 capital of financial sector entities where the institution has a significant investment 
643 17.3.2 (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above 
Total risk exposure amounts of holdings not deducted from the corresponding capital category:
650 18 Risk weighted exposures of CET1 holdings in financial sector entities which are not deducted from the institution’s CET1 capital 
660 19 Risk weighted exposures of AT1 holdings in financial sector entities which are not deducted from the institution’s AT1 capital 
670 20 Risk weighted exposures of T2 holdings in financial sector entities which are not deducted from the institution’s T2 capital 
Temporary waiver from deduction from own funds
680 21 Holdings on CET1 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived 
690 22 Holdings on CET1 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived 
700 23 Holdings on AT1 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived 
710 24 Holdings on AT1 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived 
720 25 Holdings on T2 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived 
730 26 Holdings on T2 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived 
Capital buffers
740 27 Combined buffer requirement 
750  Capital conservation buffer 
760  Conservation buffer due to macro-prudential or systemic risk identified at the level of a Member State 
770  Institution specific countercyclical capital buffer 
780  Systemic risk buffer 
800  Global Systemically Important Institution buffer 
810  Other Systemically Important Institution buffer 
Pillar II requirements
820 28 Own funds requirements related to Pillar II adjustments 
Additional information for investment firms
830 29 Initial capital 
840 30 Own funds based on Fixed Overheads 
Additional information for calculation of reporting thresholds
850 31 Non-domestic original exposures 
860 32 Total original exposures 
Basel I floor
870  Adjustments to total own funds 
880  Own funds fully adjusted for Basel I floor 
890  Own funds requirements for Basel I floor 
900  Own funds requirements for Basel I floor – SA alternative 
910  Deficit of total capital as regards the minimum own funds requirements of the Basel I floor 
 Adjustments to CET1 Adjustments to AT1 Adjustments to T2 Adjustments included in RWAs Memorandum items
Applicable percentage Eligible amount without transitional provisions
Code ID Item 010 020 030 040 050 060
010 1 TOTAL ADJUSTMENTS      
020 1.1 GRANDFATHERED INSTRUMENTS link to {CA1;r220} link to {CA1;r660} link to {CA1;r880}   
030 1.1.1 Grandfathered instruments: Instruments constituting state aid      
040 1.1.1.1 Instruments that qualified as own funds according to 2006/48/EC      
050 1.1.1.2 Instruments issued by institutions that are incorporated in a Member State that is subject to an Economic Adjustment Programme      
060 1.1.2 Instruments not constituting state aid link to {CA5.2; r010;c060} link to {CA5.2; r020;c060} link to {CA5.2; r090;c060}   
070 1.2 MINORITY INTERESTS AND EQUIVALENTS link to {CA1;r240} link to {CA1;r680} link to {CA1;r900}   
080 1.2.1 Capital instruments and items that do not qualify as minority interests      
090 1.2.2 Transitional recognition in consolidated own funds of minority interests      
091 1.2.3 Transitional recognition in consolidated own funds of qualifying Additional Tier 1 capital      
092 1.2.4 Transitional recognition in consolidated own funds of qualifying Tier 2 capital      
100 1.3 OTHER TRANSITIONAL ADJUSTMENTS link to {CA1;r520} link to {CA1;r730} link to {CA1;r960}   
110 1.3.1 Unrealised gains and losses      
120 1.3.1.1 Unrealised gains      
130 1.3.1.2 Unrealised losses      
133 1.3.1.3. Unrealised gains on exposures to central governments classified in the “Available for sale” category of EU-endorsed IAS39      
136 1.3.1.4. Unrealised loss on exposures to central governments classified in the “Available for sale” category of EU-endorsed IAS39      
138 1.3.1.5. Fair value gains and losses arising from the institution’s own credit risk related to derivative liabilities      
140 1.3.2 Deductions      
150 1.3.2.1 Losses for the current financial year      
160 1.3.2.2 Intangible assets      
170 1.3.2.3 Deferred tax assets that rely on future profitability and do not arise from temporary differences      
180 1.3.2.4 IRB shortfall of provisions to expected losses      
190 1.3.2.5 Defined benefit pension fund assets      
194 1.3.2.5* of which: Introduction of amendments to IAS 19 – positive item      
198 1.3.2.5** of which: Introduction of amendments to IAS 19 – negative item      
200 1.3.2.6 Own instruments      
210 1.3.2.6.1 Own CET1 instruments      
211 1.3.2.6.1** of which: Direct holdings      
212 1.3.2.6.1* of which: Indirect holdings      
220 1.3.2.6.2 Own AT1 instruments      
221 1.3.2.6.2** of which: Direct holdings      
222 1.3.2.6.2* of which: Indirect holdings      
230 1.3.2.6.3 Own T2 instruments      
231 1.3.2.6.3* of which: Direct holdings      
232 1.3.2.6.3** of which: Indirect holdings      
240 1.3.2.7 Reciprocal cross holdings      
250 1.3.2.7.1 Reciprocal cross holdings in CET1 Capital      
260 1.3.2.7.1.1 Reciprocal cross holdings in CET1 Capital of financial sector entities where the institution does not have a significant investment      
270 1.3.2.7.1.2 Reciprocal cross holdings in CET1 Capital of financial sector entities where the institution has a significant investment      
280 1.3.2.7.2 Reciprocal cross holdings in AT1 Capital      
290 1.3.2.7.2.1 Reciprocal cross holdings in AT1 Capital of financial sector entities where the institution does not have a significant investment      
300 1.3.2.7.2.2 Reciprocal cross holdings in AT1 Capital of financial sector entities where the institution has a significant investment      
310 1.3.2.7.3 Reciprocal cross holdings in T2 Capital      
320 1.3.2.7.3.1 Reciprocal cross holdings in T2 Capital of financial sector entities where the institution does not have a significant investment      
330 1.3.2.7.3.2 Reciprocal cross holdings in T2 Capital of financial sector entities where the institution has a significant investment      
340 1.3.2.8 Own funds instruments of financial sector entities where the institution does not have a significant investment      
350 1.3.2.8.1 CET1 instruments of financial sector entities where the institution does not have a significant investment      
360 1.3.2.8.2 AT1 instruments of financial sector entities where the institution does not have a significant investment      
370 1.3.2.8.3 T2 instruments of financial sector entities where the institution does not have a significant investment      
380 1.3.2.9 Deferred tax assets that are dependent on future profitability and arise from temporary differences and CET1 instruments of financial sector entities where the institution has a significant investment      
385 1.3.2.9a Deferred tax assets that are dependent on future profitability and arise from temporary differences      
390 1.3.2.10 Own funds instruments of financial sector entities where the institution has a significant investment      
400 1.3.2.10.1 CET1 instruments of financial sector entities where the institution has a significant investment      
410 1.3.2.10.2 AT1 instruments of financial sector entities where the institution has a significant investment      
420 1.3.2.10.3 T2 instruments of financial sector entities where the institution has a significant investment      
425 1.3.2.11 Exemption from deduction of Equity Holdings in Insurance Companies from CET 1 Items      
430 1.3.3 Additional filters and deductions      
440 1.3.4 Adjustments due to IFRS 9 transitional arrangements      
CA 5.2 Grandfathered instruments: Instruments not constituting State aid Amount of instruments plus related share premium Base for calculating the limit Applicable percentage Limit (-) Amount that exceeds the limits for grandfathering Total grandfathered amount
Code ID Item 010 020 030 040 050 060
010 1. Instruments that qualified for point a) of Article 57 of 2006/48/EC      link to {CA5.1;r060;c010)
020 2. Instruments that qualified for point ca) of Article 57 and Article 154(8) and (9) of 2006/48/EC, subject to the limit of Article 489      link to {CA5.1;r060;c020)
030 2.1 Total instruments without a call or an incentive to redeem      
040 2.2. Grandfathered instruments with a call and incentive to redeem      
050 2.2.1 Instruments with a call exercisable after the reporting date, and which meet the conditions in Article 52 of CRR after the date of effective maturity      
060 2.2.2 Instruments with a call exercisable after the reporting date, and which do not meet the conditions in Article 52 of CRR after the date of effective maturity      
070 2.2.3 Instruments with a call exercisable prior to or on 20 July 2011, and which do not meet the conditions in Article 52 of CRR after the date of effective maturity      
080 2.3 Excess on the limit of CET1 grandfathered instruments      
090 3 Items that qualified for points e), f), g) or h) of Article 57 of 2006/48/EC, subject to the limit of Article 490      link to {CA5.1;r060;c030)
100 3.1 Total items without an incentive to redeem      
110 3.2 Grandfathered items with an incentive to redeem      
120 3.2.1 Items with a call exercisable after the reporting date, and which meet the conditions in Article 63 of CRR after the date of effective maturity      
130 3.2.2 Items with a call exercisable after the reporting date, and which do not meet the conditions in Article 63 of CRR after the date of effective maturity      
140 3.2.3 Items with a call exercisable prior to or on 20 July 2011, and which do not meet the conditions in Article 63 of CRR after the date of effective maturity      
150 3.3 Excess on the limit of AT1 grandfathered instruments      
 INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP CAPITAL BUFFERS
TOTAL RISK EXPOSURE AMOUNT  QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS   CONSOLIDATED OWN FUNDS  COMBINED BUFFER REQUIREMENTS 
CREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/DELIVERY RISK POSITION, FX AND COMMODITIES RISKS OPERATIONAL RISK OTHER RISK EXPOSURE AMOUNTS QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 1 CAPITAL   QUALIFYING OWN FUNDS INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 2 CAPITAL MEMORANDUM ITEM:GOODWILL (-) / (+) NEGATIVE GOODWILL OF WHICH: COMMON EQUITY TIER 1 OF WHICH: ADDITIONAL TIER 1 OF WHICH: CONRIBUTIONS TO CONSOLIDATED RESULT OF WHICH: (-) GOODWILL / (+) NEGATIVE GOODWILL CAPITAL CONSERVATION BUFFER INSTITUTION SPECIFIC COUNTER-CYCLICAL CAPITAL BUFFER CONSERVATION BUFFER DUE TO MACRO-PRUDENTIAL OR SYSTEMIC RISK IDENTIFIED AT THE LEVEL OF A MEMBER STATE SYSTEMIC RISK BUFFER GLOBAL SYSTEMICALLY IMPORTANT INSTITUTION BUFFER OTHER SYSTEMICALLY IMPORTANT INSTITUTION BUFFER
MINORITY INTERESTS INCLUDED IN CONSOLIDATED COMMON EQUITY TIER 1 CAPITAL QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED ADDITIONAL TIER 1 CAPITAL
250 260 270 280 290 300 310 320 330 340 350 360 370 380 390 400 410 420 430 440 450 470 480
010 TOTAL                       
ENTITIES WITHIN SCOPE OF CONSOLIDATION INFORMATION ON ENTITIES SUBJECT TO OWN FUNDS REQUIREMENTS INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP CAPITAL BUFFERS
NAME CODE LEI code INSTITUTION OR EQUIVALENT(YES / NO) TYPE OF ENTITY SCOPE OF DATA: SOLO FULLY CONSOLIDATED (SF) OR SOLO PARTIALLY CONSOLIDATED (SP) COUNTRY CODE SHARE OF HOLDING (%) TOTAL RISK EXPOSURE AMOUNT  OWN FUNDS   TOTAL RISK EXPOSURE AMOUNT  QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS  CONSOLIDATED OWN FUNDS     COMBINED BUFFER REQUIREMENT 
CREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/DELIVERY RISK POSITION, FX AND COMMODITIES RISKS OPERATIONAL RISK OTHER RISK EXPOSURE AMOUNTS   TOTAL TIER 1 CAPITAL   TIER 2 CAPITAL  CREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/DELIVERY RISK POSITION, FX AND COMMODITIES RISKS OPERATIONAL RISK OTHER RISK EXPOSURE AMOUNTS QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 1 CAPITAL  QUALIFYING OWN FUNDS INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 2 CAPITAL MEMORANDUM ITEM:GOODWILL (-) / (+) NEGATIVE GOODWILL OF WHICH: COMMON EQUITY TIER 1 OF WHICH: ADDITIONAL TIER 1 OF WHICH: CONRIBUTIONS TO CONSOLIDATED RESULT OF WHICH: (-) GOODWILL / (+) NEGATIVE GOODWILL CAPITAL CONSERVATION BUFFER INSTITUTION SPECIFIC COUNTER-CYCLICAL CAPITAL BUFFER CONSERVATION BUFFER DUE TO MACRO-PRUDENTIAL OR SYSTEMIC RISK IDENTIFIED AT THE LEVEL OF A MEMBER STATE SYSTEMIC RISK BUFFER GLOBAL SYSTEMICALLY IMPORTANT INSTITUTION BUFFER OTHER SYSTEMICALLY IMPORTANT INSTITUTION BUFFER
   COMMON EQUITY TIER 1 CAPITAL  ADDITIONAL TIER 1 CAPITAL   
OF WHICH: QUALIFYING OWN FUNDS RELATED OWN FUNDS INSTRUMENTS, RELATED RETAINED EARNINGS AND SHARE PREMIUM ACCOUNTS OF WHICH: QUALIFYING TIER 1 CAPITAL RELATED T1 INSTRUMENTS, RELATED RETAINED EARNINGS AND SHARE PREMIUM ACCOUNTS OF WHICH: MINORITY INTERESTS RELATED OWN FUNDS INSTRUMENTS, RELATED RETAINED EARNINGS, SHARE PREMIUM ACCOUNTS AND OTHER RESERVES OF WHICH: QUALIFYING ADDITIONAL TIER 1 CAPITAL OF WHICH: QUALIFYING TIER 2 CAPITAL MINORITY INTERESTS INCLUDED IN CONSOLIDATED COMMON EQUITY TIER 1 CAPITAL QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED ADDITIONAL TIER 1 CAPITAL
010 020 025 030 035 040 050 060 070 080 090 100 110 120 130 140 150 160 170 180 190 200 210 220 230 240 250 260 270 280 290 300 310 320 330 340 350 360 370 380 390 400 410 420 430 440 450 470 480
                                                
 ORIGINAL EXPOSURE PRE CONVERSION FACTORS (-) VALUE ADJUSTMENTS AND PROVISIONS ASSOCIATED WITH THE ORIGINAL EXPOSURE EXPOSURE NET OF VALUE ADJUSTMENTS AND PROVISIONS CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE EXPOSURE AMOUNT: FUNDED CREDIT PROTECTION. FINANCIAL COLLATERAL COMPREHENSIVE METHOD FULLY ADJUSTED EXPOSURE VALUE (E*) BREAKDOWN OF THE FULLY ADJUSTED EXPOSURE VALUE OF OFF-BALANCE SHEET ITEMS BY CONVERSION FACTORS EXPOSURE VALUE  RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR  
UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (Ga) FUNDED CREDIT PROTECTION SUBSTITUTION OF THE EXPOSURE DUE TO CRM VOLATILITY ADJUSTMENT TO THE EXPOSURE (-) FINANCIAL COLLATERAL: ADJUSTED VALUE (Cvam) 0 % 20 % 50 % 100 % OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK OF WHICH: WITH A CREDIT ASSESSMENT BY A NOMINATED ECAI OF WHICH: WITH A CREDIT ASSESSMENT DERIVED FROM CENTRAL GOVERNMENT
(-) GUARANTEES (-) CREDIT DERIVATIVES (-) FINANCIAL COLLATERAL: SIMPLE METHOD (-) OTHER FUNDED CREDIT PROTECTION (-) TOTAL OUTFLOWS TOTAL INFLOWS (+)  (-) OF WHICH: VOLATILITY AND MATURITY ADJUSTMENTS
010 030 040 050 060 070 080 090 100 110 120 130 140 150 160 170 180 190 200 210 215 220 230 240
010 TOTAL EXPOSURES                      Cell linked to CA  
015 of which: Defaulted exposures in exposure classes “items associated with a particular high risk” and “equity exposures”                        
020 of which: SME                        
030 of which: Exposures subject to SME-supporting factor                        
040 of which: Secured by mortgages on immovable property – Residential property                        
050 of which: Exposures under the permanent partial use of the Standardised Approach                        
060 of which: Exposures under the standardised approach with prior supervisory permission to carry out a sequential IRB implementation                        
BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:
070 On balance sheet exposures subject to credit risk                        
080 Off balance sheet exposures subject to credit risk                        
 Exposures / Transactions subject to counterparty credit risk                        
090 Securities Financing Transactions                        
100 of which: centrally cleared through a QCCP                        
110 Derivatives & Long Settlement Transactions                        
120 of which: centrally cleared through a QCCP                        
130 From Contractual Cross Product Netting                        
BREAKDOWN OF TOTAL EXPOSURES BY RISK WEIGHTS:               
140 0 %                        
150 2 %                        
160 4 %                        
170 10 %                        
180 20 %                        
190 35 %                        
200 50 %                        
210 70 %                        
220 75 %                        
230 100 %                        
240 150 %                        
250 250 %                        
260 370 %                        
270 1 250 %                        
280 Other risk weights                        
MEMORANDUM ITEMS               
290 Exposures secured by mortgages on commercial immovable property                        
300 Exposures in default subject to a risk weight of 100 %                        
310 Exposures secured by mortgages on residential property                        
320 Exposures in default subject to a risk weight of 150 %                        
 INTERNAL RATING SYSTEM ORIGINAL EXPOSURE PRE CONVERSION FACTORS CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS  EXPOSURE VALUE  CREDIT RISK MITIGATION TECHNIQUES TAKEN INTO ACCOUNT IN LGD ESTIMATES EXCLUDING DOUBLE DEFAULT TREATMENT SUBJECT TO DOUBLE DEFAULT TREATMENT EXPOSURE WEIGHTED AVERAGE LGD (%) EXPOSURE WEIGHTED AVERAGE LGD (%) FOR LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES EXPOSURE-WEIGHTED AVERAGE MATURITY VALUE (DAYS) RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR MEMORANDUM ITEMS:
UNFUNDED CREDIT PROTECTION (-) OTHER FUNDED CREDIT PROTECTION SUBSTITUTION OF THE EXPOSURE DUE TO CRM  OWN ESTIMATES OF LGD’S ARE USED:UNFUNDED CREDIT PROTECTION FUNDED CREDIT PROTECTION UNFUNDED CREDIT PROTECTION
PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%)  OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES (-) GUARANTEES (-) CREDIT DERIVATIVES (-) TOTAL OUTFLOWS TOTAL INFLOWS (+) OF WHICH: OFF BALANCE SHEET ITEMS OF WHICH: OFF BALANCE SHEET ITEMS OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES GUARANTEES CREDIT DERIVATIVES OWN ESTIMATES OF LGD’S ARE USED:OTHER FUNDED CREDIT PROTECTION ELIGIBLE FINANCIAL COLLATERAL OTHER ELIGIBLE COLLATERAL EXPECTED LOSS AMOUNT (-) VALUE ADJUSTMENTS AND PROVISIONS NUMBER OF OBLIGORS
REAL ESTATE OTHER PHYSICAL COLLATERAL RECEIVABLES  OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES
010 020 030 040 050 060 070 080 090 100 110 120 130 140 150 160 170 180 190 200 210 220 230 240 250 255 260 270 280 290 300
010 TOTAL EXPOSURES                           Cell linked to CA    
015 of which: Exposures subject to SME-supporting factor                               
 BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:                       
020 On balance sheet items subject to credit risk                               
030 Off balance sheet items subject to credit risk                               
 Exposures / Transactions subject to counterparty credit risk                               
040 Securities Financing Transactions                               
050 Derivatives & Long Settlement Transactions                               
060 From Contractual Cross Product Netting                               
070 EXPOSURES ASSIGNED TO OBLIGOR GRADES OR POOLS: TOTAL                               
080 SPECIALIZED LENDING SLOTTING CRITERIA: TOTAL                               
 BREAKDOWN BY RISK WEIGHTS OF TOTAL EXPOSURES UNDER SPECIALIZED LENDING SLOTTING CRITERIA:                       
090 RISK WEIGHT: 0 %                               
100 50 %                               
110 70 %                               
120 Of which: in category 1                               
130 90 %                               
140 115 %                               
150 250 %                               
160 ALTERNATIVE TREATMENT: SECURED BY REAL ESTATE                               
170 EXPOSURES FROM FREE DELIVERIES APPLYING RISK WEIGHTS UNDER THE ALTERNATIVE TREATMENT OR 100 % AND OTHER EXPOSURES SUBJECT TO RISK WEIGHTS                               
180 DILUTION RISK: TOTAL PURCHASED RECEIVABLES                               
OBLIGOR GRADE (ROW IDENTIFIER) INTERNAL RATING SYSTEM ORIGINAL EXPOSURE PRE CONVERSION FACTORS CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS  EXPOSURE VALUE  CREDIT RISK MITIGATION TECHNIQUES TAKEN INTO ACCOUNT IN LGD ESTIMATES EXCLUDING DOUBLE DEFAULT TREATMENT SUBJECT TO DOUBLE DEFAULT TREATMENT EXPOSURE WEIGHTED AVERAGE LGD (%) EXPOSURE WEIGHTED AVERAGE LGD (%) FOR LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES EXPOSURE-WEIGHTED AVERAGE MATURITY VALUE (DAYS) RISK WEIGHTED EXPOSURE AMOUNT PRE SME-FACTOR RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-FACTOR MEMORANDUM ITEMS:
UNFUNDED CREDIT PROTECTION (-) OTHER FUNDED CREDIT PROTECTION SUBSTITUTION OF THE EXPOSURE DUE TO CRM  OWN ESTIMATES OF LGD’S ARE USED:UNFUNDED CREDIT PROTECTION FUNDED CREDIT PROTECTION UNFUNDED CREDIT PROTECTION EXPECTED LOSS AMOUNT (-) VALUE ADJUSTMENTS AND PROVISIONS NUMBER OF OBLIGORS
PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%)  OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES (-) GUARANTEES (-) CREDIT DERIVATIVES (-) TOTAL OUTFLOWS TOTAL INFLOWS (+) OF WHICH: OFF BALANCE SHEET ITEMS OF WHICH: OFF BALANCE SHEET ITEMS OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES GUARANTEES CREDIT DERIVATIVES OWN ESTIMATES OF LGD’S ARE USED:OTHER FUNDED CREDIT PROTECTION ELIGIBLE FINANCIAL COLLATERAL OTHER ELIGIBLE COLLATERAL  OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES
REAL ESTATE OTHER PHYSICAL COLLATERAL RECEIVABLES 
005 010 020 030 040 050 060 070 080 090 100 110 120 130 140 150 160 170 180 190 200 210 220 230 240 250 255 260 270 280 290 300
                               
 ORIGINAL EXPOSURE PRE CONVERSION FACTORS Observed new defaults for the period General credit risk adjustments Specific credit risk adjustments Write offs Credit risk adjustments/write-offs for observed new defaults EXPOSURE VALUE RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR
 Defaulted exposures
010 020 040 050 055 060 070 075 080 090
010 Central governments or central banks          
020 Regional governments or local authorities          
030 Public sector entities          
040 Multilateral Development Banks          
050 International Organisations          
060 Institutions          
070 Corporates          
075 of which: SME          
080 Retail          
085 of which: SME          
090 Secured by mortgages on immovable property          
095 of which: SME          
100 Exposures in default          
110 Items associated with particularly high risk          
120 Covered bonds          
130 Claims on institutions and corporates with a short-term credit assessment          
140 Collective investments undertakings (CIU)          
150 Equity exposures          
160 Other exposures          
170 Total exposures          
 ORIGINAL EXPOSURE PRE CONVERSION FACTORS Observed new defaults for the period General credit risk adjustments Specific credit risk adjustments Write off Credit risk adjustments/write-offs for observed new defaults PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%) EXPOSURE WEIGHTED AVERAGE LGD (%) EXPOSURE VALUE RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR EXPECTED LOSS AMOUNT
 Of which: defaulted  Of which: defaulted  Of which: defaulted
010 030 040 050 055 060 070 080 090 100 105 110 120 125 130
010 Central governments or central banks               
020 Institutions               
030 Corporates               
042 Of Which: Specialised Lending(excl. SL subject to slotting criteria)               
045 Of Which: Specialised Lendingsubject to slotting criteria               
050 Of Which: SME               
060 Retail               
070 Secured by real estate property               
080 SME               
090 Non-SME               
100 Qualifying Revolving               
110 Other Retail               
120 SME               
130 Non-SME               
140 Equity               
150 Total exposures               
 Amount Percentage Qualitative information
010 020 030
Relevant credit exposures – Credit Risk   
010 Exposure value under the Standardised Approach   
020 Exposure value under the IRB Approach   
Relevant credit exposures – Market risk   
030 Sum of long and short positions of trading book exposures for Standardised Approach   
040 Value of trading book exposures for internal models   
Relevant credit exposures – Securitisation   
055 Exposure value of securitisation positions in the banking book   
Own funds requirements and weights   
070 Total own funds requirements for CCB   
080 Own funds requirements for relevant credit exposures – Credit risk   
090 Own funds requirements for relevant credit exposures – Market risk   
100 Own funds requirements for relevant credit exposures – Securitisation positions in the banking book   
110 Own funds requirements weights   
Countercyclical capital buffer rates   
120 Countercyclical capital buffer rate set by the Designated Authority   
130 Countercyclical capital buffer rate applicable for the country of the institution   
140 Institution-specific countercyclical capital buffer rate   
Use of 2 % threshold   
150 Use of 2 % threshold for general credit exposure   
160 Use of 2 % threshold for trading book exposure   
 INTERNAL RATING SYSTEM ORIGINAL EXPOSURE PRE CONVERSION FACTORS CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE EXPOSURE VALUE EXPOSURE WEIGHTED AVERAGE LGD (%) RISK WEIGHTED EXPOSURE AMOUNT MEMORANDUM ITEM:
UNFUNDED CREDIT PROTECTION SUBSTITUTION OF THE EXPOSURE DUE TO CRM EXPECTED LOSS AMOUNT
PD ASSIGNED TO THE OBLIGOR GRADE (%) (-) GUARANTEES (-) CREDIT DERIVATIVES (-) TOTAL OUTFLOWS
010 020 030 040 050 060 070 080 090
010 TOTAL IRB EQUITY EXPOSURES        Cell linked to CA 
020 PD/LGD APRROACH: TOTAL         
050 SIMPLE RISK WEIGHT APPROACH: TOTAL         
060 BREAKDOWN OF TOTAL EXPOSURES UNDER THE SIMPLE RISK WEIGHT APRROACH BY RISK WEIGHTS:
070 RISK WEIGHT: 190 %         
080 290 %         
090 370 %         
100 INTERNAL MODELS APPROACH         
110 EQUITY EXPOSURES SUBJECT TO RISK WEIGHTS         
OBLIGOR GRADE(ROW IDENTIFIER) INTERNAL RATING SYSTEM ORIGINAL EXPOSURE PRE CONVERSION FACTORS CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE EXPOSURE VALUE EXPOSURE WEIGHTED AVERAGE LGD (%) RISK WEIGHTED EXPOSURE AMOUNT MEMORANDUM ITEM:
UNFUNDED CREDIT PROTECTION SUBSTITUTION OF THE EXPOSURE DUE TO CRM EXPECTED LOSS AMOUNT
PD ASSIGNED TO THE OBLIGOR GRADE (%) (-) GUARANTEES (-) CREDIT DERIVATIVES (-) TOTAL OUTFLOWS
005 010 020 030 040 050 060 070 080 090
         
 UNSETTLED TRANSACTIONS AT SETTLEMENT PRICE PRICE DIFFERENCE EXPOSURE DUE TO UNSETTLED TRANSACTIONS OWN FUNDS REQUIREMENTS TOTAL SETTLEMENT RISK EXPOSURE AMOUNT
010 020 030 040
010 Total unsettled transactions in the Non-trading Book    Cell linked to CA
020 Transactions unsettled up to 4 days (Factor 0 %)    
030 Transactions unsettled between 5 and 15 days (Factor 8 %)    
040 Transactions unsettled between 16 and 30 days (Factor 50 %)    
050 Transactions unsettled between 31 and 45 days (Factor 75 %)    
060 Transactions unsettled for 46 days or more (Factor 100 %)    
070 Total unsettled transactions in the Trading Book    Cell linked to CA
080 Transactions unsettled up to 4 days (Factor 0 %)    
090 Transactions unsettled between 5 and 15 days (Factor 8 %)    
100 Transactions unsettled between 16 and 30 days (Factor 50 %)    
110 Transactions unsettled between 31 and 45 days (Factor 75 %)    
120 Transactions unsettled for 46 days or more (Factor 100 %)    
 TOTAL AMOUNT OF SECURITISATI0N EXPOSURES ORIGINATED SYNTHETIC SECURITIZATIONS: CREDIT PROTECTION TO THE SECURITISED EXPOSURES SECURITISATION POSITIONS (-) VALUE ADJUSTMENTS AND PROVISIONS EXPOSURE NET OF VALUE ADJUSTMENTS AND PROVISIONS CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS (-) CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE AMOUNT OF THE EXPOSURE: FUNDED CREDIT PROTECTION FINANCIAL COLLATERAL COMPREHENSIVE METHOD ADJUSTED VALUE (Cvam) FULLY ADJUSTED EXPOSURE VALUE (E*)  (-) NON REFUNDABLE PURCHASE PRICE DISCOUNT (-) SPECIFIC CREDIT RISK ADJUSTMENTS ON UNDERLYING EXPOSURES EXPOSURE VALUE   BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS RISK-WEIGHTED EXPOSURE AMOUNT ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO MATURITY MISMATCHES OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF CHAPTER 2 OF REGULATION (EU) 2017/2402 BEFORE CAP (-) REDUCTION DUE TO RISK WEIGHT CAP (-) REDUCTION DUE TO OVERALL CAP TOTAL RISK-WEIGHTED EXPOSURE AMOUNT MEMORANDUM ITEM:RISK WEIGHTED EXPOSURE AMOUNT CORRESPONDING TO THE OUTFLOWS FROM SECURITISATIONS TO OTHER EXPOSURE CLASSES
(-) FUNDED CREDIT PROTECTION (Cva) (-) TOTAL OUTFLOWS NOTIONAL AMOUNT RETAINED OR REPURCHASED OF CREDIT PROTECTION ORIGINAL EXPOSURE PRE CONVERSION FACTORS (-) UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (Ga) (-) FUNDED CREDIT PROTECTION SUBSTITUTION OF THE EXPOSURE DUE TO CRM OF WHICH: SUBJECT TO A CCF OF 0 % (-) DEDUCTED FROM OWN FUNDS SUBJECT TO RISK WEIGHTS SEC-IRBA SEC-SA SEC-ERBA INTERNAL ASSESSMENT APPROACH OTHER (RW=1 250 %)  SEC-IRBA SEC-SA SEC-ERBA INTERNAL ASSESSMENT APPROACH OTHER (RW=1 250 %) OF WHICH: SYNTHETIC SECURITISATIONS
  BREAKDOWN BY RW BANDS OF WHICH: CALCULATED UNDER ARTICLE 255 (4) (PURCHASED RECEIVABLES)  BREAKDOWN BY RW BANDS  BREAKDOWN BY CREDIT QUALITY STEPS BREAKDOWN BY REASONS FOR APPLICATION OF SEC-ERBA  BREAKDOWN BY RW BANDS    OF WHICH: CALCULATED UNDER ARTICLE 255 (4) (PURCHASED RECEIVABLES)  OF WHICH: RW=1 250 % (W UNKNOWN)  AUTO LOANS, AUTO LEASES AND EQUIPMENT LEASES SEC-ERBA OPTION POSITIONS SUBJECT TO ART. 254(2)(a) CRR POSITIONS SUBJECT TO ART. 254(2)(b) CRR POSITIONS SUBJECT TO ART. 254 (4) OR 258 (2) CRR FOLLOWING THE HIERARCHY OF APPROACHES  AVERAGE RISK WEIGHT (%) 
(-) UNFUNDED CREDIT PROTECTION ADJUSTED VALUES (G*) (-) TOTAL OUTFLOWS TOTAL INFLOWS  =< 20 % RW >20 % TO 50 % RW >50 % TO 100 % RW >100 % TO < 1 250 % RW 1 250 % RW  =< 20 % RW >20 % TO 50 % RW >50 % TO 100 % RW >100 % TO < 1 250 % RW 1 250 % RW (W UNKNOWN) 1 250 % RW (OTHER)  SHORT TERM CREDIT QUALITY STEPS LONG TERM CREDIT QUALITY STEPS AUTO LOANS, AUTO LEASES AND EQUIPMENT LEASES SEC-ERBA OPTION POSITIONS SUBJECT TO POINT (a) OF ARTICLE 254(2) CRR POSITIONS SUBJECT TO POINT (b) OF ARTICLE 254(2) CRR POSITIONS SUBJECT TO ARTICLES 254 (4) OR 258 (2) CRR FOLLOWING THE HIERARCHY OF APPROACHES  =< 20 % RW >20 % TO 50 % RW >50 % TO 100 % RW >100 % TO < 1 250 % RW 1 250 % RW       
   CQS 1 CQS 2 CQS 3 ALL OTHER CQS CQS 1 CQS 2 CQS 3 CQS 4 CQS 5 CQS 6 CQS 7 CQS 8 CQS 9 CQS 10 CQS 11 CQS 12 CQS 13 CQS 14 CQS 15 CQS 16 CQS 17 ALL OTHER CQS        
0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110 0120 0130 0140 0150 0160 0170 0180 0190 0200 0210 0220 0230 0240 0250 0260 0270 0280 0290 0300 0310 0320 0330 0340 0350 0360 0370 0380 0390 0400 0410 0420 0430 0440 0450 0460 0470 0480 0490 0500 0510 0520 0530 0540 0550 0560 0570 0580 0590 0600 0610 0620 0630 0640 0650 0660 0670 0680 0690 0700 0710 0720 0730 0740 0750 0760 0770 0780 0790 0800 0810 0820 0830 0840 0850 0860 0870 0880 0890 0900 0910 0920 0930
0010 TOTAL EXPOSURES                                                                                            Cell linked to CA 
0020 SECURITISATION POSITIONS                                                                                             
0030 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT                                                                                             
0040 STS EXPOSURES                                                                                             
0050 SENIOR POSITION IN SMEs SECURITISATIONS                                                                                             
0060 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT                                                                                             
0070 RE-SECURITISATION POSITIONS                                                                                             
0080 ORIGINATOR: TOTAL EXPOSURES                                                                                             
0090 SECURITISATION POSITIONS: ON-BALANCE SHEET ITEMS                                                                                             
0100 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT                                                                                             
0110 OF WHICH: SENIOR EXPOSURES                                                                                             
0120 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT                                                                                             
0130 OF WHICH: SENIOR EXPOSURES                                                                                             
0140 SECURITISATION POSITIONS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES                                                                                             
0150 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT                                                                                             
0160 OF WHICH: SENIOR EXPOSURES                                                                                             
0170 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT                                                                                             
0180 OF WHICH: SENIOR EXPOSURES                                                                                             
0190 RE-SECURITISATION POSITIONS                                                                                             
0200 INVESTOR: TOTAL EXPOSURES                                                                                             
0210 SECURITISATION POSITIONS: ON-BALANCE SHEET ITEMS                                                                                             
0220 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT                                                                                             
0230 OF WHICH: SENIOR EXPOSURES                                                                                             
0240 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT                                                                                             
0250 OF WHICH: SENIOR EXPOSURES                                                                                             
0260 SECURITISATION POSITIONS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES                                                                                             
0270 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT                                                                                             
0280 OF WHICH: SENIOR EXPOSURES                                                                                             
0290 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT                                                                                             
0300 OF WHICH: SENIOR EXPOSURES                                                                                             
0310 RE-SECURITISATION POSITIONS                                                                                             
0320 SPONSOR: TOTAL EXPOSURES                                                                                             
0330 SECURITISATION POSITIONS: ON-BALANCE SHEET ITEMS                                                                                             
0340 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT                                                                                             
0350 OF WHICH: SENIOR EXPOSURES                                                                                             
0360 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT                                                                                             
0370 OF WHICH: SENIOR EXPOSURES                                                                                             
0380 SECURITISATION POSITIONS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES                                                                                             
0390 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT                                                                                             
0400 OF WHICH: SENIOR EXPOSURES                                                                                             
0410 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT                                                                                             
0420 OF WHICH: SENIOR EXPOSURES                                                                                             
0430 RE-SECURITISATION POSITIONS                                                                                             
0440 BREAKDOWN OF OUTSTANDING POSITIONS BY CQS AT INCEPTION: Short term                                                                                             
0450 CQS 1                                                                                             
0460 CQS 2                                                                                             
0470 CQS 3                                                                                             
0480 ALL OTHER CQS AND UNRATED                                                                                             
0490 BREAKDOWN OF OUTSTANDING POSITIONS BY CQS AT INCEPTION: Long term                                                                                             
0500 CQS 1                                                                                             
0510 CQS 2                                                                                             
0520 CQS 3                                                                                             
0530 CQS 4                                                                                             
0540 CQS 5                                                                                             
0550 CQS 6                                                                                             
0560 CQS 7                                                                                             
0570 CQS 8                                                                                             
0580 CQS 9                                                                                             
0590 CQS 10                                                                                             
0600 CQS 11                                                                                             
0610 CQS 12                                                                                             
0620 CQS 13                                                                                             
0630 CQS 14                                                                                             
0640 CQS 15                                                                                             
0650 CQS 16                                                                                             
0660 CQS 17                                                                                             
0670 ALL OTHER CQS AND UNRATED                                                                                             
ROW NUMBER INTERNAL CODE IDENTIFIER OF THE SECURITISATION INTRA-GROUP, PRIVATE OR PUBLIC SECURITISATION? ROLE OF THE INSTITUTION:(ORIGINATOR / SPONSOR / ORIGINAL LENDER / INVESTOR) IDENTIFIER OF THE ORIGINATOR SECURITISATION TYPE:(TRADITIONAL / SYNTHETIC / ABCP PROGRAMME / ABCP TRANSACTION) ACCOUNTING TREATMENT: SECURITISED EXPOSURES ARE KEPT OR REMOVED FROM THE BALANCE SHEET? SOLVENCY TREATMENT: Securitisation positions subject to own funds requirements ? SIGNIFICANT RISK TRANSFER SECURITISATION OR RE-SECURITISATION? STS OR NON-STS SECURITISATION? SECURITISATION QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT? RETENTION NON ABCP PROGRAMMES SECURITISED EXPOSURES SECURITISATION STRUCTURE
TYPE OF RETENTION APPLIED % OF RETENTION AT REPORTING DATE COMPLIANCE WITH THE RETENTION REQUIREMENT? ORIGINATION DATE(mm/yyyy) DATE OF LATEST ISSUANCE(mm/yyyy) TOTAL AMOUNT OF SECURITISED EXPOSURES AT ORIGINATION DATE TOTAL AMOUNT INSTITUTION’S SHARE (%) TYPE % of IRB IN APPROACH APPLIED NUMBER OF EXPOSURES EXPOSURES IN DEFAULT W (%) COUNTRY LGD (%) EL% UL% EXPOSURE-WEIGHTED AVERAGE MATURITY OF ASSETS (-) VALUE ADJUSTMENTS AND PROVISIONS OWN FUNDS REQUIREMENTS BEFORE SECURITISATION (%) Kirb % OF RETAIL EXPOSURES IN IRB POOLS OWN FUNDS REQUIREMENTS BEFORE SECURITISATION (%) Ksa MEMORANDUM ITEMS ON-BALANCE SHEET ITEMS OFF-BALANCE SHEET ITEMS AND DERIVATIVES MATURITY MEMORANDUM ITEMS
 CREDIT RISK ADJUSTMENTS DURING THE CURRENT PERIOD SENIOR MEZZANINE FIRST LOSS SENIOR MEZZANINE FIRST LOSS FIRST FORESEEABLE TERMINATION DATE ORIGINATOR’S CALL OPTIONS INCLUDED IN TRANSACTION LEGAL FINAL MATURITY DATE ATTACHMENT POINT OF RISK SOLD (%) DETACHMENT POINT OF RISK SOLD (%) RISK TRANSFER CLAIMED BY ORIGINATOR INSTITUTION (%)
 AMOUNT ATTACHMENT POINT (%) CQS AMOUNT NUMBER OF TRANCHES CQS OF THE MOST SUBORDINATED ONE AMOUNT DETACHMENT POINT (%) CQS
005 010 020 021 110 030 040 051 060 061 070 075 446 080 090 100 120 121 130 140 150 160 171 180 181 190 201 202 203 204 210 221 222 223 225 230 231 232 240 241 242 250 251 252 260 270 280 290 291 300 302 303 304
                                                    
ROW NUMBER INTERNAL CODE IDENTIFIER OF THE SECURITISATION SECURITISATION POSITIONS EXPOSURE VALUE (-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS TOTAL RISK-WEIGHTED EXPOSURE AMOUNT MEMORANDUM ITEMS SECURITISATION POSITIONS - TRADING BOOK
ORIGINAL EXPOSURE PRE-CONVERSION FACTORS MEMORANDUM ITEMS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES PRE CONVERSION FACTORS RISK-WEIGHTED EXPOSURE AMOUNT UNDER SEC-ERBA RISK WEIGHTED EXPOSURE AMOUNT UNDER SEC-SA CTP OR NON-CTP? NET POSITIONS
ON-BALANCE SHEET ITEMS OFF-BALANCE SHEET ITEMS AND DERIVATIVES DIRECT CREDIT SUBSTITUTES IRS / CRS LIQUIDITY FACILITIES OTHER
SENIOR MEZZANINE FIRST LOSS SENIOR MEZZANINE  FIRST LOSS  BEFORE CAP (-) REDUCTION DUE TO RISK WEIGHT CAP (-) REDUCTION DUE TO OVERALL CAP AFTER CAP
RW CORRESPONDING TO PROTECTION PROVIDER / INSTRUMENT RW CORRESPONDING TO PROTECTION PROVIDER / INSTRUMENT LONG SHORT
005 010 020 310 320 330 340 350 351 360 361 370 380 390 400 411 420 430 431 432 440 447 448 450 460 470
                         
BANKING ACTIVITIES RELEVANT INDICATOR LOANS AND ADVANCES(IN CASE OF ASA APPLICATION) OWN FUNDSREQUIREMENT Total operational risk exposure amount AMA MEMORANDUM ITEMS TO BE REPORTED IF APPLICABLE
YEAR-3 YEAR-2 LAST YEAR YEAR-3 YEAR-2 LAST YEAR OF WHICH:DUE TO AN ALLOCATION MECHANISM OWN FUNDS REQUIREMENT BEFORE ALLEVIATION DUE TO EXPECTED LOSS, DIVERSIFICATION AND RISK MITIGATION TECHNIQUES (-) ALLEVIATION OF OWN FUNDS REQUIREMENT DUE TO THE EXPECTED LOSS CAPTURED IN BUSINESS PRACTICES (-) ALLEVIATION OF OWN FUNDS REQUIREMENT DUE TO DIVERSIFICATION (-) ALLEVIATION OF OWN FUNDS REQUIREMENT DUE TO RISK MITIGATION TECHNIQUES (INSURANCE AND OTHER RISK TRANSFER MECHANISMS)
010 020 030 040 050 060 070 071 080 090 100 110 120
010 1. BANKING ACTIVITIES SUBJECT TO BASIC INDICATOR APPROACH (BIA)        Cell linked to CA2     
020 2. BANKING ACTIVITIES SUBJECT TO STANDARDISED (TSA) / ALTERNATIVE STANDARDISED (ASA) APPROACHES        Cell linked to CA2     
 SUBJECT TO TSA:             
030 CORPORATE FINANCE (CF)             
040 TRADING AND SALES (TS)             
050 RETAIL BROKERAGE (RBr)             
060 COMMERCIAL BANKING (CB)             
070 RETAIL BANKING (RB)             
080 PAYMENT AND SETTLEMENT (PS)             
090 AGENCY SERVICES (AS)             
100 ASSET MANAGEMENT (AM)             
 SUBJECT TO ASA:             
110 COMMERCIAL BANKING (CB)             
120 RETAIL BANKING (RB)             
130 3. BANKING ACTIVITIES SUBJECT TO ADVANCED MEASUREMENT APPROACHES AMA        Cell linked to CA2     
MAPPING OF LOSSES TO BUSINESS LINES LOSS EVENT TYPES TOTAL LOSS EVENT TYPES MEMORANDUM ITEM: THRESHOLD APPLIED IN DATA COLLECTION
INTERNAL FRAUD EXTERNAL FRAUD EMPLOYMENT PRACTICES AND WORKPLACE SAFETY CLIENTS, PRODUCTS & BUSINESS PRACTICES DAMAGE TO PHYSICAL ASSETS BUSINESS DISRUPTION AND SYSTEM FAILURES EXECUTION, DELIVERY & PROCESS MANAGEMENT LOWEST HIGHEST
Rows  0010 0020 0030 0040 0050 0060 0070 0080 0090 0100
0010 CORPORATE FINANCE [CF] Number of loss events (new loss events)          
0020 Gross loss amount (new loss events)          
0030 Number of loss events subject to loss adjustments          
0040 Loss adjustments relating to previous reporting periods          
0050 Maximum single loss          
0060 Sum of the five largest losses          
0070 Total direct loss recovery          
0080 Total recovery from insurance and other risk transfer mechanisms          
0110 TRADING AND SALES [TS] Number of loss events (new loss events)          
0120 Gross loss amount (new loss events)          
0130 Number of loss events subject to loss adjustments          
0140 Loss adjustments relating to previous reporting periods          
0150 Maximum single loss          
0160 Sum of the five largest losses          
0170 Total direct loss recovery          
0180 Total recovery from insurance and other risk transfer mechanisms          
0210 RETAIL BROKERAGE [RBr] Number of loss events (new loss events)          
0220 Gross loss amount (new loss events)          
0230 Number of loss events subject to loss adjustments          
0240 Loss adjustments relating to previous reporting periods          
0250 Maximum single loss          
0260 Sum of the five largest losses          
0270 Total direct loss recovery          
0280 Total recovery from insurance and other risk transfer mechanisms          
0310 COMMERCIAL BANKING [CB] Number of events (new loss events)          
0320 Gross loss amount (new loss events)          
0330 Number of loss events subject to loss adjustments          
0340 Loss adjustments relating to previous reporting periods          
0350 Maximum single loss          
0360 Sum of the five largest losses          
0370 Total direct loss recovery          
0380 Total recovery from insurance and other risk transfer mechanisms          
0410 RETAIL BANKING [RB] Number of loss events (new loss events)          
0420 Gross loss amount (new loss events)          
0430 Number of loss events subject to loss adjustments          
0440 Loss adjustments relating to previous reporting periods          
0450 Maximum single loss          
0460 Sum of the five largest losses          
0470 Total direct loss recovery          
0480 Total recovery from insurance and other risk transfer mechanisms          
0510 PAYMENT AND SETTLEMENT [PS] Number of loss events (new loss events)          
0520 Gross loss amount (new loss events)          
0530 Number of loss events subject to loss adjustments          
0540 Loss adjustments relating to previous reporting periods          
0550 Maximum single loss          
0560 Sum of the five largest losses          
0570 Total direct loss recovery          
0580 Total recovery from insurance and other risk transfer mechanisms          
0610 AGENCY SERVICES [AS] Number of loss events (new loss events)          
0620 Gross loss amount (new loss events)          
0630 Number of loss events subject to loss adjustments          
0640 Loss adjustments relating to previous reporting periods          
0650 Maximum single loss          
0660 Sum of the five largest losses          
0670 Total direct loss recovery          
0680 Total recovery from insurance and other risk transfer mechanisms          
0710 ASSET MANAGEMENT [AM] Number of loss events (new loss events)          
0720 Gross loss amount (new loss events)          
0730 Number of loss events subject to loss adjustments          
0740 Loss adjustments relating to previous reporting periods          
0750 Maximum single loss          
0760 Sum of the five largest losses          
0770 Total direct loss recovery          
0780 Total recovery from insurance and other risk transfer mechanisms          
0810 CORPORATE ITEMS [CI] Number of loss events (new loss events)          
0820 Gross loss amount (new loss events)          
0830 Number of loss events subject to loss adjustments          
0840 Loss adjustments relating to previous reporting periods          
0850 Maximum single loss          
0860 Sum of the five largest losses          
0870 Total direct loss recovery          
0880 Total recovery from insurance and other risk transfer mechanisms          
0910 TOTAL BUSINESS LINES Number of loss events (new loss events). Of which:          
0911 related to losses ≥ 10 000 and < 20 000          
0912 related to losses ≥ 20 000 and < 100 000          
0913 related to losses ≥ 100 000 and < 1 000 000          
0914 related to losses ≥ 1 000 000          
0920 Gross loss amount (new loss events). Of which:          
0921 related to losses ≥ 10 000 and < 20 000          
0922 related to losses ≥ 20 000 and < 100 000          
0923 related to losses ≥ 100 000 and < 1 000 000          
0924 related to losses ≥ 1 000 000          
0930 Number of loss events subject to loss adjustments. Of which:          
0935 of which: number of loss events with a positive loss adjustment          
0936 of which: number of loss events with a negative loss adjustment          
0940 Loss adjustments relating to previous reporting periods          
0945 of which: positive loss adjustment amounts (+)          
0946 of which: negative loss adjustment amounts (-)          
0950 Maximum single loss          
0960 Sum of the five largest losses          
0970 Total direct loss recovery          
0980 Total recovery from insurance and other risk transfer mechanisms          
 Event ID Date of accounting Date of occurrence Date of discovery Loss event type Gross loss Gross loss net of direct recoveries GROSS LOSS BY BUSINESS LINE Legal Entity name Legal Entity ID Business Unit Description
Corporate Finance [CF] Trading and Sales [TS] Retail Brokerage [RBr] Commercial Banking [CB] Retail Banking [RB] Payment and Settlement [PS] Agency Services [AS] Asset Management [AM] Corporate Items [CI]
Rows 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110 0120 0130 0140 0150 0160 0170 0180 0190 0200
…                    
 POSITIONS OWN FUNDS REQUIREMENTS TOTAL RISK EXPOSURE AMOUNT
ALL POSITIONS NET POSITIONS POSITIONS SUBJECT TO CAPITAL CHARGE
LONG SHORT LONG SHORT
010 020 030 040 050 060 070
010 TRADED DEBT INSTRUMENTS IN TRADING BOOK       Cell linked to CA2
011 General risk       
012 Derivatives       
013 Other assets and liabilities       
020 Maturity-based approach       
030 Zone 1       
040 0 ≤ 1 month       
050 > 1 ≤ 3 months       
060 > 3 ≤ 6 months       
070 > 6 ≤ 12 months       
080 Zone 2       
090 > 1 ≤ 2 (1,9 for cupon of less than 3 %) years       
100 > 2 ≤ 3 (> 1,9 ≤ 2,8 for cupon of less than 3 %) years       
110 > 3 ≤ 4 (> 2,8 ≤ 3,6 for cupon of less than 3 %) years       
120 Zone 3       
130 > 4 ≤ 5 (> 3,6 ≤ 4,3 for cupon of less than 3 %) years       
140 > 5 ≤ 7 (> 4,3 ≤ 5,7 for cupon of less than 3 %) years       
150 > 7 ≤ 10 (> 5,7 ≤ 7,3 for cupon of less than 3 %) years       
160 > 10 ≤ 15 (> 7,3 ≤ 9,3 for cupon of less than 3 %) years       
170 > 15 ≤ 20 (> 9,3 ≤ 10,6 for cupon of less than 3 %) years       
180 > 20 (> 10,6 ≤ 12,0 for cupon of less than 3 %) years       
190 (> 12,0 ≤ 20,0 for cupon of less than 3 %) years       
200 (> 20 for cupon of less than 3 %) years       
210 Duration-based approach       
220 Zone 1       
230 Zone 2       
240 Zone 3       
250 Specific risk       
251 Own funds requirement for non-securitisation debt instruments       
260 Debt securities under the first category in Table 1       
270 Debt securities under the second category in Table 1       
280 With residual term ≤ 6 months       
290 With a residual term > 6 months and ≤ 24 months       
300 With a residual term > 24 months       
310 Debt securities under the third category in Table 1       
320 Debt securities under the fourth category in Table 1       
321 Rated nth-to default credit derivatives       
325 Own funds requirement for securitisation instruments       
330 Own funds requirement for the correlation trading portfolio       
350 Additional requirements for options (non-delta risks)       
360 Simplified method       
370 Delta plus approach – additional requirements for gamma risk       
380 Delta plus approach – additional requirements for vega risk       
385 Delta plus approach – non-continuous options and warrants       
390 Scenario matrix approach       
 ALL POSITIONS (-) POSITIONS DEDUCTED FROM OWN FUNDS NET POSITIONS BREAKDOWN OF THE NET POSITIONS (LONG) BY RISK WEIGHTS BREAKDOWN OF THE NET POSITIONS (SHORT) BY RISK WEIGHTS BREAKDOWN OF THE NET POSITION BY APPROACHES OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF CHAPTER 2 OF REGULATION (EU) 2017/2402 BEFORE CAP AFTER CAP / TOTAL OWN FUND REQUIREMENTS
LONG SHORT (-) LONG (-) SHORT LONG SHORT [0 – 10 %[ [10 – 12 %[ [12 – 20 %[ [20 – 40 %[ [40 – 100 %[ [100 – 150 %[ [150 – 200 %[ [200 – 225 %[ [225 – 250 %[ [250 – 300 %[ [300 – 350 %[ [350 – 425 %[ [425 – 500 %[ [500 – 650 %[ [650 – 750 %[ [750 – 850 %[ [850 – 1 250 %[ 1 250 % [0 – 10 %[ [10 – 12 %[ [12 – 20 %[ [20 – 40 %[ [40 – 100 %[ [100 – 150 %[ [150 – 200 %[ [200 – 225 %[ [225 – 250 %[ [250 – 300 %[ [300 – 350 %[ [350 – 425 %[ [425 – 500 %[ [500 – 650 %[ [650 – 750 %[ [750 – 850 %[ [850 – 1 250 %[ 1 250 % SEC-IRBA SEC-SA SEC-ERBA INTERNAL ASSESSMENT APPROACH OTHER (RW=1 250 %) WEIGHTED NET LONG POSITIONS WEIGHTED NET SHORT POSITIONS
010 020 030 040 050 060 061 062 063 064 065 066 071 072 073 074 075 076 077 078 079 081 082 083 085 086 087 088 089 091 092 093 094 095 096 097 098 099 101 102 103 0104 402 403 404 405 406 530 540 570 601
010 TOTAL EXPOSURES                                                   Cell linked to MKR SA TDI {325:060}
020 Of which: RE-SECURITISATIONS                                                   
030 ORIGINATOR: TOTAL EXPOSURES                                                   
040 SECURITISATION POSITIONS                                                   
041 OF WHICH: QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT                                                   
050 RE-SECURITISATION POSITONS                                                   
060 INVESTOR: TOTAL EXPOSURES                                                   
070 SECURITISATION POSITIONS                                                   
071 OF WHICH: QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT                                                   
080 RE-SECURITISATION POSITONS                                                   
090 SPONSOR: TOTAL EXPOSURES                                                   
100 SECURITISATION POSITIONS                                                   
101 OF WHICH: QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT                                                   
110 RE-SECURITISATION POSITONS                                                   
 ALL POSITIONS (-) POSITIONS DEDUCTED FROM OWN FUNDS NET POSITIONS BREAKDOWN OF THE NET POSITION (LONG) BY RISK WEIGHTS BREAKDOWN OF THE NET POSITION (SHORT) BY RISK WEIGHTS BREAKDOWN OF THE NET POSITION BY APPROACHES BEFORE CAP AFTER CAP TOTAL OWN FUNDS REQUIREMENTS
LONG SHORT (-) LONG (-) SHORT LONG SHORT [0 – 10 %[ [10 – 12 %[ [12 – 20 %[ [20 – 40 %[ [40 – 100 %[ [100 – 250 %[ [250 – 350 %[ [350 – 425 %[ [425 – 650 %[ [650 – 1 250 %[ 1 250 % [0 – 10 %[ [10 – 12 %[ [12 – 20 %[ [20 – 40 %[ [40 – 100 %[ [100 – 250 %[ [250 – 350 %[ [350 – 425 %[ [425 – 650 %[ [650 – 1 250 %[ 1 250 % SEC-IRBA SEC-SA SEC-ERBA INTERNAL ASSESSMENT APPROACH OTHER (RW=1 250 %) WEIGHTED NET LONG POSITIONS WEIGHTED NET SHORT POSITIONS WEIGHTED NET LONG POSITIONS WEIGHTED NET SHORT POSITIONS
010 020 030 040 050 060 071 072 073 074 075 076 077 078 079 081 082 086 087 088 089 091 092 093 094 095 096 097 402 403 404 405 406 410 420 430 440 450
010 TOTAL EXPOSURES                                      Cell linked to MKR SA TDI {330:060}
 SECURITISATION POSITIONS:
020 ORIGINATOR: TOTAL EXPOSURES                                      
030 SECURITISATION POSITIONS                                      
040 OTHER CTP POSITIONS                                      
050 INVESTOR: TOTAL EXPOSURES                                      
060 SECURITISATION POSITIONS                                      
070 OTHER CTP POSITIONS                                      
080 SPONSOR: TOTAL EXPOSURES                                      
090 SECURITISATION POSITIONS                                      
100 OTHER CTP POSITIONS                                      
 N-TH-TO-DEFAULT CREDIT DERIVATIVES:
110 N-TH-TO-DEFAULT CREDIT DERIVATIVES                                      
120 OTHER CTP POSITIONS                                      
 POSITIONS OWN FUNDS REQUIREMENTS TOTAL RISK EXPOSURE AMOUNT
ALL POSITIONS NET POSITIONS POSITIONS SUBJECT TO CAPITAL CHARGE
LONG SHORT
LONG SHORT
010 020 030 040 050 060 070
010 EQUITIES IN TRADING BOOK       Cell linked to CA
020 General risk       
021 Derivatives       
022 Other assets and liabilities       
030 Exchange traded stock-index futures broadly diversified subject to particular approach       
040 Other equities than exchange traded stock-index futures broadly diversified       
050 Specific risk       
090 Additional requirements for options (non-delta risks)       
100 Simplified method       
110 Delta plus approach – additional requirements for gamma risk       
120 Delta plus approach – additional requirements for vega risk       
125 Delta plus approach – non-continuous options and warrants       
130 Scenario matrix approach       
 ALL POSITIONS NET POSITIONS POSITIONS SUBJECT TO CAPITAL CHARGE(Including redistribution of unmatched positions in non-reporting currencies subject to special treatment for matched positions) OWN FUNDS REQUIREMENTS TOTAL RISK EXPOSURE AMOUNT
LONG SHORT LONG SHORT LONG SHORT MATCHED
020 030 040 050 060 070 080 090 100
010 TOTAL POSITIONS         Cell linked to CA
020 Currencies closely correlated         
025 of which: reporting currency         
030 All other currencies (including CIUs treated as different currencies)         
040 Gold         
050 Additional requirements for options (non-delta risks)         
060 Simplified method         
070 Delta plus approach – additional requirements for gamma risk         
080 Delta plus approach – additional requirements for vega risk         
085 Delta plus approach – non-continuous options and warrants         
090 Scenario matrix approach         
BREAKDOWN OF TOTAL POSITIONS (REPORTING CURRENCY INCLUDED) BY EXPOSURE TYPES
100 Other assets and liabilities other than off-balance sheet items and derivatives         
110 Off-balance sheet items         
120 Derivatives         
Memorandum items: CURRENCY POSITIONS
130 Euro         
140 Lek         
150 Argentine Peso         
160 Australian Dollar         
170 Brazilian Real         
180 Bulgarian Lev         
190 Canadian Dollar         
200 Czech Koruna         
210 Danish Krone         
220 Egyptian Pound         
230 Pound Sterling         
240 Forint         
250 Yen         
270 Lithuanian Litas         
280 Denar         
290 Mexican Peso         
300 Zloty         
310 Rumanian Leu         
320 Russian Ruble         
330 Serbian Dinar         
340 Swedish Krona         
350 Swiss Franc         
360 Turkish Lira         
370 Hryvnia         
380 US Dollar         
390 Iceland Krona         
400 Norwegian Krone         
410 Hong Kong Dollar         
420 New Taiwan Dollar         
430 New Zealand Dollar         
440 Singapore Dollar         
450 Won         
460 Yuan Renminbi         
470 Other         
480 Croatian Kuna         
 ALL POSITIONS NET POSITIONS POSITIONS SUBJECT TO CAPITAL CHARGE OWN FUNDS REQUIREMENTS TOTAL RISK EXPOSURE AMOUNT
LONG SHORT
LONG SHORT
010 020 030 040 050 060 070
010 TOTAL POSITIONS IN COMMODITIES       Cell linked to CA
020 Precious metals (except gold)       
030 Base metals       
040 Agricultural products (softs)       
050 Others       
060 Of which energy products (oil, gas)       
070 Maturity ladder approach       
080 Extended maturity ladder approach       
090 Simplified approach: All positions       
100 Additional requirements for options (non-delta risks)       
110 Simplified method       
120 Delta plus approach – additional requirements for gamma risk       
130 Delta plus approach – additional requirements for vega risk       
135 Delta plus approach – non-continuous options and warrants       
140 Scenario matrix approach       
 Value at Risk (VaR) STRESSED VaR INCREMENTAL DEFAULT AND MIGRATION RISK CAPITAL CHARGE ALL PRICE RISKS CAPITAL CHARGE FOR CTP OWN FUNDS REQUIREMENTS TOTAL RISK EXPOSURE AMOUNT Number of overshootingsduring previous 250 working days VaR Multiplication Factor (mc) SVaR Multiplication Factor (ms) ASSUMED CHARGE FOR CTP FLOOR – WEIGHTED NET LONG POSITIONS AFTER CAP ASSUMED CHARGE FOR CTP FLOOR – WEIGHTED NET SHORT POSITIONS AFTER CAP
MULTIPLICATION FACTOR (mc) x AVERAGE OF PREVIOUS 60 WORKING DAYS (VaRavg) PREVIOUS DAY (VaRt-1) MULTIPLICATION FACTOR (ms) x AVERAGE OF PREVIOUS 60 WORKING DAYS (SVaRavg) LATEST AVAILABLE (SVaRt-1) 12 WEEKS AVERAGE MEASURE LAST MEASURE FLOOR 12 WEEKS AVERAGE MEASURE LAST MEASURE
030 040 050 060 070 080 090 100 110 120 130 140 150 160 170 180
010 TOTAL POSITIONS           Cell linked to CA     
 Memorandum items: BREAKDOWN OF MARKET RISK
020 Traded debt instruments                
030 TDI – General risk                
040 TDI – Specific Risk                
050 Equities                
060 Equities – General risk                
070 Equities – Specific Risk                
080 Foreign Exchange risk                
090 Commodities risk                
100 Total amount for general risk                
110 Total amount for specific risk                
 EXPOSURE VALUE VaR STRESSED VaR OWN FUNDSREQUIREMENTS TOTAL RISKEXPOSURE AMOUNT MEMORANDUM ITEMS CVA RISK HEDGE NOTIONALS
 of which:OTC Derivatives of which:SFT MULTIPLICATION FACTOR (mc) x AVERAGE OF PREVIOUS 60 WORKING DAYS (VaRavg) PREVIOUS DAY(VaRt-1) MULTIPLICATION FACTOR (ms) x AVERAGE OF PREVIOUS 60 WORKING DAYS (SVaRavg) LATEST AVAILABLE (SVaRt-1) Number of counterparties of which: proxy was used to determine credit spread INCURRED CVA SINGLE NAME CDS INDEX CDS
010 020 030 040 050 060 070 080 090 100 110 120 130 140
010 CVA risk total         Link to {CA2;r640;c010}     
020 Advanced method         Link to {CA2;r650;c010}     
030 Standardised method         Link to {CA2;r660;c010}     
040 Based on OEM         Link to {CA2;r670;c010}     
 FAIR-VALUED ASSETS AND LIABILITIES  FAIR-VALUED ASSETS AND LIABILITIES EXCLUDED BECAUSE OF PARTIAL IMPACT ON CET1 FAIR-VALUED ASSETS AND LIABILITIES INCLUDED IN ARTICLE 4(1) THRESHOLD 
OF WHICH: TRADING BOOK EXACTLY MATCHING HEDGE ACCOUNTING PRUDENTIAL FILTERS OTHER COMMENTS FOR OTHER OF WHICH:TRADING BOOK
0010 0020 0030 0040 0050 0060 0070 0080 0090
0010 1 TOTAL FAIR-VALUED ASSETS AND LIABILITIES         
0020 1.1 TOTAL FAIR-VALUED ASSETS         
0030 1.1.1 FINANCIAL ASSETS HELD FOR TRADING         
0040 1.1.2 TRADING FINANCIAL ASSETS         
0050 1.1.3 NON-TRADING FINANCIAL ASSETS MANDATORILY AT FAIR VALUE THROUGH PROFIT OR LOSS         
0060 1.1.4 FINANCIAL ASSETS DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS         
0070 1.1.5 FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME         
0080 1.1.6 NON-TRADING NON-DERIVATIVE FINANCIAL ASSETS MEASURED AT FAIR VALUE THROUGH PROFIT OR LOSS         
0090 1.1.7 NON-TRADING NON-DERIVATIVE FINANCIAL ASSETS MEASURED AT FAIR VALUE TO EQUITY         
0100 1.1.8 OTHER NON-TRADING NON-DERIVATIVE FINANCIAL ASSETS         
0110 1.1.9 DERIVATIVES – HEDGE ACCOUNTING         
0120 1.1.10 FAIR VALUE CHANGES OF THE HEDGED ITEMS IN PORTFOLIO HEDGE OF INTEREST RATE RISK         
0130 1.1.11 INVESTMENTS IN SUBSIDIARIES, JOINT VENTURES AND ASSOCIATES         
0140 1.1.12 (-) HAIRCUTS FOR TRADING ASSETS AT FAIR VALUE         
0150 1.2 TOTAL FAIR-VALUED LIABILITIES         
0160 1.2.1 FINANCIAL LIABILITIES HELD FOR TRADING         
0170 1.2.2 TRADING FINANCIAL LIABILITIES         
0180 1.2.3 FINANCIAL LIABILITIES DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS         
0190 1.2.4 DERIVATIVES – HEDGE ACCOUNTING         
0200 1.2.5 FAIR VALUE CHANGES OF THE HEDGED ITEMS IN PORTFOLIO HEDGE OF INTEREST RATE RISK         
0210 1.2.6 HAIRCUTS FOR TRADING LIABILITIES AT FAIR VALUE         
 CATEGORY LEVEL AVA TOTAL AVA UPSIDE UNCERTAINTY FAIR-VALUED ASSETS AND LIABILITIES QTDREVENUE IPVDIFFERENCE FAIR VALUE ADJUSTMENTS DAY 1 P&L EXPLANATION DESCRIPTION
MARKET PRICE UNCERTAINTY  CLOSE-OUT COSTS  MODEL RISK  CONCENTRATED POSITIONS FUTURE ADMINISTRATIVE COSTS EARLY TERMINATION OPERATIONAL RISK FAIR-VALUED ASSETS FAIR-VALUED LIABILITIES MARKET PRICE UNCERTAINTY CLOSE-OUT COSTS MODEL RISK CONCENTRATEDPOSITIONS UNEARNED CREDIT SPREADS INVESTING AND FUNDING COSTS FUTURE ADMINIS-TRATIVE COSTS EARLY TERMINATION OPERA- TIONAL RISK
OF WHICH: CALCULATED USING THE EXPERT BASED APPROACH OF WHICH: CALCULATED USING THE EXPERT BASED APPROACH OF WHICH: CALCULATED USING THE EXPERT BASED APPROACH
0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110 0120 0130 0140 0150 0160 0170 0180 0190 0200 0210 0220 0230 0240 0250 0260 0270
0010 1 TOTAL CORE APPROACH                           
0020  OF WHICH: TRADING BOOK                           
0030 1.1 PORTFOLIOS UNDER ARTICLES 9 TO 17 OF COMMISION DELEGATED REGULATION (EU) 2016/101 – TOTAL CATEGORY LEVEL POST-DIVERSIFICATION                           
0040 1.1.1 TOTAL CATEGORY LEVEL PRE-DIVERSIFICATION                           
0050 1.1.1* OF WHICH: UNEARNED CREDIT SPREADS AVA                           
0060 1.1.1** OF WHICH: INVESTMENT AND FUNDING COSTS AVA                           
0070 1.1.1*** OF WHICH: AVA ASSESSED TO HAVE ZERO VALUE UNDER ARTICLE 9(2) OF DELEGATED REGULATION (EU) 2016/101                           
0080 1.1.1**** OF WHICH: AVA ASSESSED TO HAVE ZERO VALUE UNDER PARAGRAPHS 2 AND 3 OF ARTICLE 10 OF DELEGATED REGULATION (EU) 2016/101                           
0090 1.1.1.1 INTEREST RATES                           
0100 1.1.1.2 FOREIGN EXCHANGE                           
0110 1.1.1.3 CREDIT                           
0120 1.1.1.4 EQUITIES                           
0130 1.1.1.5 COMMODITIES                           
0140 1.1.2 (-) DIVERSIFICATION BENEFITS                           
0150 1.1.2.1 (-) DIVERSIFICATION BENEFIT CALCULATED USING METHOD 1                           
0160 1.1.2.2 (-) DIVERSIFICATION BENEFIT CALCULATED USING METHOD 2                           
0170 1.1.2.2* MEMORANDUM ITEM: PRE-DIVERSIFICATION AVAS REDUCED BY MORE THAN 90 % BY DIVERSIFICATION UNDER METHOD 2                           
0180 1.2 PORTFOLIOS UNDER THE FALL-BACK APPROACH                           
0190 1.2.1 100 % OF NET UNREALISED PROFIT                           
0200 1.2.2 10 % OF NOTIONAL VALUE                           
0210 1.2.3 25 % OF INCEPTION VALUE                           
RANK MODEL RISK CATEGORY PRODUCT OBSER-VABILITY MODEL RISK AVA   AGGREGATED AVA CALCULATED UNDER METHOD 2 FAIR-VALUED ASSETS AND LIABILITIES IPV DIFFERENCE (OUTPUT TESTING) IPV COVERAGE (OUTPUT TESTING) FAIR VALUE ADJUSTMENTS DAY1 P&L
OF WHICH:USING EXPERT APPROACH OF WHICH: AGGREGATED USING METHOD 2 FV ASSETS FV LIABILITIES MODEL RISK EARLY TERMINATION
0005 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110 0120 0130 0140 0150
               
RANK RISK CATEGORY PRODUCT UNDERLYING CONCENTRATED POSITION SIZE SIZE MEASURE MARKET VALUE PRUDENT EXIT PERIOD CONCENTRATED POSITIONS AVA CONCENTRATED POSITION FAIR VALUE ADJUSTMENT IPV DIFFERENCE
0005 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100
          
 Direct exposures Memorandum item: credit derivatives sold on general government exposures Exposure value Risk weighted exposure amount
On-balance sheet exposures Accumulated impairment  Accumulated negative changes in fair value due to credit risk   Derivatives Off-balance sheet exposures
Total gross carrying amount of non-derivative financial assets Total carrying amount of non-derivative financial assets (net of short positions) Non-derivative financial assets by accounting portfolios Short positions     Derivatives with positive fair value Derivatives with negative fair value Nominal amount Provisions Accumulated negative changes in fair value due to credit risk Derivatives with positive fair value – Carrying amount Derivatives with negative fair value – Carrying amount
Financial assets held for trading Trading financial assets Non-trading financial assets mandatorily at fair value through profit or loss Financial assets designated at fair value through profit or loss Non-trading non-derivative financial assets measured at fair value through profit or loss Financial assets at fair value through other comprehensive income Non-trading non-derivative financial assets measured at fair value to equity Financial assets at amortised cost Non-trading non-derivative financial assets measured at a cost-based method Other non-trading non-derivative financial assets Of which: Short positions from reverse repurchased loans classified as held for trading or trading financial assets of which: from financial assets at fair value through other comprehensive income or from non-trading non-derivative financial assets measured at fair value to equity of which: from non-trading financial assets mandatorily at fair value through profit or loss, financial assets designated at fair value through profit or loss or from non-trading financial assets measured at fair value through profit or loss of which: from financial assets at fair value through other comprehensive income or from non-trading non-derivative financial assets measured at fair value to equity Carrying amount Notional amount Carrying amount Notional amount
010 020 030 040 050 060 070 080 090 100 110 120 130 140 150 160 170 180 190 200 210 220 230 240 250 260 270 280 290 300
010 Total exposures                              
BREAKDOWN OF TOTAL EXPOSURES BY RISK, REGULATORY APPROACH AND EXPOSURE CLASSES:
020 Exposures under the credit risk framework                              
030 Standardised Approach                              
040 Central governments                              
050 Regional governments or local authorities                              
060 Public sector entities                              
070 International Organisations                              
075 Other general government exposures subject to Standardised Approach                              
080 IRB Approach                              
090 Central governments                              
100 Regional governments or local authorities [Central governments]                              
110 Regional governments or local authorities [Institutions]                              
120 Public sector entities [Central governments]                              
130 Public sector entities [Institutions]                              
140 International Organisations [Central governments]                              
155 Other general government exposures subject to IRB Approach                              
160 Exposures under the market risk framework                              
BREAKDOWN OF TOTAL EXPOSURES BY RESIDUAL MATURITY:
170 [ 0 – 3M [                              
180 [ 3M – 1Y [                              
190 [ 1Y – 2Y [                              
200 [ 2Y – 3Y [                              
210 [3Y – 5Y [                              
220 [5Y – 10Y [                              
230 [10Y – more                              

ANNEX II


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 validation rules are included in this part of this Implementing Regulation.
 3. Institutions shall 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 points 5 to 8, when referring to the columns, rows and cells of the templates. Those numerical codes are extensively used in the validation rules.
 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 are 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.
 1.4.  9a. For the purposes of this Annex, Regulation (EU) No 575/2013 of the European Parliament and of the Council is referred to as “CRR”, Directive 2013/36/EU of the European Parliament and of the Council is referred to as “CRD”, Directive 2013/34/EU of the European Parliament and of the Council is referred to as “AD” and Council Directive 86/635/EEC is referred to as “BAD”.

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 the application of CRR and CRD transitional provisions per type of capital;
((b)) CA2 template summarises the total risk exposures amounts as defined in Article 92(3) CRR;
((c)) CA3 template contains the ratios for which CRR states a minimum level, and some other related data;
((d)) CA4 template contains memorandums items needed, among others, for calculating items in CA1 as well as information with regard to CRD capital buffers;
((e)) CA5 template contains the data needed for calculating the effect of the application of CRR transitional provisions in own funds. CA5 will cease to exist once those transitional provisions expire.
 11. The templates shall be used by all reporting entities, irrespective of the accounting standards followed, although some items in the numerator are specific for entities applying IAS/IFRS-type valuation rules. Generally, the information in the denominator is linked to the final results reported in the correspondent templates for the calculation of the total risk exposure amount.
 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) and Additional Tier 1 capital (AT1) as well as Tier 2 capital (T2).
 13. 

((a)) The items in CA1 are generally gross of transitional adjustments. That means that figures in CA1 items are calculated in accordance with the final provisions (i.e. as if there were no transitional provisions), with the exception of items summarizing the effect of those transitional provisions. For each type of capital (i.e. CET1; AT1 and T2), there are three different items in which all the adjustments due to those transitional provisions are included.
((b)) Transitional provisions may also affect the AT1 and the T2 shortfall (i.e. AT1 or T2 the excess of deduction, regulated in point (j) of Article 36(1) and point (e) of Article 56 CRR respectively), and thus the items containing those shortfalls may indirectly reflect the effect of those transitional provisions.
((c)) Template CA5 is exclusively used for reporting the effect due to the application of the CRR 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. That cell has no link via validation rules to the capital ratios of the CA3 template and reflects Article 104(2) CRD which explicitly mentions additional own funds requirements as one possibility for Pillar II decisions.
 1.2.  1.2.1. 

Row Legal references and instructions
010  1. 
Point (118) of Article 4(1) and Article 72 CRR

The own funds of an institution shall consist of the sum of its Tier 1 capital and Tier 2 capital.

015  1.1. 
Article 25 CRR

The Tier 1 capital is the sum of Common Equity Tier 1 Capital and Additional Tier 1 capital

020  1.1.1. 
Article 50 CRR

030  1.1.1.1. 
Points (a) and (b) of Articles 26(1), Articles 27 to 30, point (f) of Article 36(1) and Article 42 CRR

040  1.1.1.1.1. 
Point (a) of Article 26(1) and Articles 27 to 31 CRR

Capital instruments of mutual, cooperative societies or similar institutions (Articles 27 and 29 CRR) shall be included.

The share premium related to the instruments shall not be included.

Capital instruments subscribed by public authorities in emergency situations shall be included if all conditions of Article 31 CRR are fulfilled.

045  1.1.1.1.1* 
Article 31 CRR

Capital instruments subscribed by public authorities in emergency situations shall be included in CET1 capital if all conditions of Article 31 CRR are fulfilled.

050  1.1.1.1.2* 
Points (b), (l) and (m) of Article 28(1) CRR

Conditions in those points reflect different situations of the capital which are reversible, and thus the amount reported here can be eligible in subsequent periods.

The amount to be reported shall not include the share premium related to the instruments

060  1.1.1.1.3. 
Point (124) of Article 4(1), point (b) of Article 26(1) CRR

Share premium has the same meaning as under the applicable accounting standard.

The amount to be reported in this item shall be the part related to the “Paid up capital instruments”.

070  1.1.1.1.4. 
Point (f) of Article 36(1) and Article 42 CRR

Own CET1 held by the reporting institution or group at the reporting date. Subject to exceptions in Article 42 CRR.

Holdings on shares included as “Capital instruments not eligible” shall not be reported in this row.

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

Items 1.1.1.1.4 to 1.1.1.1.4.3 do not include actual or contingent obligations to purchase own CET1 instruments. Actual or contingent obligations to purchase own CET1 instruments are reported separately in item 1.1.1.1.5.

080  1.1.1.1.4.1. 
Point (f) of Article 36(1) and Article 42 CRR

Common Equity Tier 1 instruments included in item 1.1.1.1 held by institutions of the consolidated group.

The amount to be reported shall include holdings in the trading book calculated on the basis of the net long position, as stated in point (a) of Article 42 CRR.

090  1.1.1.1.4.2. 
Point (114) of Article 4(1), point (f) of Article 36(1) and Article 42 CRR

091  1.1.1.1.4.3. 
Point (126) of Article 4(1), point (f) of Article 36(1) and Article 42 CRR

092  1.1.1.1.5. 
Point (f) of Article 36(1) and Article 42 CRR

According to point (f) of Article 36(1) CRR, “own Common Equity Tier 1 instruments that an institution is under an actual or contingent obligation to purchase by virtue of an existing contractual obligation” shall be deducted.

130  1.1.1.2. 
Point (c) of Article 26(1) and Article 26(2) CRR

Retained earnings includes the previous year retained earnings plus the eligible interim or year-end profits

140  1.1.1.2.1. 
Point (123) of Article 4(1) and point (c) of Article 26(1) CRR

Point (123) of Article 4(1) CRR defines retained earnings as “Profit and losses brought forward as a result of the final application of profit or loss under the applicable accounting framework”.

150  1.1.1.2.2. 
Point (121) of Article 4(1), Article 26(2) and point (a) of Article 36(1) CRR

Article 26(2) CRR allows including as retained earnings interim or year-end profits, with the prior consent of the competent authorities, if some conditions are met.

On the other hand, losses shall be deducted from CET1, as stated in point (a) of Article 36(1) CRR.

160  1.1.1.2.2.1. 
Article 26(2) and point (a) of Article 36(1) CRR

The amount to be reported shall be the profit or loss reported in the accounting income statement.

170  1.1.1.2.2.2. 
Article 26(2) CRR

This row shall not present any figure if, for the reference period, the institution has reported losses, because the losses shall be completely deducted from CET1.

If the institution reports profits, the part, which is not eligible according to Article 26(2) CRR (i.e. profits not audited and foreseeable charges or dividends), shall be reported.

Note that, in case of profits, the amount to be deduced shall be, at least, the interim dividends.

180  1.1.1.3. 
Point (100) of Article 4(1) and point (d) of Article 26(1) CRR

The amount to be reported shall be net of any tax charge foreseeable at the moment of the calculation, and prior to the application of prudential filters. The amount to be reported shall be determined in accordance with Article 13(4) of Commission Delegated Regulation (EU) No 241/2014.

200  1.1.1.4. 
Point (117) of Article 4(1) and point (e) of Article 26(1) CRR

Other reserves are defined in CRR as “Reserves within the meaning of the applicable accounting framework that are required to be disclosed under that applicable accounting standard, excluding any amounts already included in accumulated other comprehensive income or retained earnings”.

The amount to be reported shall be net of any tax charge foreseeable at the moment of the calculation.

210  1.1.1.5. 
Point (112) of Article 4(1) and point (f) of Article 26(1) CRR

Funds for general banking risk are defined in Article 38 BAD as “Amounts which a credit institution decides to put aside to cover such risks where that is required by the particular risks associated with banking”.

The amount to be reported shall be net of any tax charge foreseeable at the moment of the calculation.

220  1.1.1.6. 
Paragraphs 1, 2 and 3 of Article 483 and Articles 484 to 487 CRR

Amount of capital instruments transitionally grandfathered as CET1. The amount to be reported is directly obtained from CA5.

230  1.1.1.7. 
Point (120) of Article 4(1) and Article 84 CRR

Sum of all the amounts of minority interests of subsidiaries that is included in consolidated CET1.

240  1.1.1.8. 
Articles 479 and 480 CRR

Adjustments to the minority interests due to transitional provisions. This item is obtained directly from CA5.

250  1.1.1.9. 
Articles 32 to 35 CRR

260  1.1.1.9.1. 
Article 32(1) CRR

The amount to be reported is the increase in the equity of the institution resulting from securitised assets, in accordance with the applicable accounting standard.

For example, this item includes the future margin income that results in a gain on sale for the institution, or, for originators, the net gains that arise from the capitalisation of future income from the securitised assets that provide credit enhancement to positions in the securitisation.

270  1.1.1.9.2. 
Point (a) of Article 33(1) CRR

The amount to be reported can be positive or negative. It shall be positive if cash flow hedges result in a loss (i.e. if it reduces accounting equity) and vice versa. Thus, the sign shall be contrary to the one used in accounting statements.

The amount shall be net of any tax charge to be expected at the moment of the calculation.

280  1.1.1.9.3. 
Point (b) of Article 33(1) CRR

The amount to be reported can be positive or negative. It shall be positive if there is a loss due to changes in own credit risk (i.e. if it reduces accounting equity) and vice versa. Thus, the sign shall be contrary to the one used in accounting statements.

Unaudited profit shall not be included in this item.

285  1.1.1.9.4. 
Point (c) of Article 33(1) and Article 33(2) CRR

The amount to be reported can be positive or negative. It shall be positive if there is a loss due to changes in own credit risk and vice versa. Thus, the sign shall be contrary to the one used in accounting statements.

Unaudited profit shall not be included in this item.

290  1.1.1.9.5. 
Articles 34 and 105 CRR

Adjustments to the fair value of exposures included in the trading book or non-trading book due to stricter standards for prudent valuation set in Article 105 CRR

300  1.1.1.10. 
Point (113) of Article 4(1), point (b) of Article 36(1) and Article 37 CRR

310  1.1.1.10.1. 
Point (113) of Article 4(1) and point (b) of Article 36(1) CRR

Goodwill has the same meaning as under the applicable accounting standard.

The amount to be reported here shall be the same as the amount that is reported in the balance sheet.

320  1.1.1.10.2. 
Point (b) of Article 37 and Article 43 CRR

330  1.1.1.10.3. 
Point (a) of Article 37 CRR

Amount of deferred tax liabilities that would be extinguished if the goodwill became impaired or was derecognised under the relevant accounting standard.

340  1.1.1.11. 
Point (115) of Article 4(1), point (b) of Article 36(1) and point (a) of Article 37 CRR

Other intangible assets are the intangibles assets under the applicable accounting standard, minus the goodwill, also according to the applicable accounting standard.

350  1.1.1.11.1. 
Point (115) of Article 4(1) and point (b) of Article 36(1) CRR

Other intangible assets are the intangibles assets under the applicable accounting standard, minus the goodwill, also according to the applicable accounting standard.

The amount to be reported here shall correspond to the amount reported in the balance sheet of intangible assets, other than goodwill.

360  1.1.1.11.2. 
Point (a) of Article 37 CRR

Amount of deferred tax liabilities that would be extinguished if the intangibles assets, other than goodwill, became impaired or was derecognised under the relevant accounting standard.

370  1.1.1.12. 
Point (c) of Article 36(1) and Article 38 CRR

380  1.1.1.13. 
Point (d) of Article 36(1), Articles 40, 158 and 159 CRR

The amount to be reported shall not be reduced by a rise in the level of deferred tax assets that rely on future profitability, or other additional tax effect, that could occur if provisions were to rise to the level of expected losses" (Article 40 CRR).

390  1.1.1.14. 
Point (109) of Article 4(1), point (e) of Article 36(1) and Article 41 CRR

400  1.1.1.14.1. 
Point (109) of Article 4(1) and point (e) of Article 36(1) CRR

Defined benefit pension fund assets are defined as “the assets of a defined pension fund or plan, as applicable, calculated after they have been reduced by the amount of obligations under the same fund or plan”.

The amount to be reported here shall correspond to the amount reported in the balance sheet (if reported separately).

410  1.1.1.14.2. 
Points (108) and (109) of Article 4(1) and point (a) of Article 41(1) CRR

Amount of deferred tax liabilities that would be extinguished if the defined benefit pension fund assets became impaired or were derecognised under the relevant accounting standard.

420  1.1.1.14.3. 
Point (109) of Article 4(1) and point (b) of Article 41(1) CRR

This item shall only present any amount if there is a prior consent of the competent authority to reduce the amount of defined benefit pension fund assets to be deducted.

The assets included in this row shall receive a risk weight for credit risk requirements.

430  1.1.1.15. 
Point (122) of Article 4(1), point (g) of Article 36(1) and Article 44 CRR

Holdings in CET1 instruments of financial sector entities (as defined in point (27) of Article 4(1) CRR) where there is a reciprocal cross holding that the competent authority considers to have been designed to inflate artificially the own funds of the institution.

The amount to be reported shall be calculated on the basis of the gross long positions, and shall include Tier 1 own-fund insurance items.

440  1.1.1.16. 
Point (j) of Article 36(1) CRR

The amount to be reported is directly taken from CA1 item “Excess of deduction from AT1 items over AT1 Capital”. The amount has to be deducted from CET1.

450  1.1.1.17. 
Point (36) of Article 4(1), point (k)(i) of Article 36(1) and Articles 89 to 91 CRR

Qualifying holdings are defined as “direct or indirect holding in an undertaking which represents 10 % or more of the capital or of the voting rights or which makes it possible to exercise a significant influence over the management of that undertaking”.

According to point (k)(i) of Article 36(1) CRR qualifying holdings can, alternatively, be deducted from CET1 (using this item), or be subject to a risk weight of 1 250 %.

460  1.1.1.18. 
Point (b) of Articles 244(1), point (b) of Article 245(1) and Article 253(1) CRR.

Securitisation positions, which are subject to a 1 250 % risk weight, but alternatively are allowed to be deducted from CET1 (point (k)(ii) of Article 36(1) CRR), shall be reported in this item.

470  1.1.1.19. 
Point (k)(iii) of Article 36(1) and Article 379(3) CRR

Free deliveries are subject to a 1 250 % risk weight after 5 days post second contractual payment or delivery leg until the extinction of the transaction, according to the own funds requirements for settlement risk. Alternatively, they are allowed to be deducted from CET1 (point (k)(iii) of Article 36(1) CRR). In the latter case, they shall be reported in this item.

471  1.1.1.20. 
Point (k)(iv) of Articles 36(1) and Article 153(8) CRR

According to point (k)(iv) of Article 36(1) CRR, positions in a basket for which an institution cannot determine the risk weight under the IRB Approach can, alternatively, be deducted from CET1 (using this item), or subject to a risk weight of 1 250 %.

472  1.1.1.21. 
Point (k)(v) of Article 36(1) and Article 155(4) CRR

According to point (k)(v) of Article 36(1) CRR, equity exposures under an internal models approach can, alternatively, be deducted from CET1 (using this item), or be subject to a risk weight of 1 250 %.

480  1.1.1.22. 
Point (27) of Article 4(1), point (h) of Article 36(1), Articles 43 to 46, paragraphs 2 and 3 of Article 49 and Article 79 CRR

Part of holdings by the institution of instruments of financial sector entities (as defined in point (27) of Article 4(1) CRR) where the institution does not have a significant investment that has to be deducted from CET1.

See alternatives to deduction when consolidation is applied (paragraphs 2 and 3 of Article 49).

490  1.1.1.23. 
Point (c) of Article 36(1); Article 38 and point (a) of Article 48(1) CRR

Part of deferred tax assets that rely in future profitability and arise from temporary differences (net of the part of associated deferred tax liabilities allocated to deferred tax assets that arise from temporary differences), which according to point (b) of Article 38(5) CRR has to be deducted applying the 10 % threshold referred to in point (a) of Article 48(1) CRR.

500  1.1.1.24. 
Point (27) of Article 4(1), point (i) of Article 36(1); Articles 43, 45, 47, point (b) of Article 48(2), paragraphs 1, 2 and 3 of Article 49 and Article 79 CRR

Part of holdings by the institution of CET1 instruments of financial sector entities (as defined in point (27) of Article 4(1) CRR) where the institution has a significant investment that has to be deducted, applying the 10 % threshold referred to in point (b) of Article 48(1) CRR.

See alternatives to deduction when consolidation is applied (paragraphs 1, 2 and 3 of Article 49 CRR).

510  1.1.1.25. 
Article 48(2) CRR

Part of deferred tax assets that rely in future profitability and arise from temporary differences, and direct, indirect and synthetic holdings by the institution of the CET1 instruments of financial sector entities (as defined in point (27) of Article 4(1) CRR) where the institution has a significant investment that has to be deducted, applying the 17,65 % threshold in Article 48(2) CRR.

520  1.1.1.26. 
Articles 469 to 472, 478 and 481 CRR

Adjustments to deductions due to transitional provisions. The amount to be reported is directly obtained from CA5.

524  1.1.1.27. 
Article 3 CRR

529  1.1.1.28. 
This row is intended to provide flexibility solely for reporting purposes. It shall only be populated in the rare cases that there is no final decision on the reporting of specific capital items/deductions in the current CA1 template. As a consequence, this row shall only be populated if a CET1 capital element or a deduction from a CET1 element cannot be assigned to one of the rows 020 to 524.

This row shall not be used to assign capital items/deductions which are not covered by CRR into the calculation of solvency ratios (e.g. an assignment of national capital items/deductions which are outside the scope of the CRR).

530  1.1.2. 
Article 61 CRR

540  1.1.2.1. 
Point (a) of Article 51, Articles 52, 53 and 54, point (a) of Article 56 and Article 57 CRR

550  1.1.2.1.1. 
Point (a) of Article 51 and Articles 52, 53 and 54 CRR

The amount to be reported shall not include the share premium related to the instruments

560  1.1.2.1.2* 
Points (c), (e) and (f) of Article 52(1) CRR

Conditions in those points reflect different situations of the capital which are reversible, and thus the amount reported here can be eligible in subsequent periods.

The amount to be reported shall not include the share premium related to the instruments

570  1.1.2.1.3. 
Point (b) of Article 51 CRR

Share premium has the same meaning as under the applicable accounting standard.

The amount to be reported in this item shall be the part related to the “Paid up capital instruments”.

580  1.1.2.1.4. 
Point (b) of Article 52(1), point (a) of Article 56 and Article 57 CRR

Own AT1 instruments held by the reporting institution or group at the reporting date. Subject to exceptions in Article 57 CRR.

Holdings on shares included as “Capital instruments not eligible” shall not be reported in this row.

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

Items 1.1.2.1.4 to 1.1.2.1.4.3 do not include actual or contingent obligations to purchase own CET1 instruments. Actual or contingent obligations to purchase own AT1 instruments are reported separately in item 1.1.2.1.5.

590  1.1.2.1.4.1. 
Point (144) of Article 4(1), point (b) of Article 52(1), point (a) of Article 56 and Article 57 CRR

Additional Tier 1 instruments included in item 1.1.2.1.1 held by institutions of the consolidated group.

620  1.1.2.1.4.2. 
Point (b)(ii) of Article 52(1), point (a) of Article 56 and Article 57 CRR

621  1.1.2.1.4.3. 
Point (126) of Article 4(1), point (b) of Article 52(1), point (a) of Article 56 and Article 57 CRR

622  1.1.2.1.5. 
Point (a) of Article 56 and Article 57 CRR

According to point (a) of Article 56 CRR, “own Additional Tier 1 instruments that an institution could be obliged to purchase as a result of existing contractual obligations” shall be deducted.

660  1.1.2.2. 
Paragraphs 4 and 5 of Article 483, Articles 484 to 487, Articles 489 and 491 CRR

Amount of capital instruments transitionally grandfathered as AT1. The amount to be reported is directly obtained from CA5.

670  1.1.2.3. 
Articles 83, 85 and 86 CRR

Sum of all the amounts of qualifying T1 capital of subsidiaries that is included in consolidated AT1.

Qualifying AT1 capital issued by a special purpose entity (Article 83 CRR) shall be included.

680  1.1.2.4. 
Article 480 CRR

Adjustments to the qualifying T1 capital included in consolidated AT1 capital due to transitional provisions. This item is obtained directly from CA5.

690  1.1.2.5. 
Point (122) of Article 4(1), point (b) of Article 56 and Article 58 CRR

Holdings in AT1 instruments of financial sector entities (as defined in point (27) of Article 4(1) CRR) where there is a reciprocal cross holding that the competent authority considers to have been designed to inflate artificially the own funds of the institution.

The amount to be reported shall be calculated on the basis of the gross long positions, and shall include Additional Tier 1 own-fund insurance items.

700  1.1.2.6. 
Point (27) of Article 4(1), point (c) of Article 56; Articles 59, 60 and 79 CRR

Part of holdings by the institution of instruments of financial sector entities (as defined in point (27) of Article 4(1) CRR) where the institution does not have a significant investment that has to be deducted from AT1.

710  1.1.2.7. 
Point (27) of Article 4(1), point (d) of Article 56, Articles 59 and 79 CRR

Holdings by the institution of AT1 instruments of financial sector entities (as defined in point (27) of Article 4(1) CRR) where the institution has a significant investment are completely deducted

720  1.1.2.8. 
Point (e) of Article 56 CRR

The amount to be reported is directly taken from CA1 item ‘Excess of deduction from T2 items over T2 Capital (deducted in AT1).

730  1.1.2.9. 
Articles 474, 475, 478 and 481 CRR

Adjustments due to transitional provisions. The amount to be reported is directly obtained from CA5.

740  1.1.2.10. 
Point (j) of Article 36(1) CRR

Additional Tier 1 cannot be negative, but it is possible that AT1 deductions are greater than AT1 Capital plus related share premium. When this happens, AT1 has to be equal to zero, and the excess of AT1 deductions has to be deducted from CET1.

With this item, it is achieved that the sum of items 1.1.2.1 to 1.1.2.12 is never lower than zero. Where this item shows a positive figure, item 1.1.1.16 shall be the inverse of that figure.

744  1.1.2.11. 
Article 3 CRR

748  1.1.2.12. 
This row is intended to provide flexibility solely for reporting purposes. It shall only be populated in the rare cases that there is no final decision on the reporting of specific capital items/deductions in the current CA1 template. As a consequence, this row shall only be populated if an AT1 capital element or a deduction from an AT1 element cannot be assigned to one of the rows 530 to 744.

This row shall not be used to assign capital items/deductions which are not covered by CRR into the calculation of solvency ratios (e.g. an assignment of national capital items/deductions which are outside the scope CRR).

750  1.2. 
Article 71 CRR

760  1.2.1. 
Point (a) of Article 62, Articles 63 to 65, point (a) of Article 66 and Article 67 CRR

770  1.2.1.1. 
Point (a) of Article 62, Articles 63 and 65 CRR

The amount to be reported shall not include the share premium related to the instruments

780  1.2.1.2* 
Points (c), (e) and (f) of Article 63 and Article 64 CRR

Conditions in those points reflect different situations of the capital which are reversible, and thus the amount reported here can be eligible in subsequent periods.

The amount to be reported shall not include the share premium related to the instruments

790  1.2.1.3. 
Point (b) of Article 62 and Article 65 CRR

Share premium has the same meaning as under the applicable accounting standard.

The amount to be reported in this item shall be the part related to the “Paid up capital instruments”.

800  1.2.1.4. 
Point (b)(i) of Article 63, point (a) of Article 66, and Article 67 CRR

Own T2 instruments held by the reporting institution or group at the reporting date. Subject to exceptions in Article 67 CRR.

Holdings on shares included as “Capital instruments not eligible” shall not be reported in this row.

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

Items 1.2.1.4 to 1.2.1.4.3 do not include actual or contingent obligations to purchase own T2 instruments. Actual or contingent obligations to purchase own T2 instruments are reported separately in item 1.2.1.5.

810  1.2.1.4.1. 
Point (b) of Article 63, point (a) of Article 66 and Article 67 CRR

Tier 2 instruments included in item 1.2.1.1 held by institutions of the consolidated group.

840  1.2.1.4.2. 
Point (114) of Article 4(1), point (b) of Article 63, point (a) of Article 66 and Article 67 CRR

841  1.2.1.4.3. 
Point (126) of Article 4(1), point (b) of Article 63, point (a) of Article 66 and Article 67 CRR

842  1.2.1.5. 
Point (a) of Article 66 and Article 67 CRR

According to point (a) of Article 66 CRR, “own Tier 2 instruments that an institution could be obliged to purchase as a result of existing contractual obligations” shall be deducted.

880  1.2.2. 
Paragraphs 6 and 7 of Article 483, Articles 484, 486, 488, 490 and 491 CRR

Amount of capital instruments transitionally grandfathered as T2. The amount to be reported is directly obtained from CA5.

890  1.2.3. 
Articles 83, 87 and 88 CRR

Sum of all the amounts of qualifying own funds of subsidiaries that is included in consolidated T2.

Qualifying Tier 2 capital issued by a special purpose entity (Article 83 CRR) shall be included.

900  1.2.4. 
Article 480 CRR

Adjustments to the qualifying own funds included in consolidated T2 capital due to transitional provisions. This item is obtained directly from CA5.

910  1.2.5. 
Point (d) of Article 62 CRR

For institutions calculating risk-weighted exposure amounts in accordance with IRB Approach, this item shall contain the positive amounts resulting from comparing the provisions and expected losses which are eligible as T2 capital.

920  1.2.6. 
Point (c) of Article 62 CRR

For institutions calculating risk-weighted exposure amounts in accordance with standard approach, this item shall contain the general credit risk adjustments eligible as T2 capital.

930  1.2.7. 
Point (122) of Article 4(1), point (b) of Article 66 and Article 68 CRR

Holdings in T2 instruments of financial sector entities (as defined in Article 4(1)(27) CRR) where there is a reciprocal cross holding that the competent authority considers to have been designed to inflate the own funds of the institution artificially.

The amount to be reported shall be calculated on the basis of the gross long positions, and shall include Tier 2 and Tier 3 own-fund insurance items.

940  1.2.8. 
Point (27) of Article 4(1), point (c) of Article 66, Articles 68 to 70 and Article 79 CRR

Part of holdings by the institution of instruments of financial sector entities (as defined in point (27) of Article 4(1) CRR) where the institution does not have a significant investment that has to be deducted from T2.

950  1.2.9. 
Point (27) of Article 4(1), point (d) of Article 66, Articles 68, 69 and Article 79 CRR

Holdings by the institution of T2 instruments of financial sector entities (as defined in point (27) of Article 4(1) CRR) where the institution has a significant investment shall be completely deducted.

960  1.2.10. 
Articles 476, 477, 478 and 481 CRR

Adjustments due to transitional provisions. The amount to be reported shall be directly obtained from CA5.

970  1.2.11. 
Point (e) of Article 56 CRR

Tier 2 cannot be negative, but it is possible that T2 deductions are greater than T2 Capital plus related share premium. When this happens, T2 shall be equal to zero, and the excess of T2 deductions shall be deducted from AT1.

With this item, the sum of items 1.2.1 to 1.2.13 is never lower than zero. Where this item shows a positive figure, item 1.1.2.8 shall be the inverse of that figure.

974  1.2.12. 
Article 3 CRR

978  1.2.13. 
This row provides flexibility solely for reporting purposes. It shall only be populated in the rare cases that there is no final decision on the reporting of specific capital items/deductions in the current CA1 template. As a consequence, this row shall only be populated if a T2 capital element or a deduction from a T2 element cannot be assigned to one of the rows 750 to 974.

This row shall not be used to assign capital items/deductions which are not covered by CRR into the calculation of solvency ratios (e.g. an assignment of national capital items/deductions which are outside the scope CRR).


 1.3.  1.3.1. 

Row Legal references and instructions
010  1. 
Article 92(3) and Articles 95, 96 and 98 CRR

020  1* 
For investment firms under Article 95(2) and Article 98 CRR

030  1** 
For investment firms under Article 96(2) and Article 97 CRR

040  1.1. 
Points (a) and (f) of Article 92(3) CRR

050  1.1.1. 
CR SA and SEC SA templates at the level of total exposures

051  1.1.1* 
Institutions shall report the additional risk exposure amounts needed to comply with the stricter prudential requirements as communicated to the institutions after having been consulted with EBA, in accordance with paragraphs 2 and 5 of Article 124CRR.

060  1.1.1.1. 
CR SA template at the level of total exposures. The SA exposure classes are those mentioned in Article 112 CRR, excluding securitisation positions.

070  1.1.1.1.01. 
See CR SA template

080  1.1.1.1.02. 
See CR SA template

090  1.1.1.1.03. 
See CR SA template

100  1.1.1.1.04. 
See CR SA template

110  1.1.1.1.05. 
See CR SA template

120  1.1.1.1.06. 
See CR SA template

130  1.1.1.1.07. 
See CR SA template

140  1.1.1.1.08. 
See CR SA template

150  1.1.1.1.09. 
See CR SA template

160  1.1.1.1.10. 
See CR SA template

170  1.1.1.1.11. 
See CR SA template

180  1.1.1.1.12. 
See CR SA template

190  1.1.1.1.13. 
See CR SA template

200  1.1.1.1.14. 
See CR SA template

210  1.1.1.1.15. 
See CR SA template

211  1.1.1.1.16. 
See CR SA template

240  1.1.2. 
241  1.1.2* 
Institutions shall report the additional risk exposure amounts needed to comply with the stricter prudential requirements as communicated to the institutions after having been notified to EBA, in accordance with paragraphs 5 and 7 of Article 164 CRR.

242  1.1.2** 
Institutions shall report the additional risk exposure amounts needed to comply with the stricter prudential requirements set by the competent authorities after having consulted EBA, as laid down in paragraphs 2 and 5 of Article 124 CRR and which are related to limits on the eligible market value of the collateral as laid down in point (d) of Article 125(2) and point (d) of Article 126(2) CRR.

250  1.1.2.1. 
CR IRB template at the level of total exposures (when own estimates of LGD or CCF are not used)

260  1.1.2.1.01. 
See CR IRB template

270  1.1.2.1.02. 
See CR IRB template

280  1.1.2.1.03. 
See CR IRB template

290  1.1.2.1.04. 
See CR IRB template

300  1.1.2.1.05. 
See CR IRB template

310  1.1.2.2. 
CR IRB template at the level of total exposures (when own estimates of LGD and/or CCF are used)

320  1.1.2.2.01. 
See CR IRB template

330  1.1.2.2.02. 
See CR IRB template

340  1.1.2.2.03. 
See CR IRB template

350  1.1.2.2.04. 
See CR IRB template

360  1.1.2.2.05. 
See CR IRB template

370  1.1.2.2.06. 
See CR IRB template

380  1.1.2.2.07. 
See CR IRB template

390  1.1.2.2.08. 
See CR IRB template

400  1.1.2.2.09. 
See CR IRB template

410  1.1.2.2.10. 
See CR IRB template

420  1.1.2.3. 
See CR EQU IRB template

450  1.1.2.5. 
The amount to be reported is the risk weighted exposure amount as calculated in accordance with Article 156 CRR.

460  1.1.3. 
Articles 307, 308 and 309 CRR

470  1.1.4. 
See CR SEC template

490  1.2. 
Point (c)(ii) of Article 92(3) and point (b) of Article 92(4) CRR

500  1.2.1. 
See CR SETT template

510  1.2.2. 
See CR SETT template

520  1.3. 
Points (b)(i), (c)(i) and (c)(iii) of Article 92(3) and point (b) of Article 92(4) CRR

530  1.3.1. 
540  1.3.1.1. 
MKR SA TDI template at the level of total currencies.

550  1.3.1.2. 
MKR SA EQU template at the level of total national markets.

555  1.3.1.3. 
Article 348(1), point (c) of Article 350(3) and point (a) of Article 364(2) CRR

Total risk exposure amount for positions in CIUs if capital requirements are calculated in accordance with Article 348(1) CRR either immediately or as a consequence of the cap laid down in point (c) of Article 350(3) CRR. CRR does not explicitly assign those positions to either the interest rate risk or the equity risk.

Where the particular approach laid down in the first sentence of Article 348(1) CRR is applied, the amount to be reported shall be 32 % of the net position of the CIU exposure in question, multiplied by 12,5.

Where the particular approach laid down in the second sentence of Article 348(1) CRR is applied, the amount to be reported shall be the lower of 32 % of the net position of the relevant CIU exposure and the difference between 40 % of this net position and the own funds requirements that arise from the foreign exchange risk associated with this CIU exposure, multiplied by 12,5 respectively.

556  1.3.1.3.* 
Total risk exposure amount for positions in CIUs if the CIU is invested exclusively in instruments subject to interest rate risk.

557  1.3.1.3.** 
Total risk exposure amount for positions in CIUs if the CIU is invested either exclusively in instruments subject to equity risk or in mixed instruments or if the constituents of the CIU are unknown.

560  1.3.1.4. 
See MKR SA FX template

570  1.3.1.5. 
See MKR SA COM template

580  1.3.2. 
See MKR IM template

590  1.4. 
Point (e) of Article 92(3) and point (b) of Article 92(4) CRR

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

600  1.4.1. 
See OPR template

610  1.4.2. 
See OPR template

620  1.4.3. 
See OPR template

630  1.5. 
Articles 95(2) and 96(2), Article 97 and point (a) of Article 98(1) CRR

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

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

Investment firms under Article 95 CRR shall report as follows:


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

640  1.6. 
Point (d) of Article 92(3) CRR

See CVA template.

650  1.6.1. 
Own funds requirements for credit valuation adjustment risk in accordance with Article 383 CRR.

See CVA template.

660  1.6.2. 
Own funds requirements for credit valuation adjustment risk in accordance with Article 384 CRR.

See CVA template.

670  1.6.3. 
Own funds requirements for credit valuation adjustment risk in accordance with Article 385 CRR.

See CVA template.

680  1.7. 
Point (b)(ii) of Article 92(3) and Articles 395 to 401 CRR

690  1.8. 
Articles 3, 458 and 459 CRR and risk exposure amounts which cannot be assigned to one of the items from 1.1 to 1.7.

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

Stricter prudential requirements imposed by the Commission, in accordance with Articles 458 and 459 CRR.

Additional risk exposure amounts due to Article 3 CRR.

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

710  1.8.2. 
Article 458 CRR

720  1.8.2* 
Article 458 CRR

730  1.8.2** 
Article 458 CRR

740  1.8.2*** 
Article 458 CRR

750  1.8.3. 
Article 459 CRR

760  1.8.4. 
Article 3 CRR

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

 1.4.  1.4.1. 

Rows
010  1. 
Point (a) of Article 92(2) 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 point (a) of Article 92(1) CRR (4,5 %), i.e. without taking into account the capital buffers and transitional provisions on the ratio.

030  3. 
Point (b) of Article 92(2) 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 point (b) of Article 92(1) CRR (6 %), i.e. without taking into account the capital buffers and transitional provisions on the ratio.

050  5. 
Point (c) of Article 92(2) 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 point (c) of Article 92(1) CRR (8 %), i.e. without taking into account the capital buffers and transitional provisions on the ratio.

130  13. 
The sum of (i) and (ii) as follows:


((i)) the total capital ratio (8 %) as specified in point (c) of Article 92(1) CRR;
((ii)) the additional own funds requirements (Pillar 2 Requirements – P2R) ratio determined in accordance with the criteria specified in the EBA Guidelines on common procedures and methodologies for the supervisory review and evaluation process and supervisory stress testing (EBA SREP GL).

This item shall reflect the total SREP capital requirement (TSCR) ratio as communicated to the institution by the competent authority. The TSCR is defined in Section 1.2 of the EBA SREP GL.

Where no additional own funds requirements were communicated by the competent authority, only point (i) shall be reported.

140  13* 
The sum of (i) and (ii) as follows:


((i)) the CET1 capital ratio (4,5 %) as per point (a) of Article 92(1) CRR;
((ii)) the part of the P2R ratio, referred to in point (ii) of row 130, which is required by the competent authority to be held in the form of CET1 capital.

Where no additional own funds requirements, to be held in the form of CET1 capital, were communicated by the competent authority, only point (i) shall be reported.

150  13** 
The sum of (i) and (ii) as follows:


((i)) the Tier 1 capital ratio (6 %) as per point (b) of Article 92(1) CRR;
((ii)) the part of P2R ratio, referred to in point (ii) of row 130, which is required by the competent authority to be held in the form of Tier 1 capital.

Where no additional own funds requirements, to be held in the form of Tier 1 capital, were communicated by the competent authority, then only point (i) shall be reported.

160  14. 
The sum of (i) and (ii) as follows:


((i)) the TSCR ratio referred to in row 130;
((ii)) to the extent it is legally applicable, the combined buffer requirement ratio referred to in point (6) of Article 128 CRD.

This item shall reflect the Overall capital requirement (OCR) ratio as defined in Section 1.2 of the EBA SREP GL.

Where no buffer requirement is applicable, only point (i) shall be reported.

170  14* 
The sum of (i) and (ii) as follows:


((i)) the TSCR ratio to be made up of CET1 capital referred to in row 140;
((ii)) to the extent it is legally applicable, the combined buffer requirement ratio referred to in point (6) of Article 128 CRD.

Where no buffer requirement is applicable, only point (i) shall be reported.

180  14** 
The sum of (i) and (ii) as follows:


((i)) the TSCR ratio to be made up of Tier 1 capital referred to in row 150;
((ii)) to the extent it is legally applicable, the combined buffer requirement ratio referred to in point (6) of Article 128 CRD.

Where no buffer requirement is applicable, only point (i) shall be reported.

190  15. 
The sum of (i) and (ii) as follows:


((i)) the OCR ratio referred to in row 160;
((ii)) where applicable, the Pillar 2 Guidance (P2G) as defined in the EBA SREP GL. P2G shall be included only if communicated to the institution by the competent authority.

Where no P2G is communicated by the competent authority, only point (i) shall be reported.

200  15* 
The sum of (i) and (ii) as follows:


((i)) the OCR ratio to be made up of CET1 capital referred to in row 170;
((ii)) where applicable, the part of P2G, referred to in point (ii) in row 190, which is required by the competent authority to be held in the form of CET1 capital. P2G shall be included only if communicated to the institution by the competent authority.

Where no P2G is communicated by the competent authority, only point (i) shall be reported.

210  15** 
The sum of (i) and (ii) as follows:


((i)) the OCR ratio to be made up of Tier 1 capital referred to in row 180;
((ii)) where applicable, the part of P2G, referred to in point (ii) in row 190, which is required by the competent authority to be held in the form of Tier 1 capital. P2G shall be included only if communicated to the institution by the competent authority.

Where no P2G is communicated by the competent authority, only point (i) shall be reported.

 1.5.  1.5.1. 

Rows
010  1. 
The amount reported in this item shall be equal to the amount reported in the most recent verified/audited accounting balance sheet.

020  1.1. 
Article 39(2) CRR

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

030  1.2. 
Point (c) of Article 36(1) and Article 38 CRR

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

040  1.3. 
Point (c) of Article 36(1); Article 38 and point (a) of Article 48(1) CRR

Deferred tax assets that rely on future profitability and arise from temporary differences, and thus, their deduction from CET1 is subject to 10 % and 17,65 % thresholds in Article 48 CRR.

050  2. 
The amount reported in this item shall be equal to the amount reported in the latest verified/audited accounting balance sheet.

060  2.1. 
Paragraphs 3 and 4 of Article 38 CRR

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

070  2.2. 
Article 38 CRR

080  2.2.1. 
Paragraphs 3, 4 and 5 of Article 38 CRR

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

090  2.2.2. 
Paragraphs 3, 4 and 5 of Article 38 CRR

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

093  2A 
Article 39(1) CRR

The amount of tax overpayments and tax loss carry backs which is not deducted from own funds in accordance with Article 39(1) CRR; the amount reported shall be the amount before the application of risk weights.

096  2B 
Article 48(4) CRR

The amount of deferred tax assets that are dependent on future profitability and arise from temporary differences that are not deducted pursuant to Article 48(1) CRR, but subject to a risk weight of 250 % in accordance with Article 48(4) CRR, taking into account the effect of Article 470 CRR. The amount reported shall be the amount of DTAs before the application of the risk weight.

097  2C 
Point (d) of Article 469(1), Article 470, Article 472(5) and Article 478 CRR

The amount of deferred tax assets that are dependent on future profitability and arise from temporary differences that are not deducted pursuant to point (d) of Article 469(1) and Article 470 CRR, but subject to a risk weight of 0 % in accordance with Article 472(5) CRR. The amount reported shall be the amount of DTAs before the application of the risk weight.

100  3. 
Point (d) of Article 36(1), point (d) of Article 62, Articles 158 and 159 CRR

This item shall only be reported by IRB institutions.

110  3.1. 
Article 159 CRR

This item shall only be reported by IRB institutions.

120  3.1.1. 
Article 159 CRR

This item shall only be reported by IRB institutions.

130  3.1.2. 
Article 159 CRR

This item shall only be reported by IRB institutions.

131  3.1.3. 
Articles 34, 110 and 159 CRR

This item shall only be reported by IRB institutions.

140  3.2. 
Paragraphs 5, 6 and 10 of Article 158 and Article 159 CRR

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

145  4. 
Point (d) of Article 36(1), point (d) of Article 62, Articles 158 and 159 CRR

This item shall only be reported by IRB institutions.

150  4.1. 
Article 159 CRR

This item shall only be reported by IRB institutions.

155  4.2. 
Paragraphs 5, 6 and 10 of Article 158, and Article 159 CRR

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

160  5. 
Point (d) of Article 62 CRR

For IRB institutions, the excess amount of provisions (to expected losses) eligible for inclusion in Tier 2 capital is capped at 0,6 % of risk-weighted exposure amounts calculated with the IRB Approach, in accordance with point (d) of Article 62 CRR.

The amount to be reported in this item is the risk weighted exposure amounts (i.e. not multiplied by 0,6 %) which is the base for calculating the cap.

170  6. 
Point (c) of Article 62 CRR

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

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

180  7. 
Point (c) of Article 62 CRR

According to point (c) of Article 62 CRR, the credit risk adjustments eligible for inclusion in Tier 2 capital is capped at 1,25 % of risk-weighted exposure amounts.

The amount to be reported in this item is the risk weighted exposure amounts (i.e. not multiplied by 1,25 %) which is the base for calculating the cap.

190  8. 
Point (a) of Article 46(1) CRR

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

200  9. 
Points (a) and (b) of Article 48(1) CRR

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

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

210  10. 
Article 48(1) CRR

This item contains the 17,65 % threshold for holdings in financial sector entities where an institution has a significant investment, and for deferred tax assets that are dependent on future profitability and arise from temporary differences, to be applied after the 10 % threshold.

The threshold is to be calculated in such a way that the amount of the two items that is recognised does not exceed 15 % of the final Common Equity Tier 1 capital, i.e. the CET1 capital calculated after all deductions, not including any adjustment due to transitional provisions.

225  11.1. 
Point (a) of point (71) of Article 4(1) CRR

226  11.2. 
Point (b) of point (71) of Article 4(1) CRR

230  12. 
Articles 44, 45, 46 and 49 CRR

240  12.1. 
Articles 44, 45, 46 and 49 CRR

250  12.1.1. 
Articles 44, 46 and 49 CRR

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


a)) Underwriting positions held for 5 working days or fewer;
b)) The amounts relating to the investments for which any alternative in Article 49 is applied; and
c)) Holdings which are treated as reciprocal cross holdings in accordance with point (g) of Article 36(1) CRR

260  12.1.2. 
Article 45 CRR

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

270  12.2. 
Point (114) of Article 4(1) and Articles 44 and 45 CRR

280  12.2.1. 
Point (114) of Article 4(1) and Articles 44 and 45 CRR

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

Holdings which are treated as reciprocal cross holdings in accordance with point (g) of Article 36(1) CRR shall not be included

290  12.2.2. 
Point (114) of Article 4(1) and Article 45 CRR

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

291  12.3.1. 
Point (126) of Article 4(1) and Articles 44 and 45 CRR

292  12.3.2. 
Point (126) of Article 4(1) and Articles 44 and 45 CRR

293  12.3.3. 
Point (126) of Article 4(1) and Article 45 CRR

300  13. 
Articles 58, 59 and 60 CRR

310  13.1. 
Articles 58, 59 and Article 60(2) CRR

320  13.1.1. 
Article 58 and Article 60(2) CRR

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


a)) Underwriting positions held for 5 working days or fewer; and
b)) Holdings which are treated as reciprocal cross holdings in accordance with point (b) of Article 56 CRR

330  13.1.2. 
Article 59 CRR

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

340  13.2. 
Point (114) of Article 4(1) and Articles 58 and 59 CRR

350  13.2.1. 
Point (114) of Article 4(1) and Articles 58 and 59 CRR

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

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

360  13.2.2. 
Point (114) of Article 4(1) and Article 59 CRR

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

361  13.3. 
Point (126) of Article 4(1) and Articles 58 and 59 CRR

362  13.3.1. 
Point (126) of Article 4(1) and Articles 58 and 59 CRR

363  13.3.2. 
Point (126) of Article 4(1) and Article 59 CRR

370  14. 
Articles 68, 69 and 70 CRR

380  14.1. 
Articles 68 and 69 and Article 70(2) CRR

390  14.1.1. 
Article 68 and Article 70(2) CRR

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


a)) Underwriting positions held for 5 working days or fewer; and
b)) Holdings which are treated as reciprocal cross holdings in accordance with point (b) of Article 66 CRR

400  14.1.2. 
Article 69 CRR

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

410  14.2. 
Point (114) of Article 4(1) and Articles 68 and 69 CRR

420  14.2.1. 
Point (114) of Article 4(1) and Articles 68 and 69 CRR

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

Holdings which are treated as reciprocal cross holdings in accordance with Article 66 point (b) CRR shall not be included

430  14.2.2. 
Point (114) of Article 4(1) and Article 69 CRR

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

431  14.3. 
Point (126) of Article 4(1) and Articles 68 and 69 CRR

432  14.3.1. 
Point (126) of Article 4(1) and Articles 68 and 69 CRR

433  14.3.2. 
Point (126) of Article 4(1) and Article 69 CRR

440  15. 
Articles 44, 45, 47 and 49 CRR

450  15.1. 
Articles 44, 45, 47 and 49 CRR

460  15.1.1. 
Articles 44, 45, 47 and 49 CRR

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


a)) Underwriting positions held for 5 working days or fewer;
b)) The amounts relating to the investments for which any alternative in Article 49 is applied; and
c)) Holdings which are treated as reciprocal cross holdings in accordance with point (g) of Article 36(1) CRR

470  15.1.2. 
Article 45 CRR

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

480  15.2. 
Point (114) of Article 4(1) and Articles 44 and 45 CRR

490  15.2.1. 
Point (114) of Article 4(1) and Articles 44 and 45 CRR

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

Holdings which are treated as reciprocal cross holdings in accordance with point (g) of Article 36(1) CRR shall not be included.

500  15.2.2. 
Point (114) of Article 4(1) and Article 45 CRR

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

501  15.3. 
Point (126) of Article 4(1) and Articles 44 and 45 CRR

502  15.3.1. 
Point (126) of Article 4(1) and Articles 44 and 45 CRR

503  15.3.2. 
Point (126) of Article 4(1) and Article 45 CRR

510  16. 
Articles 58 and 59 CRR

520  16.1. 
Articles 58 and 59 CRR

530  16.1.1. 
Article 58 CRR

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


a)) Underwriting positions held for 5 working days or fewer (point (d) of Article 56 CRR); and
b)) Holdings which are treated as reciprocal cross holdings in accordance with point (b) of Article 56 CRR.

540  16.1.2. 
Article 59 CRR

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

550  16.2. 
Point (114) of Article 4(1) and Articles 58 and 59 CRR

560  16.2.1. 
Point (114) of Article 4(1) and Articles 58 and 59 CRR

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

Holdings which are treated as reciprocal cross holdings in accordance with point (b) of Article 56 CRR shall not be included.

570  16.2.2. 
Point (114) of Article 4(1) and Article 59 CRR

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

571  16.3. 
Point (126) of Article 4(1) and Articles 58 and 59 CRR

572  16.3.1. 
Point (126) of Article 4(1) and Articles 58 and 59 CRR

573  16.3.2. 
Point (126) of Article 4(1) and Article 59 CRR

580  17. 
Articles 68 and 69 CRR

590  17.1. 
Articles 68 and 69 CRR

600  17.1.1. 
Article 68 CRR

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


a)) Underwriting positions held for 5 working days or fewer (point (d) of Article 66 CRR); and
b)) Holdings which are treated as reciprocal cross holdings in accordance with point (b) of Article 66 CRR

610  17.1.2. 
Article 69 CRR

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

620  17.2. 
Point (114) of Article 4(1) and Articles 68 and 69 CRR

630  17.2.1. 
Point (114) of Article 4(1) and Articles 68 and 69 CRR

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

Holdings which are treated as reciprocal cross holdings in accordance with point (b) of Article 66 CRR shall not be included

640  17.2.2. 
Point (114) of Article 4(1) and Article 69 CRR

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

641  17.3. 
Point (126) of Article 4(1) and Articles 68 and 69 CRR

642  17.3.1. 
Point (126) of Article 4(1) and Articles 68 and 69 CRR

643  17.3.2. 
Point (126) of Article 4(1) and Article 69 CRR

650  18. 
Articles 46(4), 48(4) and 49(4) CRR

660  19. 
Article 60(4) CRR

670  20. 
Article 70(4) CRR

680  21. 
Article 79 CRR

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

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

690  22. 
Article 79 CRR

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

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

700  23. 
Article 79 CRR

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

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

710  24. 
Article 79 CRR

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

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

720  25. 
Article 79 CRR

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

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

730  26. 
Article 79 CRR

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

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

740  27. 
Point (6) of Article 128 CRD

750 
Point (1) of Article 128 and Article 129 CRD

In accordance with Article 129(1) CRD, the capital conservation buffer is an additional amount of Common Equity Tier 1 capital. Due to the fact that the capital conservation buffer rate of 2,5 % is stable, an amount shall be reported in this row.

760 
Point (d)(iv) of Article 458(2) CRR

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

The amount reported shall represent the amount of own funds needed to fulfil the respective capital buffer requirements at the reporting date.

770 
Point (2) of Article 128 and Articles 130, 135 to 140 CRD

The amount reported shall represent the amount of own funds needed to fulfil the respective capital buffer requirements at the reporting date.

780 
Point (5) of Article 128, Articles 133 and 134 CRD

The amount reported shall represent the amount of own funds needed to fulfil the respective capital buffer requirements at the reporting date.

800 
Point (3) of Article 128 and Article 131 CRD

The amount reported shall represent the amount of own funds needed to fulfil the respective capital buffer requirements at the reporting date.

810 
Point (4) Article 128 and Article 131 CRD

The amount reported shall represent the amount of own funds needed to fulfil the respective capital buffer requirements at the reporting date.

820  28. 
Article 104(2) CRD.

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

830  29. 
Articles 12 and 28 to 31 CRD and Article 93 CRR

840  30. 
Point (b) of Article 96(2), Article 97 and point (a) of Article 98(1) CRR

850  31. 
Information necessary to calculate the threshold for reporting of the CR GB template in accordance with point (4) of Article 5(a) of this Implementing Regulation. The calculation of the threshold shall be done at the basis of the original exposure pre-conversion factor.

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

860  32. 
Information necessary to calculate the threshold for reporting of the CR GB template in accordance with point (4) of Article 5(a)of this Implementing Regulation. The calculation of the threshold shall be done at the basis of the original exposure pre-conversion factor

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

870 
Article 500(4) CRR

The difference between the amount reported in row 880 and the total own funds pursuant to CRR has to be reported in this row.

If the SA alternative (Article 500(2) CRR) is applied, this row shall be empty.

880 
Article 500(4) CRR

Total own funds pursuant to CRR adjusted as required by Article 500(4) CRR (i.e. fully adjusted to reflect differences in the calculation of own funds under Council Directive 93/6/EEC and Directive 2000/12/EC of the European Parliament and of the Council as those Directives stood prior to 1 January 2007 and the calculation of own funds under CRR deriving from the separate treatments of expected loss and unexpected loss under Chapter 3 of Title II of Part Three CRR) have to be reported in this position.

If the SA alternative (Article 500(2) CRR) is applied, this row shall be empty.

890 
Point (b) of Article 500(1) CRR

The amount of own funds required by point (b) of Article 500(1) CRR to be held (i.e. 80 % of the total minimum amount of own funds that the institution would be required to hold under Article 4 of Directive 93/6/EEC and Directive 2000/12/EC has to be reported in this position.

900 
Paragraphs 2 and 3 of Article 500 CRR

The amount of own funds required by Article 500(2) CRR to be hold (i.e. 80 % of the own funds that the institution would be required to hold under Article 92 CRR calculating risk-weighted exposure amounts in accordance with Chapter 2 of Title II of Part Three and Chapters 2 and 3 of Title III of Part Three CRR, as applicable, instead of in accordance with Chapter 3 of Title II of Part Three, or Chapter 4 of Title III of Part Three CRR, as applicable) has to be reported in this position.

910 
Point (b) of Article 500(1) and Article 500(2) CRR

This row has to be filled with:


— where point (b) of Article 500(1) CRR is applied and row 880 < row 890: the difference between row 890 and row 880;
— or where Article 500(2) CRR is applied and row 010 of C 01.00 < row 900 of C 04.00: the difference between row 900 of C 04.00 and row 010 of C 01.00.



 1.6.  1.6.1.  15. CA5 summarises the calculation of own funds elements and deductions subject to the transitional provisions laid down in Articles 465 to 491 CRR.
 16. 

((a)) Template 5.1 summarises the total adjustments which need to be made to the different components of own funds (reported in CA1 in accordance with the final provisions) as a consequence of the application of the transitional provisions. The elements of this template are presented as “adjustments” to the different capital components in CA1, in order to reflect in own funds components the effects of the transitional provisions.
((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 laid down in Part Ten 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 CA5.1 template the transitional provisions to own funds components as laid down in Articles 465 to 491 CRR, compared to applying the final provisions laid down in Title II of Part Two CRR.
 21. Institutions shall report in rows 020 to 060 information about the transitional provisions of grandfathered instruments. The figures to be reported in columns 010 to 030 of row 060 of CA5.1 can be derived from the respective sections of CA5.2.
 22. Institutions shall report in rows 070 to 092 information about the transitional provisions of minority interests and additional Tier 1 and Tier 2 instruments issued by subsidiaries (in accordance with Articles 479 and 480 CRR).
 23. In rows 100 onwards institutions shall report information about the transitional provisions of unrealised 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. That effect – if it results from transitional provisions – shall be shown in the CA1 template using the respective cells. As a consequence, the adjustments in the columns of the CA5 template shall not include any spill-over effects in the case of insufficient capital available.
 1.6.2.1. 

Columns
010 
020 
030 
040 
Column 040 includes the relevant amounts adjusting the total risk exposure amount of Article 92(3) CRR due to transitional provisions. The amounts reported shall consider the application of provisions of Chapter 2 or 3 of Title II of Part Three or of Title IV of Part Three in accordance with Article 92(4) CRR. That means that transitional amounts subject to Chapter 2 or 3 of Title II of Part Three shall be reported as risk weighted exposure amounts, whereas transitional amounts subject to Title IV of Part Three shall represent the own funds requirements multiplied by 12,5.

Whereas columns 010 to 030 have a direct link to the CA1 template, the adjustments to the total risk exposure amount do not have a direct link to the relevant templates for credit risk. If there are adjustments stemming from the transitional provisions to the total risk exposure amount, those adjustments shall be included directly in the CR SA, CR IRB, CR EQU IRB, MKR SA TDI, MKR SA EQU or MKR IM. Additionally, those effects shall be reported in column 040 of CA5.1. As a consequence, those amounts shall be memorandum items only.

050 
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.



Rows
010  1. 
This row reflects the overall effect of transitional adjustments in the different types of capital, plus the risk weighted amounts arising from those adjustments

020  1.1. 
Articles 483 to 491 CRR

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

030  1.1.1. 
Article 483 CRR

040  1.1.1.1. 
Paragraphs 1, 2, 4 and 6 of Article 483 CRR

050  1.1.1.2. 
Paragraphs 1, 3, 5, 7 and 8 of Article 483CRR

060  1.1.2. 
The amounts to be reported shall be obtained from column 060 of CA5.2 template

070  1.2. 
Articles 479 and 480 CRR

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

080  1.2.1. 
Articles 479 CRR

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

090  1.2.2. 
Articles 84 and 480 CRR

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

091  1.2.3. 
Articles 85 and 480 CRR

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

092  1.2.4. 
Articles 87 and 480 CRR

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

100  1.3. 
Articles 467 to 478 and Article 481 CRR

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

110  1.3.1. 
Articles 467 and 468 CRR

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

120  1.3.1.1. 
Article 468(1) CRR

130  1.3.1.2. 
Article 467(1) CRR

133  1.3.1.3. 
Article 468 CRR

136  1.3.1.4. 
Article 467 CRR

138  1.3.1.5. 
Article 468 CRR

140  1.3.2. 
Article 36(1) and Articles 469 to 478 CRR

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

150  1.3.2.1. 
Point (a) of Article 36(1), Articles 469(1) and 472(3) and Article 478 CRR

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

Where firms have only been required to deduct material losses:


— where the total interim net loss was “material”, the full residual amount would be deducted from Tier 1, or
— where the whole total interim net loss was not “material”, no deduction of residual amount would be made.

160  1.3.2.2. 
Point (b) of Article 36(1), Articles 469(1) and 472(4) and Article 478 CRR

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

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

170  1.3.2.3. 
Point (c) of Article 36(1), Articles 469(1) and 472(5) and Article 478 CRR

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

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

180  1.3.2.4. 
Point (d) of Articles 36(1), Articles 469(1) and 472(6) and Article 478 CRR

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

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

190  1.3.2.5. 
Point (e) of Article 33(1), Articles 469(1) and 472(7), Articles 473 and 478 CRR

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

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

194  1.3.2.5.* 
Article 473 CRR

198  1.3.2.5.** 
Article 473 CRR

200  1.3.2.6. 
Point (f) of Article 36(1), Articles 469(1) and 472(8) and Article 478 CRR

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

210  1.3.2.6.1. 
Point (f) of Article 36(1), Articles 469(1) and 472(8) and Article 478 CRR

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

Given that the treatment of the “residual amount” differs depending upon the nature of the instrument, institutions shall break down holdings in own Common Equity instruments into “direct” and “indirect” holdings.

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

211  1.3.2.6.1** 
Point (b) of Article 469(1) and point (a) of Article 472(8) CRR

The amount to be reported in column 060 of this row: Total amount of direct holdings, including instruments that an institution could be obliged to purchase by virtue of an existing or contingent contractual obligation.

212  1.3.2.6.1* 
Point (b) of Article 469(1) and point (b) of Article 472(8) CRR

The amount to be reported in column 060 of this row: Total amount of indirect holdings, including instruments that an institution could be obliged to purchase by virtue of an existing or contingent contractual obligation.

220  1.3.2.6.2. 
Point (a) of Article 56, Article 474 and Article 475(2) and Article 478 CRR

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

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

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

221  1.3.2.6.2** 
The amount to be reported in column 060 of this row: Total amount of direct holdings, including instruments that an institution could be obliged to purchase by virtue of an existing or contingent contractual obligation, point (b) of Article 474 and point (a) of Article 475(2) CRR.

222  1.3.2.6.2* 
The amount to be reported in column 060 of this row: Total amount of indirect holdings, including instruments that an institution could be obliged to purchase by virtue of an existing or contingent contractual obligation, point (b) of Article 474 and point (b) of Article 475(2) CRR.

230  1.3.2.6.3. 
Point (a) of Article 66, Article 476, Article 477(2) and Article 478 CRR

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

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

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

231 
The amount to be reported in column 060 of this row: Total amount of direct holdings, including instruments that an institution could be obliged to purchase by virtue of an existing or contingent contractual obligation, point (b) of Article 476 and point (a) of Article 477(2) CRR.

232 
The amount to be reported in column 060 of this row: Total amount of indirect holdings, including instruments that an institution could be obliged to purchase by virtue of an existing or contingent contractual obligation, point (b) of Article 476 and point (b) of Article 477(2) CRR.

240  1.3.2.7. 
Given that the treatment of the “residual amount” differs depending whether the holding of Common Equity Tier 1, Additional Tier 1 or Tier 2 in the financial sector entity is to be considered being significant or not (Articles 472(9), 475(3) and 477(3) CRR), institutions shall break down reciprocal cross holdings according to significant investments and non-significant investments.

250  1.3.2.7.1. 
Point (g) of Article 36(1), Articles 469(1) and 472(9) and Article 478 CRR

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

260  1.3.2.7.1.1. 
Point (g) of Article 36(1), Article 469(1), point (a) of Article 472(9) and Article 478 CRR

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

270  1.3.2.7.1.2. 
Point (g) of Article 36(1), Article 469(1), point (b) of Article 472(9) and Article 478 CRR

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

280  1.3.2.7.2. 
Point (b) of Article 56, Article 474, Article 475(3) and Article 478 CRR

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

290  1.3.2.7.2.1. 
Point (b) of Article 56, Article 474, point (a) of Article 475(3) and Article 478 CRR

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

300  1.3.2.7.2.2. 
Point (b) of Article 56, Article 474, point (b) of Article 475(3) and Article 478 CRR

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

310  1.3.2.7.3. 
Point (b) of Article 66, Article 476, Article 477(3) and Article 478 CRR

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

320  1.3.2.7.3.1. 
Point (b) of Article 66, Article 476, point (a) of Article 477(3) and Article 478 CRR

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

330  1.3.2.7.3.2. 
Point (b) of Article 66, Article 476, point (a) of Article 477(3) and Article 478 CRR

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

340  1.3.2.8. 
350  1.3.2.8.1. 
Point (h) of Article 36(1), Articles 469(1) and 472(10) and Article 478 CRR

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

360  1.3.2.8.2. 
Point (c) of Article 56, Article 474, Article 475(4) and Article 478 CRR

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

370  1.3.2.8.3. 
Point (c) of Article 66, Article 476, Article 477(4) and Article 478 CRR

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

380  1.3.2.9. 
Paragraphs 2 and 3 of Article 470 CRR

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

385 
Point (c) of Article 469(1), Article 472(5) and Article 478 CRR.

Part of deferred tax assets that rely in future profitability and arise from temporary differences which exceeds the 10 % threshold in point (a) of Article 470(2) CRR.

390  1.3.2.10. 
400  1.3.2.10.1. 
Point (i) of Article 36(1), Articles 469(1) and 472(11) and Article 478 CRR

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

410  1.3.2.10.2. 
Point (d) of Article 56, Article 474, Article 475(4) and Article 478 CRR

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

420  1.3.2.10.2. 
Point (d) of Article 66, Article 476, Article 477(4) and Article 478 CRR

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

425  1.3.2.11. 
Article 471 CRR

430  1.3.3. 
Article 481 CRR

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

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

440  1.3.4. 
Institutions shall report information in relation with the transitional arrangements due to IFRS 9 in accordance with the applicable legal provisions.

 1.6.3.  25. Institutions shall report information in relation with the transitional provisions of grandfathered instruments not constituting state aid (Articles 484 to 491 CRR).
 1.6.3.1. 

Columns
010 
Paragraphs 3, 4 and 5 of Article 484 CRR

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

020 
Paragraphs 2, 3 and 4 of Article 486 CRR

030 
Article 486(5) CRR

040 
Paragraphs 2 to 5 of Article 486 CRR

050 
Paragraphs 2 to 5 of Article 486 CRR

060 
The amount to be reported shall be equal to the amounts reported in the respective columns in row 060 of CA5.1.



Rows
010  1. 
Article 484(3) CRR

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

020  2. 
Article 484(4) CRR

030  2.1. 
Article 484(4) and Article 489 CRR

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

040  2.2. 
Article 489 CRR

050  2.2.1. 
Article 489(3) and point (a) of Article 491 CRR

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

060  2.2.2. 
Article 489(5) and point (a) of Article 491 CRR

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

070  2.2.3. 
Article 489(6) and point (c) of Article 491 CRR

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

080  2.3. 
Article 487(1) 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) CRR

100  3.1. 
Article 490 CRR

110  3.2. 
Article 490 CRR

120  3.2.1. 
Article 490(3) and point (a) of Article 491 CRR

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

130  3.2.2. 
Article 490(5) and point (a) of Article 491 CRR

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

140  3.2.3. 
Article 490(6) and point (c) of Article 491 CRR

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

150  3.3. 
Article 487(2) 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.  26. 

((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;
 27. Institutions that obtained a waiver in accordance with Article 7 CRR shall only report the columns 010 to 060 and 250 to 400.
 28. The figures reported take into account all applicable transitional provisions CRR which are applicable at the respective reporting date.
 2.2.  29. The second part of template C 06.02 (detailed group solvency information) in columns 070 to 210 is designed to gather information on credit and other regulated financial institutions which are effectively subject to particular solvency requirements on individual basis. It provides, for each of those entities within the scope of the reporting, the own funds requirements for each risk category and the own funds for solvency purposes.
 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 template C 06.02 and template C 06.01 (information on the contributions of all entities within CRR scope of consolidation to group solvency), including those that are not subject to particular solvency requirements on an individual basis, in columns 250 to 400, is to identify which entities within the group generate the risks and raise own funds from the market, based on data that are readily available or can easily be reprocessed, without having to reconstruct the capital ratio on a solo or sub-consolidated basis. At the entity level, both risk and own fund figures are contributions to the group figures and not elements of a solvency ratio on a solo basis and as such must not be compared to each other.
 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. A direct link to the CA template is not possible where the 1 % threshold is not exceeded.
 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. It is possible for one consolidated group to be included within another consolidated group. That means that the entities within a subgroup shall be reported entity-by-entity in the GS of the entire group, even if the sub-group itself is subject to reporting requirements. A subgroup that is subject to reporting requirements shall also report the GS template on an entity-by-entity basis, although those details are included in the GS template of a higher consolidated group.
 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. That threshold does not apply in the case of subsidiaries or subgroups that provide own funds (in the form of minority interests or qualifying AT1 or T2 instruments included in own funds) to the group.
 2.4. 

Columns Instructions
250-400 
See instructions for C 06.02

410-480 
See instructions for C 06.02



Rows Instructions
010 
The Total shall represent the sum of the values reported in all rows of template C 06.02.

 2.5. 

Columns Instructions
010-060 
This template is designed to gather information on all entities on an entity-by-entity-basis within the scope of consolidation in accordance with Chapter 2 of Title II of Part One CRR.

010 
Name of the entity within the scope of consolidation.

020 
This code is a row identifier and shall be unique for each row in the template.

Code assigned to the entity within the scope of consolidation.

The actual composition of the code depends on the national reporting system.

025 
LEI code stands for Legal Entity Identification code which is a reference code proposed by the Financial Stability Board (FSB) and endorsed by the G20, aimed at achieving a unique and worldwide identification of parties to financial transactions.

Until the global LEI system is fully operational, a Local Operational Unit that has been endorsed by Regulatory Oversight Committee (ROC, detailed information may be found at the following website: www.leiroc.org) assigns pre-LEI codes to counterparties.

Where a Legal Entity Identification code (LEI code) exists for a given counterparty, it shall be used to identify that counterparty.

030 
“YES” shall be reported where the entity is subject to own funds requirements pursuant to CRR and CRD or provisions at least equivalent to Basel provisions.

“NO” shall be reported otherwise.


Minority interests:

Point (a)(ii) of Article 81(1) and point (a)(ii) of Article 82(1) CRR

To the effects of minority interests and AT1 and T2 instruments issued by subsidiaries, the subsidiaries whose instruments can be eligible shall be institutions or undertakings subject to the requirements CRR by virtue of applicable national law.

035 
The type of entity shall be reported based on the following categories:


((a)) credit institution
Point (1) of Article 4(1)CRR;
((b)) investment firm
Point (2) of Article 4(1) CRR;
((c)) financial institution (other)
Points (20), (21) and (26) of Article 4(1) CRR
Financial institutions within the meaning of Article 4(1)(26) CRR which are not included in any of the categories (d), (f) or (g);
((d)) (mixed) financial holding company
Points (20) and (21) of Article 4(1)CRR;
((e)) ancillary services undertaking
Point (18) of Article 4(1) CRR;
((f)) securitisation special purpose entity (SSPE),
Point (66) of Article 4(1)CRR;
((g)) covered bond company
Entity set up to issue covered bonds or to hold the collateral securing a covered bond, if not included in any of the categories (a), (b) or (d) to (f) above;
((h)) other type of entity
Entity other than those referred to in points (a) to (g).

Where an entity is not subject to CRR and CRD, but subject to provisions at least equivalent to Basel provisions, the relevant category shall be determined on a best effort basis.

040 
“SF” shall be reported for individual subsidiaries fully consolidated.

“SP” shall be reported for individual subsidiaries partially consolidated.

050 
Institutions shall report the two-letter country code referred to in ISO 3166-2.

060 
This percentage refers to the actual share of capital the parent undertaking holds in subsidiaries. In case of full consolidation of a direct subsidiary, the actual share is e.g. 70 %. In accordance with point 16 of Article 4(1) CRR, the share of holding of a subsidiary to be reported results from a multiplication of the shares between the subsidiaries concerned.

070-240 
The section of detailed information (i.e. columns 070 to 240) shall gather information only on those entities and subgroups which, being within the scope of consolidation (Chapter 2 of Title II of Part One CRR), are effectively subject to solvency requirements laid down in CRR or provisions at least equivalent to Basel provisions (i.e, reported yes in column 030).

Information shall be included about all individual institutions of a consolidated group that are subject to own funds requirements, regardless where they are located.

The information reported in this part shall reflect the local solvency rules of the jurisdiction in which the institution is operating (therefore, for this template, it is not necessary to do a double calculation on an individual basis on the basis of the parent institution’s rules). When local solvency rules differ from CRR and a comparable breakdown is not given, the information shall be completed where data are available in the respective granularity. Therefore, this part is a factual template that summarises the calculations that the individual institutions of a group shall carry out, bearing in mind that some of those institutions may be subject to different solvency rules.

Investment firms shall include own funds requirements related to fixed overheads in their calculation of capital ratio pursuant to Articles 95, 96, 97 and 98 CRR.

The part of the total risk exposure amount related to fixed overheads shall be reported in column 100 of part 2 of this template.

070 
The sum of the columns 080 to 110 shall be reported.

080 
The amount to be reported in this column shall correspond to the sum of risk weighted exposure amounts that are equal or equivalent to the ones that must be reported in row 040 “RISK WEIGHTED EXPOSURE AMOUNTS FOR CREDIT, COUNTERPARTY CREDIT AND DILUTION RISKS AND FREE DELIVERIES” and the amounts of own funds requirements that are equal or equivalent to the ones that must be reported in row 490 “TOTAL RISK EXPOSURE AMOUNT FOR SETTLEMENT/DELIVERY RISKS” of template CA2.

090 
The amount to be reported in this column shall correspond to the amount of own funds requirements that are equal or equivalent to the ones that must be reported in row 520 “TOTAL RISK EXPOSURE AMOUNT FOR POSITION, FOREIGN EXCHANGE AND COMMODITIES RISKS” of template CA2.

100 
The amount to be reported in this column shall correspond to the risk exposure amount that is equal or equivalent to the one that shall be reported in row 590 “TOTAL RISK EXPOSURE AMOUNT FOR OPERATIONAL RISKS (OpR)” of the template CA2.

Fixed overheads shall be included in this column including the row 630 “ADDITIONAL RISK EXPOSURE AMOUNT DUE TO FIXED OVERHEADS” of template CA2.

110 
The amount to be reported in this column shall correspond to the risk exposure amount not especially listed above. It shall be the sum of the amounts of rows 640, 680 and 690 of template CA2.

120-240 
The information reported in the following columns shall reflect the local solvency rules of the Member State in which the entity or subgroup is operating.

120 
The amount to be reported in this column corresponds to the amount of own funds that are equal or equivalent to the ones that must be reported in row 010 “OWN FUNDS” of the template CA1.

130 
Article 82 CRR

This column shall only be provided for the subsidiaries reported on an individual basis that are fully consolidated and that are institutions.

Qualifying holdings are, for the subsidiaries specified above, the instruments (plus related retained earnings, share premium accounts and other reserves) owned by persons other than the undertakings and included in the CRR consolidation.

The amount to be reported shall include the effects of any transitional provisions. It shall be the eligible amount on the date of reporting.

140 
Point (b) of Article 87(1)CRR

150 
Article 25 CRR

160 
Article 82 CRR

This column shall only be provided for the subsidiaries reported on an individual basis that are fully consolidated and that are institutions.

Qualifying holdings are, for the subsidiaries specified above, the instruments (plus related retained earnings and share premium accounts) owned by persons other than the undertakings included in the CRR consolidation.

The amount to be reported shall include the effects of any transitional provision. It shall be the eligible amount on the date of reporting.

170 
Point (b) of Article 85(1) CRR

180 
Article 50 CRR

190 
Article 81 CRR

This column shall only be reported for subsidiaries that are fully consolidated and that are institutions, except for the subsidiaries referred to in Article 84(3) CRR. Each subsidiary shall be considered on a sub-consolidated basis for all the calculations required by Article 84 CRR, where relevant, in accordance with Article 84(2), otherwise on a solo basis.

Minority interests are, for the subsidiaries specified above, the CET1 instruments (plus related retained earnings and share premium accounts) owned by persons other than the undertakings included in the CRR consolidation.

The amount to be reported shall include the effects of any transitional provisions. It shall be the eligible amount on the date of reporting.

200 
Point (b) of Article 84(1) CRR

210 
Article 61 CRR

220 
Articles 82 and 83 CRR

This column shall only be provided for the subsidiaries that are fully consolidated and that are institutions, except for the subsidiaries referred to in Article 85(2) CRR. Each subsidiary shall be considered on a sub-consolidated basis for all the calculations required in Article 85 CRR, where relevant, in accordance with Article 85(2), otherwise on a solo basis.

Minority interests are, for the subsidiaries specified above, the AT1 instruments (plus related retained earnings and share premium accounts) owned by persons other than the undertakings included in the CRR consolidation.

The amount to be reported shall include the effects of any transitional provisions. It shall be the eligible amount on the date of reporting.

230 
Article 71 CRR

240 
Articles 82 and 83 CRR

This column shall only be provided for the subsidiaries that are fully consolidated and that are institutions, except for subsidiaries referred to in Article 87(2) CRR. Each subsidiary shall be considered on a sub-consolidated basis for the purpose of all the calculations required in Article 87 CRR, if relevant, in accordance with Article 87(2) CRR, otherwise on a solo basis.

Minority interests are, for the subsidiaries specified above, the T2 instruments (plus related retained earnings and share premium accounts) owned by persons other than the undertakings included in the CRR consolidation.

The amount to be reported shall include the effects of any transitional provisions, It shall be the eligible amount on the date of reporting.

250-400 
250-290 
The information reported in the following columns shall be in accordance with the solvency rules applicable to the reporting institution.

250 
The sum of the columns 260 to 290 shall be reported.

260 
The amount to be reported shall be the risk weighted exposure amounts for credit risk and own funds requirements of settlement/delivery risk in accordance with the CRR, excluding any amount related to transactions with other entities included in the group consolidated solvency ratio computation.

270 
Risk exposure amounts for market risks are to be computed at each entity level in accordance with the CRR. Entities shall report the contribution to the total risk exposure amounts for position, FX and commodity risk of the group. The sum of amounts reported here shall correspond to the amount reported in row 520 “TOTAL RISK EXPOSURE AMOUNTS FOR POSITION, FOREIGN EXCHANGE AND COMMODITY RISKS” of the consolidated report.

280 
In case of AMA, the reported risk exposure amounts for operational risk shall include the effect of diversification.

Fixed overheads shall be included in this column.

290 
The amount to be reported in this column shall correspond to the risk exposure amount for risks other than listed above.

300-400 
This part of the template is not intended to impose on institutions a full computation of the total capital ratio at the level of each entity.

Columns 300 to 350 shall be reported for those consolidated entities which contribute to own funds by minority interest, qualifying Tier 1 capital or qualifying own funds. Subject to the threshold referred to in the last paragraph of chapter 2.3 of Part II above, columns 360 to 400 shall be reported for all consolidated entities which contribute to the consolidated own funds.

Own funds brought to an entity by the rest of entities included within the scope of the reporting entity shall not to be taken into account, only the net contribution to the group own funds shall be reported in this column (mainly the own funds raised from third parties and accumulated reserves).

The information reported in the following columns shall be in accordance with the solvency rules applicable to the reporting institution.

300-350 
The amount to be reported as “QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS” shall be the amount as derived from Title II of Part Two CRR, excluding any fund brought in by other group entities.

300 
Article 87 CRR

310 
Article 85 CRR

320 
Article 84 CRR

The amount to be reported shall the amount of minority interests of a subsidiary that is included in consolidated CET1 in accordance with the CRR.

330 
Article 86 CRR

The amount to be reported shall the amount of qualifying T1 capital of a subsidiary that is included in consolidated AT1 in accordance with the CRR.

340 
Article 88 CRR

The amount to be reported shall the amount of qualifying own funds of a subsidiary that is included in consolidated T2 in accordance with the CRR.

350 
360-400 
Article 18 CRR

The amount to be reported as “CONSOLIDATED OWN FUNDS” shall be the amount as derived from the balance sheet, excluding any fund brought in by other group entities.

360 
370 
380 
390 
The contribution of each entity to the consolidated result (profit or loss (-)) shall be reported. That includes the results attributable to minority interests.

400 
Goodwill or negative goodwill of the reporting entity on the subsidiary shall be reported here.

410-480 
The structure of the reporting of capital buffers for the GS template shall follow the general structure of the template CA4, using the same reporting concepts. When reporting the capital buffers for the GS template, the relevant amounts shall be reported in accordance with the provisions applicable to determine the buffer requirement for the consolidated situation of a group. Therefore, the reported amounts of capital buffers shall represent the contributions of each entity to group capital buffers. The amounts reported shall be based on the national provisions transposing CRD and on CRR, including any transitional provisions provided for therein.

410 
Point (6) of Article 128 CRD

420 
Point (1) of Article 128 and Article 129 CRD

In accordance with Article 129(1) CRD, the capital conservation buffer is an additional amount of Common Equity Tier 1 capital. Due to the fact that the capital conservation buffer rate of 2,5 % is stable, an amount shall be reported in this cell.

430 
Point (2) of Article 128, Article 130 and Articles 135 to 140 CRD

In this cell the concrete amount of the countercyclical buffer shall be reported.

440 
Point (d)(iv) of Article 458(2) CRR

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

450 
Point (5) of Article 128, Articles 133 and 134 CRD

In this cell the amount of the systemic risk buffer shall be reported.

470 
Point (3) of Article 128 and Article 131 CRD

In this cell the amount of the Global Systemically Important Institution buffer shall be reported.

480 
Point (4) of Article 128 and Article 131 CRD

In this cell the amount of the Other Systemically Important Institution buffer shall be reported.

 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 set out in point (4) of Article 5(a) of this Implementing Regulation is exceeded.
 3.1.1.  39. Article 235 CRR describes the computation procedure of the exposure which is fully protected by unfunded protection.
 40. Article 236 CRR describes the computation procedure of the exposure which is fully protected by unfunded protection in the case of full protection/partial protection – equal seniority.
 41. Articles 196, 197 and 200 CRR regulate the funded credit protection.
 42. Exposures to obligors (immediate counterparties) and protection providers which are assigned to the same exposure class shall be reported as an inflow as well as an outflow to the same exposure class.
 43. The exposure type shall not change because of unfunded credit protection.
 44. If an exposure is secured by an unfunded credit protection, the secured part shall be assigned as an outflow e.g. in the exposure class of the obligor and as an inflow in the exposure class of the protection provider. However, the type of the exposure shall not change due to the change of the exposure class.
 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 shall be risk weighted in accordance with the Standardised 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. In accordance with Article 112 CRR each SA exposure shall be assigned to one of the 16 SA exposure classes to calculate the own funds requirements.
 49. The information in CR SA is required for the total exposure classes and individually for each of the exposure classes under the Standardised Approach. The total figures as well as the information of each exposure class are reported in a separate dimension.
 50. However the following positions are not within the scope of CR SA:


((a)) Exposures assigned to exposure class “items representing securitisation positions” as referred to in point (m) of Article 112 CRR, which shall be reported in the CR SEC templates.
((b)) Exposures deducted from own funds.
 51. 

((a)) Credit risk in accordance with Chapter 2 (Standardised Approach) of Title II of Part Three CRR in the banking book, among which Counterparty credit risk in accordance with Chapter 6 (Counterparty credit risk) of Title II of Part Three CRR in the banking book;
((b)) Counterparty credit risk in accordance with Chapter 6 (Counterparty credit risk) of Title II of Part Three CRR in the trading book;
((c)) Settlement risk arising from free deliveries in accordance with Article 379 CRR in respect of all the business activities.
 52. The template shall include all exposures for which the own funds requirements are calculated in accordance with Chapter 2 of Title II of Part Three CRR in conjunction with Chapters 4 and 6 of Title II of Part Three CRR. Institutions that apply Article 94(1) CRR also need to report their trading book positions in this template when they apply Chapter 2 of Title II of Part Three CRR to calculate the own funds requirements thereof (Chapters 2 and 6 of Title II of Part Three and Title V of Part Three CRR). Therefore the template shall not only provide detailed information on the type of the exposure (e.g. on balance sheet/off balance sheet items), but also information on the allocation of risk weights within the respective exposure class.
 53. In addition, CR SA includes memorandum items in rows 290 to 320 to collect further information about exposures secured by mortgages on immovable property and exposures in default.
 54. 

((a)) Central governments or central banks (point (a) of Article 112 CRR);
((b)) Regional governments or local authorities (point (b) of Article 112 CRR)
((c)) Public sector entities (point (c) of Article 112 CRR);
((d)) Institutions (point (f) of Article 112 CRR);
((e)) Corporates (point (g) of Article 112 CRR);
((f)) Retail (point (h) of Article 112 CRR).
 55. The reporting of the memorandum items shall affect neither the calculation of the risk weighted exposure amounts of the exposure classes referred to in points (a) to (c) and (f) to (h) of Article 112 CRR nor of the exposure classes referred to in points (i) and (j) of Article 112 CRR reported in template CR SA.
 56. The memorandum rows provide additional information about the obligor structure of the exposure classes “in default” or “secured by immovable property”. Exposures shall be reported in these rows where the obligors would have been reported in the exposure classes “Central governments or central banks”, “Regional governments or local authorities”, “Public sector entities”, “Institutions”, “Corporates” and “Retail” of CR SA, if those exposures were not assigned to the exposure classes “in default” or “secured by immovable property”. The figures reported, however, are the same as used to calculate the risk weighted exposure amounts in the exposure classes “in default” or “secured by immovable property”.
 57. E.g. if an exposure, the risk exposure amounts of which are calculated in accordance with Article 127 CRR and the value adjustments are less than 20 %, then that information shall be reported in CR SA, row 320 in the total and in the exposure class “in default”. If this exposure, before it defaulted, was an exposure to an institution, then that information shall also be reported in row 320 of exposure class “institutions”.
 3.2.3.  58. 

((a)) In a first step, the Original exposure pre-conversion factors shall be classified into the corresponding (original) exposure class referred to in Article 112 CRR, without prejudice to the specific treatment (risk weight) that each specific exposure shall receive within the assigned exposure class.
((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 shall apply to for the classification of the Original exposure pre-conversion factors into the different exposure classes (first step) without prejudice to the subsequent redistribution caused by the use of CRM techniques with substitution effects on the exposure or to the treatment (risk weight) that each specific exposure shall receive within the assigned exposure class.
 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 referred to in point (i) of Article 112 CRR (exposures secured by mortgages on immovable property).
 61. Article 112 CRR does not provide criteria for disjoining the exposure classes. This might imply that one exposure could potentially be classified in different exposure classes if no prioritisation in the assessment criteria for the classification is provided. The most obvious case arises between exposures to institutions and corporate with a short-term credit assessment (point (n) of Article 112 CRR) and exposures to institutions (point (f) of Article 112 CRR)/exposures to corporates (point (g) of Article 112 CRR). In that case, it is clear that there is an implicit prioritisation in CRR since it shall be assessed first if a certain exposure is fit for being assigned to Short-term exposures to institutions and corporates and only afterwards assessed if it fits for being assigned to exposures to institutions or exposures to corporates. Otherwise it is obvious that the exposure class referred to in point (n) of Article 112 CRR shall never be assigned an exposure. The example provided is one of the most obvious examples but is not the only one. It is worth noting that the criteria used for establishing the exposure classes under the Standardised Approach are different (institutional categorisation, term of the exposure, past due status, etc.) which is the underlying reason for non-disjoint groupings.
 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 CRR for an exposure to fit in a certain exposure class and, if that is the case, on any decision on the part of the reporting institutions or the supervisor on the applicability of certain exposure classes. Therefore, the outcome of the exposure assignment process for reporting purposes shall be in line with CRR provisions. That does not prohibit institutions from applying other internal assignment procedures that may also be consistent with all relevant CRR provisions and its interpretations issued by the appropriate fora.
 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 an exposure class, without prejudice to the outcome of that assessment) if otherwise no exposures would potentially be assigned to it. That will be the case where in the absence of prioritisation criteria one exposure class is a subset of others. Therefore, the criteria graphically depicted in the following decision tree would work on a sequential process.
 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 (paragraphs 3, 4 and 5 of Article 132 CRR) is used, the underlying individual exposures shall be considered and classified into their corresponding risk weight line according to their treatment, but all the individual exposures shall be classified within the exposure class of Exposures in the form of units or shares in collective investment undertakings (“CIU”).
 66. “nth” to default credit derivatives, as specified in Article 134(6) CRR that are rated shall be directly classified as securitisation positions. If they are not rated, they shall be considered in the “Other items” exposure class. In that latter case, the nominal amount of the contract shall be reported as the Original exposure pre-conversion factors in the line for “Other risk weights” (the risk weight used shall be that specified by the sum indicated under Article 134(6) CRR.
 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.


Original exposure pre-conversion factors  
Does it fit for being assigned to the exposure class of point (m) of Article 112 CRR? YES
 Securitisation positions
NO
  
Does it fit for being assigned to the exposure class of point (k) of Article 112 CRR? YES
 Items associated with particular high risk (see also Article 128 CRR)
NO
  
Does it fit for being assigned to the exposure class of point (p) of Article 112 CRR? YES
 Equity exposures (see also Article 133 CRR)
NO
  
Does it fit for being assigned to the exposure class of point (j) of Article 112 CRR? YES
 Exposures in default
NO
  
Does it fit for being assigned to the exposure classes of points (l) and (o) of Article 112 CRR? YES
 Exposures in the form of units or shares in collective investment undertakings (CIU)Exposures in the form of covered bonds (see also Article 129 CRR)These two exposure classes are disjoint among themselves (see comments on the look-through approach in the answer above). Therefore the assignment to one of them is straightforward.
NO
  
Does it fit for being assigned to the exposure class of point (i) of Article 112 CRR? YES
 Exposures secured by mortgages on immovable property (see also Article 124 CRR)
NO
  
Does it fit for being assigned to the exposure class of point (q) of Article 112 CRR? YES
 Other items
NO
  
Does it fit for being assigned to the exposure class of point (n) of Article 112 CRR? YES
 Exposures to institutions and corporates with a short-term credit assessment
NO
  
The exposure classes below are disjoint among themselves. Therefore the assignment to one of them is straightforward.Exposures to central governments or central banksExposures to regional governments or local authoritiesExposures to public sector entitiesExposures to multilateral development banksExposures to international organisationsExposures to institutionsExposures to corporatesRetail exposures
 3.2.4.  3.2.4.1.  68. Intra-group exposures referred to in paragraphs 6 and 7 of Article 113 CRR shall be reported as follows:
 69. Exposures which fulfil the requirements of Article 113(7) CRR shall be reported in the respective exposure classes where they would be reported if they were not intra-group exposures.
 70. According to paragraphs 6 and 7 of Article 113 CRR an institution may, subject to the prior approval of the competent authorities, decide not to apply the requirements of paragraph 1 of that Article to the exposures of that institution to a counterparty which is its parent undertaking, its subsidiary, a subsidiary of its parent undertaking or an undertaking linked by a relationship within the meaning of Article 12(1) of Directive 83/349/EEC. That means that intra-group counterparties are not necessarily institutions but also undertakings which are assigned to other exposure classes, e.g. ancillary services undertakings or undertakings within the meaning of Article 12(1) of Council Directive 83/349/EEC. Therefore intra-group exposures shall be reported in the corresponding exposure class.
 3.2.4.2.  71. SA exposures shall be assigned to the exposure class “covered bonds” as follows:
 72. Bonds referred to in Article 52(4) of Directive 2009/65/EC of the European Parliament and of the Council shall fulfil the requirements of paragraphs 1 and 2 of Article 129 CRR to be classified in the exposure class “Covered Bonds”. The fulfilment of those requirements has to be checked in each case. Nevertheless, bonds referred to in Article 52(4) of Directive 2009/65/EC and issued before 31 December 2007 shall also be assigned to the exposure class “Covered Bonds” pursuant to Article 129(6) CRR.
 3.2.4.3.  73. Where the possibility referred to in Article 132(5) CRR is used, exposures in the form of units or shares in CIUs shall be reported as on balance sheet items in accordance with the first sentence in Article 111(1) CRR.
 3.2.5. 

Columns
010 
Exposure value calculated in accordance with Article 111 CRR without taking into account value adjustments and provisions, conversion factors and the effect of credit risk mitigation techniques with the following qualifications stemming from Article 111(2) CRR:


1.. For derivative instruments, repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions subject to Chapter 6 of Title II of Part Three CRR or subject to point (f) of Article 92(3) CRR, the original exposure shall correspond to the Exposure Value for Counterparty Credit Risk calculated in accordance with the methods laid down Chapter 6 of Title II of Part Three CRR.
2.. Exposure values for leases shall be subject to Article 134(7) CRR.
3.. In the case of on-balance sheet netting as laid down in Article 219 CRR, the exposure values shall be reported taking into account the amount of the received cash collateral.
4.. In the case of master netting agreements covering repurchase transactions, securities, commodities lending, borrowing transactions or other capital market driven transactions subject to Chapter 6 of Title II of Part Three CRR, the effect of Funded Credit Protection in the form of master netting agreements referred to in Article 220(4) CRR shall be reflected in column 010. Therefore, in the case of master netting agreements covering repurchase transactions subject to Chapter 6 of Title II of Part Three CRR, E* as calculated in accordance with Articles 220 and 221 CRR shall be reported in column 010 of the CR SA template.

030 
Value adjustments and provisions for credit losses made in accordance with the accounting framework to which the reporting entity is subject

040 
Sum of columns 010 and 030

050 – 100 
Credit risk mitigation techniques as defined in point (57) of Article 4(1) CRR that reduce the credit risk of an exposure or exposures via the substitution of exposures as described below in “Substitution of the exposure due to CRM”.

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

Items to be reported here:


— collateral, incorporated in accordance with the Financial Collateral Simple Method;
— eligible unfunded credit protection.

Please also see instructions of point 3.1.1.

050 – 060 
Article 235 CRR

Article 239(3) CRR contains the formula for the calculation of the adjusted value GA of an unfunded credit protection.

050 
Article 203 CRR

Unfunded Credit Protection as defined in point (59) of Article 4(1) CRR which does not include Credit Derivatives.

060 
Article 204 CRR

070 – 080 
These columns refer to funded credit protection as defined in point (58) of Article 4(1) CRR and subject to the rules laid down in Articles 196, 197 and 200 CRR. The amounts shall not include master netting agreements (already included in Original Exposure pre-conversion factors).

Investments in credit linked notes as referred to in Article 218 CRR and on-balance sheet netting positions resulting from eligible on-balance sheet netting agreements as referred to in Article 219 CRR shall be treated as cash collateral.

070 
Paragraphs 1 and 2 of Article 222 CRR.

080 
Article 232 CRR.

090 – 100 
Article 222(3), paragraphs 1 and 2 of Article 235 and Article 236 CRR

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

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

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

110 
Amount of the exposure net of value adjustments after taking into account outflows and inflows due to CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE

120-140 
Articles 223 to 228 CRR. They also include credit linked notes (Article 218 CRR)

Credit linked notes as referred to in Article 218 CRR and on-balance sheet netting positions resulting from eligible on-balance sheet netting agreements as referred to in Article 219 CRR shall be treated as cash collateral.

The effect of the collateralization of the Financial Collateral Comprehensive Method applied to an exposure, which is secured by eligible financial collateral, shall be calculated in accordance with Articles 223 to 228 CRR.

120 
Paragraphs 2 and 3 of Article 223 CRR.

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

130 
Article 239(2) CRR.

For trading book operations, financial collateral and commodities eligible for trading book exposures in accordance with points (c) to (f) of Article 299(2) CRR shall be included.

The amount to be reported corresponds to Cvam = C*(1-Hc-Hfx)*(t-t*)/(T-t*). For a definition of C, Hc, Hfx, t, T and t* see Sections 4 and 5 of Chapter 4 of Title II of Part Three CRR.

140 
Article 223(1) CRR and Article 239(2) CRR.

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

150 
Article 220(4), Article 223(2) to (5) and Article 228(1) CRR.

160 – 190 
Article 111(1) and point (56) of Article 4(1) CRR. See also Articles 222(3) and 228(1) CRR.

The figures reported shall be the fully adjusted exposure values before application of the conversion factor.

200 
Article 111 CRR and Section 4 of Chapter 4 of Title II of Part Three CRR.

Exposure value after taking into account value adjustments, all credit risk mitigants and credit conversion factors that is to be assigned to risk weights in accordance with Article 113 and Section 2 of Chapter 2 of Title II of Part Three CRR.

210 
For Derivative instruments, repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions subject to Chapter 6 of Title II of Part Three CRR, the exposure value for Counterparty Credit Risk calculated in accordance with the methods laid down in Sections 2 to 5 of Chapter 6 of Title II of Part Three CRR.

215 
Paragraphs 1 to 5 of Article 113CRR, without taking into account the SME-supporting factor laid down in Article 501 CRR.

220 
Paragraphs 1 to 5 of Article 113CRR, taking into account the SME-supporting factor laid down in Article 501 CRR.

230 
Points (a) to (d), (f), (g), (l), (n), (o) and (q) of Article 112 CRR

240 
Points (b) to d), (f), (g), (l) and (o) of Article 112 CRR



Rows Instructions
010 
015 
Article 127 CRR

This row shall only be reported in exposure classes “Items associated with a particular high risk” and “Equity exposures”.

An exposure that is either listed in Article 128(2) CRR or meets the criteria set in Article 128(3) or Article 133 CRR shall be assigned to the exposure class “Items associated with particular high risk” or “Equity exposures”. Consequently, there shall be no other allocation, even in case of an exposure in default as referred to in Article 127 CRR.

020 
All exposures to SME shall be reported here.

030 
Only exposures which meet the requirements of Article 501 CRR shall be reported here.

040 
Article 125 CRR

Only reported in exposure class “Secured by mortgages on immovable property”

050 
Exposures to which the Standardised Approach has been applied in accordance with Article 150(1) CRR

060 
Article 148(1) CRR

070-130 
Reporting institution’s “banking book” positions shall be broken-down, following the criteria provided below, into on-balance sheet exposures subject to credit risk, off-balance sheet exposures subject to credit risk and exposures subject to counterparty credit risk.

Exposures to counterparty credit risk arising from the trading book business of the institution as referred to in point (f) of Article 92(3) and Article 299(2) CRR shall be assigned to the exposures subject to counterparty credit risk. Institutions that apply Article 94(1) CRR also break down their “trading book” positions following the criteria provided below, into on-balance sheet exposures subject to credit risk, off-balance sheet exposures subject to credit risk and exposures subject to counterparty credit risk.

070 
Assets referred to in Article 24 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 090, 110 and 130, and therefore shall not be reported in this row.

Free deliveries as referred to in Article 379(1) CRR (if not deducted) do not constitute an on-balance sheet item, but nevertheless shall be reported in this row.

Exposures arising from assets posted to a CCP as defined in point (90) of Article 4(1)) CRR shall be included if not reported in row 080.

080 
Off-balance sheet positions comprise the items listed in Annex I 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 090, 110 and 130 and therefore not be reported in this row.

Exposures arising from assets posted to a CCP as defined in point (90) of Article 4(1) CRR shall be included if they are considered as off-balance sheet items.

090-130 
090 
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 as defined in point (82) of Article 4(1) CRR as well as securities or commodities lending and borrowing transactions; (ii) margin lending transactions as defined in Article 272(3) CRR.

100 
Article 306 CRR for qualifying CCPs as defined in point (88) of Article 4(1) CRR in accordance with Article 301(2) CRR.

Trade exposures, as defined in point (91) of Article 4(1) CRR, to a CCP

110 
Derivatives comprise the contracts listed in Annex II to the CRR.

Long Settlement Transactions as defined in Article 272(2) CRR.

Derivatives and Long Settlement Transactions which are included in a Cross Product Netting and therefore reported in row 130, shall not be reported in this row.

120 
Article 306 CRR for qualifying CCPs as defined in point (88) of Article 4(1) CRR in accordance with Article 301(2) CRR

Trade exposures, as defined in point (91) of Article 4(1) CRR, to a CCP

130 
Exposures that due to the existence of a contractual cross product netting (as defined in Article 272(11) CRR) cannot be assigned to either Derivatives & Long Settlement Transactions or Securities Financing Transactions, shall be included in this row.

140-280 
140 0 %
150 2 %Article 306(1) CRR
160 4 %Article 305(3) CRR
170 10 %
180 20 %
190 35 %
200 50 %
210 70 %Point (c) of Article 232(3) CRR.
220 75 %
230 100 %
240 150 %
250 250 %Articles 133(2) and 48(4) CRR
260 370 %Article 471 CRR
270 1 250 %Article 133(2) and Article 379 CRR
280 
This row is not available for exposure classes Government, Corporates, Institutions and Retail.

For reporting those exposures not subject to the risk weights listed in the template.

Paragraphs 1 to 5 of Article 113 CRR.

Unrated nth-to-default credit derivatives under the Standardised Approach (Article 134(6) CRR) shall be reported in this row under the exposure class “Other items”.

See also Article 124(2) and point (b) of Article 152(2) CRR.

290-320 
See also the explanation of the purpose of the memorandum items in the general section of the CR SA.

290 
Point (i) of Article 112 CRR

This is a memorandum item only. Independent from the calculation of risk exposure amounts of exposures secured by commercial immovable property as referred to in Article 124 and 126 CRR the exposures shall be broken down and reported in this row if the exposures are secured by commercial real estate.

300 
Point (j) of Article 112 CRR

Exposures included in the exposure class “exposures in default” which shall be included in this exposure class if they were not in default.

310 
Point (i) of Article 112 CRR

This is a memorandum item only. Independent from the calculation of risk exposure amounts of exposures secured by mortgages on residential property in accordance with Article 124 and 125 CRR the exposures shall be broken down and reported in this row if the exposures are secured by real estate property.

320 
Point (j) of Article 112 CRR

Exposures included in the exposure class “exposures in default” which shall be included in this exposure class if they were not in default.

 3.3.  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 in accordance with Articles 151 to 157 of Chapter 3 of Title II of Part Three (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 and/or CR SEC Details templates;
iii.. “Other non credit-obligation assets”, as referred to in point (g) of Article 147(2) CRR. The risk weight for this exposure class has to be set at 100 % at any time except for cash in hand, equivalent cash items and exposures that are residual values of leased assets, in accordance with Article 156 CRR. The risk weighted exposure amounts for this exposure class shall be reported directly in the CA-Template;
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 shall be reported in the template CR GB.
 77. In order to clarify whether the institution uses its own estimates for LGD or credit conversion factors, the following information shall be provided for each reported exposure class:
 “NO” in case the supervisory estimates of LGD and credit conversion factors are used (Foundation IRB)
 “YES” 
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 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
(point (a) of Article 147(2) CRR)
3. Institutions
(point (b) of Article 147(2) CRR)
4.1) Corporate – SME
(point (c) of Article 147(2) CRR
4.2) Corporate – Specialised lending
(Article 147(8) CRR)
4.3) Corporate – Other
(All exposures to corporates as referred to in point (c) of Article 147(2) CRR, not reported under 4.1 and 4.2).
5.1) Retail – Secured by immovable property SME
(Retail exposures as referred to in point (d) of Article 147(2) CRR in conjunction with Article 154(3) CRR which are secured by immovable property).
5.2) Retail – Secured by immovable property non-SME
(Retail exposures as referred to in point (d) of Article 147(2) CRR which are secured by immovable property and not reported under 5.1).
5.3) Retail – Qualifying revolving
(Retail exposures as referred to in point (d) of Article 147(2) CRR in conjunction with Article 154(4) CRR).
5.4) Retail – Other SME
(Retail exposures as referred to in point (d) of Article 147(2) CRR not reported under 5.1 and 5.3).
5.5) Retail – Other non – SME
(Retail exposures as referred to in point (d) of Article 147(2) CRR which were not reported under 5.2 and 5.3).
 3.3.3.  3.3.3.1. 

Columns Instructions
010 
The PD assigned to the obligor grade or pool to be reported shall be based on the provisions laid down in Article 180 CRR. For each individual grade or pool, the PD assigned to the specific obligor grade or pool shall be reported. For figures corresponding to an aggregation of obligor grades or pools (e.g. total exposures), the exposure weighted average of the PDs assigned to the obligor grades or pools included in the aggregation shall be provided. The exposure value (column 110) shall be used for the calculation of the exposure-weighted average PD.

 For each individual grade or pool, the PD assigned to the specific obligor grade or pool shall be reported. All reported risk parameters shall be derived from the risk parameters used in the internal rating system approved by the respective competent authority.It is neither intended nor desirable to have a supervisory master scale. If the reporting institution applies a unique rating system or is able to report in accordance with an internal master scale, that scale shall be used.Otherwise, the different rating systems shall be merged and ordered in accordance with the following criteria: Obligor grades of the different rating systems shall be pooled and ordered from the lower PD assigned to each obligor grade to the higher. Where the institution uses a large number of grades or pools, a reduced number of grades or pools to be reported may be agreed with the competent authorities.Institutions shall contact their competent authority in advance if they want to report a different number of grades in comparison with the internal number of grades.For the purposes of weighting the average PD, the exposure value reported in column 110 shall be used. All exposures, including defaulted exposures, are to be considered for the the calculation of the exposure weighted average PD (e.g. for “total exposure”). Defaulted exposures shall be those assigned to the last rating grade/s with a PD of 100 %.
020 
Institutions shall report the exposure value before taking into account any value adjustments, provisions, effects due to credit risk mitigation techniques or credit conversion factors.

The original exposure value shall be reported in accordance with Article 24 CRR and paragraphs 1, 2, 4, 5, 6 and 7 of Article 166 CRR.

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

030 
Breakdown of the original exposure pre-conversion factor for all exposures of entities referred to in Article 142(4) and (5) CRR subject to the higher correlation determined in accordance with Article 153(2) CRR.

040-080 
Credit risk mitigation as defined in point (57) of Article 4(1) CRR that reduce the credit risk of an exposure or exposures via the substitution of exposures as defined below in “SUBSTITUTION OF THE EXPOSURE DUE TO CRM”.

040-050 
Unfunded credit protection as defined in point (59) of Article 4(1) CRR.

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

040 
Where own estimates of LGD are not used, the Adjusted Value (GA) as defined in Article 236(3) CRR shall be provided.

When own estimates of LGD are used in accordance with Article 183 CRR, the relevant value used in the internal model shall be reported.

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

Regarding exposures subject to the double default treatment, the value of unfunded credit protection shall be reported in column 220.

050 
Where own estimates of LGD are not used, the Adjusted Value (GA) as defined in Article 236(3) CRR shall be provided.

Where own estimates of LGD are used in accordance with Article 183 CRR, the relevant value used in the internal modelling shall be reported.

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

Regarding exposures subject to the double default treatment, the value of unfunded credit protection shall be reported in column 220.

060 
Collateral that has an effect on the exposure (e.g. where used for credit risk mitigation techniques with substitution effects on the exposure) shall be capped at the exposure value.

Where own estimates of LGD are not used, Article 232 CRR shall be applied.

Where own estimates of LGD are used, those credit risk mitigation that complies with the conditions in Article 212 CRR shall be reported. The relevant value used in the internal model shall be reported.

The amount shall be reported in column 060 where the adjustment is not made in the LGD. Where an adjustment is made in the LGD, that amount shall be reported in column 170.

070-080 
Outflows shall correspond to the covered part of the original exposure pre-conversion factors, that is deducted from the obligor’s exposure class and, where relevant, obligor grade or pool, and subsequently assigned to the protection provider’s exposure class and, where relevant, obligor grade or pool. That amount shall be considered as an inflow into the protection provider’s exposure class and, where relevant, obligor grades or pools.

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

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

090 
Exposure assigned in the corresponding obligor grade or pool and exposure class after taking into account outflows and inflows due to CRM techniques with substitution effects on the exposure.

100, 120 
See CR-SA instructions

110 
The exposure value determined in accordance with Article 166 CRR and the second sentence of Article 230(1) CRR shall be reported.

For the instruments referred to in Annex I, the credit conversion factors (paragraphs 8, 9 and 10 of Article 166 CRR), irrespective of the approach chosen by the institution, shall be applied.

For rows 040-060 (securities financing transactions, derivatives and long settlement transactions and exposures from contractual cross-product netting), subject to Chapter 6 of Title II of Part Three CRR, the Exposure Value shall be the same as the value for Counterparty Credit Risk calculated in accordance with Sections 3 to 7 of Chapter 6 of Title II of Part Three CRR. Those values shall be reported in this column and not column 130 “Of which: arising from counterparty credit risk”.

130 
See CR SA instructions.

140 
Breakdown of the exposure value for all exposures to entities referred to in Article 142(4) and (5) CRR subject to the higher correlation determined in accordance with Article 153(2) CRR.

150-210 
CRM techniques that have an impact on LGDs as a result of the application of the substitution effect of CRM techniques shall not be included in these columns.

Where own estimates of LGD are not used, Article 228(2), Article 230(1) and (2) and Article 231 CRR shall be taken into account.

Where own estimates of LGD are used:


— Regarding unfunded credit protection, for exposures to central governments, central banks, institutions and corporates, Article 161(3) CRR shall be taken into account. For retail exposures, Article 164(2) CRR shall be taken into account.
— Regarding funded credit protection, the collateral shall be taken into account in the LGD estimates in accordance with points (e) and (f) of Article 181(1) CRR.

150 
See instructions to column 040.

160 
See instructions to column 050.

170 
The relevant value used in the internal modelling of the institution.

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

180 
For trading book operations, financial instruments and commodities eligible for trading book exposures in accordance with points (c) to (f) of Article 299(2) CRR shall be included. Credit linked notes and on -balance sheet netting in accordance with Section 4 of Chapter 4 of Title II of Part Three CRR shall be treated as cash collateral.

Where own estimates of LGD are not used, values shall be determined in accordance with paragraphs 1 to 4 of Article 193 and Article 194(1) CRR. The adjusted value (Cvam) as set out in Article 223(2) CRR shall be reported.

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

190-210 
Where own estimates of LGD are not used, values shall be determined in accordance with paragraphs 1 to 8 of Article 199 CRR and Article 229 CRR.

Where own estimates of LGD are used, other collateral shall be taken into account in the LGD estimates in accordance with points (e) and (f) of Article 181(1) CRR.

190 
Where own estimates of LGD are not used, values shall be determined in accordance with paragraphs 2, 3 and 4 of Article 199 CRR and shall be reported in this column. Leasing of real estate property shall also be included (see Article 199(7) CRR). See also Article 229 CRR.

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

200 
Where own estimates of LGD are not used, values shall be determined in accordance with paragraphs 6 and 8 of Article 199 CRR and shall be reported in this column. Leasing of property different from real estate shall also be included (see Article 199(7) CRR). See also Article 229(3) CRR.

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

210 
Where own estimates of LGD are not used, values shall be determined in accordance with Articles 199(5) and 229(2) CRR and shall be reported in this column.

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

220 
Guarantees and credit derivatives covering exposures subject to the double default treatment taking into account Article 202 and Article 217(1) CRR. See also columns 040 “Guarantees” and 050 “Credit derivatives”.

230 
All the impact of CRM techniques on LGD values as specified in Chapters 3 and 4 of Title II of Part Three CRR shall be considered. In- case of exposures subject to the double default treatment, the LGD to be reported shall correspond to the LGD selected in accordance with Article 161(4) CRR.

For defaulted exposures, point (h) of Article 181(1) CRR shall be taken into account.

The exposure value referred to in column 110 shall be used for the calculation of the exposure-weighted averages.

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

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

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

Where own estimates of LGD are applied, Article 175 and paragraphs 1 and 2 of Article 181 CRR shall be taken into account.

In case of exposures subject to the double default treatment, the LGD to be reported shall correspond to the LGD selected in accordance with Article 161(4) CRR.

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

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

Exposures and the respective LGDs for large regulated financial sector entities and unregulated financial entities shall not be included in the calculation of column 230, but only be included in the calculation of column 240.

240 
Exposure weighted average LGD (%) for all exposures to large financial sector entities as defined in Article 142(4) CRR and to unregulated financial sector entities as defined in Article 142(5) CRR subject to the higher correlation determined in accordance with Article 153(2) CRR.

250 
The value reported shall be determined in accordance with Article 162 CRR. The exposure value (column 110) shall be used for the calculation of the exposure-weighted averages. The average maturity shall be reported in days.

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

255 
For central governments and central banks, corporate and institutions, see paragraphs 1 and 3 of Article 153 CRR. For retail, see Article 154(1) CRR.

The SME-supporting factor referred to in Article 501(1) CRR shall not be taken into account.

260 
For central governments and central banks, corporate and institutions, see paragraphs 1 and 3 of Article 153 CRR. For retail, see Article 154(1) CRR.

The SME-supporting factor referred to in Article 501(1) CRR shall be taken into account.

270 
Breakdown of the risk weighted exposure amount after SME supporting factor for all exposures to large financial sectors entities as defined in Article 142(4) CRR and to unregulated financial sector entities as defined in Article 142(5) CRR, subject to the higher correlation determined in accordance with Article 153(2) CRR.

280 
For the definition of Expected Loss, see Article 5(3) CRR and, for the calculation of expected loss amounts, see Article 158 CRR. The expected loss amount to be reported shall be based on the risk parameters really used in the internal rating system approved by the respective competent authority.

290 
Value Adjustments as well as specific and general credit risk adjustments in accordance with Article 159 CRR shall be reported. General credit risk adjustments shall be reported by assigning the amount pro rata on the basis of the expected loss of the different obligor grades.

300 
Paragraphs 1 and 2 of Article 172 CRR.

For all exposure classes, with the exception of the exposure class retail and the cases mentioned in the second sentence of point (e) of Article 172(1) CRR, the institution shall report the number of legal entities/obligors which were separately rated, regardless of the number of different loans or exposures granted.

Within the exposure class retail, or if separate exposures to the same obligor are assigned to different obligor grades in accordance with the second sentence of point (e) of Article 172(1) CRR in other exposure classes, the institution shall report the number of exposures which were separately assigned to a certain rating grade or pool. In case Article 172(2) CRR applies, an obligor may be considered in more than one grade.

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



Rows Instructions
010 
015 
Only exposures which meet the requirements of Article 501(2) CRR shall be reported here.

020-060 
020 
Assets referred to in Article 24 CRR shall not be 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 as referred to in Article 379(1) CRR (if not deducted) do not constitute an on-balance sheet item, but nevertheless shall be reported in this row.

Exposures arising from assets posted to a CCP as defined in point (91) of Article 4(1) CRR shall be included if not reported in row 030.

030 
Off-balance sheet items shall comprise those items that are listed in Annex I 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 in this row.

Exposures arising from assets posted to a CCP as defined in point (91) of Article 4(1) CRR shall be included if they are considered as off-balance sheet items.

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 as defined in point (82) of Article 4(1) CRR as well as securities or commodities lending and borrowing transactions and (ii) margin lending transactions as defined in Article 272(3) CRR.

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 that are listed in Annex II CRR. Derivatives and Long Settlement Transactions which are included in a Cross Product Netting and therefore reported in row 060 shall not be reported in this row.

060 
See CR SA instructions

070 
For exposures to corporates, institutions and central governments and central banks, see point (6) of Article 142(1) and point (c) of Article 170(1) CRR.

For retail exposures see point (b) of Article 170(3) CRR. For exposures arising from purchased receivables, see Article 166(6) 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) CRR. This shall only apply to the exposure classes corporates, institutions and central governments and central banks.

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

160 
Paragraphs 1 and 2 of Article 193, paragraphs 1 to 7 of Article 194 and Article 230(3) CRR

170 
Exposures arising from free deliveries for which the alternative treatment referred to in the last sentence of the first subparagraph of Article 379(2) CRR is used, or for which a 100 % risk weight is applied in accordance with the last subparagraph of Article 379(2) CRR. Unrated nth-to-default credit derivatives in accordance with Article 153(8) CRR and any other exposure subject to risk weights not included in any other row shall be reported in this row.

180 
See point (53) of Article 4(1) CRR for a definition of dilution risk. For calculation of risk weight for dilution risk see Article 157(1) CRR.

In accordance with Article 166(6) CRR, the exposure value of purchased receivables shall be the outstanding amount minus the risk weighted exposure amounts for dilution risk prior to credit risk mitigation.

 3.3.4. 

Column Instructions
005 
This is a row identifier and shall be unique for each row on a particular sheet of the template. It shall follow the numerical order 1, 2, 3, etc.

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


Row Instructions
010-001 – 010-NNN Values reported in these rows must be ordered from the lower to the higher in accordance with the PD assigned to the obligor grade or pool. PD of obligors in default shall be 100 %. Exposures subject to the alternative treatment for real estate collateral (only available when not using own estimates for the LGD) shall not be assigned in accordance with the PD of the obligor and not reported in this template.
 3.4.  79. All institutions shall submit information aggregated at a total level. Additionally, institutions fulfilling the threshold set in point (4) of Article 5(a) of this Implementing Regulation shall submit information broken down by country regarding the domestic country as well as any non-domestic country. The threshold shall be considered only in relation to the CR GB 1 and CR GB 2 templates. Exposures to supranational organisations shall be assigned to the geographical area “other countries”.
 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 with substitution effects can change the allocation of an exposure to a country. Exposures to supranational organisations shall not be assigned to the country of residence of the institution but to the geographical area “Other countries”, irrespective of the exposure class where the exposure to supranational organisations is assigned.
 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 “exposures in default” and for defaulted exposures assigned to the exposure classes “exposures associated with particularly high risk” or “equity exposures”.

This “memorandum item” shall provide additional information about the obligor structure of defaulted exposures. Exposures classified as “exposures in default” as referred to in point (j) of Article 112 CRR shall be reported where the obligors would have been reported if those exposures were not assigned to the exposure classes “exposures in default”.

This information is a “memorandum item” – hence does not affect the calculation of risk weighted exposure amounts of exposure classes “exposures in default”, “exposures associated with particularly high risk” or “equity exposures” as referred to in points (j), (k) and (p) of Article 112 CRR.

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 as referred to in Article 110 CRR.

This item shall include the general credit risk adjustments that are eligible for inclusion in T2 capital, before the application of the cap referred to in point (c) of Article 62 CRR.

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

055 
Credit risk adjustments as referred to in Article 110 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 
Point (a) of Article 112 CRR

020 
Point (b) of Article 112 CRR.

030 
Point (c) of Article 112 CRR

040 
Point (d) of Article 112 CRR

050 
Point (e) of Article 112 CRR

060 
Point (f) of Article 112 CRR

070 
Point (g) of Article 112 CRR

075 
Same definition as for row 020 of CR SA template

080 
Point (h) of Article 112 CRR

085 
Same definition as for row 020 of CR SA template

090 
Point (i) of Article 112 CRR

095 
Same definition as for row 020 of CR SA template

100 
Point (j) of Article 112 CRR

110 
Point (k) of Article 112 CRR

120 
Point (l) of Article 112 CRR

130 
Point (n) of Article 112 CRR

140 
Point (o) of Article 112 CRR

150 
Point (p) of Article 112 CRR

160 
Point (q) of Article 112 CRR

170 
 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 in accordance with Article 178 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 as referred to in Article 110 CRR.

055 
Credit risk adjustments as referred to in Article 110 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 columns 230 and 240 of CR IRB template: the exposure weighted average LGD (%) shall refer to all exposures, including exposures to large financial sector entities and unregulated financial entities. Point (h) of Article 181(1) CRR shall apply.

Data shall not be reported for specialised lending exposures referred to in Article 153(5) CRR.

100 
Exposure weighted LGD for those exposures which have been classified as defaulted exposures in accordance with Article 178 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 in accordance with Article 178(1) 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 
Point (a) of Article 147(2) CRR

020 
Point (b) of Article 147(2) CRR

030 
All exposures to corporates as referred to in point (c) of Article 147(2) CRR

042 
Point (a) of Article 147(8) CRR

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

045 
Point (a) of Article 147(8) and Article 153(5) CRR

050 
Point (c) of Article 147(2) CRR

060 
All retail exposures as referred to in point (d) of Article 147(2) CRR

070 
Retail exposures as referred to in point (d) of Article 147(2) CRR which are secured by real estate

080 
Retail exposures as referred to in point (d) of Article 147(2) and Article 154(3) CRR which are secured by real estate

090 
Retail exposures as referred to in point (d) of Article 147(2) CRR which are secured by real estate

100 
Retail exposures as referred to in point (d) of Article 147(2) in conjunction with Article 154(4) CRR

110 
Other retail exposures as referred to in point (d) of Article 147(2) CRR which are not reported in rows 070 – 100

120 
Other retail exposures as referred to in point (d) of Article 147(2) CRR to SMEs

130 
Other retail exposures as referred to in point (d) of Article 147(2) CRR to non-SMEs

140 
Equity exposures as referred to in point (e) of Article 147(2) CRR

150 
 3.4.3.  3.4.3.1.  82. This template aims at receiving more information regarding the elements of the institution-specific countercyclical capital buffer. The information required refers to the own funds requirements determined in accordance with Title II and Title IV of Part Three CRR and the geographical location for credit exposures, securitisation exposures and trading book exposures relevant for the calculation of the institution-specific countercyclical capital buffer (CCB) in accordance with Article 140 CRD (relevant credit exposures).
 83. Information in template C 09.04 shall be reported for the “Total” of relevant credit exposures across all jurisdictions where those exposures are located and individually for each of the jurisdictions in which relevant credit exposures are located. The total figures as well as the information of each jurisdiction shall be reported in a separate dimension.
 84. The threshold set in point (4) of Article 5(a) of this Implementing Regulation shall not apply for the reporting of this breakdown.
 85. In order to determine the geographical location, the exposures shall be allocated on an immediate obligor basis as provided for in Commission Delegated Regulation (EU) No 1152/2014. Therefore, CRM techniques shall not change the allocation of an exposure to its geographical location for the purpose of reporting information set out in this template.
 3.4.3.2. 

Columns
010 
The value of the relevant credit exposures and their associated own-funds requirements determined in accordance with the instructions for the respective row.

020 
030 
This information shall only be reported for the country of residence of the institution (the jurisdiction corresponding to its home Member State) and the “Total” of all countries.

Institutions shall report either {y} or {n} in accordance with the instructions for the relevant row.



Rows
010-020 
Relevant credit exposures as referred to in point (a) of Article 140(4) CRD.

010 
Exposure value calculated in accordance with Article 111 CRR for relevant credit exposures as referred to in point (a) of Article 140(4) CRD.

The exposure value of securitisation positions in the banking book shall be excluded from this row and reported in row 055.

020 
Exposure value calculated in accordance with Article 166 CRR for relevant credit exposures as referred to in point (a) of Article 140(4) CRD.

The exposure value of securitisation positions in the banking book shall be excluded from this row and reported in row 055.

030-040 
Relevant credit exposures as referred to in point (b) of Article 140(4) CRD.

030 
Sum of net long and net short positions in accordance with Article 327 CRR of relevant credit exposures as referred to in point (b) of Article 140(4) CRD subject to own funds requirements under Chapter 2 of Title IV of Part Three CRR:


— exposures to debt instruments other than securitisation;
— exposures to securitisation positions in the trading book;
— exposures to correlation trading portfolios;
— exposures to equity securities;
— exposures to CIUs where capital requirements are calculated in accordance with Article 348 CRR.

040 
For relevant credit exposures as referred to in point (b) of Article 140(4) CRD subject to own funds requirements under Chapters 2 and 5 of Title IV of Part Three CRR, the sum of the following shall be reported:


— Fair value of non-derivative positions, that represent relevant credit exposures as referred to in point (b) of Article 140(4) CRD, determined in accordance with Article 104 CRR.
— Notional value of derivatives, that represent relevant credit exposures as referred to in point (b) of Article 140(4) CRD.

055 
Exposure value calculated in accordance with Article 248 CRR for relevant credit exposures as referred to in point (c) of Article 140(4) CRD.

070-110 
070 
The sum of rows 080, 090 and 100.

080 
Own funds requirements calculated in accordance with Chapters 1 to 4 and Chapter 6 of Title II of Part Three CRR for relevant credit exposures as referred to in point (a) of Article 140(4) CRD, in the country in question.

Own fund requirements for securitisation positions in the banking book shall be excluded from this row and reported in row 100.

The own-funds requirements are 8 % of the risk-weighted exposure amount determined in accordance with Chapters 1 to 4 and Chapter 6 of Title II of Part Three CRR.

090 
Own funds requirements calculated in accordance with Chapter 2 of Title IV of Part Three CRR for specific risk, or in accordance with Chapter 5 of Title IV of Part Three CRR for incremental default and migration risk for relevant credit exposures as referred to in point (b) of Article 140(4) CRD, in the country in question.

The own funds requirements for relevant credit exposures under the market risk framework shall include, among others, the own fund requirements for securitisation positions calculated in accordance with Chapter 2 of Title IV of Part Three, CRR and the own funds requirements for exposures to Collective Investment Undertakings determined in accordance with Article 348 CRR.

100 
Own funds requirements calculated in accordance with Chapter 5 of Title II of Part Three CRR for relevant credit exposures as referred to in point (c) of Article 140(4) CRD in the country in question.

The own-funds requirements are 8 % of the risk-weighted exposure amount calculated in accordance with Chapter 5 of Title II of Part Three, CRR.

110 
The weight applied to the countercyclical buffer rate in each country shall be calculated as a ratio of own fund requirements, determined as follows:


1.. Numerator: The total own funds requirements that relate to the relevant credit exposures in the country in question [r070; c010; country sheet],
2.. Denominator: The total own funds requirements that relate to all credit exposures relevant for the calculation of the countercyclical buffer as referred to in Article 140(4) CRD [r070; c010; “Total”].

Information on the Own fund requirements weights shall not be reported for the “Total” of all countries.

120-140 
120 
Countercyclical capital buffer rate set for the country in question by the Designated Authority of that country in accordance with Articles 136, 137, 139, points (a) and (c) of Article 140(2) and point (b) of Article 140(3) CRD.

This row shall be left empty when no countercyclical buffer rate was set for the country in question by the Designated Authority of that country.

Countercyclical capital buffer rates that were set by the Designated Authority but are not yet applicable in the country in question at the reporting reference date shall not be reported.

Information on the Countercyclical capital buffer rate set by the Designated Authority shall not be reported for the “Total” of all countries.

130 
Countercyclical capital buffer rate applicable for the country in question which was set by the Designated Authority of the country of residence of the institution, in accordance with Articles 137, 138, 139 and point (b) of Article 140(2) and point (a) of Article 140(3) CRD. Countercyclical capital buffer rates that are not yet applicable at the reporting reference date shall not be reported.

Information on the Countercyclical capital buffer rate applicable in the country of the institution shall not be reported for the “Total” of all countries.

140 
Institution-specific countercyclical capital buffer rate, calculated in accordance with Article 140(1) CRD.

The institution-specific countercyclical capital buffer rate shall be calculated as the weighted average of the countercyclical buffer rates that apply in the jurisdictions where the relevant credit exposures of the institution are located or are applied for the purposes of Article 140 by virtue of paragraphs 2 or 3 of Article 139 CRD. The relevant countercyclical buffer rate shall reported in [r120; c020; country sheet], or [r130; c020; country sheet], as applicable.

The weight applied to the countercyclical buffer rate in each country shall be the share of own funds requirements in total own funds requirements, and shall be reported in [r110; c020; country sheet].

Information on the institution-specific countercyclical capital buffer rate shall only be reported for the “Total” of all countries and not for each country separately.

150 – 160 
150 
In accordance with point (b) of Article 2(5) of Commission Delegated Regulation (EU) No 1152/2014, foreign general credit risk exposures, the aggregate of which does not exceed 2 % of the aggregate of the general credit, trading book and securitisation exposures of that institution, may be allocated to the institutions’ home Member State. The aggregate of the general credit, trading book and securitisation exposures shall be calculated by excluding the general credit exposures located in accordance with point (a) of Article 2(5) and Article 2(4) of Commission Delegated Regulation (EU) No 1152/2014.

If the institution makes use of this derogation, it shall indicate “y” in the template for the jurisdiction corresponding to its home Member State and for the “Total” of all countries.

If an institution does not make use of this derogation, it shall indicate “n” in the respective cell.

160 
In accordance with Article 3(3) of Commission Delegated Regulation (EU) No 1152/2014, institutions may allocate trading book exposures to their home Member State where the total trading book exposures do not exceed 2 % of their total general credit, trading book and securitisation exposures.

If the institution makes use of this derogation, it shall indicate “y” in the template for the jurisdiction corresponding to its home Member State and for the “Total” of all countries.

If an institution does not make use of this derogation, it shall indicate “n” in the respective cell.

 3.5.  3.5.1.  86. 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.
 87. The CR EQU IRB template provides information on the calculation of risk weighted exposure amounts for credit risk (point (a) of Article 92(3) CRR) in accordance with Chapter 3 of Title II of Part Three CRR for equity exposures as referred to in point (e) of Article 147(2) CRR.
 88. 

((a)) non-debt exposures conveying a subordinated, residual claim on the assets or income of the issuer;
((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).
 89. Collective investment undertakings treated in accordance with the simple risk weight approach as referred to in Article 152 CRR shall also be reported in the CR EQU IRB template.
 90. 

— the Simple Risk Weight approach;
— the PD/LGD approach;
— the Internal Models approach.

Moreover, institutions applying the IRB Approach shall also report in the CR EQU IRB template risk-weighted exposure amounts for those equity exposures which attract a fixed risk-weight treatment (without however being explicitly treated in accordance with the Simple Risk Weight approach or the (temporary or permanent) partial use of the Standardised Approach for credit risk), e.g. equity exposures attracting a risk-weight of 250 % in accordance with Article 48(4) CRR, respectively a risk-weight of 370 % in accordance with Article 471(2) CRR.
 91. 

— Equity exposures in the trading book (where institutions are not exempted from calculating own funds requirements for trading book positions (Article 94 CRR)).
— Equity exposures subject to the partial use of the Standardised Approach (Article 150 CRR), including:
— Equity exposures grandfathered in accordance with Article 495(1) CRR;
— Equity exposures to entities the credit obligations of which are assigned a 0 % risk weight under the Standardised Approach, including those publicly sponsored entities where a 0 % risk weight can be applied (point (g) of Article 150(1) CRR),
— 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 (point (h) of Article 150(1) CRR),
— Equity exposures to ancillary services undertakings the risk weighted exposure amounts of which may be calculated in accordance with the treatment of “other non credit-obligation assets” (Article 155(1) CRR),
— Equity claims deducted from own funds in accordance with Articles 46 and 48 CRR.
 3.5.2. 

Columns
005 
The obligor grade shall be a row identifier and shall be unique for each row in the template. It shall follow the numerical order 1, 2, 3, etc.

010 
Institutions applying the PD/LGD approach shall report in column 010 the probability of default (PD) calculated in accordance with Article 165(1) CRR.

The PD assigned to the obligor grade or pool to be reported shall be in line with the minimum requirements laid down in Section 6 of Chapter 3 of Title II of Part Three CRR. For each individual grade or pool, the PD assigned to that specific obligor grade or pool shall be reported. All reported risk parameters shall be derived from the risk parameters used in the internal rating system approved by the respective competent authority.

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). In accordance with Article 167 CRR, the exposure value for equity exposures shall be the accounting value remaining after specific credit risk adjustments. The exposure value of off-balance sheet equity exposures shall be its nominal value after specific credit risk adjustments.

Institutions shall also include in column 020 the off balance sheet items referred to in Annex I CRR assigned to the equity exposure class (e.g. “the unpaid portion of partly-paid shares”).

Institutions applying the Simple Risk Weight approach or the PD/LGD approach (as referred to in Article 165(1) CRR) shall also take into account the offsetting referred to in the second subparagraph of Article 155(2) CRR.

030-040 
Irrespective of the approach adopted for the calculation of risk weighted exposure amounts for equity exposures, institutions may recognise unfunded credit protection obtained on equity exposures (Paragraphs 2, 3 and 4 of Article 155 CRR). Institutions applying the Simple Risk Weight approach or the PD/LGD approach shall report in columns 030 and 040 the amount of unfunded credit protection under the form of guarantees (column 030) or credit derivatives (column 040) recognised in accordance with the methods set out in Chapter 4 of Title II of Part Three CRR.

050 
Institutions shall report in column 050 the part of the original exposure pre-conversion factors covered by unfunded credit protection recognised in accordance with the methods set out in Chapter 4 of Title II of Part Three CRR.

060 
Institutions applying the Simple Risk Weight approach or the PD/LGD approach shall report in column 060 the exposure value, taking into account substitution effects stemming from unfunded credit protection (Paragraphs 2 and 3 of Article 155 and Article 167 CRR).

In the case of equity off-balance sheet exposures, the exposure value shall be the nominal value after specific credit risk adjustments (Article 167 CRR).

070 
Institutions applying the PD/LGD approach shall report the exposure weighted average of the LGDs assigned to the obligor grades or pools included in the aggregation.

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 account Article 165(2) CRR.

080 
Institutions shall report risk-weighted exposure amounts for equity exposures calculated in accordance with Article 155 CRR.

Where institutions applying the PD/LGD approach do not have sufficient information to use the definition of default set out in Article 178 CRR, a scaling factor of 1,5 shall be assigned to the risk weights when calculating risk weighted exposure amounts (Article 155(3) CRR).

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) CRR).

090 
Institutions shall report in column 090 the expected loss amount for equity exposures calculated in accordance with paragraphs 4, 7, 8 and 9 of Article 158 CRR.

 92. 

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

CR EQU IRB 1 – rows 050- 090 
Institutions applying the Simple Risk Weight approach (Article 155(2) CRR) shall report the required information in accordance with the characteristics of the underlying exposures in rows 050 to 090.

CR EQU IRB 1 – row 100 
Institutions applying the Internal Models approach (Article 155(4) CRR) shall report the required 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 in accordance with 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) 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) CRR) shall report the required information in the CR EQU IRB 2 template.

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

 3.6.  3.6.1.  93. 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 as referred to in point (c)(ii) of Article 92(3) and Article 378 CRR.
 94. Institutions shall report in the CR SETT template information on the settlement/delivery risk in connection with debt instruments, equities, foreign currencies and commodities held in their trading or non-trading book.
 95. In accordance with Article 378 CRR, repurchase transactions, securities or commodities lending and securities or commodities borrowing in connection with debt instruments, equities, foreign currencies and commodities are not subject to own funds requirements for settlement/delivery risk. Note however that, derivatives and long settlement transactions unsettled after their due delivery dates shall nevertheless be subject to own funds requirements for settlement/delivery risk as determined in Article 378 CRR.
 96. In case of unsettled transactions after the due delivery date, institutions shall calculate the price difference to which they are exposed. That is the difference between the agreed settlement price for the debt instrument, equity, foreign currency or commodity in question and its current market value, where the difference could involve a loss for the institution.
 97. Institutions shall multiply that difference by the appropriate factor of Table 1 of Article 378 CRR to determine the corresponding own funds requirements.
 98. In accordance with point (b) of Article 92(4) CRR, the own funds requirements for settlement/delivery risk shall be multiplied by 12,5 to calculate the risk exposure amount.
 99. Note that own funds requirements for free deliveries as laid down in Article 379 CRR are not within the scope of the CR SETT template. Those own funds requirements shall be reported in the credit risk templates (CR SA, CR IRB).
 3.6.2. 

Columns
010 
Institutions shall report the unsettled transactions after their due delivery date at the respective agreed settlement prices as referred to in Article 378 CRR.

All unsettled transactions shall be included in this column, irrespective of whether or not they are at a gain or at a loss after the due settlement date.

020 
Institutions shall report the price difference between the agreed settlement price and its current market value for the debt instrument, equity, foreign currency or commodity in question, where the difference could involve a loss for the institution, as referred to in Article 378 CRR.

Only unsettled transactions at a loss after the due settlement date shall be reported in this column.

030 
Institutions shall report the own funds requirements calculated in accordance with Article 378 CRR.

040 
In accordance with point (b) of Article 92(4) CRR, institutions shall multiply their own funds requirements reported in column 030 by 12,5 in order to obtain the settlement risk exposure amount.



Rows
010 
Institutions shall report aggregated information about settlement/delivery risk for non-trading book positions (as referred to in point (c)(ii) of Article 92(3) and Article 378 CRR).

Institutions shall report in {r010;c010} the aggregated sum of unsettled transactions after their due delivery dates at the respective agreed settlement prices.

Institutions shall report in {r010;c020} the aggregated information for price difference exposure due to unsettled transactions at a loss.

Institutions shall report in {r010;c030] the aggregated own funds requirements derived from summing the own funds requirements for unsettled transactions by multiplying the “price difference” reported in column 020 by the appropriate factor based on the number of working days after due settlement date (categories referred to in Table 1 of Article 378 CRR).

020 to 060 
Institutions shall report in rows 020 to 060 the information about settlement/delivery risk for non-trading book positions in accordance with the categories referred to in Table 1 of Article 378 CRR.

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 shall report aggregated information about settlement/delivery risk for trading book positions (as referred to in point (c)(ii) of Article 92(3) and Article 378 CRR).

Institutions shall report in {r070;c010} the aggregated sum of unsettled transactions after their due delivery dates at the respective agreed settlement prices.

Institutions shall report in {r070;c020} the aggregated information for price difference exposure due to unsettled transactions at a loss.

Institutions shall report in {r070;c030} the aggregated own funds requirements derived from summing the own funds requirements for unsettled transactions by multiplying the “price difference” reported in column 020 by an appropriate factor based on the number of working days after due settlement date (categories referred to in Table 1 of Article 378 CRR).

080 to 120 
Institutions shall report in rows 080 to 120 the information about settlement/delivery risk for trading book positions in accordance with the categories referred to in Table 1 of Article 378 CRR.

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.  100. Where institution acts as originator, the information in this template shall be required for all securitisations for which a significant risk transfer is recognised. Where the institution acts as investor, all exposures shall be reported.
 101. The information to be reported shall be contingent on the role of the institution in the securitisation process. As such, specific reporting items shall be applicable for originators, sponsors and investors.
 102. This template shall gather joint information on both traditional and synthetic securitisations held in the banking book.
 3.7.2. 

Columns
0010 
Originator institutions shall report the outstanding amount at the reporting date of all current securitisation exposures originated in the securitisation transaction, irrespective of who holds the positions. As such, on-balance sheet securitisation exposures (e.g. bonds, subordinated loans) as well as off-balance sheet exposures and derivatives (e.g. subordinated credit lines, liquidity facilities, interest rate swaps, credit default swaps, etc.) that have been originated in the securitisation shall be reported.

In case of traditional securitisations where the originator does not hold any position, the originator shall not consider that securitisation in the reporting of this template. For that purpose, securitisation positions held by the originator shall include early amortisation provisions, as defined in Article 242(16) CRR, in a securitisation of revolving exposures.

0020-0040 
Articles 251 and 252 CRR.

Maturity mismatches shall not be taken into account in the adjusted value of the credit risk mitigation techniques involved in the securitisation structure.

0020 
The detailed calculation procedure of the volatility-adjusted value of the collateral (CVA) which shall be reported in this column is laid down in Article 223(2) CRR.

0030 
Following the general rule for “inflows” and “outflows”, the amounts reported under this column shall appear as “inflows” in the corresponding credit risk template (CR SA or CR IRB) and exposure class to which the reporting entity allocates the protection provider (i.e. the third party to which the tranche is transferred by means of unfunded credit protection).

The calculation procedure of the “foreign exchange risk”- adjusted nominal amount of the credit protection (G*) is laid down in Article 233(3) CRR.

0040 
All tranches which have been retained or bought back, e.g. retained first loss positions, shall be reported with their nominal amount.

The effect of supervisory haircuts in the credit protection shall not be taken into account when computing the retained or repurchased amount of credit protection.

0050 
This column shall include the exposure values of securitisation positions held by the reporting institution, calculated in accordance with paragraphs 1 and 2 of Article 248 CRR, without applying credit conversion factors, gross of value adjustments and provisions, and any non-refundable purchase price discounts on the securitised exposures as referred to in point (d) of Article 248(1) CRR, and gross of value adjustments and provisions on the securitisation position.

Netting shall only be relevant with respect to multiple derivative contracts provided to the same SSPE, covered by an eligible netting agreement.

In synthetic securitisations, the positions held by the originator in the form of on-balance sheet items and/or investor’s interest shall be the result of the aggregation of columns 0010 to 0040.

0060 
Article 248 CRR. Value adjustments and provisions to be reported in this column shall only refer to securitisation positions. Value adjustments of securitised exposures shall not be considered.

0070 
This column shall include the exposure values of securitisation positions calculated in accordance with paragraphs 1 and 2 of Article 248 CRR, net of value adjustments and provisions, without applying conversion factors and gross of any non-refundable purchase price discounts on the securitised exposures as referred to in point (d) of Article 248(1) CRR, and net of value adjustments and provisions on the securitisation position.

0080-0110 
Point (57) of Article 4(1) CRR, Chapter 4 of Title II of Part Three, CRR and Article 249 CRR

Institutions shall report in these columns information on credit risk mitigation techniques that reduce the credit risk of an exposure or exposures via the substitution of exposures (as indicated below for Inflows and Outflows).

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

Items to be reported here:


1.. collateral, incorporated in accordance with Article 222 CRR (Financial Collateral Simple Method);
2.. eligible unfunded credit protection.

0080 
Unfunded credit protection as defined in Article 4(1)(59), Articles 234 to 236 CRR.

0090 
Funded credit protection as defined in Article 4(1)(58) CRR, as referred to in the first subparagraph of Article 249(2) CRR and as regulated in Articles 195, 197 and 200 CRR.

Credit linked notes and on-balance sheet netting as referred to in Articles 218 and 219 CRR shall be treated as cash collateral.

0100-0110 
Inflows and outflows within the same exposure classes and, when relevant, risk weights or obligor grades shall be reported.

0100 
Article 222(3), paragraphs 1 and 2 of Article 235 and Article 236 CRR.

Outflows shall correspond to the covered part of the “Exposure net of value adjustments and provisions” that is deducted from the obligor’s exposure class and, where relevant, risk weight or obligor grade, and subsequently assigned to the protection provider’s exposure class and, where relevant, risk weight or obligor grade.

That amount shall be considered as an Inflow into the protection provider’s exposure class and, where relevant, risk weights or obligor grades.

0110 
Securitisation positions which are debt securities and are used as eligible financial collateral in accordance with Article 197(1) CRR and where the Financial Collateral Simple Method is used, shall be reported as inflows in this column.

0120 
This column shall include the exposures assigned in the corresponding risk weight and exposure class after taking into account outflows and inflows due to “Credit risk mitigation (CRM) techniques with substitution effects on the exposure”.

0130 
Articles 223 to 228 CRR

The reported amount shall also include credit linked notes (Article 218 CRR).

0140 
The exposure value of securitisation positions calculated in accordance with Article 248 CRR, but without applying the conversion factors laid down in point (b) of Article 248(1) CRR

0150 
Point (b) of Article 248(1) CRR

In this respect, point (56) of Article 4(1) CRR defines a conversion factor.

For reporting purposes, fully adjusted exposure values (E*) shall be reported for the 0 % conversion factor.

0160 
In accordance with point (d) of Article 248(1) CRR, an originator institution may deduct from the exposure value of a securitisation position which is assigned a 1 250 % risk weight any non-refundable purchase price discounts connected with such underlying exposures to the extent that such discounts have caused the reduction of own funds.

0170 
In accordance with point (d) of Article 248(1) CRR, an originator institution may deduct from the exposure value of a securitisation position, which is assigned a 1 250 % risk weight or is deducted from Common Equity Tier 1, the amount of the specific credit risk adjustments on the underlying exposures as determined in accordance with Article 110 CRR.

0180 
The exposure value of securitisation positions calculated in accordance with Article 248 CRR

0190 
In accordance with point (b) of Article 244(1), point (b) of Article 245(1) and Article 253(1) CRR, in case of a securitisation position to which a 1 250 % risk weight applies, institutions may, as an alternative to including the position in their calculation of risk-weighted exposure amounts, deduct from own funds the exposure value of the position.

0200 
Exposure value minus the exposure value deducted from own funds.

0210 
Point (a) of Article 254(1) CRR

0220-0260 
SEC-IRBA exposures broken down by risk-weight bands.

0270 
Article 255(4) CRR

For the purpose of this column, retail exposures shall be treated as purchased retail receivables and non-retail exposures as purchased corporate receivables.

0280 
Point (b) of Article 254(1) CRR

0290-0340 
SEC-SA exposures broken down by risk-weight bands.

For the RW = 1 250 % (W unknown), the fourth paragraph of point (b) of Article 261(2) CRR stipulates that the position in the securitisation shall be risk-weighted at 1 250 % where the institution does not know the delinquency status for more than 5 % of underlying exposures in the pool.

0350 
Point (c) of Article 254(1) CRR

0360-0570 
Article 263 CRR

SEC-ERBA Securitisation positions with an inferred rating as referred to in Article 254(2) CRR shall be reported as positions with a rating.

Exposure values subject to risk weights shall be broken down by short and long-term and credit quality steps (CQS) as laid down in Tables 1 and 2 of Article 263 and Tables 3 and 4 of Article 264 CRR.

0580-0630 
For each securitisation position, institutions shall consider one of the following options in columns 0580-0620.

0580 
Point (c) of Article 254(2) CRR

All auto loans, auto leases and equipment leases shall be reported in this column, even if they qualify for Article 254(2)(a) or (b) of CRR.

0590 
Article 254(3) CRR

0600 
Point (a) of Article 254(2) CRR

0610 
Point (b) of Article 254(2) CRR

0620 
Securitisation positions subject to SEC-ERBA, where the application of SEC-IRBA or SEC-SA has been precluded by the competent authorities in accordance with Articles 254(4) or 258(2) CRR

0630 
Securitisation positions where SEC-ERBA is applied by following the hierarchy of approaches laid down in Article 254(1) CRR

0640 
Article 254(5) CRR on the “Internal Assessment Approach” (IAA) for positions in ABCP programmes

0650-0690 
Internal Assessment Approach exposures broken down by risk-weight bands

0700 
Where none of the previous approaches is applied, a risk weight of 1 250 % shall be assigned to securitisation positions in accordance with Article 254(7) CRR.

0710-0860 
Total risk-weighted exposure amount calculated in accordance with Section 3 of Chapter 5 of Title II of Part Three CRR, prior to adjustments due to maturity mismatches or infringement of due diligence provisions, and excluding any risk weighted exposure amount corresponding to exposures redistributed via outflows to another template.

0840 
The exposure-weighted average risk weights of the securitisation positions shall be reported in this column.

0860 
For synthetic securitisations with maturity mismatches, the amount to be reported in this column shall ignore any maturity mismatch.

0870 
Maturity mismatches in synthetic securitisations RW*-RW(SP), as calculated in accordance with Article 252 CRR, shall be included, except in the case of tranches subject to a risk weighting of 1 250 % where the amount to be reported shall be zero. RW(SP) shall not only include the risk weighted exposure amounts reported under column 0650, but also the risk weighted exposure amounts corresponding to exposures redistributed via outflows to other templates.

0880 
In accordance with Article 270a CRR, whenever certain requirements are not met by the institution, competent authorities shall impose a proportionate additional risk weight of no less than 250 % of the risk weight (capped at 1 250 %) which would apply to the relevant securitisation positions under Section 3 of Chapter 5 of Title II of Part Three CRR.

0890 
Total risk-weighted exposure amount calculated in accordance with Section 3 of Chapter 5 of Title II of Part Three CRR, before applying the limits specified in Articles 267 and 268 CRR.

0900 
In accordance with Article 267 CRR, an institution which has knowledge at all times of the composition of the underlying exposures may assign the senior securitisation position a maximum risk weight equal to the exposure-weighted-average risk weight that would be applicable to the underlying exposures as if the underlying exposures had not been securitised.

0910 
In accordance with Article 268 CRR, an originator institution, a sponsor institution or other institution using the SEC-IRBA or an originator institution or sponsor institution using the SEC-SA or the SEC-ERBA may apply a maximum capital requirement for the securitisation position it holds equal to the capital requirements that would be calculated under Chapter 2 or 3 of Title II of Part Three in respect of the underlying exposures had they not been securitised.

0920 
Total risk-weighted exposure amount calculated in accordance with Section 3 of Chapter 5 of Title II of Part Three CRR, considering the total risk weight as specified in Article 247(6) CRR.

0930 
Risk weighted exposure amount stemming from exposures redistributed to the risk mitigant provider, and therefore computed in the corresponding template, that are considered in the computation of the cap for securitisation positions.


 103. The template is divided into three major blocks of rows which gather data on the originated/sponsored/retained or purchased exposures by originators, investors and sponsors. For each of them, the information shall be broken down by on-balance sheet items and off-balance sheet items and derivatives, as well as if it is subject to differentiated capital treatment or not.
 104. 

Rows
0010 
Total exposures refer to the total amount of outstanding securitisations and re-securitisations. This row summarises all the information reported by originators, sponsors and investors in subsequent rows.

0020 
Total amount of outstanding securitisation positions, as defined in point (62) of Article 4(1) CRR, which are not re-securitisations as defined in point (63) of Article 4(1) CRR.

0030 
Total amount of securitisation positions which fulfil the criteria of Article 243 or 270 CRR and therefore qualify for differentiated capital treatment.

0040 
Total amount of STS securitisation positions that meet the requirements set out in Article 243 CRR.

0050 
Total amount of senior securitisation positions in SMEs which meet the conditions set out in Article 270 CRR.

0060, 0120, 0170, 0240, 0290, 0360 and 0410 
Paragraphs 1, 4, 5 and 6 of Article 254 and Articles 259, 261, 263, 265, 266 and 269 CRR

Total amount of securitisation positions which do not qualify for differentiated capital treatment.

0070, 0190, 0310 and 0430 
Total amount of outstanding re-securitisations positions as defined in point (64) of Article 4(1) CRR.

0080 
This row summarises information on on-balance items and off-balance sheet items and derivatives of those securitisation and re-securitisation positions for which the institution plays the role of originator, as defined in point (13) of Article 4(1) CRR.

0090-0130, 0210-0250 and 0330-0370 
In accordance with point (a) of Article 248(1) CRR, the exposure value of an on-balance sheet securitisation position shall be its accounting value remaining after any relevant specific credit risk adjustments on the securitisation position have been applied in accordance with Article 110 CRR.

On-balance sheet items shall be broken down to capture information regarding application of differentiated capital treatment, as referred to in Article 243 CRR, in rows 0100 and 0120 and on the total amount of senior securitisation positions, as defined in Article 242(6) CRR, in rows 0110 and 0130.

0100, 0220 and 0340 
Total amount of securitisation positions which fulfil the criteria of Article 243 CRR and therefore qualify for differentiated capital treatment.

0110, 0130, 0160, 0180, 0230, 0250, 0280, 0300, 0350, 0370, 400 and 420 
Total amount of senior securitisation positions as defined in Article 242(6) CRR.

0140-0180, 0260-0300 and 0380-0420 
These rows shall gather information on off-balance sheet items and derivatives securitisation positions subject to a conversion factor under the securitisation framework. The exposure value of an off-balance sheet securitisation position shall be its nominal value, less any specific credit risk adjustment of that securitisation position, multiplied by a 100 % conversion factor unless otherwise specified.

Off-balance sheet securitisation positions arising from a derivative instrument listed in Annex II to the CRR, shall be determined in accordance with Chapter 6 of Title II of Part Three CRR. The exposure value for the counterparty credit risk of a derivative instrument listed in Annex II to the CRR shall be determined in accordance with Chapter 6 of Title II of Part Three CRR.

For liquidity facilities, credit facilities and servicer cash advances, institutions shall provide the undrawn amount.

For interest rate and currency swaps, the exposure value (calculated in accordance with Article 248(1) CRR) shall be provided.

Off-balance sheet items and derivatives shall be broken down to capture information regarding the application of differentiated capital treatment, as referred to in Article 270 CRR, in rows 0150 and 0170 and on the total amount of senior securitisation positions, as defined in Article 242(6) CRR, in rows 0160 and 0180. The same legal references as for rows 0100 to 0130 shall apply.

0150, 0270 and 0390 
Total amount of securitisation positions which fulfil the criteria of Article 243 or Article 270 CRR and therefore qualify for differentiated capital treatment.

0200 
This row summarises information on on-balance and off-balance sheet items and derivatives of those securitisation and re-securitisation positions for which the institution plays the role of an investor.

For the purposes of this template, an investor shall be understood as an institution that holds a securitisation position in a securitisation transaction for which it is neither originator nor sponsor.

0320 
This row summarises information on on-balance and off-balance sheet items and derivatives of those securitisation and re-securitisation positions for which the institution plays the role of a sponsor, as defined in point (14) of Article 4(1) CRR. If a sponsor is also securitising its own assets, it shall fill in the originator’s rows with the information regarding its own securitised assets.

0440-0670 
These rows gather information on outstanding positions (at reporting date) for which a credit quality step (as laid down in Tables 1 and 2 of Article 263 and Tables 3 and 4 of Article 264 CRR) was determined at origination date (inception). For securitisations positions treated under IAA, the CQS shall be the one at the time an IAA rating was first assigned. In the absence of this information, the earliest CQS-equivalent data available shall be reported.

These rows are only to be reported for columns 0180-0210, 0280, 0350-0640, 0700-0720, 0740, 0760-0830 and 0850.

 3.9.  3.9.1.  109. These templates gather information on a transaction basis (versus the aggregate information reported in CR SEC, MKR SA SEC, MKR SA CTP, CA1 and CA2 templates) on all securitisations the reporting institution is involved in. The main features of each securitisation, such as the nature of the underlying pool and the own funds requirements shall be reported.
 110. 

a.. Securitisations originated/sponsored by the reporting institution, including where it holds no position in the securitisation. In cases where institutions hold at least one position in the securitisation, regardless of whether there has been a significant risk transfer or not, institutions shall report information on all the positions they hold (either in the banking book or trading book). Positions held include those positions retained due to Article 6 of Regulation (EU) 2017/2402 and, where Article 43(6) of that Regulation applies, Article 405 CRR in the version applicable on 31 December 2018.
b.. Securitisations, the ultimate underlying of which are financial liabilities originally issued by the reporting institution and (partially) acquired by a securitisation vehicle. That underlying could include covered bonds or other liabilities and shall be identified as such in column 160.
c.. Positions held in securitisations where the reporting institution is neither originator nor sponsor (i.e. investors and original lenders).
 111. These templates shall be reported by consolidated groups and stand-alone institutions located in the same country where they are subject to own funds requirements. In case of securitisations involving more than one entity of the same consolidated group, the entity-by-entity detail breakdown shall be provided.
 112. Because of Article 5 of Regulation (EU) 2017/2402, which establishes that institutions investing in securitisation positions shall acquire a great deal of information on them in order to comply with due diligence requirements, the reporting scope of the template shall be applied to investors to a limited extent. In particular, they shall report columns 010-040; 070-110; 161; 190; 290-300; 310-470.
 113. 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.  113a. The SEC DETAILS consists of two templates. SEC DETAILS provides a general overview of the securitisations and SEC DETAILS 2 provides a breakdown of the same securitisations by approach applied.
 113b. Securitisation positions in the trading book shall only be reported in columns 005-020, 420, 430, 431, 432, 440 and 450-470. For columns 420, 430 and 440, institutions shall take into account the RW corresponding to the own funds requirement of the net position.
 3.9.3. 

Columns
005 
The row number is a row identifier and shall be unique for each row in the template. It shall follow the numerical order 1, 2, 3, etc.

010 
Internal (alpha-numerical) code used by the institution to identify the securitisation. The internal code shall be associated to the identifier of the securitisation transaction.

020 
Code used for the legal registration of the securitisation transaction or, if not available, the name by which the securitisation transaction is known in the market, or within the institution in case of an internal or private securitisation. Where the International Securities Identification Number -ISIN- is available (i.e. for public transactions), the characters that are common to all tranches of the securitisation shall be reported in this column.

021 
This column identifies whether the securitisation is an intra-group, private or public securitisation,

Institutions shall report one of the following abbreviations:


— “PRI” for Private
— “INT” for Intra-group
— “PUB” for Public.

110 
Institutions shall report the following abbreviations:


— “O” for Originator;
— “S” for Sponsor;
— “I” for Investor.
— “L” for Original Lender;

Originator as defined in point (13) of Article 4(1) CRR and Sponsor as defined in point (14) of Article 4(1) CRR. Investors are assumed to be those institutions to which Article 5 of Regulation (EU) 2017/2402 applies. In case Article 43(5) of Regulation (EU) 2017/2402 applies, Articles 406 and 407 CRR in the version applicable on 31 December 2018 shall apply.

030 
The LEI code applicable to the originator, or, if not available, the code given by the supervisory authority to the originator or, if that is not available, the name of the institution itself shall be reported in this column.

In the case of multi-seller securitisations where the reporting institution is involved as originator, sponsor or original lender, the reporting institution shall provide the identifier of all the entities within its consolidated group that are involved (as originator, sponsor or original lender) in the transaction. If the code is not available or is not known by the reporting institution, the name of the institution shall be reported.

In the case of multi-seller securitisations where the reporting institution holds a position in the securitisation as an investor, the reporting institution shall provide the identifier of all the different originators involved in the securitisation, or, if not available, the names of the different originators. Where the names are not known by the reporting institution, the reporting institution shall report that the securitisation is “multi-seller”.

040 
Institutions shall report the following abbreviations:


— “AP” for ABCP programme;
— “AT” for ABCP transaction;
— “T” for Traditional;
— “S” for Synthetic.

The definitions of “Asset Backed Commercial Paper Programme”, “Asset Backed Commercial Paper Transaction”, “traditional securitisation” and “synthetic securitisation” are provided in points (11) to (14) of Article 242 CRR.

051 
Institutions as originators, sponsors and original lenders shall report one of the following abbreviations:


— “K” if entirely recognised;
— “P” if partially derecognised;
— “R” if entirely derecognised;
— “N” if not applicable.

This column summarises the accounting treatment of the transaction. Significant risk transfer (SRT) under Articles 244 and 245 CRR shall not affect the accounting treatment of the transaction under the relevant accounting framework.

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

Option “P” (partially removed) shall be reported where the securitised assets are recognised in the balance sheet to the extent of the reporting entity’s continuing involvement in accordance with IFRS 9.3.2.16 – 3.2.21.

060 
Originators, only, shall report the following abbreviations:


— “N” not subject to own funds requirements;
— “B” banking book;
— “T” trading book;
— “A” partly in both books.

Articles 109, 244 and 245 CRR.

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

Where own funds requirements are based on securitised exposures (as no significant risk transfer was achieved) the calculation of own funds requirements for credit risk shall be reported in the CR SA template, for those securitised exposures for which the Standardised Approach is used, or in the CR IRB template for those securitised exposures for which the Internal Ratings Based Approach is used by the institution.

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

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

061 
Originators, only, shall report the following abbreviations:


— “N” Not applied for SRT and the reporting entity risk weights its securitised exposures
— “A” Achieved SRT under point (a) of Article 244(2) or point (a) of Article 245(2) CRR;
— “B” Achieved SRT under point (b) of Article 244(2) or point (b) of Article 245(2) CRR;
— “C” Achieved SRT under point (a) of Article 244(3) or point (a) of Article 245(3) CRR;
— “D” Applying a 1 250 % RW or deducting retained positions in accordance with point (b) of Article 244(1) or point (b) of Article 245(1) CRR.

This column summarises whether a significant transfer has been achieved and, if so, by which means. The achievement of SRT will determine the appropriate solvency treatment by the originator.

070 
In accordance with the definition of “securitisation” in point (61) of Article 4(1) CRR and the definition of “re-securitisation” in point (64) of Article 4(1)CRR, report the type of underlying using the following abbreviations:


— “S” for securitisation;
— “R” for re-securitisation.

075 
Article 18 of Regulation (EU) 2017/2402

Report one of the following abbreviations

YYesNNo

446 
Articles 243 and 270 CRR.

Institutions shall report one of the following abbreviations

YYesNNo

“Yes” shall be reported both in case of STS securitisations qualifying for the differentiated capital treatment in accordance with Article 243 CRR and in case of senior positions in (non-STS) SME securitisations eligible for this treatment in accordance with Article 270 CRR.

080-100 
Article 6 of the Regulation (EU) 2017/2402. In case Article 43(6) of Regulation (EU) 2017/2402 applies, Article 405 CRR in the version applicable on 31 December 2018,

080 
For each securitisation scheme originated, the relevant type of retention of net economic interest as envisaged in Article 6 of Regulation (EU) 2017/2402 shall be reported:


A – Vertical slice (securitisation positions): “retention of no less than 5 % of the nominal value of each of the tranches sold or transferred to the investors”.
V – Vertical slice (securitised exposures): retention of no less than 5 % of the credit risk of each of the securitised exposures, if the credit risk thus retained with respect to such securitised exposures always ranks pari passu with, or is subordinated to, the credit risk that has been securitised with respect to those same exposures.
B – Revolving exposures: “in the case of securitisations of revolving exposures, retention of the originator’s interest of no less than 5 % of the nominal value of the securitised exposures”.
C – On-balance sheet: “retention of randomly selected exposures, equivalent to no less than 5 % of the nominal amount of the securitised exposures, where such exposures would otherwise have been securitised in the securitisation, provided that the number of potentially securitised exposures is no less than 100 at origination”.
D – First loss: “retention of the first loss tranche and, if necessary, other tranches having the same or a more severe risk profile than those transferred or sold to investors and not maturing any earlier than those transferred or sold to investors, so that the retention equals in total no less than 5 % of the nominal value of the securitised exposures”.
E – Exempted. This code shall be reported for those securitisations affected by the application of Article 6(6) of Regulation (EU) 2017/2402.
U – In breach or unknown. This code shall be reported where the reporting institution does not know with certainty which type of retention is being applied, or in case of non-compliance.

090 
The retention of material net economic interest by the originator, sponsor or original lender of the securitisation shall be not less than 5 % (at origination date).

This column shall not be reported where codes “E” (exempted) or “N” (not applicable) are reported under column 080 (Type of retention applied).

100 
Institutions shall report the following abbreviations:

YYes;NNo.

This column shall not be reported where code “E” (exempted) is reported under column 080 (Type of retention applied).

120-130 
Because of the special character of ABCP programmes resulting from the fact that they comprise several single securitisation positions, ABCP programmes (as defined in Article 242(11) CRR) shall be exempted from reporting in columns 120, 121 and 130.

120 
The month and year of the origination date (i.e. cut-off or closing date of the pool) of the securitisation shall be reported in the following format: “mm/yyyy”.

For each securitisation scheme, the origination date cannot change between reporting dates. In the particular case of securitisation schemes backed by open pools, the origination date shall be the date of the first issuance of securities.

This piece of information shall be reported even where the reporting entity does not hold any positions in the securitisation.

121 
The month and year of the date of the latest issuance of securities in the securitisation shall be reported in the following format: “mm/yyyy”.

Regulation (EU) 2017/2402 only applies to securitisations the securities of which are issued on or after 1 January 2019. The date of the latest issuance of securities determines whether each securitisation scheme falls under the scope of Regulation (EU) 2017/2402.

This information shall be reported even where the reporting entity does not hold any positions in the securitisation.

130 
This column gathers the amount (calculated on the basis of original exposures pre-conversion factors) of the securitised portfolio at the origination date.

For securitisation schemes backed by open pools, the amount referring to the origination date of the first issuance of securities shall be reported. For traditional securitisations, no other assets of the securitisation pool shall be included. For multi-seller securitisation schemes (i.e. with more than one originator), only the amount corresponding to the reporting entity’s contribution in the securitised portfolio shall be reported. For securitisations of liabilities, only the amounts issued by the reporting entity shall be reported.

This information shall be reported even where the reporting entity does not hold any positions in the securitisation.

140-225 
Columns 140 to 225 request information on several features of the securitised portfolio by the reporting entity.

140 
Institutions shall report the value of the securitised portfolio at reporting date, i.e. the outstanding amount of the securitised exposures. In the case of traditional securitisations, no other assets of the securitisation pool shall be included. In the case of multi-seller securitisation schemes (i.e. with more than one originator), only the amount corresponding to the reporting entity’s contribution in the securitised portfolio shall be reported. In the case of securitisation schemes backed by closed pools (i.e. the portfolio of securitised assets cannot be enlarged after the origination date), the amount will progressively be reduced.

This information shall be reported even where the reporting entity does not hold any positions in the securitisation.

150 
Institution’s share (percentage with two decimals) at reporting date in the securitised portfolio. The figure to be reported in this column is, by default, 100 %, except for multi-seller securitisation schemes. In that case, the reporting entity shall report its current contribution to the securitised portfolio (equivalent to column 140 in relative terms).

This information shall be reported even where the reporting entity does not hold any positions in the securitisation.

160 
This column gathers information on the type of assets (“Residential mortgages” to “Other wholesale exposures”) or liabilities (“Covered bonds” and “Other liabilities”) of the securitised portfolio. The institution shall report one of the following options, considering the highest EAD:

Retail:


 Residential mortgages;
 Credit card receivables;
 Consumer loans;
 Loans to SMEs (treated as retail);
 Other retail exposures.

Wholesale:


 Commercial mortgages;
 Leasing;
 Loans to corporates;
 Loans to SMEs (treated as corporates);
 Trade receivables;
 Other wholesale exposures.

Liabilites:


 Covered bonds;
 Other liabilities.

Where the pool of securitised exposures is a mix of the types listed above, the institution shall indicate the most important type. In case of re-securitisations, the institution shall refer to the ultimate underlying pool of assets. Type “Other liabilities” includes treasury bonds and credit linked notes.

For securitisation schemes backed by closed pools the type cannot change between reporting dates.

171 
This column gathers information on the approach(es) that at the reporting date the institution would apply to the securitised exposures.

Institutions shall report the percentage of the securitised exposures, measured by exposure value, to which the Internal Ratings Based Approach applies at the reporting date.

This information shall be reported even where the reporting entity does not hold any positions in the securitisation. This column shall, however, not apply to securitisations of liabilities.

180 
Article 259(4) CRR.

This column shall be compulsory for those institutions using the SEC-IRBA approach to the securitisation positions (and, therefore, reporting more than 95 % in column 171). The institution shall report the effective number of exposures.

This column shall not be reported in case of a securitisation of liabilities or where the own funds requirements are based on the securitised exposures (in case of a securitisation of assets). This column shall not be reported where the reporting institution does not hold any positions in the securitisation. This column shall not be reported by investors.

181 
Article 261(2) CRR.

Even where the institution is not applying the SEC-SA approach to the securitisation positions, the institution shall report the “W” factor (relating to the underlying exposures in default) which is to be calculated as indicated in Article 261(2) CRR.

190 
Institutions shall report the code (ISO 3166-1 alpha-2) of the country of origin of the ultimate underlying of the transaction, i.e. the country of the immediate obligor of the original securitised exposures (look through). Where the pool of the securitisation consists of different countries, the institution shall indicate the most important country. Where no country exceeds a 20 % threshold based on the amount of assets/liabilities, then “other countries” shall be reported.

201 
The exposure-weighted average loss-given-default (LGD) shall only be reported by those institutions applying the SEC-IRBA (and, therefore, reporting 95 % or more in column 170). The LGD is to be calculated as indicated in Article 259(5) CRR.

This column shall not be reported in case of a securitisation of liabilities or where the own funds requirements are based on the securitised exposures (in case of a securitisation of assets).

202 
The exposure-weighted average expected loss (EL) of the securitised assets shall only be reported by those institutions applying the SEC-IRBA (and, therefore, reporting 95 % or more in column 171). In the case of SA securitised assets, the EL reported shall be the specific credit risk adjustments as referred to in Article 111 CRR. The EL shall be calculated as indicated in Section 3, Chapter 3 of Title II, Part Three CRR. This column shall not be reported in case of securitisation of liabilities or where the own funds requirements are based on the securitised exposures (in case of a securitisation of assets).

203 
The exposure-weighted average unexpected loss (UL) of the securitised assets shall only be reported by those institutions applying the SEC-IRBA (and, therefore, reporting 95 % or more in column 170). The UL of assets equals the risk-weighted exposure amount (RWEA) times 8 %. RWEA shall be calculated as indicated in Section 2, Chapter 3 of Title II, Part Three CRR. This column shall not be reported in case of securitisation of liabilities or where the own funds requirements are based on the securitised exposures (in the case of a securitisation of assets).

204 
The exposure-weighted average maturity (WAM) of the securitised assets at the reporting date shall be reported by all institutions regardless of the approach used for calculating capital requirements. Institutions shall calculate the maturity of each asset as indicated in points (a) and (f) of Article 162(2) CRR, without applying the 5 year cap.

210 
Value adjustments and provisions (Article 159 CRR) for credit losses made in accordance with the accounting framework to which the reporting entity is subject. Value adjustments shall include any amount recognised in profit or loss for credit losses of financial assets since their initial recognition in the balance sheet (including losses due to credit risk of financial assets measured at fair value that shall not be deducted from the exposure value) plus the discounts on assets purchased when in default as referred to in Article 166(1) CRR. Provisions shall include accumulated amounts of credit losses in off-balance sheet items.

This column gathers information on the value adjustments and provisions applied to the securitised exposures. This column shall not be reported in the case of a securitisation of liabilities.

This information shall be reported even where the reporting entity does not hold any positions in the securitisation.

221 
This column shall only be reported by those institutions applying the SEC-IRBA (and, therefore, reporting 95 % or more in column 171) and gathers information on KIRB, as referred to in Article 255 CRR. KIRB shall be expressed as a percentage (with two decimals).

This column shall not be reported in case of a securitisation of liabilities. In case of a securitisation of assets, this information shall be reported even where the reporting entity does not hold any positions in the securitisation.

222 
IRB pools as defined in Article 242(7) CRR, provided that the institution is able to calculate KIRB in accordance with Section 3 of Chapter 6 of Title II of Part Three CRR on a minimum of 95 % of the underlying exposure amount (Article 259(2) CRR)

223 
Even where the institution does not apply the SEC-SA approach to the securitisation positions, the institution shall report this column. This column gathers information on KSA, as referred to in Article 255(6) CRR. KSA shall be expressed as a percentage (with two decimals).

This column shall not be reported in case of a securitisation of liabilities. In case of a securitisation of assets, this information shall be reported even where the reporting entity does not hold any positions in the securitisation.

225 
225 
Article 110 CRR

230-304 
This block of columns gathers information on the structure of the securitisation on the basis of on/off balance sheet positions, tranches (senior/mezzanine/first loss) and maturity at reporting date.

For multi-seller securitisations, only the amount corresponding or attributed to the reporting institution shall be reported.

230-252 
This block of columns gathers information on on-balance sheet items broken down by tranches (senior/mezzanine/first loss).

230-232 
230 
The amount of senior securitisation positions as defined in Article 242(6) CRR.

231 
The attachment point (%) as referred to in Article 256(1) CRR

232 and 252 
Credit quality steps (CQS) as envisaged for institutions applying SEC-ERBA (Table 1 and 2 in Article 263 and Tables 3 and 4 in Article 264 CRR). These columns shall be reported for all rated transactions irrespective of the approach applied.

240-242 
240 
The amount to be reported includes:


— mezzanine securitisation positions as defined in Article 242(18) CRR;
— additional securitisation positions which are not those positions that are defined in Article 242(6), (17) or (18) CRR.

241 
Number of mezzanine tranches.

242 
CQS, as determined in accordance with Table 2 of Article 263 and Table 3 of Article 264 CRR, of the most subordinated mezzanine tranche.

250-252 
250 
The amount of first loss tranche as defined in Article 242(17) CRR

251 
The detachment point (%) as referred to in Article 256(2) CRR

260-280 
This block of columns gathers information on off-balance sheet items and derivatives broken down by tranches (senior/mezzanine/first loss).

The same criteria of classification among tranches used for on-balance sheet items shall be applied here.

290-300 
290 
The likely termination date of the whole securitisation in the light of its contractual clauses and the currently expected financial conditions. Generally, it would be the earliest of the following dates:


((i)) the date when a clean-up call option (as defined in Article 242(1) CRR) might first be exercised, taking into account the maturity of the underlying exposure(s) as well as their expected pre-payment rate or potential re-negotiation activities;
((ii)) the date on which the originator may first exercise any other call option embedded in the contractual clauses of the securitisation which would result in the total redemption of the securitisation.

The day, month and year of the first expected termination date shall be reported. The exact day shall be reported where that information is available, otherwise the first day of the month shall be reported.

291 
Type of call relevant for the first expected termination date:


— Clean-up call option meeting the requirements of point (g) of Article 244(4) CRR;
— Other clean-up call option;
— Other type of call option.

300 
The date upon which all principal and interest of the securitisation must be legally repaid (based on the transaction documentation).

The day, month and year of the legal final maturity date shall be reported. The exact day shall be reported where that information is available, otherwise the first day of the month shall be reported.

302-304 
302 
Originators, only, shall report the attachment point of the most subordinated tranche sold to, for traditional securitisations, or protected by, for synthetic securitisations, third parties.

303 
Originators, only, shall report the detachment point of the most senior tranche sold to, fortraditional securitisations, or protected by, for synthetic securitisations, third parties.

304 
Originators, only, shall report the Expected Loss (EL) plus the Unexpected loss (UL) of the securitised assets transferred to third parties as a percentage of the total EL plus UL. The EL and UL of the underlying exposures shall be reported, which shall then be allocated via the securitisation waterfall to the respective tranches of the securitisation. For SA banks, EL shall be the specific credit risk adjustment of the securitised assets and the UL shall be the capital requirement of the securitised exposures.

 3.9.4.  113c. 

1)) SEC-IRBA;
2)) SEC-SA;
3)) SEC-ERBA;
4)) 1 250 %.

Columns
005 
The row number is a row identifier and shall be unique for each row in the template. It shall follow the numerical order 1, 2, 3, etc.

010 
Internal (alpha-numerical) code used by the institution to identify the securitisation. The internal code shall be associated to the identifier of the securitisation transaction.

020 
Code used for the legal registration of the securitisation position, or transaction in case of several positions that can be reported in the same row, or, if not available, the name by which the securitisation position or transaction is known in the market, or within the institution in the case of an internal or private securitisation. Where the International Securities Identification Number -ISIN- is available (i.e. for public transactions), the characters that are common to all tranches of the securitisation shall be reported in this column.

310-400 
This block of columns gathers information on the securitisation positions broken down by on/off balance sheet positions and the tranches (senior/mezzanine/first loss) at reporting date.

310-330 
The same criteria of classification among tranches used for columns 230, 240 and 250 shall be applied here.

340-361 
The same criteria of classification among tranches used for columns 260 to 280 shall be applied here.

351 and 361 
% RW of the eligible guarantor or % RW of the corresponding instrument that provides credit protection in accordance with Article 249 CRR.

370-400 
This block of columns gathers additional information on the total off-balance sheet items and derivatives (which are already reported under a different breakdown in columns 340-361).

370 
This column applies to those securitisation positions held by the originator and guaranteed with direct credit substitutes (DCS).

In accordance with Annex I to CRR, the following full risk off-balance sheet items shall be regarded as DCS:


— Guarantees having the character of credit substitutes.
— Irrevocable standby letters of credit having the character of credit substitutes.

380 
IRS stands for Interest Rate Swaps, whereas CRS stands for Currency Rate Swaps. Those derivatives are listed in Annex II to the CRR.

390 
Liquidity facilities (LF) as defined in Article 242(3) CRR.

400 
Remaining off-balance sheet items.

411 
This information is closely related to column 0180 in the CR SEC template.

420 
This information is closely related to column 0190 in the CR SEC template.

A negative figure shall be reported in this column.

430 
This column gathers information on the risk weighted exposure amount before cap applicable to the securitisation positions (i.e. for securitisation schemes with significant risk transfer). For securitisation schemes without significant risk transfer (i.e. risk weighted exposure amount determined on the basis of securitised exposures), no data shall be reported in this column.

In the case of securitisations of liabilities, this column shall not be reported.

In the case of securitisations in the trading book, the RWEA concerning the specific risk shall be reported. See column 570 of MKR SA SEC, or columns 410 and 420 (the relevant for the own funds requirement) of MKR SA CTP, respectively.

431 
Article 267 CRR

432 
Article 268 CRR

440 
This column gathers information on the risk weighted exposure amount after caps applicable to the securitisation positions (i.e. for securitisation schemes with significant risk transfer). For securitisation schemes without significant risk transfer (i.e. own funds requirements determined on the basis of securitised exposures) no data shall be reported in this column.

In the case of securitisations of liabilities, this column shall not be reported.

In the case of securitisations in the trading book, the RWEA concerning the specific risk shall be reported. See column 600 of MKR SA SEC, or column 450 of MKR SA CTP, respectively.

447-448 
447 
Articles 263 and 264 CRR. This column shall only be reported for rated transactions before cap and it shall not be reported for transactions under SEC-ERBA.

448 
Articles 261 and 262 CRR. This column shall be reported before cap and it shall not be reported for transactions under SEC-SA.

450-470 
450 
Institutions shall report the following abbreviations:

C – Correlation Trading Portfolio (CTP);

N – Non-CTP

460-470 
See columns 050/060 of MKR SA SEC or MKR SA CTP, respectively.

 4.  4.1.  4.1.1.  114. This template provides information on the calculation of own funds requirements in accordance with Articles 312 to 324 CRR for Operational Risk under the Basic Indicator Approach (BIA), the Standardised Approach (TSA), the Alternative Standardised Approach (ASA) and the Advanced Measurement Approaches (AMA). An institution cannot apply TSA and ASA for the business lines retail banking and commercial banking at the same time at solo level.
 115. Institutions using the BIA, TSA or ASA shall calculate their own funds requirement, based on the information at financial year-end. Where audited figures are not available, institutions may use business estimates. Where audited figures are used, institutions shall report the audited figures which are expected to remain unchanged. Deviations from this “unchanged” principle are possible, for instance if during that period the exceptional circumstances, such as recent acquisitions or disposals of entities or activities, are met.
 116. Where an institution can justify its competent authority that – due to exceptional circumstances such as a merger or a disposal of entities or activities – using a three year average to calculating the relevant indicator would lead to a biased estimation for the own funds requirement for operational risk, the competent authority may permit the institution to modify the calculation in a way that would take into account such events. The competent authority may also on its own initiative require an institution to modify the calculation. An institution that has been in operation for less than three years may use forward looking business estimates in calculating the relevant indicator, provided that it starts using historical data as soon as those data are available.
 117. 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. Where applicable, it must be detailed which part of that amount is due to an allocation mechanism. Regarding AMA, memorandum items are added to present a detail of the effect of the expected loss, diversification and mitigation techniques on own funds requirement for operational risk.
 118. By rows, information is presented by method of calculation of the operational risk own funds requirement detailing business lines for TSA and ASA.
 119. 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) shall report the relevant indicator for the respective years in columns 010 to 030. Moreover, in case of a combined use of different approaches as referred in Article 314 CRR, institutions shall also report, for information purposes, relevant the indicator for the activities subject to AMA. The same shall apply for all other AMA banks.

Hereafter, the term “relevant indicator” refers to “the sum of the elements” at the end of the financial year as referred to in point 1 in Table 1 of Article 316 CRR.

Where the institution has less than 3 years of data on “relevant indicator” available, the available historical data (audited figures) shall be assigned by priority to the corresponding columns in the template. Where, for instance, historical data for only one year is available, those data shall be reported in column 030. Where it seems reasonable, the forward looking estimates shall be included in column 020 (estimate of next year) and column 010 (estimate of year +2).

Furthermore, where 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, as referred to in point (b) of Article 319(1) CRR, for business lines “commercial banking” and “retail banking”. Those amounts shall be used to calculate the alternative relevant indicator that leads to the own funds requirements corresponding to the activities subject to the alternative standard approach (point (a) of Article 319(1) CRR).

For the “commercial banking” business line, securities held in the non-trading book shall also be included.

070 
The own fund requirement shall be calculated in accordance with the approaches used and in accordance withArticles 312 to 324 CRR The resulting amount shall be reported in column 070.

071 
Article 92(4) CRR

Own funds requirements in column 070 multiplied by 12,5.

080 
Where a permission to use the AMA at consolidated level (Article 18(1) CRR) has been granted in accordance with Article 312(2) CRR, operational risk capital shall be allocated between the different entities of the group on the basis of the methodology applied by the institutions to consider diversification effects in the risk measurement system used by a EU parent credit institution and its subsidiaries or jointly by the subsidiaries of an EU parent financial holding company or an EU parent mixed financial holding company. The result of that allocation shall be reported in this column.

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 point (a) of Article 322(2) CRR) shall reported.

110 
The diversification effect in column 110 shall be the difference between the sum of own funds requirements calculated separately for each operational risk class (i.e. a “perfect dependence” situation) and the diversified own funds requirement calculated by taking into account correlations and dependencies (i.e. assuming less than “perfect dependence” between the risk classes). The “perfect dependence” situation occurs in the “default case”, that is where the institution does not use explicit correlations structure between the risk classes, hence the AMA capital is calculated as the sum of the individual operational risk measures of the chosen risk classes. In that case, the correlation between the risk classes is assumed to be 100 % and the value in the column has to be set to zero. Conversely, where the institution calculates an explicit correlations structure between risk classes, it has to include in this column the difference between the AMA capital as stemming from the “default case” and the AMA capital obtained after applying the correlations structure between the risk classes. The value reflects the “diversification capacity” of the AMA model, that is the ability of the model to capture the not simultaneous occurrence of severe operational risk loss events. In column 110, the amount by which the assumed correlation structure decreases the AMA capital relative to the assumption of 100 % correlation has to be reported.

120 
In column 120 the impact of insurance and other risk transfer mechanisms as referred to in Article 323 CRR shall be 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 CRR).

020 
The own funds requirement calculated in accordance with the TSA and ASA (Articles 317, 318 and 319 CRR) shall be reported.

030-100 
Where the TSA is used, the relevant indicator for each respective year shall be distributed in rows 030 to 100 amongst the business lines referred to in Table 2 of Article 317 CRR. The mapping of activities into business lines shall follow the principles described in Article 318 CRR.

110-120 
Institutions using the ASA (Article 319 CRR) shall report for the respective years the relevant indicator separately for each business line in rows 030 to 050 and 080 to 100 and in rows 110 and 120 for business lines “commercial banking” and “retail banking”.

Rows 110 and 120 shall present the amount of the relevant indicator of activities subject to ASA, distinguishing between the amount corresponding to the business line “commercial banking” and the amounts corresponding to the business line “retail banking” (Article 319 CRR). There can be amounts for the rows corresponding to “commercial banking” and “retail banking” under the TSA (rows 060 and 070) as well as under the ASA rows 110 and 120 (e.g. if a subsidiary is subject to TSA whereas the parent entity is subject to ASA).

130 
The relevant data for AMA institutions (Article 312(2) and Articles 321, 322 and 323 CRR) shall be reported.

Where different approaches are combined as indicated in Article 314 CRR, information on relevant indicator for activities subject to AMA shall be reported. The same shall apply for all other AMA banks.

 4.2.  4.2.1.  120. Template C 17.01 (OPR DETAILS 1) summarises the information on the gross losses and loss recoveries registered by an institution in the last year by event types and business lines. Template C 17.02 (OPR DETAILS 2) provides detailed information on the largest loss events in the most recent year.
 121. Operational risk losses that are related to credit risk and are subject to own funds requirements for credit risk (boundary credit-related operational risk events) are neither considered in template C 17.01 nor template C 17.02.
 122. In case of a combined use of different approaches for the calculation of own funds requirements for operational risk in accordance with Article 314 CRR, losses and recoveries registered by an institution shall be reported in C 17.01 and C 17.02, irrespective of the approach applied to calculate own funds requirements.
 123. “Gross loss” means a loss – as referred to in point (b) of Article 322(3) CRR – stemming from an operational risk event or loss event type before recoveries of any kind, without prejudice to “rapidly recovered loss events” as defined below.
 124. “Recovery” means an independent occurrence related to the original operational risk loss that is separate in time, in which funds or inflows of economic benefits are received from first or third parties, such as insurers or other parties. Recoveries are broken down into recoveries from insurance and other risk transfer mechanisms and direct recoveries.
 125. “Rapidly recovered loss events” means operational risk events that lead to losses that are partly or fully recovered within five working days. In case of a rapidly recovered loss event, only the part of the loss that is not fully recovered (i.e. the loss net of the partial rapid recovery) shall be included into the gross loss definition. As a consequence, loss events that lead to losses that are fully recovered within five working days shall not be included into the gross loss definition, and neither into the OPR DETAILS reporting.
 126. “Date of accounting” means the date when a loss or reserve/provision was first recognised in the Profit and Loss statement, against an operational risk loss. Those date logically follow the “Date of occurrence” (i.e. the date when the operational risk event happened or first began) and the “Date of discovery” (i.e. the date on which the institution became aware of the operational risk event).
 127. Losses caused by a common operational risk event or by multiple events linked to an initial operational risk event generating events or losses (“root-event”) are grouped. The grouped events shall be considered and reported as one event, and thus the related gross loss amounts, respectively amounts of loss adjustments, shall be summed up.
 128. The figures reported in June of the respective year shall be interim figures, while the final figures shall be reported in December. Therefore, the figures in June shall have a six-month reference period (i.e. from 1 January to 30 June of the calendar year) while the figures in December shall have a twelve-month reference period (i.e. from 1 January to 31 December of the calendar year). Both for data reported in June and December, “previous reporting reference periods” shall mean all reporting reference periods until and including the one ending at the preceding calendar year end.
 129. In order to verify compliance with the criterion laid down in point (i) of Article 5(b)(2)(b) of this Implementing Regulation, an institution shall use the latest statistics as available in the Supervisory Disclosure webpage of EBA to get “the sum of individual balance sheet totals of all institutions within the same Member State”. In order to verify the criterion laid down in point (iii) of Article 5(b)2(b) of this Implementing Regulation, the gross domestic product at market prices as defined in point 8.89 of Annex A to Regulation (EU) No 549/2013 of the European Parliament and of the Council (ESA 2010) and published by Eurostat for the previous calendar year shall be used.
 4.2.2.  4.2.2.1.  130. In template C 17.01, the information shall be presented by distributing the losses and recoveries above internal thresholds amongst business lines (as listed in Table 2 of Article 317 CRR, including the additional business line “corporate items” referred to in point (b) of Article 322(3) CRR) and loss event types (as referred to in in Article 324 CRR). It is possible that the losses corresponding to one loss event are distributed amongst several business lines.
 131. Columns present the different loss event types and the totals for each business line, together with a memorandum item that shows the lowest internal threshold applied in the data collection of losses, revealing within each business line the lowest and the highest threshold where there is more than one threshold.
 132. Rows present the business lines, and within each business line, information on the number of loss events (new loss events), the gross loss amount (new loss events), the number of loss events subject to loss adjustments, the loss adjustments relating to previous reporting periods, the maximum single loss, the sum of the five largest losses and the total loss recoveries (direct loss recoveries as well as recoveries from insurance and other risk transfer mechanisms).
 133. For the total business lines, data on the number of loss events and the gross loss amount shall also be reported for certain ranges based on set thresholds, that is 10 000, 20 000, 100 000, and 1 000 000. The thresholds are set in EUR and are included for comparability purposes of the reported losses among institutions. Those thresholds do therefore not necessarily relate to the minimum loss thresholds used for the internal loss data collection, to be reported in another section of the template.
 4.2.2.2. 

Columns
0010-0070 
Institutions shall report the losses in the respective columns 010 to 070 in accordance with the loss event types referred to in Article 324 CRR.

Institutions that calculate their own funds requirement in accordance with the BIA may report those losses for which the loss event type is not identified in column 080 only.

0080 
In column 080, for each business line, institutions shall report the total “number of loss events (new loss events)”, the total of “gross loss amount (new loss events)”, the total “number of loss events subject to loss adjustments”, the total of “loss adjustments relating to previous reporting periods”, the “maximum single loss”, the “sum of the five largest losses”, the total of “total direct loss recovery” and the total of “total recovery from insurance and other risk transfer mechanisms”.

Provided that the institution has identified the loss event types for all losses, column 080 shall show the simple aggregation of the number of loss events, the total gross loss amounts, the total loss recovery amounts and the “loss adjustments relating to previous reporting periods” reported in columns 010 to 070.

The “maximum single loss” reported in column 080 shall be the maximum single loss within a business line and identical to the maximum of the “maximum single losses” reported in columns 010 to 070, provided that the institution has identified the loss event types for all losses.

For the sum of the five largest losses, in column 080 the sum of the five largest losses within one business line shall be reported.

0090-0100 
Institutions shall report in columns 090 and 100 the minimum loss thresholds they are using for the internal loss data collection in accordance with the last sentence of point (c) of Article 322(3) CRR.

Where the institution applies only one threshold for in each business line, only column 090 shall be filled in.

Where there are different thresholds applied within the same regulatory business line, the highest applicable threshold (column 100) shall be filled in as well.



Rows
0010-0880 
For each business line referred to in Table 2 of Article 317(4) CRR, including the additional business line “Corporate items” as referred to in point (b) of Article 322(3) CRR, and for each loss event type, the institution shall report, in accordance with the internal thresholds, the following information: number of loss events (new loss events), gross loss amount (new loss events), the number of loss events subject to loss adjustments, loss adjustments relating to previous reporting periods, maximum single loss, sum of the five largest losses, total direct loss recovery and the total recovery from insurance and other risk transfer mechanisms.

For a loss event that affects more than one business line the “gross loss amount” shall be distributed amongst all the affected business lines.

Institutions that calculate their own funds requirement in accordance with the BIA can report those losses for which the business line is not identified in rows 910-980 only.

0010, 0110, 0210, 0310, 0410, 0510, 0610, 0710, 0810 
The number of loss events is the number of loss events for which gross losses were accounted for within the reporting reference period.

The number of loss events shall refer to “new events”, i.e. operational risk events:


((i)) “accounted for the first time” within the reporting reference period; or
((ii)) “accounted for the first time” within a previous reporting reference period, where the loss event was not included in any previous supervisory report, e.g. because it was identified as operational risk loss event only in the current reporting reference period or because the accumulated loss attributable to that loss event (i.e. the original loss plus/minus all loss adjustments made in previous reporting reference periods) exceeded the internal data collection threshold only in the current reporting reference period.

“New loss events” do not include loss events “accounted for the first time” within a previous reporting reference period, which were already included in previous supervisory reports.

0020, 0120, 0220, 0320, 0420, 0520, 0620, 0720, 0820 
The gross loss amount shall be the gross loss amounts pertinent to operational risk loss events (e.g. direct charges, provisions, settlements). All losses related to a single loss event which are accounted for within the reporting reference period shall be summed up and considered as the gross loss for that loss event for that reporting reference period.

The reported gross loss amount shall refer to “new loss events” as referred to in the row above of this table. For loss events “accounted for the first time” within a previous reporting reference period which were not included in any previous supervisory report, the total loss accumulated until the reporting reference date (i.e. the original loss plus/minus all loss adjustments made in previous reporting reference periods) shall be reported as the gross loss at the reporting reference date.

The amounts to be reported shall not take into account obtained recoveries.

0030, 0130, 0230, 0330, 0430, 0530, 0630, 0730, 0830 
The number of loss events subject to loss adjustments shall be the number of operational risk loss events “accounted for the first time” in previous reporting reference periods and already included in previous reports, for which loss adjustments were made in the current reporting reference period.

Where more than one loss adjustment was made for a loss event within the reporting reference period, the sum of those loss adjustments shall be counted as one adjustment in the period.

0040, 0140, 0240, 0340, 0440, 0540, 0640, 0740, 0840 
Loss adjustments relating to previous reporting reference periods shall the sum of the following elements (positive or negative):


((i)) the gross loss amounts pertinent to positive loss adjustments made within the reporting reference period (e.g. increase of provisions, linked loss events, additional settlements) of operational risk events “accounted for the first time” and reported in previous reporting reference periods;
((ii)) the gross loss amounts pertinent to negative loss adjustments made within the reporting reference period (e.g. due to decrease of provisions) of operational risk loss events “accounted for the first time” and reported in previous reporting reference periods.

 Where more than one loss adjustment was made for a loss event within the reporting reference period, the amounts of all those loss adjustments shall be summed up, taking into account the sign of the adjustments (positive, negative). That sum shall be considered as the loss adjustment for that loss event for that reporting reference period.Where, due to a negative loss adjustment, the adjusted loss amount attributable to a loss event falls below the internal data collection threshold of the institution, the institution shall report the total loss amount for that loss event accumulated until the last time when the event was reported for a December reference date (i.e. the original loss plus/minus all loss adjustments made in previous reporting reference periods) with a negative sign instead of the amount of the negative loss adjustment itself.The amounts to be reported shall not take into account obtained recoveries.
0050, 0150, 0250, 0350, 0450, 0550, 0650, 0750, 0850 
The maximum single loss is the larger of:


((i)) the largest gross loss amount related to a loss event reported for the first time within the reporting reference period; and
((ii)) the largest positive loss adjustment amount (as referred to in rows 0040, 0140, …, 0840 above) related to a loss event reported for the first time within a previous reporting reference period.

The amounts to be reported shall not take into account obtained recoveries.

0060, 0160, 0260, 0360, 0460, 0560, 0660, 0760, 0860 
The sum of the five largest losses shall be the sum of the five largest amounts amongst:


((i)) the gross loss amounts for loss events reported for the first time within the reporting reference period; and
((ii)) the positive loss adjustment amounts (as defined for rows 0040, 0140, …, 0840 above) relating to loss events reported for the first time within a previous reporting reference period. The amount which can qualify as one of the five largest ones shall be the amount of the loss adjustment itself, not the total loss associated with the respective loss event before or after the loss adjustment.

The amounts to be reported shall not take into account obtained recoveries.

0070, 0170, 0270, 0370, 0470, 0570, 0670, 0770, 0870 
Direct loss recoveries shall be all loss recoveries obtained, except those which are subject to Article 323 CRR as referred to in the row of this table below.

The total direct loss recovery shall be the sum of all the direct recoveries and adjustments to direct recoveries accounted for within the reporting period and pertinent to operational risk loss events accounted for the first time within the reporting reference period or in previous reporting reference periods.

0080, 0180, 0280, 0380, 0480, 0580, 0680, 0780, 0880 
Recoveries from insurance and other risk transfer mechanisms shall be those recoveries which are subject to Article 323 CRR.

The total recovery from insurance and other risk transfer mechanisms shall be the sum of all recoveries from insurance and other risk transfer mechanisms and adjustments to such recoveries accounted for within the reporting reference period and pertinent to operational risk loss events accounted for the first time within the reporting reference period or in previous reporting reference periods.

0910-0980 
For each loss event type (column 0010 to 0080), the information on total business lines has to be reported.

0910-0914 
In row 0910, the number of loss events above the internal threshold by loss event types for the total business lines shall be reported. This figure may be lower than the aggregation of the number of loss events by business lines since the loss events with multiple impacts (impacts in different business lines) shall be considered as one. It may be higher, where an institution calculating its own funds requirements in accordance with the BIA cannot identify the business line(s) affected by the loss in every case.

In rows 0911 – 0914, the number of loss events with a gross loss amount within the ranges defined in the pertinent rows of the template shall be reported.

Provided that the institution has assigned all its losses to a business line listed in Table 2 of Article 317(4) CRR or the business line “corporate items” as referred to in point (b) of Article 322(3) CRR or that it has identified the loss event types for all losses, the following shall apply for column 080, as appropriate:


— The total number of loss events reported in rows 0910 to 0914 shall be equal to the horizontal aggregation of the number of loss events in the corresponding row, because in those figures the loss events with impacts in different business lines shall already have been considered as one loss event.
— The figure reported in column 0080, row 0910 shall not necessarily be equal to the vertical aggregation of the number of loss events which are included in column 080, because one loss event can have an impact in different business lines simultaneously.

0920-0924 
Provided that the institution has assigned all its losses either to a business line listed in Table 2 of Article 317(4) CRR or the business line “corporate items” referred to in point (b) of Article 322(3) CRR, the gross loss amount (new loss events) reported in row 0920 shall be the simple aggregation of the gross loss amounts of new loss events for each business line.

In rows 0921 – 0924, the gross loss amount for loss events with a gross loss amount within the ranges defined in the pertinent rows shall be reported.

0930, 0935, 0936 
In row 0930, the total of the numbers of loss events subject to loss adjustments as reported in rows 0030, 0130, …, 0830 shall be reported. That figure may be lower than the aggregation of the number of loss events subject to loss adjustments by business lines since loss events with multiple impacts (impacts in different business lines) shall be considered as one. It may be higher, where an institution calculating its own funds requirements in accordance with the BIA cannot identify the business line(s) affected by the loss in every case.

The number of loss events subject to loss adjustments shall be broken down into the number of loss events for which a positive loss adjustment was made within the reporting reference period and the number of loss events for which a negative loss adjustment was made within the reporting period (all reported with a positive sign).

0940, 0945, 0946 
In row 0940, the total of the loss adjustment amounts relating to previous reporting periods per business lines (as reported in rows 0040, 0140, …, 0840) shall be reported. Provided that the institution has assigned all its losses either to a business line listed in Table 2 of Article 317(4) CRR or the business line “corporate items” referred to in point (b) of Article 322(3) CRR, the amount reported in row 0940 shall be the simple aggregation of the loss adjustments relating to previous reporting periods reported for the different business lines.

The amount of loss adjustments shall be broken down into the amount related to loss events for which a positive loss adjustment was made in the reporting reference period (row 0945, reported with as positive figure) and the amount related to loss events for which a negative loss adjustment was made within the reporting period (row 0946, reported as negative figure). Where, due to a negative loss adjustment, the adjusted loss amount attributable to a loss event falls below the internal data collection threshold of the institution, the institution shall report the total loss amount for that loss event accumulated until the last time when the loss event was reported for a December reference date (i.e. the original loss plus/minus all loss adjustments made in previous reporting reference periods) with a negative sign in row 946 instead of the amount of the negative loss adjustment itself.

0950 
Provided that the institution has assigned all its losses either to a business line listed in Table 2 of Article 317(4) CRR or the business line “corporate items” referred to in point (b) of Article 322(3) CRR, the maximum single loss shall be the maximum loss over the internal threshold for each loss event type and amongst all business lines. Those figures may be higher than the highest single loss recorded in each business line where a loss event impacts different business lines.

Provided that the institution has assigned all its losses either to a business line listed in Table 2 of Article 317(4) CRR or the business line “corporate items” referred to in point (b) of Article 322(3) CRR respectively that it has identified the loss event types for all losses, the following shall apply for column 0080:


— The maximum single loss reported shall be equal to the highest of the values reported in columns 0010 – 0070 of this row.
— Where there are loss events having an impact in different business lines, the amount reported in {r950, c080} may be higher than the amounts of “Maximum single loss” per business line reported in other rows of column 080.

0960 
The sum of the five largest gross losses for each loss event type and amongst all business lines shall be reported. That sum may be higher than the highest sum of the five largest losses recorded in each business line. That sum has to be reported regardless of the number of losses.

Provided that the institution has assigned all its losses either to a business line listed in Table 2 of Article 317(4) CRR or the business line “corporate items” referred to in point (b) of Article 322(3) CRR and that it has identified the loss event types for all losses, for column 0080, the sum of the five largest losses shall be the sum of the five largest losses in the whole matrix, which means that it is not necessarily equal to either the maximum value of “sum of the five largest losses” in row 0960 or the maximum value of “sum of the five largest losses” in column 0080.

0970 
Provided that the institution has assigned all its losses either to a business line listed in Table 2 of Article 317(4) CRR or the business line “corporate items” referred to in point (b) of Article 322(3) CRR, the total direct loss recovery shall be the simple aggregation of the total direct loss recovery for each business line.

0980 
Provided that the institution has assigned all its losses either to a business line listed in Table 2 of Article 317(4) CRR or the business line “corporate items” referred to in point (b) of Article 322(3) CRR, the total recovery from insurance and other risk transfer mechanisms shall be the simple aggregation of the total loss recovery from insurance and other risk transfer mechanisms for each business line.

 4.2.3.  4.2.3.1.  134. In template C 17.02, information on individual loss events shall be provided (one row per loss event).
 135. 

((a)) “accounted for the first time” within the reporting reference period; or
((b)) “accounted for the first time” within a previous reporting reference period, where the loss event was not included in any previous supervisory report, e.g. because it was identified as operational risk loss event only in the current reporting reference period or because the accumulated loss attributable to that loss event (i.e. the original loss plus/minus all loss adjustments made in previous reporting reference periods) exceeded the internal data collection threshold only in the current reporting reference period.
 136. 
Subject to that threshold:


((a)) the largest event for each event type, provided that the institution has identified the event types for losses; and
((b)) at least the ten largest of the remaining events with or without identified event type by gross loss amount shall be included in the template.
((c)) Loss events shall be ranked based on the gross loss attributed to them.
((d)) A loss event shall only be considered once.
 4.2.3.2. 

Columns
0010 
The event ID is a row identifier and shall be unique for each row in the template.

Where an internal ID is available, institutions shall provide the internal ID. Otherwise, the reported ID shall follow the numerical order 1, 2, 3, etc.

0020 
Date of accounting means the date where a loss or reserve/provision against an operational risk loss was first recognised in the Profit and Loss statement.

0030 
Date of occurrence shall be the date when the operational risk loss event happened or first began.

0040 
Date of discovery shall be the date on which the institution became aware of the operational risk loss event.

0050 
Loss event types as referred to in Article 324 CRR.

0060 
Gross loss related to the loss event reported in rows 0020, 0120 etc. of template C 17.01

0070 
Gross loss related to the loss event reported in rows 0020, 0120 etc. of template C 17.01, net of direct recoveries pertinent to that loss event

0080 – 0160 
The gross loss as reported in column 0060 shall be allocated to the relevant business lines as referred to in Table 2 of Article 317(4) CRR and point (b) of Article 322(3) CRR.

0170 
Name of the legal entity as reported in column 010 of C 06.02 where the loss – or the greatest share of the loss, if several entities were affected – occurred.

0180 
LEI code of the legal entity as reported in column 025 of C 06.02 where the loss – or the greatest share of the loss, if several entities were affected – occurred.

0190 
Business unit or corporate division of the institution where the loss – or the greatest share of the loss if several business units or corporate divisions were affected – occurred.

0200 
Narrative description of the loss event, where necessary in a generalised or anonymised manner, which shall comprise at least information about the event itself and information about the drivers or causes of the loss event, where known.

 5.  137. These instructions refer to the templates for the reporting of the calculation of own funds requirements in accordance with the Standardised Approach for foreign exchange risk (MKR SA FX), commodities risk (MKR SA COM), interest rate risk (MKR SA TDI, MKR SA SEC, MKR SA CTP) and equity risk (MKR SA EQU). Additionally, instructions for the template for the reporting of the calculation of own funds requirements in accordance with the internal models approach (MKR IM) are included in this part.
 138. 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 – that is the risk of a price change in the instrument concerned due to factors related to its issuer or, in the case of a derivative, the issuer of the underlying instrument. The second component shall cover its general risk – that is the risk of a price change in the instrument due (in the case of a traded debt instrument or debt derivative) to a change in the level of interest rates or (in the case of an equity or equity derivative) to a broad equity- market movement unrelated to any specific attributes of individual securities. The general treatment of specific instruments and netting procedures can be found in Articles 326 to 333 CRR.
 5.1.  5.1.1.  139. This template captures the positions and the related own funds requirements for position risks on traded debt instruments under the Standardised Approach (Article 102 and Article 105(1) CRR). The different risks and methods available under CRR are considered by rows. The specific risk associated with exposures included in MKR SA SEC and MKR SA CTP has only to be reported in the Total template of the MKR SA TDI. The own funds requirements reported in those templates shall be transferred to cell {325;060} (securitisations) and {330;060} (CTP) respectively.
 140. 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, HRK, HUF, ISK, JPY, 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 
Article 102 and Article 105(1) CRR. These are gross positions not netted by instruments but excluding underwriting positions subscribed or sub-underwritten by third parties in accordance with the second sentence of the first subparagraph of Article 345(1) CRR. Regarding the distinction between Long and Short positions, also applicable to these gross positions, see Article 328(2) CRR.

030-040 
Articles 327 to 329 and Article 334 CRR. Regarding the distinction between Long and Short positions, see Article 328(2) CRR.

050 
Those net positions that, in accordance with the different approaches considered in Chapter 2 of Title IV of Part Three CRR, receive a capital charge.

060 
The capital charge for any relevant position in accordance with Chapter 2 of Title IV of Part Three CRR.

070 
Point (b) of Article 92(4) 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 in accordance with point (b)(i) of Article 92(3) CRR and Chapter 2 of Title IV of Part Three CRR shall be reported depending on risk category, maturity and approach used.

011 
012 
Derivatives included in the calculation of interest rate risk of trading book positions, taking into account Articles 328 to 331 CRR, where applicable.

013 
Instruments 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 referred to in paragraphs 1 to 8 of Article 339 CRR and the corresponding own funds requirements calculated in accordance with Article 339(9) CRR. The position shall be split by zones 1, 2 and 3 and those zones shall be split by the maturity of the instruments.

210-240 
Positions in traded debt instruments subject to the duration-based approach referred to in paragraphs 1 to 6 of Article 340 CRR and the corresponding own funds requirements calculated in accordance with Article 340(7) CRR. The position shall be split by zones 1, 2 and 3.

250 
Sum of amounts reported in rows 251, 325 and 330.

Positions in traded debt instruments subject to the specific risk capital requirements and their corresponding capital requirements in accordance with point (b) of Article 92(3) and Article 335, paragraphs 1, 2 and 3 of Article 336 and Articles 337 and 338 CRR. Be also aware of the last sentence in Article 327(1) CRR.

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 shall be calculated by summing up the risk weights of the reference entities (point (e) of Article 332(1) CRR and the second subparagraph of Article 332(1) CRR – “look-through”). N-th-to-default credit derivatives which are rated externally (the third subparagraph of Article 332(1) CRR) shall be reported separately in line 321.

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 in accordance with Article 129(3) CRR (covered bonds). The specific own funds requirements shall be half of the percentage of the second category referred to in Table 1 of Article 336 CRR. Those positions have to be assigned to rows 280-300 in accordance with the residual term to final maturity.

Where the general risk of interest rate positions is hedged by a credit derivative, Articles 346 and 347 CRR shall be applied.

325 
Total own funds requirements reported in column 610 of template MKR SA SEC. Those total own funds requirements shall only be reported on Total level of the MKR SA TDI.

330 
Total own funds requirements reported in column 450 of template MKR SA CTP. Those total own funds requirements shall only be reported on Total level of the MKR SA TDI.

350-390 
Article 329(3) CRR.

The additional requirements for options related to non-delta risks shall be reported broken down by the method used for their calculation.

 5.2.  5.2.1.  141. 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.
 142. The MKR SA SEC template presents the own funds requirement only for the specific risk of securitisation positions in accordance with Article 335 CRR in connection with 337 CRR. Where securitisation positions of the trading book are hedged by credit derivatives, Articles 346 and 347 CRR apply. There is only one template for all positions of the trading book, irrespective of the approach institutions apply to determine the risk weight for each of the positions in accordance with Chapter 5 of Title II of Part Three CRR. The own funds requirements of the general risk of those positions shall be reported in the MKR SA TDI or the MKR IM template.
 143. Positions which receive a risk weight of 1 250 % can alternatively be deducted from CET1 (see point (b) of Article 244(1), point (b) of Article 245(1) and Article 253 CRR). Where this is the case, those positions have to be reported in row 460 of CA1.
 5.2.2. 

Columns
010-020 
Article 102 and Article 105(1) CRR in conjunction with Article 337 CRR (securitisation positions). Regarding the distinction between Long and Short positions, also applicable to those gross positions, see Article 328(2) CRR.

030-040 
Point (b) of Article 244(1), point (b) of Article 245(1) and Article 253 CRR

050-060 
Articles 327, 328, 329 and 334 CRR. Regarding the distinction between long and short positions, see Article 328(2) CRR.

061-104 
Articles 259 to 262, Tables 1 and 2 of Article 263, Tables 3 and 4 of Article 264 and Article 266 CRR.

The breakdown shall be done separately for long and short positions.

402-406 
Article 254 CRR

402 
Article 259 and 260 CRR

403 
Article 261 and 262 CRR

404 
Article 263 and 264 CRR

405 
Articles 254 and 265 CRR and Article 266(5) CRR.

406 
Article 254(7) CRR

530-540 
Article 270a CRR

570 
Article 337 CRR, without taking into account the discretion of Article 335 CRR which allows an institution to cap the product of the weight and the net position at the maximum possible default-risk related loss.

601 
Article 337 CRR, taking into account the discretion of Article 335 CRR.



Rows
010 
Total amount of outstanding securitisations and re-securitisations (held in the trading book) reported by the institution playing the role/s of originator or investor or sponsor.

040, 070 and100 
Point 62 of Article 4(1) CRR.

020, 050,080 and110 
Point 64 of Article 4(1) CRR

041, 071 and 101 
Total amount of securitisation positions which fulfil the criteria of Article 243 CRR or Article 270 CRR and therefore qualify for differentiated capital treatment.

030-050 
Point (13) of Article 4(1) CRR

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

090-110 
Point (14) of Article 4(1) CRR.

A sponsor that also securitises its own assets shall fill in the originator’s rows with the information regarding its own securitised assets.

 5.3.  5.3.1.  144. This template requests information on positions of the Correlation Trading Portfolio (CTP) (comprising securitisations, nth-to-default credit derivatives and other CTP positions included in accordance with Article 338(3) CRR) and the corresponding own funds requirements under the Standardised Approach.
 145. The MKR SA CTP template presents the own funds requirement only for the specific risk of positions assigned to the CTP in accordance with Article 335 CRR in conjunction with paragraphs 2 and 3 of Article 338 CRR. If CTP-positions of the trading book are hedged by credit derivatives, Articles 346 and 347 CRR apply. There is only one template for all CTP-positions of the trading book, irrespective of the approach institutions apply to determine the risk weight for each of the positions in accordance with Chapter 5 of Title II of Part Three CRR. The own funds requirements for the general risk of these positions are reported in the MKR SA TDI or the MKR IM template.
 146. The template separates securitisation positions, n-th to default credit derivatives and other CTP-positions. Securitisation positions shall always be reported in rows 030, 060 or 090 (depending on the role of the institution in the securitisation). N-th to default credit derivatives shall always be reported in row 110. The “other CTP-positions” are positions that are neither securitisation positions nor n-th to default credit derivatives (see Article 338(3) CRR), but they are explicitly “linked” to one of those two positions (because of the hedging intent).
 147. Positions which receive a risk weight of 1 250 % can alternatively be deducted from CET1 (see point (b) of Article 244(1), point (b) of Article 245(1) and Article 253 CRR). Where this is the case, those positions have to be reported in row 460 of CA1.
 5.3.2. 

Columns
010-020 
Article 102 and Article 105(1) CRR in conjunction paragraphs 2 and 3 of Article 338 CRR (positions assigned to the Correlation Trading Portfolio)

Regarding the distinction between long and short positions, also applicable to those gross positions, see Article 328(2) CRR.

030-040 
Article 253 CRR

050-060 
Articles 327, 328, 329 and 334 CRR

Regarding the distinction between long and short positions, see Article 328(2) CRR.

071-097 
Articles 259 to 262, Tables 1 and 2 of Article 263, Tables 3 and 4 of Article 264 and Article 266 CRR

402-406 
Article 254 CRR

402 
Articles 259 and 260 CRR

403 
Articles 261 and 262 CRR

404 
Articles 263 and 264 CRR

405 
Articles 254 and 265 and Article 266(5) CRR.

406 
Article 254(7) CRR

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

430-440 
Article 338 CRR, taking into account the discretion of Article 335 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 (column 430) or (ii) the specific risk charge that would apply just to the net short positions (column 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 
Point (13) of Article 4(1) CRR

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

080-100 
Point (14) of Article 4(1) CRR

A sponsor that also securitises its own assets shall fill in the originator’s rows with the information regarding its own securitised assets.

030, 060 and 090 
The correlation trading portfolio shall comprise securitisations, n-th-to-default credit derivatives and possibly other hedging positions that meet the criteria set out in paragraphs 2 and 3 of Article 338 CRR.

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 in accordance with 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 following positions are included:


— Derivatives of securitisation exposures that provide a pro-rata share, as well as positions hedging CTP positions;
— CTP positions hedged by credit derivatives in accordance with Article 346 CRR;
— Other positions that satisfy Article 338(3) CRR.

 5.4.  5.4.1.  148. 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.
 149. The template has to be filled out separately for the “Total”, plus a static, pre-defined list of the following markets: Bulgaria, Croatia, Czech Republic, Denmark, Egypt, Hungary, Iceland, Liechtenstein, Norway, Poland, Romania, Sweden, United Kingdom, Albania, Japan, Former Yugoslav Republic of Macedonia, Russian Federation, Serbia, Switzerland, Turkey, Ukraine, USA, Euro Area plus one residual template for all other markets. For the purpose of this reporting requirement, the term “market” shall be read as “country” (except for countries belonging to the Euro Area, see Commission Delegated Regulation (EU) No 525/2014.
 5.4.2. 

Columns
010-020 
Article 102 and Article 105(1) CRR.

These are gross positions not netted by instruments but excluding underwriting positions subscribed or sub-underwritten by third parties as referred to in the second sentence of the first subparagraph of Article 345(1) CRR.

030-040 
Articles 327, 329, 332, 341 and 345 CRR.

050 
Those net positions that, in accordance with the different approaches considered in Chapter 2 of Title IV of Part Three CRR receive a capital charge. The capital charge has to be calculated for each national market separately. Positions in stock-index futures as referred to in the second sentence of Article 344(4) CRR shall not be included in this column.

060 
The own funds requirement in accordance with Chapter 2 of Title IV of Part Three CRR for any relevant position

070 
Point (b) of Article 92(4) CRR.

Result of the multiplication of the own funds requirements by 12,5.



Rows
010-130 
Own funds requirements for position risk as referred to in point (b)(i) of Article 92(3) CRR and Section 3 of Chapter 2 of Title IV of Part Three CRR.

020-040 
Positions in equities subject to general risk (Article 343 CRR) and their correspondent own funds requirement in accordance with Section 3 of Chapter 2 of Title IV of Part Three CRR

Both breakdowns (021/022 as well as 030/040) are a breakdown related to all positions subject to general risk.

Rows 021 and 022 request information on the breakdown by instruments.

Only the breakdown in rows 030 and 040 shall be 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 CRR, where 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 in accordance with Commission Implementing Regulation (EU) No 945/2014

Those positions shall be only subject to general risk and, accordingly, must not be reported in row 050.

040 
Other positions in equities subject to specific risk as well as the correspondent own funds requirements in accordance with Article 343 CRR, including positions in stock index futures treated in accordance with Article 344(3) CRR

050 
Positions in equities subject to specific risk and the correspondent own funds requirement in accordance with Article 342 CRR, excluding positions in stock-index futures treated in accordance with the second sentence of Article 344(4) CRR

090-130 
Paragraphs 2 and 3 of Article 329 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.  150. Institutions shall report information on the positions in each currency (reporting currency included) and the corresponding own funds requirements for foreign exchange risk treated under the Standardised Approach. The position shall be calculated for each currency (including EUR), gold, and positions to CIUs.
 151. Rows 100 to 480 of this template shall be reported even where institutions are not required to calculate own funds requirements for foreign exchange risk in accordance with Article 351 CRR. In those memorandum items, all the positions in the reporting currency are included, irrespective of whether they are considered for the purposes of Article 354 CRR. Rows 130 to 480 of the memorandum items of the template shall be filled out separately for all currencies of the Member States of the Union, the currencies: USD, CHF, JPY, RUB, TRY, AUD, CAD, RSD, ALL, UAH, MKD, EGP, ARS, BRL, MXN, HKD, ICK, TWD, NZD, NOK, SGD, KRW, CNY and all other currencies.
 5.5.2. 

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

In accordance with Article 352(2) CRR and subject to permission from competent authorities, positions taken to hedge against the adverse effect of the exchange rate on their ratios in accordance with Article 92(1) CRR and positions related to items that are already deducted in the calculation of own funds shall not be reported.

040-050 
Article 352(3), the first two sentences of Article 352(4), and Article 353 CRR

The net positions are calculated by each currency in accordance with Article 352(1) CRR. Consequently, both long and short positions may be reported at the same time.

060-080 
The third sentence of Article 352(4) and Articles 353 and 354 CRR

060-070 
The long and short net positions for each currency shall be calculated by deducting the total of short positions from the total of long positions.

Long net positions for each operation in a currency shall be added to obtain the long net position in that currency.

Short net positions for each operation in a currency shall be added to obtain the short net position in that currency.

Unmatched positions in non-reporting currencies shall be added to positions subject to capital charges for other currencies (row 030) in column 060 or 070, depending on their short or long arrangement.

080 
Matched positions for closely correlated currencies.

090 
The capital charge for any relevant position in accordance with Chapter 3 of Title IV of Part Three CRR

100 
Point (b) of Article 92(4) CRR.

Result of the multiplication of the own funds requirements by 12,5.



Rows
010 
All positions in non-reporting currencies and those positions in the reporting currency that are considered for the purposes of Article 354 CRR as well as their correspondent own funds requirements for the foreign-exchange risk referred to in point (c)(i) of Article 92(3), taking into account paragraphs 2 and 4 of Article 352 CRR (for conversion into the reporting currency).

020 
Positions and their correspondent own funds requirements for closely correlated currencies as referred to in Article 354 CRR.

025 
Positions in the reporting currency which contribute to the calculation of the capital requirements in accordance with Article 354 CRR.

030 
Positions and their correspondent own funds requirements for currencies subject to the general procedure referred to in Article 351 and paragraphs 2 and 4 of Article 352 CRR.

Reporting of CIU’s treated as separate currencies in accordance with Article 353 CRR:

There are two different treatments of CIUs treated as separate currencies for calculating the capital requirements:


1.. The modified gold method, where the direction of the CIUs investment is not available (those CIUs shall be added to an institution’s overall net foreign-exchange position);
2.. Where the direction of the CIU’s investment is available, those CIUs shall be added to the total open foreign exchange position (long or short, depending on the direction of the CIU).

The reporting of those CIU’s shall follow the calculation of the capital requirements.

040 
Positions and their correspondent own funds requirements for currencies subject to the general procedure referred to in Article 351 and paragraphs 2 and 4 of Article 352 CRR

050 – 090 
Paragraphs 5 and 6 of Article 352 CRR

The additional requirements for options related to non-delta risks shall be reported broken down by the method used for their calculation.

100-120 
Total positions shall be broken down into 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 within the scope of Article 352 CRR, irrespective of the currency of denomination, which are included in Annex I to CRR, except those included as Securities Financing Transactions & Long Settlement Transactions or from Contractual Cross Product Netting.

120 
Positions valued in accordance with Article 352 CRR.

130-480 
The memorandum items of the template shall be filled in separately for all currencies of the Member States of the Union, USD, CHF, JPY, RUB, TRY, AUD, CAD, RSD, ALL, UAH, MKD, EGP, ARS, BRL, MXN, HKD, ICK, TWD, NZD, NOK, SGD, KRW, CNY and all other currencies.

 5.6.  5.6.1.  152. 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 in accordance with Article 357(4) CRR (see also Article 359(1) CRR)

030-040 
As defined in Article 357(3) CRR

050 
Those net positions that, in accordance with the different approaches considered in Chapter 4 of Title IV of Part Three CRR receive a capital charge

060 
The own funds requirement calculated in accordance with Chapter 4 of Title IV of Part Three CRR for any relevant position

070 
Point (b) of Article 92(4) CRR.

Result of the multiplication of the own funds requirements by 12,5



Rows
010 
Positions in commodities and their correspondent own funds requirements for market risk calculated in accordance with point (c)(iii) of Article 92(3) CRR and Chapter 4 of Title IV of Part Three CRR

020-060 
For reporting purposes, commodities shall be grouped in the four groups of commodities referred to in Table 2 of Article 361 CRR.

070 
Positions in commodities subject to the maturity ladder approach referred to in Article 359 CRR

080 
Positions in commodities subject to the extended maturity ladder approach referred to in Article 361 CRR

090 
Positions in commodities subject to the simplified approach referred to in Article 360 CRR

100-140 
Article 358(4) 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.  153. This template provides a breakdown of VaR and stressed VaR (sVaR) figures by the different market risks (debt, equity, FX, commodities) and other information relevant for the calculation of the own funds requirements.
 154. Generally, it depends on the structure of the model of the institutions whether the figures for general and specific risk can be determined and reported separately or only as a total. The same holds true for the decomposition of the VaR/Stress-VaR into the risk categories (interest rate risk, equity risk, commodities risk and foreign exchange risk). An institution can refrain from reporting those decompositions if it proves that reporting those figures would be unduly burdensome.
 5.7.2. 

Columns
030-040 
VaR means the maximum potential loss that would result from a price change with a given probability over a specific time horizon.

030 
Point (a)(ii) of Article 364(1) and Article 365(1) CRR

040 
Point (a)(i) of Article 364(1) and Article 365(1) CRR

050-060 
Stressed VaR means the maximum potential loss that would result from a price change with a given probability over a specific time horizon obtained by using input calibrated to historical data from a continuous 12-months period of financial stress relevant to the institution’s portfolio.

050 
Point (b)(ii) of Article 364(1) and Article 365(1) CRR

060 
Point (b)(i) of Article 364(1) and Article 365(1) CRR

070-080 
Incremental default and migration risk capital charge means the maximum potential loss that would result from a price change linked to default and migration risks calculated in accordance with point (b) of Article 364(2) in conjunction with Section 4 of Chapter 5 of Title IV of Part Three CRR.

070 
Point (b)(ii) of Article 364(2) in conjunction with Section 4 of Chapter 5 of Title IV of Part Three CRR

080 
Point (b)(i) of Article 364(2) in conjunction with Section 4 of Chapter 5 of Title IV of Part Three CRR

090-110 
090 
Point (c) of Article 364(3) CRR

= 8 % of the capital charge that would be calculated in accordance with Article 338(1) CRR for all positions in the “all price risks” capital charge.

100-110 
Point (b) of Article 364(3) CRR

110 
Point (a) of Article 364(3) CRR

120 
Own funds requirements as referred to in Article 364 CRR of all risk factors, taking into account correlation effects, where applicable, plus incremental default and migration risk and all price of risks for CTP, but excluding the Securitization capital charges for Securitization and nth-to-default credit derivative according to Article 364(2) CRR

130 
Point (b) of Article 92(4) CRR.

Result of the multiplication of the own funds requirements by 12,5

140 
Referred to in Article 366 CRR

The number of overshootings based on which the addend is determined shall be reported.

150-160 
As referred to in Article 366 CRR

170-180 
The amount reported and serving as the basis to calculate the floor capital charge for all price risks in accordance with point (c) of Article 364(3) CRR, taking into account the discretion of Article 335 CRR which stipulates that the institution may cap the product of the weight and the net position at the maximum possible default-risk related loss.



Rows
010 
Corresponds to the part of position, foreign exchange and commodities risk referred to in Article 363(1) CRR linked to the risk factors specified in Article 367(2) CRR.

Concerning the columns 030 to 060 (VAR and Stress-VAR), the figures in the total row are not equal to the decomposition of the figures for the VaR/Stress-VaR of the relevant risk components.

020 
Corresponds to the part of position risk referred to in Article 363(1) CRR, linked to the interest rates risk factors specified in point (a) of Article 367(2) CRR.

030 
General risk component as referred to in Article 362 CRR

040 
Specific risk component as referred to in Article 362 CRR

050 
Corresponds to the part of position risk referred to in Article 363(1) CRR linked to the equity risk factors as specified in point (c) of Article 367(2) CRR.

060 
General risk component as referred to in Article 362 CRR

070 
Specific risk component as referred to in Article 362 CRR

080 
Articles 363(1) and point (b) of Article 367(2) CRR

090 
Articles 363(1) and point (d) of Article 367(2) 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 where 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 where applicable)

 5.8.  5.8.1. 

Columns
010 
Article 271 CRR in conjunction with Article 382 CRR.

Total EAD from all transactions subject to CVA charge.

020 
Article 271 CRR in conjunction with Article 382(1) 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 CRR in conjunction with Article 382(2) 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 CRR in conjunction with point (d) of Article 363(1) CRR.

VaR calculation based on internal models for market risk

050 
See instructions for column 040.

060 
See instructions for column 040

070 
See instructions for column 040

080 
Point (d) of Article 92(3) CRR.

Own funds requirements for CVA Risk calculated via the chosen method.

090 
Point (b) of Article 92(4) CRR.

Own funds requirements multiplied by 12,5.

 
100 
Article 382 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 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 
Point (a) of Article 386(1) CRR

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

140 
Point (b) of Article 386(1) CRR

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



Rows
010 
Sum of rows 020-040

020 
Advanced CVA risk method as prescribed by Article 383 CRR

030 
Standardised CVA risk method as prescribed by Article 384 CRR

040 
Amounts subject to the application of Article 385 CRR

 6.  6.1.  6.1.1.  154a. This template shall be completed by all institutions, irrespective of whether they have adopted the simplified approach for the determination of Additional Valuation Adjustments (“AVAs”). This template is dedicated to the absolute value of fair-valued assets and liabilities used to determine whether the conditions set out in Article 4 of Commission Delegated Regulation (EU) 2016/101 for using the simplified approach for the determination of AVAs are met.
 154b. With regard to institutions using the simplified approach, this template shall provide the total AVA to be deducted from own funds pursuant to Articles 34 and 105 CRR as set out in Article 5 of the Delegated Regulation (EU) 2016/101, which shall be reported accordingly in row 290 of C 01.00.
 6.1.2. 

Columns
0010 
Absolute value of fair-valued assets and liabilities, as stated in the financial statements under the applicable accounting framework, as referred to in Article 4(1) of Delegated Regulation (EU) 2016/101, before any exclusion in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101.

0020 
Absolute value of fair-valued assets and liabilities, as reported in 010, corresponding to positions held in the trading book.

0030-0070 
Absolute value of fair-valued assets and liabilities excluded in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101.

0030 
Exactly matching, offsetting fair-valued assets and liabilities excluded in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101.

0040 
For positions subject to hedge accounting under the applicable accounting framework, absolute value of fair-valued assets and liabilities excluded in proportion to the impact of the relevant valuation change on CET1 capital in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101.

0050 
Absolute value of fair-valued assets and liabilities excluded in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101 due to the transitional application of the prudential filters referred to in Articles 467 and 468 CRR.

0060 
Any other positions excluded in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101 due to adjustments to their accounting value having only a proportional effect on CET1 capital.

This row shall only be populated in rare cases where elements excluded in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101 cannot be assigned to columns 0030, 0040 or 0050 of this template.

0070 
The main reasons why the positions reported in column 0060 were excluded shall be provided.

0080 
Absolute value of fair-valued assets and liabilities actually included in the threshold computation in accordance with Article 4(1) of Delegated Regulation (EU) 2016/101.

0090 
Absolute value of fair-valued assets and liabilities, as reported in column 0080, corresponding to positions held in the trading book.



Rows
0010 – 0210 The definitions of these categories shall match those of the corresponding rows of FINREP templates 1.1 and 1.2.
0010  1. 
Total of fair-valued assets and liabilities reported in rows 20 to 210.

0020  1.1. 
Total of fair-valued assets reported in rows 0030 to 0140.

Relevant cells of rows 0030 to 0130 shall be reported in line with FINREP template F 01.01 of Annexes III and IV to this Implementing Regulation, depending on the institution’s applicable standards:


— IFRS as endorsed by the Union in application of Regulation (EC) No 1606/2002 of the European Parliament and of the Council (“EU IFRS”);
— National accounting standards compatible with EU IFRS (“National GAAP compatible IFRS”); or
— National GAAP based on BAD (FINREP “National GAAP based on BAD”).

0030  1.1.1. 
IFRS 9.Appendix A.

The information reported in this row shall correspond to row 050 of template F 01.01 of Annexes III and IV to this Implementing Regulation.

0040  1.1.2. 
Articles 32 and 33 BAD; Part 1.17 of Annex V to this Implementing Regulation

The information reported in this row shall correspond to row 091 of template F 01.01 of Annexes III and IV to this Implementing Regulation.

0050  1.1.3. 
IFRS 7.8(a)(ii); IFRS 9.4.1.4.

The information reported in this row shall correspond to row 096 of template F 01.01 of Annexes III and IV to this Implementing Regulation.

0060  1.1.4. 
IFRS 7.8(a)(i); IFRS 9.4.1.5; point (a) of Article 8(1) and Article 8(6) AD

The information reported in this row shall correspond to row 100 of template F 01.01 of Annexes III and IV to this Implementing Regulation.

0070  1.1.5. 
IFRS 7.8(h); IFRS 9.4.1.2 A.

The information reported in this row shall correspond to row 141 of template F 01.01 of Annexes III and IV to this Implementing Regulation.

0080  1.1.6. 
Article 36(2) BAD. The information reported in this row shall correspond to row 171 of template F 01.01 of Annexes III and IV to this Implementing Regulation.

0090  1.1.7. 
Point (a) of Article 8(1) and Article 8(8) AD

The information reported in this row shall correspond to row 175 of template F 01.01 of Annexes III and IV to this Implementing Regulation.

0100  1.1.8. 
Article 37 BAD; Article 12(7) AD; Part 1.20 of Annex V to this Implementing Regulation

The information reported in this row shall correspond to row 234 of template F 01.01 of Annexes III and IV to this Implementing Regulation.

0110  1.1.9. 
IFRS 9.6.2.1; Part 1.22 of Annex V to this Implementing Regulation; point (a) of Article 8(1) and paragraphs 6 and 8 of Article 8 AD; IAS 39.9

The information reported in this row shall correspond to row 240 of template F 01.01 of Annexes III and IV to this Implementing Regulation.

0120  1.1.10. 
IAS 39.89 A(a); IFRS 9.6.5.8; Paragraphs 5 and 6 of Article 8 AD. The information reported in this row shall correspond to row 250 of template F 01.01 of Annexes III and IV to this Implementing Regulation.

0130  1.1.11. 
IAS 1.54(e); Parts 1.21 and 2.4 of Annex V to this Implementing Regulation; points (7) and (8) of Article 4 BAD; Article 2(2) AD

The information reported in this row shall correspond to row 260 of template F 01.01 of Annexes III and IV to this Implementing Regulation.

0140  1.1.12. 
Part 1.29 of Annex V to this Implementing Regulation

The information reported in this row shall correspond to row 375 of template F 01.01 of Annexes III and IV to this Implementing Regulation.

0150  1.2. 
Total of fair-valued liabilities reported in rows 0160 to 0210.

Relevant cells of rows 0150 to 0190 shall be reported in line with FINREP template F 01.02 of Annexes III and IV to this Implementing Regulation depending on the institution’s applicable standards:


— IFRS as endorsed by the Union in application of Regulation (EC) No 1606/2002 (“EU IFRS”)
— National accounting standards compatible with EU IFRS (“National GAAP compatible IFRS”)
— or National GAAP based on BAD (FINREP “National GAAP based on BAD”).

0160  1.2.1. 
IFRS 7.8 (e) (ii); IFRS 9.BA.6.

The information reported in this row shall correspond to row 010 of template F 01.02 of Annexes III and IV to this Implementing Regulation.

0170  1.2.2. 
Point (a) of Article 8(1) and paragraphs 3 and 6 of Article 8 AD

The information reported in this row shall correspond to row 061 of template F 01.02 of Annexes III and IV to this Implementing Regulation.

0180  1.2.3. 
IFRS 7.8 (e)(i); IFRS 9.4.2.2; point (a) of Article 8(1) and Article 8(6) AD; IAS 39.9.

The information reported in this row shall correspond to row 070 of template F 01.02 of Annexes III and IV to this Implementing Regulation.

0190  1.2.4. 
IFRS 9.6.2.1; Part 1.26 of Annex V to this Implementing Regulation; point (a) of Article 8(1), Article 8(6) and point (a) of Article 8(8) AD

The information reported in this row shall correspond to row 150 of template F 01.02 of Annexes III and IV to this Implementing Regulation.

0200  1.2.5. 
IAS 39.89 A(b), IFRS 9.6.5.8; Paragraphs 5 and 6 of Article 8 AD; Part 2.8 of Annex V to this Implementing Regulation

The information reported in this row shall correspond to row 160 of template F 01.02 of Annexes III and IV to this Implementing Regulation.

0210  1.2.6. 
Part 1.29 of Annex V to this Implementing Regulation

The information reported in this row shall correspond to row 295 of template F 01.02 of Annexes III and IV to this Implementing Regulation.


 6.2.  6.2.1.  154c. The purpose of this template is to provide information on the composition of the total AVA to be deducted from own funds under Articles 34 and 105 CRR alongside relevant information about the accounting valuation of the positions that give rise to the determination of AVAs.
 154d. This template shall be completed by all institutions that:


((a)) are required to use the core approach because they exceed the threshold referred to in Article 4(1) of Delegated Regulation (EU) 2016/101, either on an individual basis or on a consolidated basis as set out in Article 4(3) of that Regulation; or
((b)) have chosen to apply the core approach despite not exceeding the threshold.
 154e. For the purposes of this template, “upside uncertainty” shall mean the following: As determined by Article 8(2) of Delegated Regulation (EU) 2016/101, AVAs are calculated as the difference between the fair value and a prudent valuation that is determined on the basis of a 90 % confidence that institutions can exit the exposure at that point or better within the notional range of plausible values. The upside value or “upside uncertainty” is the opposing point in the distribution of plausible values at which institutions are only 10 % confident that they can exit the position at that point or better. The upside uncertainty shall be calculated and aggregated on the same basis as the total AVA but substituting a 10 % level of certainty for the 90 % used when determining the total AVA.
 6.2.2. 

Columns
0010 – 0100 
The category level AVAs for market price uncertainty, close-out costs, model risk, concentrated positions, future administrative costs, early termination and operational risk are calculated as described in Articles 9, 10, 11 and 14 to 17 of Delegated Regulation (EU) 2016/101 respectively.

For the market price uncertainty, close-out cost and model risk categories, which are subject to diversification benefit as set out in Articles 9(6), 10(7) and 11(7) of Delegated Regulation (EU) 2016/101, respectively, category level AVAs shall be, unless indicated otherwise, reported as the straight sum of the individual AVAs before diversification benefit [since diversification benefits calculated using method 1 or method 2 of the Annex of Delegated Regulation (EU) 2016/101 are reported in items 1.1.2, 1.1.2.1 and 1.1.2.2 of the template].

For the market uncertainty, close-out cost and model risk categories, amounts calculated under the expert-based approach as referred to in point (b) of Article 9(5), point (b) of Article 10(6) and Article 11(4) of Delegated Regulation (EU) 2016/101 shall be separately reported in columns 0020, 0040 and 0060.

0010 
Article 105(10) CRR.

Market price uncertainty AVAs calculated in accordance with Article 9 of Delegated Regulation (EU) 2016/101.

0020 
Market price uncertainty AVAs calculated in accordance with point (b) of Article 9(5) of Delegated Regulation (EU) 2016/101.

0030 
Article 105(10) CRR.

Close-out costs AVAs calculated in accordance with Article 10 of Delegated Regulation (EU) 2016/101.

0040 
Close-out costs AVAs calculated in accordance with point (b) of Article 10(6) of Delegated Regulation (EU) 2016/101.

0050 
Article 105(10) CRR

Model risk AVAs calculated in accordance with Article 11 of Delegated Regulation (EU) 2016/101.

0060 
Model risk AVAs calculated in accordance with Article 11(4) of Delegated Regulation (EU) 2016/101.

0070 
Article 105(11) CRR

Concentrated positions AVAs calculated in accordance with Article 14 of Delegated Regulation (EU) 2016/101.

0080 
Article 105(10) CRR

Future administrative costs AVAs calculated in accordance with Article 15 of Delegated Regulation (EU) 2016/101.

0090 
Article 105(10) CRR

Early termination AVAs calculated in accordance with Article 16 of Delegated Regulation (EU) 2016/101.

0100 
Article 105(10) CRR

Operational risk AVAs calculated in accordance with Article 17 of Delegated Regulation (EU) 2016/101.

0110 
Row 0010: total AVA to be deducted from own funds in accordance with Articles 34 and 105 CRR and reported accordingly in row 290 of C 01.00. The total AVA shall be the sum of rows 0030 and 0180.

Row 0020: Share of the total AVA reported in row 0010 stemming from trading book positions (absolute value).

Rows 0030 to 0160: Sum of columns 0010, 0030, 0050 and 0070 to 0100.

Rows 0180 to 0210: Total AVA stemming from portfolios under the fall-back approach.

0120 
Article 8(2) of Delegated Regulation (EU) 2016/101.

The upside uncertainty shall be calculated and aggregated on the same basis as the total AVA computed in column 0110, but substituting a 10 % level of certainty for the 90 % used when determining the total AVA.

0130 -0140 
Absolute value of fair-valued assets and liabilities corresponding to the AVA amounts reported in rows 0010 to 0130 and row 0180. For some rows, in particular rows 0090 to 0130, these amounts may have to be approximated or allocated based on expert judgement.

Row 0010: Total absolute value of fair-valued assets and liabilities included in the threshold computation of Article 4(1) of Delegated Regulation (EU) 2016/101. That includes the absolute value of fair-valued assets and liabilities for which AVAs are assessed to have zero value in accordance with Articles 9(2), 10(2) or 10(3) of Delegated Regulation (EU) 2016/101, which are also separately reported in rows 0070 and 0080.

Row 0010 is the sum of row 0030 and row 0180.

Row 0020: share of total absolute value of fair-valued assets and liabilities reported in row 0010 stemming from trading book positions (absolute value).

 Row 0030: Absolute value of fair-valued assets and liabilities corresponding to the portfolios referred to in Articles 9 to 17 of Delegated Regulation (EU) 2016/101. That includes the absolute value of fair-valued assets and liabilities for which AVAs are assessed to have zero value in accordance with Articles 9(2), 10(2) or 10(3) of Delegated Regulation (EU) 2016/101, which are also separately reported in rows 0070 and 0080. Row 0030 shall be the sum of rows 0090 to 0130.Row 0050: Absolute value of fair-valued assets and liabilities included in the scope of the computation of unearned credit spread AVA. For the purpose of the computation of this AVA, exactly matching, offsetting fair-valued assets and liabilities, excluded from the threshold computation in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101, may not be considered exactly matching, offsetting anymore.Row 0060: Absolute value of fair-valued assets and liabilities included in the scope of the computation of investment and funding costs AVA. For the purpose of the computation of this AVA, exactly matching, offsetting fair-valued assets and liabilities, excluded from the threshold computation in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101, may not be considered exactly matching, offsetting anymore.Row 0070: Absolute value of fair-valued assets and liabilities corresponding to the valuation exposures assessed to have zero AVA value referred to in Article 9(2) of Delegated Regulation (EU) 2016/101.Row 0080: Absolute value of fair-valued assets and liabilities corresponding to the valuation exposures assessed to have zero AVA value referred to in paragraphs 2 and 3 of Article 10 of Delegated Regulation (EU) 2016/101.Rows 0090 to 0130: Absolute value of fair-valued assets and liabilities allocated as set out below (see corresponding row instructions) in accordance with the following risk categories: interest rates, foreign exchange, credit, equities, commodities. That includes the absolute value of fair-valued assets and liabilities for which AVAs are assessed to have zero value in accordance with Articles 9(2), 10(2) or 10(3) of Delegated Regulation (EU) 2016/101, which are also separately reported in rows 0070 and 0080.Row 0180: Absolute value of fair-valued assets and liabilities corresponding to the portfolios under the fall-back approach
0130 
Absolute value of fair-valued assets corresponding to the different rows as explained in the instructions on columns 0130-0140 above.

0140 
Absolute value of fair-valued liabilities corresponding to the different rows as explained in the instructions on columns 0130-0140 above.

0150 
The quarter-to-date revenues (“QTD revenue”) since the last reporting date attributed to the fair valued assets and liabilities corresponding to the different rows as explained in the instructions on columns 0130-0140 above, where relevant allocated or approximated based on expert judgment.

0160 
The sum across all positions and risk factors of unadjusted difference amounts (“IPV difference”) calculated at the month end closest to the reporting date under the independent price verification process performed in accordance with Article 105(8) CRR, with respect to the best available independent data for the relevant position or risk factor.

Unadjusted difference amounts refer to unadjusted differences between the trading system generated valuations and the valuations assessed during the monthly IPV process.

No adjusted difference amounts in the books and records of the institution for the relevant month end date shall be included in the calculation of IPV difference.

0170 – 0250 
Adjustments, sometimes also referred to as “reserves”, potentially applied in the institution’s accounting fair value that are made outside of the valuation model used to generate carrying amounts (excluding deferral of day one gains and losses) and that can be identified as addressing the same source of valuation uncertainty as the relevant AVA. They could reflect risk factors not captured within the valuation technique that are in a form of a risk premium or exit cost and are compliant with the definition of fair value. They shall nevertheless be considered by market participants when setting a price. (IFRS 13.9 and IFRS13.88)

0170 
Adjustment applied in the institution’s fair value to reflect the risk premium arising from the existence of a range of observed prices for equivalent instruments or, in respect of a market parameter input to a valuation model, the instruments from which the input has been calibrated, and thus that can be identified as addressing the same source of valuation uncertainty as the Market price uncertainty AVA.

0180 
Adjustment applied in the institution’s fair value to adjust for the fact that the position level valuations do not reflect an exit price for the position or portfolio, in particular where such valuations are calibrated to a mid-market price, and thus that can be identified as addressing the same source of valuation uncertainty as the close-out costs AVA.

0190 
Adjustment applied in the institution’s fair value to reflect market or product factors that are not captured by the model used to calculate daily position values and risks (“valuation model”) or to reflect an appropriate level of prudence given the uncertainty arising from the existence of a range of alternative valid models and model calibrations and thus that can be identified as addressing the same source of valuation uncertainty as the model risk AVA.

0200 
Adjustment applied in the institution’s fair value to reflect the fact that the aggregate position held by the institution is larger than normal traded volume or larger than the position sizes on which observable quotes or trades that are used to calibrate the price or inputs used by the valuation model are based and thus can be identified as addressing the same source of valuation uncertainty as the concentrated positions AVA.

0210 
Adjustment applied in the institution’s fair value to cover expected losses due to counterparty default on derivative positions (i.e. total Credit Valuation Adjustment “CVA” at institution level).

0220 
Adjustment applied in the institution’s fair value to compensate where valuation models do not fully reflect the funding cost that market participants would factor into the exit price for a position or portfolio (i.e. total Funding Valuation Adjustment at institution level where an institution computes such adjustment, or alternatively, equivalent adjustment).

0230 
Adjustment applied in the institution’s fair value to reflect administrative costs that are incurred by the portfolio or position but are not reflected in the valuation model or the prices used to calibrate inputs to that model, and thus that can be identified as addressing the same source of valuation uncertainty as the Future administrative costs AVA.

0240 
Adjustments applied in the institution’s fair value to reflect contractual or non-contractual early termination expectations that are not reflected in the valuation model and thus can be identified as addressing the same source of valuation uncertainty as the Early termination AVA.

0250 
Adjustments applied in the institution’s fair value to reflect the risk premium that market participants would charge to compensate for operational risks arising from hedging, administration and settlement of contracts in the portfolio, and thus can be identified as addressing the same source of valuation uncertainty as the operational risk AVA.

0260 
Adjustments to reflect instances where the valuation model plus all other relevant fair value adjustments applicable to a position or portfolio did not reflect the price paid or received at first day recognition, i.e. the deferral of day one gains and losses (IFRS 9.B5.1.2.A).

0270 
Description of the positions treated in accordance with point (b) of Article 7(2) of Delegated Regulation (EU) 2016/101 and the reason why it was not possible to apply Articles 9 to 17 thereof.



Rows
0010  1. 
Article 7(2) of Delegated Regulation (EU) 2016/101.

For each relevant category of AVAs referred to in columns 0010 to 0110, total AVAs computed under the core approach as set out in Chapter 3 of Delegated Regulation (EU) 2016/101 o for fair-valued assets and liabilities included in the threshold computation in accordance with Article 4(1) of that Regulation. That includes the diversification benefits reported in row 0140 in accordance with Articles 9(6), 10(7) and 11(7) of Delegated Regulation (EU) 2016/101.

0020 
Article 7(2) of Delegated Regulation (EU) 2016/101.

For each relevant category of AVAs referred to in columns 0010 to 0110, share of total AVAs reported in row 0010 stemming from trading book positions (absolute value).

0030  1.1. 
Point (a) of Article 7(2) of Delegated Regulation (EU) 2016/101.

For each relevant category of AVAs referred to in columns 0010 to 0110, total AVAs computed in accordance with Articles 9 to 17 of Delegated Regulation (EU) 2016/101 for fair-valued assets and liabilities included in the threshold computation in accordance with Article 4(1) of that Regulation, except fair-valued assets and liabilities subject to the treatment described in point (b) of Article 7(2) of Delegated Regulation (EU) 2016/101.

That includes the AVAs computed in accordance with Articles 12 and 13 of Delegated Regulation (EU) 2016/101 that are reported in rows 0050 and 0060 and are included in market price uncertainty AVAs, close-out costs AVAs and model risk AVAs as set out in Articles 12(2) and 13(2) of that Regulation.

That includes the diversification benefits reported in row 0140 in accordance with Articles 9(6), 10(7) and 11(7) of Delegated Regulation (EU) 2016/101.

Row 0030 shall be the difference between rows 0040 and 0140.

0040 – 0130  1.1.1. 
For rows 0090 to 0130, institutions shall allocate their fair-valued assets and liabilities included in the threshold computation in accordance with Article 4(1) of Delegated Regulation (EU) 2016/101 (trading book and non-trading book) to the following risk categories: interest rates, foreign exchange, credit, equities, commodities.

To that end, institutions shall rely on their internal risk management structure and, following a mapping developed based on expert judgement, allocate their business lines or trading desks to the most appropriate risk category. AVAs, Fair Value Adjustments and other required information which correspond to the allocated business lines or trading desks, shall be allocated to the same relevant risk category to provide at row level for each risk category a consistent overview of the adjustments performed both for prudential purposes and accounting purposes, as well as an indication of the size of the positions concerned (in terms of fair-valued assets and liabilities). Where AVAs or other adjustments are computed at a different level of aggregation, in particular at firm level, institutions shall develop an allocation methodology of the AVAs to the relevant sets of positions. The allocation methodology shall lead to row 0040 being the sum of rows 0050 to 0130 for columns 0010 to 0100.

Regardless of the approach applied, the information reported shall, as much as possible, be consistent at row level, since the information provided will be compared at this level (AVA amounts, upside uncertainty, fair-value amounts and potential fair-value adjustments).

The breakdown in rows 0090 to 0130 excludes the AVAs computed in accordance with Articles 12 and 13 of Delegated Regulation (EU) 2016/101 that are reported in rows 0050 and 0060 and are included in market price uncertainty AVAs, close-out costs AVAs and model risk AVAs as set out in Articles 12(2) and 13(2) of that Regulation.

Diversification benefits are reported in row 0140 in accordance with Articles 9(6), 10(7) and 11(7) of Delegated Regulation (EU) 2016/101 and are therefore excluded from rows 0040 to 0130.

0050 
Article 105(10) CRR, Article 12 of Delegated Regulation (EU) 2016/101.

The total AVA calculated for unearned credit spreads (“AVA on CVA”) and its allocation between market price uncertainty, close-out cost or model risk AVAs under Article 12 of Delegated Regulation (EU) 2016/101.

Column 0110: The total AVA is given for information only as its allocation between market price uncertainty, close-out cost or model risk AVAs leads to its inclusion – after taking into account diversification benefits – under the respective category level AVAs.

Columns 0130 and 0140: Absolute value of fair-valued assets and liabilities included in the scope of the computation of unearned credit spread AVAs. For the purpose of the computation of this AVA, exactly matching, offsetting fair-valued assets and liabilities, excluded from the threshold computation in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101 shall not be considered exactly matching, offsetting anymore.

0060 
Article 105(10) CRR, Article 17 of Delegated Regulation (EU) 2016/101.

The total AVA calculated for investing and funding costs and its allocation between market price uncertainty, close-out cost or model risk AVAs under Article 13 of Delegated Regulation (EU) 2016/101.

Column 0110: The total AVA is given for information only as its allocation between market price uncertainty, close-out cost or model risk AVAs leads to its inclusion – after taking into account diversification benefits – under the respective category level AVAs.

Columns 0130 and 0140: Absolute value of fair-valued assets and liabilities included in the scope of the computation of investment and funding costs AVA. For the purpose of the computation of this AVA, exactly matching, offsetting fair-valued assets and liabilities, excluded from the threshold computation in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101 shall not be considered exactly matching, offsetting anymore.

0070 
Absolute value of fair-valued assets and liabilities corresponding to the valuation exposures assessed to have zero AVA value under Article 9(2) of Delegated Regulation (EU) 2016/101.

0080 
Absolute value of fair-valued assets and liabilities corresponding to the valuation exposures assessed to have zero AVA value under Article 10(2) or 10(3) of Delegated Regulation (EU) 2016/101.

0090  1.1.1.1. 
0100  1.1.1.2. 
0110  1.1.1.3. 
0120  1.1.1.4. 
0130  1.1.1.5. 
0140  1.1.2. 
Total diversification benefit. Sum of rows 0150 and 0160.

0150  1.1.2.1. 
For those categories of AVA aggregated under Method 1 in accordance with Articles 9(6), 10(7) and 11(6) of Delegated Regulation (EU) 2016/101, the difference between the sum of the individual AVAs and the total category level AVA after adjusting for aggregation.

0160  1.1.2.2. 
For those categories of AVA aggregated under Method 2 in accordance with Articles 9(6), 10(7) and 11(6) of Delegated Regulation (EU) 2016/101, the difference between the sum of the individual AVAs and the total category level AVA after adjusting for aggregation.

0170  1.1.2.2* 
In the terminology of Method 2, the sum of FV – PV for all valuation exposures for which APVA < 10 % (FV – PV).

0180  1.2. 
Point (b) of Article 7(2) of Delegated Regulation (EU) 2016/101.

For portfolios subject to the fall-back approach under point (b) of Article 7(2) of Delegated Regulation (EU) 2016/101, the total AVA shall be computed as a sum of rows 0190, 0200 and 0210.

Relevant balance sheet and other contextual information shall be provided in columns 0130 – 0260. A description of the positions and the reason why it was not possible to apply Articles 9 to 17 of Delegated Regulation (EU) 2016/101 shall be provided in column 0270.

0190  1.2.1. 
Point (b)(i) of Article 7(2) of Delegated Regulation (EU) 2016/101.

0200  1.2.2. 
Point (b)(ii) of Article 7(2) of Delegated Regulation (EU) 2016/101.

0210  1.2.3. 
Point (b)(iii) of Article 7(2) of Delegated Regulation (EU) 2016/101.

 6.3.  6.3.1.  154f. This template is to be completed only by institutions that exceed the threshold referred to in Article 4(1) of Delegated Regulation (EU) 2016/101 at their level. Institutions that are part of a group breaching the threshold on a consolidated basis are required to report this template only where they also exceed the threshold at their level.
 154g. This template shall be used to report details of the top 20 individual model risk AVAs in terms of AVA amount that contribute to the total category level model risk AVA computed in accordance with Article 11 of Delegated Regulation (EU) 2016/101. That information corresponds to the information reported in column 0050 of template C 32.02.
 154h. The top 20 individual model risk AVAs, and corresponding product information, shall be reported in decreasing order starting from the largest individual model risk AVAs.
 154i. Products corresponding to those top individual model risk AVAs shall be reported using the product inventory required by point (a) of Article 19(3) of Delegated Regulation (EU) 2016/101.
 154j. Where products are sufficiently homogenous with respect to the valuation model and the model risk AVA, they shall be merged and shown on one line for the purpose of maximising coverage of this template in respect of the total category level Model Risk AVA of the institution.
 6.3.2. 

Columns
0005 
The rank is a row identifier and shall be unique for each row in the template. It shall follow the numerical order 1, 2, 3, etc., with 1 being assigned to the highest individual model risk AVAs, 2 to the second highest and so on.

0010 
Internal name (alpha-numerical) of the model used by the institution to identify the model.

0020 
The risk category (interest rates, FX, credit, equities, commodities) that most appropriately characterises the product or group of products that give rise to the model risk valuation adjustment.

Institutions shall report the following codes:


IR – interest rates
FX – foreign exchange
CR – credit
EQ – equities
CO – commodities

0030 
Internal name (alpha-numerical) for the product or group of products, in line with the product inventory required by point (a) of Article 19(3) of Delegated Regulation (EU) 2016/101, that is valued using the model.

0040 
Number of price observations for the product or group of products in the last 12 months that meet either of the following criteria:


— The price observation is a price at which the institution has conducted a transaction;
— It is a verifiable price for an actual transaction between third parties;
— The price is obtained from a committed quote.

Institutions shall report one of the following values: “none”, “1-6”, “6-24”, “24-100”, “100+”.

0050 
Article 11(1) of Delegated Regulation (EU) 2016/101.

Individual model risk AVA before diversification benefit, but after portfolio netting where relevant.

0060 
Amounts in column 0050 that have been calculated under the expert-based approach referred to in Article 11(4) of Delegated Regulation (EU) 2016/101.

0070 
Amounts in column 0050 that have been aggregated under Method 2 of the Annex to Delegated Regulation (EU) 2016/101. These amounts correspond to FV – PV in the terminology of that Annex.

0080 
The contribution towards the total category level AVA for model risk, as computed in accordance with Article 11(7) of the Delegated Regulation (EU) 2016/101 of individual model risk AVAs that are aggregated using Method 2 of the Annex to that Regulation (EU). That amount corresponds to APVA in the terminology of the Annex.

0090 -0100 
Absolute value of fair-valued assets and liabilities valued using the model reported in column 0010 as stated in the financial statements under the applicable framework.

0090 
Absolute value of fair-valued assets valued using the model reported in column 0010 as stated in the financial statements under the applicable framework.

0100 
Absolute value of fair-valued liabilities valued using the model reported in column 0010 as stated in the financial statements under the applicable framework.

0110 
The sum of unadjusted difference amounts (“IPV difference”) calculated at the month end closest to the reporting date under the independent price verification process performed in accordance with Article 105(8) CRR, with respect to the best available independent data for the corresponding product or group of products.

Unadjusted difference amounts refer to unadjusted differences between the trading system generated valuations and the valuations assessed during the monthly IPV process.

No adjusted difference amounts in the books and records of the institution for the relevant month end date shall be included in the calculation of IPV difference.

Only results that have been calibrated from prices of instruments that would be mapped to the same product (output testing) shall be included here. Input testing results from market data inputs that are tested against levels that have been calibrated from different products shall not be included.

0120 
The percentage of those positions mapped to the model weighted by model risk AVA that is covered by the output IPV testing results given in column 0110.

0130 – 0140 
Fair Value adjustments as referred to in columns 0190 and 0240 of template C 32.02 that have been applied to the positions mapped to the model in column 0010.

0150 
Adjustments as defined in column 0260 of template C 32.02 that have been applied to the positions mapped to the model in column 0010.

 6.4.  6.4.1.  154k. This template shall be completed only by institutions that exceed the threshold referred to in Article 4(1) of Delegated Regulation (EU) 2016/101. Institutions that are part of a group breaching the threshold on a consolidated basis shall report this template only where they also exceed the threshold at their level.
 154l. This template shall be used to report details of the top 20 individual concentrated positions AVAs in terms of AVA amount that contribute to the total category level concentrated positions AVA computed in accordance with Article 14 of Delegated Regulation (EU) 2016/101. This information shall correspond to the information reported in column 0070 of template C 32.02.
 154m. The top 20 concentrated positions AVAs, and corresponding product information, shall be reported in decreasing order starting from the largest individual concentrated positions AVAs.
 154n. Products corresponding to these top individual concentrated positions AVAs shall be reported using the product inventory required by point (a) of Article 19(3) of Delegated Regulation (EU) 2016/101.
 154o. Positions that are homogenous in terms of AVA calculation methodology shall be aggregated where this is possible to maximise the coverage of this template.
 6.4.2. 

Columns
0005 
The rank is a row identifier and shall be unique for each row in the template. It shall follow the numerical order 1, 2, 3, etc., with 1 being assigned to the highest concentrated positions AVAs, 2 to the second highest and so on.

0010 
The risk category (interest rates, FX, credit, equities, commodities) that most appropriately characterises the position.

Institutions shall report the following codes:


IR – Interest Rates
FX – Foreign exchange
CR – Credit
EQ – Equities
CO – Commodities

0020 
Internal name for the product or group of products in line with the product inventory required by point (a) of Article 19(3) of Delegated Regulation (EU) 2016/101.

0030 
Internal name of the underlying, or underlyings, in the case of derivatives or of the instruments in the case of non-derivatives.

0040 
Size of the individual concentrated valuation position identified in accordance with point (a) of Article 14(1) of Delegated Regulation (EU) 2016/101, expressed in the unit described in column 0050.

0050 
Unit of size measure used internally as part of the identification of the concentrated valuation position to compute the concentrated position size referred in column 0040.

In the case of positions in bonds or equity, please report the unit used for internal risk management, such as “number of bonds”, “number of shares” or “market value”.

In the case of position in derivatives, please report the unit used for internal risk management, such as “PV01; EUR per 1 basis point parallel yield curve shift”.

0060 
Market value of the position.

0070 
The prudent exit period in number of days estimated in accordance with point (b) of Article 14(1) of Delegated Regulation (EU) 2016/101.

0080 
The concentrated positions AVA amount calculated in accordance with Article 14(1) of Delegated Regulation (EU) 2016/101 for the individual concentrated valuation position concerned.

0090 
The amount of any fair value adjustments taken to reflect the fact that the aggregate position held by the institution is larger than the normal traded volume or larger than position sizes and on which quotes or trades, which are used to calibrate the price or inputs used by the valuation model, are based.

The amount reported shall correspond to the amount that has been applied to the individual concentrated valuation position concerned.

0100 
The sum of unadjusted difference amounts (“IPV difference”) calculated at the month end closest to the reporting date under the independent price verification process performed in accordance with Article 105(8) CRR, with respect to the best available independent data for the individual concentrated valuation position concerned.

Unadjusted difference amounts shall refer to unadjusted differences between the valuations generated by the trading system and the valuations assessed during the monthly IPV process.

No adjusted difference amounts in the books and records of the institution for the relevant month end date shall be included in the calculation of IPV difference.

 7.  7.1.  155. The information for the purpose of template C 33.00 shall cover all exposures to “General governments” as referred to in point (b) of paragraph 42 of Annex V to this Implementing Regulation.
 156. Exposures to “General governments” are included in different exposure classes in accordance with Article 112 and Article 147 CRR, as specified by the instructions for the completion of template C 07.00, C 08.01 and C 08.02.
 157. Table 2 (Standardised Approach) and Table 3 (IRB Approach), included in Part 3 of Annex V to this Implementing Regulation, shall be observed for the mapping of exposure classes used to calculate capital requirements under CRR to counterparty sector “General governments”.
 158. Information shall be reported for the total aggregate exposures (meaning the sum of all countries in which the bank has sovereign exposures) and for each country on the basis of the residence of the counterparty on an immediate borrower basis.
 159. The allocation of exposures to exposure classes or jurisdictions shall be made without considering credit mitigation techniques and in particular without considering substitution effects. However, the calculation of exposure values and risk weighted exposure amounts for each exposure class and each jurisdiction shall include the incidence of credit risk mitigation techniques, including substitution effects.
 160. The reporting of information on exposures to “General governments” by jurisdiction of residence of the immediate counterparty other than the domestic jurisdiction of the reporting institution is subject to the thresholds laid down in point (3) of Article 5(b) of this Implementing Regulation.
 7.2.  161. The scope of the GOV template covers on, off-balance sheet and derivatives direct exposures to “General governments” in the banking and trading book. In addition, a memorandum item on indirect exposures in the form of credit derivatives sold on general government exposures is also requested.
 162. An exposure is a direct exposure when the immediate counterparty is an entity that is a “General government” as referred to in point (b) of paragraph 42 of Annex V to this Implementing Regulation.
 163. The template is divided in two sections. The first one is based on a breakdown of exposures by risk, regulatory approach and exposure classes whereas a second one is based on a breakdown by residual maturity
 7.3. 

Columns Instructions
010-260 
010-140 
010 
Aggregate of gross carrying amount, as determined in accordance with paragraph 34 of Part 1 of Annex V to this Implementing Regulation, of non-derivative financial assets to General governments, for all accounting portfolios under IFRS or national GAAP based on BAD defined in paragraphs 15 to 22 of Part 1 of Annex V to this Implementing Regulation, and listed in columns 030 to 120

Prudent valuation adjustments shall not reduce the gross carrying amount of trading and non-trading exposures measured at fair value.

020 
Aggregate of the carrying amount, as referred to in paragraph 27 of Part 1 of Annex V to this Implementing Regulation, of non-derivative financial assets to General governments for all accounting portfolios under IFRS or national GAAP based on BAD defined in paragraphs 15 to 22 of Part 1 of Annex V to this Implementing Regulation and listed in columns 030 to 120, net of short positions.

Where the institution has a short position for the same residual maturity and the same immediate counterparty that is denominated in the same currency, the carrying amount of the short position shall be netted against the carrying amount of the direct position. That net amount shall be considered to be zero when it is a negative amount.

The sum of the columns 030 to 120 minus column 130 shall be reported. If that amount is lower than zero, the amount to be reported shall be zero.

030-120 
Aggregate carrying amount of non-derivative financial assets, as defined in the row above of this table, to General governments, broken down by accounting portfolio under the applicable accounting framework

030 
IFRS 7.8(a)(ii); IFRS 9 Appendix A

040 
Articles 32 and 33 BAD; Paragraph 16 of Part 1 of Annex V to this Implementing Regulation; point (a) of Article 8(1) AD

Only to be reported by institutions under national Generally Accepted Accounting Principles (GAAP).

050 
IFRS 7.8(a)(ii); IFRS 9.4.1.4

060 
IFRS 7.8(a)(i); IFRS 9.4.1.5 and point (a) of Article 8(1) and Article 8(6) AD

070 
Article 36(2) BAD; point (a) of Article 8(1) AD

Only to be reported by institutions under national Generally Accepted Accounting Principles (GAAP).

080 
IFRS 7.8(d); IFRS 9.4.1.2 A

090 
Point (a) of Article 8(1) and Article 8(8) AD

Only to be reported by institutions under national Generally Accepted Accounting Principles (GAAP).

100 
IFRS 7.8(f); IFRS 9.4.1.2; Paragraph 15 of Part 1 of Annex V to this Implementing Regulation

110 
Article 35 BAD; point (i) of Article 6(1) and Article 8(2) AD; Paragraph 16 of Part 1 of Annex V to this Implementing Regulation

Only to be reported by institutions under national Generally Accepted Accounting Principles (GAAP).

120 
Article 37 BAD; Article 12(7) AD; Paragraph 16 of Part 1 of Annex V to this Implementing Regulation

Only to be reported by institutions under national Generally Accepted Accounting Principles (GAAP).

130 
Carrying amount of short positions, as defined in IFRS 9 BA.7(b) where the direct counterparty is a General government as defined in paragraphs 155 to 160 of this Annex.

Short positions arise where the institution sells securities acquired in a reverse repurchase loan or borrowed in a securities lending transaction.

The carrying amount is the fair value of the short positions.

Short positions shall be reported by residual maturity bucket, as listed in rows 170 to 230, and by immediate counterparty. Short positions shall be used for netting with positions for the same residual maturity and immediate counterparty for the computation of columns 030 to 120.

140 
Carrying amount of short positions, as defined in IFRS 9 BA.7(b), that arise when the institution sells the securities acquired in reverse repurchase loans, where the direct counterparty of those securities is a General government and that are included in the held for trading or trading financial assets accounting portfolios (columns 030 or 040).

Short positions that arise when the sold securities were borrowed in a securities lending transition shall not be included in this column.

150 
Aggregate accumulated impairment related to non-derivative financial assets reported in columns 080 to 120 (paragraphs 70 and 71 of Part 2 of Annex V to this Implementing Regulation)

160 
Aggregate of accumulated impairment related to non-derivative financial assets reported in columns 080 and 090.

170 
Aggregate of accumulated negative changes in fair value due to credit risk related to positions informed in columns 050, 060, 070, 080 and 090 (paragraph 69 of Part 2 of Annex V to this Implementing Regulation)

180 
Aggregate of accumulated negative changes in fair value due to credit risk related to positions informed in columns 050, 060 and 070.

190 
Aggregate of accumulated negative changes in fair value due to credit risk related to positions informed in columns 080 and 090.

200-230 
Direct derivative positions shall be reported in columns 200 to 230.

For the reporting of derivatives subject to both counterparty credit risk and market risk capital charges, see instructions for the row breakdown.

200-210 
All derivative instruments with a General government counterparty with a positive fair value for the institution at the reporting date, regardless of whether those instruments are used in a qualifying hedging relationship, are held for trading, or are included in the trading portfolio under IFRS and national GAAP based on BAD.

Derivatives used in economic hedging shall be reported here when they are included in the trading or held for trading accounting portfolios (paragraphs 120, 124, 125 and 137 to 140 of Part 2 of Annex V to this Implementing Regulation).

200 
Carrying amount of the derivatives accounted for as financial assets at the reporting reference date.

Under GAAP based on BAD, derivatives to be reported in these columns include the derivative instruments measured at cost or at the lower of cost or market included in the trading portfolio or designated as hedging instruments.

210 
Under IFRS and national GAAP based on BAD, notional amount, as defined in paragraphs 133 to 135 of Part 2 of Annex V to this Implementing Regulation, of all derivative contracts concluded and not yet settled at the reporting reference date, where the counterparty is a General government as defined in paragraphs 155 to 160 of this Annex and the fair value of the derivative is positive for the institution at the reference date.

220-230 
All derivative instruments with a General government counterparty with a negative fair value for the institution at the reporting reference date, regardless of whether those instruments are used in a qualifying hedging relationship or are held for trading or included in the trading portfolio under IFRS and national GAAP based on BAD.

Derivatives used in economic hedging shall be reported here when they are included in the trading or held for trading accounting portfolios (paragraphs 120, 124, 125 and 137 to 140 of Part 2 of Annex V to this Implementing Regulation).

220 
Carrying amount of the derivatives accounted for as financial liabilities at the reporting reference date.

Under GAAP based on BAD, derivatives to be reported in these columns include the derivative instruments measured at cost or at the lower of cost or market included in the trading portfolio or designated as hedging instruments.

230 
Under IFRS and national GAAP based on BAD, notional amount, as defined in paragraphs 133 to 135 of Part 2 of Annex V to this Implementing Regulation, of all derivative contracts concluded and not yet settled at the reference date, where the counterparty is a General government as defined in paragraphs 155 to 160 of this Annex and the fair value of the derivative is negative for the institution at the reference date.

240-260 
240 
Where the direct counterparty of the off-balance sheet item is a General government as defined in paragraphs 155 to 160 of this Annex, nominal amount of the commitments and financial guarantees that are not considered as a derivative in accordance with IFRS or under national GAAP based on BAD (paragraphs 102-119 of Part 2 of Annex V to this Implementing Regulation,).

In accordance with paragraphs 43 and 44 of Part 2 of Annex V to this Implementing Regulation, the General government is the direct counterparty: (a) in a financial guarantee given, when it is the direct counterparty of the guaranteed debt instrument, and (b) in a loan commitment and other commitment given, when it is the counterparty whose credit risk is assumed by the reporting institution.

250 
Point (6)(c) and “Off balance sheet items” of Article 4, Articles 27(11), 28(8) and Article 33 BAD+/; IFRS 9.4.2.1(c)(ii),(d)(ii), 9.5.5.20;IAS 37, IFRS 4, Part 2.11 of Annex V to this Implementing Regulation.

Provisions on all off-balance sheet exposures regardless of how they are measured, except those that are measured at fair value through profit or loss in accordance with IFRS 9.

Under IFRS, the impairment of a loan commitment given shall be reported in column 150 where the institution cannot separately identify the expected credit losses related to the drawn and undrawn amount of the debt instrument. In case the combined expected credit losses for that financial instrument exceed the gross carrying amount of the loan component of the instrument, the remaining balance of the expected credit losses shall be reported as a provision in column 250.

260 
For off-balance sheet items measured at fair value through profit or loss under IFRS 9, accumulated negative changes in fair value due to credit risk (paragraph 110 of Part 2 of Annex V to this Implementing Regulation)

270-280 
Credit derivatives that do not meet the definition of financial guarantees in Annex V, Part 2, paragraph 58 that the reporting institution has underwritten with counterparties other than General governments and whose reference exposure is a General government shall be reported.

These columns shall not be reported for exposures broken down by risk, regulatory approach and exposure class (rows 020 to 160).

The exposures reported in the section are not to be considered in the computation of exposure Value and Risk weighted amount (columns 290 and 300) which is based solely on direct exposures.

270 
Aggregated carrying amount of the credit derivatives sold on general government exposures reported which have a positive fair value for the institution at the reference reporting date, without considering prudent valuation adjustments.

For derivatives under IFRS, the amount to be reported in this column is the carrying amount of the derivatives that are financial assets at the reporting date.

For derivatives under GAAP based on BAD, the amount to be reported in this column shall be the fair value of the derivatives with a positive fair value at the reference reporting date, independently of how they are accounted for.

280 
Aggregated carrying amount of the credit derivatives sold on general government exposures reported which have a negative fair value for the institution at the reference reporting date, without considering prudent valuation adjustments.

For derivatives under IFRS, the amount to be reported in this column shall be the carrying amount of the derivatives that are financial liabilities at the reporting date.

For derivatives under GAAP based on BAD, the amount to be reported in this column is the fair value of the derivatives with a negative fair value at the reference reporting date, independently of how they are accounted for.

290 
Exposure value for exposures subject to the credit risk framework.

For exposures under the Standardised Approach (SA): see Article 111 CRR. For exposures under the IRB Approach: see Article 166 and the second sentence of Article 230(1) CRR.

For the reporting of derivatives subject to both counterparty credit risk and market risk capital charges, see instructions for the row breakdown.

300 
Risk weighted exposure amount for exposures subject to the credit risk framework.

For exposures under the Standardised Approach (SA): see paragraphs 1 to 5 of Article 113 CRR. For exposures under the IRB Approach: see paragraphs 1 and 3 of Article 153 CRR.

For the reporting of direct exposures within the scope of Article 271 CRR subject to own funds requirements for both counterparty credit risk and market risk, see instructions for the row breakdown.



Rows Instructions
BREAKDOWN OF EXPOSURES BY REGULATORY APPROACH
010 
Aggregate of exposures to General governments, as defined in paragraphs 155 to 160 of this Annex.

020-155 
Aggregate of exposures to General governments that shall be risk-weighted in accordance with Title II of Part Three CRR. Exposures under the credit risk framework include exposures from both the non-trading book and the trading book subject to a capital charge for counterparty credit risk.

Direct exposures within the scope of Article 271 CRR subject to own funds requirements for both counterparty credit risk and market risk shall be reported both in the credit risk rows (020 to 155) and the market risk row (row 160): the exposures due to counterparty credit risk shall be reported in the credit risk rows, while the exposures due to market risk shall be reported in the market risk row.

030 
Exposures to General governments that shall be risk-weighted in accordance with Chapter 2 of Title II of Part Three CRR, including exposures from the non-trading book for which the risk-weighting in accordance with that Chapter addresses counterparty credit risk.

040 
Exposures to General governments that are central governments. These exposures are allocated to the “Central governments or central banks” exposure class in accordance with Articles 112 and 114 CRR, as specified by the instructions for template C 07.00, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply.

050 
Exposures to General governments that are regional governments or local authorities. These exposures are allocated to the “Regional governments or local authorities” exposure class in accordance with Articles 112 and 115 CRR, as specified by the instructions for template C 07.00, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply.

060 
Exposures to General governments that are public sector entities. These exposures are allocated to the “Public sector entities” exposure class in accordance with Articles 112 and 116 CRR, as specified by the instructions for template C 07.00, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply.

070 
Exposures to General governments that are international organisations. These exposures are allocated to the “International Organisations” exposure classes in accordance with Articles 112 and 118 CRR, as specified by the instructions for template C 07.00, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply.

075 
Exposures to General governments other than those included in rows 040 to 070 above, which are allocated to SA exposure classes in accordance with Article 112 CRR for the purposes of calculating own funds requirements.

080 
Exposures to General governments that shall be risk-weighted in accordance with Chapter 3 of Title II of Part Three CRR, including exposures from the non-trading book for which the risk-weighting in accordance with that Chapter addresses counterparty credit risk.

090 
Exposures to General governments that are central governments and that are allocated to the “Central governments and central banks” exposure class in accordance with point (a) of Article 147(3) CRR, as specified by the instructions for template C 08.01 and C 08.02, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply..

100 
Exposures to General governments that are regional governments or local authorities and that are allocated to the “Central governments and central banks” exposure class in accordance with point (a) of Article 147(3) CRR, as specified by the instructions for template C 08.01 and C 08.02, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply.

110 
Exposures to General governments that are regional governments or local authorities and that are allocated to the “Institutions” exposure class in accordance with point (a) of Article 147(4) CRR, as specified by the instructions for template C 08.01 and C 08.02, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply.

120 
Exposures to General governments that are public sector entities in accordance with Article 4(8) CRR and that are allocated to the “Central governments and central banks” exposure class in accordance with point (a) of Article 147(3) CRR, as specified by the instructions for template C 08.01 and C 08.02, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply.

130 
Exposures to General governments that are public sector entities in accordance with Article 4(8) CRR and that are allocated to the “Institutions” exposure class in accordance with point (b) of Article 147(4) CRR, as specified by the instructions for template C 08.01 and C 08.02, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply.

140 
Exposures to General governments that are International Organisations and that are allocated to the “Central governments and central banks” exposure class in accordance with point (c) of Article 147(3) CRR, as specified by the instructions for template C 08.01 and C 08.02, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply.

155 
Exposures to General governments other than those included in rows 090 to 140 above which are allocated to IRB exposure classes in accordance with Article 147 CRR for the purposes of calculating own funds requirements.

160 
Market risk exposures cover positions for which own funds requirements are calculated in accordance with Title IV of Part Three CRR.

Direct exposures within the scope of Article 271 CRR subject to own funds requirements for both counterparty credit risk and market risk shall be reported both in the credit risk rows (020 to 155) and the market risk row (row 160): the exposure due to counterparty credit risk shall be reported in the credit risk rows, while the exposure due to market risk shall be reported in the market risk row.

170-230 
Residual maturity shall be computed in days between the contractual date of maturity and the reporting reference date for all positions.

Exposures to General governments shall be broken-down by residual maturity and allocated to the buckets provided as follows:


— [0 – 3M [: Less than 90 days
— [3M – 1Y [: Equal or greater than 90 days and less than 365 days
— [1Y – 2Y [: Equal or greater than 365 days and less than 730 days
— [2Y – 3Y [: Equal or greater than 730 days and less than 1 095 days
— [3Y – 5Y [: Equal or greater than 1 095 days and less than 1 825 days
— [5Y – 10Y [: Equal or greater than 1 825 days and less than 3 650 days
— [10Y – more: Equal or greater than 3 650 days



ANNEX III


ANNEX III 
FINREP TEMPLATES FOR IFRS
TEMPLATE NUMBER TEMPLATE CODE NAME OF THE TEMPLATE OR OF THE GROUP OF TEMPLATE
  PART 1 [QUARTERLY FREQUENCY]
  Balance Sheet Statement [Statement of Financial Position]
1.1 F 01.01 Balance Sheet Statement: assets
1.2 F 01.02 Balance Sheet Statement: liabilities
1.3 F 01.03 Balance Sheet Statement: equity
2 F 02.00 Statement of profit or loss
3 F 03.00 Statement of comprehensive income
  Breakdown of financial assets by instrument and by counterparty sector
4.1 F 04.01 Breakdown of financial assets by instrument and by counterparty sector: financial assets held for trading
4.2.1 F 04.02.1 Breakdown of financial assets by instrument and by counterparty sector: non-trading financial assets mandatorily at fair value through profit or loss
4.2.2 F 04.02.2 Breakdown of financial assets by instrument and by counterparty sector: financial assets designated at fair value through profit or loss
4.3.1 F 04.03.1 Breakdown of financial assets by instrument and by counterparty sector: financial assets at fair value through other comprehensive income
4.4.1 F 04.04.1 Breakdown of financial assets by instrument and by counterparty sector: financial assets at amortised cost
4.5 F 04.05 Subordinated financial assets
5.1 F 05.01 Breakdown of non-trading loans and advances by product
6.1 F 06.01 Breakdown of loans and advances other than held for trading to non-financial corporations by NACE codes
  Financial assets subject to impairment that are past due
7.1 F 07.01 Financial assets subject to impairment that are past due
  Breakdown of financial liabilities
8.1 F 08.01 Breakdown of financial liabilities by product and by counterparty sector
8.2 F 08.02 Subordinated financial liabilities
  Loan commitments, financial guarantees and other commitments
9.1.1 F 09.01.1 Off-balance sheet exposures: loan commitments, financial guarantees and other commitments given
9.2 F 09.02 Loan commitments, financial guarantees and other commitments received
10 F 10.00 Derivatives – Trading and economic hedges
  Hedge accounting
11.1 F 11.01 Derivatives – Hedge accounting: Breakdown by type of risk and type of hedge
11.3 F 11.03 Non-derivative hedging instruments: Breakdown by accounting portfolio and type of hedge
11.4 F 11.04 Hedged items in fair value hedges
  Movements in allowances and provisions for credit losses
12.1 F 12.01 Movements in allowances and provisions for credit losses
12.2 F 12.02 Transfers between impairment stages (gross basis presentation)
  Collateral and guarantees received
13.1 F 13.01 Breakdown of collateral and guarantees by loans and advances other than held for trading
13.2.1 F 13.02.1 Collateral obtained by taking possession during the period [held at the reference date]
13.3.1 F 13.03.1 Collateral obtained by taking possession accumulated
14 F 14.00 Fair value hierarchy: financial instruments at fair value
15 F 15.00 Derecognition and financial liabilities associated with transferred financial assets
  Breakdown of selected statement of profit or loss items
16.1 F 16.01 Interest income and expenses by instrument and counterparty sector
16.2 F 16.02 Gains or losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss by instrument
16.3 F 16.03 Gains or losses on financial assets and liabilities held for trading and trading financial assets and trading financial liabilities by instrument
16.4 F 16.04 Gains or losses on financial assets and liabilities held for trading and trading financial assets and trading financial liabilities by risk
16.4.1 F 16.04.1 Gains or losses on non-trading financial assets mandatorily at fair value through profit or loss by instrument
16.5 F 16.05 Gains or losses on financial assets and liabilities designated at fair value through profit or loss by instrument
16.6 F 16.06 Gains or losses from hedge accounting
16.7 F 16.07 Impairment on non-financial assets
16.8 F 16.08 Other administrative expenses
  Reconciliation between accounting and CRR scope of consolidation: Balance Sheet
17.1 F 17.01 Reconciliation between accounting and CRR scope of consolidation: Assets
17.2 F 17.02 Reconciliation between accounting and CRR scope of consolidation: Off-balance sheet exposures – loan commitments, financial guarantees and other commitments given
17.3 F 17.03 Reconciliation between accounting and CRR scope of consolidation: Liabilities
  Information on performing and non-performing exposures
18 F 18.00 Information on performing and non-performing exposures
18.1 F 18.01 Inflows and outflows of non-performing exposures – loans and advances by counterparty sector
18.2 F 18.02 Commercial Real Estate (CRE) loans and additional information on loans secured by immovable property
19 F 19.00 Forborne exposures
  PART 2 [QUATERLY WITH THRESHOLD: QUARTERLY FREQUENCY OR NOT REPORTING]
  Geographical breakdown
20.1 F 20.01 Geographical breakdown of assets by location of the activities
20.2 F 20.02 Geographical breakdown of liabilities by location of the activities
20.3 F 20.03 Geographical breakdown of main statement of profit or loss items by location of the activities
20.4 F 20.04 Geographical breakdown of assets by residence of the counterparty
20.5 F 20.05 Geographical breakdown of off-balance sheet exposures by residence of the counterparty
20.6 F 20.06 Geographical breakdown of liabilities by residence of the counterparty
20.7.1 F 20.07.1 Geographical breakdown by residence of the counterparty of loans and advances other than held for trading to non-financial corporations by NACE codes
21 F 21.00 Tangible and intangible assets: assets subject to operating lease
  Asset management, custody and other service functions
22.1 F 22.01 Fee and commission income and expenses by activity
22.2 F 22.02 Assets involved in the services provided
  Loans and advances: additional information
23.1 F 23.01 Loans and advances: Number of instruments
23.2 F 23.02 Loans and advances: Additional information on gross carrying amounts
23.3 F 23.03 Loans and advances collateralised by immovable property: Breakdown by LTV ratios
23.4 F 23.04 Loans and advances: Additional information on accumulated impairments and accumulated negative changes in fair value due to credit risk
23.5 F 23.05 Loans and advances: Collateral received and financial guarantees received
23.6 F 23.06 Loans and advances: Accumulated partial write-offs
  Loans and advances: Flows of non performing exposures, impairment & write offs since the end of the last financial year
24.1 F 24.01 Loans and advances: Inflows and outflows of non-performing exposures
24.2 F 24.02 Loans and advances: Flow of impairments and accumulated negative changes in fair value due to credit risk on non-performing exposures
24.3 F 24.03 Loans and advances: Inflow of write-offs of non-performing exposures
  Collateral obtained by taking possession and execution processes
25.1 F 25.01 Collateral obtained by taking possession other than collateral classified as Property Plant and Equipment (PP&E): Inflows and Outflows
25.2 F 25.02 Collateral obtained by taking possession other than collateral classified as Property Plant and Equipment (PP&E): Type of collateral obtained
25.3 F 25.03 Collateral obtained by taking possession classified as Property Plant and Equipment (PP&E)
26 F 26.00 Forbearance management and quality of forbearance
  PART 3 [SEMI-ANNUAL]
  Off-balance sheet activities: interests in unconsolidated structured entities
30.1 F 30.01 Interests in unconsolidated structured entities
30.2 F 30.02 Breakdown of interests in unconsolidated structured entities by nature of the activities
  Related parties
31.1 F 31.01 Related parties: amounts payable to and amounts receivable from
31.2 F 31.02 Related parties: expenses and income generated by transactions with
  PART 4 [ANNUAL]
  Group structure
40.1 F 40.01 Group structure: “entity-by-entity”
40.2 F 40.02 Group structure: “instrument-by-instrument”
  Fair value
41.1 F 41.01 Fair value hierarchy: financial instruments at amortised cost
41.2 F 41.02 Use of the Fair Value Option
42 F 42.00 Tangible and intangible assets: carrying amount by measurement method
43 F 43.00 Provisions
  Defined benefit plans and employee benefits
44.1 F 44.01 Components of net defined benefit plan assets and liabilities
44.2 F 44.02 Movements in defined benefit plan obligations
44.3 F 44.03 Staff expenses by type of benefits
44.4 F 44.04 Staff expenses by structure and category of staff
  Breakdown of selected items of statement of profit or loss
45.1 F 45.01 Gains or losses on financial assets and liabilities designated at fair value through profit or loss by accounting portfolio
45.2 F 45.02 Gains or losses on derecognition of non-financial assets other than held for sale and investments in subsidiaries, joint ventures and associates
45.3 F 45.03 Other operating income and expenses
46 F 46.00 Statement of changes in equity
47 F 47.00 Average duration and recovery periods 1.  1.1 

 References Breakdown in table Carrying amount
Annex V.Part 1.27
010
010 Cash, cash balances at central banks and other demand deposits IAS 1.54 (i)  
020 Cash on hand Annex V.Part 2.1  
030 Cash balances at central banks Annex V.Part 2.2  
040 Other demand deposits Annex V.Part 2.3 5 
050 Financial assets held for trading IFRS 9.Appendix A  
060 Derivatives IFRS 9.Appendix A 10 
070 Equity instruments IAS 32.11 4 
080 Debt securities Annex V.Part 1.31 4 
090 Loans and advances Annex V.Part 1.32 4 
096 Non-trading financial assets mandatorily at fair value through profit or loss IFRS 7.8(a)(ii); IFRS 9.4.1.4 4 
097 Equity instruments IAS 32.11 4 
098 Debt securities Annex V.Part 1.31 4 
099 Loans and advances Annex V.Part 1.32 4 
100 Financial assets designated at fair value through profit or loss IFRS 7.8(a)(i); IFRS 9.4.1.5 4 
120 Debt securities Annex V.Part 1.31 4 
130 Loans and advances Annex V.Part 1.32 4 
141 Financial assets at fair value through other comprehensive income IFRS 7.8(h); IFRS 9.4.1.2A 4 
142 Equity instruments IAS 32.11 4 
143 Debt securities Annex V.Part 1.31 4 
144 Loans and advances Annex V.Part 1.32 4 
181 Financial assets at amortised cost IFRS 7.8(f); IFRS 9.4.1.2 4 
182 Debt securities Annex V.Part 1.31 4 
183 Loans and advances Annex V.Part 1.32 4 
240 Derivatives – Hedge accounting IFRS 9.6.2.1; Annex V.Part 1.22 11 
250 Fair value changes of the hedged items in portfolio hedge of interest rate risk IAS 39.89A(a); IFRS 9.6.5.8  
260 Investments in subsidiaries, joint ventures and associates IAS 1.54(e); Annex V.Part 1.21, Part 2.4 40 
270 Tangible assets   
280 Property, Plant and Equipment IAS 16.6; IAS 1.54(a); IFRS 16.47(a) 21, 42 
290 Investment property IAS 40.5; IAS 1.54(b); IFRS 16.48 21, 42 
300 Intangible assets IAS 1.54(c); CRR art 4(1)(115)  
310 Goodwill IFRS 3.B67(d); CRR art 4(1)(113)  
320 Other intangible assets IAS 38.8,118; IFRS 16.47 (a) 21, 42 
330 Tax assets IAS 1.54(n-o)  
340 Current tax assets IAS 1.54(n); IAS 12.5  
350 Deferred tax assets IAS 1.54(o); IAS 12.5; CRR art 4(1)(106)  
360 Other assets Annex V.Part 2.5  
370 Non-current assets and disposal groups classified as held for sale IAS 1.54(j); IFRS 5.38, Annex V.Part 2.7  
380 TOTAL ASSETS IAS 1.9(a), IG 6  
 1.2 

 References Breakdown in table Carrying amount
Annex V.Part 1.27
010
010 Financial liabilities held for trading IFRS 7.8 (e) (ii); IFRS 9.BA.6 8 
020 Derivatives IFRS 9.Appendix A; IFRS 9.4.2.1(a); IFRS 9.BA.7(a) 10 
030 Short positions IFRS 9.BA7(b) 8 
040 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 8 
050 Debt securities issued Annex V.Part 1.37 8 
060 Other financial liabilities Annex V.Part 1.38-41 8 
070 Financial liabilities designated at fair value through profit or loss IFRS 7.8 (e)(i); IFRS 9.4.2.2 8 
080 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 8 
090 Debt securities issued Annex V.Part 1.37 8 
100 Other financial liabilities Annex V.Part 1.38-41 8 
110 Financial liabilities measured at amortised cost IFRS 7.8(g); IFRS 9.4.2.1 8 
120 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 8 
130 Debt securities issued Annex V.Part 1.37 8 
140 Other financial liabilities Annex V.Part 1.38-41 8 
150 Derivatives – Hedge accounting IFRS 9.6.2.1; Annex V.Part 1.26 11 
160 Fair value changes of the hedged items in portfolio hedge of interest rate risk IAS 39.89A(b), IFRS 9.6.5.8  
170 Provisions IAS 37.10; IAS 1.54(l) 43 
180 Pensions and other post employment defined benefit obligations IAS 19.63; IAS 1.78(d); Annex V.Part 2.9 43 
190 Other long term employee benefits IAS 19.153; IAS 1.78(d); Annex V.Part 2.10 43 
200 Restructuring IAS 37.71, 84(a) 43 
210 Pending legal issues and tax litigation IAS 37.Appendix C. Examples 6 and 10 43 
220 Commitments and guarantees given IFRS 9.4.2.1(c),(d), 9.5.5, 9.B2.5; IAS 37, IFRS 4, Annex V.Part 2.11 91243 
230 Other provisions IAS 37.14 43 
240 Tax liabilities IAS 1.54(n-o)  
250 Current tax liabilities IAS 1.54(n); IAS 12.5  
260 Deferred tax liabilities IAS 1.54(o); IAS 12.5; CRR art 4(1)(108)  
270 Share capital repayable on demand IAS 32 IE 33; IFRIC 2; Annex V.Part 2.12  
280 Other liabilities Annex V.Part 2.13  
290 Liabilities included in disposal groups classified as held for sale IAS 1.54 (p); IFRS 5.38, Annex V.Part 2.14  
300 TOTAL LIABILITIES IAS 1.9(b);IG 6  
 1.3 

 References Breakdown in table Carrying amount
010
010 Capital IAS 1.54(r), BAD art 22 46 
020 Paid up capital IAS 1.78(e)  
030 Unpaid capital which has been called up Annex V.Part 2.14  
040 Share premium IAS 1.78(e); CRR art 4(1)(124) 46 
050 Equity instruments issued other than capital Annex V.Part 2.18-19 46 
060 Equity component of compound financial instruments IAS 32.28-29; Annex V.Part 2.18  
070 Other equity instruments issued Annex V.Part 2.19  
080 Other equity IFRS 2.10; Annex V.Part 2.20  
090 Accumulated other comprehensive income CRR art 4(1)(100) 46 
095 Items that will not be reclassified to profit or loss IAS 1.82A(a)  
100 Tangible assets IAS 16.39-41  
110 Intangible assets IAS 38.85-87  
120 Actuarial gains or (-) losses on defined benefit pension plans IAS 1.7, IG6; IAS 19.120(c)  
122 Non-current assets and disposal groups classified as held for sale IFRS 5.38, IG Example 12  
124 Share of other recognised income and expense of investments in subsidaries, joint ventures and associates IAS 1.IG6; IAS 28.10  
320 Fair value changes of equity instruments measured at fair value through other comprehensive income IAS 1.7(d); IFRS 9 5.7.5, B5.7.1; Annex V.Part 2.21  
330 Hedge ineffectiveness of fair value hedges for equity instruments measured at fair value through other comprehensive income IAS 1.7(e);IFRS 9.5.7.5;.6.5.3; IFRS 7.24C; Annex V.Part 2.22  
340 Fair value changes of equity instruments measured at fair value through other comprehensive income [hedged item] IFRS 9.5.7.5;.6.5.8(b); Annex V.Part 2.22  
350 Fair value changes of equity instruments measured at fair value through other comprehensive income [hedging instrument] IAS 1.7(e);IFRS 9.5.7.5;.6.5.8(a); Annex V.Part 2.57  
360 Fair value changes of financial liabilities at fair value through profit or loss attributable to changes in their credit risk IAS 1.7(f); IFRS 9 5.7.7;Annex V.Part 2.23  
128 Items that may be reclassified to profit or loss IAS 1.82A(a) (ii)  
130 Hedge of net investments in foreign operations [effective portion] IFRS9.6.5.13(a); IFRS7.24B(b)(ii)(iii); IFRS 7.24C(b)(i)(iv),.24E(a); Annex V.Part 2.24  
140 Foreign currency translation IAS 21.52(b); IAS 21.32, 38-49  
150 Hedging derivatives. Cash flow hedges reserve [effective portion] IAS 1.7 (e); IFRS 7.24B(b)(ii)(iii); IFRS 7.24C(b)(i);.24E; IFRS 9.6.5.11(b); Annex V.Part 2.25  
155 Fair value changes of debt instruments measured at fair value through other comprehensive income IAS 1.7(da); IFRS 9.4.1.2A; 5.7.10; Annex V.Part 2.26  
165 Hedging instruments [not designated elements] IAS 1.7(g)(h); IFRS 9.6.5.15, .6.5.16; IFRS 7.24 E (b)(c); Annex V.Part 2.60  
170 Non-current assets and disposal groups classified as held for sale IFRS 5.38, IG Example 12  
180 Share of other recognised income and expense of investments in subsidaries, joint ventures and associates IAS 1.IG6; IAS 28.10  
190 Retained earnings CRR art 4(1)(123)  
200 Revaluation reserves IFRS 1.30, D5-D8; Annex V.Part 2.28  
210 Other reserves IAS 1.54; IAS 1.78(e)  
220 Reserves or accumulated losses of investments in subsidaries, joint ventures and associates accounted for using the equity method IAS 28.11; Annex V.Part 2.29  
230 Other Annex V.Part 2.29  
240 (-) Treasury shares IAS 1.79(a)(vi); IAS 32.33-34, AG 14, AG 36; Annex V.Part 2.30 46 
250 Profit or loss attributable to owners of the parent IAS 1.81B (b)(ii) 2 
260 (-) Interim dividends IAS 32.35  
270 Minority interests [Non-controlling interests] IAS 1.54(q)  
280 Accumulated Other Comprehensive Income CRR art 4(1)(100) 46 
290 Other items  46 
300 TOTAL EQUITY IAS 1.9(c), IG 6 46 
310 TOTAL EQUITY AND TOTAL LIABILITIES IAS 1.IG6  
 2. 

 References Breakdown in table Current period
010
010 Interest income IAS 1.97; Annex V.Part 2.31 16 
020 Financial assets held for trading IFRS 7.20(a)(i), B5(e); Annex V.Part 2.33, 34  
025 Non-trading financial assets mandatorily at fair value through profit or loss IFRS 7.20(a)(i), B5(e), IFRS 9.5.7.1  
030 Financial assets designated at fair value through profit or loss IFRS 7.20(a)(i), B5(e)  
041 Financial assets at fair value through other comprehensive income IFRS 7.20(b); IFRS 9.5.7.10-11; IFRS 9.4.1.2A  
051 Financial assets at amortised cost IFRS 7.20(b);IFRS 9.4.1.2; IFRS 9.5.7.2  
070 Derivatives – Hedge accounting, interest rate risk IFRS 9.Appendix A; .B6.6.16; Annex V.Part 2.35  
080 Other assets Annex V.Part 2.36  
085 Interest income on liabilities IFRS 9.5.7.1, Annex V.Part 2.37  
090 (Interest expenses) IAS 1.97; Annex V.Part 2.31 16 
100 (Financial liabilities held for trading) IFRS 7.20(a)(i), B5(e); Annex V.Part 2.33, 34  
110 (Financial liabilities designated at fair value through profit or loss) IFRS 7.20(a)(i), B5(e)  
120 (Financial liabilities measured at amortised cost) IFRS 7.20(b); IFRS 9.5.7.2  
130 (Derivatives – Hedge accounting, interest rate risk) IAS 39.9; Annex V.Part 2.35  
140 (Other liabilities) Annex V.Part 2.38  
145 (Interest expense on assets) IFRS 9.5.7.1, Annex V.Part 2.39  
150 (Expenses on share capital repayable on demand) IFRIC 2.11  
160 Dividend income Annex V.Part 2.40 31 
170 Financial assets held for trading IFRS 7.20(a)(i), B5(e); Annex V.Part 2.40  
175 Non-trading financial assets mandatorily at fair value through profit or loss IFRS 7.20(a)(i), B5(e),IFRS 9.5.7.1A; Annex V.Part 2.40  
191 Financial assets at fair value through other comprehensive income IFRS 7.20(a)(ii); IFRS 9.4.1.2A; IFRS 9.5.7.1A; Annex V.Part 2.41  
192 Investments in subsidiaries, joint ventures and associates accounted for using other than equity method Annex V Part 2 .42  
200 Fee and commission income IFRS 7.20(c) 22 
210 (Fee and commission expenses) IFRS 7.20(c) 22 
220 Gains or (-) losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss, net Annex V.Part 2.45 16 
231 Financial assets at fair value through other comprehensive income IFRS 9.4.12A; IFRS 9.5.7.10-11  
241 Financial assets at amortised cost IFRS 7.20(a)(v);IFRS 9.4.1.2; IFRS 9.5.7.2  
260 Financial liabilities measured at amortised cost IFRS 7.20(a)(v); IFRS 9.5.7.2  
270 Other   
280 Gains or (-) losses on financial assets and liabilities held for trading, net IFRS 7.20(a)(i); IFRS 9.5.7.1; Annex V.Part 2.43, 46 16 
287 Gains or (-) losses on non-trading financial assets mandatorily at fair value through profit or loss, net IFRS 7.20(a)(i); IFRS 9.5.7.1; Annex V.Part 2.46  
290 Gains or (-) losses on financial assets and liabilities designated at fair value through profit or loss, net IFRS 7.20(a)(i); IFRS 9.5.7.1; Annex V.Part 2.44 16, 45 
300 Gains or (-) losses from hedge accounting, net Annex V.Part 2.47 16 
310 Exchange differences [gain or (-) loss], net IAS 21.28, 52 (a)  
330 Gains or (-) losses on derecognition of non-financial assets, net IAS 1.34; Annex V. Part 2.48 45 
340 Other operating income Annex V.Part 2.314-316 45 
350 (Other operating expenses) Annex V.Part 2.314-316 45 
355 TOTAL OPERATING INCOME, NET   
360 (Administrative expenses)   
370 (Staff expenses) IAS 19.7; IAS 1.102, IG 6 44 
380 (Other administrative expenses)  16 
385 (Cash contributions to resolution funds and deposit guarantee schemes) Annex V.Part 2.48i  
390 (Depreciation) IAS 1.102, 104  
400 (Property, Plant and Equipment) IAS 1.104; IAS 16.73(e)(vii)  
410 (Investment Properties) IAS 1.104; IAS 40.79(d)(iv)  
420 (Other intangible assets) IAS 1.104; IAS 38.118(e)(vi)  
425 Modification gains or (-) losses, net IFRS 9.5.4.3, IFRS 9 Appendix A; Annex V Part 2.49  
426 Financial assets at fair value through other comprehensive income IFRS 7.35J  
427 Financial assets at amortised cost IFRS 7.35J  
430 (Provisions or (-) reversal of provisions) IAS 37.59, 84; IAS 1.98(b)(f)(g) 91243 
435 (payment commitments to resolution funds and deposit guarantee schemes) Annex V.Part 2.48i  
440 (Commitments and guarantees given) IFRS 9.4.2.1(c),(d),9.B2.5; IAS 37, IFRS 4, Annex V.Part 2.50  
450 (Other provisions)   
460 (Impairment or (-) reversal of impairment on financial assets not measured at fair value through profit or loss) IFRS 7.20(a)(viii); IFRS 9.5.4.4; Annex V Part 2.51, 53 12 
481 (Financial assets at fair value through other comprehensive income) IFRS 9.5.4.4, 9.5.5.1, 9.5.5.2, 9.5.5.8 12 
491 (Financial assets at amortised cost) IFRS 9.5.4.4, 9.5.5.1, 9.5.5.8 12 
510 (Impairment or (-) reversal of impairment of investments in subsidiaries, joint ventures and associates) IAS 28.40-43 16 
520 (Impairment or (-) reversal of impairment on non-financial assets) IAS 36.126(a)(b) 16 
530 (Property, plant and equipment) IAS 16.73(e)(v-vi)  
540 (Investment properties) IAS 40.79(d)(v)  
550 (Goodwill) IFRS 3.Appendix B67(d)(v); IAS 36.124  
560 (Other intangible assets) IAS 38.118 (e)(iv)(v)  
570 (Other) IAS 36.126 (a)(b)  
580 Negative goodwill recognised in profit or loss IFRS 3.Appendix B64(n)(i)  
590 Share of the profit or (-) loss of investments in subsidaries, joint ventures and associates accounted for using the equity method Annex V.Part 2.54  
600 Profit or (-) loss from non-current assets and disposal groups classified as held for sale not qualifying as discontinued operations IFRS 5.37; Annex V.Part 2.55  
610 PROFIT OR (-) LOSS BEFORE TAX FROM CONTINUING OPERATIONS IAS 1.102, IG 6; IFRS 5.33 A  
620 (Tax expense or (-) income related to profit or loss from continuing operations) IAS 1.82(d); IAS 12.77  
630 PROFIT OR (-) LOSS AFTER TAX FROM CONTINUING OPERATIONS IAS 1, IG 6  
640 Profit or (-) loss after tax from discontinued operations IAS 1.82(ea) ; IFRS 5.33(a), 5.33 A; Annex V Part 2.56  
650 Profit or (-) loss before tax from discontinued operations IFRS 5.33(b)(i)  
660 (Tax expense or (-) income related to discontinued operations) IFRS 5.33 (b)(ii),(iv)  
670 PROFIT OR (-) LOSS FOR THE YEAR IAS 1.81A(a)  
680 Attributable to minority interest [non-controlling interests] IAS 1.81B (b)(i)  
690 Attributable to owners of the parent IAS 1.81B (b)(ii)  
 3. 

 References Current period
010
010 Profit or (-) loss for the year IAS 1.7, IG6 
020 Other comprehensive income IAS 1.7, IG6 
030 Items that will not be reclassified to profit or loss IAS 1.82A(a)(i) 
040 Tangible assets IAS 1.7, IG6; IAS 16.39-40 
050 Intangible assets IAS 1.7; IAS 38.85-86 
060 Actuarial gains or (-) losses on defined benefit pension plans IAS 1.7, IG6; IAS 19.120(c) 
070 Non-current assets and disposal groups held for sale IFRS 5.38 
080 Share of other recognised income and expense of entities accounted for using the equity method IAS 1.IG6; IAS 28.10 
081 Fair value changes of equity instruments measured at fair value through other comprehensive income IAS 1.7(d) 
083 Gains or (-) losses from hedge accounting of equity instruments at fair value through other comprehensive income, net IFRS 9.5.7.5;.6.5.3; IFRS 7.24C; Annex V.Part 2.57 
084 Fair value changes of equity instruments measured at fair value through other comprehensive income [hedged item] IFRS 9.5.7.5;.6.5.8(b); Annex V.Part 2.57 
085 Fair value changes of equity instruments measured at fair value through other comprehensive income [hedging instrument] IFRS 9.5.7.5;.6.5.8(a); Annex V.Part 2.57 
086 Fair value changes of financial liabilities at fair value through profit or loss attributable to changes in their credit risk IAS 1.7(f) 
090 Income tax relating to items that will not be reclassified IAS 1.91(b); Annex V.Part 2.66 
100 Items that may be reclassified to profit or loss IAS 1.82A(a)(ii) 
110 Hedge of net investments in foreign operations [effective portion] IFRS 9.6.5.13(a); IFRS 7.24C(b)(i)(iv),.24E(a); Annex V.Part 2.58 
120 Valuation gains or (-) losses taken to equity IAS 1.IG6;IFRS 9.6.5.13(a); IFRS 7.24C(b)(i);.24E(a); Annex V.Part 2.58 
130 Transferred to profit or loss IAS 1.7, 92-95; IAS 21.48-49; IFRS 9.6.5.14; Annex V.Part 2.59 
140 Other reclassifications Annex V.Part 2.65 
150 Foreign currency translation IAS 1.7, IG6; IAS 21.52(b) 
160 Translation gains or (-) losses taken to equity IAS 21.32, 38-47 
170 Transferred to profit or loss IAS 1.7, 92-95; IAS 21.48-49 
180 Other reclassifications Annex V.Part 2.65 
190 Cash flow hedges [effective portion] IAS 1.7, IG6; IAS 39.95(a)-96 IFRS 9.6.5.11(b); IFRS 7.24C(b)(i);.24E(a); 
200 Valuation gains or (-) losses taken to equity IAS 1.7(e),IG6; IFRS 9.6.5.11(a)(b)(d); IFRS 7.24C(b)(i), .24E(a) 
210 Transferred to profit or loss IAS 1.7, 92-95, IG6; IFRS 9.6.5.11(d)(ii)(iii);IFRS 7.24C(b)(iv),.24E(a) Annex V.Part 2.59 
220 Transferred to initial carrying amount of hedged items IAS 1.IG6;IFRS 9.6.5.11(d)(i) 
230 Other reclassifications Annex V.Part 2.65 
231 Hedging instruments [not designated elements] IAS 1.7(g)(h); IFRS 9.6.5.15, .6.5.16;IFRS 7.24E(b)(c); Annex V.Part 2.60 
232 Valuation gains or (-) losses taken to equity IAS 1.7(g)(h); IFRS 9.6.5.15, .6.5.16; IFRS 7.24E (b)(c) 
233 Transferred to profit or loss IAS 1.7(g)(h); IFRS 9.6.5.15, .6.5.16;IFRS 7.24E(b)(c); Annex V.Part 2.61 
234 Other reclassifications Annex V.Part 2.65 
241 Debt instruments at fair value through other comprehensive income IAS 1.7(da), IG 6; IAS 1.IG6; IFRS 9.5.6.4; Annex V.Part 2.62-63 
251 Valuation gains or (-) losses taken to equity IFRS 7.20(a)(ii); IAS 1.IG6; IFRS 9.5.6.4 
261 Transferred to profit or loss IAS 1.7, IAS 1.92-95, IAS 1.IG6; IFRS 9.5.6.7; Annex V.Part 2.64 
270 Other reclassifications IFRS 5.IG Example 12;IFRS 9.5.6.5; Annex V.Part 2.64-65 
280 Non-current assets and disposal groups held for sale IFRS 5.38 
290 Valuation gains or (-) losses taken to equity IFRS 5.38 
300 Transferred to profit or loss IAS 1.7, 92-95; IFRS 5.38 
310 Other reclassifications IFRS 5.IG Example 12 
320 Share of other recognised income and expense of Investments in subsidaries, joint ventures and associates IAS 1.IG6; IAS 28.10 
330 Income tax relating to items that may be reclassified to profit or (-) loss IAS 1.91(b), IG6; Annex V.Part 2.66 
340 Total comprehensive income for the year IAS 1.7, 81A(a), IG6 
350 Attributable to minority interest [Non-controlling interest] IAS 1.83(b)(i), IG6 
360 Attributable to owners of the parent IAS 1.83(b)(ii), IG6 
 4.  4.1 

 References Carrying amount
Annex V.Part 1.27
010
005 Derivatives  
010 Equity instruments IAS 32.11, Annex V.Part 1.44(b) 
030 of which: credit institutions Annex V.Part 1.42(c) 
040 of which: other financial corporations Annex V.Part 1.42(d) 
050 of which: non-financial corporations Annex V.Part 1.42(e) 
060 Debt securities Annex V.Part 1.31, 44(b) 
070 Central banks Annex V.Part 1.42(a) 
080 General governments Annex V.Part 1.42(b) 
090 Credit institutions Annex V.Part 1.42(c) 
100 Other financial corporations Annex V.Part 1.42(d) 
110 Non-financial corporations Annex V.Part 1.42(e) 
120 Loans and advances Annex V.Part 1.32, 44(a) 
130 Central banks Annex V.Part 1.42(a) 
140 General governments Annex V.Part 1.42(b) 
150 Credit institutions Annex V.Part 1.42(c) 
160 Other financial corporations Annex V.Part 1.42(d) 
170 Non-financial corporations Annex V.Part 1.42(e) 
180 Households Annex V.Part 1.42(f) 
190 FINANCIAL ASSETS HELD FOR TRADING IFRS 9.Appendix A 
 4.2.1 

 References Carrying amount Accumulated negative changes in fair value due to credit risk on non-performing exposures
Annex V.Part 1.27 Annex V.Part 2.69
010 020
010 Equity instruments IAS 32.11, Annex V.Part 1.44(b)  
020 of which: credit institutions Annex V.Part 1.42(c)  
030 of which: other financial corporations Annex V.Part 1.42(d)  
040 of which: non-financial corporations Annex V.Part 1.42(e)  
050 Debt securities Annex V.Part 1.31, 44(b)  
060 Central banks Annex V.Part 1.42(a)  
070 General governments Annex V.Part 1.42(b)  
080 Credit institutions Annex V.Part 1.42(c)  
090 Other financial corporations Annex V.Part 1.42(d)  
100 Non-financial corporations Annex V.Part 1.42(e)  
110 Loans and advances Annex V.Part 1.32, 44(a)  
120 Central banks Annex V.Part 1.42(a)  
130 General governments Annex V.Part 1.42(b)  
140 Credit institutions Annex V.Part 1.42(c)  
150 Other financial corporations Annex V.Part 1.42(d)  
160 Non-financial corporations Annex V.Part 1.42(e)  
170 Households Annex V.Part 1.42(f)  
180 NON-TRADING FINANCIAL ASSETS MANDATORILY AT FAIR VALUE THROUGH PROFIT OR LOSS IFRS 7.8(a)(ii); IFRS 9.4.1.4  
 4.2.2 

 References Carrying amount Accumulated negative changes in fair value due to credit risk on non-performing exposures
Annex V.Part 1.27 Annex V.Part 2.69
010 020
060 Debt securities Annex V.Part 1.31, 44(b)  
070 Central banks Annex V.Part 1.42(a)  
080 General governments Annex V.Part 1.42(b)  
090 Credit institutions Annex V.Part 1.42(c)  
100 Other financial corporations Annex V.Part 1.42(d)  
110 Non-financial corporations Annex V.Part 1.42(e)  
120 Loans and advances Annex V.Part 1.32, 44(a)  
130 Central banks Annex V.Part 1.42(a)  
140 General governments Annex V.Part 1.42(b)  
150 Credit institutions Annex V.Part 1.42(c)  
160 Other financial corporations Annex V.Part 1.42(d)  
170 Non-financial corporations Annex V.Part 1.42(e)  
180 Households Annex V.Part 1.42(f)  
190 FINANCIAL ASSETS DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS IFRS 7.8(a)(i); IFRS 9.4.1.5  
 4.3.1. 

 References Carrying amount Gross carrying amountAnnex V.Part 1.34(b) Accumulated impairmentAnnex V.Part 2.70(b), 71 Accumulated partial write-offs Accumulated total write-offs
Assets without significant increase in credit risk since initial recognition (Stage 1)  Assets with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2) Credit-impaired assets (Stage 3) Assets without significant increase in credit risk since initial recognition (Stage 1) Assets with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2) Credit-impaired assets (Stage 3)
of which: instruments with low credit risk
Annex V.Part 1.27 IFRS 9.5.5.5; IFRS 7.35M(a) IFRS 9.B5.5.22-24; Annex V.Part 2.75 IFRS 9.5.5.3, IFRS 7.35M(b)(i) IFRS 9.5.5.1, 7.35M(b)(ii) IFRS 9.5.5.5; IFRS7.35H(a), IFRS 7.16A IFRS 9.5.5.3; IFRS 9.5.5.15; IFRS 7.35H(b)(i), IFRS 7.16A IFRS 9.5.5.1; IFRS 9.5.5.15; IFRS 7.35H(b)(ii), IFRS 7.16A IFRS 9.5.4.4 and B5.4.9 ; Annex V.Part 2.72-74 IFRS 9.5.4.4 and B5.4.9; Annex V.Part 2.72-74
010 015 020 030 040 050 060 070 080 090
010 Equity instruments IAS 32.11; Annex V.Part 1.44(b)          
020 of which: credit institutions Annex V.Part 1.42(c)          
030 of which: other financial corporations Annex V.Part 1.42(d)          
040 of which: non-financial corporations Annex V.Part 1.42(e)          
050 Debt securities Annex V.Part 1.31, 44(b)          
060 Central banks Annex V.Part 1.42(a)          
070 General governments Annex V.Part 1.42(b)          
080 Credit institutions Annex V.Part 1.42(c)          
090 Other financial corporations Annex V.Part 1.42(d)          
100 Non-financial corporations Annex V.Part 1.42(e)          
110 Loans and advances Annex V.Part 1.32, 44(a)          
120 Central banks Annex V.Part 1.42(a)          
130 General governments Annex V.Part 1.42(b)          
140 Credit institutions Annex V.Part 1.42(c)          
150 Other financial corporations Annex V.Part 1.42(d)          
160 Non-financial corporations Annex V.Part 1.42(e)          
165 Of which: Small and Medium-sized Enterprises SME Art 1 2(a)          
170 Households Annex V.Part 1.42(f)          
180 FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME IFRS 7.8(h); IFRS 9.4.1.2A          
190 of which: purchased credit-impaired financial assets IFRS 9.5.5.13; IFRS 7.35M(c); Annex V.Part 2.77          
 4.4.1 

 References Carrying amount Gross carrying amountAnnex V.Part 1.34(b) Accumulated impairmentAnnex V.Part 2.70(a), 71 Accumulated partial write-offs Accumulated total write-offs
Assets without significant increase in credit risk since initial recognition (Stage 1)  Assets with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2) Credit-impaired assets (Stage 3) Assets without significant increase in credit risk since initial recognition (Stage 1) Assets with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2) Credit-impaired assets (Stage 3)
of which: instruments with low credit risk
Annex V.Part 1.27 IFRS 9.5.5.5; IFRS 7.35M(a) IFRS 9.B5.5.22-24; Annex V.Part 2.75 IFRS 9.5.5.3, IFRS 7.35M(b)(i) IFRS 9.5.5.1, 7.35M(b)(ii) IFRS 9.5.5.5; IFRS7.35H(a) IFRS 9.5.5.3; IFRS 9.5.5.15; IFRS 7.35H(b)(i) IFRS 5.5.1; IFRS 9.5.5.15; IFRS 7.35H(b)(ii) IFRS 9.5.4.4 and B5.4.9 ; Annex V.Part 2.72-74 IFRS 9.5.4.4 and B5.4.9; Annex V.Part 2.72-74
010 015 020 030 040 050 060 070 080 090
010 Debt securities Annex V.Part 1.31, 44(b)          
020 Central banks Annex V.Part 1.42(a)          
030 General governments Annex V.Part 1.42(b)          
040 Credit institutions Annex V.Part 1.42(c)          
050 Other financial corporations Annex V.Part 1.42(d)          
060 Non-financial corporations Annex V.Part 1.42(e)          
070 Loans and advances Annex V.Part 1.32, 44(a)          
080 Central banks Annex V.Part 1.42(a)          
090 General governments Annex V.Part 1.42(b)          
100 Credit institutions Annex V.Part 1.42(c)          
110 Other financial corporations Annex V.Part 1.42(d)          
120 Non-financial corporations Annex V.Part 1.42(e)          
125 Of which: Small and Medium-sized Enterprises SME Art 1 2(a)          
130 Households Annex V.Part 1.42(f)          
140 FINANCIAL ASSETS AT AMORTISED COST IFRS 7.8(f); IFRS 9.4.1.2          
150 of which: purchased credit-impaired financial assets IFRS 9.5.13 and IFRS 7.35M(c); Annex V.Part 2.77          
 4.5 

 References Carrying amount
Annex V.Part 1.27
010
010 Loans and advances Annex V.Part 1.32 
020 Debt securities Annex V.Part 1.31 
030 SUBORDINATED [FOR THE ISSUER] FINANCIAL ASSETS Annex V.Part 2.78, 100 
 5.  5.1 

  References Gross carrying amount Carrying amountAnnex V.Part 1.27
Central banks General governments Credit institutions Other financial corporations Non-financial corporations Households
Annex V.Part 1.34 Annex V.Part 1.42(a) Annex V.Part 1.42(b) Annex V.Part 1.42(c) Annex V.Part 1.42(d) Annex V.Part 1.42(e) Annex V.Part 1.42(f)
005 010 020 030 040 050 060
By product 010 On demand [call] and short notice [current account] Annex V.Part 2.85(a)       
020 Credit card debt Annex V.Part 2.85(b)       
030 Trade receivables Annex V.Part 2.85(c)       
040 Finance leases Annex V.Part 2.85(d)       
050 Reverse repurchase loans Annex V.Part 2.85(e)       
060 Other term loans Annex V.Part 2.85(f)       
070 Advances that are not loans Annex V.Part 2.85(g)       
080 LOANS AND ADVANCES Annex V.Part 1.32, 44(a)       
By collateral 090 of which: Loans collateralized by immovable property Annex V.Part 2.86(a), 87       
100 of which: other collateralized loans Annex V.Part 2.86(b), 87       
By purpose 110 of which: credit for consumption Annex V.Part 2.88(a)       
120 of which: lending for house purchase Annex V.Part 2.88(b)       
By subordination 130 of which: project finance loans Annex V.Part 2.89; CRR Art 147(8)       
 6.  6.1 

 References Non-financial corporationsAnnex V.Part 1.42(e), Part 2.91
Gross carrying amount    Accumulated impairment Accumulated negative changes in fair value due to credit risk on non-performing exposures
of which: loans and advances subject to impairment Of which: non-performing 
of which: defaulted  
Annex V.Part 1.34 Annex V.Part 2.93 Annex V.Part 2. 213-232 CRR art 178; Annex V.Part 2.237(b) Annex V.Part 2.70-71 Annex V.Part 2.69
010 011 012 013 021 022
010 A Agriculture, forestry and fishing NACE Regulation      
020 B Mining and quarrying NACE Regulation      
030 C Manufacturing NACE Regulation      
040 D Electricity, gas, steam and air conditioning supply NACE Regulation      
050 E Water supply NACE Regulation      
060 F Construction NACE Regulation      
070 G Wholesale and retail trade NACE Regulation      
080 H Transport and storage NACE Regulation      
090 I Accommodation and food service activities NACE Regulation      
100 J Information and communication NACE Regulation      
105 K Financial and insurance activities NACE Regulation, Annex V.Part 2.92      
110 L Real estate activities NACE Regulation      
120 M Professional, scientific and technical activities NACE Regulation      
130 N Administrative and support service activities NACE Regulation      
140 O Public administration and defence, compulsory social security NACE Regulation      
150 P Education NACE Regulation      
160 Q Human health services and social work activities NACE Regulation      
170 R Arts, entertainment and recreation NACE Regulation      
180 S Other services NACE Regulation      
190 LOANS AND ADVANCES Annex V.Part 1.32, Part 2.90      
 7.  7.1 

 References Carrying amountAnnex V.Part 1.27
Assets without significant increase in credit risk since initial recognition (Stage 1) Assets with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2) Credit-impaired assets (Stage 3)
≤ 30 days > 30 days ≤ 90 days > 90 days ≤ 30 days > 30 days ≤ 90 days > 90 days ≤ 30 days > 30 days ≤ 90 days > 90 days
IFRS 9.5.5.11;B5.5.37; IFRS 7.B8I, Annex V.Part 2.96
010 020 030 040 050 060 070 080 090
060 Debt securities Annex V.Part 1.31, 44(b)         
070 Central banks Annex V.Part 1.42(a)         
080 General governments Annex V.Part 1.42(b)         
090 Credit institutions Annex V.Part 1.42(c)         
100 Other financial corporations Annex V.Part 1.42(d)         
110 Non-financial corporations Annex V.Part 1.42(e)         
120 Loans and advances Annex V.Part 1.32, 44(a)         
130 Central banks Annex V.Part 1.42(a)         
140 General governments Annex V.Part 1.42(b)         
150 Credit institutions Annex V.Part 1.42(c)         
160 Other financial corporations Annex V.Part 1.42(d)         
170 Non-financial corporations Annex V.Part 1.42(e)         
180 Households Annex V.Part 1.42(f)         
190 TOTAL DEBT INSTRUMENTS Annex V Part 2.94-95         
 Loans and advances by product, by collateral and by subordination          
200 On demand [call] and short notice [current account] Annex V.Part 2.85(a)         
210 Credit card debt Annex V.Part 2.85(b)         
220 Trade receivables Annex V.Part 2.85(c)         
230 Finance leases Annex V.Part 2.85(d)         
240 Reverse repurchase loans Annex V.Part 2.85(e)         
250 Other term loans Annex V.Part 2.85(f)         
260 Advances that are not loans Annex V.Part 2.85(g)         
270 of which: Loans collateralized by immovable property Annex V.Part 2.86(a), 87         
280 of which: other collateralized loans Annex V.Part 2.86(b), 87         
290 of which: credit for consumption Annex V.Part 2.88(a)         
300 of which: lending for house purchase Annex V.Part 2.88(b)         
310 of which: project finance loans Annex V.Part 2.89; CRR Art 147(8)         
 8.  8.1 

 References National GAAP compatible IFRS Carrying amountAnnex V.Part 1.27 Accumulated changes in fair value due to credit risk
Held for trading Designated at fair value through profit or loss Amortised cost Hedge accounting
IFRS 7.8(e)(ii); IFRS 9 Appendix A, IFRS 9.BA.6-BA.7, IFRS 9.6.7 IFRS 7.8(e)(i); IFRS 9.4.2.2, IFRS 9.4.3.5 IFRS 7.8(g); IFRS 9.4.2.1 IFRS 7.24A(a); IFRS 9.6 CRR art 33(1)(b), art 33(1)(c); Annex V.Part 2.101
010 020 030 037 040
010 Derivatives IFRS 9.BA.7(a)     
020 Short positions FRS 9.BA.7(b)     
030 Equity instruments IAS 32.11     
040 Debt securities Annex V.Part 1.31     
050 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36     
060 Central banks Annex V.Part 1.42(a), 44(c)     
070 Current accounts / overnight deposits ECB/2013/33 Annex 2.Part 2.9.1     
080 Deposits with agreed maturity ECB/2013/33 Annex 2.Part 2.9.2     
090 Deposits redeemable at notice ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.97     
100 Repurchase agreements ECB/2013/33 Annex 2.Part 2.9.4     
110 General governments Annex V.Part 1.42(b), 44(c)     
120 Current accounts / overnight deposits ECB/2013/33 Annex 2.Part 2.9.1     
130 Deposits with agreed maturity ECB/2013/33 Annex 2.Part 2.9.2     
140 Deposits redeemable at notice ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.97     
150 Repurchase agreements ECB/2013/33 Annex 2.Part 2.9.4     
160 Credit institutions Annex V.Part 1.42(c),44(c)     
170 Current accounts / overnight deposits ECB/2013/33 Annex 2.Part 2.9.1     
180 Deposits with agreed maturity ECB/2013/33 Annex 2.Part 2.9.2     
190 Deposits redeemable at notice ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.97     
200 Repurchase agreements ECB/2013/33 Annex 2.Part 2.9.4     
210 Other financial corporations Annex V.Part 1.42(d),44(c)     
220 Current accounts / overnight deposits ECB/2013/33 Annex 2.Part 2.9.1     
230 Deposits with agreed maturity ECB/2013/33 Annex 2.Part 2.9.2     
240 Deposits redeemable at notice ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.97     
250 Repurchase agreements ECB/2013/33 Annex 2.Part 2.9.4     
260 Non-financial corporations Annex V.Part 1.42(e), 44(c)     
270 Current accounts / overnight deposits ECB/2013/33 Annex 2.Part 2.9.1     
280 Deposits with agreed maturity ECB/2013/33 Annex 2.Part 2.9.2     
290 Deposits redeemable at notice ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.97     
300 Repurchase agreements ECB/2013/33 Annex 2.Part 2.9.4     
310 Households Annex V.Part 1.42(f), 44(c)     
320 Current accounts / overnight deposits ECB/2013/33 Annex 2.Part 2.9.1     
330 Deposits with agreed maturity ECB/2013/33 Annex 2.Part 2.9.2     
340 Deposits redeemable at notice ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.97     
350 Repurchase agreements ECB/2013/33 Annex 2.Part 2.9.4     
360 Debt securities issued Annex V.Part 1.37, Part 2.98     
370 Certificates of deposits Annex V.Part 2.98(a)     
380 Asset-backed securities CRR art 4(1)(61)     
390 Covered bonds CRR art 129     
400 Hybrid contracts Annex V.Part 2.98(d)     
410 Other debt securities issued Annex V.Part 2.98(e)     
420 Convertible compound financial instruments IAS 32.AG 31     
430 Non-convertible      
440 Other financial liabilities Annex V.Part 1.38-41     
445 of which: lease liabilities IFRS 16.22, 26-28, 47(b)     
450 FINANCIAL LIABILITIES      
 8.2 

 References Carriyng amount
Designated at fair value through profit or loss At amortized cost
IFRS 7.8(e)(i); IFRS 9.4.2.2, IFRS 9.4.3.5 IFRS 7.8(g); IFRS 9.4.2.1
010 020
010 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36  
020 Debt securities issued Annex V.Part 1.37  
030 SUBORDINATED FINANCIAL LIABILITIES Annex V.Part 2.99-100  
 9.  9.1.1 

 References National GAAP compatible IFRS Nominal amount of off-balance sheet commitments and financial guarantees under IFRS 9 impairmentAnnex V.Part 2.107-108, 118 Provisions on off-balance sheet commitments and financial guarantees under IFRS 9 impairmentAnnex V Part 2.106-109 Other commitments measured under IAS 37 and financial guarantees measured under IFRS 4 Commitments and financial guarantees measured at fair value
Instruments without significant increase in credit risk since initial recognition (Stage 1) Instruments with significant increase in credit risk since initial recognition but not credit-impaired(Stage 2) Credit-impaired instruments(Stage 3) Instruments without significant increase in credit risk since initial recognition (Stage 1) Instruments with significant increase in credit risk since initial recognition but not credit-impaired(Stage 2) Credit-impaired instruments(Stage 3) Nominal amount Provision Nominal amount Accumulated negative changes in fair value due to credit risk on non-performing commitments
IFRS 9.2.1(e),(g), IFRS 9.4.2.(c), IFRS 9.5.5, IFRS 9.B2.5; IFRS 7.35M IFRS 9.2.1(e),(g), IFRS 9.4.2.(c), IFRS 9.5.5, IFRS 9.B2.5; IFRS 7.35M IFRS 9.2.1(e),(g), IFRS 9.4.2.(c), IFRS 9.5.5, IFRS9.B2.5; IFRS 7.35M IFRS 9.2.1(e),(g), IFRS 9.4.2.(c), IFRS9.5.5, IFRS 9.B2.5; IFRS 7.35H(a) IFRS 9.2.1(e),(g), IFRS 9.4.2.(c),IFRS9.5.5, IFRS 9.B2.5; IFRS 7.35H(b)(i) IFRS 9.2.1(e),(g), IFRS 9.4.2.(c),IFRS9.5.5, IFRS 9.B2.5; IFRS 7.35H(b)(ii) IAS 37, IFRS 9.2.1(e), IFRS 9.B2.5; IFRS 4; Annex V.Part 2.111, 118 IAS 37, IFRS 9.2.1(e), IFRS 9.B2.5; IFRS 4; Annex V.Part 2.106, 111 IFRS 9.2.3(a), 9.B2.5; Annex V Part 2.110, 118 Annex V Part 2.69
010 020 030 040 050 060 100 110 120 130
010 Loan commitments given CRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 113, 116          
021 of which: non-performing Annex V.Part 2.117          
030 Central banks Annex V.Part 1.42(a)          
040 General governments Annex V.Part 1.42(b)          
050 Credit institutions Annex V.Part 1.42(c)          
060 Other financial corporations Annex V.Part 1.42(d)          
070 Non-financial corporations Annex V.Part 1.42(e)          
080 Households Annex V.Part 1.42(f)          
090 Financial guarantees given IFRS 4 Annex A; CRR Annex I; Annex V.Part 1.44(f), Part 2.102-105, 114, 116          
101 of which: non-performing Annex V.Part 2.117          
110 Central banks Annex V.Part 1.42(a)          
120 General governments Annex V.Part 1.42(b)          
130 Credit institutions Annex V.Part 1.42(c)          
140 Other financial corporations Annex V.Part 1.42(d)          
150 Non-financial corporations Annex V.Part 1.42(e)          
160 Households Annex V.Part 1.42(f)          
170 Other Commitments given CRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 115, 116          
181 of which: non-performing Annex V.Part 2.117          
190 Central banks Annex V.Part 1.42(a)          
200 General governments Annex V.Part 1.42(b)          
210 Credit institutions Annex V.Part 1.42(c)          
220 Other financial corporations Annex V.Part 1.42(d)          
230 Non-financial corporations Annex V.Part 1.42(e)          
240 Households Annex V.Part 1.42(f)          
 9.2 

 References Maximum amount of the guarantee that can be considered Nominal amount
IFRS 7.36 (b); Annex V.Part 2.119 Annex V.Part 2.119
010 020
010 Loan commitments received IFRS 9.2.1(g), .BCZ2.2; Annex V.Part 1.44(h), Part 2.102-103, 113  
020 Central banks Annex V.Part 1.42(a)  
030 General governments Annex V.Part 1.42(b)  
040 Credit institutions Annex V.Part 1.42(c)  
050 Other financial corporations Annex V.Part 1.42(d)  
060 Non-financial corporations Annex V.Part 1.42(e)  
070 Households Annex V.Part 1.42(f)  
080 Financial guarantees received IFRS 9.2.1(e ), .B2.5, .BC2.17, IFRS 8.Appendix A; IFRS 4 Annex A; Annex V.Part 1.44(h), Part 2.102-103, 114  
090 Central banks Annex V.Part 1.42(a)  
100 General governments Annex V.Part 1.42(b)  
110 Credit institutions Annex V.Part 1.42(c)  
120 Other financial corporations Annex V.Part 1.42(d)  
130 Non-financial corporations Annex V.Part 1.42(e)  
140 Households Annex V.Part 1.42(f)  
150 Other Commitments received Annex V.Part 1.44(h), Part 2.102-103, 115  
160 Central banks Annex V.Part 1.42(a)  
170 General governments Annex V.Part 1.42(b)  
180 Credit institutions Annex V.Part 1.42(c)  
190 Other financial corporations Annex V.Part 1.42(d)  
200 Non-financial corporations Annex V.Part 1.42(e)  
210 Households Annex V.Part 1.42(f)  
 10. 

 By type of risk / By product or by type of market References Carrying amount Notional amount
Financial assets Held for trading and trading Financial liabilities Held for trading and trading Total Trading of which: sold
Annex V.Part 2.120, 131 IFRS 9.BA.7 (a); Annex V.Part 2.120, 131 Annex V.Part 2.133-135 Annex V.Part 2.133-135
010 020 030 040
010 Interest rate Annex V.Part 2.129(a)    
020 of which: economic hedges Annex V.Part 2.137-139    
030 OTC options Annex V.Part 2.136    
040 OTC other Annex V.Part 2.136    
050 Organized market options Annex V.Part 2.136    
060 Organized market other Annex V.Part 2.136    
070 Equity Annex V.Part 2.129(b)    
080 of which: economic hedges Annex V.Part 2.137-139    
090 OTC options Annex V.Part 2.136    
100 OTC other Annex V.Part 2.136    
110 Organized market options Annex V.Part 2.136    
120 Organized market other Annex V.Part 2.136    
130 Foreign exchange and gold Annex V.Part 2.129(c)    
140 of which: economic hedges Annex V.Part 2.137-139    
150 OTC options Annex V.Part 2.136    
160 OTC other Annex V.Part 2.136    
170 Organized market options Annex V.Part 2.136    
180 Organized market other Annex V.Part 2.136    
190 Credit Annex V.Part 2.129(d)    
195 of which: economic hedges with use of the fair value option IFRS 9.6.7.1; Annex V.Part 2.140    
201 of which: other economic hedges Annex V.Part 2.137-140    
210 Credit default swap     
220 Credit spread option     
230 Total return swap     
240 Other     
250 Commodity Annex V.Part 2.129(e)    
260 of which: economic hedges Annex V.Part 2.137-139    
270 Other Annex V.Part 2.129(f)    
280 of which: economic hedges Annex V.Part 2.137-139    
290 DERIVATIVES IFRS 9.Appendix A    
300 of which: OTC – credit institutions Annex V.Part 1.42(c), 44(e), Part 2.141(a), 142    
310 of which: OTC – other financial corporations Annex V.Part 1.42(d), 44(e), Part 2.141(b)    
320 of which: OTC – rest Annex V.Part 1.44(e), Part 2.141(c)    
 11.  11.1 

 By product or by type of market References Carrying amount Notional amount
Assets Liabilities Total Hedging of which: sold
IFRS 7.24A; Annex V.Part 2.120, 131 IFRS 7.24A; Annex V.Part 2.120, 131 Annex V.Part 2.133-135 Annex V.Part 2.133-135
010 020 030 040
010 Interest rate Annex V.Part 2.129(a)    
020 OTC options Annex V.Part 2.136    
030 OTC other Annex V.Part 2.136    
040 Organized market options Annex V.Part 2.136    
050 Organized market other Annex V.Part 2.136    
060 Equity Annex V.Part 2.129(b)    
070 OTC options Annex V.Part 2.136    
080 OTC other Annex V.Part 2.136    
090 Organized market options Annex V.Part 2.136    
100 Organized market other Annex V.Part 2.136    
110 Foreign exchange and gold Annex V.Part 2.129(c)    
120 OTC options Annex V.Part 2.136    
130 OTC other Annex V.Part 2.136    
140 Organized market options Annex V.Part 2.136    
150 Organized market other Annex V.Part 2.136    
160 Credit Annex V.Part 2.129(d)    
170 Credit default swap Annex V.Part 2.136    
180 Credit spread option Annex V.Part 2.136    
190 Total return swap Annex V.Part 2.136    
200 Other Annex V.Part 2.136    
210 Commodity Annex V.Part 2.129(e)    
220 Other Annex V.Part 2.129(f)    
230 FAIR VALUE HEDGES IFRS 7.24A; IAS 39.86(a); IFRS 9.6.5.2(a)    
240 Interest rate Annex V.Part 2.129(a)    
250 OTC options Annex V.Part 2.136    
260 OTC other Annex V.Part 2.136    
270 Organized market options Annex V.Part 2.136    
280 Organized market other Annex V.Part 2.136    
290 Equity Annex V.Part 2.129(b)    
300 OTC options Annex V.Part 2.136    
310 OTC other Annex V.Part 2.136    
320 Organized market options Annex V.Part 2.136    
330 Organized market other Annex V.Part 2.136    
340 Foreign exchange and gold Annex V.Part 2.129(c)    
350 OTC options Annex V.Part 2.136    
360 OTC other Annex V.Part 2.136    
370 Organized market options Annex V.Part 2.136    
380 Organized market other Annex V.Part 2.136    
390 Credit Annex V.Part 2.129(d)    
400 Credit default swap Annex V.Part 2.136    
410 Credit spread option Annex V.Part 2.136    
420 Total return swap Annex V.Part 2.136    
430 Other Annex V.Part 2.136    
440 Commodity Annex V.Part 2.129(e)    
450 Other Annex V.Part 2.129(f)    
460 CASH FLOW HEDGES IFRS 7.24A; IAS 39.86(b); IFRS 9.6.5.2(b)    
470 HEDGE OF NET INVESTMENTS IN A FOREIGN OPERATION IFRS 7.24A; IAS 39.86(c); IFRS 9.6.5.2(c)    
480 PORTFOLIO FAIR VALUE HEDGES OF INTEREST RATE RISK IAS 39.71, 81A, 89A, AG 114-132    
490 PORTFOLIO CASH FLOW HEDGES OF INTEREST RATE RISK IAS 39.71    
500 DERIVATIVES-HEDGE ACCOUNTING IFRS 7.24A; IAS 39.9; IFRS 9.6.1    
510 of which: OTC – credit institutions Annex V.Part 1.42(c), 44(e), Part 2.141(a), 142    
520 of which: OTC – other financial corporations Annex V.Part 1.42(d), 44(e), Part 2.141(b)    
530 of which: OTC – rest Annex V.Part 1.44(e), Part 2.141(c)    
 11.3 

 References Carrying amount
Fair value hedge Cash flow hedge Hedge of net investment in a foreign operation
Annex V.Part 2.145 Annex V.Part 2.145 Annex V.Part 2.145
010 020 030
010 Non-derivative financial assets IFRS 7.24A; IFRS 9.6.1; IFRS 9.6.2.2   
020 of which: Financial assets held for trading IFRS 9.Appendix A   
030 of which: Non-trading financial assets mandatorily at fair value through profit or loss IFRS 9.4.1.4; IFRS 7.8(a)(ii)   
040 of which: Financial assets designated at fair value through profit or loss IFRS 9.4.1.5; IFRS 7.8(a)(i)   
050 Non-derivative financial liabilities IFRS 7.24A; IFRS 9.6.1; IFRS 9.6.2.2   
060 Financial liabilities held for trading IFRS 9.Appendix A   
070 Financial liabilities designated at fair value through profit or loss IFRS 9.4.2.1; IFRS 9.6.2.2   
080 Financial assets at amortised cost IFRS 9.4.2.1; IFRS 9.6.2.2   
 11.4 

 References Micro-hedges Micro-hedges – Net position hedge Hedge adjustments on micro-hedges Macro hedges
Carrying amount Assets or liabilities included in hedge of a net position (before netting) Hedge adjustments included in the carrying amount of assets/liabilities Remaining adjustments for discontinued micro hedges including hedges of net positions Hedged items in portfolio hedge of interest rate risk
IFRS 7.24B(a), Annex V.Part 2.146, 147 IFRS 9.6.6.1; IFRS 9.6.6.6; Annex V.Part 2.147, 151 IFRS 7.24B(a)(ii); Annex V.Part 2.148, 149 IFRS 7.24B(a)(v); Annex V.Part 2.148, 150 IFRS 9.6.1.3; IFRS 9.6.6.1; Annex V.Part 2.152
010 020 030 040 050
 ASSETS      
010 Financial assets measured at fair value through other comprehensive income IFRS 9.4.1.2A; IFRS 7.8(h); Annex V. Part 2.146, 151     
020 Interest rate Annex V.Part 2.129(a)     
030 Equity Annex V.Part 2.129(b)     
040 Foreign exchange and gold Annex V.Part 2.129(c)     
050 Credit Annex V.Part 2.129(d)     
060 Commodity Annex V.Part 2.129(e)     
070 Other Annex V.Part 2.129(f)     
080 Financial assets measured at amortised cost IFRS 9.4.1.2A; IFRS 7.8(f); Annex V. Part 2.146, 151     
090 Interest rate Annex V.Part 2.129(a)     
100 Equity Annex V.Part 2.129(b)     
110 Foreign exchange and gold Annex V.Part 2.129(c)     
120 Credit Annex V.Part 2.129(d)     
130 Commodity Annex V.Part 2.129(e)     
140 Other Annex V.Part 2.129(f)     
 LIABILITIES      
150 Financial liabilities measured at amortised costs IFRS 9.4.2.1; IFRS 7.8(g); Annex V. Part 2.146, 151     
160 Interest rate Annex V.Part 2.129(a)     
170 Equity Annex V.Part 2.129(b)     
180 Foreign exchange and gold Annex V.Part 2.129(c)     
190 Credit Annex V.Part 2.129(d)     
200 Commodity Annex V.Part 2.129(e)     
210 Other Annex V.Part 2.129(f)     
 12.  12.1 

 References Opening balance Increases due to origination and acquisition Decreases due to derecognition Changes due to change in credit risk (net) Changes due to modifications without derecognition (net) Changes due to update in the institution’s methodology for estimation (net) Decrease in allowance account due to write-offs Other adjustments Closing balance Recoveries of previously written-off amounts recorded directly to the statement of profit or loss Amounts written-off directly to the statement of profit or loss Gains or losses on derecognition of debt instruments
 IFRS 7.35I; Annex V.Part 2.159, 164(b) IFRS 7.35I; Annex V.Part 2.160, 164(b) IFRS 7.35I; IFRS 7.35B(b); Annex V.Part 2.161-162 IFRS 7.35I; IFRS 7.35J; IFRS 9.5.5.12, B5.5.25, B5.5.27; Annex V.Part 2.164(c) IFRS 7.35I; IFRS 7.35B(b); Annex V.Part 2.163 IFRS 7.35I; IFRS 9.5.4.4;IFRS 7.35L; Annex V.Part 2.72, 74, 164(a), 165 IFRS 7.35I; IFRS 7.35B(b); Annex V.Part 2.166   IFRS 9.5.4.4; Annex V.Part 2.165 Annex V.Part 2.166i
010 020 030 040 050 070 080 090 100 110 120 125
010 Allowances for financial assets without increase in credit risk since initial recognition (Stage 1) IFRS 9.5.5.5            
020 Debt securities Annex V.Part 1.31, 44(b)            
030 Central banks Annex V.Part 1.42(a)            
040 General governments Annex V.Part 1.42(b)            
050 Credit institutions Annex V.Part 1.42(c)            
060 Other financial corporations Annex V.Part 1.42(d)            
070 Non-financial corporations Annex V.Part 1.42(e)            
080 Loans and advances Annex V.Part 1.32, 44(a)            
090 Central banks Annex V.Part 1.42(a)            
100 General governments Annex V.Part 1.42(b)            
110 Credit institutions Annex V.Part 1.42(c)            
120 Other financial corporations Annex V.Part 1.42(d)            
130 Non-financial corporations Annex V.Part 1.42(e)            
140 Households Annex V.Part 1.42(f)            
160 of which: collectively measured allowances IFRS 9.B5.5.1 – B5.5.6; Annex V.Part 2.158            
170 of which: individually measured allowances IFRS 9.B5.5.1 – B5.5.6; Annex V.Part 2.158            
180 Allowances for debt instruments with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2) IFRS 9.5.5.3            
190 Debt securities Annex V.Part 1.31, 44(b)            
200 Central banks Annex V.Part 1.42(a)            
210 General governments Annex V.Part 1.42(b)            
220 Credit institutions Annex V.Part 1.42(c)            
230 Other financial corporations Annex V.Part 1.42(d)            
240 Non-financial corporations Annex V.Part 1.42(e)            
250 Loans and advances Annex V.Part 1.32, 44(a)            
260 Central banks Annex V.Part 1.42(a)            
270 General governments Annex V.Part 1.42(b)            
280 Credit institutions Annex V.Part 1.42(c)            
290 Other financial corporations Annex V.Part 1.42(d)            
300 Non-financial corporations Annex V.Part 1.42(e)            
310 Households Annex V.Part 1.42(f)            
330 of which: collectively measured allowances IFRS 9.B5.5.1 – B5.5.6; Annex V.Part 2.158            
340 of which: individually measured allowances IFRS 9.B5.5.1 – B5.5.6; Annex V.Part 2.158            
350 of which: non-performing Annex V.Part 2.213-232            
360 Allowances for credit-impaired debt instruments (Stage 3) IFRS 9.5.5.1, 9. Appendix A            
370 Debt securities Annex V.Part 1.31, 44(b)            
380 Central banks Annex V.Part 1.42(a)            
390 General governments Annex V.Part 1.42(b)            
400 Credit institutions Annex V.Part 1.42(c)            
410 Other financial corporations Annex V.Part 1.42(d)            
420 Non-financial corporations Annex V.Part 1.42(e)            
430 Loans and advances Annex V.Part 1.32, 44(a)            
440 Central banks Annex V.Part 1.42(a)            
450 General governments Annex V.Part 1.42(b)            
460 Credit institutions Annex V.Part 1.42(c)            
470 Other financial corporations Annex V.Part 1.42(d)            
480 Non-financial corporations Annex V.Part 1.42(e)            
490 Households Annex V.Part 1.42(f)            
500 of which: collectively measured allowances IFRS 9.B5.5.1 – B5.5.6; Annex V.Part 2.158            
510 of which: individually measured allowances IFRS 9.B5.5.1 – B5.5.6; Annex V.Part 2.158            
520 Total allowance for debt instruments IFRS 7.B8E            
530 Commitments and financial guarantees given (Stage 1) IFRS 9.2.1|(g); 2.3(c); 5.5, B2.5; Annex V.Part 2.157            
540 Commitments and financial guarantees given (Stage 2) IFRS 9.2.1|(g); 2.3(c); 5.5.3, B2.5; Annex V.Part 2.157            
550 of which: non-performing Annex V.Part 2.117            
560 Commitments and financial guarantees given (Stage 3) IFRS 9.2.1|(g); 2.3(c); 5.5.1, B2.5; Annex V.Part 2.157            
570 Total provisions on commitments and financial guarantees given IFRS 7.B8E; Annex V.Part 2.157            
 12.2 

 References Gross carrying amount / nominal amountAnnex V.Part 1.34, Part 2.118, 167, 170
Transfers between Stage 1 and Stage 2 Transfers between Stage 2 and Stage 3 Transfers between Stage 1 and Stage 3
To Stage 2 from Stage 1 To Stage 1 from Stage 2 To Stage 3 from Stage 2 To Stage 2 from Stage 3 To Stage 3 from Stage 1 To Stage 1 from Stage 3
Annex V.Part 2.168-169
010 020 030 040 050 060
010 Debt securities Annex V.Part 1.31, 44(b)      
020 Central banks Annex V.Part 1.42(a)      
030 General governments Annex V.Part 1.42(b)      
040 Credit institutions Annex V.Part 1.42(c)      
050 Other financial corporations Annex V.Part 1.42(d)      
060 Non-financial corporations Annex V.Part 1.42(e)      
070 Loans and advances Annex V.Part 1.32, 44(a)      
080 Central banks Annex V.Part 1.42(a)      
090 General governments Annex V.Part 1.42(b)      
100 Credit institutions Annex V.Part 1.42(c)      
110 Other financial corporations Annex V.Part 1.42(d)      
120 Non-financial corporations Annex V.Part 1.42(e)      
130 Households Annex V.Part 1.42(f)      
140 Total debt instruments       
150 Commitments and financial guarantees given IFRS 9.2.1|(g); 2.3(c); 5.5.1, 5.5.3, 5.5.5      
 13.  13.1 

  References Maximum amount of the collateral or guarantee that can be consideredAnnex V.Part 2.171-172, 174
 Guarantees and collateral Loans collateralized by immovable property Other collateralised loans Financial guarantees received
Residential immovable property Commercial immovable property Cash, deposits, [debt securities issued] Movable property Equity and debt securities Rest
IFRS 7.36(b) Annex V.Part 2.173(a) Annex V.Part 2.173(a) Annex V.Part 2.173(b)(i) Annex V.Part 2.173(b)(ii) Annex V.Part 2.173(b)(iii) Annex V.Part 2.173(b)(iv) Annex V.Part 2.173(c)
   010 020 030 031 032 041 050
010 Loans and advances Annex V.Part 1.32, 44(a)       
020 of which: Other financial corporations Annex V.Part 1.42(d)       
030 of which: Non-financial corporations Annex V.Part 1.42(e)       
035 of which: Small and Medium-sized Enterprises (SMEs) SME Art 1 2(a)       
036 of which: Commercial real estate (CRE) loans to small and medium-sized enterprises SME Art 1 2(a); Annex V.Part 2.239ix       
037 of which: Commercial real estate (CRE) loans to non-financial corporations other than SMEs Annex V.Part 2.239ix       
040 of which: Households Annex V.Part 1.42(f)       
050 of which: Lending for house purchase Annex V.Part 2.88(b)       
060 of which: Credit for consumption Annex V.Part 2.88(a)       
 13.2.1 

 References Collateral obtained by taking possession during the period [held at the reference date](Annex V.Part 2.175)
   Of which:Non current assets held for sale(IFRS 5.38, Annex V.Part 2.7)
Value at initial recognition Carrying amount Accumulated negative changes Value at initial recognition Carrying amount
Annex V.Part 2.175i Annex V.Part 1.27-28 Annex V.Part 2.175ii Annex V.Part 2.175i Annex V.Part 1.27-28
0010 0020 0030 0040 0050
0010 Property, Plant and Equipment IAS 16.6     
0020 Other than Property Plant and Equipment IFRS 7.38(a)     
0030 Residential immovable property IFRS 7.38(a), Annex V.Part 2.173(a)     
0040 Commercial immovable property IFRS 7.38(a), Annex V.Part 2.173(a)     
0050 Movable property IFRS 7.38(a), Annex V.Part 2.173(b)(ii)     
0060 Equity and debt securities IFRS 7.38(a), Annex V.Part 2.173(b)(iii)     
0070 Other IFRS 7.38(a), Annex V.Part 2.173(b)(iv)     
0080 Total      
 13.3.1 

 References Collateral obtained by taking possession accumulated(Annex V.Part 2.176)
   Of which:Non current assets held for sale(IFRS 5.38, Annex V.Part 2.7)
Value at initial recognition Carrying amount Accumulated negative changes Value at initial recognition Carrying amount
Annex V.Part 2.175i Annex V.Part 1.27-28 Annex V.Part 2.175ii Annex V.Part 2.175i Annex V.Part 1.27-28
0010 0020 0030 0040 0050
0010 Property, Plant and Equipment IAS 16.6     
0020 Other than Property Plant and Equipment IFRS 7.38(a)     
0030 Residential immovable property IFRS 7.38(a), Annex V.Part 2.173(a)     
0040 Commercial immovable property IFRS 7.38(a), Annex V.Part 2.173(a)     
0050 Movable property IFRS 7.38(a), Annex V.Part 2.173(b)(ii)     
0060 Equity and debt securities IFRS 7.38(a), Annex V.Part 2.173(b)(iii)     
0070 Other IFRS 7.38(a), Annex V.Part 2.173(b)(iv)     
0080 Total      
 14. 

 References Fair value hierarchyIFRS 13.93 (b) Change in fair value for the periodAnnex V.Part 2.178 Accumulated change in fair value before taxesAnnex V.Part 2.179
Level 1 Level 2 Level 3 Level 2 Level 3 Level 1 Level 2 Level 3
IFRS 13.76 IFRS 13.81 IFRS 13.86 IFRS 13.81 IFRS 13.86, 93(f) IFRS 13.76 IFRS 13.81 IFRS 13.86
010 020 030 040 050 060 070 080
 ASSETS         
010 Financial assets held for trading IFRS 7.8(a)(ii);IFRS 9.Appendix A        
020 Derivatives IFRS 9.Appendix A        
030 Equity instruments IAS 32.11,        
040 Debt securities Annex V.Part 1.31        
050 Loans and advances Annex V.Part 1.32        
056 Non-trading financial assets mandatorily at fair value through profit or loss IFRS 9.4.1.4; IFRS 7.8(a)(ii)        
057 Equity instruments IAS 32.11        
058 Debt securities Annex V.Part 1.31        
059 Loans and advances Annex V.Part 1.32        
060 Financial assets designated at fair value through profit or loss IFRS 7.8(a)(i); IFRS 9.4.1.5        
080 Debt securities Annex V.Part 1.31        
090 Loans and advances Annex V.Part 1.32        
101 Financial assets at fair value through other comprehensive income IFRS 7.8 (h); IFRS 9.4.1.2A        
102 Equity instruments IAS 32.11        
103 Debt securities Annex V.Part 1.31        
104 Loans and advances Annex V.Part 1.32        
140 Derivatives – Hedge accounting IFRS 9.6.2.1; Annex V.Part 1.22        
 LIABILITIES         
150 Financial liabilities held for trading IFRS 7.8 (e) (ii); IFRS 9.BA.6        
160 Derivatives IFRS 9.BA.7(a)        
170 Short positions IFRS 9.BA.7(b)        
180 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36        
190 Debt securities issued Annex V.Part 1.37        
200 Other financial liabilities Annex V.Part 1.38-41        
210 Financial liabilities designated at fair value through profit or loss IFRS 7.8 (e) (i); IFRS 9.4.1.5        
220 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36        
230 Debt securities issued Annex V.Part 1.37        
240 Other financial liabilities Annex V.Part 1.38-41        
250 Derivatives – Hedge accounting IFRS 9.6.2.1; Annex V.Part 1.26        
 15. 

 References Transferred financial assets entirely recognized Transferred financial assets recognized to the extent of the instution’s continuing involvement Principal amount outstanting of transferred financial assets entirely derecognised for which the intitution retains servicing rights Amounts derecognised for capital purposes
Transferred assets Associated liabilitiesITS V.Part 2.181 Principal amount outstanding of the original assets Carrying amount of assets still recognised [continuing involvement] Carrying amount of associated liabilites
Carrying amount Of which: securitizations Of which: repurchase agreements Carrying amount Of which: securitizations Of which: repurchase agreements
IFRS 7.42D.(e), Annex V.Part 1.27 IFRS 7.42D(e); CRR art 4(1)(61) IFRS 7.42D(e); Annex V.Part 2.183-184 IFRS 7.42D(e) IFRS 7.42D.(e) IFRS 7.42D(e); Annex V.Part 2.183-184  IFRS 7.42D(f) IFRS 7.42D(f); Annex V.Part 1.27, Part 2.181  CRR art 109; Annex V.Part 2.182
010 020 030 040 050 060 070 080 090 100 110
010 Financial assets held for trading IFRS 7.8(a)(ii);IFRS 9.Appendix A           
020 Equity instruments IAS 32.11           
030 Debt securities Annex V.Part 1.31           
040 Loans and advances Annex V.Part 1.32           
045 Non-trading financial assets mandatorily at fair value through profit or loss IFRS 9.4.1.4           
046 Equity instruments IAS 32.11           
047 Debt securities Annex V.Part 1.31           
048 Loans and advances Annex V.Part 1.32           
050 Financial assets designated at fair value through profit or loss IFRS 7.8(a)(i); IFRS 9.4.1.5           
070 Debt securities Annex V.Part 1.31           
080 Loans and advances Annex V.Part 1.32           
091 Financial assets at fair value through other comprehensive income IFRS 7.8(h); IFRS 9.4.1.2A           
092 Equity instruments IAS 32.11           
093 Debt securities Annex V.Part 1.31           
094 Loans and advances Annex V.Part 1.32           
131 Financial assets at amortised cost IFRS 7.8 (f); IFRS 9.4.1.2           
132 Debt securities Annex V.Part 1.31           
133 Loans and advances Annex V.Part 1.32           
190 Total            
 16.  16.1 

 References Current period
Income Expenses
Annex V.Part 2.187, 189 Annex V.Part 2.188, 190
010 020
010 Derivatives -Trading IFRS 9.Appendix A, .BA.1, .BA.6; Annex V.Part 2.193  
015 of which: interest income from derivatives in economic hedges Annex V.Part 2.193  
020 Debt securities Annex V.Part 1.31, 44(b)  
030 Central banks Annex V.Part 1.42(a)  
040 General governments Annex V.Part 1.42(b)  
050 Credit institutions Annex V.Part 1.42(c)  
060 Other financial corporations Annex V.Part 1.42(d)  
070 Non-financial corporations Annex V.Part 1.42(e)  
080 Loans and advances Annex V.Part 1.32, 44(a)  
090 Central banks Annex V.Part 1.42(a)  
100 General governments Annex V.Part 1.42(b)  
110 Credit institutions Annex V.Part 1.42(c)  
120 Other financial corporations Annex V.Part 1.42(d)  
130 Non-financial corporations Annex V.Part 1.42(e)  
140 Households Annex V.Part 1.42(f)  
141 of which: lending for house purchase Annex V.Part 2.88(b), 194i  
142 of which: credit for consumption Annex V.Part 2.88(a), 194i  
150 Other assets Annex V.Part 2.5  
160 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36  
170 Central banks Annex V.Part 1.42(a)  
180 General governments Annex V.Part 1.42(b)  
190 Credit institutions Annex V.Part 1.42(c)  
200 Other financial corporations Annex V.Part 1.42(d)  
210 Non-financial corporations Annex V.Part 1.42(e)  
220 Households Annex V.Part 1.42(f)  
230 Debt securities issued Annex V.Part 1.37  
240 Other financial liabilities Annex V.Part 1.32-34, Part 2.191  
250 Derivatives – Hedge accounting, interest rate risk Annex V.Part 2.192  
260 Other Liabilities Annex V.Part 1.38-41  
270 INTEREST IAS 1.97  
280 of which: interest-income on credit impaired financial assets IFRS 9.5.4.1; .B5.4.7; Annex V.Part 2.194  
290 of which: interest from leases IFRS 16.38 (a), 49, Annex V.Part 2.194ii  
 16.2 

 References Current period
Annex V. Part 2.195-196
010
020 Debt securities Annex V.Part 1.31 
030 Loans and advances Annex V.Part 1.32 
040 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 
050 Debt securities issued Annex V.Part 1.37 
060 Other financial liabilities Annex V.Part 1.38-41 
070 GAINS OR (-) LOSSES ON DERECOGNITION OF FINANCIAL ASSETS AND LIABILITIES NOT MEASURED AT FAIR VALUE THROUGH PROFIT OR LOSS, NET Annex V.Part 2.45 
 16.3 

 References Current period
Annex V. Part 2.197-198
010
010 Derivatives IFRS 9.Appendix A, .BA.1, .BA.7(a) 
015 of which: Economic hedges with use of the fair value option IFRS 9.6.7.1; IFRS 7.9(d); Annex V.Part 2.199 
020 Equity instruments IAS 32.11 
030 Debt securities Annex V.Part 1.31 
040 Loans and advances Annex V.Part 1.32 
050 Short positions IFRS 9.BA.7(b) 
060 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 
070 Debt securities issued Annex V.Part 1.37 
080 Other financial liabilities Annex V.Part 1.38-41 
090 GAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES HELD FOR TRADING, NET IFRS 9.Appendix A, .BA.6;IFRS 7.20(a)(i) 
095 of which: gains and losses due to the reclassification of assets at amortised cost IFRS 9.5.6.2; annex V.Part 2.199 
 16.4 

 References Current period
010
010 Interest rate instruments and related derivatives Annex V.Part 2.200(a) 
020 Equity instruments and related derivatives Annex V.Part 2.200(b) 
030 Foreign exchange trading and derivatives related with foreign exchange and gold Annex V.Part 2.200(c) 
040 Credit risk instruments and related derivatives Annex V.Part 2.200(d) 
050 Derivatives related with commodities Annex V.Part 2.200(e) 
060 Other Annex V.Part 2.200(f) 
070 GAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES HELD FOR TRADING, NET IFRS 7.20(a)(i) 
 16.4.1 

 References Current period
Annex V.Part 2.201
010
020 Equity instruments IAS 32.11 
030 Debt securities Annex V.Part 1.31 
040 Loans and advances Annex V.Part 1.32 
090 GAINS OR (-) LOSSES ON NON-TRADING FINANCIAL ASSETS MANDATORILY AT FAIR VALUE THROUGH PROFIT AND LOSS, NET IFRS 7.20(a)(i) 
100 of which: gains and losses due to the reclassification of assets at amortised cost IFRS 9.6.5.2; Annex V.Part 2.202 
 16.5 

 References Current period Changes in fair value due to credit risk
Annex V.Part 2.203 Annex V.Part 2.203
010 020
020 Debt securities Annex V.Part 1.31  
030 Loans and advances Annex V.Part 1.32  
040 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36  
050 Debt securities issued Annex V.Part 1.37  
060 Other financial liabilities Annex V.Part 1.38-41  
070 GAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS, NET IFRS 7.20(a)(i)  
071 of which: gains or (-) losses upon designation of financial assets and liabilities designated at fair value through profit or loss for hedging purposes, net IFRS 9.6.7;IFRS 7.24G(b); Annex V.Part 2.204  
072 of which: gains or (-) losses after designation on financial assets and liabilities designated at fair value through profit or loss for hedging purposes, net IFRS 9.6.7; IFRS 7.20(a)(i); Annex V.Part 2.204  
 16.6 

 References Current period
Annex V.Part 2.205
010
010 Fair value changes of the hedging instrument [including discontinuation] IFRS 7.24A(c);IFRS 7.24C(b)(vi) 
020 Fair value changes of the hedged item attributable to the hedged risk IFRS 9.6.3.7; .6.5.8; .B6.4.1; IFRS 7.24B(a)(iv); IFRS 7.24C(b)(vi); Annex V.Part 2.206 
030 Ineffectiveness in profit or loss from cash flow hedges IFRS 7.24C(b)ii; IFRS 7.24C(b)(vi) 
040 Ineffectiveness in profit or loss from hedges of net investments in foreign operations IFRS 7.24C(b)(ii); IFRS 7.24C(b)(vi) 
050 GAINS OR (-) LOSSES FROM HEDGE ACCOUNTING, NET  
 16.7 

 References Current period
Additions Reversals Accumulated impairment
Annex V.Part 2.208 Annex V.Part 2.208 
010 020 040
060 Impairment or (-) reversal of impairment of investments in subsidaries, joint ventures and associates IAS 28.40-43   
070 Subsidiaries IFRS 10 Appendix A   
080 Joint ventures IAS 28.3   
090 Associates IAS 28.3   
100 Impairment or (-) reversal of impairment on non-financial assets IAS 36.126(a),(b)   
110 Property, plant and equipment IAS 16.73(e)(v-vi)   
120 Investment properties IAS 40.79(d)(v)   
130 Goodwill IAS 36.10b; IAS 36.88-99, 124; IFRS 3 Appendix B67(d)(v)   
140 Other intangible assets IAS 38.118(e)(iv)(v)   
145 Other IAS 36.126(a),(b)   
150 TOTAL    
 16.8 

 References National GAAP compatible IFRS Current period
Expenses
0010
0010 Information Technology expenses Annex V.Part 2.208i 
0020 IT outsourcing Annex V.Part 2.208i-208ii 
0030 IT expenses other than IT outsourcing expenses Annex V.Part 2.208i 
0040 Taxes and duties (other) Annex V.Part 2.208iii 
0050 Consulting and professional services Annex V.Part 2.208iv 
0060 Advertising, marketing and communication Annex V.Part 2.208v 
0070 Expenses related to credit risk Annex V.Part 2.208vi 
0080 Litigation expenses not covered by provisions Annex V.Part 2.208vii 
0090 Real estate expenses Annex V.Part 2.208viii 
0100 Leasing expenses Annex V.Part 2.208ix 
0110 Other admininstrative expenses – Rest Annex V.Part 2.208x 
0120 OTHER ADMINISTRATIVE EXPENSES  
 17.  17.1 

 References Accounting scope of consolidation [Carrying amount]
Annex V.Part 1.27, Part 2.209
010
010 Cash, cash balances at central banks .and other demand deposits IAS 1.54 (i) 
020 Cash on hand Annex V.Part 2.1 
030 Cash balances at central banks Annex V.Part 2.2 
040 Other demand deposits Annex V.Part 2.3 
050 Financial assets held for trading IFRS 7.8(a)(ii);IFRS 9.Appendix A 
060 Derivatives IFRS 9.Appendix A 
070 Equity instruments IAS 32.11 
080 Debt securities Annex V.Part 1.31 
090 Loans and advances Annex V.Part 1.32 
096 Non-trading financial assets mandatorily at fair value through profit or loss IFRS 9.4.1.4 
097 Equity instruments IAS 32.11 
098 Debt securities Annex V.Part 1.31 
099 Loans and advances Annex V.Part 1.32 
100 Financial assets designated at fair value through profit or loss IFRS 7.8(a)(i); IFRS 9.4.1.5 
120 Debt securities Annex V.Part 1.31 
130 Loans and advances Annex V.Part 1.32 
141 Financial assets at fair value through other comprehensive income IFRS 7.8(h); IFRS 9.4.1.2A 
142 Equity instruments IAS 32.11 
143 Debt securities Annex V.Part 1.31 
144 Loans and advances Annex V.Part 1.32 
181 Financial assets at amortised cost IFRS 7.8(f); IFRS 9.4.1.2 
182 Debt securities Annex V.Part 1.31 
183 Loans and advances Annex V.Part 1.32 
240 Derivatives – Hedge accounting IFRS 9.6.2.1; Annex V.Part 1.22 
250 Fair value changes of the hedged items in portfolio hedge of interest rate risk IAS 39.89A(a); IFRS 9.6.5.8 
260 Investments in subsidaries, joint ventures and associates IAS 1.54(e); Annex V.Part 1.21, Part 2.4, 210 
270 Assets under reinsurance and insurance contracts IFRS 4.IG20.(b)-(c); Annex V.Part 2.211 
280 Tangible assets  
290 Intangible assets IAS 1.54(c); CRR art 4(1)(115) 
300 Goodwill IFRS 3.B67(d); CRR art 4(1)(113) 
310 Other intangible assets IAS 38.8,118 
320 Tax assets IAS 1.54(n-o) 
330 Current tax assets IAS 1.54(n); IAS 12.5 
340 Deferred tax assets IAS 1.54(o); IAS 12.5; CRR art 4(1)(106) 
350 Other assets Annex V.Part 2.5 
360 Non-current assets and disposal groups classified as held for sale IAS 1.54(j); IFRS 5.38, Annex V.Part 2.6 
370 TOTAL ASSETS IAS 1.9(a), IG 6 
 17.2 

 References Accounting scope of consolidation [Nominal amount]
Annex V.Part 2.118, 209
010
010 Loan commitments given CRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 113, 116 
020 Financial guarantees given IFRS 4 Annex A; CRR Annex I; Annex V.Part 1.44(f), Part 2.102-105, 114, 116 
030 Other Commitments given CRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 115, 116 
040 OFF-BALANCE SHEET EXPOSURES  
 17.3 

 References Accounting scope of consolidation [Carrying amount]
Annex V.Part 1.27, Part 2.209
010
010 Financial liabilities held for trading IFRS 7.8 (e) (ii); IFRS 9.BA.6 
020 Derivatives IFRS 9.Appendix A; IFRS 9.4.2.1(a); IFRS 9.BA.7(a) 
030 Short positions IFRS 9.BA7(b) 
040 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 
050 Debt securities issued Annex V.Part 1.37 
060 Other financial liabilities Annex V.Part 1.38-41 
070 Financial liabilities designated at fair value through profit or loss IFRS 7.8 (e)(i); IFRS 9.4.2.2 
080 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 
090 Debt securities issued Annex V.Part 1.37 
100 Other financial liabilities Annex V.Part 1.38-41 
110 Financial liabilities measured at amortised cost IFRS 7.8(g); IFRS 9.4.2.1 
120 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 
130 Debt securities issued Annex V.Part 1.37 
140 Other financial liabilities Annex V.Part 1.38-41 
150 Derivatives – Hedge accounting IFRS 9.6.2.1; Annex V.Part 1.26 
160 Fair value changes of the hedged items in portfolio hedge of interest rate risk IAS 39.89A(b), IFRS 9.6.5.8 
170 Liabilities under insurance and reinsurance contracts IFRS 4.IG20(a); Annex V.Part 2.212 
180 Provisions IAS 37.10; IAS 1.54(l) 
190 Tax liabilities IAS 1.54(n-o) 
200 Current tax liabilities IAS 1.54(n); IAS 12.5 
210 Deferred tax liabilities IAS 1.54(o); IAS 12.5; CRR art 4(1)(108) 
220 Share capital repayable on demand IAS 32 IE 33; IFRIC 2; Annex V.Part 2.12 
230 Other liabilities Annex V.Part 2.13 
240 Liabilities included in disposal groups classified as held for sale IAS 1.54 (p); IFRS 5.38, Annex V.Part 2.14 
250 LIABILITIES IAS 1.9(b);IG 6 
260 Capital IAS 1.54(r), BAD art 22 
270 Share premium IAS 1.78(e); CRR art 4(1)(124) 
280 Equity instruments issued other than capital Annex V.Part 2.18-19 
290 Other equity IFRS 2.10; Annex V.Part 2.20 
300 Accumulated other comprehensive income CRR art 4(1)(100) 
310 Retained earnings CRR art 4(1)(123) 
320 Revaluation reserves IFRS 1.33, D5-D8 
330 Other reserves IAS 1.54; IAS 1.78 (e) 
340 (-) Treasury shares IAS 1.79(a)(vi); IAS 32.33-34, AG 14, AG 36; Annex V.Part 2.28 
350 Profit or loss attributable to owners of the parent IFRS 10.B94 
360 (-) Interim dividends IAS 32.35 
370 Minority interests [Non-controlling interests] IAS 1.54(q); IFRS 10.22, .B94 
380 TOTAL EQUITY IAS 1.9(c), IG 6 
390 TOTAL EQUITY AND TOTAL LIABILITIES IAS 1.IG6 
 18.  18.0 

 References Gross carrying amount / Nominal amount Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions Maximum amount of the collateral or guarantee that can be consideredAnnex V. Part 2.119
 Performing Non-performing  Performing exposures -Accumulated impairment and provisions Non-performing exposures – Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions Collateral received and financial guarantees received
 Not past due or Past due <= 30 days Past due> 30 days <= 90 days Of which:Instruments without significant increase in credit risk since initial recognition (Stage 1) Of which:Instruments with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2)  Unlikely to pay that are not past-due or past-due < = 90 days Past due> 90 days<= 180 days Past due> 180 days<= 1 year Past due> 1 year <= 2 years Past due> 2 year <= 5 years Past due > 5 year <= 7 years Past due > 7 years Of which:Instruments with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2) Of which: defaulted of which: Credit-impaired instruments (Stage 3)      Unlikely to pay that are not past-due or past-due < = 90 days Past due> 90 days<= 180 days Past due> 180 days<= 1 year Past due> 1 year < = 2 year Past due> 2 year < = 5 year Past due> 5 year <= 7 years Past due > 7 years Of which:Instruments with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2) Of which:Credit-impaired instruments (Stage 3) Collateral received on performing exposues Collateral received on non-performing exposures Financial guarantees received on performing exposures Financial guarantees received on non-performing exposures
    of which: Instruments without significant increase in credit risk since initial recognition (Stage 1) of which: Instruments with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2)
010 020 030 055 056 057 060 070 080 090 101 102 106 107 109 110 121 130 140 141 142 150 160 170 180 191 192 196 197 950 951 201 200 205 210
Annex V. Part 1.34, Part 2.118, 221 Annex V. Part 2. 213-216, 223-239 Annex V. Part 2. 222, 235 Annex V. Part 2. 222, 235 IFRS 9.5.5.5; IFRS 7.35M(a); Annex V. Part 2. 237(d) IFRS 9.5.5.3; IFRS 7.35M(b)(i); Annex V. Part 2. 237(c) Annex V. Part 2. 213-216, 223-239 Annex V. Part 2. 222, 235-236 Annex V. Part 2. 222, 235-236 Annex V. Part 2. 222, 235-236 Annex V. Part 2. 222, 235-236 Annex V. Part 2. 222, 235-236 Annex V. Part 2. 222, 235-236 Annex V. Part 2. 222, 235-236 IFRS 9.5.5.3; IFRS 7.35M(b)(i); Annex V. Part 2. 237(c) CRR art 178; Annex V.Part 2.237(b) IFRS 9.5.5.1; IFRS 9.Appendix A; Annex V.Part 2.237(a) Annex V. Part 2. 238 Annex V. Part 2. 238 IFRS 9.5.5.5; IFRS 7.35M(a); Annex V. Part 2. 237(d) IFRS 9.5.5.3; IFRS 7.35M(b)(i); Annex V. Part 2. 237(c) Annex V. Part 2. 238 Annex V. Part 2. 236, 238 Annex V. Part 2. 236, 238 Annex V. Part 2. 236, 238 Annex V. Part 2. 236, 238 Annex V. Part 2. 236, 238 Annex V. Part 2. 236, 238 Annex V. Part 2. 236, 238 IFRS 9.5.5.3; IFRS 7.35M(b)(i); Annex V. Part 2. 237(c) IFRS 9.5.5.1; IFRS 9.Appendix A; Annex V.Part 2.237(a) Annex V. Part 2. 239 Annex V. Part 2. 239 Annex V. Part 2. 239 Annex V. Part 2. 239
005 Cash balances at central banks and other demand deposits Annex V.Part 2.2, 3                                   
010 Debt securities Annex V.Part 1.31, 44(b)                                   
020 Central banks Annex V.Part 1.42(a)                                   
030 General governments Annex V.Part 1.42(b)                                   
040 Credit institutions Annex V.Part 1.42(c)                                   
050 Other financial corporations Annex V.Part 1.42(d)                                   
060 Non-financial corporations Annex V.Part 1.42(e)                                   
070 Loans and advances Annex V.Part 1.32, 44(a)                                   
080 Central banks Annex V.Part 1.42(a)                                   
090 General governments Annex V.Part 1.42(b)                                   
100 Credit institutions Annex V.Part 1.42(c)                                   
110 Other financial corporations Annex V.Part 1.42(d)                                   
120 Non-financial corporations Annex V.Part 1.42(e)                                   
130 Of which: Small and Medium-sized Enterprises SME Art 1 2(a)                                   
140 Of which: Loans collateralised by commercial immovable property Annex V.Part 2.86(a), 87, 234i (a)                                   
150 Households Annex V.Part 1.42(f)                                   
160 Of which: Loans collateralised by residential immovable property Annex V.Part 2.86(a), 87, 234i (a)                                   
170 Of which: Credit for consumption Annex V.Part 2.88(a), 234i (b)                                   
180 DEBT INSTRUMENTS AT COST OR AT AMORTISED COST Annex V.Part 2.233(a)                                   
181 Debt securities Annex V.Part 1.31, 44(b)                                   
182 Central banks Annex V.Part 1.42(a)                                   
183 General governments Annex V.Part 1.42(b)                                   
184 Credit institutions Annex V.Part 1.42(c)                                   
185 Other financial corporations Annex V.Part 1.42(d)                                   
186 Non-financial corporations Annex V.Part 1.42(e)                                   
191 Loans and advances Annex V.Part 1.32, 44(a)                                   
192 Central banks Annex V.Part 1.42(a)                                   
193 General governments Annex V.Part 1.42(b)                                   
194 Credit institutions Annex V.Part 1.42(c)                                   
195 Other financial corporations Annex V.Part 1.42(d)                                   
196 Non-financial corporations Annex V.Part 1.42(e)                                   
900 Of which: Small and Medium-sized Enterprises SME Art 1 2(a)                                   
903 Of which: Loans collateralised by commercial immovable property Annex V.Part 2.86(a), 87, 234i (a)                                   
197 Households Annex V.Part 1.42(f)                                   
910 Of which: Loans collateralised by residential immovable property Annex V.Part 2.86(a), 87, 234i (a)                                   
913 Of which: Credit for consumption Annex V.Part 2.88(a), 234i (b)                                   
201 DEBT INSTRUMENTS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME OR THROUGH EQUITY SUBJECT TO IMPAIRMENT Annex V.Part 2.233(b)                                   
211 Debt securities Annex V.Part 1.31, 44(b)                                   
212 Central banks Annex V.Part 1.42(a)                                   
213 General governments Annex V.Part 1.42(b)                                   
214 Credit institutions Annex V.Part 1.42(c)                                   
215 Other financial corporations Annex V.Part 1.42(d)                                   
216 Non-financial corporations Annex V.Part 1.42(e)                                   
221 Loans and advances Annex V.Part 1.32, 44(a)                                   
222 Central banks Annex V.Part 1.42(a)                                   
223 General governments Annex V.Part 1.42(b)                                   
224 Credit institutions Annex V.Part 1.42(c)                                   
225 Other financial corporations Annex V.Part 1.42(d)                                   
226 Non-financial corporations Annex V.Part 1.42(e)                                   
920 Of which: Small and Medium-sized Enterprises SME Art 1 2(a)                                   
923 Of which: Loans collateralised by commercial immovable property Annex V.Part 2.86(a), 87, 234i (a)                                   
227 Households Annex V.Part 1.42(f)                                   
930 Of which: Loans collateralised by residential immovable property Annex V.Part 2.86(a), 87, 234i (a)                                   
933 Of which: Credit for consumption Annex V.Part 2.88(a), 234i (b)                                   
231 DEBT INSTRUMENTS AT STRICT LOCOM, OR FAIR VALUE THROUGH PROFIT OR LOSS OR THROUGH EQUITY NOT SUBJECT TO IMPAIRMENT Annex V.Part 2.233(c), 234                                   
330 DEBT INSTRUMENTS OTHER THAN HELD FOR TRADING OR TRADING Annex V.Part 2.217                                   
335 DEBT INSTRUMENTS HELD FOR SALE Annex V.Part 2.220                                   
340 Loan commitments given CRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 113, 116, 224                                   
350 Central banks Annex V.Part 1.42(a)                                   
360 General governments Annex V.Part 1.42(b)                                   
370 Credit institutions Annex V.Part 1.42(c)                                   
380 Other financial corporations Annex V.Part 1.42(d)                                   
390 Non-financial corporations Annex V.Part 1.42(e)                                   
400 Households Annex V.Part 1.42(f)                                   
410 Financial guarantees given IFRS 4 Annex A; CRR Annex I; Annex V.Part 1.44(f), Part 2.102-105, 114, 116, 225                                   
420 Central banks Annex V.Part 1.42(a)                                   
430 General governments Annex V.Part 1.42(b)                                   
440 Credit institutions Annex V.Part 1.42(c)                                   
450 Other financial corporations Annex V.Part 1.42(d)                                   
460 Non-financial corporations Annex V.Part 1.42(e)                                   
470 Households Annex V.Part 1.42(f)                                   
480 Other Commitments given CRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 115, 116, 224                                   
490 Central banks Annex V.Part 1.42(a)                                   
500 General governments Annex V.Part 1.42(b)                                   
510 Credit institutions Annex V.Part 1.42(c)                                   
520 Other financial corporations Annex V.Part 1.42(d)                                   
530 Non-financial corporations Annex V.Part 1.42(e)                                   
540 Households Annex V.Part 1.42(f)                                   
550 OFF-BALANCE SHEET EXPOSURES Annex V.Part 2.217                                   
 18.1 

 References Gross carrying amount of loans and advances
Inflows to non-performing exposures (-) Outflows from non-performing exposures
0010 0020
Annex V. Part 2.213-216, 224-234, 239i-239iii, 239vi Annex V. Part 2.213-216, 224-234, 239i, 239iv- 239vi
0010 Central banks Annex V.Part 1.42(a)  
0020 General governments Annex V.Part 1.42(b)  
0030 Credit institutions Annex V.Part 1.42(c)  
0040 Other financial corporations Annex V.Part 1.42(d)  
0050 Non-financial corporations Annex V.Part 1.42(e)  
0060 Of which: Small and Medium-sized Enterprises SME Art 1 2(a)  
0070 Of which: Commercial real estate (CRE) loans to small and medium-sized enterprises SME Art 1 2(a); Annex V.Part 2.239vii (a), 239ix  
0080 Of which: Commercial real estate (CRE) loans to non-financial corporations other than SMEs Annex V.Part 2.239vii (a), 239ix  
0090 Of which: Loans collateralised by commercial immovable property Annex V.Part 2.86(a), 87, 239vii (b)  
0100 Households Annex V.Part 1.42(f)  
0110 Of which: Loans collateralised by residential immovable property Annex V.Part 2.86(a), 87, 239vii (b)  
0120 Of which: Credit for consumption Annex V.Part 2.88(a), 239vii (c)  
0130 LOANS AND ADVANCES OTHER THAN HELD FOR TRADING OR TRADING Annex V.Part 2.217  
0140 LOANS AND ADVANCES HELD FOR SALE Annex V.Part 2.220  
0150 TOTAL INFLOWS / OUTFLOWS   
 18.2 

 References Gross carrying amount Accumulated impairment, accumulated negative changes in fair value due to credit risk Maximum amount of the collateral or guarantee that can be consideredAnnex V. Part 2.119
 of which: exposures with forbearance measures Performing Non-performing  Of which: Exposures with forbearance measures Performing exposures - Accumulated impairments  Non-performing exposures - Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions Collateral received and financial guarantees received
 Not past due or Past due <= 30 days Past due> 30 days <= 90 days of which: performing exposures with forbearance measures   Unlikely to pay that are not past-due or past-due < = 90 days Past due> 90 days<= 180 days Past due> 180 days<= 1 year Past due> 1 year <= 2 years Past due> 2 year <= 5 years Past due> 5 year <= 7 years Past due > 7 years Of which: defaulted Of which: Non-performing exposures with forbearance measures  Of which: Performing exposures with forbearance measures  Unlikely to pay that are not past-due or past-due < = 90 days Past due> 90 days<= 180 days Past due> 180 days<= 1 year Past due> 1 year < = 2 year Past due > 2 year < = 5 year Past due > 5 year <= 7 years Past due > 7 years Of which: Non-performing exposures with forbearance measures Collateral received on performing exposures Collateral received on non-performing exposures Financial guarantees received on performing exposures Financial guarantees received on non-performing exposures
 of which: Performing forborne exposures under probation reclassified from non-performing  
0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110 0120 0130 0140 0150 0160 0170 0180 0190 0200 0210 0220 0230 0240 0250 0260 0270 0280 0290 0300 0310 0320 0330 0340
Annex V. Part 1.34, Part 2.118, 221 Annex V. Part 1.34, Part 2. 118, 240-245, 251-258 Annex V. Part 2. 213-216, 223-239 Annex V. Part 2. 222, 235 Annex V. Part 2. 222, 235 Annex V. Part 2. 256, 259-262 Annex V. Part 2. 256(b), 261 Annex V. Part 2. 213-216, 223-239 Annex V. Part 2. 222, 235-236 Annex V. Part 2. 222, 235-236 Annex V. Part 2. 222, 235-236 Annex V. Part 2. 222, 235-236 Annex V. Part 2. 222, 235-236 Annex V. Part 2. 222, 235-236 Annex V. Part 2. 222, 235-236 CRR art 178; Annex V.Part 2.237(b) Annex V. Part 2. 259-263 Annex V. Part 2. 238 Annex V. Part 2. 267 Annex V. Part 2. 238 Annex V. Part 2. 207 Annex V. Part 2. 238 Annex V. Part 2. 236, 238 Annex V. Part 2. 236, 238 Annex V. Part 2. 236, 238 Annex V. Part 2. 236, 238 Annex V. Part 2. 236, 238 Annex V. Part 2. 236, 238 Annex V. Part 2. 236, 238 Annex V. Part 2. 207 Annex V. Part 2. 239 Annex V. Part 2. 239 Annex V. Part 2. 239 Annex V. Part 2. 239
0010 Non-finan-cial corpo-rations Commercial real estate (CRE) loans to small and medium-sized enterprises SME Art 1 2(a); Annex V.Part 2.239vi (a), 239vii                                  
0020 Commercial real estate (CRE) loans to non-financial corporations other than SMEs Annex V.Part 2.239vi (a), 239vii                                  
0030 Loans collateralised by commercial immovable property Annex V.Part 2.86(a), 87, 239vi (b)                                  
0040 Of which: Loans with LTV ratio higher than 60 % and less than or equal to 80 % Annex V.Part 2.86(a), 87, 239vi (b), 239viii                                  
0050 Of which: Loans with LTV ratio higher than 80 % and less than or equal to 100 % Annex V.Part 2.86(a), 87, 239vi (b), 239viii                                  
0060 Of which: Loans with LTV ratio higher than 100 % Annex V.Part 2.86(a), 87, 239vi (b), 239viii                                  
0070 House-holds Loans collateralised by residential immovable property Annex V.Part 2.86(a), 87, 239vi (b)                                  
0080 Of which: Loans with LTV ratio higher than 60 % and less than or equal to 80 % Annex V.Part 2.86(a), 87, 239vi (b), 239viii                                  
0090 Of which: Loans with LTV ratio higher than 80 % and less than or equal to 100 % Annex V.Part 2.86(a), 87, 239vi (b), 239viii                                  
0100 Of which: Loans with LTV ratio higher than 100 % Annex V.Part 2.86(a), 87, 239vi (b), 239viii                                  
 19. 

 References Gross carrying amount / nominal amount of exposures with forbearance measures Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisionsGross carrying amount / nominal amount of exposures with forbearance measures Maximum amount of the collateral or guarantee that can be consideredAnnex V. Part 2.119
 Performing exposures with forbearance measures Non-performing exposures with forbearance measures  Perfoming exposures with forbearance measures – Accumulated impairment and provisions Non-performing exposures with forbearance measures – Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions Collateral received and financial guarantees received
 Instruments with modifications in their terms and conditions Refinancing of which: Performing forborne exposures under probation reclassified from non-performing  Instruments with modifications in their terms and conditions Refinancing of which:Defaulted of which:Impaired of which:Forbearance of exposures non-performing prior to forbearance   Instruments with modifications in their terms and conditions Refinancing Collateral received on exposures with forbearance measures Financial guarantees received on exposures with forbearance measures
    Of which: Collateral received on non-performing exposures with forbearance measures  Of which: Financial guarantees received on non-performing exposures with forbearance measures
010 020 030 040 050 060 070 080 090 100 110 120 130 140 150 160 170 175 180 185
Annex V. Part 1.34, Part 2. 118, 240-245, 251-258 Annex V. Part 2. 256, 259-262 Annex V. Part 2.241(a), 266 Annex V. Part 2. 241 (b), 265-266 Annex V. Part 2. 256(b), 261 Annex V. Part 2. 259-263 Annex V. Part 2.241(a), 266 Annex V. Part 2. 241 (b), 265-266 CRR art 178; Annex V. Part 2.264(b) IFRS 9.5.5.1; IFRS 9.Appendix A; Annex V.Part 2.264(a) Annex V. Part 2. 231, 252(a), 263 Annex V. Part 2. 267 Annex V. Part 2. 207 Annex V. Part 2. 207 Annex V. Part 2. 241(a), 267 Annex V. Part 2. 241(b), 267 Annex V. Part 2. 268 Annex V. Part 2. 268 Annex V. Part 2. 268 Annex V. Part 2. 268
005 Cash balances at central banks and other demand deposits Annex V.Part 2.2, 3                    
010 Debt securities Annex V.Part 1.31, 44(b)                    
020 Central banks Annex V.Part 1.42(a)                    
030 General governments Annex V.Part 1.42(b)                    
040 Credit institutions Annex V.Part 1.42(c)                    
050 Other financial corporations Annex V.Part 1.42(d)                    
060 Non-financial corporations Annex V.Part 1.42(e)                    
070 Loans and advances Annex V.Part 1.32, 44(a)                    
080 Central banks Annex V.Part 1.42(a)                    
090 General governments Annex V.Part 1.42(b)                    
100 Credit institutions Annex V.Part 1.42(c)                    
110 Other financial corporations Annex V.Part 1.42(d)                    
120 Non-financial corporations Annex V.Part 1.42(e)                    
130 Of which: Small and Medium-sized Enterprises SME Art 1 2(a)                    
140 Of which: Loans collateralised by commercial immovable property Annex V.Part 2.86(a), 87, 234i (a)                    
150 Households Annex V.Part 1.42(f)                    
160 Of which: Loans collateralised by residential immovable property Annex V.Part 2.86(a), 87, 234i (a)                    
170 Of which: Credit for consumption Annex V.Part 2.88(a), 234i (b)                    
180 DEBT INSTRUMENTS AT COST OR AT AMORTISED COST Annex V.Part 2.249(a)                    
181 Debt securities Annex V.Part 1.31, 44(b)                    
182 Central banks Annex V.Part 1.42(a)                    
183 General governments Annex V.Part 1.42(b)                    
184 Credit institutions Annex V.Part 1.42(c)                    
185 Other financial corporations Annex V.Part 1.42(d)                    
186 Non-financial corporations Annex V.Part 1.42(e)                    
191 Loans and advances Annex V.Part 1.32, 44(a)                    
192 Central banks Annex V.Part 1.42(a)                    
193 General governments Annex V.Part 1.42(b)                    
194 Credit institutions Annex V.Part 1.42(c)                    
195 Other financial corporations Annex V.Part 1.42(d)                    
196 Non-financial corporations Annex V.Part 1.42(e)                    
900 Of which: Small and Medium-sized Enterprises SME Art 1 2(a)                    
903 Of which: Loans collateralised by commercial immovable property Annex V.Part 2.86(a), 87, 234i (a)                    
197 Households Annex V.Part 1.42(f)                    
910 Of which: Loans collateralised by residential immovable property Annex V.Part 2.86(a), 87, 234i (a)                    
913 Of which: Credit for consumption Annex V.Part 2.88(a), 234i (b)                    
201 DEBT INSTRUMENTS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME OR THROUGH EQUITY SUBJECT TO IMPAIRMENT Annex V.Part 2.249(b)                    
211 Debt securities Annex V.Part 1.31, 44(b)                    
212 Central banks Annex V.Part 1.42(a)                    
213 General governments Annex V.Part 1.42(b)                    
214 Credit institutions Annex V.Part 1.42(c)                    
215 Other financial corporations Annex V.Part 1.42(d)                    
216 Non-financial corporations Annex V.Part 1.42(e)                    
221 Loans and advances Annex V.Part 1.32, 44(a)                    
222 Central banks Annex V.Part 1.42(a)                    
223 General governments Annex V.Part 1.42(b)                    
224 Credit institutions Annex V.Part 1.42(c)                    
225 Other financial corporations Annex V.Part 1.42(d)                    
226 Non-financial corporations Annex V.Part 1.42(e)                    
920 Of which: Small and Medium-sized Enterprises SME Art 1 2(a)                    
923 Of which: Loans collateralised by commercial immovable property Annex V.Part 2.86(a), 87, 234i (a)                    
227 Households Annex V.Part 1.42(f)                    
930 Of which: Loans collateralised by residential immovable property Annex V.Part 2.86(a), 87, 234i (a)                    
933 Of which: Credit for consumption Annex V.Part 2.88(a), 234i (b)                    
231 DEBT INSTRUMENTS AT STRICT LOCOM, OR FAIR VALUE THROUGH PROFIT OR LOSS OR THROUGH EQUITY NOT SUBJECT TO IMPAIRMENT Annex V.Part 2.249                    
330 DEBT INSTRUMENTS OTHER THAN HELD FOR TRADING OR TRADING Annex V.Part 2.246                    
335 DEBT INSTRUMENTS HELD FOR SALE Annex V.Part 2.247                    
340 Loan commitments given CRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 113, 116, 246                    
 20.  20.1 

 References Carrying amountAnnex V.Part 1.27
Domestic activitivies Non-domestic activities
Annex V.Part 2.270 Annex V.Part 2.270
010 020
010 Cash, cash balances at central banks and other demand deposits IAS 1.54 (i)  
020 Cash on hand Annex V.Part 2.1  
030 Cash balances at central banks Annex V.Part 2.2  
040 Other demand deposits Annex V.Part 2.3  
050 Financial assets held for trading IFRS 9. Appendix A  
060 Derivatives IFRS 9. Appendix A  
070 Equity instruments IAS 32.11  
080 Debt securities Annex V.Part 1.31  
090 Loans and advances Annex V.Part 1.32  
096 Non-trading financial assets mandatorily at fair value through profit or loss IFRS 7.8(a)(ii); IFRS 9.4.1.4  
097 Equity instruments IAS 32.11  
098 Debt securities Annex V.Part 1.31  
099 Loans and advances Annex V.Part 1.32  
100 Financial assets designated at fair value through profit or loss IFRS 7.8(a)(i); IFRS 9.4.1.5  
120 Debt securities Annex V.Part 1.31  
130 Loans and advances Annex V.Part 1.32  
141 Financial assets at fair value through other comprehensive income IFRS 7.8(h); IFRS 9.4.1.2A  
142 Equity instruments IAS 32.11  
143 Debt securities Annex V.Part 1.31  
144 Loans and advances Annex V.Part 1.32  
181 Financial assets at amortised cost IFRS 7.8(f); IFRS 9.4.1.2  
182 Debt securities Annex V.Part 1.31  
183 Loans and advances Annex V.Part 1.32  
240 Derivatives – Hedge accounting IFRS 9.6.2.1; Annex V.Part 1.22  
250 Fair value changes of the hedged items in portfolio hedge of interest rate risk IAS 39.89A(a); IFRS 9.6.5.8  
260 Tangible assets   
270 Intangible assets IAS 1.54(c); CRR art 4(1)(115)  
280 Investments in subsidaries, joint ventures and associates IAS 1.54(e); Annex V.Part 1.21, Part 2.4  
290 Tax assets IAS 1.54(n-o)  
300 Other assets Annex V.Part 2.5  
310 Non-current assets and disposal groups classified as held for sale IAS 1.54(j); IFRS 5.38, Annex V.Part 2.7  
320 ASSETS IAS 1.9(a), IG 6  
 20.2 

 References Carrying amountAnnex V.Part 1.27
Domestic activitivies Non-domestic activities
Annex V.Part 2.270 Annex V.Part 2.270
010 020
010 Financial liabilities held for trading IFRS 7.8 (e) (ii); IFRS 9.BA.6  
020 Derivatives IFRS 9.Appendix A; IFRS 9.4.2.1(a); IFRS 9.BA.7(a)  
030 Short positions IFRS 9.BA7(b)  
040 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36  
050 Debt securities issued Annex V.Part 1.37  
060 Other financial liabilities Annex V.Part 1.38-41  
070 Financial liabilities designated at fair value through profit or loss IFRS 7.8 (e)(i); IFRS 9.4.2.2  
080 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36  
090 Debt securities issued Annex V.Part 1.37  
100 Other financial liabilities Annex V.Part 1.38-41  
110 Financial liabilities measured at amortised cost IFRS 7.8(g); IFRS 9.4.2.1  
120 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36  
130 Debt securities issued Annex V.Part 1.37  
140 Other financial liabilities Annex V.Part 1.38-41  
150 Derivatives – Hedge accounting IFRS 9.6.2.1; Annex V.Part 1.26  
160 Fair value changes of the hedged items in portfolio hedge of interest rate risk IAS 39.89A(b), IFRS 9.6.5.8  
170 Provisions IAS 37.10; IAS 1.54(l)  
180 Tax liabilities IAS 1.54(n-o)  
190 Share capital repayable on demand IAS 32 IE 33; IFRIC 2; Annex V.Part 2.12  
200 Other liabilities Annex V.Part 2.13  
210 Liabilities included in disposal groups classified as held for sale IAS 1.54 (p); IFRS 5.38, Annex V.Part 2.14  
220 LIABILITIES IAS 1.9(b);IG 6  
 20.3 

 References Current period
Domestic activitivies Non-domestic activities
Annex V.Part 2.270 Annex V.Part 2.270
010 020
010 Interest income IAS 1.97; Annex V.Part 2.31  
020 (Interest expenses) IAS 1.97; Annex V.Part 2.31  
030 (Expenses on share capital repayable on demand) IFRIC 2.11  
040 Dividend income Annex V.Part 2.40  
050 Fee and commission income IFRS 7.20(c)  
060 (Fee and commission expenses) IFRS 7.20(c)  
070 Gains or (-) losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss, net Annex V.Part 2.45  
080 Gains or (-) losses on financial assets and liabilities held for trading, net IFRS 7.20(a)(i); IFRS 9.5.7.1; Annex V.Part 2.43, 46  
083 Gains or (-) losses on non-trading financial assets mandatorily at fair value through profit or loss IFRS 9.5.7.1  
090 Gains or (-) losses on financial assets and liabilities designated at fair value through profit or loss, net IFRS 7.20(a)(i); IFRS 9.5.7.1; Annex V.Part 2.44  
100 Gains or (-) losses from hedge accounting, net Annex V.Part 2.47-48  
110 Exchange differences [gain or (-) loss], net IAS 21.28, 52 (a)  
130 Gains or (-) losses on derecognition of non financial assets, net IAS 1.34  
140 Other operating income Annex V.Part 2.314-316  
150 (Other operating expenses) Annex V.Part 2.314-316  
155 TOTAL OPERATING INCOME, NET   
160 (Administrative expenses)   
170 (Depreciation) IAS 1.102, 104  
171 Modification gains or (-) losses, net IFRS 9.5.4.3, IFRS 9 Appendix A; Annex V Part 2.49  
180 (Provisions or (-) reversal of provisions) IAS 37.59, 84; IAS 1.98(b)(f)(g)  
190 (Impairment or (-) reversal of impairment on financial assets not measured at fair value through profit or loss) IFRS 7.20(a)(viii); Annex V Part 2.51, 53  
200 (Impairment or (-) reversal of impairment of investments in subsidaries, joint ventures and associates) IAS 28.40-43  
210 (Impairment or (-) reversal of impairment on non-financial assets) IAS 36.126(a)(b)  
220 Negative goodwill recognised in profit or loss IFRS 3.Appendix B64(n)(i)  
230 Share of the profit or (-) loss of investments in subsidaries, joint ventures and associates Annex V.Part 2.54  
240 Profit or (-) loss from non-current assets and disposal groups classified as held for sale not qualifying as discontinued operations IFRS 5.37; Annex V.Part 2.55  
250 PROFIT OR (-) LOSS BEFORE TAX FROM CONTINUING OPERATIONS IAS 1.102, IG 6; IFRS 5.33 A  
260 (Tax expense or (-) income related to profit or loss from continuing operations) IAS 1.82(d); IAS 12.77  
270 PROFIT OR (-) LOSS AFTER TAX FROM CONTINUING OPERATIONS IAS 1, IG 6  
280 Profit or (-) loss after tax from discontinued operations IAS 1.82(ea) ; IFRS 5.33(a), 5.33 A; Annex V Part 2.56  
290 PROFIT OR (-) LOSS FOR THE YEAR IAS 1.81A(a)  
 20.4 

 References Gross carrying amount  Accumulated impairment Accumulated negative changes in fair value due to credit risk on non-performing exposures
Of which: held for trading or trading of which: financial assets subject to impairment Of which: forborne Of which: non-perfoming 
of which: defaulted
Annex V.Part 1.34, Part 2.271, 275 Annex V.Part 1.15(a), Part 2.273 Annex V.Part 2.273 Annex V.Part 2.275 Annex V.Part 2.275 CRR art 178; Annex V.Part 2.237(b) Annex V.Part 2.274 Annex V.Part 2.274
010 011 012 022 025 026 031 040
010 Derivatives IFRS 9 Appendix A, Annex V.Part 2.272        
020 Of which: credit institutions Annex V.Part 1.42(c)        
030 Of which: other financial corporations Annex V.Part 1.42(d)        
040 Equity instruments IAS 32.11        
050 Of which: credit institutions Annex V.Part 1.42(c)        
060 Of which: other financial corporations Annex V.Part 1.42(d)        
070 Of which: non-financial corporations Annex V.Part 1.42(e)        
080 Debt securities Annex V.Part 1.31, 44(b)        
090 Central banks Annex V.Part 1.42(a)        
100 General governments Annex V.Part 1.42(b)        
110 Credit institutions Annex V.Part 1.42(c)        
120 Other financial corporations Annex V.Part 1.42(d)        
130 Non-financial corporations Annex V.Part 1.42(e)        
140 Loans and advances Annex V.Part 1.32, 44(a)        
150 Central banks Annex V.Part 1.42(a)        
160 General governments Annex V.Part 1.42(b)        
170 Credit institutions Annex V.Part 1.42(c)        
180 Other financial corporations Annex V.Part 1.42(d)        
190 Non-financial corporations Annex V.Part 1.42(e)        
200 Of which: Small and Medium-sized Enterprises SME Art 1 2(a)        
210 Of which: Loans collateralized by commercial immovable property Annex V.Part 2.86(a), 87        
220 Households Annex V.Part 1.42(f)        
230 Of which: Loans collateralized by residential immovable property Annex V.Part 2.86(a), 87        
240 Of which: Credit for consumption Annex V.Part 2.88(a)        
 20.5 

 References Nominal amount  Provisions for commitments and guarantees given
Of which: forborne Of which: non-perfoming 
of which: defaulted 
Annex V.Part 2.118, 271 Annex V.Part 2.240-258 Annex V.Part 2.275 CRR art 178; Annex V.Part 2.237(b) Annex V.Part 2.276
010 022 025 026 030
010 Loan commitments given CRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 113, 116     
020 Financial guarantees given IFRS 4 Annex A; CRR Annex I; Annex V.Part 1.44(f), Part 2.102-105, 114, 116     
030 Other Commitments given CRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 115, 116     
 20.6 

 References Carrying amount
Annex V.Part 1.27, 2.271
010
010 Derivatives IFRS 9 Appendix A, Annex V.Part 1.44(e), Part 2.272 
020 Of which: credit institutions Annex V.Part 1.42(c) 
030 Of which: other financial corporations Annex V.Part 1.42(d) 
040 Short positions IFRS 9.BA7(b); Annex V.Part 1.44(d) 
050 Of which: credit institutions Annex V.Part 1.42(c) 
060 Of which: other financial corporations Annex V.Part 1.42(d) 
070 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 
080 Central banks Annex V.Part 1.42(a) 
090 General governments Annex V.Part 1.42(b) 
100 Credit institutions Annex V.Part 1.42(c) 
110 Other financial corporations Annex V.Part 1.42(d) 
120 Non-financial corporations Annex V.Part 1.42(e) 
130 Households Annex V.Part 1.42(f) 
 20.7.1 

 References Non-financial corporationsAnnex V. Part 2.271, 277
Gross carrying amount   Accumulated impairment Accumulated negative changes in fair value due to credit risk on non-performing exposures
of which: loans and advances subject to impairment Of which: non-performing
Annex V.Part 1.34, Part 2.275 Annex V.Part 2.273 Annex V.Part 2.275 Annex V.Part 2.274 Annex V.Part 2.274
010 011 012 021 022
010 A Agriculture, forestry and fishing NACE Regulation     
020 B Mining and quarrying NACE Regulation     
030 C Manufacturing NACE Regulation     
040 D Electricity, gas, steam and air conditioning supply NACE Regulation     
050 E Water supply NACE Regulation     
060 F Construction NACE Regulation     
070 G Wholesale and retail trade NACE Regulation     
080 H Transport ans storage NACE Regulation     
090 I Accommodation and food service activities NACE Regulation     
100 J Information and communication NACE Regulation     
105 K Financial and insurance activities NACE Regulation     
110 L Real estate activities NACE Regulation     
120 M Professional, scientific and technical activities NACE Regulation     
130 N Administrative and support service activities NACE Regulation     
140 O Public administration and defence, compulsory social security NACE Regulation     
150 P Education NACE Regulation     
160 Q Human health services and social work activities NACE Regulation     
170 R Arts, entertainment and recreation NACE Regulation     
180 S Other services NACE Regulation     
190 LOANS AND ADVANCES Annex V.Part 1.32     
 21. 

 References Carrying amount
Annex V.Part 2.278-279
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 

 References Current period
Annex V.Part 2.280
IFRS 7.20(c ) 010
010 Fee and commission income Annex V.Part 2.281-284 
020 Securities  
030 Issuances Annex V.Part 2.284(a) 
040 Transfer orders Annex V.Part 2.284(b) 
050 Other fee and commission income in relation to securities Annex V.Part 2.284(c) 
051 Corporate Finance  
052 M&A advisory Annex V.Part 2.284 (e) 
053 Treasury services Annex V.Part 2.284(f) 
054 Other fee and commission income in relation to corporate finance activities Annex V.Part 2.284(g) 
055 Fee based advice Annex V.Part 2.284(h) 
060 Clearing and settlement Annex V.Part 2.284(i) 
070 Asset management Annex V.Part 2.284(j); 285(a) 
080 Custody [by type of customer] Annex V.Part 2.284(j); 285(b) 
090 Collective investment  
100 Other fee and commission income in relation to custody services  
110 Central administrative services for collective investment Annex V.Part 2.284(j); 285(c) 
120 Fiduciary transactions Annex V.Part 2.284(j); 285(d) 
131 Payment services Annex V.Part 2.284(k), 285(e) 
132 Current accounts Annex V.Part 2.284(k), 285(e) 
133 Credit cards Annex V.Part 2.284(k), 285(e) 
134 Debit cards and other card payments Annex V.Part 2.284(k), 285(e) 
135 Transfers and other payment orders Annex V.Part 2.284(k), 285(e) 
136 Other fee and commission income in relation to payment services Annex V.Part 2.284(k), 285(e) 
140 Customer resources distributed but not managed [by type of product] Annex V.Part 2.284 (l); 285(f) 
150 Collective investment  
160 Insurance products  
170 Other fee and commission income in relation to customer resources distributed but not managed  
180 Structured Finance Annex V.Part 2.284(n) 
190 Loan servicing activities Annex V.Part 2.284(o) 
200 Loan commitments given IFRS 9.4.2.1 (c)(ii); Annex V.Part 2.284(p) 
210 Financial guarantees given IFRS 9.4.2.1 (c)(ii); Annex V.Part 2.284(p) 
211 Loans granted Annex V.Part 2.284(r) 
213 Foreign exchange Annex V.Part 2.284(s) 
214 Commodities Annex V.Part 2.284(t) 
220 Other fee and commission income Annex V.Part 2.284(u) 
230 (Fee and commission expenses) Annex V.Part 2.281-284 
235 (Securities) Annex V.Part 2.284(d) 
240 (Clearing and settlement) Annex V.Part 2.284(i) 
245 (Asset management) Annex V.Part 2.284(j); 285(a) 
250 (Custody) Annex V.Part 2.284(j); 285 (b) 
255 (Payment services) Annex V.Part 2.284(k), 285(e) 
256 (of which: Credit, Debit and other Cards)  
260 (Loan servicing activities) Annex V.Part 2.284(o) 
270 (Loan commitments received) Annex V.Part 2.284(q) 
280 (Financial guarantees received) Annex V.Part 2.284(q) 
281 (Externally provided distribution of products) Annex V.Part 2.284(m) 
282 (Foreign exchange) Annex V.Part 2.284(s) 
290 (Other fee and commission expenses) Annex V.Part 2.284(u) 
 22.2 

 References Amount of the assets involved in the services provided
Annex V.Part 2.285(g)
010
010 Asset management [by type of customer] Annex V.Part 2.285(a) 
020 Collective investment  
030 Pension funds  
040 Customer portfolios managed on a discretionary basis  
050 Other investment vehicles  
060 Custody assets [by type of customer] Annex V.Part 2.285(b) 
070 Collective investment  
080 Other  
090 Of which: entrusted to other entities  
100 Central administrative services for collective investment Annex V.Part 2.285(c) 
110 Fiduciary transactions Annex V.Part 2.285(d) 
120 Payment services Annex V.Part 2.285(e) 
130 Customer resources distributed but not managed [by type of product] Annex V.Part 2.285(f) 
140 Collective investment  
150 Insurance products  
160 Other  
 23.  23.1 

 References Number of instruments(Annex V.Part 2.320)
  Performing Non Performing
       Unlikely to pay that are not past due or past due <= 90 days Past due > 90 days
 of which: Exposures with forbearance measures  of which: Past due > 30 days <= 90 days of which: Exposures with forbearance measures  of which: Exposures with forbearance measures  of which: Exposures with forbearance measures  of which: Exposures with forbearance measures Past due > 90 days <= 180 days Past due > 180 days <= 1 year Past due > 1 years <=2 years Past due > 2 years <=5 years Past due > 5 years <=7 years Past due > 7 years
Annex V.Part 1.32 Annex V. Part 2. 256, 259-263 Annex V. Part 2. 213-216, 226-239 Annex V. Part 2. 222, 235 Annex V. Part 2. 259-261 Annex V. Part 2. 213-216, 226-239 Annex V. Part 2.256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236, 256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236, 256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236
0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110 0120 0130 0140 0150 0160 0170
0010 Loans and advances Annex V.Part 1.32, 44(a), Part 2.319                 
0020 of which: Households Annex V.Part 1.42(f)                 
0030 of which: Loans collateralised by residential immovable property Annex V.Part 2.86(a), 87, 234i (a)                 
0040 of which: Non-financial corporations – SMEs Annex V.Part 1.42(e), SME Art 1 2(a)                 
0050 of which: Commercial Real Estate (CRE) loans to SMEs Annex V.Part 2.239ix                 
0060 of which: Non-financial corporations – other than SMEs Annex V.Part 1.42(e)                 
0070 of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs Annex V.Part 2.239ix                 
0080 Loans and advances in pre-litigation status Annex V.Part 1.32, 44(a), Part 2.319, 321                 
0090 of which: Households Annex V.Part 1.42(f)                 
0100 of which: Loans collateralised by residential immovable property Annex V.Part 2.86(a), 87                 
0110 of which: Non-financial corporations – SMEs Annex V.Part 1.42(e), SME Art 1 2(a)                 
0120 of which: Commercial Real Estate (CRE) loans to SMEs Annex V.Part 2.239ix                 
0130 of which: Non-financial corporations – other than SMEs Annex V.Part 1.42(e)                 
0140 of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs Annex V.Part 2.239ix                 
0150 Loans and advances in litigation status Annex V.Part 1.32, 44(a), Part 2.319; 322                 
0160 of which: Households Annex V.Part 1.42(f)                 
0170 of which: Loans collateralised by residential immovable property Annex V.Part 2.86(a), 87                 
0180 of which: Non-financial corporations – SMEs Annex V.Part 1.42(e), SME Art 1 2(a)                 
0190 of which: Commercial Real Estate (CRE) loans to SMEs Annex V.Part 2.239ix                 
0200 of which: Non-financial corporations – other than SMEs Annex V.Part 1.42(e)                 
0210 of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs Annex V.Part 2.239ix                 
 23.2 

 References Gross carrying amount(Annex V.Part 1.34)
  Performing Non Performing
       Unlikely to pay that are not past due or past due <= 90 days Past due > 90 days
 of which: Exposures with forbearance measures  of which: Past due > 30 days <= 90 days of which: Exposures with forbearance measures  of which: Exposures with forbearance measures  of which: Exposures with forbearance measures  of which: Exposures with forbearance measures Past due > 90 days <= 180 days Past due > 180 days <= 1 year Past due > 1 years <=2 years Past due > 2 years <=5 years Past due > 5 years <=7 years Past due > 7 years
Annex V.Part 1.32 Annex V. Part 2. 256, 259-263 Annex V. Part 2. 213-216, 226-239 Annex V. Part 2. 222, 235 Annex V. Part 2. 259-261 Annex V. Part 2. 213-216, 226-239 Annex V. Part 2.256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236, 256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236, 256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236
0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110 0120 0130 0140 0150 0160 0170
0010 Loans and advances Annex V.Part 1.32, 44(a), Part 2.319                 
0020 of which: Households Annex V.Part 1.42(f)                 
0030 of which: Loans collateralised by residential immovable property Annex V.Part 2.86(a), 87                 
0040 of which: Non-financial corporations – SMEs Annex V.Part 1.42(e), SME Art 1 2(a)                 
0050 of which: Commercial Real Estate (CRE) loans to SMEs Annex V.Part 2.239ix                 
0060 of which: Non-financial corporations – other than SMEs Annex V.Part 1.42(e)                 
0070 of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs Annex V.Part 2.239ix                 
0080 Loans and advances at cost or at amortised cost Annex V.Part 1.32, 44(a), Part 2.233 (a), 319                 
0090 of which: Households Annex V.Part 1.42(f)                 
0100 of which: Loans collateralised by residential immovable property Annex V.Part 2.86(a), 87                 
0110 of which: Non-financial corporations – SMEs Annex V.Part 1.42(e), SME Art 1 2(a)                 
0120 of which: Commercial Real Estate (CRE) loans to SMEs Annex V.Part 2.239ix                 
0130 of which: Non-financial corporations – other than SMEs Annex V.Part 1.42(e)                 
0140 of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs Annex V.Part 2.239ix                 
0150 Loans and advances in pre-litigation status Annex V.Part 1.32, 44(a), Part 2.319, 321                 
0160 of which: Households Annex V.Part 1.42(f)                 
0170 of which: Loans collateralised by residential immovable property Annex V.Part 2.86(a), 87                 
0180 of which: Non-financial corporations – SMEs Annex V.Part 1.42(e), SME Art 1 2(a)                 
0190 of which: Commercial Real Estate (CRE) loans to SMEs Annex V.Part 2.239ix                 
0200 of which: Non-financial corporations – other than SMEs Annex V.Part 1.42(e)                 
0210 of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs Annex V.Part 2.239ix                 
0220 Loans and advances in litigation status Annex V.Part 1.32, 44(a), Part 2.319, 322                 
0230 of which: Households Annex V.Part 1.42(f)                 
0240 of which: Loans collateralised by residential immovable property Annex V.Part 2.86(a), 87                 
0250 of which: Non-financial corporations – SMEs Annex V.Part 1.42(e), SME Art 1 2(a)                 
0260 of which: Commercial Real Estate (CRE) loans to SMEs Annex V.Part 2.239ix                 
0270 of which: Non-financial corporations – other than SMEs Annex V.Part 1.42(e)                 
0280 of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs Annex V.Part 2.239ix                 
0290 Unsecured loans and advances without guarantees Annex V.Part 1.32, 44(a), Part 2.319, 323                 
0300 of which: Households Annex V.Part 1.42(f)                 
0310 of which: Non-financial corporations – SMEs Annex V.Part 1.42(e), SME Art 1 2(a)                 
0320 of which: Commercial Real Estate (CRE) loans to SMEs Annex V.Part 2.239ix                 
0330 of which: Non-financial corporations – other than SMEs Annex V.Part 1.42(e)                 
0340 of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs Annex V.Part 2.239ix                 
0350 Loans and advances with an accumulated coverage ratio > 90 % Annex V.Part 1.32, 44(a), Part 2.319, 324                 
0360 of which: Households Annex V.Part 1.42(f)                 
0370 of which: Loans collateralised by residential immovable property Annex V.Part 2.86(a), 87                 
0380 of which: Non-financial corporations – SMEs Annex V.Part 1.42(e), SME Art 1 2(a)                 
0390 of which: Commercial Real Estate (CRE) loans to SMEs Annex V.Part 2.239ix                 
0400 of which: Non-financial corporations – other than SMEs Annex V.Part 1.42(e)                 
0410 of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs Annex V.Part 2.239ix                 
 23.3 

 References Gross carrying amount(Annex V.Part 1.34)
  Performing Non Performing
       Unlikely to pay that are not past due or past due <= 90 days Past due > 90 days
 of which: Exposures with forbearance measures  of which: Past due > 30 days <= 90 days of which: Exposures with forbearance measures  of which: Exposures with forbearance measures  of which: Exposures with forbearance measures  of which: Exposures with forbearance measures Past due > 90 days <= 180 days Past due > 180 days <= 1 year Past due > 1 years <=2 years Past due > 2 years <=5 years Past due > 5 years <=7 years Past due > 7 years
Annex V.Part 1.32 Annex V. Part 2. 256, 259-263 Annex V. Part 2. 213-216, 226-239 Annex V. Part 2. 222, 235 Annex V. Part 2. 259-261 Annex V. Part 2. 213-216, 226-239 Annex V. Part 2.256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236, 256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236, 256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236
0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110 0120 0130 0140 0150 0160 0170
0010 Loans and advances collateralised by immovable property Annex V.Part 1.32, 44(a), Part 2.86(a), 87, 319                 
0020 Of which: Loans with a LTV higher than 60 % and lower than or equal to 80 % Annex V.Part 2.239x, 325                 
0030 Of which: Loans with a LTV higher than 80 % and lower than or equal to 100 % Annex V.Part 2.239x, 325                 
0040 Of which: Loans with a LTV higher than 100 % Annex V.Part 2.239x, 325                 
0050 Loans and advances to small and medium-sized enterprises (NFCs) collateralised by commercial immovable property Annex V.Part 1.32, 42 (e), 44(a), Part 2.86(a), 87, 319; SME Art 1 2(a)                 
0060 Of which: Loans with a LTV higher than 60 % and lower than or equal to 80 % Annex V.Part 2.239x, 325                 
0070 Of which: Loans with a LTV higher than 80 % and lower than or equal to 100 % Annex V.Part 2.239x, 325                 
0080 Of which: Loans with a LTV higher than 100 % Annex V.Part 2.239x, 325                 
0090 Loans and advances to non-financial corporations (NFCs) other than SMEs collateralised by commercial immovable property Annex V.Part 1.32, 42 (e), 44(a), Part 2.86(a), 87, 319; SME Art 1 2(a)                 
0100 Of which: Loans with a LTV higher than 60 % and lower than or equal to 80 % Annex V.Part 2.239x, 325                 
0110 Of which: Loans with a LTV higher than 80 % and lower than or equal to 100 % Annex V.Part 2.239x, 325                 
0120 Of which: Loans with a LTV higher than 100 % Annex V.Part 2.239x, 325                 
0130 Commercial Real Estate loans to small and medium-sized enterprises (NFCs) collateralised by immovable property Annex V.Part 1.32, 42 (e), 44(a), Part 2.86(a), 87, 239ix, 319; SME Art 1 2(a)                 
0140 Of which: Loans with a LTV higher than 60 % and lower than or equal to 80 % Annex V.Part 2.239x, 325                 
0150 Of which: Loans with a LTV higher than 80 % and lower than or equal to 100 % Annex V.Part 2.239x, 325                 
0160 Of which: Loans with a LTV higher than 100 % Annex V.Part 2.239x, 325                 
0170 Commercial Real Estate loans to non-financial corporations (NFCs) other than SMEs collateralised by immovable property Annex V.Part 1.32, 42 (e), 44(a), Part 2.86(a), 87, 239ix, 319; SME Art 1 2(a)                 
0180 Of which: Loans with a LTV higher than 60 % and lower than or equal to 80 % Annex V.Part 2.239x, 325                 
0190 Of which: Loans with a LTV higher than 80 % and lower than or equal to 100 % Annex V.Part 2.239x, 325                 
0200 Of which: Loans with a LTV higher than 100 % Annex V.Part 2.239x, 325                 
 23.4 

 References Accumulated impairment, accumulated negative changes in fair value due to credit risk(Annex V. Part 2.69-71)
  Performing Non Performing
       Unlikely to pay that are not past due or past due <= 90 days Past due > 90 days
 of which: Exposures with forbearance measures  of which: Past due > 30 days <= 90 days of which: Exposures with forbearance measures  of which: Exposures with forbearance measures  of which: Exposures with forbearance measures  of which: Exposures with forbearance measures Past due > 90 days <= 180 days Past due > 180 days <= 1 year Past due > 1 years <=2 years Past due > 2 years <=5 years Past due > 5 years <=7 years Past due > 7 years
Annex V.Part 1.32 Annex V. Part 2. 256, 259-263 Annex V. Part 2. 213-216, 226-239 Annex V. Part 2. 222, 235 Annex V. Part 2. 259-261 Annex V. Part 2. 213-216, 226-239 Annex V. Part 2.256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236, 256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236, 256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236
0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110 0120 0130 0140 0150 0160 0170
0010 Loans and advances Annex V.Part 1.32, 44(a), Part 2.319                 
0020 of which: Households Annex V.Part 1.42(f)                 
0030 of which: Loans collateralised by residential immovable property Annex V.Part 2.86(a), 87                 
0040 of which: Non-financial corporations – SMEs Annex V.Part 1.42(e), SME Art 1 2(a)                 
0050 of which: Commercial Real Estate (CRE) loans to SMEs Annex V.Part 2.239ix                 
0060 of which: Non-financial corporations – other than SMEs Annex V.Part 1.42(e)                 
0070 of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs Annex V.Part 2.239ix                 
0080 Loans and advances at cost or at amortised cost Annex V.Part 1.32, 44(a), Part 2.233 (a), 319                 
0090 of which: Households Annex V.Part 1.42(f)                 
0100 of which: Loans collateralised by residential immovable property Annex V.Part 2.86(a), 87                 
0110 of which: Non-financial corporations – SMEs Annex V.Part 1.42(e), SME Art 1 2(a)                 
0120 of which: Commercial Real Estate (CRE) loans to SMEs Annex V.Part 2.239ix                 
0130 of which: Non-financial corporations – other than SMEs Annex V.Part 1.42(e)                 
0140 of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs Annex V.Part 2.239ix                 
0150 Unsecured loans and advances without guarantees Annex V.Part 1.32, 44(a), Part 2.319, 323                 
0160 of which: Households Annex V.Part 1.42(f)                 
0170 of which: Non-financial corporations – SMEs Annex V.Part 1.42(e), SME Art 1 2(a)                 
0180 of which: Commercial Real Estate (CRE) loans to SMEs Annex V.Part 2.239ix                 
0190 of which: Non-financial corporations – other than SMEs Annex V.Part 1.42(e)                 
0200 of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs Annex V.Part 2.239ix                 
 23.5 

 References Maximum amount of the collateral or guarantee that can be consideredAnnex V.Part 2.171-172, 174
  Performing Non Performing
       Unlikely to pay that are not past due or past due <= 90 days Past due > 90 days
 of which: Exposures with forbearance measures  of which: Past due > 30 days <= 90 days of which: Exposures with forbearance measures  of which: Exposures with forbearance measures  of which: Exposures with forbearance measures  of which: Exposures with forbearance measures Past due > 90 days <= 180 days Past due > 180 days <= 1 year Past due > 1 years <=2 years Past due > 2 years <=5 years Past due > 5 years <=7 years Past due > 7 years
Annex V.Part 1.32 Annex V. Part 2. 256, 259-263 Annex V. Part 2. 213-216, 226-239 Annex V. Part 2. 222, 235 Annex V. Part 2. 259-261 Annex V. Part 2. 213-216, 226-239 Annex V. Part 2.256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236, 256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236, 256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236
0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110 0120 0130 0140 0150 0160 0170
0010 Financial guarantees received on loans and advances Annex V.Part 2.319, 326                 
0020 of which: Households Annex V.Part 1.42(f)                 
0030 of which: Loans collateralised by residential immovable property Annex V.Part 2.86(a), 87                 
0040 of which: Non-financial corporations – SMEs Annex V.Part 1.42(e), SME Art 1 2(a)                 
0050 of which: Commercial Real Estate (CRE) loans to SMEs Annex V.Part 2.239ix                 
0060 of which: Non-financial corporations – other than SMEs Annex V.Part 1.42(e)                 
0070 of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs Annex V.Part 2.239ix                 
0080 Collateral received on loans and advances Annex V.Part 2.319, 326                 
0090 of which: Households Annex V.Part 1.42(f)                 
0100 of which: Loans collateralised by residential immovable property Annex V.Part 2.86(a), 87                 
0110 of which: Non-financial corporations – SMEs Annex V.Part 1.42(e), SME Art 1 2(a)                 
0120 of which: Commercial Real Estate (CRE) loans to SMEs Annex V.Part 2.239ix                 
0130 of which: Non-financial corporations – other than SMEs Annex V.Part 1.42(e)                 
0140 of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs Annex V.Part 2.239ix                 
0150 Immovable property collateral received on loans and advances Annex V.Part 2.319, 326                 
0160 of which: Households Annex V.Part 1.42(f)                 
0170 of which: Loans collateralised by residential immovable property Annex V.Part 2.86(a), 87                 
0180 of which: Non-financial corporations – SMEs Annex V.Part 1.42(e), SME Art 1 2(a)                 
0190 of which: Commercial Real Estate (CRE) loans to SMEs Annex V.Part 2.239ix                 
0200 of which: Non-financial corporations – other than SMEs Annex V.Part 1.42(e)                 
0210 of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs Annex V.Part 2.239ix                 
0220 Memorandum item: Collateral received on loans and advances – uncapped amounts Annex V.Part 2.319, 326, 327                 
0230 of which: Immovable property collateral Annex V.Part 2.319, 326, 327                 
 23.6 

 References Accumulated partial write-offs(Annex V.Part 2.72, 74)
  Performing Non Performing
       Unlikely to pay that are not past due or past due <= 90 days Past due > 90 days
 of which: Exposures with forbearance measures  of which: Past due > 30 days <= 90 days of which: Exposures with forbearance measures  of which: Exposures with forbearance measures  of which: Exposures with forbearance measures  of which: Exposures with forbearance measures Past due > 90 days <= 180 days Past due > 180 days <= 1 year Past due > 1 years <=2 years Past due > 2 years <=5 years Past due > 5 years <=7 years Past due > 7 years
Annex V.Part 1.32 Annex V. Part 2. 256, 259-263 Annex V. Part 2. 213-216, 226-239 Annex V. Part 2. 222, 235 Annex V. Part 2. 259-261 Annex V. Part 2. 213-216, 226-239 Annex V. Part 2.256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236, 256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236, 256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236
0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110 0120 0130 0140 0150 0160 0170
0010 Loans and advances Annex V.Part 1.32, 44(a), Part 2.319                 
0020 of which: Households Annex V.Part 1.42(f)                 
0030 of which: Loans collateralised by residential immovable property Annex V.Part 2.86(a), 87                 
0040 of which: Non-financial corporations – SMEs Annex V.Part 1.42(e), SME Art 1 2(a)                 
0050 of which: Commercial Real Estate (CRE) loans to SMEs Annex V.Part 2.239ix                 
0060 of which: Non-financial corporations – other than SMEs Annex V.Part 1.42(e)                 
0070 of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs Annex V.Part 2.239ix                 
 24.  24.1 

 References Gross Carrying amount(Annex V. Part 1.34)
Non-performing exposures – loans and advances
 of which: Households of which: Non-financial corporations
  of which: Loans collateralised by residential immovable property  of which: SMEs of which: CRE loans to NFCs other than SMEs
    of which:Commercial Real Estate (CRE) loans
Annex V.Part 1.32, 34, Part 2.213-216, 223-239 Annex V.Part 1.42(f), 44(a) Annex V.Part 2.86(a), 87 Annex V.Part 1.42(e), 44(a) SME Art 1 2(a) SME Art 1 2(a), Annex V.Part 2.239ix Annex V.Part 2.239ix
0010 0020 0030 0040 0050 0060 0070
0010 Opening balance Annex V.Part 2.328       
0020 Inflows Annex V.Part 2.239ii, 239iii, 239vi, 329       
0030 Inflow due to reclassification from performing not forborne Annex V.Part 2.239ii, 239iii, 239vi, 329       
0040 Inflow due to reclassification from performing forborne Annex V.Part 2.239ii, 239iii, 239vi, 329       
0050 of which: reclassified from performing forborne exposures under probation previously reclassified from non-performing Annex V.Part 2.239ii, 239iii, 239vi, 329(b)       
0060 Inflow due to purchase of exposures Annex V.Part 2.239ii, 239iii, 239vi, 329       
0070 Inflow due to accrued interest Annex V.Part 2.239ii, 239iii, 239vi, 329 (a)       
0080 Inflow due to other reasons Annex V.Part 2.239ii, 239iii, 239vi, 329 (c)       
0090 Of which: Inflow more than once Annex V.Part 2.239ii, 239iii, 239vi, 330 (a)       
0100 Of which: Inflow of exposures granted in the past 24 months Annex V.Part 2.239ii, 239iii, 239vi, 330 (b)       
0110 Of which: Inflow of exposures granted during the period Annex V.Part 2.239ii, 239iii, 239vi, 330 (b)       
0120 Outflows Annex V.Part 2.239iii-239v, 331, 332       
0130 Outflow due to reclassification as performing not forborne Annex V.Part 2.239iii-239v(a), 331, 332       
0140 Outflow due to reclassification as performing forborne Annex V.Part 2.239iii-239v(a), 331, 332       
0150 Outflow due to partial or total loan repayment Annex V.Part 2.239iii-239v(b), 331, 332       
0160 Outflow due to collateral liquidations Annex V.Part 2.239iii-239v(c), 331, 332       
0170 Net cumulated recoveries from collateral liquidation Annex V.Part 2.333       
0180 of which: Write-offs in the context of collateral liquidations Annex V.Part 2.239iii-239v(c)       
0190 Outflow due to taking possession of collateral Annex V.Part 2.239iii-239v(d), 331, 332       
0200 Net cumulated recoveries from taking possession of collateral Annex V.Part 2.333       
0210 of which: Write-offs in the context of taking possession of collateral Annex V.Part 2.239iii-239v(d)       
0220 Outflow due to sale of instruments Annex V.Part 2.239iii-239v(e), 331, 332       
0230 Net cumulated recoveries from sale of instruments Annex V.Part 2.333       
0240 of which: Write-offs in the context of sale of instruments Annex V.Part 2.239iii-239v(e)       
0250 Outflow due to risk transfers Annex V.Part 2.239iii-239v(f), 331, 332       
0260 Net cumulated recoveries from risk transfers Annex V.Part 2.333       
0270 of which: Write-offs in the context of risk transfers Annex V.Part 2.239iii-239v(f)       
0280 Outflow due to write-offs Annex V.Part 2.239iii-239v(g), 331, 332       
0290 Outflow due to reclassification as held for sale Annex V.Part 2.239iii-239vi, 331, 332       
0300 Outflow due to other reasons Annex V.Part 2.239iii-239v(h), 331, 332       
0310 Of which: Outflow of non-performing exposures that became non-performing during the period Annex V.Part 2.334       
0320 Closing balance Annex V.Part 2.328       
 24.2 

 References Accumulated impairment and accumulated negative changes in fair value due to credit risk
Non-performing exposures – loans and advances
 of which: Households of which: Non-financial corporations
  of which: Loans collateralised by residential immovable property  of which: SMEs of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs
    of which:Commercial Real Estate (CRE) loans
Annex V.Part 1.32, Part 2.69-71, 213-216, 223-239 Annex V.Part 1.42(f), 44(a) Annex V.Part 2.86(a), 87 Annex V.Part 1.42(e), 44(a) SME Art 1 2(a) SME Art 1 2(a), Annex V.Part 2.239ix Annex V.Part 2.239ix
0010 0020 0030 0040 0050 0060 0070
0010 Opening balance Annex V.Part 2.335       
0020 Increases during the period Annex V.Part 2.336       
0030 Of which: impairments against interest accrued Annex V.Part 2.337       
0040 Decreases during the period Annex V.Part 2.338       
0050 Of which: Reversal of impairment and negative changes in fair value due to credit risk Annex V.Part 2.339(a)       
0060 Of which: Release of allowances due to unwinding process Annex V.Part 2.339(b)       
0070 Closing balance Annex V.Part 2.335       
 24.3 

 References Gross Carrying amount
Non-performing exposures – Loans and advances
 of which: Households of which: Non-financial corporations
  of which: Loans collateralised by residential immovable property  Of which: SMEs Of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs
    Of which:Commercial Real Estate (CRE) loans to SMEs
Annex V.Part 1.32, 34, Part 2.213-216, 223-239 Annex V.Part 1.42(f), 44(a) Annex V.Part 2.86(a), 87 Annex V.Part 1.42(e), 44(a) SME Art 1 2(a) SME Art 1 2(a), Annex V.Part 2.239ix Annex V.Part 2.239ix
0010 0020 0030 0040 0050 0060 0070
0010 Write-offs during the period Annex V.Part 2.340       
0020 Of which: Debt forgiveness Annex V.Part 2.340       
 25.  25.1 

 References Debt balance reduction Collateral obtained by taking possession other than collateral classified as Property Plant and Equipment (PP&E)
  Vintage: Recognition in balance sheet for Of which:Non-current assetsheld-for-sale
  <= 2 years > 2 years <= 5 years > 5 years
Gross carrying amount Accumulated impairment, accumulated negative changes in fair value due to credit risk Value at initial recognition Carrying amount Value at initial recognition Carrying amount Value at initial recognition Carrying amount Value at initial recognition Carrying amount Value at initial recognition Carrying amount
Annex V.Part 1.34, Part 2.343 Annex V.Part 2.69-71, 343 Annex V.Part 2.175, 175i, 344 Annex V.Part 1.27, Part 2.175 Annex V.Part 2.175, 175i, 348 Annex V.Part 1.27, Part 2.175, 348 Annex V.Part 2.175, 175i, 348 Annex V.Part 1.27, Part 2.175, 348 Annex V.Part 2.175, 175i, 348 Annex V.Part 1.27, Part 2.175, 348 IFRS 5.6, Annex V.Part 2.175, 175i, 344 IFRS 5.6, Annex V.Part 1.27, Part 2.175
0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110 0120
0010 Opening balance Annex V.Part 2.341, 342            
0020 Inflows of collateral during the period Annex V.Part 2.345, 349            
0030 Inflow due to new collateral obtained by taking possession Annex V.Part 2.345, 349            
0040 Inflow due to positive changes in value Annex V.Part 2.345, 349            
0050 Outflows of collateral during the period Annex V.Part 2.346, 349            
0060 Outflow for which cash was collected Annex V.Part 2.347, 349            
0070 Cash collected net of costs Annex V.Part 2.347            
0080 Profits/(-) losses from sale of collateral obtained by taking possession Annex V.Part 2.347            
0090 Outflow with replacement by financial instrument Annex V.Part 2.346, 349            
0100 Financing granted Annex V.Part 2.347            
0110 Outflow due to negative changes in value Annex V.Part 2.346, 349            
0120 Closing balance Annex V.Part 2.341, 342            
 25.2 

 References Debt balance reduction Collateral obtained by taking possession other than collateral classified as Property Plant and Equipment (PP&E)
   Vintage: Recognition in balance sheet for Of which:Non-current assetsheld-for-sale
   <= 2 years > 2 years <= 5 years > 5 years
Gross carrying amount Accumulated impairment, accumulated negative changes in fair value due to credit risk Value at initial recognition Carrying amount Accumulated negative changes Value at initial recognition Carrying amount Accumulated negative changes Value at initial recognition Carrying amount Accumulated negative changes Value at initial recognition Carrying amount Accumulated negative changes Value at initial recognition Carrying amount
Annex V.Part 1.34, Part 2.343 Annex V.Part 2.69-71, 343 Annex V.Part 2.175, 175i, 344 Annex V.Part 1.27, Part 2.175 Annex V.Part 2.175, 175ii Annex V.Part 2.175, 175i, 348 Annex V.Part 1.27, Part 2.175, 348 Annex V.Part 2.175, 175ii, 348 Annex V.Part 2.175, 175i, 348 Annex V.Part 1.27, Part 2.175, 348 Annex V.Part 2.175, 175ii, 348 Annex V.Part 2.175, 175i, 348 Annex V.Part 1.27, Part 2.175, 348 Annex V.Part 2.175, 175ii, 348 IFRS 5.6, Annex V.Part 2.175, 175i IFRS 5.6, Annex V.Part 1.27, Part 2.175
0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110 0120 0130 0140 0150 0160
0010 Residential immovable property Annex V. Part 2.350, 351                
0020 Of which: under construction / development Annex V. Part 2.350, 352(a)                
0030 Commercial immovable property Annex V. Part 2.350, 351                
0040 Of which: under construction / development Annex V. Part 2.350, 352(a)                
0050 Of which: Land related to commercial real estate corporations (excluding agricultural land) Annex V. Part 2.350, 352(b)                
0060 Of which: Land with planning permission for development Annex V. Part 2.350, 352(b)                
0070 Of which: Land without planning permission for development Annex V. Part 2.350, 352(b)                
0080 Movable property Annex V. Part 2.350, 351                
0090 Equity and debt securities Annex V. Part 2.350, 351                
0100 Other Annex V. Part 2.350, 351                
0110 Total Annex V. Part 2.350, 351                
0120 Number of Collateral obtained by taking possession Annex V. Part 2.350, 351                
 25.3 

 References Debt balance reduction Collateral obtained by taking possession classified as Property Plant and Equipment (PP&E)
Gross carrying amount Accumulated impairment, accumulated negative changes in fair value due to credit risk Value at initial recognition Carrying amount Accumulated negative changes
Annex V.Part 1.34, Part 2.343 Annex V.Part 2.69-71, 343 IAS 16.6, Annex V.Part 2.175, 175i IAS 16.6, Annex V.Part 1.27, Part 2.175 IAS 16.6, Annex V.Part 2.175, 175ii
0010 0020 0030 0040 0050
0010 Total Annex V.Part 2.341, 357-358     
0020 Inflows due to new collateral obtained by taking possession Annex V.Part 2.341, 345, 357-358     
 26. 

 References Loans and advances with forbearance measures
   of which: Households of which: Non-financial corporations
 of which: performing of which: having been granted forbearance measures during the period  of which: performing of which: having been granted forbearance measures during the period  of which: performing of which: having been granted forbearance measures during the period
Annex V.Part 1.32, Part 2.240-245, 252-257 Annex V.Part 2.256, 259-261 Annex V.Part 2.361 Annex V.Part 1.32, 42(f), 44(a), Part 2.240-245, 252-257 Annex V.Part 2.256, 259-261 Annex V.Part 2.361 Annex V.Part 1.32, 42(e), 44(a), Part 2.240-245, 252-257 Annex V.Part 2.256, 259-261 Annex V.Part 2.361
Annex V.Part 1.32, Part 2.240-245, 252-257 Annex V.Part 2.256, 259-261 Annex V.Part 2.361 Annex V.Part 1.32, 42(f), 44(a), Part 2.240-245, 252-257 Annex V.Part 2.256, 259-261 Annex V.Part 2.361 Annex V.Part 1.32, 42(e), 44(a), Part 2.240-245, 252-257 Annex V.Part 2.256, 259-261 Annex V.Part 2.361
0010 0020 0030 0040 0050 0060 0070 0080 0090
0010 Number of instruments Annex V. Part 2.320, 355, 356         
0020 Gross carrying amount of instruments, for the following types of forbearance measures: Annex V.Part 1.34, Part 2.355, 357, 359         
0030 Grace period/payment moratorium Annex V.Part 2.358(a)         
0040 Interest rate reduction Annex V.Part 2.358(b)         
0050 Extension of maturity/term Annex V.Part 2.358(c)         
0060 Rescheduled payments Annex V.Part 2.358(d)         
0070 Debt forgiveness Annex V.Part 2.358(e)         
0080 Debt asset swaps Annex V.Part 2.358(f)         
0090 Other forbearance measures Annex V.Part 2.358(g)         
 Gross carrying amount of instruments that were subject to forbearance measures at multiple points in time Annex V.Part 1.34, Part 2.355         
0100 Loans and advances having been forborne twice Annex V.Part 2.360(a)(i)         
0110 Loans and advances having been forborne more than twice Annex V.Part 2.360(a)(i)         
0120 Loans and advances to which forbearance measures were granted in addition to already existing forbearance measures Annex V.Part 2.360(a)(ii)         
0130 Gross carrying amount of non-performing forborne loans and advances that failed to meet the non-performing exit criteria Annex V.Part 1.34, Part 2.232, 355, 360(b)         
 30.  30.1 

 References Carrying amount of financial assets recognised in the balance sheet Of which: liquidity support drawn Fair value of liquidity support drawn Carrying amount of financial liabilities recognised in the balance sheet Nominal amount of off-balance sheet exposures given by the reporting institution Of which: Nominal amount of loan commitments given Losses incurred by the reporting institution in the current period
IFRS 12.29(a) IFRS 12.29(a); Annex V.Part 2.286  IFRS 12.29(a) IFRS 12.B26(e)  IFRS 12 B26(b); Annex V.Part 2.287
010 020 030 040 050 060 080
010 Total        
 30.2 

By nature of the activities References Carrying amount
Securitisation Special Purpose Entities Asset management Other activities
CRR art 4(1)(66) Annex V.Part 2.285(a) 
IFRS 12.24, B6.(a) 010 020 030
010 Selected financial assets recognised in the reporting institution’s balance sheet IFRS 12.29(a),(b)   
021 of which: non-performing Annex V.Part 2.213-239   
030 Derivatives IFRS 9 Appendix A; Annex V.Part 2.272   
040 Equity instruments IAS 32.11   
050 Debt securities Annex V.Part 1.31   
060 Loans and advances Annex V.Part 1.32   
070 Selected equity and financial liabilites recognised in the reporting institution’s balance sheet IFRS 12.29(a),(b)   
080 Equity instruments issued IAS 32.11   
090 Derivatives IFRS 9 Appendix A; Annex V.Part 2.272   
100 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36   
110 Debt securities issued Annex V.Part 1.37   
 Nominal amount
120 Off-balance sheet exposures given by the reporting institution IFRS 12.B26.(e); CRR Annex I; Annex V.Part 2.102-105, 113-115, 118   
131 of which: non-performing Annex V.Part 2.117   
 31.  31.1 

 ReferencesAnnex V.Part 2.288-291 Outstanding balances
Parent and entities with joint control or significant influence Subsidiaries and other entities of the same group Associates and joint ventures Key management of the institution or its parent Other related parties
IAS 24.19(a),(b) IAS 24.19(c); Annex V.Part 2.289 IAS 24.19(d),(e); Annex V.Part 2.289 IAS 24.19(f) IAS 24.19(g)
010 020 030 040 050
010 Selected financial assets IAS 24.18(b)     
020 Equity instruments IAS 32.11     
030 Debt securities Annex V.Part 1.31     
040 Loans and advances Annex V.Part 1.32     
050 of which: non-performing Annex V. Part 2.213-239     
060 Selected financial liabilities IAS 24.18(b)     
070 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36     
080 Debt securities issued Annex V.Part 1.37     
090 Nominal amount of loan commitments, financial guarantees and other commitments given IAS 24.18(b); CRR Annex I; Annex V.Part 2.102-105, 113-115, 118     
100 of which: non-performing IAS 24.18(b); Annex V. Part 2.117     
110 Loan commitments, financial guarantees and other commitments received IAS 24.18(b); Annex V.Part 2.290     
120 Notional amount of derivatives Annex V.Part 2.133-135     
131 Accumulated impairment and accumulated negative changes in fair value due to credit risk on non-performing exposures IAS 24.1(c); Annex V.Part 2.69-71, 291     
132 Provisions on non-performing off-balance sheet exposures Annex V.Part 2.11, 106, 291     
 31.2 

 ReferencesAnnex V.Part 2.288-289, 292-293 Current period
Parent and entities with joint control or significant influence Subsidiaries and other entities of the same group Associates and joint ventures Key management of the institution or its parent Other related parties
IAS 24.19(a),(b) IAS 24.19(c) IAS 24.19(d),(e) IAS 24.19(f) IAS 24.19(g)
010 020 030 040 050
010 Interest income IAS 24.18(a); Annex V.Part 2.31     
020 Interest expenses IAS 24.18(a); IAS 1.97; Annex V.Part 2.31     
030 Dividend income IAS 24.18(a); Annex V.Part 2.40     
040 Fee and commission income IAS 24.18(a); IFRS 7.20(c)     
050 Fee and commission expenses IAS 24.18(a); IFRS 7.20(c)     
060 Gains or (-) losses on de-recognition of financial assets and liabilities not measured at fair value through profit or loss IAS 24.18(a)     
070 Gains or (-) losses on de-recognition of other than financial assets IAS 24.18(a); Annex V.Part 2.292     
080 Impairment or (-) reversal of impairment on non-performing exposures IAS 24.18(d); Annex V.Part 2.293     
090 Provisions or (-) reversal of provisions on non-performing exposures Annex V. Part 2.50, 293     
 40.  40.1 

LEI code Entity code Entity name Entry date Share capital of investee Equity of investee Total assets of investee Profit or (-) loss of investee Residence of investee Sector of investee NACE Code Accumulated equity interest [%] Voting rights [%] Group structure [relationship] Accounting treatment [Accounting Group] Accounting treatment [CRR Group] Carrying amount Acquisition cost Goodwill link to Investee Fair value of investments for which there are published price quotations
Annex V.Part 2.294-295, 296(a) Annex V.Part 2.294-295, 296(b) IFRS 12.12(a), 21(a)(i); Annex V.Part 2.294-295, 296(c) Annex V.Part 2.294-295, 296(d) Annex V.Part 2.294-295, 296(e) IFRS 12.B12(b); Annex V.Part 2.294-295, 296(f) IFRS 12.B12(b); Annex V.Part 2.294-295, 296(f) IFRS 12.B12(b); Annex V.Part 2.294-295, 296(f) IFRS 12.12.(b), 21.(a).(iii); Annex V.Part 2.294-295, 296(g) Annex V.Part 2.294-295, 296(h) Annex V.Part 2.294-295, 296(i) IFRS 12.21(a)(iv); Annex V.Part 2.294-295, 296(j) IFRS 12.21(a)(iv); Annex V.Part 2.294-295, 296(k) IFRS 12.10(a)(i); Annex V.Part 2.294-295, 296(l) IFRS 12.21(b); Annex V.Part 2.294-295, 296(m) CRR art 18; Annex V.Part 2.294-295, 296(n) Annex V.Part 2.294-295, 296(0) Annex V.Part 2.294-295, 296(p) Annex V.Part 2.294-295, 296(q) IFRS 12.21(b)(iii); Annex V.Part 2.294-295, 296(r)
010 020 030 040 050 060 070 080 090 095 100 110 120 130 140 150 160 170 180 190
                   
 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 2.297(a) Annex V.Part 2.296(b), 297(c) Annex V.Part 2.297(b) Annex V.Part 2.297(b)  Annex V.Part 2.296(j), 297(c) Annex V.Part 2.296(o), 297(c) Annex V.Part 2.296(p), 297(c)
010 020 030 040 050 060 070 080
       
 41.  41.1 

 ReferencesAnnex V.Part 2.298 Fair valueIFRS 7.25-26 Fair value hierarchyIFRS 13.97, 93(b)
Level 1IFRS 13.76 Level 2IFRS 13.81 Level 3IFRS 13.86
010 020 030 040
ASSETS
015 Financial assets at amortised cost IFRS 7.8(f); IFRS 9.4.1.2    
016 Debt securities Annex V.Part 1.31    
017 Loans and advances Annex V.Part 1.32    
LIABILITIES
070 Financial liabilities measured at amortised cost IFRS 7.8(g); IFRS 9.4.2.1    
080 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36    
090 Debt securities issued Annex V.Part 1.37    
100 Other financial liabilities Annex V.Part 1.38-41    
 41.2 

 References Carrying amountAnnex V.Part 1.27
Accounting mismatch Managed on a fair value basis Hybrid contracts Managed for credit risk
IFRS 9.B4.1.29 IFRS 9.B4.1.33 IFRS 9.4.3.6; IFRS 9.4.3.7; Annex V.Part 2.300 IFRS 9.6.7; IFRS 7.8(a)(e); Annex V.Part 2.301
010 020 030 040
ASSETS
010 Financial assets designated at fair value through profit or loss IFRS 7.8(a)(i); IFRS 9.4.1.5    
030 Debt securities Annex V.Part 1.31    
040 Loans and advances Annex V.Part 1.32    
LIABILITIES
050 Financial liabilities designated at fair value through profit or loss IFRS 7.8 (e)(i); IFRS 9.4.2.2    
060 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36    
070 Debt securities issued Annex V.Part 1.37    
080 Other financial liabilities Annex V.Part 1.38-41    
 42. 

 ReferencesAnnex V.Part 2.302 Carrying amount 
of which: right-of-use assets
 IFRS 16.47(a), 53(j), Annex V.Part 2.303i
010 020
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 2.303  
080 Revaluation model IAS 38.75-87, 124(a)(ii)  
090 Cost model IAS 38.74  
 43. 

 References National GAAP compatible IFRS Carrying amountAnnex V.Part 1.27
Pensions and other post employment defined benefit obligations Other long term employee benefits Restructuring Pending legal issues and tax litigation Other commitments and guarantees given measured under IAS 37 and guarantees given measured under IFRS 4 Other provisions
IAS 19.63; IAS 1.78(d); Annex V.Part 2.9 IAS 19.153; IAS 1.78(d); Annex V.Part 2.10 IAS 37.70-83 IAS 37.14 IAS 37; IFRS 4; Annex V. Part 2.304-305 IAS 37.14
010 020 030 040 055 060
010 Opening balance [carrying amount at the beginning of the period] IAS 37.84 (a)      
020 Additions, including increases in existing provisions IAS 37.84 (b)      
030 (-) Amounts used IAS 37.84 (c)      
040 (-) Unused amounts reversed during the period IAS 37.84 (d)      
050 Increase in the discounted amount [passage of time] and effect of any change in the discount rate IAS 37.84 (e)      
060 Other movements       
070 Closing balance [carrying amount at the end of the period] IAS 37.84 (a)      
 44.  44.1 

 References Amount
Annex V.Part 2.306-307
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 2.308 
100 Provisions for pensions and other post-employment defined benefit obligations [Carrying amount] IAS 19.63, IAS 1.78(d); Annex V.Part 2.9 
110 Fair value of any right to reimbursement recognised as an asset IAS 19.140(b) 
 44.2 

 References Defined benefit obligations
Annex V.Part 2.306, 309
010
010 Opening balance [present value] IAS 19.140(a)(ii) 
020 Current service cost IAS 19.141(a) 
030 Interest cost IAS 19.141(b) 
040 Contributions paid IAS 19.141(f) 
050 Actuarial (-) gains or losses from changes in demographic assumptions IAS 19.141(c)(ii) 
060 Actuarial (-) gains or losses from changes in financial assumptions IAS 19.141(c)(iii) 
070 Foreign currency exchange increase or (-) decrease IAS 19.141(e) 
080 Benefits paid IAS 19.141(g) 
090 Past service cost, including gains and losses arising from settlements IAS 19.141(d) 
100 Increase or (-) decrease through business combinations and disposals IAS 19.141(h) 
110 Other increases or (-) decreases  
120 Closing balance [present value] IAS 19.140(a)(ii); Annex V.Part 2.310 
 44.3 

 References Current period
010
010 Pension and similar expenses Annex V.Part 2.311(a) 
020 Share based payments IFRS 2.44; Annex V.Part 2.311(b) 
030 Wages and salaries Annex V.Part 2.311(c) 
040 Social security contributions Annex V.Part 2.311(d) 
050 Severance payments IAS 19.8, Annex V.Part 2.311(e) 
060 Other types of staff expenses Annex V.Part 2.311(f) 
070 STAFF EXPENSES  
 44.4 

 References Current period
Total staff   
 of which: Identified staff  
 of which: Management body (in its management function) and senior management of which: Management body (in its supervisory function)
 Annex V.Part 2.311i (a) Annex V.Part 2.311i Annex V.Part 2.311i (b)
0010 0020 0030 0040
0010 Fixed remuneration Annex V.Part 2.311i (a)    
0020 Variable remuneration Annex V.Part 2.311i (a)    
0030 Staff expenses other than remuneration     
0040 STAFF EXPENSES     
0050 NUMBER OF STAFF Annex V.Part 2.311ii    
 45.  45.1 

 References Current period Changes in fair value due to credit risk
 Annex V.Part 2.312
010 020
010 Financial assets designated at fair value through profit or loss IFRS 7.20(a)(i); IFRS 9.4.1.5  
020 Financial liabilities designated at fair value through profit or loss IFRS 7.20(a)(i); IFRS 9.4.2.2  
030 GAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS IFRS 7.20(a)(i)  
 45.2 

 References Current period
Annex V.Part 2.313
010
010 Property, Plant and Equipment IAS 16.68, 71 
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 2.314  
020 Investment property IAS 40.75(f); Annex V.Part 2.314  
030 Operating Leases other than investment property IFRS 16.81,82; Annex V.Part 2.315  
040 Other Annex V.Part 2.316  
050 OTHER OPERATING INCOME OR EXPENSES Annex V.Part 2.314-316  
 46. 

Sources of equity changes References Capital Share premium Equity instruments issued other than Capital Other equity Accumulated other comprehensive income Retained earnings Revaluation reserves Other reserves (-) Treasury shares Profit or (-) loss atributable to owners of the parent (-) Interim dividends Minority interests Total
Accumulated Other Comprehensive Income Other items
IAS 1.106, 54(r) IAS 1.106, 78(e) IAS 1.106, Annex V.Part 2.18-19 IAS 1.106; Annex V.Part 2.20 IAS 1.106 CRR art 4(1)(123) IFRS 1.30 D5-D8 IAS 1.106, 54(c) IAS 1.106; IAS 32.34, 33; Annex V.Part 2.30 IAS 1.106(a) IAS 1.106; IAS 32.35 IAS 1.54(q), 106(a) IAS 1.54(q), 106(a) IAS 1.9(c), IG6
010 020 030 040 050 060 070 080 090 100 110 120 130 140
010 Opening balance [before restatement]               
020 Effects of corrections of errors IAS 1.106.(b); IAS 8.42              
030 Effects of changes in accounting policies IAS 1.106.(b); IAS 1.IG6; IAS 8.22              
040 Opening balance [current period]               
050 Issuance of ordinary shares IAS 1.106.(d).(iii)              
060 Issuance of preference shares IAS 1.106.(d).(iii)              
070 Issuance of other equity instruments IAS 1.106.(d).(iii)              
080 Exercise or expiration of other equity instruments issued IAS 1.106.(d).(iii)              
090 Conversion of debt to equity IAS 1.106.(d).(iii)              
100 Capital reduction IAS 1.106.(d).(iii)              
110 Dividends IAS 1.106.(d).(iii); IAS 32.35; IAS 1.IG6              
120 Purchase of treasury shares IAS 1.106.(d).(iii); IAS 32.33              
130 Sale or cancellation of treasury shares IAS 1.106.(d).(iii); IAS 32.33              
140 Reclassification of financial instruments from equity to liability IAS 1.106.(d).(iii)              
150 Reclassification of financial instruments from liability to equity IAS 1.106.(d).(iii)              
160 Transfers among components of equity IAS 1.106.(d).(iii); Annex V.Part 2.318              
170 Equity increase or (-) decrease resulting from business combinations IAS 1.106.(d).(iii)              
180 Share based payments IAS 1.106.(d).(iii); IFRS 2.10              
190 Other increase or (-) decrease in equity IAS 1.106.(d)              
200 Total comprehensive income for the year IAS 1.106.(d).(i)-(ii); IAS 1.81A.(c); IAS 1.IG6              
210 Closing balance [current period]               
 47. 

 References TOTAL
 of which: Households of which: Non-financial corporations
  of which: loans collateralised by residential immovable property  of which: SMEs Of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs
    of which: Commercial Real Estate (CRE) loans
 Annex V.Part 1.42(f) Annex V.Part 2.86(a), 87 Annex V.Part 1.42(e) SME Art 1 2(a) SME Art 1 2(a), Annex V.Part 2.239ix Annex V.Part 2.239ix
0010 0020 0030 0040 0050 0060 0070
0010 Non-performing loans and advances: weighted average time since past due date (in years) Annex V.Part 2.362, 363       
0020 Net cumulated recoveries from litigation procedures concluded during the period Annex V.Part 2.362, 364(a)       
0030 Gross carrying amount reduction from litigation procedures concluded during the period Annex V.Part 2.362, 364(b)       
0040 Average duration of litigation procedures concluded in the period (in years) Annex V.Part 2.362, 364(c)       


ANNEX IV


ANNEX IV 
FINREP TEMPLATES FOR GAAP
TEMPLATE NUMBER TEMPLATE CODE NAME OF THE TEMPLATE OR OF THE GROUP OF TEMPLATE
  PART 1 [QUARTERLY FREQUENCY]
  Balance Sheet Statement [Statement of Financial Position]
1.1 F 01.01 Balance Sheet Statement: assets
1.2 F 01.02 Balance Sheet Statement: liabilities
1.3 F 01.03 Balance Sheet Statement: equity
2 F 02.00 Statement of profit or loss
3 F 03.00 Statement of comprehensive income
  Breakdown of financial assets by instrument and by counterparty sector
4.1 F 04.01 Breakdown of financial assets by instrument and by counterparty sector: financial assets held for trading
4.2.1 F 04.02.1 Breakdown of financial assets by instrument and by counterparty sector: non-trading financial assets mandatorily at fair value through profit or loss
4.2.2 F 04.02.2 Breakdown of financial assets by instrument and by counterparty sector: financial assets designated at fair value through profit or loss
4.3.1 F 04.03.1 Breakdown of financial assets by instrument and by counterparty sector: financial assets at fair value through other comprehensive income
4.4.1 F 04.04.1 Breakdown of financial assets by instrument and by counterparty sector: financial assets at amortised cost
4.5 F 04.05 Subordinated financial assets
4.6 F 04.06 Breakdown of financial assets by instrument and by counterparty sector: trading financial assets
4.7 F 04.07 Breakdown of financial assets by instrument and by counterparty sector: non-trading non-derivative financial assets measured at fair value through profit or loss
4.8 F 04.08 Breakdown of financial assets by instrument and by counterparty sector: non-trading non-derivative financial assets measured at fair value to equity
4.9 F 04.09 Breakdown of financial assets by instrument and by counterparty sector: non-trading non-derivative financial assets measured at a cost-based method
4.10 F 04.10 Breakdown of financial assets by instrument and by counterparty sector: other non-trading non-derivative financial assets
5.1 F 05.01 Breakdown of non-trading loans and advances by product
6.1 F 06.01 Breakdown of loans and advances other than held for trading to non-financial corporations by NACE codes
  Financial assets subject to impairment that are past due
7.1 F 07.01 Financial assets subject to impairment that are past due
7.2 F 07.02 Financial assets subject to impairment that are past due under national GAAP
  Breakdown of financial liabilities
8.1 F 08.01 Breakdown of financial liabilities by product and by counterparty sector
8.2 F 08.02 Subordinated financial liabilities
  Loan commitments, financial guarantees and other commitments
9.1 F 09.01 Off-balance sheet exposures under national GAAP: loan commitments, financial guarantees and other commitments given
9.1.1 F 09.01.1 Off-balance sheet exposures: loan commitments, financial guarantees and other commitments given
9.2 F 09.02 Loan commitments, financial guarantees and other commitments received
10 F 10.00 Derivatives – Trading and economic hedges
  Hedge accounting
11.1 F 11.01 Derivatives – Hedge accounting: Breakdown by type of risk and type of hedge
11.2 F 11.02 Derivatives – Hedge accounting under national GAAP: Breakdown by type of risk
11.3 F 11.03 Non-derivative hedging instruments: Breakdown by accounting portfolio and type of hedge
11.3.1 F 11.03.1 Non-derivative hedging instruments under national GAAP: breakdown by accounting portfolio
11.4 F 11.04 Hedged items in fair value hedges
  Movements in allowances and provisions for credit losses
12 F 12.00 Movements in allowances for credit losses and impairment of equity instruments under national GAAP
12.1 F 12.01 Movements in allowances and provisions for credit losses
12.2 F 12.02 Transfers between impairment stages (gross basis presentation)
  Collateral and guarantees received
13.1 F 13.01 Breakdown of collateral and guarantees by loans and advances other than held for trading
13.2.1 F 13.02.1 Collateral obtained by taking possession during the period [held at the reference date]
13.3.1 F 13.03.1 Collateral obtained by taking possession accumulated
14 F 14.00 Fair value hierarchy: financial instruments at fair value
15 F 15.00 Derecognition and financial liabilities associated with transferred financial assets
  Breakdown of selected statement of profit or loss items
16.1 F 16.01 Interest income and expenses by instrument and counterparty sector
16.2 F 16.02 Gains or losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss by instrument
16.3 F 16.03 Gains or losses on financial assets and liabilities held for trading and trading financial assets and trading financial liabilities by instrument
16.4 F 16.04 Gains or losses on financial assets and liabilities held for trading and trading financial assets and trading financial liabilities by risk
16.4.1 F 16.04.1 Gains or losses on non-trading financial assets mandatorily at fair value through profit or loss by instrument
16.5 F 16.05 Gains or losses on financial assets and liabilities designated at fair value through profit or loss by instrument
16.6 F 16.06 Gains or losses from hedge accounting
16.7 F 16.07 Impairment on non-financial assets
16.8 F 16.08 Other administrative expenses
  Reconciliation between accounting and CRR scope of consolidation: Balance Sheet
17.1 F 17.01 Reconciliation between accounting and CRR scope of consolidation: Assets
17.2 F 17.02 Reconciliation between accounting and CRR scope of consolidation: Off-balance sheet exposures – loan commitments, financial guarantees and other commitments given
17.3 F 17.03 Reconciliation between accounting and CRR scope of consolidation: Liabilities
  Information on performing and non-performing exposures
18 F 18.00 Information on performing and non-performing exposures
18.1 F 18.01 Inflows and outflows of non-performing exposures – loans and advances by counterparty sector
18.2 F 18.02 Commercial Real Estate (CRE) loans and additional information on loans secured by immovable property
19 F 19.00 Forborne exposures
  PART 2 [QUATERLY WITH THRESHOLD: QUARTERLY FREQUENCY OR NOT REPORTING]
  Geographical breakdown
20.1 F 20.01 Geographical breakdown of assets by location of the activities
20.2 F 20.02 Geographical breakdown of liabilities by location of the activities
20.3 F 20.03 Geographical breakdown of main statement of profit or loss items by location of the activities
20.4 F 20.04 Geographical breakdown of assets by residence of the counterparty
20.5 F 20.05 Geographical breakdown of off-balance sheet exposures by residence of the counterparty
20.6 F 20.06 Geographical breakdown of liabilities by residence of the counterparty
20.7.1 F 20.07.1 Geographical breakdown by residence of the counterparty of loans and advances other than held for trading to non-financial corporations by NACE codes
21 F 21.00 Tangible and intangible assets: assets subject to operating lease
  Asset management, custody and other service functions
22.1 F 22.01 Fee and commission income and expenses by activity
22.2 F 22.02 Assets involved in the services provided
  Loans and advances: additional information
23.1 F 23.01 Loans and advances: Number of instruments
23.2 F 23.02 Loans and advances: Additional information on gross carrying amounts
23.3 F 23.03 Loans and advances collateralised by immovable property: Breakdown by LTV ratios
23.4 F 23.04 Loans and advances: Additional information on accumulated impairments and accumulated negative changes in fair value due to credit risk
23.5 F 23.05 Loans and advances: Collateral received and financial guarantees received
23.6 F 23.06 Loans and advances: Accumulated partial write-offs
  Loans and advances: Flows of non performing exposures, impairment & write offs since the end of the last financial year
24.1 F 24.01 Loans and advances: Inflows and outflows of non-performing exposures
24.2 F 24.02 Loans and advances: Flow of impairments and accumulated negative changes in fair value due to credit risk on non-performing exposures
24.3 F 24.03 Loans and advances: Inflow of write-offs of non-performing exposures
  Collateral obtained by taking possession and execution processes
25.1 F 25.01 Collateral obtained by taking possession other than collateral classified as Property Plant and Equipment (PP&E): Inflows and Outflows
25.2 F 25.02 Collateral obtained by taking possession other than collateral classified as Property Plant and Equipment (PP&E): Type of collateral obtained
25.3 F 25.03 Collateral obtained by taking possession classified as Property Plant and Equipment (PP&E)
26 F 26.00 Forbearance management and quality of forbearance
  PART 3 [SEMI-ANNUAL]
  Off-balance sheet activities: interests in unconsolidated structured entities
30.1 F 30.01 Interests in unconsolidated structured entities
30.2 F 30.02 Breakdown of interests in unconsolidated structured entities by nature of the activities
  Related parties
31.1 F 31.01 Related parties: amounts payable to and amounts receivable from
31.2 F 31.02 Related parties: expenses and income generated by transactions with
  PART 4 [ANNUAL]
  Group structure
40.1 F 40.01 Group structure: “entity-by-entity”
40.2 F 40.02 Group structure: “instrument-by-instrument”
  Fair value
41.1 F 41.01 Fair value hierarchy: financial instruments at amortised cost
41.2 F 41.02 Use of the Fair Value Option
42 F 42.00 Tangible and intangible assets: carrying amount by measurement method
43 F 43.00 Provisions
  Defined benefit plans and employee benefits
44.1 F 44.01 Components of net defined benefit plan assets and liabilities
44.2 F 44.02 Movements in defined benefit plan obligations
44.3 F 44.03 Staff expenses by type of benefits
44.4 F 44.04 Staff expenses by structure and category of staff
  Breakdown of selected items of statement of profit or loss
45.1 F 45.01 Gains or losses on financial assets and liabilities designated at fair value through profit or loss by accounting portfolio
45.2 F 45.02 Gains or losses on derecognition of non-financial assets other than held for sale and investments in subsidiaries, joint ventures and associates
45.3 F 45.03 Other operating income and expenses
46 F 46.00 Statement of changes in equity
47 F 47.00 Average duration and recovery periods
COLOUR CODE IN TEMPLATES:
 Parts for National GAAP reporters
 Cell not to be submitted for reporting institutions subject to the relevant accounting framework 1.  1.1 

 References National GAAP based on BAD References National GAAP compatible IFRS Breakdown in table Carrying amount
Annex V.Part 1.27-28
010
010 Cash, cash balances at central banks and other demand deposits BAD art 4.Assets(1) IAS 1.54 (i)  
020 Cash on hand Annex V.Part 2.1 Annex V.Part 2.1  
030 Cash balances at central banks BAD art 13(2); Annex V.Part 2.2 Annex V.Part 2.2  
040 Other demand deposits Annex V.Part 2.3 Annex V.Part 2.3 5 
050 Financial assets held for trading Accounting Directive art 8(1)(a), (5); IAS 39.9 IFRS 9.Appendix A  
060 Derivatives CRR Annex II IFRS 9.Appendix A 10 
070 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5 IAS 32.11 4 
080 Debt securities Annex V.Part 1.24, 26 Annex V.Part 1.31 4 
090 Loans and advances Annex V.Part 1.24, 27 Annex V.Part 1.32 4 
091 Trading financial assets BAD Article 32-33; Annex V.Part 1.17   
092 Derivatives CRR Annex II; Annex V.Part 1.17, 27  10 
093 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5  4 
094 Debt securities Annex V.Part 1.31  4 
095 Loans and advances Annex V.Part 1.32  4 
096 Non-trading financial assets mandatorily at fair value through profit or loss  IFRS 7.8(a)(ii); IFRS 9.4.1.4 4 
097 Equity instruments  IAS 32.11 4 
098 Debt securities  Annex V.Part 1.31 4 
099 Loans and advances  Annex V.Part 1.32 4 
100 Financial assets designated at fair value through profit or loss Accounting Directive art 8(1)(a), (6) IFRS 7.8(a)(i); IFRS 9.4.1.5 4 
110 Equity instruments  IAS 32.11;ECB/2013/33 Annex 2.Part 2.4-5 4 
120 Debt securities Annex V.Part 1.31 Annex V.Part 1.31 4 
130 Loans and advances Annex V.Part 1.32 Annex V.Part 1.32 4 
141 Financial assets at fair value through other comprehensive income  IFRS 7.8(h); IFRS 9.4.1.2A 4 
142 Equity instruments  IAS 32.11 4 
143 Debt securities  Annex V.Part 1.31 4 
144 Loans and advances  Annex V.Part 1.32 4 
171 Non-trading non-derivative financial assets measured at fair value through profit or loss BAD art 36(2)  4 
172 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5  4 
173 Debt securities Annex V.Part 1.31  4 
174 Loans and advances Accounting Directive art 8(1)(a), (4)(b); Annex V.Part 1.32  4 
175 Non-trading non-derivative financial assets measured at fair value to equity Accounting Directive art 8(1)(a), (8)  4 
176 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5  4 
177 Debt securities Annex V.Part 1.31  4 
178 Loans and advances Accounting Directive art 8(1)(a), (4)(b); Annex V.Part 1.32  4 
181 Financial assets at amortised cost  IFRS 7.8(f); IFRS 9.4.1.2 4 
182 Debt securities  Annex V.Part 1.31 4 
183 Loans and advances  Annex V.Part 1.32 4 
231 Non-trading non-derivative financial assets measured at a cost-based method BAD art 35;Accounting Directive Article 6(1)(i) and Article 8(2); Annex V.Part1.18, 19  4 
390 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5  4 
232 Debt securities Annex V.Part 1.31  4 
233 Loans and advances Annex V.Part 1.32  4 
234 Other non-trading non-derivative financial assets BAD art 37; Accounting Directive Article 12(7); Annex V.Part 1.20  4 
235 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5  4 
236 Debt securities Annex V.Part 1.31  4 
237 Loans and advances Annex V.Part 1.32  4 
240 Derivatives – Hedge accounting Accounting Directive art 8(1)(a), (6), (8); IAS 39.9; Annex V.Part 1.22 IFRS 9.6.2.1; Annex V.Part 1.22 11 
250 Fair value changes of the hedged items in portfolio hedge of interest rate risk Accounting Directive art 8(5), (6); IAS 39.89A (a) IAS 39.89A(a); IFRS 9.6.5.8  
260 Investments in subsidiaries, joint ventures and associates BAD art 4.Assets(7)-(8); Accounting Directive art 2(2); Annex V.Part 1.21, Part 2.4 IAS 1.54(e); Annex V.Part 1.21, Part 2.4 40 
270 Tangible assets BAD art 4.Assets(10)   
280 Property, Plant and Equipment  IAS 16.6; IAS 1.54(a); IFRS 16.47(a) 21, 42 
290 Investment property  IAS 40.5; IAS 1.54(b); IFRS 16.48 21, 42 
300 Intangible assets BAD art 4.Assets(9); CRR art 4(1)(115) IAS 1.54(c); CRR art 4(1)(115)  
310 Goodwill BAD art 4.Assets(9); CRR art 4(1)(113) IFRS 3.B67(d); CRR art 4(1)(113)  
320 Other intangible assets BAD art 4.Assets(9) IAS 38.8,118; IFRS 16.47 (a) 21, 42 
330 Tax assets  IAS 1.54(n-o)  
340 Current tax assets  IAS 1.54(n); IAS 12.5  
350 Deferred tax assets Accounting Directive art 17(1)(f); CRR art 4(1)(106) IAS 1.54(o); IAS 12.5; CRR art 4(1)(106)  
360 Other assets Annex V.Part 2.5, 6 Annex V.Part 2.5  
370 Non-current assets and disposal groups classified as held for sale  IAS 1.54(j); IFRS 5.38, Annex V.Part 2.7  
375 (-) Haircuts for trading assets at fair value Annex V Part 1.29   
380 TOTAL ASSETS BAD art 4 Assets IAS 1.9(a), IG 6  
 1.2 

 References National GAAP based on BAD References National GAAP compatible IFRS Breakdown in table Carrying amount
Annex V.Part 1.27-28
010
010 Financial liabilities held for trading  IFRS 7.8 (e) (ii); IFRS 9.BA.6 8 
020 Derivatives  IFRS 9.Appendix A; IFRS 9.4.2.1(a); IFRS 9.BA.7(a) 10 
030 Short positions  IFRS 9.BA7(b) 8 
040 Deposits  ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 8 
050 Debt securities issued  Annex V.Part 1.37 8 
060 Other financial liabilities  Annex V.Part 1.38-41 8 
061 Trading financial liabilities Accounting Directive art 8(1)(a),(3),(6)  8 
062 Derivatives CRR Annex II; Annex V.Part 1.25  10 
063 Short positions   8 
064 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36  8 
065 Debt securities issued Annex V.Part 1.37  8 
066 Other financial liabilities Annex V.Part 1.38-41  8 
070 Financial liabilities designated at fair value through profit or loss Accounting Directive art 8(1)(a), (6); IAS 39.9 IFRS 7.8 (e)(i); IFRS 9.4.2.2 8 
080 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 8 
090 Debt securities issued Annex V.Part 1.37 Annex V.Part 1.37 8 
100 Other financial liabilities Annex V.Part 1.38-41 Annex V.Part 1.38-41 8 
110 Financial liabilities measured at amortised cost Accounting Directive art 8(3), (6); IAS 39.47 IFRS 7.8(g); IFRS 9.4.2.1 8 
120 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.30 ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 8 
130 Debt securities issued Annex V.Part 1.31 Annex V.Part 1.37 8 
140 Other financial liabilities Annex V.Part 1.32-34 Annex V.Part 1.38-41 8 
141 Non-trading non-derivative financial liabilities measured at a cost-based method Accounting Directive art 8(3)  8 
142 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36  8 
143 Debt securities issued Annex V.Part 1.37  8 
144 Other financial liabilities Annex V.Part 1.38-41  8 
150 Derivatives – Hedge accounting Accounting Directive art 8(1)(a), (6), (8)(a); Annex V.Part 1.26 IFRS 9.6.2.1; Annex V.Part 1.26 11 
160 Fair value changes of the hedged items in portfolio hedge of interest rate risk Accounting Directive art 8(5), (6); Annex V.Part 2.8; IAS 39.89A(b) IAS 39.89A(b), IFRS 9.6.5.8  
170 Provisions BAD art 4.Liabilities(6) IAS 37.10; IAS 1.54(l) 43 
175 Funds for general banking risks [if presented within liabilities] BAD art 38.1; CRR art 4(112); Annex V.Part 2.15   
180 Pensions and other post employment defined benefit obligations Annex V.Part 2.9 IAS 19.63; IAS 1.78(d); Annex V.Part 2.9 43 
190 Other long term employee benefits Annex V.Part 2.10 IAS 19.153; IAS 1.78(d); Annex V.Part 2.10 43 
200 Restructuring  IAS 37.71, 84(a) 43 
210 Pending legal issues and tax litigation  IAS 37.Appendix C. Examples 6 and 10 43 
220 Commitments and guarantees given BAD Article 4 Liabilities (6)(c), Off balance sheet items, Article 27(11), Article 28(8), Article 33 IFRS 9.4.2.1(c),(d), 9.5.5, 9.B2.5; IAS 37, IFRS 4, Annex V.Part 2.11 91243 
230 Other provisions BAD Article 4 Liabilities (6)(c), Off balance sheet items IAS 37.14 43 
240 Tax liabilities  IAS 1.54(n-o)  
250 Current tax liabilities  IAS 1.54(n); IAS 12.5  
260 Deferred tax liabilities Accounting Directive art 17(1)(f); CRR art 4(1)(108) IAS 1.54(o); IAS 12.5; CRR art 4(1)(108)  
270 Share capital repayable on demand  IAS 32 IE 33; IFRIC 2; Annex V.Part 2.12  
280 Other liabilities Annex V.Part 2.13 Annex V.Part 2.13  
290 Liabilities included in disposal groups classified as held for sale  IAS 1.54 (p); IFRS 5.38, Annex V.Part 2.14  
295 Haircuts for trading liabilities at fair value Annex V Part 1.29   
300 TOTAL LIABILITIES  IAS 1.9(b);IG 6  
 1.3 

 References National GAAP based on BAD References National GAAP compatible IFRS Breakdown in table Carrying amount
010
010 Capital BAD art 4.Liabilities(9), BAD art 22 IAS 1.54(r), BAD art 22 46 
020 Paid up capital BAD art 4.Liabilities(9) IAS 1.78(e)  
030 Unpaid capital which has been called up BAD art 4.Liabilities(9); Annex V.Part 2.17 Annex V.Part 2.14  
040 Share premium BAD art 4.Liabilities(10); CRR art 4(1)(124) IAS 1.78(e); CRR art 4(1)(124) 46 
050 Equity instruments issued other than capital Annex V.Part 2.18-19 Annex V.Part 2.18-19 46 
060 Equity component of compound financial instruments Accounting Directive art 8(6); Annex V.Part 2.18 IAS 32.28-29; Annex V.Part 2.18  
070 Other equity instruments issued Annex V.Part 2.19 Annex V.Part 2.19  
080 Other equity Annex V.Part 2.20 IFRS 2.10; Annex V.Part 2.20  
090 Accumulated other comprehensive income CRR art 4(1)(100) CRR art 4(1)(100) 46 
095 Items that will not be reclassified to profit or loss  IAS 1.82A(a)  
100 Tangible assets  IAS 16.39-41  
110 Intangible assets  IAS 38.85-87  
120 Actuarial gains or (-) losses on defined benefit pension plans  IAS 1.7, IG6; IAS 19.120(c)  
122 Non-current assets and disposal groups classified as held for sale  IFRS 5.38, IG Example 12  
124 Share of other recognised income and expense of investments in subsidaries, joint ventures and associates  IAS 1.IG6; IAS 28.10  
320 Fair value changes of equity instruments measured at fair value through other comprehensive income  IAS 1.7(d); IFRS 9 5.7.5, B5.7.1; Annex V.Part 2.21  
330 Hedge ineffectiveness of fair value hedges for equity instruments measured at fair value through other comprehensive income  IAS 1.7(e);IFRS 9.5.7.5;.6.5.3; IFRS 7.24C; Annex V.Part 2.22  
340 Fair value changes of equity instruments measured at fair value through other comprehensive income [hedged item]  IFRS 9.5.7.5;.6.5.8(b); Annex V.Part 2.22  
350 Fair value changes of equity instruments measured at fair value through other comprehensive income [hedging instrument]  IAS 1.7(e);IFRS 9.5.7.5;.6.5.8(a);Annex V.Part 2.57  
360 Fair value changes of financial liabilities at fair value through profit or loss attributable to changes in their credit risk  IAS 1.7(f); IFRS 9 5.7.7;Annex V.Part 2.23  
128 Items that may be reclassified to profit or loss  IAS 1.82A(a) (ii)  
130 Hedge of net investments in foreign operations [effective portion] Accounting Directive art 8(1)(a), (6)(8) IFRS9.6.5.13(a); IFRS7.24B(b)(ii)(iii); IFRS 7.24C(b)(i)(iv),.24E(a); Annex V.Part 2.24  
140 Foreign currency translation BAD art 39(6) IAS 21.52(b); IAS 21.32, 38-49  
150 Hedging derivatives. Cash flow hedges reserve [effective portion] Accounting Directive art 8(1)(a), (6)(8) IAS 1.7 (e); IFRS 7.24B(b)(ii)(iii); IFRS 7.24C(b)(i);.24E; IFRS 9.6.5.11(b); Annex V.Part 2.25  
155 Fair value changes of debt instruments measured at fair value through other comprehensive income  IAS 1.7(da); IFRS 9.4.1.2A; 5.7.10; Annex V.Part 2.26  
165 Hedging instruments [not designated elements]  IAS 1.7(g)(h); IFRS 9.6.5.15,.6.5.16; IFRS 7.24E (b)(c); Annex V.Part 2.60  
170 Non-current assets and disposal groups classified as held for sale  IFRS 5.38, IG Example 12  
180 Share of other recognised income and expense of investments in subsidaries, joint ventures and associates  IAS 1.IG6; IAS 28.10  
190 Retained earnings BAD art 4.Liabilities(13); CRR art 4(1)(123) CRR art 4(1)(123)  
200 Revaluation reserves BAD art 4.Liabilities(12) IFRS 1.30, D5-D8; Annex V.Part 2.28  
201 Tangible assets Accounting Directive art 7(1)   
202 Equity instruments Accounting Directive art 7(1)   
203 Debt securities Accounting Directive art 7(1)   
204 Other Accounting Directive art 7(1)   
205 Fair value reserves Accounting Directive art 8(1)(a)   
206 Hedge of net investments in foreign operations Accounting Directive art 8(1)(a), (8)(b)   
207 Hedging derivatives. Cash flow hedges Accounting Directive art 8(1)(a), (8)(a); CRR article 30(a)   
208 Hedging derivatives. Other hedges Accounting Directive art 8(1)(a), (8)(a)   
209 Non-trading non-derivative financial assets measured at fair value to equity Accounting Directive art 8(1)(a), 8(2)   
210 Other reserves BAD art 4 Liabilities(11)-(13) IAS 1.54; IAS 1.78(e)  
215 Funds for general banking risks [if presented within equity] BAD art 38.1; CRR art 4(112); Annex V.Part 2.15   
220 Reserves or accumulated losses of investments in subsidaries, joint ventures and associates accounted for using the equity method Accounting Directive art 9(7)(a); art 27; Annex V.Part 2.29 IAS 28.11; Annex V.Part 2.29  
230 Other Annex V.Part 2.29 Annex V.Part 2.29  
235 First consolidation differences Accounting Directive art 24(3)(c)   
240 (-) Treasury shares Accounting Directive Annex III Annex III Assets D(III)(2); BAD art 4 Assets (12); Annex V.Part 2.30 IAS 1.79(a)(vi); IAS 32.33-34, AG 14, AG 36; Annex V.Part 2.30 46 
250 Profit or loss attributable to owners of the parent BAD art 4.Liabilities(14) IAS 1.81B (b)(ii) 2 
260 (-) Interim dividends CRR Article 26(2b) IAS 32.35  
270 Minority interests [Non-controlling interests] Accounting Directive art 24(4) IAS 1.54(q)  
280 Accumulated Other Comprehensive Income CRR art 4(1)(100) CRR art 4(1)(100) 46 
290 Other items   46 
300 TOTAL EQUITY  IAS 1.9(c), IG 6 46 
310 TOTAL EQUITY AND TOTAL LIABILITIES BAD art 4.Liabilities IAS 1.IG6  
 2. 

 References National GAAP based on BAD References National GAAP compatible IFRS Breakdown in table Current period
010
010 Interest income BAD art 27.Vertical layout(1); Annex V.Part 2.31 IAS 1.97; Annex V.Part 2.31 16 
020 Financial assets held for trading  IFRS 7.20(a)(i), B5(e); Annex V.Part 2.33, 34  
025 Non-trading financial assets mandatorily at fair value through profit or loss  IFRS 7.20(a)(i), B5(e), IFRS 9.5.7.1  
030 Financial assets designated at fair value through profit or loss  IFRS 7.20(a)(i), B5(e)  
041 Financial assets at fair value through other comprehensive income  IFRS 7.20(b); IFRS 9.5.7.10-11; IFRS 9.4.1.2A  
051 Financial assets at amortised cost  IFRS 7.20(b);IFRS 9.4.1.2; IFRS 9.5.7.2  
070 Derivatives – Hedge accounting, interest rate risk  IFRS 9.Appendix A; .B6.6.16; Annex V.Part 2.35  
080 Other assets  Annex V.Part 2.36  
085 Interest income on liabilities Annex V.Part 2.37 IFRS 9.5.7.1, Annex V.Part 2.37  
090 (Interest expenses) BAD art 27.Vertical layout(2); Annex V.Part 2.31 IAS 1.97; Annex V.Part 2.31 16 
100 (Financial liabilities held for trading)  IFRS 7.20(a)(i), B5(e); Annex V.Part 2.33, 34  
110 (Financial liabilities designated at fair value through profit or loss)  IFRS 7.20(a)(i), B5(e)  
120 (Financial liabilities measured at amortised cost)  IFRS 7.20(b); IFRS 9.5.7.2  
130 (Derivatives – Hedge accounting, interest rate risk)  IAS 39.9; Annex V.Part 2.35  
140 (Other liabilities)  Annex V.Part 2.38  
145 (Interest expense on assets) Annex V.Part 2.39 IFRS 9.5.7.1, Annex V.Part 2.39  
150 (Expenses on share capital repayable on demand)  IFRIC 2.11  
160 Dividend income BAD art 27.Vertical layout(3); Annex V.Part 2.40 Annex V.Part 2.40 31 
170 Financial assets held for trading  IFRS 7.20(a)(i), B5(e); Annex V.Part 2.40  
175 Non-trading financial assets mandatorily at fair value through profit or loss  IFRS 7.20(a)(i), B5(e),IFRS 9.5.7.1A; Annex V.Part 2.40  
191 Financial assets at fair value through other comprehensive income  IFRS 7.20(a)(ii); IFRS 9.4.1.2A; IFRS 9.5.7.1A; Annex V.Part 2.41  
192 Investments in subsidiaries, joint ventures and associates accounted for using other than equity method Annex V Part 2 .42 Annex V Part 2 .42  
200 Fee and commission income BAD art 27.Vertical layout(4) IFRS 7.20(c) 22 
210 (Fee and commission expenses) BAD art 27.Vertical layout(5) IFRS 7.20(c) 22 
220 Gains or (-) losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss, net BAD art 27.Vertical layout(6) Annex V.Part 2.45 16 
231 Financial assets at fair value through other comprehensive income  IFRS 9.4.12A; IFRS 9.5.7.10-11  
241 Financial assets at amortised cost  IFRS 7.20(a)(v);IFRS 9.4.1.2; IFRS 9.5.7.2  
260 Financial liabilities measured at amortised cost  IFRS 7.20(a)(v); IFRS 9.5.7.2  
270 Other    
280 Gains or (-) losses on financial assets and liabilities held for trading, net BAD art 27.Vertical layout(6) IFRS 7.20(a)(i); IFRS 9.5.7.1; Annex V.Part 2.43, 46 16 
285 Gains or (-) losses on trading financial assets and liabilities, net BAD art 27.Vertical layout(6)  16 
287 Gains or (-) losses on non-trading financial assets mandatorily at fair value through profit or loss, net  IFRS 7.20(a)(i); IFRS 9.5.7.1; Annex V.Part 2.46  
290 Gains or (-) losses on financial assets and liabilities designated at fair value through profit or loss, net  IFRS 7.20(a)(i); IFRS 9.5.7.1; Annex V.Part 2.44 16, 45 
295 Gains or (-) losses on non-trading financial assets and liabilities, net BAD art 27.Vertical layout(6)  16 
300 Gains or (-) losses from hedge accounting, net Accounting Directive art 8(1)(a), (6), (8) Annex V.Part 2.47 16 
310 Exchange differences [gain or (-) loss], net BAD art 39 IAS 21.28, 52 (a)  
320 Gains or (-) losses on derecognition of investments in subsidiaries, joint ventures and associates, net BAD art 27.Vertical layout(13)-(14); Annex V Part 2.56   
330 Gains or (-) losses on derecognition of non-financial assets, net Annex V. Part 2.48 IAS 1.34; Annex V. Part 2.48 45 
340 Other operating income BAD art 27.Vertical layout(7); Annex V.Part 2.314-316 Annex V.Part 2.314-316 45 
350 (Other operating expenses) BAD art 27.Vertical layout(10); Annex V.Part 2.314-316 Annex V.Part 2.314-316 45 
355 TOTAL OPERATING INCOME, NET    
360 (Administrative expenses) BAD art 27.Vertical layout(8)   
370 (Staff expenses) BAD art 27.Vertical layout(8)(a) IAS 19.7; IAS 1.102, IG 6 44 
380 (Other administrative expenses) BAD art 27.Vertical layout(8)(b);  16 
385 (Cash contributions to resolution funds and deposit guarantee schemes) Annex V.Part 2.48i Annex V.Part 2.48i  
390 (Depreciation)  IAS 1.102, 104  
400 (Property, Plant and Equipment) BAD art 27.Vertical layout(9) IAS 1.104; IAS 16.73(e)(vii)  
410 (Investment Properties) BAD art 27.Vertical layout(9) IAS 1.104; IAS 40.79(d)(iv)  
415 (Goodwill) BAD art 27.Vertical layout(9)   
420 (Other intangible assets) BAD art 27.Vertical layout(9) IAS 1.104; IAS 38.118(e)(vi)  
425 Modification gains or (-) losses, net  IFRS 9.5.4.3, IFRS 9 Appendix A; Annex V Part 2.49  
426 Financial assets at fair value through other comprehensive income  IFRS 7.35J  
427 Financial assets at amortised cost  IFRS 7.35J  
430 (Provisions or (-) reversal of provisions)  IAS 37.59, 84; IAS 1.98(b)(f)(g) 91243 
435 (payment commitments to resolution funds and deposit guarantee schemes) Annex V.Part 2.48i Annex V.Part 2.48i  
440 (Commitments and guarantees given) BAD art 27.Vertical layout(11)-(12) IFRS 9.4.2.1(c),(d),9.B2.5; IAS 37, IFRS 4, Annex V.Part 2.50  
450 (Other provisions)    
455 (Increases or (-) decreases of the fund for general banking risks, net) BAD art 38.2   
460 (Impairment or (-) reversal of impairment on financial assets not measured at fair value through profit or loss) BAD art 35-37, Annex V.Part 2.52, 53 IFRS 7.20(a)(viii); IFRS 9.5.4.4; Annex V Part 2.51, 53 12 
481 (Financial assets at fair value through other comprehensive income)  IFRS 9.5.4.4, 9.5.5.1, 9.5.5.2, 9.5.5.8 12 
491 (Financial assets at amortised cost)  IFRS 9.5.4.4, 9.5.5.1, 9.5.5.8 12 
510 (Impairment or (-) reversal of impairment of investments in subsidiaries, joint ventures and associates) BAD art 27.Vertical layout(13)-(14) IAS 28.40-43 16 
520 (Impairment or (-) reversal of impairment on non-financial assets)  IAS 36.126(a)(b) 16 
530 (Property, plant and equipment) BAD art 27.Vertical layout(9) IAS 16.73(e)(v-vi)  
540 (Investment properties) BAD art 27.Vertical layout(9) IAS 40.79(d)(v)  
550 (Goodwill) BAD art 27.Vertical layout(9) IFRS 3.Appendix B67(d)(v); IAS 36.124  
560 (Other intangible assets) BAD art 27.Vertical layout(9) IAS 38.118 (e)(iv)(v)  
570 (Other)  IAS 36.126 (a)(b)  
580 Negative goodwill recognised in profit or loss Accounting Directive art 24(3)(f) IFRS 3.Appendix B64(n)(i)  
590 Share of the profit or (-) loss of investments in subsidaries, joint ventures and associates accounted for using the equity method BAD art 27.Vertical layout(13)-(14) Annex V.Part 2.54  
600 Profit or (-) loss from non-current assets and disposal groups classified as held for sale not qualifying as discontinued operations  IFRS 5.37; Annex V.Part 2.55  
610 PROFIT OR (-) LOSS BEFORE TAX FROM CONTINUING OPERATIONS  IAS 1.102, IG 6; IFRS 5.33 A  
620 (Tax expense or (-) income related to profit or loss from continuing operations) BAD art 27.Vertical layout(15) IAS 1.82(d); IAS 12.77  
630 PROFIT OR (-) LOSS AFTER TAX FROM CONTINUING OPERATIONS BAD art 27.Vertical layout(16) IAS 1, IG 6  
632 Extraordinary profit or (-) loss after tax BAD art 27.Vertical layout(21)   
633 Extraordinary profit or loss before tax BAD art 27.Vertical layout(19)   
634 (Tax expense or (-) income related to extraordinary profit or loss) BAD art 27.Vertical layout(20)   
640 Profit or (-) loss after tax from discontinued operations  IAS 1.82(ea) ; IFRS 5.33(a), 5.33 A; Annex V Part 2.56  
650 Profit or (-) loss before tax from discontinued operations  IFRS 5.33(b)(i)  
660 (Tax expense or (-) income related to discontinued operations)  IFRS 5.33 (b)(ii),(iv)  
670 PROFIT OR (-) LOSS FOR THE YEAR BAD art 27.Vertical layout(23) IAS 1.81A(a)  
680 Attributable to minority interest [non-controlling interests]  IAS 1.81B (b)(i)  
690 Attributable to owners of the parent  IAS 1.81B (b)(ii)  
 3. 

 References National GAAP compatible IFRS Current period
010
010 Profit or (-) loss for the year IAS 1.7, IG6 
020 Other comprehensive income IAS 1.7, IG6 
030 Items that will not be reclassified to profit or loss IAS 1.82A(a)(i) 
040 Tangible assets IAS 1.7, IG6; IAS 16.39-40 
050 Intangible assets IAS 1.7; IAS 38.85-86 
060 Actuarial gains or (-) losses on defined benefit pension plans IAS 1.7, IG6; IAS 19.120(c) 
070 Non-current assets and disposal groups held for sale IFRS 5.38 
080 Share of other recognised income and expense of entities accounted for using the equity method IAS 1.IG6; IAS 28.10 
081 Fair value changes of equity instruments measured at fair value through other comprehensive income IAS 1.7(d) 
083 Gains or (-) losses from hedge accounting of equity instruments at fair value through other comprehensive income, net IFRS 9.5.7.5;.6.5.3; IFRS 7.24C; Annex V.Part 2.57 
084 Fair value changes of equity instruments measured at fair value through other comprehensive income [hedged item] IFRS 9.5.7.5;.6.5.8(b); Annex V.Part 2.57 
085 Fair value changes of equity instruments measured at fair value through other comprehensive income [hedging instrument] IFRS 9.5.7.5;.6.5.8(a); Annex V.Part 2.57 
086 Fair value changes of financial liabilities at fair value through profit or loss attributable to changes in their credit risk IAS 1.7(f) 
090 Income tax relating to items that will not be reclassified IAS 1.91(b); Annex V.Part 2.66 
100 Items that may be reclassified to profit or loss IAS 1.82A(a)(ii) 
110 Hedge of net investments in foreign operations [effective portion] IFRS 9.6.5.13(a); IFRS 7.24C(b)(i)(iv),.24E(a); Annex V.Part 2.58 
120 Valuation gains or (-) losses taken to equity IAS 1.IG6;IFRS 9.6.5.13(a); IFRS 7.24C(b)(i);.24E(a); Annex V.Part 2.58 
130 Transferred to profit or loss IAS 1.7, 92-95; IAS 21.48-49; IFRS 9.6.5.14; Annex V.Part 2.59 
140 Other reclassifications Annex V.Part 2.65 
150 Foreign currency translation IAS 1.7, IG6; IAS 21.52(b) 
160 Translation gains or (-) losses taken to equity IAS 21.32, 38-47 
170 Transferred to profit or loss IAS 1.7, 92-95; IAS 21.48-49 
180 Other reclassifications Annex V.Part 2.65 
190 Cash flow hedges [effective portion] IAS 1.7, IG6; IAS 39.95(a)-96 IFRS 9.6.5.11(b); IFRS 7.24C(b)(i);.24E(a); 
200 Valuation gains or (-) losses taken to equity IAS 1.7(e),IG6; IFRS 9.6.5.11(a)(b)(d); IFRS 7.24C(b)(i), .24E(a) 
210 Transferred to profit or loss IAS 1.7, 92-95, IG6; IFRS 9.6.5.11(d)(ii)(iii);IFRS 7.24C(b)(iv),.24E(a) Annex V.Part 2.59 
220 Transferred to initial carrying amount of hedged items IAS 1.IG6;IFRS 9.6.5.11(d)(i) 
230 Other reclassifications Annex V.Part 2.65 
231 Hedging instruments [not designated elements] IAS 1.7(g)(h);IFRS 9.6.5.15,. 6.5.16;IFRS 7.24E (b)(c); Annex V.Part 2.60 
232 Valuation gains or (-) losses taken to equity IAS 1.7(g)(h);IFRS 9.6.5.15,.6.5.16;IFRS 7.24E (b)(c) 
233 Transferred to profit or loss IAS 1.7(g)(h);IFRS 9.6.5.15,. 6.5.16;IFRS 7.24E(b)(c); Annex V.Part 2.61 
234 Other reclassifications Annex V.Part 2.65 
241 Debt instruments at fair value through other comprehensive income IAS 1.7(da), IG 6; IAS 1.IG6; IFRS 9.5.6.4; Annex V.Part 2.62-63 
251 Valuation gains or (-) losses taken to equity IFRS 7.20(a)(ii); IAS 1.IG6; IFRS 9.5.6.4 
261 Transferred to profit or loss IAS 1.7, IAS 1.92-95, IAS 1.IG6; IFRS 9.5.6.7; Annex V.Part 2.64 
270 Other reclassifications IFRS 5.IG Example 12;IFRS 9.5.6.5; Annex V.Part 2.64-65 
280 Non-current assets and disposal groups held for sale IFRS 5.38 
290 Valuation gains or (-) losses taken to equity IFRS 5.38 
300 Transferred to profit or loss IAS 1.7, 92-95; IFRS 5.38 
310 Other reclassifications IFRS 5.IG Example 12 
320 Share of other recognised income and expense of Investments in subsidaries, joint ventures and associates IAS 1.IG6; IAS 28.10 
330 Income tax relating to items that may be reclassified to profit or (-) loss IAS 1.91(b), IG6; Annex V.Part 2.66 
340 Total comprehensive income for the year IAS 1.7, 81A(a), IG6 
350 Attributable to minority interest [Non-controlling interest] IAS 1.83(b)(i), IG6 
360 Attributable to owners of the parent IAS 1.83(b)(ii), IG6 
 4.  4.1 

 References National GAAP based on BAD References National GAAP compatible IFRS Carrying amount
Annex V.Part 1.27
010
005 Derivatives   
010 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5 IAS 32.11, Annex V.Part 1.44(b) 
030 of which: credit institutions Annex V.Part 1.42(c) Annex V.Part 1.42(c) 
040 of which: other financial corporations Annex V.Part 1.42(d) Annex V.Part 1.42(d) 
050 of which: non-financial corporations Annex V.Part 1.42(e) Annex V.Part 1.42(e) 
060 Debt securities Annex V.Part 1.31 Annex V.Part 1.31, 44(b) 
070 Central banks Annex V.Part 1.42(a) Annex V.Part 1.42(a) 
080 General governments Annex V.Part 1.42(b) Annex V.Part 1.42(b) 
090 Credit institutions Annex V.Part 1.42(c) Annex V.Part 1.42(c) 
100 Other financial corporations Annex V.Part 1.42(d) Annex V.Part 1.42(d) 
110 Non-financial corporations Annex V.Part 1.42(e) Annex V.Part 1.42(e) 
120 Loans and advances Annex V.Part 1.32 Annex V.Part 1.32, 44(a) 
130 Central banks Annex V.Part 1.42(a) Annex V.Part 1.42(a) 
140 General governments Annex V.Part 1.42(b) Annex V.Part 1.42(b) 
150 Credit institutions Annex V.Part 1.42(c) Annex V.Part 1.42(c) 
160 Other financial corporations Annex V.Part 1.42(d) Annex V.Part 1.42(d) 
170 Non-financial corporations Annex V.Part 1.42(e) Annex V.Part 1.42(e) 
180 Households Annex V.Part 1.42(f) Annex V.Part 1.42(f) 
190 FINANCIAL ASSETS HELD FOR TRADING Annex V.Part 1.15(a) IFRS 9.Appendix A 
 4.2.1 

 References National GAAP based on BAD References National GAAP compatible IFRS Carrying amount Accumulated negative changes in fair value due to credit risk on non-performing exposures
Annex V.Part 1.27 Annex V.Part 2.69
010 020
010 Equity instruments  IAS 32.11, Annex V.Part 1.44(b)  
020 of which: credit institutions  Annex V.Part 1.42(c)  
030 of which: other financial corporations  Annex V.Part 1.42(d)  
040 of which: non-financial corporations  Annex V.Part 1.42(e)  
050 Debt securities  Annex V.Part 1.31, 44(b)  
060 Central banks  Annex V.Part 1.42(a)  
070 General governments  Annex V.Part 1.42(b)  
080 Credit institutions  Annex V.Part 1.42(c)  
090 Other financial corporations  Annex V.Part 1.42(d)  
100 Non-financial corporations  Annex V.Part 1.42(e)  
110 Loans and advances  Annex V.Part 1.32, 44(a)  
120 Central banks  Annex V.Part 1.42(a)  
130 General governments  Annex V.Part 1.42(b)  
140 Credit institutions  Annex V.Part 1.42(c)  
150 Other financial corporations  Annex V.Part 1.42(d)  
160 Non-financial corporations  Annex V.Part 1.42(e)  
170 Households  Annex V.Part 1.42(f)  
180 NON-TRADING FINANCIAL ASSETS MANDATORILY AT FAIR VALUE THROUGH PROFIT OR LOSS  IFRS 7.8(a)(ii); IFRS 9.4.1.4  
 4.2.2 

 References National GAAP based on BAD References National GAAP compatible IFRS Carrying amount Accumulated negative changes in fair value due to credit risk on non-performing exposures
Annex V.Part 1.27 Annex V.Part 2.69
010 020
010 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5 IAS 32.11  
020 of which: at cost  IAS 39.46(c)  
030 of which: credit institutions Annex V.Part 1.42(c) Annex V.Part 1.38(c)  
040 of which: other financial corporations Annex V.Part 1.42(d) Annex V.Part 1.38(d)  
050 of which: non-financial corporations Annex V.Part 1.42(e) Annex V.Part 1.38(e)  
060 Debt securities Annex V.Part 1.31, 44(b) Annex V.Part 1.31, 44(b)  
070 Central banks Annex V.Part 1.42(a) Annex V.Part 1.42(a)  
080 General governments Annex V.Part 1.42(b) Annex V.Part 1.42(b)  
090 Credit institutions Annex V.Part 1.42(c) Annex V.Part 1.42(c)  
100 Other financial corporations Annex V.Part 1.42(d) Annex V.Part 1.42(d)  
110 Non-financial corporations Annex V.Part 1.42(e) Annex V.Part 1.42(e)  
120 Loans and advances Annex V.Part 1.32, 44(a) Annex V.Part 1.32, 44(a)  
130 Central banks Annex V.Part 1.42(a) Annex V.Part 1.42(a)  
140 General governments Annex V.Part 1.42(b) Annex V.Part 1.42(b)  
150 Credit institutions Annex V.Part 1.42(c) Annex V.Part 1.42(c)  
160 Other financial corporations Annex V.Part 1.42(d) Annex V.Part 1.42(d)  
170 Non-financial corporations Annex V.Part 1.42(e) Annex V.Part 1.42(e)  
180 Households Annex V.Part 1.42(f) Annex V.Part 1.42(f)  
190 FINANCIAL ASSETS DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS Accounting Directive art 8(1)(a), (6) IFRS 7.8(a)(i); IFRS 9.4.1.5  
 4.3.1 

 References National GAAP based on BAD References National GAAP compatible IFRS Carrying amount Gross carrying amountAnnex V.Part 1.34(b) Accumulated impairmentAnnex V.Part 2.70(b), 71 Accumulated partial write-offs Accumulated total write-offs
Assets without significant increase in credit risk since initial recognition (Stage 1)  Assets with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2) Credit-impaired assets (Stage 3) Assets without significant increase in credit risk since initial recognition (Stage 1) Assets with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2) Credit-impaired assets (Stage 3)
of which: instruments with low credit risk
Annex V.Part 1.27 IFRS 9.5.5.5; IFRS 7.35M(a) IFRS 9.B5.5.22-24; Annex V.Part 2.75 IFRS 9.5.5.3, IFRS 7.35M(b)(i) IFRS 9.5.5.1, 7.35M(b)(ii) IFRS 9.5.5.5; IFRS7.35H(a), IFRS 7.16A IFRS 9.5.5.3; IFRS 9.5.5.15; IFRS 7.35H(b)(i), IFRS 7.16A IFRS 9.5.5.1; IFRS 9.5.5.15; IFRS 7.35H(b)(ii), IFRS 7.16A IFRS 9.5.4.4 and B5.4.9; Annex V.Part 2.72-74 IFRS 9.5.4.4 and B5.4.9; Annex V.Part 2.72-74
010 015 020 030 040 050 060 070 080 090
010 Equity instruments  IAS 32.11; Annex V.Part 1.44(b)          
020 of which: credit institutions  Annex V.Part 1.42(c)          
030 of which: other financial corporations  Annex V.Part 1.42(d)          
040 of which: non-financial corporations  Annex V.Part 1.42(e)          
050 Debt securities  Annex V.Part 1.31, 44(b)          
060 Central banks  Annex V.Part 1.42(a)          
070 General governments  Annex V.Part 1.42(b)          
080 Credit institutions  Annex V.Part 1.42(c)          
090 Other financial corporations  Annex V.Part 1.42(d)          
100 Non-financial corporations  Annex V.Part 1.42(e)          
110 Loans and advances  Annex V.Part 1.32, 44(a)          
120 Central banks  Annex V.Part 1.42(a)          
130 General governments  Annex V.Part 1.42(b)          
140 Credit institutions  Annex V.Part 1.42(c)          
150 Other financial corporations  Annex V.Part 1.42(d)          
160 Non-financial corporations  Annex V.Part 1.42(e)          
165 Of which: Small and Medium-sized Enterprises  SME Art 1 2(a)          
170 Households  Annex V.Part 1.42(f)          
180 FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME  IFRS 7.8(h); IFRS 9.4.1.2A          
190 of which: purchased credit-impaired financial assets  IFRS 9.5.5.13; IFRS 7.35M(c); Annex V.Part 2.77          
 4.4.1 

 References National GAAP based on BAD References National GAAP compatible IFRS Carrying amount Gross carrying amountAnnex V.Part 1.34(b) Accumulated impairmentAnnex V.Part 2.70(a), 71 Accumulated partial write-offs Accumulated total write-offs
Assets without significant increase in credit risk since initial recognition (Stage 1)  Assets with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2) Credit-impaired assets (Stage 3) Assets without significant increase in credit risk since initial recognition (Stage 1) Assets with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2) Credit-impaired assets (Stage 3)
of which: instruments with low credit risk
Annex V.Part 1.27 IFRS 9.5.5.5; IFRS 7.35M(a) IFRS 9.B5.5.22-24; Annex V.Part 2.75 IFRS 9.5.5.3, IFRS 7.35M(b)(i) IFRS 9.5.5.1, 7.35M(b)(ii) IFRS 9.5.5.5; IFRS7.35H(a) IFRS 9.5.5.3; IFRS 9.5.5.15; IFRS 7.35H(b)(i) IFRS 5.5.1; IFRS 9.5.5.15; IFRS 7.35H(b)(ii) IFRS 9.5.4.4 and B5.4.9; Annex V.Part 2.72-74 IFRS 9.5.4.4 and B5.4.9; Annex V.Part 2.72-74
010 015 020 030 040 050 060 070 080 090
010 Debt securities  Annex V.Part 1.31, 44(b)          
020 Central banks  Annex V.Part 1.42(a)          
030 General governments  Annex V.Part 1.42(b)          
040 Credit institutions  Annex V.Part 1.42(c)          
050 Other financial corporations  Annex V.Part 1.42(d)          
060 Non-financial corporations  Annex V.Part 1.42(e)          
070 Loans and advances  Annex V.Part 1.32, 44(a)          
080 Central banks  Annex V.Part 1.42(a)          
090 General governments  Annex V.Part 1.42(b)          
100 Credit institutions  Annex V.Part 1.42(c)          
110 Other financial corporations  Annex V.Part 1.42(d)          
120 Non-financial corporations  Annex V.Part 1.42(e)          
125 Of which: Small and Medium-sized Enterprises  SME Art 1 2(a)          
130 Households  Annex V.Part 1.42(f)          
140 FINANCIAL ASSETS AT AMORTISED COST  IFRS 7.8(f); IFRS 9.4.1.2          
150 of which: purchased credit-impaired financial assets  IFRS 9.5.13 and IFRS 7.35M(f); Annex V.Part 2.77          
 4.5 

 References National GAAP based on BAD References National GAAP compatible IFRS Carrying amount
Annex V.Part 1.27-28
010
010 Loans and advances Annex V.Part 1.32 Annex V.Part 1.32 
020 Debt securities Annex V.Part 1.31 Annex V.Part 1.31 
030 SUBORDINATED [FOR THE ISSUER] FINANCIAL ASSETS Accounting Directive art 8(1)(a); Annex V.Part 2.78, 100 Annex V.Part 2.78, 100 
 4.6 

 References National GAAP based on BAD Carrying amount
Annex V.Part 1.27-28
010
005 Derivatives CRR Annex II; Annex V.Part 1.17, Part 2.68 
010 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5; Annex V Part 1.44(b) 
020 of which: unquoted  
030 of which: credit institutions Annex V.Part 1.42(c) 
040 of which: other financial corporations Annex V.Part 1.42(d) 
050 of which: non-financial corporations Annex V.Part 1.42(e) 
060 Debt securities Annex V.Part 1.31, 44(b) 
070 Central banks Annex V.Part 1.42(a) 
080 General governments Annex V.Part 1.42(b) 
090 Credit institutions Annex V.Part 1.42(c) 
100 Other financial corporations Annex V.Part 1.42(d) 
110 Non-financial corporations Annex V.Part 1.42(e) 
120 Loans and advances Annex V.Part 1.32, 44(a) 
130 Central banks Annex V.Part 1.42(a) 
140 General governments Annex V.Part 1.42(b) 
150 Credit institutions Annex V.Part 1.42(c) 
160 Other financial corporations Annex V.Part 1.42(d) 
170 Non-financial corporations Annex V.Part 1.42(e) 
180 Households Annex V.Part 1.42(f) 
190 TRADING FINANCIAL ASSETS BAD Article 32-33; Annex V.Part 1.17 
 4.7 

 References National GAAP based on BAD Carrying amount Accumulated negative changes in fair value due to credit risk on non-performing exposures
Annex V.Part 1.27-28 Annex V.Part 2.69
010 021
010 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5; Annex V Part 1.44(b)  
020 of which: unquoted   
030 of which: credit institutions Annex V.Part 1.42(c)  
040 of which: other financial corporations Annex V.Part 1.42(d)  
050 of which: non-financial corporations Annex V.Part 1.42(e)  
060 Debt securities Annex V.Part 1.31, 44(b)  
070 Central banks Annex V.Part 1.42(a)  
080 General governments Annex V.Part 1.42(b)  
090 Credit institutions Annex V.Part 1.42(c)  
100 Other financial corporations Annex V.Part 1.42(d)  
110 Non-financial corporations Annex V.Part 1.42(e)  
120 Loans and advances Annex V.Part 1.32, 44(a)  
130 Central banks Annex V.Part 1.42(a)  
140 General governments Annex V.Part 1.42(b)  
150 Credit institutions Annex V.Part 1.42(c)  
160 Other financial corporations Annex V.Part 1.42(d)  
170 Non-financial corporations Annex V.Part 1.42(e)  
180 Households Annex V.Part 1.42(f)  
190 NON-TRADING NON-DERIVATIVE FINANCIAL ASSETS MEASURED AT FAIR VALUE THROUGH PROFIT OR LOSS BAD art 36(2)  
 4.8 

 References National GAAP based on BAD Financial assets not subject to impairmentAnnex V.Part 1.34(d), Part 2.79 Financial assets subject to impairmentAnnex V.Part 2.79
Carrying amount Accumulated negative changes in fair value due to credit risk on non-performing exposures Carrying amount Gross carrying amountAnnex V Part 1.34(d) Specific allowances for credit risk General allowances for credit risk affecting carrying amount General allowances for banking risk affecting carrying amount Accumulated partial write-offs Accumulated total write-offs
Unimpaired assets Impaired assets
Annex V.Part 1.27-28 Annex V.Part 2.69 Annex V.Part 1.27-28  CRR art 4(95) CRR art 4(95), Annex V Part 2.70(c),71 CRR art 4(95); Annex V.Part 2.70(c),71 CRR art 4(95); Annex V.Part 2.70(c), 71, 82 CRR art 4(95); Annex V.Part 2.72-74 CRR art 4(95); Annex V.Part 2.72-74
010 030 035 040 050 060 070 080 090 100
010 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5; Annex V Part 1.44(b)          
020 of which: unquoted           
030 of which: credit institutions Annex V.Part 1.42(c)          
040 of which: other financial corporations Annex V.Part 1.42(d)          
050 of which: non-financial corporations Annex V.Part 1.42(e)          
060 Debt securities Annex V.Part 1.31, 44(b)          
070 Central banks Annex V.Part 1.42(a)          
080 General governments Annex V.Part 1.42(b)          
090 Credit institutions Annex V.Part 1.42(c)          
100 Other financial corporations Annex V.Part 1.42(d)          
110 Non-financial corporations Annex V.Part 1.42(e)          
120 Loans and advances Annex V.Part 1.32, 44(a)          
130 Central banks Annex V.Part 1.42(a)          
140 General governments Annex V.Part 1.42(b)          
150 Credit institutions Annex V.Part 1.42(c)          
160 Other financial corporations Annex V.Part 1.42(d)          
170 Non-financial corporations Annex V.Part 1.42(e)          
175 Of which: Small and Medium-sized Enterprises SME Art 1 2(a)          
180 Households Annex V.Part 1.42(f)          
190 NON-TRADING NON-DERIVATIVE FINANCIAL ASSETS MEASURED AT FAIR VALUE TO EQUITY Accounting Directive art 8(1)(a), 8(2)          
 4.9 

 References National GAAP based on BAD Gross carrying amountAnnex V.Part 1.34(c),34(e) Specific allowances for credit risk General allowances for credit risk affecting carrying amount General allowances for banking risk affecting carrying amount Carrying amount  Accumulated negative value adjustments on LOCOM assets – market risk induced Accumulated negative value adjustments on LOCOM assets – credit risk induced Accumulated partial write-offs Accumulated total write-offs
Unimpaired assets  Impaired assets  of which: assets under LOCOM
of which: assets under LOCOM of which: assets under LOCOM
Annex V.Part 2.80 Annex V.Part 1.19 CRR art 4(95), Annex V.Part 2.80 Annex V.Part 1.19 CRR art 4(95); Annex V.Part 2.70(c), 71 CRR art 4(95); Annex V.Part 2.70(c),71 CRR art 4(95); Annex V.Part 2.70(c), 71, 82 Annex V.Part 1.27-28 Annex V.Part 1.19 Annex V.Part 2.80 Annex V.Part 2.80 CRR art 4(95); Annex V.Part 2.72-74 CRR art 4(95); Annex V.Part 2.72-74
010 015 020 025 030 041 045 050 060 070 080 090 100
005 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5; Annex V Part 1.44(b)             
006 of which: unquoted              
007 of which: credit institutions Annex V.Part 1.42(c)             
008 of which: other financial corporations Annex V.Part 1.42(d)             
009 of which: non-financial corporations Annex V.Part 1.42(e)             
010 Debt securities Annex V.Part 1.31, 44(b)             
020 Central banks Annex V.Part 1.42(a)             
030 General governments Annex V.Part 1.42(b)             
040 Credit institutions Annex V.Part 1.42(c)             
050 Other financial corporations Annex V.Part 1.42(d)             
060 Non-financial corporations Annex V.Part 1.42(e)             
070 Loans and advances Annex V.Part 1.32, 44(a)             
080 Central banks Annex V.Part 1.42(a)             
090 General governments Annex V.Part 1.42(b)             
100 Credit institutions Annex V.Part 1.42(c)             
110 Other financial corporations Annex V.Part 1.42(d)             
120 Non-financial corporations Annex V.Part 1.42(e)             
125 Of which: Small and Medium-sized Enterprises SME Art 1 2(a)             
130 Households Annex V.Part 1.42(f)             
140 NON-TRADING FINANCIAL ASSETS MEASURED AT A COST-BASED METHOD BAD art 37.1; art 42a(4)(b); Annex V.Part 1.19             
 4.10 

 References National GAAP based on BAD Gross carrying amountAnnex V.Part 1.34(e),34(f) Specific allowances for credit risk General allowances for credit risk affecting carrying amount General allowances for banking risk affecting carrying amount Carrying amount  Accumulated negative value adjustments on LOCOM assets – market risk induced Accumulated negative value adjustments on LOCOM assets – credit risk induced Accumulated partial write-offs Accumulated total write-offs
Unimpaired assets  Impaired assets  of which: assets under LOCOM
of which: assets under LOCOM of which: assets under LOCOM
Annex V.Part 2.81 Annex V.Part 1.20 Annex V.Part 2.81 CRR art 4(95); Annex V.Part 1.20 CRR art 4(95); Annex V.Part 2.70(c), 71 CRR art 4(95); Annex V.Part 2.70(c),71 CRR art 4(95); Annex V.Part 2.70(c), 71, 82 Annex V.Part 1.27-28 Annex V.Part 1.20 Annex V.Part 2.81 Annex V.Part 2.81 CRR art 4(95); Annex V.Part 2.72-74 CRR art 4(95); Annex V.Part 2.72-74
015 016 020 025 030 040 050 010 070 080 090 100 110
010 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5; Annex V.Part 1.44(b)             
020 of which: unquoted              
030 of which: credit institutions Annex V.Part 1.42(c)             
040 of which: other financial corporations Annex V.Part 1.42(d)             
050 of which: non-financial corporations Annex V.Part 1.42(e)             
060 Debt securities Annex V.Part 1.31, 44(b)             
070 Central banks Annex V.Part 1.42(a)             
080 General governments Annex V.Part 1.42(b)             
090 Credit institutions Annex V.Part 1.42(c)             
100 Other financial corporations Annex V.Part 1.42(d)             
110 Non-financial corporations Annex V.Part 1.42(e)             
120 Loans and advances Annex V.Part 1.32, 44(a)             
130 Central banks Annex V.Part 1.42(a)             
140 General governments Annex V.Part 1.42(b)             
150 Credit institutions Annex V.Part 1.42(c)             
160 Other financial corporations Annex V.Part 1.42(d)             
170 Non-financial corporations Annex V.Part 1.42(e)             
175 Of which: Small and Medium-sized Enterprises SME Art 1 2(a)             
180 Households Annex V.Part 1.42(f)             
190 OTHER NON-TRADING NON-DERIVATIVE FINANCIAL ASSETS Accounting Directive art 8(1)(a), 8(2); Annex V.Part 1.20             
 5.  5.1 

  References Gross carrying amount Carrying amountAnnex V.Part 1.27-28
Central banks General governments Credit institutions Other financial corporations Non-financial corporations Households
Annex V.Part 1.34 Annex V.Part 1.42(a) Annex V.Part 1.42(b) Annex V.Part 1.42(c) Annex V.Part 1.42(d) Annex V.Part 1.42(e) Annex V.Part 1.42(f)
005 010 020 030 040 050 060
By product 010 On demand [call] and short notice [current account] Annex V.Part 2.85(a)       
020 Credit card debt Annex V.Part 2.85(b)       
030 Trade receivables Annex V.Part 2.85(c)       
040 Finance leases Annex V.Part 2.85(d)       
050 Reverse repurchase loans Annex V.Part 2.85(e)       
060 Other term loans Annex V.Part 2.85(f)       
070 Advances that are not loans Annex V.Part 2.85(g)       
080 LOANS AND ADVANCES Annex V.Part 1.32, 44(a)       
By collateral 090 of which: Loans collateralized by immovable property Annex V.Part 2.86(a), 87       
100 of which: other collateralized loans Annex V.Part 2.86(b), 87       
By purpose 110 of which: credit for consumption Annex V.Part 2.88(a)       
120 of which: lending for house purchase Annex V.Part 2.88(b)       
By subordination 130 of which: project finance loans Annex V.Part 2.89; CRR Art 147(8)       
 6.  6.1 

 References Non-financial corporationsAnnex V.Part 1.42(e), Part 2.91
Gross carrying amount    Accumulated impairment Accumulated negative changes in fair value due to credit risk on non-performing exposures
of which: loans and advances subject to impairment Of which: non-performing 
of which: defaulted  
Annex V.Part 1.34 Annex V.Part 2.93 Annex V.Part 2. 213-232 CRR art 178; Annex V.Part 2.237(b) Annex V.Part 2.70-71 Annex V.Part 2.69
010 011 012 013 021 022
010 A Agriculture, forestry and fishing NACE Regulation      
020 B Mining and quarrying NACE Regulation      
030 C Manufacturing NACE Regulation      
040 D Electricity, gas, steam and air conditioning supply NACE Regulation      
050 E Water supply NACE Regulation      
060 F Construction NACE Regulation      
070 G Wholesale and retail trade NACE Regulation      
080 H Transport and storage NACE Regulation      
090 I Accommodation and food service activities NACE Regulation      
100 J Information and communication NACE Regulation      
105 K Financial and insurance activities NACE Regulation, Annex V.Part 2.92      
110 L Real estate activities NACE Regulation      
120 M Professional, scientific and technical activities NACE Regulation      
130 N Administrative and support service activities NACE Regulation      
140 O Public administration and defence, compulsory social security NACE Regulation      
150 P Education NACE Regulation      
160 Q Human health services and social work activities NACE Regulation      
170 R Arts, entertainment and recreation NACE Regulation      
180 S Other services NACE Regulation      
190 LOANS AND ADVANCES Annex V.Part 1.32, Part 2.90      
 7.  7.1 

 References National GAAP compatible IFRS Carrying amountAnnex V.Part 1.27
Assets without significant increase in credit risk since initial recognition (Stage 1) Assets with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2) Credit-impaired assets (Stage 3)
≤ 30 days > 30 days ≤ 90 days > 90 days ≤ 30 days > 30 days ≤ 90 days > 90 days ≤ 30 days > 30 days ≤ 90 days > 90 days
IFRS 9.5.5.11;B5.5.37; IFRS 7.B8I, Annex V.Part 2.96
010 020 030 040 050 060 070 080 090
060 Debt securities Annex V.Part 1.31, 44(b)         
070 Central banks Annex V.Part 1.42(a)         
080 General governments Annex V.Part 1.42(b)         
090 Credit institutions Annex V.Part 1.42(c)         
100 Other financial corporations Annex V.Part 1.42(d)         
110 Non-financial corporations Annex V.Part 1.42(e)         
120 Loans and advances Annex V.Part 1.32, 44(a)         
130 Central banks Annex V.Part 1.42(a)         
140 General governments Annex V.Part 1.42(b)         
150 Credit institutions Annex V.Part 1.42(c)         
160 Other financial corporations Annex V.Part 1.42(d)         
170 Non-financial corporations Annex V.Part 1.42(e)         
180 Households Annex V.Part 1.42(f)         
190 TOTAL DEBT INSTRUMENTS Annex V Part 2.94-95         
 Loans and advances by product, by collateral and by subordination          
200 On demand [call] and short notice [current account] Annex V.Part 2.85(a)         
210 Credit card debt Annex V.Part 2.85(b)         
220 Trade receivables Annex V.Part 2.85(c)         
230 Finance leases Annex V.Part 2.85(d)         
240 Reverse repurchase loans Annex V.Part 2.85(e)         
250 Other term loans Annex V.Part 2.85(f)         
260 Advances that are not loans Annex V.Part 2.85(g)         
270 of which: Loans collateralized by inmovable property Annex V.Part 2.86(a), 87         
280 of which: other collateralized loans Annex V.Part 2.86(b), 87         
290 of which: credit for consumption Annex V.Part 2.88(a)         
300 of which: lending for house purchase Annex V.Part 2.88(b)         
310 of which: project finance loans Annex V.Part 2.89; CRR Art 147(8)         
 7.2 

 References National GAAP based on BAD Carrying amountAnnex V.Part 1.27-28
Past due but not impaired Past due impaired
≤ 30 days > 30 days ≤ 90 days > 90 days ≤ 30 days > 30 days ≤ 90 days > 90 days
CRR art 4(95); Annex V.Part 2.96
010 020 030 040 050 060
060 Debt securities Annex V.Part 1.31, 44(b)      
070 Central banks Annex V.Part 1.42(a)      
080 General governments Annex V.Part 1.42(b)      
090 Credit institutions Annex V.Part 1.42(c)      
100 Other financial corporations Annex V.Part 1.42(d)      
110 Non-financial corporations Annex V.Part 1.42(e)      
120 Loans and advances Annex V.Part 1.32, 44(a)      
130 Central banks Annex V.Part 1.42(a)      
140 General governments Annex V.Part 1.42(b)      
150 Credit institutions Annex V.Part 1.42(c)      
160 Other financial corporations Annex V.Part 1.42(d)      
170 Non-financial corporations Annex V.Part 1.42(e)      
180 Households Annex V.Part 1.42(f)      
190 TOTAL DEBT INSTRUMENTS Annex V Part 2.94-95      
 Loans and advances by product, by collateral and by subordination       
200 On demand [call] and short notice [current account] Annex V.Part 2.85(a)      
210 Credit card debt Annex V.Part 2.85(b)      
220 Trade receivables Annex V.Part 2.85(c)      
230 Finance leases Annex V.Part 2.85(d)      
240 Reverse repurchase loans Annex V.Part 2.85(e)      
250 Other term loans Annex V.Part 2.85(f)      
260 Advances that are not loans Annex V.Part 2.85(g)      
270 of which: Loans collateralized by inmovable property Annex V.Part 2.86(a), 87      
280 of which: other collateralized loans Annex V.Part 2.86(b), 87      
290 of which: credit for consumption Annex V.Part 2.88(a)      
300 of which: lending for house purchase Annex V.Part 2.88(b)      
310 of which: project finance loans Annex V.Part 2.89; CRR Art 147(8)      
 8.  8.1 

   Carrying amountAnnex V.Part 1.27-28 Accumulated changes in fair value due to credit risk
  Held for trading Designated at fair value through profit or loss Amortised cost Trading At a cost-based method Hedge accounting
 References National GAAP compatible IFRS IFRS 7.8(e)(ii); IFRS 9 Appendix A, IFRS 9.BA.6-BA.7, IFRS 9.6.7 IFRS 7.8(e)(i); IFRS 9.4.2.2, IFRS 9.4.3.5 IFRS 7.8(g); IFRS 9.4.2.1   IFRS 7.24A(a); IFRS 9.6 CRR art 33(1)(b), art 33(1)(c); Annex V.Part 2.101
References National GAAP based on BAD  Accounting Directive art 8(1)(a), (6); IAS 39.9, AG 14-15 Accounting Directive art 8(1)(a), (6); IAS 39.9 Accounting Directive art 8(3), (6); IAS 39.47 Accounting Directive art 8(3); Annex V.Part 1.25 Accounting Directive art 8(3) Accounting Directive art 8(1)(a), (6), (8)(1)(a) CRR art 33(1)(b), art 33(1)(c); Annex V.Part 2.102
  010 020 030 034 035 037 040
010 Derivatives CRR Annex II IFRS 9.BA.7(a)       
020 Short positions  FRS 9.BA.7(b)       
030 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5 IAS 32.11       
040 Debt securities Annex V.Part 1.31 Annex V.Part 1.31       
050 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36       
060 Central banks Annex V.Part 1.42(a), 44(c) Annex V.Part 1.42(a), 44(c)       
070 Current accounts / overnight deposits ECB/2013/33 Annex 2.Part 2.9.1 ECB/2013/33 Annex 2.Part 2.9.1       
080 Deposits with agreed maturity ECB/2013/33 Annex 2.Part 2.9.2 ECB/2013/33 Annex 2.Part 2.9.2       
090 Deposits redeemable at notice ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.97 ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.97       
100 Repurchase agreements ECB/2013/33 Annex 2.Part 2.9.4 ECB/2013/33 Annex 2.Part 2.9.4       
110 General governments Annex V.Part 1.42(b), 44(c) Annex V.Part 1.42(b), 44(c)       
120 Current accounts / overnight deposits ECB/2013/33 Annex 2.Part 2.9.1 ECB/2013/33 Annex 2.Part 2.9.1       
130 Deposits with agreed maturity ECB/2013/33 Annex 2.Part 2.9.2 ECB/2013/33 Annex 2.Part 2.9.2       
140 Deposits redeemable at notice ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.97 ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.97       
150 Repurchase agreements ECB/2013/33 Annex 2.Part 2.9.4 ECB/2013/33 Annex 2.Part 2.9.4       
160 Credit institutions Annex V.Part 1.42(c),44(c) Annex V.Part 1.42(c),44(c)       
170 Current accounts / overnight deposits ECB/2013/33 Annex 2.Part 2.9.1 ECB/2013/33 Annex 2.Part 2.9.1       
180 Deposits with agreed maturity ECB/2013/33 Annex 2.Part 2.9.2 ECB/2013/33 Annex 2.Part 2.9.2       
190 Deposits redeemable at notice ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.97 ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.97       
200 Repurchase agreements ECB/2013/33 Annex 2.Part 2.9.4 ECB/2013/33 Annex 2.Part 2.9.4       
210 Other financial corporations Annex V.Part 1.42(d),44(c) Annex V.Part 1.42(d),44(c)       
220 Current accounts / overnight deposits ECB/2013/33 Annex 2.Part 2.9.1 ECB/2013/33 Annex 2.Part 2.9.1       
230 Deposits with agreed maturity ECB/2013/33 Annex 2.Part 2.9.2 ECB/2013/33 Annex 2.Part 2.9.2       
240 Deposits redeemable at notice ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.97 ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.97       
250 Repurchase agreements ECB/2013/33 Annex 2.Part 2.9.4 ECB/2013/33 Annex 2.Part 2.9.4       
260 Non-financial corporations Annex V.Part 1.42(e), 44(c) Annex V.Part 1.42(e), 44(c)       
270 Current accounts / overnight deposits ECB/2013/33 Annex 2.Part 2.9.1 ECB/2013/33 Annex 2.Part 2.9.1       
280 Deposits with agreed maturity ECB/2013/33 Annex 2.Part 2.9.2 ECB/2013/33 Annex 2.Part 2.9.2       
290 Deposits redeemable at notice ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.97 ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.97       
300 Repurchase agreements ECB/2013/33 Annex 2.Part 2.9.4 ECB/2013/33 Annex 2.Part 2.9.4       
310 Households Annex V.Part 1.42(f), 44(c) Annex V.Part 1.42(f), 44(c)       
320 Current accounts / overnight deposits ECB/2013/33 Annex 2.Part 2.9.1 ECB/2013/33 Annex 2.Part 2.9.1       
330 Deposits with agreed maturity ECB/2013/33 Annex 2.Part 2.9.2 ECB/2013/33 Annex 2.Part 2.9.2       
340 Deposits redeemable at notice ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.97 ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.97       
350 Repurchase agreements ECB/2013/33 Annex 2.Part 2.9.4 ECB/2013/33 Annex 2.Part 2.9.4       
360 Debt securities issued Annex V.1.37, Part 2.98 Annex V.Part 1.37, Part 2.98       
370 Certificates of deposits Annex V.Part 2.98(a) Annex V.Part 2.98(a)       
380 Asset-backed securities CRR art 4(61) CRR art 4(1)(61)       
390 Covered bonds CRR art 129 CRR art 129       
400 Hybrid contracts Annex V.Part 2.98(d) Annex V.Part 2.98(d)       
410 Other debt securities issued Annex V.Part 2.98(e) Annex V.Part 2.98(e)       
420 Convertible compound financial instruments  IAS 32.AG 31       
430 Non-convertible         
440 Other financial liabilities Annex V.Part 1.38-41 Annex V.Part 1.38-41       
445 of which: lease liabilities  IFRS 16.22, 26-28, 47(b)       
450 FINANCIAL LIABILITIES         
 8.2 

   Carriyng amount
  Designated at fair value through profit or loss At amortized cost At a cost-based method
 References National GAAP compatible IFRS IFRS 7.8(e)(i); IFRS 9.4.2.2, IFRS 9.4.3.5 IFRS 7.8(g); IFRS 9.4.2.1 
References National GAAP  Accounting Directive art 8(1)(a), (6); IAS 39.9 Accounting Directive art 8(3), (6); IAS 39.47 Accounting Directive art 8(3)
  010 020 030
010 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36   
020 Debt securities issued Annex V.Part 1.37 Annex V.Part 1.37   
030 SUBORDINATED FINANCIAL LIABILITIES Annex V.Part 2.99-100 Annex V.Part 2.99-100   
 9.  9.1.1 

 References National GAAP compatible IFRS Nominal amount of off-balance sheet commitments and financial guarantees under IFRS 9 impairmentAnnex V.Part 2.107-108, 118 Provisions on off-balance sheet commitments and financial guarantees under IFRS 9 impairmentAnnex V Part 2.106-109 Other commitments measured under IAS 37 and financial guarantees measured under IFRS 4 Commitments and financial guarantees measured at fair value
Instruments without significant increase in credit risk since initial recognition (Stage 1) Instruments with significant increase in credit risk since initial recognition but not credit-impaired(Stage 2) Credit-impaired instruments(Stage 3) Instruments without significant increase in credit risk since initial recognition (Stage 1) Instruments with significant increase in credit risk since initial recognition but not credit-impaired(Stage 2) Credit-impaired instruments(Stage 3) Nominal amount Provision Nominal amount Accumulated negative changes in fair value due to credit risk on non-performing commitments
IFRS 9.2.1(e),(g), IFRS 9.4.2.(c), IFRS 9.5.5, IFRS 9.B2.5; IFRS 7.35M IFRS 9.2.1(e),(g), IFRS 9.4.2.(c), IFRS 9.5.5, IFRS 9.B2.5; IFRS 7.35M IFRS 9.2.1(e),(g), IFRS 9.4.2.(c), IFRS 9.5.5, IFRS9.B2.5; IFRS 7.35M IFRS 9.2.1(e),(g), IFRS 9.4.2.(c), IFRS9.5.5, IFRS 9.B2.5; IFRS 7.35H(a) IFRS 9.2.1(e),(g), IFRS 9.4.2.(c), IFRS9.5.5, IFRS 9.B2.5; IFRS 7.35H(b)(i) IFRS 9.2.1(e),(g), IFRS 9.4.2.(c), IFRS9.5.5, IFRS 9.B2.5; IFRS 7.35H(b)(ii) IAS 37, IFRS 9.2.1(e), IFRS 9.B2.5; IFRS 4; Annex V.Part 2.111, 118 IAS 37, IFRS 9.2.1(e), IFRS 9.B2.5; IFRS 4; Annex V.Part 2.106, 111 IFRS 9.2.3(a), 9.B2.5; Annex V Part 2.110, 118 Annex V Part 2.69
010 020 030 040 050 060 100 110 120 130
010 Loan commitments given CRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 113, 116          
021 of which: non-performing Annex V.Part 2.117          
030 Central banks Annex V.Part 1.42(a)          
040 General governments Annex V.Part 1.42(b)          
050 Credit institutions Annex V.Part 1.42(c)          
060 Other financial corporations Annex V.Part 1.42(d)          
070 Non-financial corporations Annex V.Part 1.42(e)          
080 Households Annex V.Part 1.42(f)          
090 Financial guarantees given IFRS 4 Annex A; CRR Annex I; Annex V.Part 1.44(f), Part 2.102-105, 114, 116          
101 of which: non-performing Annex V.Part 2.117          
110 Central banks Annex V.Part 1.42(a)          
120 General governments Annex V.Part 1.42(b)          
130 Credit institutions Annex V.Part 1.42(c)          
140 Other financial corporations Annex V.Part 1.42(d)          
150 Non-financial corporations Annex V.Part 1.42(e)          
160 Households Annex V.Part 1.42(f)          
170 Other Commitments given CRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 115, 116          
181 of which: non-performing Annex V.Part 2.117          
190 Central banks Annex V.Part 1.42(a)          
200 General governments Annex V.Part 1.42(b)          
210 Credit institutions Annex V.Part 1.42(c)          
220 Other financial corporations Annex V.Part 1.42(d)          
230 Non-financial corporations Annex V.Part 1.42(e)          
240 Households Annex V.Part 1.42(f)          
 9.1 

 References National GAAP Nominal amount Provisions
CRR Annex I; Annex V.Part 2.118 CRR Annex I; Annex V.Part 2.11
010 020
010 Loan commitments given CRR Annex I; Annex V.Part 1.44(g), Part 2.112, 113  
021 of which: non-performing Annex V. Part 2.117  
030 Central banks Annex V.Part 1.42(a)  
040 General governments Annex V.Part 1.42(b)  
050 Credit institutions Annex V.Part 1.42(c)  
060 Other financial corporations Annex V.Part 1.42(d)  
070 Non-financial corporations Annex V.Part 1.42(e)  
080 Households Annex V.Part 1.42(f)  
090 Financial guarantees given CRR Annex I; Annex V.Part 1.44(f), Part 2.112, 114  
101 of which: non-performing Annex V. Part 2.117  
110 Central banks Annex V.Part 1.42(a)  
120 General governments Annex V.Part 1.42(b)  
130 Credit institutions Annex V.Part 1.42(c)  
140 Other financial corporations Annex V.Part 1.42(d)  
150 Non-financial corporations Annex V.Part 1.42(e)  
160 Households Annex V.Part 1.42(f)  
170 Other Commitments given CRR Annex I; Annex V.Part 1.44(g), Part 2.112, 115  
181 of which: non-performing Annex V. Part 2.117  
190 Central banks Annex V.Part 1.42(a)  
200 General governments Annex V.Part 1.42(b)  
210 Credit institutions Annex V.Part 1.42(c)  
220 Other financial corporations Annex V.Part 1.42(d)  
230 Non-financial corporations Annex V.Part 1.42(e)  
240 Households Annex V.Part 1.42(f)  
 9.2 

   Maximum amount of the guarantee that can be considered Nominal amount
 References National GAAP compatible IFRS IFRS 7.36 (b); Annex V.Part 2.119 Annex V.Part 2.119
References National GAAP  Annex V.Part 2.119 Annex V.Part 2.119
  010 020
010 Loan commitments received Annex V.Part 1.44(h), Part 2.102-103, 113 IFRS 9.2.1(g), .BCZ2.2; Annex V.Part 1.44(h), Part 2.102-103, 113  
020 Central banks Annex V.Part 1.42(a) Annex V.Part 1.42(a)  
030 General governments Annex V.Part 1.42(b) Annex V.Part 1.42(b)  
040 Credit institutions Annex V.Part 1.42(c) Annex V.Part 1.42(c)  
050 Other financial corporations Annex V.Part 1.42(d) Annex V.Part 1.42(d)  
060 Non-financial corporations Annex V.Part 1.42(e) Annex V.Part 1.42(e)  
070 Households Annex V.Part 1.42(f) Annex V.Part 1.42(f)  
080 Financial guarantees received Annex V.Part 1.44(h), Part 2.102-103, 114 IFRS 9.2.1(e ), .B2.5, .BC2.17, IFRS 8.Appendix A; IFRS 4 Annex A; Annex V.Part 1.44(h), Part 2.102-103, 114  
090 Central banks Annex V.Part 1.42(a) Annex V.Part 1.42(a)  
100 General governments Annex V.Part 1.42(b) Annex V.Part 1.42(b)  
110 Credit institutions Annex V.Part 1.42(c) Annex V.Part 1.42(c)  
120 Other financial corporations Annex V.Part 1.42(d) Annex V.Part 1.42(d)  
130 Non-financial corporations Annex V.Part 1.42(e) Annex V.Part 1.42(e)  
140 Households Annex V.Part 1.42(f) Annex V.Part 1.42(f)  
150 Other Commitments received Annex V.Part 1.44(h), Part 2.102-103, 115 Annex V.Part 1.44(h), Part 2.102-103, 115  
160 Central banks Annex V.Part 1.42(a) Annex V.Part 1.42(a)  
170 General governments Annex V.Part 1.42(b) Annex V.Part 1.42(b)  
180 Credit institutions Annex V.Part 1.42(c) Annex V.Part 1.42(c)  
190 Other financial corporations Annex V.Part 1.42(d) Annex V.Part 1.42(d)  
200 Non-financial corporations Annex V.Part 1.42(e) Annex V.Part 1.42(e)  
210 Households Annex V.Part 1.42(f) Annex V.Part 1.42(f)  
 10. 

 By type of risk / By product or by type of market   Carrying amount Fair value Notional amount
  Financial assets Held for trading and trading  Financial liabilities Held for trading and trading  Positive value Negative value Total Trading of which: sold
  of which: Financial assets measured at a cost-based method / LOCOM of which: Financial liabilities measured at a cost-based method / LOCOM
 References National GAAP compatible IFRS Annex V.Part 2.120, 131  IFRS 9.BA.7 (a); Annex V.Part 2.120, 131    Annex V.Part 2.133-135 Annex V.Part 2.133-135
References National GAAP based on BAD  Annex V.Part 1.17, Part 2.120 Annex V.Part 2.124 Annex V.Part 1.25, Part 2.120 Annex V.Part 2.124 Annex V.Part 2.132 Annex V.Part 2.132 Annex V.Part 2.133-135 Annex V.Part 2.133-135
  010 011 020 016 022 025 030 040
010 Interest rate Annex V.Part 2.129(a) Annex V.Part 2.129(a)        
020 of which: economic hedges Annex V.Part 2.137-139 Annex V.Part 2.137-139        
030 OTC options Annex V.Part 2.136 Annex V.Part 2.136        
040 OTC other Annex V.Part 2.136 Annex V.Part 2.136        
050 Organized market options Annex V.Part 2.136 Annex V.Part 2.136        
060 Organized market other Annex V.Part 2.136 Annex V.Part 2.136        
070 Equity Annex V.Part 2.129(b) Annex V.Part 2.129(b)        
080 of which: economic hedges Annex V.Part 2.137-139 Annex V.Part 2.137-139        
090 OTC options Annex V.Part 2.136 Annex V.Part 2.136        
100 OTC other Annex V.Part 2.136 Annex V.Part 2.136        
110 Organized market options Annex V.Part 2.136 Annex V.Part 2.136        
120 Organized market other Annex V.Part 2.136 Annex V.Part 2.136        
130 Foreign exchange and gold Annex V.Part 2.129(c) Annex V.Part 2.129(c)        
140 of which: economic hedges Annex V.Part 2.137-139 Annex V.Part 2.137-139        
150 OTC options Annex V.Part 2.136 Annex V.Part 2.136        
160 OTC other Annex V.Part 2.136 Annex V.Part 2.136        
170 Organized market options Annex V.Part 2.136 Annex V.Part 2.136        
180 Organized market other Annex V.Part 2.136 Annex V.Part 2.136        
190 Credit Annex V.Part 2.129(d) Annex V.Part 2.129(d)        
195 of which: economic hedges with use of the fair value option Annex V.Part 2.140 IFRS 9.6.7.1; Annex V.Part 2.140        
201 of which: other economic hedges Annex V.Part 2.137-140 Annex V.Part 2.137-140        
210 Credit default swap          
220 Credit spread option          
230 Total return swap          
240 Other          
250 Commodity Annex V.Part 2.129(e) Annex V.Part 2.129(e)        
260 of which: economic hedges Annex V.Part 2.137-139 Annex V.Part 2.137-139        
270 Other Annex V.Part 2.129(f) Annex V.Part 2.129(f)        
280 of which: economic hedges Annex V.Part 2.137-139 Annex V.Part 2.137-139        
290 DERIVATIVES CRR Annex II; Annex V.Part 1.16(a) IFRS 9.Appendix A        
300 of which: OTC – credit institutions Annex V.Part 1.42(c), 44(e), Part 2.141 (a), 142 Annex V.Part 1.42(c), 44(e), Part 2.141(a), 142        
310 of which: OTC – other financial corporations Annex V.Part 1.42(d), 44(e), Part 2.141(b) Annex V.Part 1.42(d), 44(e), Part 2.141(b)        
320 of which: OTC – rest Annex V.Part 1.44(e), Part 2.141(c) Annex V.Part 1.44(e), Part 2.141(c)        
 11.  11.1 

 By product or by type of market References National GAAP compatible IFRS Carrying amount Notional amount
Assets Liabilities Total Hedging of which: sold
IFRS 7.24A; Annex V.Part 2.120, 131 IFRS 7.24A; Annex V.Part 2.120, 131 Annex V.Part 2.133-135 Annex V.Part 2.133-135
010 020 030 040
010 Interest rate Annex V.Part 2.129(a)    
020 OTC options Annex V.Part 2.136    
030 OTC other Annex V.Part 2.136    
040 Organized market options Annex V.Part 2.136    
050 Organized market other Annex V.Part 2.136    
060 Equity Annex V.Part 2.129(b)    
070 OTC options Annex V.Part 2.136    
080 OTC other Annex V.Part 2.136    
090 Organized market options Annex V.Part 2.136    
100 Organized market other Annex V.Part 2.136    
110 Foreign exchange and gold Annex V.Part 2.129(c)    
120 OTC options Annex V.Part 2.136    
130 OTC other Annex V.Part 2.136    
140 Organized market options Annex V.Part 2.136    
150 Organized market other Annex V.Part 2.136    
160 Credit Annex V.Part 2.129(d)    
170 Credit default swap Annex V.Part 2.136    
180 Credit spread option Annex V.Part 2.136    
190 Total return swap Annex V.Part 2.136    
200 Other Annex V.Part 2.136    
210 Commodity Annex V.Part 2.129(e)    
220 Other Annex V.Part 2.129(f)    
230 FAIR VALUE HEDGES IFRS 7.24A; IAS 39.86(a); IFRS 9.6.5.2(a)    
240 Interest rate Annex V.Part 2.129(a)    
250 OTC options Annex V.Part 2.136    
260 OTC other Annex V.Part 2.136    
270 Organized market options Annex V.Part 2.136    
280 Organized market other Annex V.Part 2.136    
290 Equity Annex V.Part 2.129(b)    
300 OTC options Annex V.Part 2.136    
310 OTC other Annex V.Part 2.136    
320 Organized market options Annex V.Part 2.136    
330 Organized market other Annex V.Part 2.136    
340 Foreign exchange and gold Annex V.Part 2.129(c)    
350 OTC options Annex V.Part 2.136    
360 OTC other Annex V.Part 2.136    
370 Organized market options Annex V.Part 2.136    
380 Organized market other Annex V.Part 2.136    
390 Credit Annex V.Part 2.129(d)    
400 Credit default swap Annex V.Part 2.136    
410 Credit spread option Annex V.Part 2.136    
420 Total return swap Annex V.Part 2.136    
430 Other Annex V.Part 2.136    
440 Commodity Annex V.Part 2.129(e)    
450 Other Annex V.Part 2.129(f)    
460 CASH FLOW HEDGES IFRS 7.24A; IAS 39.86(b); IFRS 9.6.5.2(b)    
470 HEDGE OF NET INVESTMENTS IN A FOREIGN OPERATION IFRS 7.24A; IAS 39.86(c); IFRS 9.6.5.2(c)    
480 PORTFOLIO FAIR VALUE HEDGES OF INTEREST RATE RISK IAS 39.71, 81A, 89A, AG 114-132    
490 PORTFOLIO CASH FLOW HEDGES OF INTEREST RATE RISK IAS 39.71    
500 DERIVATIVES-HEDGE ACCOUNTING IFRS 7.24A; IAS 39.9; IFRS 9.6.1    
510 of which: OTC – credit institutions Annex V.Part 1.42(c), 44(e), Part 2.141(a), 142    
520 of which: OTC – other financial corporations Annex V.Part 1.42(d), 44(e), Part 2.141(b)    
530 of which: OTC – rest Annex V.Part 1.44(e), Part 2.141(c)    
 11.2 

 By product or by type of market References National GAAP based on BAD Carrying amount Notional amount Fair value
Assets  Liabilities  Total Hedging  of which: sold  Positive value Negative value
of which: assets carried at amortised cost / LOCOM of which: liabilities carried at amortised cost / LOCOM of which: derivatives carried at amortised cost / LOCOM of which: derivatives carried at amortised cost / LOCOM
Annex V.Part 1.17, Part 2.120 Annex V.Part 2.124 Annex V.Part 1.25, Part 2.120 Annex V.Part 2.124 Annex V.Part 2.133-135 Annex V.Part 2.124 Annex V.Part 2.133-135 Annex V.Part 2.124 Annex V.Part 2.132 Annex V.Part 2.132
005 006 007 008 010 011 020 021 030 040
010 Interest rate Annex V.Part 2.129(a)          
020 OTC options Annex V.Part 2.136          
030 OTC other Annex V.Part 2.136          
040 Organized market options Annex V.Part 2.136          
050 Organized market other Annex V.Part 2.136          
060 Equity Annex V.Part 2.129(b)          
070 OTC options Annex V.Part 2.136          
080 OTC other Annex V.Part 2.136          
090 Organized market options Annex V.Part 2.136          
100 Organized market other Annex V.Part 2.136          
110 Foreign exchange and gold Annex V.Part 2.129(c)          
120 OTC options Annex V.Part 2.136          
130 OTC other Annex V.Part 2.136          
140 Organized market options Annex V.Part 2.136          
150 Organized market other Annex V.Part 2.136          
160 Credit Annex V.Part 2.129(d)          
170 Credit default swap Annex V.Part 2.136          
180 Credit spread option Annex V.Part 2.136          
190 Total return swap Annex V.Part 2.136          
200 Other Annex V.Part 2.136          
210 Commodity Annex V.Part 2.129(e)          
220 Other Annex V.Part 2.129(f)          
230 DERIVATIVES-HEDGE ACCOUNTING Annex V.Part 1.22, 26          
231 of which: fair value hedges Annex V.Part 2.143          
232 of which: cash flow hedges Annex V.Part 2.143          
233 of which: cost-price hedges Annex V.Part 2.143, 144          
234 of which: hedge in net investments in a foreign operation Annex V.Part 2.143          
235 of which: portfolio fair value hedges of interest rate risk Annex V.Part 2.143          
236 of which: portfolio cash flow hedges of interest rate risk Annex V.Part 2.143          
240 of which: OTC – credit institutions Annex V.Part 1.42(c), 44(e), Part 2.141(a), 142          
250 of which: OTC – other financial corporations Annex V.Part 1.42(d), 44(e), Part 2.141(b)          
260 of which: OTC – rest Annex V.Part 1.44(e), Part 2.141(c)          
 11.3 

 References National GAAP compatible IFRS Carrying amount
Fair value hedge Cash flow hedge Hedge of net investment in a foreign operation
Annex V.Part 2.145 Annex V.Part 2.145 Annex V.Part 2.145
010 020 030
010 Non-derivative financial assets IFRS 7.24A; IFRS 9.6.1; IFRS 9.6.2.2   
020 of which: Financial assets held for trading IFRS 9.Appendix A   
030 of which: Non-trading financial assets mandatorily at fair value through profit or loss IFRS 9.4.1.4; IFRS 7.8(a)(ii)   
040 of which: Financial assets designated at fair value through profit or loss IFRS 9.4.1.5; IFRS 7.8(a)(i)   
050 Non-derivative financial liabilities IFRS 7.24A; IFRS 9.6.1; IFRS 9.6.2.2   
060 Financial liabilities held for trading IFRS 9.Appendix A   
070 Financial liabilities designated at fair value through profit or loss IFRS 9.4.2.1; IFRS 9.6.2.2   
080 Financial assets at amortised cost IFRS 9.4.2.1; IFRS 9.6.2.2   
 11.3.1 

 References National GAAP based on BAD Carrying amount
Annex V.Part 2.145
010 Non-derivative financial assets  
020 of which: Trading financial assets BAD Article 32-33; Annex V.Part 1.17 
030 of which: Non-trading non-derivative financial assets measured at fair value through profit or loss BAD art 36(2) 
040 of which: Non-trading non-derivative financial assets measured at fair value to equity Accounting Directive art 8(1)(a), (8) 
050 of which: Other non-trading non-derivative financial assets BAD art 37; Accounting Directive Article 12(7); Annex V.Part 1.20 
060 Non-derivative financial liabilities  
070 of which: Trading financial liabilities Accounting Directive art 8(1)(a),(3),(6) 
080 of which: Non-trading non-derivative financial liabilities measured at a cost-based method Accounting Directive art 8(3) 
 11.4 

 References National GAAP compatible IFRS Micro-hedges Micro-hedges – Net position hedge Hedge adjustments on micro-hedges Macro hedges
Carrying amount Assets or liabilities included in hedge of a net position (before netting) Hedge adjustments included in the carrying amount of assets/liabilities Remaining adjustments for discontinued micro hedges including hedges of net positions Hedged items in portfolio hedge of interest rate risk
IFRS 7.24B(a), Annex V.Part 2.146, 147 IFRS 9.6.6.1; IFRS 9.6.6.6; Annex V.Part 2.147, 151 IFRS 7.24B(a)(ii); Annex V.Part 2.148, 149 IFRS 7.24B(a)(v); Annex V.Part 2.148, 150 IFRS 9.6.1.3; IFRS 9.6.6.1; Annex V.Part 2.152
010 020 030 040 050
 ASSETS      
010 Financial assets measured at fair value through other comprehensive income IFRS 9.4.1.2A; IFRS 7.8(h); Annex V. Part 2.146, 151     
020 Interest rate Annex V.Part 2.129(a)     
030 Equity Annex V.Part 2.129(b)     
040 Foreign exchange and gold Annex V.Part 2.129(c)     
050 Credit Annex V.Part 2.129(d)     
060 Commodity Annex V.Part 2.129(e)     
070 Other Annex V.Part 2.129(f)     
080 Financial assets measured at amortised cost IFRS 9.4.1.2A; IFRS 7.8(f); Annex V. Part 2.146, 151     
090 Interest rate Annex V.Part 2.129(a)     
100 Equity Annex V.Part 2.129(b)     
110 Foreign exchange and gold Annex V.Part 2.129(c)     
120 Credit Annex V.Part 2.129(d)     
130 Commodity Annex V.Part 2.129(e)     
140 Other Annex V.Part 2.129(f)     
 LIABILITIES      
150 Financial liabilities measured at amortised costs IFRS 9.4.2.1; IFRS 7.8(g); Annex V. Part 2.146, 151     
160 Interest rate Annex V.Part 2.129(a)     
170 Equity Annex V.Part 2.129(b)     
180 Foreign exchange and gold Annex V.Part 2.129(c)     
190 Credit Annex V.Part 2.129(d)     
200 Commodity Annex V.Part 2.129(e)     
210 Other Annex V.Part 2.129(f)     
 12.  12.0 

 References National GAAP based on BADCRR article 442(i); Annex V.Part 2.153 Opening balance Increases due to amounts set aside for estimated loan losses during the period Decreases due to amounts reversed for estimated loan losses during the period Decrease in allowance account due to write-offs Transfers between allowances Other adjustments Closing balance Recoveries recorded directly to the statement of profit or loss Value adjustments recorded directly to the statement of profit or loss Amounts written-off directly to the statement of profit or loss
 Annex V.Part 2.154 Annex V.Part 2.154   Annex V.Part 2.155   Annex V.Part 2.78 
010 020 030 040 050 060 070 080 090 100
010 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5          
330 Specific allowances for credit risk CRR art 428 (g)(ii)          
340 Debt securities Annex V.Part 1.31, 44(b)          
350 Central banks Annex V.Part 1.42(a)          
360 General governments Annex V.Part 1.42(b)          
370 Credit institutions Annex V.Part 1.42(c)          
380 Other financial corporations Annex V.Part 1.42(d)          
390 Non-financial corporations Annex V.Part 1.42(e)          
400 Loans and advances Annex V.Part 1.32, 44(a)          
410 Central banks Annex V.Part 1.42(a)          
420 General governments Annex V.Part 1.42(b)          
430 Credit institutions Annex V.Part 1.42(c)          
440 Other financial corporations Annex V.Part 1.42(d)          
450 Non-financial corporations Annex V.Part 1.42(e)          
460 Households Annex V.Part 1.42(f)          
470 General allowances for credit risk CRR art 4(1)(95)          
480 Debt securities Annex V.Part 1.31          
490 Loans and advances Annex V.Part 1.32          
500 General allowance for banking risks BAD art 37.2; CRR art 4(95)          
510 Debt securities Annex V.Part 1.31          
520 Loans and advances Annex V.Part 1.32          
530 Total           
 12.1 

 References National GAAP compatible IFRS Opening balance Increases due to origination and acquisition Decreases due to derecognition Changes due to change in credit risk (net) Changes due to modifications without derecognition (net) Changes due to update in the institution’s methodology for estimation (net) Decrease in allowance account due to write-offs Other adjustments Closing balance Recoveries of previously written-off amounts recorded directly to the statement of profit or loss Amounts written-off directly to the statement of profit or loss Gains or losses on derecognition of debt instruments
 IFRS 7.35I; Annex V.Part 2.159, 164(b) IFRS 7.35I; Annex V.Part 2.160, 164(b) IFRS 7.35I; IFRS 7.35B(b); Annex V.Part 2.161-162 IFRS 7.35I; IFRS 7.35J; IFRS 9.5.5.12, B5.5.25, B5.5.27; Annex V.Part 2.164(c) IFRS 7.35I; IFRS 7.35B(b); Annex V.Part 2.163 IFRS 7.35I; IFRS 9.5.4.4;IFRS 7.35L; Annex V.Part 2.72, 74, 164(a), 165 IFRS 7.35I; IFRS 7.35B(b); Annex V.Part 2.166   IFRS 9.5.4.4; Annex V.Part 2.165 Annex V.Part 2.166i
010 020 030 040 050 070 080 090 100 110 120 125
010 Allowances for financial assets without increase in credit risk since initial recognition (Stage 1) IFRS 9.5.5.5            
020 Debt securities Annex V.Part 1.31, 44(b)            
030 Central banks Annex V.Part 1.42(a)            
040 General governments Annex V.Part 1.42(b)            
050 Credit institutions Annex V.Part 1.42(c)            
060 Other financial corporations Annex V.Part 1.42(d)            
070 Non-financial corporations Annex V.Part 1.42(e)            
080 Loans and advances Annex V.Part 1.32, 44(a)            
090 Central banks Annex V.Part 1.42(a)            
100 General governments Annex V.Part 1.42(b)            
110 Credit institutions Annex V.Part 1.42(c)            
120 Other financial corporations Annex V.Part 1.42(d)            
130 Non-financial corporations Annex V.Part 1.42(e)            
140 Households Annex V.Part 1.42(f)            
160 of which: collectively measured allowances IFRS 9.B5.5.1 – B5.5.6; Annex V.Part 2.158            
170 of which: individually measured allowances IFRS 9.B5.5.1 – B5.5.6; Annex V.Part 2.158            
180 Allowances for debt instruments with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2) IFRS 9.5.5.3            
190 Debt securities Annex V.Part 1.31, 44(b)            
200 Central banks Annex V.Part 1.42(a)            
210 General governments Annex V.Part 1.42(b)            
220 Credit institutions Annex V.Part 1.42(c)            
230 Other financial corporations Annex V.Part 1.42(d)            
240 Non-financial corporations Annex V.Part 1.42(e)            
250 Loans and advances Annex V.Part 1.32, 44(a)            
260 Central banks Annex V.Part 1.42(a)            
270 General governments Annex V.Part 1.42(b)            
280 Credit institutions Annex V.Part 1.42(c)            
290 Other financial corporations Annex V.Part 1.42(d)            
300 Non-financial corporations Annex V.Part 1.42(e)            
310 Households Annex V.Part 1.42(f)            
330 of which: collectively measured allowances IFRS 9.B5.5.1 – B5.5.6; Annex V.Part 2.158            
340 of which: individually measured allowances IFRS 9.B5.5.1 – B5.5.6; Annex V.Part 2.158            
350 of which: non-performing Annex V.Part 2.213-232            
360 Allowances for credit-impaired debt instruments (Stage 3) IFRS 9.5.5.1, 9. Appendix A            
370 Debt securities Annex V.Part 1.31, 44(b)            
380 Central banks Annex V.Part 1.42(a)            
390 General governments Annex V.Part 1.42(b)            
400 Credit institutions Annex V.Part 1.42(c)            
410 Other financial corporations Annex V.Part 1.42(d)            
420 Non-financial corporations Annex V.Part 1.42(e)            
430 Loans and advances Annex V.Part 1.32, 44(a)            
440 Central banks Annex V.Part 1.42(a)            
450 General governments Annex V.Part 1.42(b)            
460 Credit institutions Annex V.Part 1.42(c)            
470 Other financial corporations Annex V.Part 1.42(d)            
480 Non-financial corporations Annex V.Part 1.42(e)            
490 Households Annex V.Part 1.42(f)            
500 of which: collectively measured allowances IFRS 9.B5.5.1 – B5.5.6; Annex V.Part 2.158            
510 of which: individually measured allowances IFRS 9.B5.5.1 – B5.5.6; Annex V.Part 2.158            
520 Total allowance for debt instruments IFRS 7.B8E            
530 Commitments and financial guarantees given (Stage 1) IFRS 9.2.1|(g); 2.3(c); 5.5, B2.5; Annex V.Part 2.157            
540 Commitments and financial guarantees given (Stage 2) IFRS 9.2.1|(g); 2.3(c); 5.5.3, B2.5; Annex V.Part 2.157            
550 of which: non-performing Annex V.Part 2.117            
560 Commitments and financial guarantees given (Stage 3) IFRS 9.2.1|(g); 2.3(c); 5.5.1, B2.5; Annex V.Part 2.157            
570 Total provisions on commitments and financial guarantees given IFRS 7.B8E; Annex V.Part 2.157            
 12.2 

 References National GAAP compatible IFRS Gross carrying amount / nominal amountAnnex V.Part 1.34, Part 2.118, 167, 170
Transfers between Stage 1 and Stage 2 Transfers between Stage 2 and Stage 3 Transfers between Stage 1 and Stage 3
To Stage 2 from Stage 1 To Stage 1 from Stage 2 To Stage 3 from Stage 2 To Stage 2 from Stage 3 To Stage 3 from Stage 1 To Stage 1 from Stage 3
Annex V.Part 2.168-169
010 020 030 040 050 060
010 Debt securities Annex V.Part 1.31, 44(b)      
020 Central banks Annex V.Part 1.42(a)      
030 General governments Annex V.Part 1.42(b)      
040 Credit institutions Annex V.Part 1.42(c)      
050 Other financial corporations Annex V.Part 1.42(d)      
060 Non-financial corporations Annex V.Part 1.42(e)      
070 Loans and advances Annex V.Part 1.32, 44(a)      
080 Central banks Annex V.Part 1.42(a)      
090 General governments Annex V.Part 1.42(b)      
100 Credit institutions Annex V.Part 1.42(c)      
110 Other financial corporations Annex V.Part 1.42(d)      
120 Non-financial corporations Annex V.Part 1.42(e)      
130 Households Annex V.Part 1.42(f)      
140 Total debt instruments       
150 Commitments and financial guarantees given IFRS 9.2.1|(g); 2.3(c); 5.5.1, 5.5.3, 5.5.5      
 13.  13.1 

 Guarantees and collateral   Maximum amount of the collateral or guarantee that can be consideredAnnex V.Part 2.171-172, 174
References National GAAP based on BAD References National GAAP compatible IFRS Loans collateralized by immovable property Other collateralised loans Financial guarantees received
  Residential immovable property Commercial immovable property Cash, deposits, [debt securities issued] Movable property Equity and debt securities Rest
IFRS 7.36(b) Annex V.Part 2.173(a) Annex V.Part 2.173(a) Annex V.Part 2.173(b)(i) Annex V.Part 2.173(b)(ii) Annex V.Part 2.173(b)(iii) Annex V.Part 2.173(b)(iv) Annex V.Part 2.173(c)
  010 020 030 031 032 041 050
010 Loans and advances Annex V.Part 1.32, 44(a) Annex V.Part 1.32, 44(a)       
020 of which: Other financial corporations Annex V.Part 1.42(d) Annex V.Part 1.42(d)       
030 of which: Non-financial corporations Annex V.Part 1.42(e) Annex V.Part 1.42(e)       
035 of which: Small and Medium-sized Enterprises (SMEs) SME Art 1 2(a) SME Art 1 2(a)       
036 of which: Commercial real estate (CRE) loans to small and medium-sized enterprises SME Art 1 2(a); Annex V.Part 2.239ix SME Art 1 2(a); Annex V.Part 2.239ix       
037 of which: Commercial real estate (CRE) loans to non-financial corporations other than SMEs Annex V.Part 2.239ix Annex V.Part 2.239ix       
040 of which: Households Annex V.Part 1.42(f) Annex V.Part 1.42(f)       
050 of which: Lending for house purchase Annex V.Part 2.88(b) Annex V.Part 2.88(b)       
060 of which: Credit for consumption Annex V.Part 2.88(a) Annex V.Part 2.88(a)       
 13.2.1 

   Collateral obtained by taking possession during the period [held at the reference date](Annex V.Part 2.175)
     Of which:Non current assets held for sale(IFRS 5.38, Annex V.Part 2.7)
  Value at initial recognition Carrying amount Accumulated negative changes Value at initial recognition Carrying amount
References National GAAP based on BAD References National GAAP compatible IFRS Annex V.Part 2.175i Annex V.Part 1.27-28 Annex V.Part 2.175ii Annex V.Part 2.175i Annex V.Part 1.27-28
  0010 0020 0030 0040 0050
0010 Property, Plant and Equipment  IAS 16.6     
0020 Other than Property Plant and Equipment  IFRS 7.38(a)     
0030 Residential immovable property Annex V.Part 2.173(a) IFRS 7.38(a), Annex V.Part 2.173(a)     
0040 Commercial immovable property Annex V.Part 2.173(a) IFRS 7.38(a), Annex V.Part 2.173(a)     
0050 Movable property Annex V.Part 2.173(b)(ii) IFRS 7.38(a), Annex V.Part 2.173(b)(ii)     
0060 Equity and debt securities Annex V.Part 2.173(b)(iii) IFRS 7.38(a), Annex V.Part 2.173(b)(iii)     
0070 Other Annex V.Part 2.173(b)(iv) IFRS 7.38(a), Annex V.Part 2.173(b)(iv)     
0080 Total       
 13.3.1 

   Collateral obtained by taking possession accumulated(Annex V.Part 2.176)
     Of which:Non current assets held for sale(IFRS 5.38, Annex V.Part 2.7)
  Value at initial recognition Carrying amount Accumulated negative changes Value at initial recognition Carrying amount
References National GAAP based on BAD References National GAAP compatible IFRS Annex V.Part 2.175i Annex V.Part 1.27-28 Annex V.Part 2.175ii Annex V.Part 2.175i Annex V.Part 1.27-28
  0010 0020 0030 0040 0050
0010 Property, Plant and Equipment  IAS 16.6     
0020 Other than Property Plant and Equipment  IFRS 7.38(a)     
0030 Residential immovable property Annex V.Part 2.173(a) IFRS 7.38(a), Annex V.Part 2.173(a)     
0040 Commercial immovable property Annex V.Part 2.173(a) IFRS 7.38(a), Annex V.Part 2.173(a)     
0050 Movable property Annex V.Part 2.173(b)(ii) IFRS 7.38(a), Annex V.Part 2.173(b)(ii)     
0060 Equity and debt securities Annex V.Part 2.173(b)(iii) IFRS 7.38(a), Annex V.Part 2.173(b)(iii)     
0070 Other Annex V.Part 2.173(b)(iv) IFRS 7.38(a), Annex V.Part 2.173(b)(iv)     
0080 Total       
 14. 

 References National GAAP based on BAD References National GAAP compatible IFRS Fair value hierarchyIFRS 13.93 (b) Change in fair value for the periodAnnex V.Part 2.178 Accumulated change in fair value before taxesAnnex V.Part 2.179
Level 1 Level 2 Level 3 Level 2 Level 3 Level 1 Level 2 Level 3
IFRS 13.76 IFRS 13.81 IFRS 13.86 IFRS 13.81 IFRS 13.86, 93(f) IFRS 13.76 IFRS 13.81 IFRS 13.86
010 020 030 040 050 060 070 080
 ASSETS          
010 Financial assets held for trading  IFRS 7.8(a)(ii);IFRS 9.Appendix A        
020 Derivatives  IFRS 9.Appendix A        
030 Equity instruments  IAS 32.11,        
040 Debt securities  Annex V.Part 1.31        
050 Loans and advances  Annex V.Part 1.32        
051 Trading financial assets BAD Article 32-33; Annex V.Part 1.17         
052 Derivatives CRR Annex II; Annex V.Part 1.17         
053 Equity instruments ECB/2013/33; Annex 2.Part 2.4-5         
054 Debt securities Annex V.Part 1.31         
055 Loans and advances Annex V.Part 1.32         
056 Non-trading financial assets mandatorily at fair value through profit or loss  IFRS 9.4.1.4; IFRS 7.8(a)(ii)        
057 Equity instruments  IAS 32.11        
058 Debt securities  Annex V.Part 1.31        
059 Loans and advances  Annex V.Part 1.32        
060 Financial assets designated at fair value through profit or loss Accounting Directive art 8(1)(a), (6); IAS 39.9 IFRS 7.8(a)(i); IFRS 9.4.1.5        
070 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5 IAS 32.11        
080 Debt securities Annex V.Part 1.31 Annex V.Part 1.31        
090 Loans and advances Annex V.Part 1.32 Annex V.Part 1.32        
101 Financial assets at fair value through other comprehensive income  IFRS 7.8 (h); IFRS 9.4.1.2A        
102 Equity instruments  IAS 32.11        
103 Debt securities  Annex V.Part 1.31        
104 Loans and advances  Annex V.Part 1.32        
121 Non-trading non-derivative financial assets measured at fair value through profit or loss Accounting Directive art 8(1)(a), (4)         
122 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5         
123 Debt securities Annex V.Part 1.31         
124 Loans and advances Accounting Directive art 8(1)(a), (4)(b); Annex V.Part 1.32         
125 Non-trading non-derivative financial assets measured at fair value to equity Accounting Directive art 8(1)(a), (6),(8)         
126 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5         
127 Debt securities Annex V.Part 1.31         
128 Loans and advances Accounting Directive art 8(1)(a), (4)(b); Annex V.Part 1.32         
140 Derivatives – Hedge accounting Accounting Directive art 8(1)(a), (6), (8); IAS 39.9; Annex V.Part 1.22 IFRS 9.6.2.1; Annex V.Part 1.22        
 LIABILITIES          
150 Financial liabilities held for trading Accounting Directive art 4art 8(1)(a), (6); IAS 39.9, AG 14-15 IFRS 7.8 (e) (ii); IFRS 9.BA.6        
160 Derivatives CRR Annex II IFRS 9.BA.7(a)        
170 Short positions  IFRS 9.BA.7(b)        
180 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.30 ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36        
190 Debt securities issued Annex V.Part 1.31 Annex V.Part 1.37        
200 Other financial liabilities Annex V.Part 1.32-34 Annex V.Part 1.38-41        
201 Trading financial liabilities Accounting Directive art 8(1)(a),(3),(6)         
202 Derivatives CRR Annex II; Annex V.Part 1.25, 27         
203 Short positions          
204 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36         
205 Debt securities issued Annex V.Part 1.37         
206 Other financial liabilities Annex V.Part 1.38-41         
210 Financial liabilities designated at fair value through profit or loss Accounting Directive art 8(1)(a), (6); IAS 39.9 IFRS 7.8 (e) (i); IFRS 9.4.1.5        
220 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36        
230 Debt securities issued Annex V.Part 1.37 Annex V.Part 1.37        
240 Other financial liabilities Annex V.Part 1.38-41 Annex V.Part 1.38-41        
250 Derivatives – Hedge accounting Accounting Directive art art 8(1)(a), (6), (8)(1)(a); IAS 39.9; Annex V.Part 1.26 IFRS 9.6.2.1; Annex V.Part 1.26        
 15. 

   Transferred financial assets entirely recognized Transferred financial assets recognized to the extent of the instution’s continuing involvement Principal amount outstanting of transferred financial assets entirely derecognised for which the intitution retains servicing rights Amounts derecognised for capital purposes
  Transferred assets Associated liabilitiesITS V.Part 2.181 Principal amount outstanding of the original assets Carrying amount of assets still recognised [continuing involvement] Carrying amount of associated liabilites
  Carrying amount Of which: securitizations Of which: repurchase agreements Carrying amount Of which: securitizations Of which: repurchase agreements
 References National GAAP compatible IFRS IFRS 7.42D.(e), Annex V.Part 1.27 IFRS 7.42D(e); CRR art 4(1)(61) IFRS 7.42D(e); Annex V.Part 2.183-184 IFRS 7.42D(e) IFRS 7.42D.(e) IFRS 7.42D(e); Annex V.Part 2.183-184  IFRS 7.42D(f) IFRS 7.42D(f); Annex V.Part 1.27, Part 2.181  CRR art 109; Annex V.Part 2.182
References National GAAP based on BAD  Annex V.Part 1.27-28 CRR art 4(61) Annex V.Part 2.183-184  CRR art 4(61) Annex V.Part 2.183-184     CRR art 109; Annex V.Part 2.182
  010 020 030 040 050 060 070 080 090 100 110
010 Financial assets held for trading  IFRS 7.8(a)(ii);IFRS 9.Appendix A           
020 Equity instruments  IAS 32.11           
030 Debt securities  Annex V.Part 1.31           
040 Loans and advances  Annex V.Part 1.32           
041 Trading financial assets Accounting Directive art 8(1)(a), (6); Annex V.Part 1.15            
042 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5            
043 Debt securities Annex V.Part 1.31            
044 Loans and advances Annex V.Part 1.32            
045 Non-trading financial assets mandatorily at fair value through profit or loss  IFRS 9.4.1.4           
046 Equity instruments  IAS 32.11           
047 Debt securities  Annex V.Part 1.31           
048 Loans and advances  Annex V.Part 1.32           
050 Financial assets designated at fair value through profit or loss Accounting Directive art 8(1)(a), (6); IAS 39.9 IFRS 7.8(a)(i); IFRS 9.4.1.5           
060 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5 IAS 32.11           
070 Debt securities Annex V.Part 1.31 Annex V.Part 1.31           
080 Loans and advances Annex V.Part 1.32 Annex V.Part 1.32           
091 Financial assets at fair value through other comprehensive income  IFRS 7.8(h); IFRS 9.4.1.2A           
092 Equity instruments  IAS 32.11           
093 Debt securities  Annex V.Part 1.31           
094 Loans and advances  Annex V.Part 1.32           
121 Non-trading non-derivative financial assets measured at fair value through profit or loss Accounting Directive art 8(1)(a), (4)            
122 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5            
123 Debt securities Annex V.Part 1.31            
124 Loans and advances Accounting Directive art 8(1)(a), (4)(b); part 1.14, part 3.35            
125 Non-trading non-derivative financial assets measured at fair value to equity Accounting Directive art 8(1)(a), 8(2)            
126 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5            
127 Debt securities Annex V.Part 1.31            
128 Loans and advances Accounting Directive art 8(1)(a), (4)(b);part 1.14, part 3.35            
131 Financial assets at amortised cost Accounting Directive art 42a(4)(b),(5a); IAS 39.9 IFRS 7.8 (f); IFRS 9.4.1.2           
132 Debt securities Annex V.Part 1.24, 26 Annex V.Part 1.31           
133 Loans and advances Annex V.Part 1.24, 27 Annex V.Part 1.32           
181 Non-trading non-derivative financial assets measured at a cost-based method BAD art 37.1; art 42a(4)(b); Annex V.Part 1.16            
200 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5            
182 Debt securities Annex V.Part 1.31            
183 Loans and advances Annex V.Part 1.32            
184 Other non-trading non-derivative financial assets BAD art 35-37            
185 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5            
186 Debt securities Annex V.Part 1.31            
187 Loans and advances Annex V.Part 1.32            
190 Total             
 16.  16.1 

 References National GAAP based on BAD References National GAAP compatible IFRS Current period
Income Expenses
Annex V.Part 2.187, 189 Annex V.Part 2.188, 190
010 020
010 Derivatives -Trading CRR Annex II; Annex V.Part 2.193 IFRS 9.Appendix A, .BA.1, .BA.6; Annex V.Part 2.193  
015 of which: interest income from derivatives in economic hedges Annex V.Part 2.193 Annex V.Part 2.193  
020 Debt securities Annex V.Part 1.31, 44(b) Annex V.Part 1.31, 44(b)  
030 Central banks Annex V.Part 1.42(a) Annex V.Part 1.42(a)  
040 General governments Annex V.Part 1.42(b) Annex V.Part 1.42(b)  
050 Credit institutions Annex V.Part 1.42(c) Annex V.Part 1.42(c)  
060 Other financial corporations Annex V.Part 1.42(d) Annex V.Part 1.42(d)  
070 Non-financial corporations Annex V.Part 1.42(e) Annex V.Part 1.42(e)  
080 Loans and advances Annex V.Part 1.32, 44(a) Annex V.Part 1.32, 44(a)  
090 Central banks Annex V.Part 1.42(a) Annex V.Part 1.42(a)  
100 General governments Annex V.Part 1.42(b) Annex V.Part 1.42(b)  
110 Credit institutions Annex V.Part 1.42(c) Annex V.Part 1.42(c)  
120 Other financial corporations Annex V.Part 1.42(d) Annex V.Part 1.42(d)  
130 Non-financial corporations Annex V.Part 1.42(e) Annex V.Part 1.42(e)  
140 Households Annex V.Part 1.42(f) Annex V.Part 1.42(f)  
141 of which: lending for house purchase Annex V.Part 2.88(b), 194i Annex V.Part 2.88(b), 194i  
142 of which: credit for consumption Annex V.Part 2.88(a), 194i Annex V.Part 2.88(a), 194i  
150 Other assets Annex V.Part 1.51 Annex V.Part 2.5  
160 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36  
170 Central banks Annex V.Part 1.42(a) Annex V.Part 1.42(a)  
180 General governments Annex V.Part 1.42(b) Annex V.Part 1.42(b)  
190 Credit institutions Annex V.Part 1.42(c) Annex V.Part 1.42(c)  
200 Other financial corporations Annex V.Part 1.42(d) Annex V.Part 1.42(d)  
210 Non-financial corporations Annex V.Part 1.42(e) Annex V.Part 1.42(e)  
220 Households Annex V.Part 1.42(f) Annex V.Part 1.42(f)  
230 Debt securities issued Annex V.1.37 Annex V.Part 1.37  
240 Other financial liabilities Annex V.Part 1.32-34, Part 2.191 Annex V.Part 1.32-34, Part 2.191  
250 Derivatives – Hedge accounting, interest rate risk Annex V.Part 2.192 Annex V.Part 2.192  
260 Other Liabilities Annex V.Part 1.38-41 Annex V.Part 1.38-41  
270 INTEREST BAD art 27.Vertical layout(1), (2) IAS 1.97  
280 of which: interest-income on credit impaired financial assets  IFRS 9.5.4.1; .B5.4.7; Annex V.Part 2.194  
290 of which: interest from leases Annex V.Part 2.194ii IFRS 16.38 (a), 49, Annex V.Part 2.194ii  
 16.2 

 References National GAAP based on BAD References National GAAP compatible IFRS Current period
Annex V. Part 2.195-196
010
010 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5 Annex V.Part 1.28 
020 Debt securities Annex V.Part 1.31 Annex V.Part 1.31 
030 Loans and advances Annex V.Part 1.32 Annex V.Part 1.32 
040 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 
050 Debt securities issued Annex V.Part 1.37 Annex V.Part 1.37 
060 Other financial liabilities Annex V.Part 1.38-41 Annex V.Part 1.38-41 
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); Annex V.Part 2.45 Annex V.Part 2.45 
 16.3 

 References National GAAP based on BAD References National GAAP compatible IFRS Current period
Annex V. Part 2.197-198
010
010 Derivatives  IFRS 9.Appendix A, .BA.1, .BA.7(a) 
015 of which: Economic hedges with use of the fair value option  IFRS 9.6.7.1; IFRS 7.9(d); Annex V.Part 2.199 
020 Equity instruments  IAS 32.11 
030 Debt securities  Annex V.Part 1.31 
040 Loans and advances  Annex V.Part 1.32 
050 Short positions  IFRS 9.BA.7(b) 
060 Deposits  ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 
070 Debt securities issued  Annex V.Part 1.37 
080 Other financial liabilities  Annex V.Part 1.38-41 
090 GAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES HELD FOR TRADING, NET  IFRS 9.Appendix A, .BA.6;IFRS 7.20(a)(i) 
095 of which: gains and losses due to the reclassification of assets at amortised cost  IFRS 9.5.6.2; annex V.Part 2.199 
100 Derivatives CRR Annex II  
110 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5  
120 Debt securities Annex V.Part 1.31  
130 Loans and advances Annex V.Part 1.32  
140 Short positions   
150 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36  
160 Debt securities issued Annex V.Part 1.37  
170 Other financial liabilities Annex V.Part 1.38-41  
180 GAINS OR (-) LOSSES ON TRADING FINANCIAL ASSETS AND LIABILITIES, NET BAD art 27.Vertical layout(6); Annex V.Part 1.17  
 16.4 

 References National GAAP based on BAD References National GAAP compatible IFRS Current period
010
010 Interest rate instruments and related derivatives  Annex V.Part 2.200(a) 
020 Equity instruments and related derivatives  Annex V.Part 2.200(b) 
030 Foreign exchange trading and derivatives related with foreign exchange and gold  Annex V.Part 2.200(c) 
040 Credit risk instruments and related derivatives  Annex V.Part 2.200(d) 
050 Derivatives related with commodities  Annex V.Part 2.200(e) 
060 Other  Annex V.Part 2.200(f) 
070 GAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES HELD FOR TRADING, NET BAD art 27.Vertical layout(6) IFRS 7.20(a)(i) 
080 Interest rate instruments and related derivatives Annex V.Part 2.200(a)  
090 Equity instruments and related derivatives Annex V.Part 2.200(b)  
100 Foreign exchange trading and derivatives related with foreign exchange and gold Annex V.Part 2.200(c)  
110 Credit risk instruments and related derivatives Annex V.Part 2.200(d)  
120 Derivatives related with commodities Annex V.Part 2.200(e)  
130 Other Annex V.Part 2.200(f)  
140 GAINS OR (-) LOSSES ON TRADING FINANCIAL ASSETS AND LIABILITIES, NET BAD art 27.Vertical layout(6)  
 16.4.1 

 References National GAAP based on BAD References National GAAP compatible IFRS Current period
Annex V.Part 2.201
010
020 Equity instruments  IAS 32.11 
030 Debt securities  Annex V.Part 1.31 
040 Loans and advances  Annex V.Part 1.32 
090 GAINS OR (-) LOSSES ON NON-TRADING FINANCIAL ASSETS MANDATORILY AT FAIR VALUE THROUGH PROFIT AND LOSS, NET  IFRS 7.20(a)(i) 
100 of which: gains and losses due to the reclassification of assets at amortised cost  IFRS 9.6.5.2; Annex V.Part 2.202 
 16.5 

 References National GAAP based on BAD References National GAAP compatible IFRS Current period Changes in fair value due to credit risk
Annex V.Part 2.203 Annex V.Part 2.203
010 020
010 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5 IAS 32.11  
020 Debt securities Annex V.Part 1.31 Annex V.Part 1.31  
030 Loans and advances Annex V.Part 1.32 Annex V.Part 1.32  
040 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36  
050 Debt securities issued Annex V.Part 1.37 Annex V.Part 1.37  
060 Other financial liabilities Annex V.Part 1.38-41 Annex V.Part 1.38-41  
070 GAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS, NET BAD art 27.Vertical layout(6) IFRS 7.20(a)(i)  
071 of which: gains or (-) losses upon designation of financial assets and liabilities designated at fair value through profit or loss for hedging purposes, net  IFRS 9.6.7;IFRS 7.24G(b); Annex V.Part 2.204  
072 of which: gains or (-) losses after designation on financial assets and liabilities designated at fair value through profit or loss for hedging purposes, net  IFRS 9.6.7; IFRS 7.20(a)(i); Annex V.Part 2.204  
080 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5   
090 Debt securities Annex V.Part 1.31   
100 Loans and advances Annex V.Part 1.32   
110 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36   
120 Debt securities issued Annex V.Part 1.37   
130 Other financial liabilities Annex V.Part 1.38-41   
140 GAINS OR (-) LOSSES ON NON-TRADING FINANCIAL ASSETS AND LIABILITIES, NET BAD art 27.Vertical layout(6)   
 16.6 

 References National GAAP based on BADAnnex V.Part 2.207 References National GAAP compatible IFRS Current period
Annex V.Part 2.205
010
010 Fair value changes of the hedging instrument [including discontinuation] Accounting Directive art 8(1)(a), (6), (8)(a) IFRS 7.24A(c);IFRS 7.24C(b)(vi) 
020 Fair value changes of the hedged item attributable to the hedged risk Accounting Directive art 8(1)(a), (6), (8)(a) IFRS 9.6.3.7; .6.5.8; .B6.4.1; IFRS 7.24B(a)(iv); IFRS 7.24C(b)(vi); Annex V.Part 2.206 
030 Ineffectiveness in profit or loss from cash flow hedges Accounting Directive art 8(1)(a), (6), (8)(a) IFRS 7.24C(b)ii; IFRS 7.24C(b)(vi) 
040 Ineffectiveness in profit or loss from hedges of net investments in foreign operations Accounting Directive art 8(1)(a) IFRS 7.24C(b)(ii); IFRS 7.24C(b)(vi) 
050 GAINS OR (-) LOSSES FROM HEDGE ACCOUNTING, NET Accounting Directive art 8(1)(a), (6), (8)(a)  
 16.7 

 References National GAAP based on BAD References National GAAP compatible IFRS Current period
Additions Reversals Accumulated impairment
Annex V.Part 2.208 Annex V.Part 2.208 
010 020 040
060 Impairment or (-) reversal of impairment of investments in subsidaries, joint ventures and associates BAD art 27.Vertical layout(13)-(14) IAS 28.40-43   
070 Subsidiaries  IFRS 10 Appendix A   
080 Joint ventures  IAS 28.3   
090 Associates  IAS 28.3   
100 Impairment or (-) reversal of impairment on non-financial assets  IAS 36.126(a),(b)   
110 Property, plant and equipment BAD art 27.Vertical layout(9) IAS 16.73(e)(v-vi)   
120 Investment properties BAD art 27.Vertical layout(9) IAS 40.79(d)(v)   
130 Goodwill BAD art 27.Vertical layout(9) IAS 36.10b; IAS 36.88-99, 124; IFRS 3 Appendix B67(d)(v)   
140 Other intangible assets BAD art 27.Vertical layout(9) IAS 38.118(e)(iv)(v)   
145 Other  IAS 36.126(a),(b)   
150 TOTAL     
 16.8 

 References National GAAP based on BAD References National GAAP compatible IFRS Current period
Expenses
0010
0010 Information Technology expenses Annex V.Part 2.208i Annex V.Part 2.208i 
0020 IT outsourcing Annex V.Part 2.208i-208ii Annex V.Part 2.208i-208ii 
0030 IT expenses other than IT outsourcing expenses Annex V.Part 2.208i Annex V.Part 2.208i 
0040 Taxes and duties (other) Annex V.Part 2.208iii Annex V.Part 2.208iii 
0050 Consulting and professional services Annex V.Part 2.208iv Annex V.Part 2.208iv 
0060 Advertising, marketing and communication Annex V.Part 2.208v Annex V.Part 2.208v 
0070 Expenses related to credit risk Annex V.Part 2.208vi Annex V.Part 2.208vi 
0080 Litigation expenses not covered by provisions Annex V.Part 2.208vii Annex V.Part 2.208vii 
0090 Real estate expenses Annex V.Part 2.208viii Annex V.Part 2.208viii 
0100 Leasing expenses Annex V.Part 2.208ix Annex V.Part 2.208ix 
0110 Other admininstrative expenses – Rest Annex V.Part 2.208x Annex V.Part 2.208x 
0120 OTHER ADMINISTRATIVE EXPENSES   
 17.  17.1 

 References National GAAP based on BAD References National GAAP compatible IFRS Accounting scope of consolidation [Carrying amount]
Annex V.Part 1.27-28, Part 2.209
010
010 Cash, cash balances at central banks and other demand deposits BAD art 4.Assets(1) IAS 1.54 (i) 
020 Cash on hand Annex V.Part 2.1 Annex V.Part 2.1 
030 Cash balances at central banks BAD art 13(2); Annex V.Part 2.2 Annex V.Part 2.2 
040 Other demand deposits Annex V.Part 2.3 Annex V.Part 2.3 
050 Financial assets held for trading Accounting Directive art 8(1)(a), (5); IAS 39.9 IFRS 7.8(a)(ii);IFRS 9.Appendix A 
060 Derivatives CRR Annex II IFRS 9.Appendix A 
070 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5 IAS 32.11 
080 Debt securities Annex V.Part 1.24, 26 Annex V.Part 1.31 
090 Loans and advances Annex V.Part 1.24, 27 Annex V.Part 1.32 
091 Trading financial assets BAD Article 32-33; Annex V.Part 1.17  
092 Derivatives CRR Annex II; Annex V.Part 1.17  
093 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5  
094 Debt securities Annex V.Part 1.31  
095 Loans and advances Annex V.Part 1.32  
096 Non-trading financial assets mandatorily at fair value through profit or loss  IFRS 9.4.1.4 
097 Equity instruments  IAS 32.11 
098 Debt securities  Annex V.Part 1.31 
099 Loans and advances  Annex V.Part 1.32 
100 Financial assets designated at fair value through profit or loss Accounting Directive art 8(1)(a), (6) IFRS 7.8(a)(i); IFRS 9.4.1.5 
110 Equity instruments  IAS 32.11;ECB/2013/33 Annex 2.Part 2.4-5 
120 Debt securities Annex V.Part 1.31 Annex V.Part 1.31 
130 Loans and advances Annex V.Part 1.32 Annex V.Part 1.32 
141 Financial assets at fair value through other comprehensive income  IFRS 7.8(h); IFRS 9.4.1.2A 
142 Equity instruments  IAS 32.11 
143 Debt securities  Annex V.Part 1.31 
144 Loans and advances  Annex V.Part 1.32 
171 Non-trading non-derivative financial assets measured at fair value through profit or loss BAD art 36(2)  
172 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5  
173 Debt securities Annex V.Part 1.31  
174 Loans and advances Accounting Directive art 8(1)(a), (4)(b); Annex V.Part 1.32  
175 Non-trading non-derivative financial assets measured at fair value to equity Accounting Directive art 8(1)(a), (8)  
176 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5  
177 Debt securities Annex V.Part 1.31  
178 Loans and advances Accounting Directive art 8(1)(a), (4)(b); Annex V.Part 1.32  
181 Financial assets at amortised cost  IFRS 7.8(f); IFRS 9.4.1.2 
182 Debt securities  Annex V.Part 1.31 
183 Loans and advances  Annex V.Part 1.32 
231 Non-trading non-derivative financial assets measured at a cost-based method BAD art 35;Accounting Directive Article 6(1)(i) and Article 8(2); Annex V.Part1.18, 19  
380 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5  
232 Debt securities Annex V.Part 1.31  
233 Loans and advances Annex V.Part 1.32  
234 Other non-trading non-derivative financial assets BAD art 37; Accounting Directive Article 12(7); Annex V.Part 1.20  
235 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5  
236 Debt securities Annex V.Part 1.31  
237 Loans and advances Annex V.Part 1.32  
240 Derivatives – Hedge accounting Accounting Directive art 8(1)(a), (6), (8); IAS 39.9; Annex V.Part 1.22 IFRS 9.6.2.1; Annex V.Part 1.22 
250 Fair value changes of the hedged items in portfolio hedge of interest rate risk Accounting Directive art 8(5), (6); IAS 39.89A (a) IAS 39.89A(a); IFRS 9.6.5.8 
260 Investments in subsidaries, joint ventures and associates BAD art 4.Assets(7)-(8); Accounting Directive art 2(2); Annex V.Part 1.21, Part 2.4, 210 IAS 1.54(e); Annex V.Part 1.21, Part 2.4, 210 
270 Assets under reinsurance and insurance contracts Annex V.Part 2.211 IFRS 4.IG20.(b)-(c); Annex V.Part 2.211 
280 Tangible assets BAD art 4.Assets(10)  
290 Intangible assets BAD art 4.Assets(9); CRR art 4(1)(115) IAS 1.54(c); CRR art 4(1)(115) 
300 Goodwill BAD art 4.Assets(9); CRR art 4(1)(113) IFRS 3.B67(d); CRR art 4(1)(113) 
310 Other intangible assets BAD art 4.Assets(9) IAS 38.8,118 
320 Tax assets  IAS 1.54(n-o) 
330 Current tax assets  IAS 1.54(n); IAS 12.5 
340 Deferred tax assets Accounting Directive art 17(1)(f); CRR art 4(1)(106) IAS 1.54(o); IAS 12.5; CRR art 4(1)(106) 
350 Other assets Annex V.Part 2.5, 6 Annex V.Part 2.5 
360 Non-current assets and disposal groups classified as held for sale  IAS 1.54(j); IFRS 5.38, Annex V.Part 2.6 
365 (-) Haircuts for trading assets valued at fair value Annex V Part 1.29  
370 TOTAL ASSETS BAD art 4 Assets IAS 1.9(a), IG 6 
 17.2 

 References National GAAP based on BAD References National GAAP compatible IFRS Accounting scope of consolidation [Nominal amount]
Annex V.Part 2.118, 209
010
010 Loan commitments given CRR Annex I; Annex V.Part 1.44(g), Part 2.112, 113 CRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 113, 116 
020 Financial guarantees given CRR Annex I; Annex V.Part 1.44(f), Part 2.112, 114 IFRS 4 Annex A; CRR Annex I; Annex V.Part 1.44(f), Part 2.102-105, 114, 116 
030 Other Commitments given CRR Annex I; Annex V.Part 1.44(g), Part 2.112, 115 CRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 115, 116 
040 OFF-BALANCE SHEET EXPOSURES   
 17.3 

 References National GAAP based on BAD References National GAAP compatible IFRS Accounting scope of consolidation [Carrying amount]
Annex V.Part 1.27-28, Part 2.209
010
010 Financial liabilities held for trading  IFRS 7.8 (e) (ii); IFRS 9.BA.6 
020 Derivatives  IFRS 9.Appendix A; IFRS 9.4.2.1(a); IFRS 9.BA.7(a) 
030 Short positions  IFRS 9.BA7(b) 
040 Deposits  ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 
050 Debt securities issued  Annex V.Part 1.37 
060 Other financial liabilities  Annex V.Part 1.38-41 
061 Trading financial liabilities Accounting Directive art 8(1)(a),(3),(6)  
062 Derivatives CRR Annex II; Annex V.Part 1.25, 27  
063 Short positions   
064 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36  
065 Debt securities issued Annex V.Part 1.37  
066 Other financial liabilities Annex V.Part 1.38-41  
070 Financial liabilities designated at fair value through profit or loss Accounting Directive art 8(1)(a), (6); IAS 39.9 IFRS 7.8 (e)(i); IFRS 9.4.2.2 
080 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 
090 Debt securities issued Annex V.Part 1.37 Annex V.Part 1.37 
100 Other financial liabilities Annex V.Part 1.38-41 Annex V.Part 1.38-41 
110 Financial liabilities measured at amortised cost Accounting Directive art 8(3), (6); IAS 39.47 IFRS 7.8(g); IFRS 9.4.2.1 
120 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.30 ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 
130 Debt securities issued Annex V.Part 1.31 Annex V.Part 1.37 
140 Other financial liabilities Annex V.Part 1.32-34 Annex V.Part 1.38-41 
141 Non-trading non-derivative financial liabilities measured at a cost-based method Accounting Directive art 8(3)  
142 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36  
143 Debt securities issued Annex V.Part 1.37  
144 Other financial liabilities Annex V.Part 1.38-41  
150 Derivatives – Hedge accounting Accounting Directive art 8(1)(a), (6), (8)(a); Annex V.Part 1.26 IFRS 9.6.2.1; Annex V.Part 1.26 
160 Fair value changes of the hedged items in portfolio hedge of interest rate risk Accounting Directive art 8(5), (6); Annex V.Part 2.8; IAS 39.89A(b) IAS 39.89A(b), IFRS 9.6.5.8 
170 Liabilities under insurance and reinsurance contracts Annex V.Part 2.212 IFRS 4.IG20(a); Annex V.Part 2.212 
180 Provisions BAD art 4.Liabilities(6) IAS 37.10; IAS 1.54(l) 
190 Tax liabilities  IAS 1.54(n-o) 
200 Current tax liabilities  IAS 1.54(n); IAS 12.5 
210 Deferred tax liabilities Accounting Directive art 17(1)(f); CRR art 4(1)(108) IAS 1.54(o); IAS 12.5; CRR art 4(1)(108) 
220 Share capital repayable on demand  IAS 32 IE 33; IFRIC 2; Annex V.Part 2.12 
230 Other liabilities Annex V.Part 2.13 Annex V.Part 2.13 
240 Liabilities included in disposal groups classified as held for sale  IAS 1.54 (p); IFRS 5.38, Annex V.Part 2.14 
245 Haircuts for trading liabilities valued at fair value Annex V Part 1.29  
250 LIABILITIES  IAS 1.9(b);IG 6 
260 Capital BAD art 4.Liabilities(9), BAD art 22 IAS 1.54(r), BAD art 22 
270 Share premium BAD art 4.Liabilities(10); CRR art 4(124) IAS 1.78(e); CRR art 4(1)(124) 
280 Equity instruments issued other than capital Annex V.Part 2.18-19 Annex V.Part 2.18-19 
290 Other equity Annex V.Part 2.20 IFRS 2.10; Annex V.Part 2.20 
300 Accumulated other comprehensive income CRR art 4(1)(100) CRR art 4(1)(100) 
310 Retained earnings CRR art 4(1)(123) CRR art 4(1)(123) 
320 Revaluation reserves BAD art 4.Liabilities(12) IFRS 1.33, D5-D8 
325 Fair value reserves Accounting Directive art 8(1)(a)  
330 Other reserves BAD art 4.Liabilities (11)-(13) IAS 1.54; IAS 1.78 (e) 
335 First consolidation differences Accounting Directive art 24(3)(c)  
340 (-) Treasury shares Accounting Directive Annex III Annex III Assets D(III)(2); BAD art 4 Assets (12); Annex V.Part 2.20 IAS 1.79(a)(vi); IAS 32.33-34, AG 14, AG 36; Annex V.Part 2.28 
350 Profit or loss attributable to owners of the parent BAD art 4.Liabilities(14) IFRS 10.B94 
360 (-) Interim dividends CRR Article 26 (2) IAS 32.35 
370 Minority interests [Non-controlling interests] Accounting Directive art 24(4) IAS 1.54(q); IFRS 10.22, .B94 
380 TOTAL EQUITY  IAS 1.9(c), IG 6 
390 TOTAL EQUITY AND TOTAL LIABILITIES BAD art 4.Liabilities IAS 1.IG6 
 18  18.0 

   Gross carrying amount / Nominal amount Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions Maximum amount of the collateral or guarantee that can be consideredAnnex V. Part 2.119
   Performing Non-performing  Performing exposures -Accumulated impairment and provisions Non-performing exposures – Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions Collateral received and financial guarantees received
   Not past due or Past due <= 30 days Past due> 30 days <= 90 days Of which:Instruments without significant increase in credit risk since initial recognition (Stage 1) Of which:Instruments with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2)  Unlikely to pay that are not past-due or past-due < = 90 days Past due> 90 days<= 180 days Past due> 180 days<= 1 year Past due> 1 year <= 2 years Past due> 2 year <= 5 years Past due> 5 year <= 7 years Past due > 7 years Of which:Instruments with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2) Of which: defaulted of which: Credit-impaired instruments (Stage 3) of which: impaired      Unlikely to pay that are not past-due or past-due < = 90 days Past due> 90 days<= 180 days Past due> 180 days<= 1 year Past due> 1 year < = 2 year Past due> 2 year < = 5 year Past due> 5 year <= 7 years Past due > 7 years Of which:Instruments with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2) Of which:Credit-impaired instruments (Stage 3) Collateral received on performing exposues Collateral received on non-performing exposues Financial guarantees received on performing exposures Financial guarantees received on non-performing exposures
      of which: Instruments without significant increase in credit risk since initial recognition (Stage 1) of which: Instruments with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2)
  010 020 030 055 056 057 060 070 080 090 101 102 106 107 109 110 121 122 130 140 141 142 150 160 170 180 191 192 196 197 950 951 201 200 205 210
 References National GAAP compatible IFRS Annex V. Part 1.34, Part 2.118, 221 Annex V. Part 2. 213-216, 223-239 Annex V. Part 2. 222, 235 Annex V. Part 2. 222, 235 IFRS 9.5.5.5; IFRS 7.35M(a); Annex V. Part 2. 237(d) IFRS 9.5.5.3; IFRS 7.35M(b)(i); Annex V. Part 2. 237(c) Annex V. Part 2. 213-216, 223-239 Annex V. Part 2. 222, 235-236 Annex V. Part 2. 222, 235-236 Annex V. Part 2. 222, 235-236 Annex V. Part 2. 222, 235-236 Annex V. Part 2. 222, 235-236 Annex V. Part 2. 222, 235-236 Annex V. Part 2. 222, 235-236 IFRS 9.5.5.3; IFRS 7.35M(b)(i); Annex V. Part 2. 237(c) CRR art 178; Annex V.Part 2.237(b) IFRS 9.5.5.1; IFRS 9.Appendix A; Annex V.Part 2.237(a)  Annex V. Part 2. 238 Annex V. Part 2. 238 IFRS 9.5.5.5; IFRS 7.35M(a); Annex V. Part 2. 237(d) IFRS 9.5.5.3; IFRS 7.35M(b)(i); Annex V. Part 2. 237(c) Annex V. Part 2. 238 Annex V. Part 2. 236, 238 Annex V. Part 2. 236, 238 Annex V. Part 2. 236, 238 Annex V. Part 2. 236, 238 Annex V. Part 2. 236, 238 Annex V. Part 2. 236, 238 Annex V. Part 2. 236, 238 IFRS 9.5.5.3; IFRS 7.35M(b)(i); Annex V. Part 2. 237(c) IFRS 9.5.5.1; IFRS 9.Appendix A; Annex V.Part 2.237(a) Annex V. Part 2. 239 Annex V. Part 2. 239 Annex V. Part 2. 239 Annex V. Part 2. 239
References National GAAP based on BAD  Annex V. Part 1.34, Part 2.118, 221 Annex V. Part 2. 213-216, 223-239 Annex V. Part 2. 222, 235 Annex V. Part 2. 222, 235   Annex V. Part 2. 213-216, 223-239 Annex V. Part 2. 222, 235-236 Annex V. Part 2. 222, 235-236 Annex V. Part 2. 222, 235-236 Annex V. Part 2. 222, 235-236 Annex V. Part 2. 222, 235-236 Annex V. Part 2. 222, 235-236 Annex V. Part 2. 222, 235-236  CRR art 178; Annex V.Part 2.237(b)  CRR art 4(95); Annex V.Part 2.237(a) Annex V. Part 2. 238 Annex V. Part 2. 238   Annex V. Part 2. 238 Annex V. Part 2. 236, 238 Annex V. Part 2. 236, 238 Annex V. Part 2. 236, 238 Annex V. Part 2. 236, 238 Annex V. Part 2. 236, 238 Annex V. Part 2. 236, 238 Annex V. Part 2. 236, 238   Annex V. Part 2. 239 Annex V. Part 2. 239 Annex V. Part 2. 239 Annex V. Part 2. 239
005 Cash balances at central banks and other demand deposits BAD art 13(2); Annex V.Part 2.2, 3 Annex V.Part 2.2, 3                                    
010 Debt securities Annex V.Part 1.31, 44(b) Annex V.Part 1.31, 44(b)                                    
020 Central banks Annex V.Part 1.42(a) Annex V.Part 1.42(a)                                    
030 General governments Annex V.Part 1.42(b) Annex V.Part 1.42(b)                                    
040 Credit institutions Annex V.Part 1.42(c) Annex V.Part 1.42(c)                                    
050 Other financial corporations Annex V.Part 1.42(d) Annex V.Part 1.42(d)                                    
060 Non-financial corporations Annex V.Part 1.42(e) Annex V.Part 1.42(e)                                    
070 Loans and advances Annex V.Part 1.32, 44(a) Annex V.Part 1.32, 44(a)                                    
080 Central banks Annex V.Part 1.42(a) Annex V.Part 1.42(a)                                    
090 General governments Annex V.Part 1.42(b) Annex V.Part 1.42(b)                                    
100 Credit institutions Annex V.Part 1.42(c) Annex V.Part 1.42(c)                                    
110 Other financial corporations Annex V.Part 1.42(d) Annex V.Part 1.42(d)                                    
120 Non-financial corporations Annex V.Part 1.42(e) Annex V.Part 1.42(e)                                    
130 Of which: Small and Medium-sized Enterprises SME Art 1 2(a) SME Art 1 2(a)                                    
140 Of which: Loans collateralised by commercial immovable property Annex V.Part 2.86(a), 87, 234i (a) Annex V.Part 2.86(a), 87, 234i (a)                                    
150 Households Annex V.Part 1.42(f) Annex V.Part 1.42(f)                                    
160 Of which: Loans collateralised by residential immovable property Annex V.Part 2.86(a), 87, 234i (a) Annex V.Part 2.86(a), 87, 234i (a)                                    
170 Of which: Credit for consumption Annex V.Part 2.88(a), 234i (b) Annex V.Part 2.88(a), 234i (b)                                    
180 DEBT INSTRUMENTS AT COST OR AT AMORTISED COST Annex V.Part 2.233(a) Annex V.Part 2.233(a)                                    
181 Debt securities Annex V.Part 1.31, 44(b) Annex V.Part 1.31, 44(b)                                    
182 Central banks Annex V.Part 1.42(a) Annex V.Part 1.42(a)                                    
183 General governments Annex V.Part 1.42(b) Annex V.Part 1.42(b)                                    
184 Credit institutions Annex V.Part 1.42(c) Annex V.Part 1.42(c)                                    
185 Other financial corporations Annex V.Part 1.42(d) Annex V.Part 1.42(d)                                    
186 Non-financial corporations Annex V.Part 1.42(e) Annex V.Part 1.42(e)                                    
191 Loans and advances Annex V.Part 1.32, 44(a) Annex V.Part 1.32, 44(a)                                    
192 Central banks Annex V.Part 1.42(a) Annex V.Part 1.42(a)                                    
193 General governments Annex V.Part 1.42(b) Annex V.Part 1.42(b)                                    
194 Credit institutions Annex V.Part 1.42(c) Annex V.Part 1.42(c)                                    
195 Other financial corporations Annex V.Part 1.42(d) Annex V.Part 1.42(d)                                    
196 Non-financial corporations Annex V.Part 1.42(e) Annex V.Part 1.42(e)                                    
900 Of which: Small and Medium-sized Enterprises SME Art 1 2(a) SME Art 1 2(a)                                    
903 Of which: Loans collateralised by commercial immovable property Annex V.Part 2.86(a), 87, 234i (a) Annex V.Part 2.86(a), 87, 234i (a)                                    
197 Households Annex V.Part 1.42(f) Annex V.Part 1.42(f)                                    
910 Of which: Loans collateralised by residential immovable property Annex V.Part 2.86(a), 87, 234i (a) Annex V.Part 2.86(a), 87, 234i (a)                                    
913 Of which: Credit for consumption Annex V.Part 2.88(a), 234i (b) Annex V.Part 2.88(a), 234i (b)                                    
201 DEBT INSTRUMENTS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME OR THROUGH EQUITY SUBJECT TO IMPAIRMENT Annex V.Part 2.233(b) Annex V.Part 2.233(b)                                    
211 Debt securities Annex V.Part 1.31, 44(b) Annex V.Part 1.31, 44(b)                                    
212 Central banks Annex V.Part 1.42(a) Annex V.Part 1.42(a)                                    
213 General governments Annex V.Part 1.42(b) Annex V.Part 1.42(b)                                    
214 Credit institutions Annex V.Part 1.42(c) Annex V.Part 1.42(c)                                    
215 Other financial corporations Annex V.Part 1.42(d) Annex V.Part 1.42(d)                                    
216 Non-financial corporations Annex V.Part 1.42(e) Annex V.Part 1.42(e)                                    
221 Loans and advances Annex V.Part 1.32, 44(a) Annex V.Part 1.32, 44(a)                                    
222 Central banks Annex V.Part 1.42(a) Annex V.Part 1.42(a)                                    
223 General governments Annex V.Part 1.42(b) Annex V.Part 1.42(b)                                    
224 Credit institutions Annex V.Part 1.42(c) Annex V.Part 1.42(c)                                    
225 Other financial corporations Annex V.Part 1.42(d) Annex V.Part 1.42(d)                                    
226 Non-financial corporations Annex V.Part 1.42(e) Annex V.Part 1.42(e)                                    
920 Of which: Small and Medium-sized Enterprises SME Art 1 2(a) SME Art 1 2(a)                                    
923 Of which: Loans collateralised by commercial immovable property Annex V.Part 2.86(a), 87, 234i (a) Annex V.Part 2.86(a), 87, 234i (a)                                    
227 Households Annex V.Part 1.42(f) Annex V.Part 1.42(f)                                    
930 Of which: Loans collateralised by residential immovable property Annex V.Part 2.86(a), 87, 234i (a) Annex V.Part 2.86(a), 87, 234i (a)                                    
933 Of which: Credit for consumption Annex V.Part 2.88(a), 234i (b) Annex V.Part 2.88(a), 234i (b)                                    
231 DEBT INSTRUMENTS AT STRICT LOCOM, OR FAIR VALUE THROUGH PROFIT OR LOSS OR THROUGH EQUITY NOT SUBJECT TO IMPAIRMENT Annex V.Part 2.233(c), 234 Annex V.Part 2.233(c), 234                                    
330 DEBT INSTRUMENTS OTHER THAN HELD FOR TRADING OR TRADING Annex V.Part 2.217 Annex V.Part 2.217                                    
335 DEBT INSTRUMENTS HELD FOR SALE  Annex V.Part 2.220                                    
340 Loan commitments given CRR Annex I; Annex V.Part 1.44(g), Part 2.112, 113, 224 CRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 113, 116, 224                                    
350 Central banks Annex V.Part 1.42(a) Annex V.Part 1.42(a)                                    
360 General governments Annex V.Part 1.42(b) Annex V.Part 1.42(b)                                    
370 Credit institutions Annex V.Part 1.42(c) Annex V.Part 1.42(c)                                    
380 Other financial corporations Annex V.Part 1.42(d) Annex V.Part 1.42(d)                                    
390 Non-financial corporations Annex V.Part 1.42(e) Annex V.Part 1.42(e)                                    
400 Households Annex V.Part 1.42(f) Annex V.Part 1.42(f)                                    
410 Financial guarantees given CRR Annex I; Annex V.Part 1.44(f), Part 2.112, 114, 225 IFRS 4 Annex A; CRR Annex I; Annex V.Part 1.44(f), Part 2.102-105, 114, 116, 225                                    
420 Central banks Annex V.Part 1.42(a) Annex V.Part 1.42(a)                                    
430 General governments Annex V.Part 1.42(b) Annex V.Part 1.42(b)                                    
440 Credit institutions Annex V.Part 1.42(c) Annex V.Part 1.42(c)                                    
450 Other financial corporations Annex V.Part 1.42(d) Annex V.Part 1.42(d)                                    
460 Non-financial corporations Annex V.Part 1.42(e) Annex V.Part 1.42(e)                                    
470 Households Annex V.Part 1.42(f) Annex V.Part 1.42(f)                                    
480 Other Commitments given CRR Annex I; Annex V.Part 1.44(g), Part 2.112, 115, 224 CRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 115, 116, 224                                    
490 Central banks Annex V.Part 1.42(a) Annex V.Part 1.42(a)                                    
500 General governments Annex V.Part 1.42(b) Annex V.Part 1.42(b)                                    
510 Credit institutions Annex V.Part 1.42(c) Annex V.Part 1.42(c)                                    
520 Other financial corporations Annex V.Part 1.42(d) Annex V.Part 1.42(d)                                    
530 Non-financial corporations Annex V.Part 1.42(e) Annex V.Part 1.42(e)                                    
540 Households Annex V.Part 1.42(f) Annex V.Part 1.42(f)                                    
550 OFF-BALANCE SHEET EXPOSURES Annex V.Part 2.217 Annex V.Part 2.217                                    
 18.1 

   Gross carrying amount of loans and advances
 
  Inflows to non-performing exposures (-) Outflows from non-performing exposures
 
  0010 0020
 References National GAAP compatible IFRS Annex V. Part 2.213-216, 224-234, 239i-239iii, 239vi Annex V. Part 2.213-216, 224-234, 239i, 239iv- 239vi
References National GAAP based on BAD  Annex V. Part 2.213-216, 224-234, 239i-239iii, 239vi Annex V. Part 2.213-216, 224-234, 239i, 239iv- 239vi
0010 Central banks Annex V.Part 1.42(a) Annex V.Part 1.42(a)  
0020 General governments Annex V.Part 1.42(b) Annex V.Part 1.42(b)  
0030 Credit institutions Annex V.Part 1.42(c) Annex V.Part 1.42(c)  
0040 Other financial corporations Annex V.Part 1.42(d) Annex V.Part 1.42(d)  
0050 Non-financial corporations Annex V.Part 1.42(e) Annex V.Part 1.42(e)  
0060 Of which: Small and Medium-sized Enterprises SME Art 1 2(a) SME Art 1 2(a)  
0070 Of which: Commercial real estate (CRE) loans to small and medium-sized enterprises SME Art 1 2(a); Annex V.Part 2.239vii (a), 239ix SME Art 1 2(a); Annex V.Part 2.239vii (a), 239ix  
0080 Of which: Commercial real estate (CRE) loans to non-financial corporations other than SMEs Annex V.Part 2.239vii (a), 239ix Annex V.Part 2.239vii (a), 239ix  
0090 Of which: Loans collateralised by commercial immovable property Annex V.Part 2.86(a), 87, 239vii (b) Annex V.Part 2.86(a), 87, 239vii (b)  
0100 Households Annex V.Part 1.42(f) Annex V.Part 1.42(f)  
0110 Of which: Loans collateralised by residential immovable property Annex V.Part 2.86(a), 87, 239vii (b) Annex V.Part 2.86(a), 87, 239vii (b)  
0120 Of which: Credit for consumption Annex V.Part 2.88(a), 239vii (c) Annex V.Part 2.88(a), 239vii (c)  
0130 LOANS AND ADVANCES OTHER THAN HELD FOR TRADING OR TRADING Annex V.Part 2.217 Annex V.Part 2.217  
0140 LOANS AND ADVANCES HELD FOR SALE  Annex V.Part 2.220  
0150 TOTAL INFLOWS / OUTFLOWS    
 18.2 

   Gross carrying amount Accumulated impairment, accumulated negative changes in fair value due to credit risk Maximum amount of the collateral or guarantee that can be consideredAnnex V. Part 2.119
   of which: exposures with forbearance measures Performing Non-performing  Of which: Exposures with forbearance measures Performing exposures -Accumulated impairments  Non-performing exposures – Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions Collateral received and financial guarantees received
   Not past due or Past due <= 30 days Past due> 30 days <= 90 days of which: performing exposures with forbearance measures   Unlikely to pay that are not past-due or past-due < = 90 days Past due> 90 days<= 180 days Past due> 180 days<= 1 year Past due> 1 year <= 2 years Past due> 2 year <= 5 years Past due> 5 year <= 7 years Past due > 7 years Of which: defaulted Of which: Non-performing exposures with forbearance measures  Of which: Performing exposures with forbearance measures  Unlikely to pay that are not past-due or past-due < = 90 days Past due> 90 days<= 180 days Past due> 180 days<= 1 year Past due> 1 year < = 2 year Past due> 2 year < = 5 year Past due> 5 year <= 7 years Past due > 7 years Of which: Non-performing exposures with forbearance measures Collateral received on performing exposues Collateral received on non-performing exposues Financial guarantees received on performing exposures Financial guarantees received on non-performing exposures
   of which: Performing forborne exposures under probation reclassified from non-performing  
  0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110 0120 0130 0140 0150 0160 0170 0180 0190 0200 0210 0220 0230 0240 0250 0260 0270 0280 0290 0300 0310 0320 0330 0340
 References National GAAP compatible IFRS Annex V. Part 1.34, Part 2.118, 221 Annex V. Part 1.34, Part 2. 118, 240-245, 251-258 Annex V. Part 2. 213-216, 223-239 Annex V. Part 2. 222, 235 Annex V. Part 2. 222, 235 Annex V. Part 2. 256, 259-262 Annex V. Part 2. 256(b), 261 Annex V. Part 2. 213-216, 223-239 Annex V. Part 2. 222, 235-236 Annex V. Part 2. 222, 235-236 Annex V. Part 2. 222, 235-236 Annex V. Part 2. 222, 235-236 Annex V. Part 2. 222, 235-236 Annex V. Part 2. 222, 235-236 Annex V. Part 2. 222, 235-236 CRR art 178; Annex V.Part 2.237(b) Annex V. Part 2. 259-263 Annex V. Part 2. 238 Annex V. Part 2. 267 Annex V. Part 2. 238 Annex V. Part 2. 207 Annex V. Part 2. 238 Annex V. Part 2. 236, 238 Annex V. Part 2. 236, 238 Annex V. Part 2. 236, 238 Annex V. Part 2. 236, 238 Annex V. Part 2. 236, 238 Annex V. Part 2. 236, 238 Annex V. Part 2. 236, 238 Annex V. Part 2. 207 Annex V. Part 2. 239 Annex V. Part 2. 239 Annex V. Part 2. 239 Annex V. Part 2. 239
References National GAAP based on BAD  Annex V. Part 1.34, Part 2.118, 221 Annex V. Part 1.34, Part 2. 118, 240-245, 251-255 Annex V. Part 2. 213-216, 223-239 Annex V. Part 2. 222, 235 Annex V. Part 2. 222, 235 Annex V. Part 2. 256, 259-262 Annex V. Part 2. 256(b), 261 Annex V. Part 2. 213-216, 223-239 Annex V. Part 2. 222, 235-236 Annex V. Part 2. 222, 235-236 Annex V. Part 2. 222, 235-236 Annex V. Part 2. 222, 235-236 Annex V. Part 2. 222, 235-236 Annex V. Part 2. 222, 235-236 Annex V. Part 2. 222, 235-236 CRR art 178; Annex V.Part 2.237(b) Annex V. Part 2. 259-263 Annex V. Part 2. 238 Annex V. Part 2. 267 Annex V. Part 2. 238 Annex V. Part 2. 207 Annex V. Part 2. 238 Annex V. Part 2. 236, 238 Annex V. Part 2. 236, 238 Annex V. Part 2. 236, 238 Annex V. Part 2. 236, 238 Annex V. Part 2. 236, 238 Annex V. Part 2. 236, 238 Annex V. Part 2. 236, 238 Annex V. Part 2. 207 Annex V. Part 2. 239 Annex V. Part 2. 239 Annex V. Part 2. 239 Annex V. Part 2. 239
0010 Non-finan-cial corpo-rations Commercial real estate (CRE) loans to small and medium-sized enterprises SME Art 1 2(a); Annex V.Part 2.239vi (a), 239vii SME Art 1 2(a); Annex V.Part 2.239vi (a), 239vii                                  
0020 Commercial real estate (CRE) loans to non-financial corporations other than SMEs Annex V.Part 2.239vi (a), 239vii Annex V.Part 2.239vi (a), 239vii                                  
0030 Loans collateralised by commercial immovable property Annex V.Part 2.86(a), 87, 239vi (b) Annex V.Part 2.86(a), 87, 239vi (b)                                  
0040 Of which: Loans with LTV ratio higher than 60 % and less than or equal to 80 % Annex V.Part 2.86(a), 87, 239vi (b), 239viii Annex V.Part 2.86(a), 87, 239vi (b), 239viii                                  
0050 Of which: Loans with LTV ratio higher than 80 % and less than or equal to 100 % Annex V.Part 2.86(a), 87, 239vi (b), 239viii Annex V.Part 2.86(a), 87, 239vi (b), 239viii                                  
0060 Of which: Loans with LTV ratio higher than 100 % Annex V.Part 2.86(a), 87, 239vi (b), 239viii Annex V.Part 2.86(a), 87, 239vi (b), 239viii                                  
0070 House-holds Loans collateralised by residential immovable property Annex V.Part 2.86(a), 87, 239vi (b) Annex V.Part 2.86(a), 87, 239vi (b)                                  
0080 Of which: Loans with LTV ratio higher than 60 % and less than or equal to 80 % Annex V.Part 2.86(a), 87, 239vi (b), 239viii Annex V.Part 2.86(a), 87, 239vi (b), 239viii                                  
0090 Of which: Loans with LTV ratio higher than 80 % and less than or equal to 100 % Annex V.Part 2.86(a), 87, 239vi (b), 239viii Annex V.Part 2.86(a), 87, 239vi (b), 239viii                                  
0100 Of which: Loans with LTV ratio higher than 100 % Annex V.Part 2.86(a), 87, 239vi (b), 239viii Annex V.Part 2.86(a), 87, 239vi (b), 239viii                                  
 19. 

   Gross carrying amount / nominal amount of exposures with forbearance measures Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions Maximum amount of the collateral or guarantee that can be consideredAnnex V. Part 2.119
   Performing exposures with forbearance measures Non-performing exposures with forbearance measures  Perfoming exposures with forbearance measures – Accumulated impairment and provisions Non-performing exposures with forbearance measures – Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions Collateral received and financial guarantees received
   Instruments with modifications in their terms and conditions Refinancing of which: Performing forborne exposures under probation reclassified from non-performing  Instruments with modifications in their terms and conditions Refinancing of which:Defaulted of which:Impaired of which:Forbearance of exposures non-performing prior to forbearance   Instruments with modifications in their terms and conditions Refinancing Collateral received on exposures with forbearance measures Financial guarantees received on exposures with forbearance measures
      Of which: Collateral received on non-performing exposures with forbearance measures  Of which: Financial guarantees received on non-performing exposures with forbearance measures
  010 020 030 040 050 060 070 080 090 100 110 120 130 140 150 160 170 175 180 185
 References National GAAP compatible IFRS Annex V. Part 1.34, Part 2. 118, 240-245, 251-258 Annex V. Part 2. 256, 259-262 Annex V. Part 2.241(a), 266 Annex V. Part 2. 241 (b), 265-266 Annex V. Part 2. 256(b), 261 Annex V. Part 2. 259-263 Annex V. Part 2.241(a), 266 Annex V. Part 2. 241 (b), 265-266 CRR art 178; Annex V. Part 2.264(b) IFRS 9.5.5.1; IFRS 9.Appendix A; Annex V.Part 2.264(a) Annex V. Part 2. 231, 252(a), 263 Annex V. Part 2. 267 Annex V. Part 2. 207 Annex V. Part 2. 207 Annex V. Part 2. 241(a), 267 Annex V. Part 2. 241(b), 267 Annex V. Part 2. 268 Annex V. Part 2. 268 Annex V. Part 2. 268 Annex V. Part 2. 268
References National GAAP based on BAD  Annex V. Part 1.34, Part 2. 118, 240-245, 251-255 Annex V. Part 2. 256, 259-262 Annex V. Part 2.241(a), 266 Annex V. Part 2. 241 (b), 265-266 Annex V. Part 2. 256(b), 261 Annex V. Part 2. 259-263 Annex V. Part 2.241(a), 266 Annex V. Part 2. 241 (b), 265-266 CRR art 178; Annex V. Part 2.264(b) CRR art 4(95); Annex V.Part 2.264(a) Annex V. Part 2. 231, 252(a), 263 Annex V. Part 2. 267 Annex V. Part 2. 207 Annex V. Part 2. 207 Annex V. Part 2. 241(a), 267 Annex V. Part 2. 241(b), 267 Annex V. Part 2. 268 Annex V. Part 2. 268 Annex V. Part 2. 268 Annex V. Part 2. 268
005 Cash balances at central banks and other demand deposits BAD art 13(2); Annex V.Part 2.2, 3 Annex V.Part 2.2, 3                    
010 Debt securities Annex V.Part 1.31, 44(b) Annex V.Part 1.31, 44(b)                    
020 Central banks Annex V.Part 1.42(a) Annex V.Part 1.42(a)                    
030 General governments Annex V.Part 1.42(b) Annex V.Part 1.42(b)                    
040 Credit institutions Annex V.Part 1.42(c) Annex V.Part 1.42(c)                    
050 Other financial corporations Annex V.Part 1.42(d) Annex V.Part 1.42(d)                    
060 Non-financial corporations Annex V.Part 1.42(e) Annex V.Part 1.42(e)                    
070 Loans and advances Annex V.Part 1.32, 44(a) Annex V.Part 1.32, 44(a)                    
080 Central banks Annex V.Part 1.42(a) Annex V.Part 1.42(a)                    
090 General governments Annex V.Part 1.42(b) Annex V.Part 1.42(b)                    
100 Credit institutions Annex V.Part 1.42(c) Annex V.Part 1.42(c)                    
110 Other financial corporations Annex V.Part 1.42(d) Annex V.Part 1.42(d)                    
120 Non-financial corporations Annex V.Part 1.42(e) Annex V.Part 1.42(e)                    
130 Of which: Small and Medium-sized Enterprises SME Art 1 2(a) SME Art 1 2(a)                    
140 Of which: Loans collateralised by commercial immovable property Annex V.Part 2.86(a), 87, 234i (a) Annex V.Part 2.86(a), 87, 234i (a)                    
150 Households Annex V.Part 1.42(f) Annex V.Part 1.42(f)                    
160 Of which: Loans collateralised by residential immovable property Annex V.Part 2.86(a), 87, 234i (a) Annex V.Part 2.86(a), 87, 234i (a)                    
170 Of which: Credit for consumption Annex V.Part 2.88(a), 234i (b) Annex V.Part 2.88(a), 234i (b)                    
180 DEBT INSTRUMENTS AT COST OR AT AMORTISED COST Annex V.Part 2.249(a) Annex V.Part 2.249(a)                    
181 Debt securities Annex V.Part 1.31, 44(b) Annex V.Part 1.31, 44(b)                    
182 Central banks Annex V.Part 1.42(a) Annex V.Part 1.42(a)                    
183 General governments Annex V.Part 1.42(b) Annex V.Part 1.42(b)                    
184 Credit institutions Annex V.Part 1.42(c) Annex V.Part 1.42(c)                    
185 Other financial corporations Annex V.Part 1.42(d) Annex V.Part 1.42(d)                    
186 Non-financial corporations Annex V.Part 1.42(e) Annex V.Part 1.42(e)                    
191 Loans and advances Annex V.Part 1.32, 44(a) Annex V.Part 1.32, 44(a)                    
192 Central banks Annex V.Part 1.42(a) Annex V.Part 1.42(a)                    
193 General governments Annex V.Part 1.42(b) Annex V.Part 1.42(b)                    
194 Credit institutions Annex V.Part 1.42(c) Annex V.Part 1.42(c)                    
195 Other financial corporations Annex V.Part 1.42(d) Annex V.Part 1.42(d)                    
196 Non-financial corporations Annex V.Part 1.42(e) Annex V.Part 1.42(e)                    
900 Of which: Small and Medium-sized Enterprises SME Art 1 2(a) SME Art 1 2(a)                    
903 Of which: Loans collateralised by commercial immovable property Annex V.Part 2.86(a), 87, 234i (a) Annex V.Part 2.86(a), 87, 234i (a)                    
197 Households Annex V.Part 1.42(f) Annex V.Part 1.42(f)                    
910 Of which: Loans collateralised by residential immovable property Annex V.Part 2.86(a), 87, 234i (a) Annex V.Part 2.86(a), 87, 234i (a)                    
913 Of which: Credit for consumption Annex V.Part 2.88(a), 234i (b) Annex V.Part 2.88(a), 234i (b)                    
201 DEBT INSTRUMENTS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME OR THROUGH EQUITY SUBJECT TO IMPAIRMENT Annex V.Part 2.249(b) Annex V.Part 2.249(b)                    
211 Debt securities Annex V.Part 1.31, 44(b) Annex V.Part 1.31, 44(b)                    
212 Central banks Annex V.Part 1.42(a) Annex V.Part 1.42(a)                    
213 General governments Annex V.Part 1.42(b) Annex V.Part 1.42(b)                    
214 Credit institutions Annex V.Part 1.42(c) Annex V.Part 1.42(c)                    
215 Other financial corporations Annex V.Part 1.42(d) Annex V.Part 1.42(d)                    
216 Non-financial corporations Annex V.Part 1.42(e) Annex V.Part 1.42(e)                    
221 Loans and advances Annex V.Part 1.32, 44(a) Annex V.Part 1.32, 44(a)                    
222 Central banks Annex V.Part 1.42(a) Annex V.Part 1.42(a)                    
223 General governments Annex V.Part 1.42(b) Annex V.Part 1.42(b)                    
224 Credit institutions Annex V.Part 1.42(c) Annex V.Part 1.42(c)                    
225 Other financial corporations Annex V.Part 1.42(d) Annex V.Part 1.42(d)                    
226 Non-financial corporations Annex V.Part 1.42(e) Annex V.Part 1.42(e)                    
920 Of which: Small and Medium-sized Enterprises SME Art 1 2(a) SME Art 1 2(a)                    
923 Of which: Loans collateralised by commercial immovable property Annex V.Part 2.86(a), 87, 234i (a) Annex V.Part 2.86(a), 87, 234i (a)                    
227 Households Annex V.Part 1.42(f) Annex V.Part 1.42(f)                    
930 Of which: Loans collateralised by residential immovable property Annex V.Part 2.86(a), 87, 234i (a) Annex V.Part 2.86(a), 87, 234i (a)                    
933 Of which: Credit for consumption Annex V.Part 2.88(a), 234i (b) Annex V.Part 2.88(a), 234i (b)                    
231 DEBT INSTRUMENTS AT STRICT LOCOM, OR FAIR VALUE THROUGH PROFIT OR LOSS OR THROUGH EQUITY NOT SUBJECT TO IMPAIRMENT Annex V.Part 2.249 Annex V.Part 2.249                    
330 DEBT INSTRUMENTS OTHER THAN HELD FOR TRADING OR TRADING Annex V.Part 2.246 Annex V.Part 2.246                    
335 DEBT INSTRUMENTS HELD FOR SALE  Annex V.Part 2.247                    
340 Loan commitments given CRR Annex I; Annex V.Part 1.44(g), Part 2.112, 113, 246 CRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 113, 116, 246                    
 20.  20.1 

 References National GAAP based on BAD References National GAAP compatible IFRS Carrying amountAnnex V.Part 1.27-28
Domestic activitivies Non-domestic activities
Annex V.Part 2.270 Annex V.Part 2.270
010 020
010 Cash, cash balances at central banks and other demand deposits BAD art 4.Assets(1) IAS 1.54 (i)  
020 Cash on hand Annex V.Part 2.1 Annex V.Part 2.1  
030 Cash balances at central banks BAD art 13(2); Annex V.Part 2.2 Annex V.Part 2.2  
040 Other demand deposits Annex V.Part 2.3 Annex V.Part 2.3  
050 Financial assets held for trading Accounting Directive art 8(1)(a), (5); IAS 39.9 IFRS 9. Appendix A  
060 Derivatives CRR Annex II IFRS 9. Appendix A  
070 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5 IAS 32.11  
080 Debt securities Annex V.Part 1.24, 26 Annex V.Part 1.31  
090 Loans and advances Annex V.Part 1.24, 27 Annex V.Part 1.32  
091 Trading financial assets BAD Article 32-33; Annex V.Part 1.17   
092 Derivatives CRR Annex II; Annex V.Part 1.17, 27   
093 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5   
094 Debt securities Annex V.Part 1.31   
095 Loans and advances Annex V.Part 1.32   
096 Non-trading financial assets mandatorily at fair value through profit or loss  IFRS 7.8(a)(ii); IFRS 9.4.1.4  
097 Equity instruments  IAS 32.11  
098 Debt securities  Annex V.Part 1.31  
099 Loans and advances  Annex V.Part 1.32  
100 Financial assets designated at fair value through profit or loss Accounting Directive art 8(1)(a), (6) IFRS 7.8(a)(i); IFRS 9.4.1.5  
110 Equity instruments  IAS 32.11;ECB/2013/33 Annex 2.Part 2.4-5  
120 Debt securities Annex V.Part 1.31 Annex V.Part 1.31  
130 Loans and advances Annex V.Part 1.32 Annex V.Part 1.32  
141 Financial assets at fair value through other comprehensive income  IFRS 7.8(h); IFRS 9.4.1.2A  
142 Equity instruments  IAS 32.11  
143 Debt securities  Annex V.Part 1.31  
144 Loans and advances  Annex V.Part 1.32  
171 Non-trading non-derivative financial assets measured at fair value through profit or loss BAD art 36(2)   
172 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5   
173 Debt securities Annex V.Part 1.31   
174 Loans and advances Accounting Directive art 8(1)(a), (4)(b); Annex V.Part 1.32   
175 Non-trading non-derivative financial assets measured at fair value to equity Accounting Directive art 8(1)(a), (8)   
176 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5   
177 Debt securities Annex V.Part 1.31   
178 Loans and advances Accounting Directive art 8(1)(a), (4)(b); Annex V.Part 1.32   
181 Financial assets at amortised cost  IFRS 7.8(f); IFRS 9.4.1.2  
182 Debt securities  Annex V.Part 1.31  
183 Loans and advances  Annex V.Part 1.32  
231 Non-trading non-derivative financial assets measured at a cost-based method BAD art 35;Accounting Directive Article 6(1)(i) and Article 8(2); Annex V.Part1.18, 19   
330 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5   
232 Debt securities Annex V.Part 1.31   
233 Loans and advances Annex V.Part 1.32   
234 Other non-trading non-derivative financial assets BAD art 37; Accounting Directive Article 12(7); Annex V.Part 1.20   
235 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5   
236 Debt securities Annex V.Part 1.31   
237 Loans and advances Annex V.Part 1.32   
240 Derivatives – Hedge accounting Accounting Directive art 8(1)(a), (6), (8); IAS 39.9; Annex V.Part 1.22 IFRS 9.6.2.1; Annex V.Part 1.22  
250 Fair value changes of the hedged items in portfolio hedge of interest rate risk Accounting Directive art 8(5), (6); IAS 39.89A (a) IAS 39.89A(a); IFRS 9.6.5.8  
260 Tangible assets BAD art 4.Assets(10)   
270 Intangible assets BAD art 4.Assets(9); CRR art 4(1)(115) IAS 1.54(c); CRR art 4(1)(115)  
280 Investments in subsidaries, joint ventures and associates BAD art 4.Assets(7)-(8); Accounting Directive art 2(2); Annex V.Part 1.21, Part 2.4 IAS 1.54(e); Annex V.Part 1.21, Part 2.4  
290 Tax assets  IAS 1.54(n-o)  
300 Other assets Annex V.Part 2.5, 6 Annex V.Part 2.5  
310 Non-current assets and disposal groups classified as held for sale  IAS 1.54(j); IFRS 5.38, Annex V.Part 2.7  
315 (-) Haircuts for trading assets valued at fair value Annex V Part 1.29   
320 ASSETS BAD art 4 Assets IAS 1.9(a), IG 6  
 20.2 

 References National GAAP based on BAD References National GAAP compatible IFRS Carrying amountAnnex V.Part 1.27-28
Domestic activitivies Non-domestic activities
Annex V.Part 2.270 Annex V.Part 2.270
010 020
010 Financial liabilities held for trading  IFRS 7.8 (e) (ii); IFRS 9.BA.6  
020 Derivatives  IFRS 9.Appendix A; IFRS 9.4.2.1(a); IFRS 9.BA.7(a)  
030 Short positions  IFRS 9.BA7(b)  
040 Deposits  ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36  
050 Debt securities issued  Annex V.Part 1.37  
060 Other financial liabilities  Annex V.Part 1.38-41  
061 Trading financial liabilities Accounting Directive art 8(1)(a),(3),(6)   
062 Derivatives CRR Annex II; Annex V.Part 1.25   
063 Short positions    
064 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36   
065 Debt securities issued Annex V.Part 1.37   
066 Other financial liabilities Annex V.Part 1.38-41   
070 Financial liabilities designated at fair value through profit or loss Accounting Directive art 8(1)(a), (6); IAS 39.9 IFRS 7.8 (e)(i); IFRS 9.4.2.2  
080 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36  
090 Debt securities issued Annex V.Part 1.37 Annex V.Part 1.37  
100 Other financial liabilities Annex V.Part 1.38-41 Annex V.Part 1.38-41  
110 Financial liabilities measured at amortised cost Accounting Directive art 8(3), (6); IAS 39.47 IFRS 7.8(g); IFRS 9.4.2.1  
120 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.30 ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36  
130 Debt securities issued Annex V.Part 1.31 Annex V.Part 1.37  
140 Other financial liabilities Annex V.Part 1.32-34 Annex V.Part 1.38-41  
141 Non-trading non-derivative financial liabilities measured at a cost-based method Accounting Directive art 8(3)   
142 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36   
143 Debt securities issued Annex V.Part 1.37   
144 Other financial liabilities Annex V.Part 1.38-41   
150 Derivatives – Hedge accounting Accounting Directive art 8(1)(a), (6), (8)(a); Annex V.Part 1.26 IFRS 9.6.2.1; Annex V.Part 1.26  
160 Fair value changes of the hedged items in portfolio hedge of interest rate risk Accounting Directive art 8(5), (6); Annex V.Part 2.8; IAS 39.89A(b) IAS 39.89A(b), IFRS 9.6.5.8  
170 Provisions BAD art 4.Liabilities(6) IAS 37.10; IAS 1.54(l)  
180 Tax liabilities  IAS 1.54(n-o)  
190 Share capital repayable on demand  IAS 32 IE 33; IFRIC 2; Annex V.Part 2.12  
200 Other liabilities Annex V.Part 2.13 Annex V.Part 2.13  
210 Liabilities included in disposal groups classified as held for sale  IAS 1.54 (p); IFRS 5.38, Annex V.Part 2.14  
215 Haircuts for trading liabilities valued at fair value Annex V Part 1.29   
220 LIABILITIES  IAS 1.9(b);IG 6  
 20.3 

 References National GAAP based on BAD References National GAAP compatible IFRS Current period
Domestic activitivies Non-domestic activities
Annex V.Part 2.270 Annex V.Part 2.270
010 020
010 Interest income BAD art 27.Vertical layout(1); Annex V.Part 2.31 IAS 1.97; Annex V.Part 2.31  
020 (Interest expenses) BAD art 27.Vertical layout(2); Annex V.Part 2.31 IAS 1.97; Annex V.Part 2.31  
030 (Expenses on share capital repayable on demand)  IFRIC 2.11  
040 Dividend income BAD art 27.Vertical layout(3); Annex V.Part 2.40 Annex V.Part 2.40  
050 Fee and commission income BAD art 27.Vertical layout(4) IFRS 7.20(c)  
060 (Fee and commission expenses) BAD art 27.Vertical layout(5) IFRS 7.20(c)  
070 Gains or (-) losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss, net BAD art 27.Vertical layout(6) Annex V.Part 2.45  
080 Gains or (-) losses on financial assets and liabilities held for trading, net BAD art 27.Vertical layout(6) IFRS 7.20(a)(i); IFRS 9.5.7.1; Annex V.Part 2.43, 46  
083 Gains or (-) losses on non-trading financial assets mandatorily at fair value through profit or loss  IFRS 9.5.7.1  
085 Gains or (-) losses on trading financial assets and liabilities, net BAD art 27.Vertical layout(6)   
090 Gains or (-) losses on financial assets and liabilities designated at fair value through profit or loss, net  IFRS 7.20(a)(i); IFRS 9.5.7.1; Annex V.Part 2.44  
095 Gains or (-) losses on non-trading financial assets and liabilities, net BAD art 27.Vertical layout(6)   
100 Gains or (-) losses from hedge accounting, net Accounting Directive art 8(1)(a), (6), (8) Annex V.Part 2.47-48  
110 Exchange differences [gain or (-) loss], net BAD art 39 IAS 21.28, 52 (a)  
120 Gains or (-) losses on derecognition of investments in subsidiaries, joint ventures and associates, net BAD art 27.Vertical layout(13)-(14); Annex V Part 2.56   
130 Gains or (-) losses on derecognition of non financial assets, net  IAS 1.34  
140 Other operating income BAD art 27.Vertical layout(7); Annex V.Part 2.314-316 Annex V.Part 2.314-316  
150 (Other operating expenses) BAD art 27.Vertical layout(10); Annex V.Part 2.314-316 Annex V.Part 2.314-316  
155 TOTAL OPERATING INCOME, NET    
160 (Administrative expenses) BAD art 27.Vertical layout(8)   
170 (Depreciation)  IAS 1.102, 104  
171 Modification gains or (-) losses, net  IFRS 9.5.4.3, IFRS 9 Appendix A; Annex V Part 2.49  
175 (Increases or (-) decreases of the fund for general banking risks, net) BAD art 38.2   
180 (Provisions or (-) reversal of provisions)  IAS 37.59, 84; IAS 1.98(b)(f)(g)  
190 (Impairment or (-) reversal of impairment on financial assets not measured at fair value through profit or loss) BAD art 35-37, Annex V.Part 2.52, 53 IFRS 7.20(a)(viii); Annex V Part 2.51, 53  
200 (Impairment or (-) reversal of impairment of investments in subsidaries, joint ventures and associates) BAD art 27.Vertical layout(13)-(14) IAS 28.40-43  
210 (Impairment or (-) reversal of impairment on non-financial assets)  IAS 36.126(a)(b)  
220 Negative goodwill recognised in profit or loss Accounting Directive art 24(3)(f) IFRS 3.Appendix B64(n)(i)  
230 Share of the profit or (-) loss of investments in subsidaries, joint ventures and associates BAD art 27.Vertical layout(13)-(14) Annex V.Part 2.54  
240 Profit or (-) loss from non-current assets and disposal groups classified as held for sale not qualifying as discontinued operations  IFRS 5.37; Annex V.Part 2.55  
250 PROFIT OR (-) LOSS BEFORE TAX FROM CONTINUING OPERATIONS  IAS 1.102, IG 6; IFRS 5.33 A  
260 (Tax expense or (-) income related to profit or loss from continuing operations) BAD art 27.Vertical layout(15) IAS 1.82(d); IAS 12.77  
270 PROFIT OR (-) LOSS AFTER TAX FROM CONTINUING OPERATIONS BAD art 27.Vertical layout(16) IAS 1, IG 6  
275 Extraordinary profit or (-) loss after tax BAD art 27.Vertical layout(21)   
280 Profit or (-) loss after tax from discontinued operations  IAS 1.82(ea) ; IFRS 5.33(a), 5.33 A; Annex V Part 2.56  
290 PROFIT OR (-) LOSS FOR THE YEAR BAD art 27.Vertical layout(23) IAS 1.81A(a)  
 20.4 

   Gross carrying amount  Accumulated impairment Accumulated negative changes in fair value due to credit risk on non-performing exposures
  Of which: held for trading or trading of which: financial assets subject to impairment Of which: forborne Of which: non-perfoming
   of which: defaulted
References National GAAP based on BAD References National GAAP compatible IFRS Annex V.Part 1.34, Part 2.271, 275 Annex V.Part 1.15(a), 16(a), 17, Part 2.273 Annex V.Part 2.273 Annex V.Part 2.275 Annex V.Part 2.275 CRR art 178; Annex V.Part 2.237(b) Annex V.Part 2.274 Annex V.Part 2.274
  010 011 012 022 025 026 031 040
010 Derivatives CRR Annex II; Annex V.Part 2.272 IFRS 9 Appendix A, Annex V.Part 2.272        
020 Of which: credit institutions Annex V.Part 1.42(c) Annex V.Part 1.42(c)        
030 Of which: other financial corporations Annex V.Part 1.42(d) Annex V.Part 1.42(d)        
040 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5; Annex V Part 1.44(b) IAS 32.11        
050 Of which: credit institutions Annex V.Part 1.42(c) Annex V.Part 1.42(c)        
060 Of which: other financial corporations Annex V.Part 1.42(d) Annex V.Part 1.42(d)        
070 Of which: non-financial corporations Annex V.Part 1.42(e) Annex V.Part 1.42(e)        
080 Debt securities Annex V.Part 1.31, 44(b) Annex V.Part 1.31, 44(b)        
090 Central banks Annex V.Part 1.42(a) Annex V.Part 1.42(a)        
100 General governments Annex V.Part 1.42(b) Annex V.Part 1.42(b)        
110 Credit institutions Annex V.Part 1.42(c) Annex V.Part 1.42(c)        
120 Other financial corporations Annex V.Part 1.42(d) Annex V.Part 1.42(d)        
130 Non-financial corporations Annex V.Part 1.42(e) Annex V.Part 1.42(e)        
140 Loans and advances Annex V.Part 1.32, 44(a) Annex V.Part 1.32, 44(a)        
150 Central banks Annex V.Part 1.42(a) Annex V.Part 1.42(a)        
160 General governments Annex V.Part 1.42(b) Annex V.Part 1.42(b)        
170 Credit institutions Annex V.Part 1.42(c) Annex V.Part 1.42(c)        
180 Other financial corporations Annex V.Part 1.42(d) Annex V.Part 1.42(d)        
190 Non-financial corporations Annex V.Part 1.42(e) Annex V.Part 1.42(e)        
200 Of which: Small and Medium-sized Enterprises SME Art 1 2(a) SME Art 1 2(a)        
210 Of which: Loans collateralized by commercial immovable property Annex V.Part 2.86(a), 87 Annex V.Part 2.86(a), 87        
220 Households Annex V.Part 1.42(f) Annex V.Part 1.42(f)        
230 Of which: Loans collateralized by residential immovable property Annex V.Part 2.86(a), 87 Annex V.Part 2.86(a), 87        
240 Of which: Credit for consumption Annex V.Part 2.88(a) Annex V.Part 2.88(a)        
 20.5 

   Nominal amount    Provisions for commitments and guarantees given
  Of which: forborne Of which: non-perfoming 
  of which: defaulted 
References National GAAP based on BAD References National GAAP compatible IFRS Annex V.Part 2.118, 271 Annex V.Part 2.240-258 Annex V.Part 2.275 CRR art 178; Annex V.Part 2.237(b) Annex V.Part 2.276
  010 022 025 026 030
010 Loan commitments given CRR Annex I; Annex V.Part 1.44(g), Part 2.112, 113 CRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 113, 116     
020 Financial guarantees given CRR Annex I; Annex V.Part 1.44(f), Part 2.112, 114 IFRS 4 Annex A; CRR Annex I; Annex V.Part 1.44(f), Part 2.102-105, 114, 116     
030 Other Commitments given CRR Annex I; Annex V.Part 1.44(g), Part 2.112, 115 CRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 115, 116     
 20.6 

 References National GAAP based on BAD References National GAAP compatible IFRS Carrying amount
Annex V.Part 1.27-28, 2.271
010
010 Derivatives CRR Annex II; Annex V.Part 1.24(a), 25, 26, 44(e), Part 2.272 IFRS 9 Appendix A, Annex V.Part 1.44(e), Part 2.272 
020 Of which: credit institutions Annex V.Part 1.42(c) Annex V.Part 1.42(c) 
030 Of which: other financial corporations Annex V.Part 1.42(d) Annex V.Part 1.42(d) 
040 Short positions Annex V.Part 1.44(d) IFRS 9.BA7(b); Annex V.Part 1.44(d) 
050 Of which: credit institutions Annex V.Part 1.42(c) Annex V.Part 1.42(c) 
060 Of which: other financial corporations Annex V.Part 1.42(d) Annex V.Part 1.42(d) 
070 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 
080 Central banks Annex V.Part 1.42(a) Annex V.Part 1.42(a) 
090 General governments Annex V.Part 1.42(b) Annex V.Part 1.42(b) 
100 Credit institutions Annex V.Part 1.42(c) Annex V.Part 1.42(c) 
110 Other financial corporations Annex V.Part 1.42(d) Annex V.Part 1.42(d) 
120 Non-financial corporations Annex V.Part 1.42(e) Annex V.Part 1.42(e) 
130 Households Annex V.Part 1.42(f) Annex V.Part 1.42(f) 
 20.7.1 

 References Non-financial corporationsAnnex V. Part 2.271, 277
Gross carrying amount   Accumulated impairment Accumulated negative changes in fair value due to credit risk on non-performing exposures
of which: loans and advances subject to impairment Of which: non-performing
Annex V.Part 1.34, Part 2.275 Annex V.Part 2.273 Annex V.Part 2.275 Annex V.Part 2.274 Annex V.Part 2.274
010 011 012 021 022
010 A Agriculture, forestry and fishing NACE Regulation     
020 B Mining and quarrying NACE Regulation     
030 C Manufacturing NACE Regulation     
040 D Electricity, gas, steam and air conditioning supply NACE Regulation     
050 E Water supply NACE Regulation     
060 F Construction NACE Regulation     
070 G Wholesale and retail trade NACE Regulation     
080 H Transport ans storage NACE Regulation     
090 I Accommodation and food service activities NACE Regulation     
100 J Information and communication NACE Regulation     
105 K Financial and insurance activities NACE Regulation     
110 L Real estate activities NACE Regulation     
120 M Professional, scientific and technical activities NACE Regulation     
130 N Administrative and support service activities NACE Regulation     
140 O Public administration and defence, compulsory social security NACE Regulation     
150 P Education NACE Regulation     
160 Q Human health services and social work activities NACE Regulation     
170 R Arts, entertainment and recreation NACE Regulation     
180 S Other services NACE Regulation     
190 LOANS AND ADVANCES Annex V.Part 1.32     
 21. 

 References National GAAP based on BAD References National GAAP compatible IFRS Carrying amount
Annex V.Part 2.278-279
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 BAD art 4.Assets(9) 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 

 References National GAAP based on BAD References National GAAP compatible IFRS Current period
Annex V.Part 2.280
BAD art 27.Vertical layout(4), (5) IFRS 7.20(c ) 010
010 Fee and commission income  Annex V.Part 2.281-284 
020 Securities   
030 Issuances Annex V.Part 2.284(a) Annex V.Part 2.284(a) 
040 Transfer orders Annex V.Part 2.284(b) Annex V.Part 2.284(b) 
050 Other fee and commission income in relation to securities Annex V.Part 2.284(c) Annex V.Part 2.284(c) 
051 Corporate Finance   
052 M&A advisory Annex V.Part 2.284 (e) Annex V.Part 2.284 (e) 
053 Treasury services Annex V.Part 2.284(f) Annex V.Part 2.284(f) 
054 Other fee and commission income in relation to corporate finance activities Annex V.Part 2.284(g) Annex V.Part 2.284(g) 
055 Fee based advice Annex V.Part 2.284(h) Annex V.Part 2.284(h) 
060 Clearing and settlement Annex V.Part 2.284(i) Annex V.Part 2.284(i) 
070 Asset management Annex V.Part 2.284(j); 285(a) Annex V.Part 2.284(j); 285(a) 
080 Custody [by type of customer] Annex V.Part 2.284(j); 285(b) Annex V.Part 2.284(j); 285(b) 
090 Collective investment   
100 Other fee and commission income in relation to custody services   
110 Central administrative services for collective investment Annex V.Part 2.284(j); 285(c) Annex V.Part 2.284(j); 285(c) 
120 Fiduciary transactions Annex V.Part 2.284(j); 285(d) Annex V.Part 2.284(j); 285(d) 
131 Payment services Annex V.Part 2.284(k), 285(e) Annex V.Part 2.284(k), 285(e) 
132 Current accounts Annex V.Part 2.284(k), 285(e) Annex V.Part 2.284(k), 285(e) 
133 Credit cards Annex V.Part 2.284(k), 285(e) Annex V.Part 2.284(k), 285(e) 
134 Debit cards and other card payments Annex V.Part 2.284(k), 285(e) Annex V.Part 2.284(k), 285(e) 
135 Transfers and other payment orders Annex V.Part 2.284(k), 285(e) Annex V.Part 2.284(k), 285(e) 
136 Other fee and commission income in relation to payment services Annex V.Part 2.284(k), 285(e) Annex V.Part 2.284(k), 285(e) 
140 Customer resources distributed but not managed [by type of product] Annex V.Part 2.284 (l); 285(f) Annex V.Part 2.284 (l); 285(f) 
150 Collective investment   
160 Insurance products   
170 Other fee and commission income in relation to customer resources distributed but not managed   
180 Structured Finance Annex V.Part 2.284(n) Annex V.Part 2.284(n) 
190 Loan servicing activities Annex V.Part 2.284(o) Annex V.Part 2.284(o) 
200 Loan commitments given Annex V.Part 2.284(p) IFRS 9.4.2.1 (c)(ii); Annex V.Part 2.284(p) 
210 Financial guarantees given Annex V.Part 2.284(p) IFRS 9.4.2.1 (c)(ii); Annex V.Part 2.284(p) 
211 Loans granted Annex V.Part 2.284(r) Annex V.Part 2.284(r) 
213 Foreign exchange Annex V.Part 2.284(s) Annex V.Part 2.284(s) 
214 Commodities Annex V.Part 2.284(t) Annex V.Part 2.284(t) 
220 Other fee and commission income Annex V.Part 2.284(u) Annex V.Part 2.284(u) 
230 (Fee and commission expenses)  Annex V.Part 2.281-284 
235 (Securities) Annex V.Part 2.284(d) Annex V.Part 2.284(d) 
240 (Clearing and settlement) Annex V.Part 2.284(i) Annex V.Part 2.284(i) 
245 (Asset management) Annex V.Part 2.284(j); 285(a) Annex V.Part 2.284(j); 285(a) 
250 (Custody) Annex V.Part 2.284(j); 285 (b) Annex V.Part 2.284(j); 285 (b) 
255 (Payment services) Annex V.Part 2.284(k), 285(e) Annex V.Part 2.284(k), 285(e) 
256 (of which: Credit, Debit and other Cards)   
260 (Loan servicing activities) Annex V.Part 2.284(o) Annex V.Part 2.284(o) 
270 (Loan commitments received) Annex V.Part 2.284(q) Annex V.Part 2.284(q) 
280 (Financial guarantees received) Annex V.Part 2.284(q) Annex V.Part 2.284(q) 
281 (Externally provided distribution of products) Annex V.Part 2.284(m) Annex V.Part 2.284(m) 
282 (Foreign exchange) Annex V.Part 2.284(s) Annex V.Part 2.284(s) 
290 (Other fee and commission expenses) Annex V.Part 2.284(u) Annex V.Part 2.284(u) 
 22.2 

 References National GAAP based on BAD References National GAAP compatible IFRS Amount of the assets involved in the services provided
Annex V.Part 2.285(g)
010
010 Asset management [by type of customer] Annex V.Part 2.285(a) Annex V.Part 2.285(a) 
020 Collective investment   
030 Pension funds   
040 Customer portfolios managed on a discretionary basis   
050 Other investment vehicles   
060 Custody assets [by type of customer] Annex V.Part 2.285(b) Annex V.Part 2.285(b) 
070 Collective investment   
080 Other   
090 Of which: entrusted to other entities   
100 Central administrative services for collective investment Annex V.Part 2.285(c) Annex V.Part 2.285(c) 
110 Fiduciary transactions Annex V.Part 2.285(d) Annex V.Part 2.285(d) 
120 Payment services Annex V.Part 2.285(e) Annex V.Part 2.285(e) 
130 Customer resources distributed but not managed [by type of product] Annex V.Part 2.285(f) Annex V.Part 2.285(f) 
140 Collective investment   
150 Insurance products   
160 Other   
 23.  23.1 

   Number of instruments(Annex V.Part 2.320)
    Performing Non Performing
         Unlikely to pay that are not past due or past due <= 90 days Past due > 90 days
   of which: Exposures with forbearance measures  of which: Past due > 30 days <= 90 days of which: Exposures with forbearance measures  of which: Exposures with forbearance measures  of which: Exposures with forbearance measures  of which: Exposures with forbearance measures Past due > 90 days <= 180 days Past due > 180 days <= 1 year Past due > 1 years <=2 years Past due > 2 years <=5 years Past due > 5 years <=7 years Past due > 7 years
 References National GAAP compatible IFRS Annex V.Part 1.32 Annex V. Part 2. 256, 259-263 Annex V. Part 2. 213-216, 226-239 Annex V. Part 2. 222, 235 Annex V. Part 2. 259-261 Annex V. Part 2. 213-216, 226-239 Annex V. Part 2.256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236, 256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236, 256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236
References National GAAP based on BAD  Annex V.Part 1.32 Annex V. Part 2. 256, 259-263 Annex V. Part 2. 213-216, 226-232 Annex V. Part 2. 222, 235 Annex V. Part 2. 259-261 Annex V. Part 2. 213-216, 226-232 Annex V. Part 2.256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236, 256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236, 256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236
  0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110 0120 0130 0140 0150 0160 0170
0010 Loans and advances Annex V.Part 1.32, 44(a), Part 2.319 Annex V.Part 1.32, 44(a), Part 2.319                 
0020 of which: Households Annex V.Part 1.42(f) Annex V.Part 1.42(f)                 
0030 of which: Loans collateralised by residential immovable property Annex V.Part 2.86(a), 87, 234i (a) Annex V.Part 2.86(a), 87, 234i (a)                 
0040 of which: Non-financial corporations – SMEs Annex V.Part 1.42(e), SME Art 1 2(a) Annex V.Part 1.42(e), SME Art 1 2(a)                 
0050 of which: Commercial Real Estate (CRE) loans to SMEs Annex V.Part 2.239ix Annex V.Part 2.239ix                 
0060 of which: Non-financial corporations – other than SMEs Annex V.Part 1.42(e) Annex V.Part 1.42(e)                 
0070 of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs Annex V.Part 2.239ix Annex V.Part 2.239ix                 
0080 Loans and advances in pre-litigation status Annex V.Part 1.32, 44(a), Part 2.319, 321 Annex V.Part 1.32, 44(a), Part 2.319, 321                 
0090 of which: Households Annex V.Part 1.42(f) Annex V.Part 1.42(f)                 
0100 of which: Loans collateralised by residential immovable property Annex V.Part 2.86(a), 87 Annex V.Part 2.86(a), 87                 
0110 of which: Non-financial corporations – SMEs Annex V.Part 1.42(e), SME Art 1 2(a) Annex V.Part 1.42(e), SME Art 1 2(a)                 
0120 of which: Commercial Real Estate (CRE) loans to SMEs Annex V.Part 2.239ix Annex V.Part 2.239ix                 
0130 of which: Non-financial corporations – other than SMEs Annex V.Part 1.42(e) Annex V.Part 1.42(e)                 
0140 of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs Annex V.Part 2.239ix Annex V.Part 2.239ix                 
0150 Loans and advances in litigation status Annex V.Part 1.32, 44(a), Part 2.319; 322 Annex V.Part 1.32, 44(a), Part 2.319; 322                 
0160 of which: Households Annex V.Part 1.42(f) Annex V.Part 1.42(f)                 
0170 of which: Loans collateralised by residential immovable property Annex V.Part 2.86(a), 87 Annex V.Part 2.86(a), 87                 
0180 of which: Non-financial corporations – SMEs Annex V.Part 1.42(e), SME Art 1 2(a) Annex V.Part 1.42(e), SME Art 1 2(a)                 
0190 of which: Commercial Real Estate (CRE) loans to SMEs Annex V.Part 2.239ix Annex V.Part 2.239ix                 
0200 of which: Non-financial corporations – other than SMEs Annex V.Part 1.42(e) Annex V.Part 1.42(e)                 
0210 of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs Annex V.Part 2.239ix Annex V.Part 2.239ix                 
 23.2 

   Gross carrying amount(Annex V.Part 1.34)
    Performing Non Performing
         Unlikely to pay that are not past due or past due <= 90 days Past due > 90 days
   of which: Exposures with forbearance measures  of which: Past due > 30 days <= 90 days of which: Exposures with forbearance measures  of which: Exposures with forbearance measures  of which: Exposures with forbearance measures  of which: Exposures with forbearance measures Past due > 90 days <= 180 days Past due > 180 days <= 1 year Past due > 1 years <=2 years Past due > 2 years <=5 years Past due > 5 years <=7 years Past due > 7 years
 References National GAAP compatible IFRS Annex V.Part 1.32 Annex V. Part 2. 256, 259-263 Annex V. Part 2. 213-216, 226-239 Annex V. Part 2. 222, 235 Annex V. Part 2. 259-261 Annex V. Part 2. 213-216, 226-239 Annex V. Part 2.256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236, 256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236, 256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236
References National GAAP based on BAD  Annex V.Part 1.32 Annex V. Part 2. 256, 259-263 Annex V. Part 2. 213-216, 226-232 Annex V. Part 2. 222, 235 Annex V. Part 2. 259-261 Annex V. Part 2. 213-216, 226-232 Annex V. Part 2.256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236, 256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236, 256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236
  0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110 0120 0130 0140 0150 0160 0170
0010 Loans and advances Annex V.Part 1.32, 44(a), Part 2.319 Annex V.Part 1.32, 44(a), Part 2.319                 
0020 of which: Households Annex V.Part 1.42(f) Annex V.Part 1.42(f)                 
0030 of which: Loans collateralised by residential immovable property Annex V.Part 2.86(a), 87 Annex V.Part 2.86(a), 87                 
0040 of which: Non-financial corporations – SMEs Annex V.Part 1.42(e), SME Art 1 2(a) Annex V.Part 1.42(e), SME Art 1 2(a)                 
0050 of which: Commercial Real Estate (CRE) loans to SMEs Annex V.Part 2.239ix Annex V.Part 2.239ix                 
0060 of which: Non-financial corporations – other than SMEs Annex V.Part 1.42(e) Annex V.Part 1.42(e)                 
0070 of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs Annex V.Part 2.239ix Annex V.Part 2.239ix                 
0080 Loans and advances at cost or at amortised cost Annex V.Part 1.32, 44(a), Part 2.233 (a), 319 Annex V.Part 1.32, 44(a), Part 2.233 (a), 319                 
0090 of which: Households Annex V.Part 1.42(f) Annex V.Part 1.42(f)                 
0100 of which: Loans collateralised by residential immovable property Annex V.Part 2.86(a), 87 Annex V.Part 2.86(a), 87                 
0110 of which: Non-financial corporations – SMEs Annex V.Part 1.42(e), SME Art 1 2(a) Annex V.Part 1.42(e), SME Art 1 2(a)                 
0120 of which: Commercial Real Estate (CRE) loans to SMEs Annex V.Part 2.239ix Annex V.Part 2.239ix                 
0130 of which: Non-financial corporations – other than SMEs Annex V.Part 1.42(e) Annex V.Part 1.42(e)                 
0140 of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs Annex V.Part 2.239ix Annex V.Part 2.239ix                 
0150 Loans and advances in pre-litigation status Annex V.Part 1.32, 44(a), Part 2.319, 321 Annex V.Part 1.32, 44(a), Part 2.319, 321                 
0160 of which: Households Annex V.Part 1.42(f) Annex V.Part 1.42(f)                 
0170 of which: Loans collateralised by residential immovable property Annex V.Part 2.86(a), 87 Annex V.Part 2.86(a), 87                 
0180 of which: Non-financial corporations – SMEs Annex V.Part 1.42(e), SME Art 1 2(a) Annex V.Part 1.42(e), SME Art 1 2(a)                 
0190 of which: Commercial Real Estate (CRE) loans to SMEs Annex V.Part 2.239ix Annex V.Part 2.239ix                 
0200 of which: Non-financial corporations – other than SMEs Annex V.Part 1.42(e) Annex V.Part 1.42(e)                 
0210 of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs Annex V.Part 2.239ix Annex V.Part 2.239ix                 
0220 Loans and advances in litigation status Annex V.Part 1.32, 44(a), Part 2.319, 322 Annex V.Part 1.32, 44(a), Part 2.319, 322                 
0230 of which: Households Annex V.Part 1.42(f) Annex V.Part 1.42(f)                 
0240 of which: Loans collateralised by residential immovable property Annex V.Part 2.86(a), 87 Annex V.Part 2.86(a), 87                 
0250 of which: Non-financial corporations – SMEs Annex V.Part 1.42(e), SME Art 1 2(a) Annex V.Part 1.42(e), SME Art 1 2(a)                 
0260 of which: Commercial Real Estate (CRE) loans to SMEs Annex V.Part 2.239ix Annex V.Part 2.239ix                 
0270 of which: Non-financial corporations – other than SMEs Annex V.Part 1.42(e) Annex V.Part 1.42(e)                 
0280 of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs Annex V.Part 2.239ix Annex V.Part 2.239ix                 
0290 Unsecured loans and advances without guarantees Annex V.Part 1.32, 44(a), Part 2.319, 323 Annex V.Part 1.32, 44(a), Part 2.319, 323                 
0300 of which: Households Annex V.Part 1.42(f) Annex V.Part 1.42(f)                 
0310 of which: Non-financial corporations – SMEs Annex V.Part 1.42(e), SME Art 1 2(a) Annex V.Part 1.42(e), SME Art 1 2(a)                 
0320 of which: Commercial Real Estate (CRE) loans to SMEs Annex V.Part 2.239ix Annex V.Part 2.239ix                 
0330 of which: Non-financial corporations – other than SMEs Annex V.Part 1.42(e) Annex V.Part 1.42(e)                 
0340 of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs Annex V.Part 2.239ix Annex V.Part 2.239ix                 
0350 Loans and advances with an accumulated coverage ratio > 90 % Annex V.Part 1.32, 44(a), Part 2.319, 324 Annex V.Part 1.32, 44(a), Part 2.319, 324                 
0360 of which: Households Annex V.Part 1.42(f) Annex V.Part 1.42(f)                 
0370 of which: Loans collateralised by residential immovable property Annex V.Part 2.86(a), 87 Annex V.Part 2.86(a), 87                 
0380 of which: Non-financial corporations – SMEs Annex V.Part 1.42(e), SME Art 1 2(a) Annex V.Part 1.42(e), SME Art 1 2(a)                 
0390 of which: Commercial Real Estate (CRE) loans to SMEs Annex V.Part 2.239ix Annex V.Part 2.239ix                 
0400 of which: Non-financial corporations – other than SMEs Annex V.Part 1.42(e) Annex V.Part 1.42(e)                 
0410 of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs Annex V.Part 2.239ix Annex V.Part 2.239ix                 
 23.3 

   Gross carrying amount(Annex V.Part 1.34)
    Performing Non Performing
         Unlikely to pay that are not past due or past due <= 90 days Past due > 90 days
   of which: Exposures with forbearance measures  of which: Past due > 30 days <= 90 days of which: Exposures with forbearance measures  of which: Exposures with forbearance measures  of which: Exposures with forbearance measures  of which: Exposures with forbearance measures Past due > 90 days <= 180 days Past due > 180 days <= 1 year Past due > 1 years <=2 years Past due > 2 years <=5 years Past due > 5 years <=7 years Past due > 7 years
 References National GAAP compatible IFRS Annex V.Part 1.32 Annex V. Part 2. 256, 259-263 Annex V. Part 2. 213-216, 226-239 Annex V. Part 2. 222, 235 Annex V. Part 2. 259-261 Annex V. Part 2. 213-216, 226-239 Annex V. Part 2.256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236, 256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236, 256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236
References National GAAP based on BAD  Annex V.Part 1.32 Annex V. Part 2. 256, 259-263 Annex V. Part 2. 213-216, 226-232 Annex V. Part 2. 222, 235 Annex V. Part 2. 259-261 Annex V. Part 2. 213-216, 226-232 Annex V. Part 2.256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236, 256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236, 256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236
  0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110 0120 0130 0140 0150 0160 0170
0010 Loans and advances collateralised by immovable property Annex V.Part 1.32, 44(a), Part 2.86(a), 87, 319 Annex V.Part 1.32, 44(a), Part 2.86(a), 87, 319                 
0020 Of which: Loans with a LTV higher than 60 % and lower than or equal to 80 % Annex V.Part 2.239x, 325 Annex V.Part 2.239x, 325                 
0030 Of which: Loans with a LTV higher than 80 % and lower than or equal to 100 % Annex V.Part 2.239x, 325 Annex V.Part 2.239x, 325                 
0040 Of which: Loans with a LTV higher than 100 % Annex V.Part 2.239x, 325 Annex V.Part 2.239x, 325                 
0050 Loans and advances to small and medium-sized enterprises (NFCs) collateralised by commercial immovable property Annex V.Part 1.32, 42 (e), 44(a), Part 2.86(a), 87, 319; SME Art 1 2(a) Annex V.Part 1.32, 42 (e), 44(a), Part 2.86(a), 87, 319; SME Art 1 2(a)                 
0060 Of which: Loans with a LTV higher than 60 % and lower than or equal to 80 % Annex V.Part 2.239x, 325 Annex V.Part 2.239x, 325                 
0070 Of which: Loans with a LTV higher than 80 % and lower than or equal to 100 % Annex V.Part 2.239x, 325 Annex V.Part 2.239x, 325                 
0080 Of which: Loans with a LTV higher than 100 % Annex V.Part 2.239x, 325 Annex V.Part 2.239x, 325                 
0090 Loans and advances to non-financial corporations (NFCs) other than SMEs collateralised by commercial immovable property Annex V.Part 1.32, 42 (e), 44(a), Part 2.86(a), 87, 319; SME Art 1 2(a) Annex V.Part 1.32, 42 (e), 44(a), Part 2.86(a), 87, 319; SME Art 1 2(a)                 
0100 Of which: Loans with a LTV higher than 60 % and lower than or equal to 80 % Annex V.Part 2.239x, 325 Annex V.Part 2.239x, 325                 
0110 Of which: Loans with a LTV higher than 80 % and lower than or equal to 100 % Annex V.Part 2.239x, 325 Annex V.Part 2.239x, 325                 
0120 Of which: Loans with a LTV higher than 100 % Annex V.Part 2.239x, 325 Annex V.Part 2.239x, 325                 
0130 Commercial Real Estate loans to small and medium-sized enterprises (NFCs) collateralised by immovable property Annex V.Part 1.32, 42 (e), 44(a), Part 2.86(a), 87, 239ix, 319; SME Art 1 2(a) Annex V.Part 1.32, 42 (e), 44(a), Part 2.86(a), 87, 239ix, 319; SME Art 1 2(a)                 
0140 Of which: Loans with a LTV higher than 60 % and lower than or equal to 80 % Annex V.Part 2.239x, 325 Annex V.Part 2.239x, 325                 
0150 Of which: Loans with a LTV higher than 80 % and lower than or equal to 100 % Annex V.Part 2.239x, 325 Annex V.Part 2.239x, 325                 
0160 Of which: Loans with a LTV higher than 100 % Annex V.Part 2.239x, 325 Annex V.Part 2.239x, 325                 
0170 Commercial Real Estate loans to non-financial corporations (NFCs) other than SMEs) collateralised by immovable property Annex V.Part 1.32, 42 (e), 44(a), Part 2.86(a), 87, 239ix, 319; SME Art 1 2(a) Annex V.Part 1.32, 42 (e), 44(a), Part 2.86(a), 87, 239ix, 319; SME Art 1 2(a)                 
0180 Of which: Loans with a LTV higher than 60 % and lower than or equal to 80 % Annex V.Part 2.239x, 325 Annex V.Part 2.239x, 325                 
0190 Of which: Loans with a LTV higher than 80 % and lower than or equal to 100 % Annex V.Part 2.239x, 325 Annex V.Part 2.239x, 325                 
0200 Of which: Loans with a LTV higher than 100 % Annex V.Part 2.239x, 325 Annex V.Part 2.239x, 325                 
 23.4 

   Accumulated impairment, accumulated negative changes in fair value due to credit risk(Annex V. Part 2.69-71)
    Performing Non Performing
         Unlikely to pay that are not past due or past due <= 90 days Past due > 90 days
   of which: Exposures with forbearance measures  of which: Past due > 30 days <= 90 days of which: Exposures with forbearance measures  of which: Exposures with forbearance measures  of which: Exposures with forbearance measures  of which: Exposures with forbearance measures Past due > 90 days <= 180 days Past due > 180 days <= 1 year Past due > 1 years <=2 years Past due > 2 years <=5 years Past due > 5 years <=7 years Past due > 7 years
 References National GAAP compatible IFRS Annex V.Part 1.32 Annex V. Part 2. 256, 259-263 Annex V. Part 2. 213-216, 226-239 Annex V. Part 2. 222, 235 Annex V. Part 2. 259-261 Annex V. Part 2. 213-216, 226-239 Annex V. Part 2.256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236, 256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236, 256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236
References National GAAP based on BAD  Annex V.Part 1.32 Annex V. Part 2. 256, 259-263 Annex V. Part 2. 213-216, 226-232 Annex V. Part 2. 222, 235 Annex V. Part 2. 259-261 Annex V. Part 2. 213-216, 226-232 Annex V. Part 2.256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236, 256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236, 256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236
  0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110 0120 0130 0140 0150 0160 0170
0010 Loans and advances Annex V.Part 1.32, 44(a), Part 2.319 Annex V.Part 1.32, 44(a), Part 2.319                 
0020 of which: Households Annex V.Part 1.42(f) Annex V.Part 1.42(f)                 
0030 of which: Loans collateralised by residential immovable property Annex V.Part 2.86(a), 87 Annex V.Part 2.86(a), 87                 
0040 of which: Non-financial corporations – SMEs Annex V.Part 1.42(e), SME Art 1 2(a) Annex V.Part 1.42(e), SME Art 1 2(a)                 
0050 of which: Commercial Real Estate (CRE) loans to SMEs Annex V.Part 2.239ix Annex V.Part 2.239ix                 
0060 of which: Non-financial corporations – other than SMEs Annex V.Part 1.42(e) Annex V.Part 1.42(e)                 
0070 of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs Annex V.Part 2.239ix Annex V.Part 2.239ix                 
0080 Loans and advances at cost or at amortised cost Annex V.Part 1.32, 44(a), Part 2.233 (a), 319 Annex V.Part 1.32, 44(a), Part 2.233 (a), 319                 
0090 of which: Households Annex V.Part 1.42(f) Annex V.Part 1.42(f)                 
0100 of which: Loans collateralised by residential immovable property Annex V.Part 2.86(a), 87 Annex V.Part 2.86(a), 87                 
0110 of which: Non-financial corporations – SMEs Annex V.Part 1.42(e), SME Art 1 2(a) Annex V.Part 1.42(e), SME Art 1 2(a)                 
0120 of which: Commercial Real Estate (CRE) loans to SMEs Annex V.Part 2.239ix Annex V.Part 2.239ix                 
0130 of which: Non-financial corporations – other than SMEs Annex V.Part 1.42(e) Annex V.Part 1.42(e)                 
0140 of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs Annex V.Part 2.239ix Annex V.Part 2.239ix                 
0150 Unsecured loans and advances without guarantees Annex V.Part 1.32, 44(a), Part 2.319, 323 Annex V.Part 1.32, 44(a), Part 2.319, 323                 
0160 of which: Households Annex V.Part 1.42(f) Annex V.Part 1.42(f)                 
0170 of which: Non-financial corporations – SMEs Annex V.Part 1.42(e), SME Art 1 2(a) Annex V.Part 1.42(e), SME Art 1 2(a)                 
0180 of which: Commercial Real Estate (CRE) loans to SMEs Annex V.Part 2.239ix Annex V.Part 2.239ix                 
0190 of which: Non-financial corporations – other than SMEs Annex V.Part 1.42(e) Annex V.Part 1.42(e)                 
0200 of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs Annex V.Part 2.239ix Annex V.Part 2.239ix                 
 23.5 

   Maximum amount of the collateral or guarantee that can be consideredAnnex V.Part 2.171-172, 174
    Performing Non Performing
         Unlikely to pay that are not past due or past due <= 90 days Past due > 90 days
   of which: Exposures with forbearance measures  of which: Past due > 30 days <= 90 days of which: Exposures with forbearance measures  of which: Exposures with forbearance measures  of which: Exposures with forbearance measures  of which: Exposures with forbearance measures Past due > 90 days <= 180 days Past due > 180 days <= 1 year Past due > 1 years <=2 years Past due > 2 years <=5 years Past due > 5 years <=7 years Past due > 7 years
 References National GAAP compatible IFRS Annex V.Part 1.32 Annex V. Part 2. 256, 259-263 Annex V. Part 2. 213-216, 226-239 Annex V. Part 2. 222, 235 Annex V. Part 2. 259-261 Annex V. Part 2. 213-216, 226-239 Annex V. Part 2.256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236, 256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236, 256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236
References National GAAP based on BAD  Annex V.Part 1.32 Annex V. Part 2. 256, 259-263 Annex V. Part 2. 213-216, 226-232 Annex V. Part 2. 222, 235 Annex V. Part 2. 259-261 Annex V. Part 2. 213-216, 226-232 Annex V. Part 2.256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236, 256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236, 256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236
  0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110 0120 0130 0140 0150 0160 0170
0010 Financial guarantees received on loans and advances Annex V.Part 2.319, 326 Annex V.Part 2.319, 326                 
0020 of which: Households Annex V.Part 1.42(f) Annex V.Part 1.42(f)                 
0030 of which: Loans collateralised by residential immovable property Annex V.Part 2.86(a), 87 Annex V.Part 2.86(a), 87                 
0040 of which: Non-financial corporations – SMEs Annex V.Part 1.42(e), SME Art 1 2(a) Annex V.Part 1.42(e), SME Art 1 2(a)                 
0050 of which: Commercial Real Estate (CRE) loans to SMEs Annex V.Part 2.239ix Annex V.Part 2.239ix                 
0060 of which: Non-financial corporations – other than SMEs Annex V.Part 1.42(e) Annex V.Part 1.42(e)                 
0070 of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs Annex V.Part 2.239ix Annex V.Part 2.239ix                 
0080 Collateral received on loans and advances Annex V.Part 2.319, 326 Annex V.Part 2.319, 326                 
0090 of which: Households Annex V.Part 1.42(f) Annex V.Part 1.42(f)                 
0100 of which: Loans collateralised by residential immovable property Annex V.Part 2.86(a), 87 Annex V.Part 2.86(a), 87                 
0110 of which: Non-financial corporations – SMEs Annex V.Part 1.42(e), SME Art 1 2(a) Annex V.Part 1.42(e), SME Art 1 2(a)                 
0120 of which: Commercial Real Estate (CRE) loans to SMEs Annex V.Part 2.239ix Annex V.Part 2.239ix                 
0130 of which: Non-financial corporations – other than SMEs Annex V.Part 1.42(e) Annex V.Part 1.42(e)                 
0140 of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs Annex V.Part 2.239ix Annex V.Part 2.239ix                 
0150 Immovable property collateral received on loans and advances Annex V.Part 2.319, 326 Annex V.Part 2.319, 326                 
0160 of which: Households Annex V.Part 1.42(f) Annex V.Part 1.42(f)                 
0170 of which: Loans collateralised by residential immovable property Annex V.Part 2.86(a), 87 Annex V.Part 2.86(a), 87                 
0180 of which: Non-financial corporations – SMEs Annex V.Part 1.42(e), SME Art 1 2(a) Annex V.Part 1.42(e), SME Art 1 2(a)                 
0190 of which: Commercial Real Estate (CRE) loans to SMEs Annex V.Part 2.239ix Annex V.Part 2.239ix                 
0200 of which: Non-financial corporations – other than SMEs Annex V.Part 1.42(e) Annex V.Part 1.42(e)                 
0210 of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs Annex V.Part 2.239ix Annex V.Part 2.239ix                 
0220 Memorandum item: Collateral received on loans and advances – uncapped amounts Annex V.Part 2.319, 326, 327 Annex V.Part 2.319, 326, 327                 
0230 of which: Immovable property collateral Annex V.Part 2.319, 326, 327 Annex V.Part 2.319, 326, 327                 
 23.6 

   Accumulated partial write-offs(Annex V.Part 2.72, 74)
    Performing Non Performing
         Unlikely to pay that are not past due or past due <= 90 days Past due > 90 days
   of which: Exposures with forbearance measures  of which: Past due > 30 days <= 90 days of which: Exposures with forbearance measures  of which: Exposures with forbearance measures  of which: Exposures with forbearance measures  of which: Exposures with forbearance measures Past due > 90 days <= 180 days Past due > 180 days <= 1 year Past due > 1 years <=2 years Past due > 2 years <=5 years Past due > 5 years <=7 years Past due > 7 years
 References National GAAP compatible IFRS Annex V.Part 1.32 Annex V. Part 2. 256, 259-263 Annex V. Part 2. 213-216, 226-239 Annex V. Part 2. 222, 235 Annex V. Part 2. 259-261 Annex V. Part 2. 213-216, 226-239 Annex V. Part 2.256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236, 256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236, 256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236
References National GAAP based on BAD  Annex V.Part 1.32 Annex V. Part 2. 256, 259-263 Annex V. Part 2. 213-216, 226-232 Annex V. Part 2. 222, 235 Annex V. Part 2. 259-261 Annex V. Part 2. 213-216, 226-232 Annex V. Part 2.256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236, 256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236, 256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236
  0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110 0120 0130 0140 0150 0160 0170
0010 Loans and advances Annex V.Part 1.32, 44(a), Part 2.319 Annex V.Part 1.32, 44(a), Part 2.319                 
0020 of which: Households Annex V.Part 1.42(f) Annex V.Part 1.42(f)                 
0030 of which: Loans collateralised by residential immovable property Annex V.Part 2.86(a), 87 Annex V.Part 2.86(a), 87                 
0040 of which: Non-financial corporations – SMEs Annex V.Part 1.42(e), SME Art 1 2(a) Annex V.Part 1.42(e), SME Art 1 2(a)                 
0050 of which: Commercial Real Estate (CRE) loans to SMEs Annex V.Part 2.239ix Annex V.Part 2.239ix                 
0060 of which: Non-financial corporations – other than SMEs Annex V.Part 1.42(e) Annex V.Part 1.42(e)                 
0070 of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs Annex V.Part 2.239ix Annex V.Part 2.239ix                 
 24.  24.1 

   Gross Carrying amount(Annex V. Part 1.34)
  Non-performing exposures – loans and advances
   of which: Households of which: Non-financial corporations
    of which: Loans collateralised by residential immovable property  of which: SMEs of which: CRE loans to NFCs other than SMEs
      of which:Commercial Real Estate (CRE) loans
 References National GAAP compatible IFRS Annex V.Part 1.32, 34, Part 2.213-216, 223-239 Annex V.Part 1.42(f), 44(a) Annex V.Part 2.86(a), 87 Annex V.Part 1.42(e), 44(a) SME Art 1 2(a) SME Art 1 2(a), Annex V.Part 2.239ix Annex V.Part 2.239ix
References National GAAP based on BAD  Annex V.Part 1.32, 34, Part 2.213-216, 223-239 Annex V.Part 1.42(f), 44(a) Annex V.Part 2.86(a), 87 Annex V.Part 1.42(e), 44(a) SME Art 1 2(a) SME Art 1 2(a), Annex V.Part 2.239ix Annex V.Part 2.239ix
  0010 0020 0030 0040 0050 0060 0070
0010 Opening balance Annex V.Part 2.328 Annex V.Part 2.328       
0020 Inflows Annex V.Part 2.239ii, 239iii, 239vi, 329 Annex V.Part 2.239ii, 239iii, 239vi, 329       
0030 Inflow due to reclassification from performing not forborne Annex V.Part 2.239ii, 239iii, 239vi, 329 Annex V.Part 2.239ii, 239iii, 239vi, 329       
0040 Inflow due to reclassification from performing forborne Annex V.Part 2.239ii, 239iii, 239vi, 329 Annex V.Part 2.239ii, 239iii, 239vi, 329       
0050 of which: reclassified from performing forborne exposures under probation previously reclassified from non-performing Annex V.Part 2.239ii, 239iii, 239vi, 329(b) Annex V.Part 2.239ii, 239iii, 239vi, 329(b)       
0060 Inflow due to purchase of exposures Annex V.Part 2.239ii, 239iii, 239vi, 329 Annex V.Part 2.239ii, 239iii, 239vi, 329       
0070 Inflow due to accrued interest Annex V.Part 2.239ii, 239iii, 239vi, 329 (a) Annex V.Part 2.239ii, 239iii, 239vi, 329 (a)       
0080 Inflow due to other reasons Annex V.Part 2.239ii, 239iii, 239vi, 329 (c) Annex V.Part 2.239ii, 239iii, 239vi, 329 (c)       
0090 Of which: Inflow more than once Annex V.Part 2.239ii, 239iii, 239vi, 330 (a) Annex V.Part 2.239ii, 239iii, 239vi, 330 (a)       
0100 Of which: Inflow of exposures granted in the past 24 months Annex V.Part 2.239ii, 239iii, 239vi, 330 (b) Annex V.Part 2.239ii, 239iii, 239vi, 330 (b)       
0110 Of which: Inflow of exposures granted during the period Annex V.Part 2.239ii, 239iii, 239vi, 330 (b) Annex V.Part 2.239ii, 239iii, 239vi, 330 (b)       
0120 Outflows Annex V.Part 2.239iii-239v, 331, 332 Annex V.Part 2.239iii-239v, 331, 332       
0130 Outflow due to reclassification as performing not forborne Annex V.Part 2.239iii-239v(a), 331, 332 Annex V.Part 2.239iii-239v(a), 331, 332       
0140 Outflow due to reclassification as performing forborne Annex V.Part 2.239iii-239v(a), 331, 332 Annex V.Part 2.239iii-239v(a), 331, 332       
0150 Outflow due to partial or total loan repayment Annex V.Part 2.239iii-239v(b), 331, 332 Annex V.Part 2.239iii-239v(b), 331, 332       
0160 Outflow due to collateral liquidations Annex V.Part 2.239iii-239v(c), 331, 332 Annex V.Part 2.239iii-239v(c), 331, 332       
0170 Net cumulated recoveries from collateral liquidation Annex V.Part 2.333 Annex V.Part 2.333       
0180 of which: Write-offs in the context of collateral liquidations Annex V.Part 2.239iii-239v(c) Annex V.Part 2.239iii-239v(c)       
0190 Outflow due to taking possession of collateral Annex V.Part 2.239iii-239v(d), 331, 332 Annex V.Part 2.239iii-239v(d), 331, 332       
0200 Net cumulated recoveries from taking possession of collateral Annex V.Part 2.333 Annex V.Part 2.333       
0210 of which: Write-offs in the context of taking possession of collateral Annex V.Part 2.239iii-239v(d) Annex V.Part 2.239iii-239v(d)       
0220 Outflow due to sale of instruments Annex V.Part 2.239iii-239v(e), 331, 332 Annex V.Part 2.239iii-239v(e), 331, 332       
0230 Net cumulated recoveries from sale of instruments Annex V.Part 2.333 Annex V.Part 2.333       
0240 of which: Write-offs in the context of sale of instruments Annex V.Part 2.239iii-239v(e) Annex V.Part 2.239iii-239v(e)       
0250 Outflow due to risk transfers Annex V.Part 2.239iii-239v(f), 331, 332 Annex V.Part 2.239iii-239v(f), 331, 332       
0260 Net cumulated recoveries from risk transfers Annex V.Part 2.333 Annex V.Part 2.333       
0270 of which: Write-offs in the context of risk transfers Annex V.Part 2.239iii-239v(f) Annex V.Part 2.239iii-239v(f)       
0280 Outflow due to write-offs Annex V.Part 2.239iii-239v(g), 331, 332 Annex V.Part 2.239iii-239v(g), 331, 332       
0290 Outflow due to reclassification as held for sale Annex V.Part 2.239iii-239vi, 331, 332 Annex V.Part 2.239iii-239vi, 331, 332       
0300 Outflow due to other reasons Annex V.Part 2.239iii-239v(h), 331, 332 Annex V.Part 2.239iii-239v(h), 331, 332       
0310 Of which: Outflow of non-performing exposures that became non-performing during the period Annex V.Part 2.334 Annex V.Part 2.334       
0320 Closing balance Annex V.Part 2.328 Annex V.Part 2.328       
 24.2 

   Accumulated impairment and accumulated negative changes in fair value due to credit risk
  Non-performing exposures – loans and advances
   of which: Households of which: Non-financial corporations
    of which: Loans collateralised by residential immovable property  of which: SMEs of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs
      of which:Commercial Real Estate (CRE) loans
 References National GAAP compatible IFRS Annex V.Part 1.32, Part 2.69-71, 213-216, 223-239 Annex V.Part 1.42(f), 44(a) Annex V.Part 2.86(a), 87 Annex V.Part 1.42(e), 44(a) SME Art 1 2(a) SME Art 1 2(a), Annex V.Part 2.239ix Annex V.Part 2.239ix
References National GAAP based on BAD  Annex V.Part 1.32, Part 2.69-71, 213-216, 223-239 Annex V.Part 1.42(f), 44(a) Annex V.Part 2.86(a), 87 Annex V.Part 1.42(e), 44(a) SME Art 1 2(a) SME Art 1 2(a), Annex V.Part 2.239ix Annex V.Part 2.239ix
  0010 0020 0030 0040 0050 0060 0070
0010 Opening balance Annex V.Part 2.335 Annex V.Part 2.335       
0020 Increases during the period Annex V.Part 2.336 Annex V.Part 2.336       
0030 Of which: impairments against interest accrued Annex V.Part 2.337 Annex V.Part 2.337       
0040 Decreases during the period Annex V.Part 2.338 Annex V.Part 2.338       
0050 Of which: Reversal of impairment and negative changes in fair value due to credit risk Annex V.Part 2.339(a) Annex V.Part 2.339(a)       
0060 Of which: Release of allowances due to unwinding process Annex V.Part 2.339(b) Annex V.Part 2.339(b)       
0070 Closing balance Annex V.Part 2.335 Annex V.Part 2.335       
 24.3 

   Gross Carrying amount
  Non-performing exposures – Loans and advances
   of which: Households of which: Non-financial corporations
    of which: Loans collateralised by residential immovable property  Of which: SMEs Of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs
      Of which:Commercial Real Estate (CRE) loans to SMEs
 References National GAAP compatible IFRS Annex V.Part 1.32, 34, Part 2.213-216, 223-239 Annex V.Part 1.42(f), 44(a) Annex V.Part 2.86(a), 87 Annex V.Part 1.42(e), 44(a) SME Art 1 2(a) SME Art 1 2(a), Annex V.Part 2.239ix Annex V.Part 2.239ix
References National GAAP based on BAD  Annex V.Part 1.32, 34, Part 2.213-216, 223-239 Annex V.Part 1.42(f), 44(a) Annex V.Part 2.86(a), 87 Annex V.Part 1.42(e), 44(a) SME Art 1 2(a) SME Art 1 2(a), Annex V.Part 2.239ix Annex V.Part 2.239ix
  0010 0020 0030 0040 0050 0060 0070
0010 Write-offs during the period Annex V.Part 2.340 Annex V.Part 2.340       
0020 Of which: Debt forgiveness Annex V.Part 2.340 Annex V.Part 2.340       
 25.  25.1 

   Debt balance reduction Collateral obtained by taking possession other than collateral classified as Property Plant and Equipment (PP&E)
    Vintage: Recognition in balance sheet for Of which:Non-current assets held-for-sale
    <= 2 years > 2 years <= 5 years > 5 years
  Gross carrying amount Accumulated impairment, accumulated negative changes in fair value due to credit risk Value at initial recognition Carrying amount Value at initial recognition Carrying amount Value at initial recognition Carrying amount Value at initial recognition Carrying amount Value at initial recognition Carrying amount
 References National GAAP compatible IFRS Annex V.Part 1.34, Part 2.343 Annex V.Part 2.69-71, 343 Annex V.Part 2.175, 175i, 344 Annex V.Part 1.27, Part 2.175 Annex V.Part 2.175, 175i, 348 Annex V.Part 1.27, Part 2.175, 348 Annex V.Part 2.175, 175i, 348 Annex V.Part 1.27, Part 2.175, 348 Annex V.Part 2.175, 175i, 348 Annex V.Part 1.27, Part 2.175, 348 IFRS 5.6, Annex V.Part 2.175, 175i, 344 IFRS 5.6, Annex V.Part 1.27, Part 2.175
References National GAAP based on BAD  Annex V.Part 1.34, Part 2.343 Annex V.Part 1.34, Part 2.343 Annex V.Part 2.175, 175i, 344 Annex V.Part 1.27, Part 2.175 Annex V.Part 2.175, 175i, 348 Annex V.Part 1.27, Part 2.175, 348 Annex V.Part 2.175, 175i, 348 Annex V.Part 1.27, Part 2.175, 352 Annex V.Part 2.175, 175i, 348 Annex V.Part 1.27, Part 2.175, 348 Annex V.Part 2.175, 175i, 344 Annex V.Part 1.27, Part 2.175
  0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110 0120
0010 Opening balance Annex V.Part 2.341, 342 Annex V.Part 2.341, 342            
0020 Inflows of collateral during the period Annex V.Part 2.345, 349 Annex V.Part 2.345, 349            
0030 Inflow due to new collateral obtained by taking possession Annex V.Part 2.345, 349 Annex V.Part 2.345, 349            
0040 Inflow due to positive changes in value Annex V.Part 2.345, 349 Annex V.Part 2.345, 349            
0050 Outflows of collateral during the period Annex V.Part 2.346, 349 Annex V.Part 2.346, 349            
0060 Outflow for which cash was collected Annex V.Part 2.347, 349 Annex V.Part 2.347, 349            
0070 Cash collected net of costs Annex V.Part 2.347 Annex V.Part 2.347            
0080 Profits/(-) losses from sale of collateral obtained by taking possession Annex V.Part 2.347 Annex V.Part 2.347            
0090 Outflow with replacement by financial instrument Annex V.Part 2.346, 349 Annex V.Part 2.346, 349            
0100 Financing granted Annex V.Part 2.347 Annex V.Part 2.347            
0110 Outflow due to negative changes in value Annex V.Part 2.346, 349 Annex V.Part 2.346, 349            
0120 Closing balance Annex V.Part 2.341, 342 Annex V.Part 2.341, 342            
 25.2 

   Debt balance reduction Collateral obtained by taking possession other than collateral classified as Property Plant and Equipment (PP&E)
     Vintage: Recognition in balance sheet for Of which:Non-current assets held-for-sale
     <= 2 years > 2 years <= 5 years > 5 years
  Gross carrying amount Accumulated impairment, accumulated negative changes in fair value due to credit risk Value at initial recognition Carrying amount Accumulated negative changes Value at initial recognition Carrying amount Accumulated negative changes Value at initial recognition Carrying amount Accumulated negative changes Value at initial recognition Carrying amount Accumulated negative changes Value at initial recognition Carrying amount
 References National GAAP compatible IFRS Annex V.Part 1.34, Part 2.343 Annex V.Part 2.69-71, 343 Annex V.Part 2.175, 175i, 344 Annex V.Part 1.27, Part 2.175 Annex V.Part 2.175, 175ii Annex V.Part 2.175, 175i, 348 Annex V.Part 1.27, Part 2.175, 348 Annex V.Part 2.175, 175ii, 348 Annex V.Part 2.175, 175i, 348 Annex V.Part 1.27, Part 2.175, 348 Annex V.Part 2.175, 175ii, 348 Annex V.Part 2.175, 175i, 348 Annex V.Part 1.27, Part 2.175, 348 Annex V.Part 2.175, 175ii, 348 IFRS 5.6, Annex V.Part 2.175, 175i IFRS 5.6, Annex V.Part 1.27, Part 2.175
References National GAAP based on BAD  Annex V.Part 1.34, Part 2.343 Annex V.Part 1.34, Part 2.343 Annex V.Part 2.175, 175i, 344 Annex V.Part 1.27, Part 2.175 Annex V.Part 2.175, 175ii Annex V.Part 2.175, 175i, 348 Annex V.Part 1.27, Part 2.175, 348 Annex V.Part 2.175, 175ii, 348 Annex V.Part 2.175, 175i, 348 Annex V.Part 1.27, Part 2.175, 348 Annex V.Part 2.175, 175ii, 348 Annex V.Part 2.175, 175i, 348 Annex V.Part 1.27, Part 2.175, 348 Annex V.Part 2.175, 175ii, 348 Annex V.Part 2.175, 175i Annex V.Part 1.27, Part 2.175
  0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110 0120 0130 0140 0150 0160
0010 Residential immovable property Annex V. Part 2.350, 351 Annex V. Part 2.350, 351                
0020 Of which: under construction / development Annex V. Part 2.350, 352(a) Annex V. Part 2.350, 352(a)                
0030 Commercial immovable property Annex V. Part 2.350, 351 Annex V. Part 2.350, 351                
0040 Of which: under construction / development Annex V. Part 2.350, 352(a) Annex V. Part 2.350, 352(a)                
0050 Of which: Land related to commercial real estate corporations (excluding agricultural land) Annex V. Part 2.350, 352(b) Annex V. Part 2.350, 352(b)                
0060 Of which: Land with planning permission for development Annex V. Part 2.350, 352(b) Annex V. Part 2.350, 352(b)                
0070 Of which: Land without planning permission for development Annex V. Part 2.350, 352(b) Annex V. Part 2.350, 352(b)                
0080 Movable property Annex V. Part 2.350, 351 Annex V. Part 2.350, 351                
0090 Equity and debt securities Annex V. Part 2.350, 351 Annex V. Part 2.350, 351                
0100 Other Annex V. Part 2.350, 351 Annex V. Part 2.350, 351                
0110 Total Annex V. Part 2.350, 351 Annex V. Part 2.350, 351                
0120 Number of Collateral obtained by taking possession Annex V. Part 2.350, 351 Annex V. Part 2.350, 351                
 25.3 

   Debt balance reduction Collateral obtained by taking possession classified as Property Plant and Equipment (PP&E)
  Gross carrying amount Accumulated impairment, accumulated negative changes in fair value due to credit risk Value at initial recognition Carrying amount Accumulated negative changes
 References National GAAP compatible IFRS Annex V.Part 1.34, Part 2.343 Annex V.Part 2.69-71, 343 IAS 16.6, Annex V.Part 2.175, 175i IAS 16.6, Annex V.Part 1.27, Part 2.175 IAS 16.6, Annex V.Part 2.175, 175ii
References National GAAP based on BAD  Annex V.Part 1.34, Part 2.343 Annex V.Part 1.34, Part 2.343 Annex V.Part 2.175, 175i Annex V.Part 1.27, Part 2.175 Annex V.Part 2.175, 175ii
  0010 0020 0030 0040 0050
0010 Total Annex V.Part 2.341, 357-358 Annex V.Part 2.341, 357-358     
0020 Inflows due to new collateral obtained by taking possession Annex V.Part 2.341, 345, 357-358 Annex V.Part 2.341, 345, 357-358     
 26. 

   Loans and advances with forbearance measures
     of which: Households of which: Non-financial corporations
   of which: performing of which: having been granted forbearance measures during the period  of which: performing of which: having been granted forbearance measures during the period  of which: performing of which: having been granted forbearance measures during the period
 References National GAAP compatible IFRS Annex V.Part 1.32, Part 2.240-245, 252-257 Annex V.Part 2.256, 259-261 Annex V.Part 2.361 Annex V.Part 1.32, 42(f), 44(a), Part 2.240-245, 252-257 Annex V.Part 2.256, 259-261 Annex V.Part 2.361 Annex V.Part 1.32, 42(e), 44(a), Part 2.240-245, 252-257 Annex V.Part 2.256, 259-261 Annex V.Part 2.361
References National GAAP based on BAD  Annex V.Part 1.32, Part 2.240-245, 252-257 Annex V.Part 2.256, 259-261 Annex V.Part 2.361 Annex V.Part 1.32, 42(f), 44(a), Part 2.240-245, 252-257 Annex V.Part 2.256, 259-261 Annex V.Part 2.361 Annex V.Part 1.32, 42(e), 44(a), Part 2.240-245, 252-257 Annex V.Part 2.256, 259-261 Annex V.Part 2.361
  0010 0020 0030 0040 0050 0060 0070 0080 0090
0010 Number of instruments Annex V. Part 2.320, 355, 356 Annex V. Part 2.320, 355, 356         
0020 Gross carrying amount of instruments, for the following types of forbearance measures: Annex V.Part 1.34, Part 2.355, 357, 359 Annex V.Part 1.34, Part 2.355, 357, 359         
0030 Grace period/payment moratorium Annex V.Part 2.358(a) Annex V.Part 2.358(a)         
0040 Interest rate reduction Annex V.Part 2.358(b) Annex V.Part 2.358(b)         
0050 Extension of maturity/term Annex V.Part 2.358(c) Annex V.Part 2.358(c)         
0060 Rescheduled payments Annex V.Part 2.358(d) Annex V.Part 2.358(d)         
0070 Debt forgiveness Annex V.Part 2.358(e) Annex V.Part 2.358(e)         
0080 Debt asset swaps Annex V.Part 2.358(f) Annex V.Part 2.358(f)         
0090 Other forbearance measures Annex V.Part 2.358(g) Annex V.Part 2.358(g)         
 Gross carrying amount of instruments that were subject to forbearance measures at multiple points in time Annex V.Part 1.34, Part 2.355 Annex V.Part 1.34, Part 2.355         
0100 Loans and advances having been forborne twice Annex V.Part 2.360(a)(i) Annex V.Part 2.360(a)(i)         
0110 Loans and advances having been forborne more than twice Annex V.Part 2.360(a)(i) Annex V.Part 2.360(a)(i)         
0120 Loans and advances to which forbearance measures were granted in addition to already existing forbearance measures Annex V.Part 2.360(a)(ii) Annex V.Part 2.360(a)(ii)         
0130 Gross carrying amount of non-performing forborne loans and advances that failed to meet the non-performing exit criteria Annex V.Part 1.34, Part 2.232, 355, 360(b) Annex V.Part 1.34, Part 2.232, 355, 360(b)         
 30.  30.1 

 References National GAAP based on BAD References National GAAP compatible IFRS Carrying amount of financial assets recognised in the balance sheet Of which: liquidity support drawn Fair value of liquidity support drawn Carrying amount of financial liabilities recognised in the balance sheet Nominal amount of off-balance sheet exposures given by the reporting institution Of which: Nominal amount of loan commitments given Losses incurred by the reporting institution in the current period
IFRS 12.29(a) IFRS 12.29(a); Annex V.Part 2.286  IFRS 12.29(a) IFRS 12.B26(e)  IFRS 12 B26(b); Annex V.Part 2.287
010 020 030 040 050 060 080
010 Total         
 30.2 

 By nature of the activities References National GAAP based on BAD References National GAAP compatible IFRS Carrying amount
Securitisation Special Purpose Entities Asset management Other activities
CRR art 4(1)(66) Annex V.Part 2.285(a) 
 IFRS 12.24, B6.(a) 010 020 030
010 Selected financial assets recognised in the reporting institution’s balance sheet  IFRS 12.29(a),(b)   
021 of which: non-performing Annex V.Part 2.213-239 Annex V.Part 2.213-239   
030 Derivatives CRR Annex II; Annex V.Part 2.272 IFRS 9 Appendix A; Annex V.Part 2.272   
040 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5 IAS 32.11   
050 Debt securities Annex V.Part 1.31 Annex V.Part 1.31   
060 Loans and advances Annex V.Part 1.32 Annex V.Part 1.32   
070 Selected equity and financial liabilites recognised in the reporting institution’s balance sheet  IFRS 12.29(a),(b)   
080 Equity instruments issued  IAS 32.11   
090 Derivatives CRR Annex II; Annex V.Part 1.24(a), 25, 26, Part 2.272 IFRS 9 Appendix A; Annex V.Part 2.272   
100 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36   
110 Debt securities issued Annex V.Part 1.37 Annex V.Part 1.37   
 Nominal amount
120 Off-balance sheet exposures given by the reporting institution CRR Annex I; Annex V.Part 2.112, 113-115, 118 IFRS 12.B26.(e); CRR Annex I; Annex V.Part 2.102-105, 113-115, 118   
131 of which: non-performing Annex V.Part 2.117 Annex V.Part 2.117   
 31.  31.1 

 References National GAAP based on BAD References National GAAP compatible IFRS Outstanding balances
Parent and entities with joint control or significant influence Subsidiaries and other entities of the same group Associates and joint ventures Key management of the institution or its parent Other related parties
IAS 24.19(a),(b) IAS 24.19(c); Annex V.Part 2.289 IAS 24.19(d),(e); Annex V.Part 2.289 IAS 24.19(f) IAS 24.19(g)
Accounting Directive art 17(1)(p) Accounting Directive art 17(1)(p); Annex V.Part 2.289 Accounting Directive art 17(1)(p); Annex V.Part 2.289 Accounting Directive art 17(1)(p) Accounting Directive art 17(1)(p)
Annex V.Part 2.288-291 Annex V.Part 2.288-291 010 020 030 040 050
010 Selected financial assets  IAS 24.18(b)     
020 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5 IAS 32.11     
030 Debt securities Annex V.Part 1.31 Annex V.Part 1.31     
040 Loans and advances Annex V.Part 1.32 Annex V.Part 1.32     
050 of which: non-performing Annex V. Part 2.213-239 Annex V. Part 2.213-239     
060 Selected financial liabilities  IAS 24.18(b)     
070 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36     
080 Debt securities issued Annex V.Part 1.37 Annex V.Part 1.37     
090 Nominal amount of loan commitments, financial guarantees and other commitments given CRR Annex I; Annex V.Part 2.112, 113-115, 118 IAS 24.18(b);CRR Annex I; Annex V.Part 2.102-105, 113-115, 118     
100 of which: non-performing Annex V. Part 2.117 IAS 24.18(b); Annex V. Part 2.117     
110 Loan commitments, financial guarantees and other commitments received Annex V.Part 2.102-103, 113-115, 290 IAS 24.18(b); Annex V.Part 2.290     
120 Notional amount of derivatives Annex V.Part 2.133-135 Annex V.Part 2.133-135     
131 Accumulated impairment and accumulated negative changes in fair value due to credit risk on non-performing exposures Annex V.Part 2.69-71, 291 IAS 24.1(c); Annex V.Part 2.69-71, 291     
132 Provisions on non-performing off-balance sheet exposures Annex V.Part 2.11, 106, 291 Annex V.Part 2.11, 106, 291     
 31.2 

 References National GAAP based on BAD References National GAAP compatible IFRS Current period
Parent and entities with joint control or significant influence Subsidiaries and other entities of the same group Associates and joint ventures Key management of the institution or its parent Other related parties
IAS 24.19(a),(b) IAS 24.19(c) IAS 24.19(d),(e) IAS 24.19(f) IAS 24.19(g)
    
Annex V.Part 2.288-289, 292-293 Annex V.Part 2.288-289, 292-293 010 020 030 040 050
010 Interest income BAD art 27.Vertical layout(1); Annex V.Part 2.31 IAS 24.18(a); Annex V.Part 2.31     
020 Interest expenses BAD art 27.Vertical layout(2); Annex V.Part 2.31 IAS 24.18(a); IAS 1.97; Annex V.Part 2.31     
030 Dividend income BAD art 27.Vertical layout(3); Annex V.Part 2.40 IAS 24.18(a); Annex V.Part 2.40     
040 Fee and commission income BAD art 27.Vertical layout(4) IAS 24.18(a); IFRS 7.20(c)     
050 Fee and commission expenses BAD art 27.Vertical layout(5) IAS 24.18(a); IFRS 7.20(c)     
060 Gains or (-) losses on de-recognition of financial assets and liabilities not measured at fair value through profit or loss BAD art 27.Vertical layout(6) IAS 24.18(a)     
070 Gains or (-) losses on de-recognition of other than financial assets Annex V.Part 2.292 IAS 24.18(a); Annex V.Part 2.292     
080 Impairment or (-) reversal of impairment on non-performing exposures Annex V. Part 2.293 IAS 24.18(d); Annex V.Part 2.293     
090 Provisions or (-) reversal of provisions on non-performing exposures Annex V. Part 2.50, 293 Annex V. Part 2.50, 293     
 40.  40.1 

LEI code Entity code Entity name Entry date Share capital of investee Equity of investee Total assets of investee Profit or (-) loss of investee Residence of investee Sector of investee NACE Code Accumulated equity interest [%] Voting rights [%] Group structure [relationship] Accounting treatment [Accounting Group] Accounting treatment [CRR Group] Carrying amount Acquisition cost Goodwill link to Investee Fair value of investments for which there are published price quotations
Annex V.Part 2.294-295, 296(a) Annex V.Part 2.294-295, 296(b) IFRS 12.12(a), 21(a)(i); Annex V.Part 2.294-295, 296(c) Annex V.Part 2.294-295, 296(d) Annex V.Part 2.294-295, 296(e) IFRS 12.B12(b); Annex V.Part 2.294-295, 296(f) IFRS 12.B12(b); Annex V.Part 2.294-295, 296(f) IFRS 12.B12(b); Annex V.Part 2.294-295, 296(f) IFRS 12.12.(b), 21.(a).(iii); Annex V.Part 2.294-295, 296(g) Annex V.Part 2.294-295, 296(h) Annex V.Part 2.294-295, 296(i) IFRS 12.21(a)(iv); Annex V.Part 2.294-295, 296(j) IFRS 12.21(a)(iv); Annex V.Part 2.294-295, 296(k) IFRS 12.10(a)(i); Annex V.Part 2.294-295, 296(l) IFRS 12.21(b); Annex V.Part 2.294-295, 296(m) CRR art 18; Annex V.Part 2.294-295, 296(n) Annex V.Part 2.294-295, 296(0) Annex V.Part 2.294-295, 296(p) Annex V.Part 2.294-295, 296(q) IFRS 12.21(b)(iii); Annex V.Part 2.294-295, 296(r)
Annex V.Part 2.294-295, 296(a) Annex V.Part 2.294-295, 296(b) Annex V.Part 2.294-295, 296(c) Annex V.Part 2.294-295, 296(d) Annex V.Part 2.294-295, 296(e) Annex V.Part 2.294-295, 296(f) Annex V.Part 2.294-295, 296(f) Annex V.Part 2.294-295, 296(f) Annex V.Part 2.294-295, 296(q) Annex V.Part 2.294-295, 296(h) Annex V.Part 2.294-295, 296(i) Annex V.Part 2.294-295, 296(j) Annex V.Part 2.294-295, 296(k) Annex V.Part 2.294-295, 296(l) Annex V.Part 2.294-295, 296(m) CRR art 423(b); Annex V.Part 2.294-295, 296(n) Annex V.Part 2.294-295, 296(0) Annex V.Part 2.294-295, 296(p) Annex V.Part 2.294-295, 296(q) Annex V.Part 2.294-295, 296(r)
010 020 030 040 050 060 070 080 090 095 100 110 120 130 140 150 160 170 180 190
                   
 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 2.297(a) Annex V.Part 2.296(b), 297(c) Annex V.Part 2.297(b) Annex V.Part 2.297(b)  Annex V.Part 2.296(j), 297(c) Annex V.Part 2.296(o), 297(c) Annex V.Part 2.296(p), 297(c)
Annex V.Part 2.297(a) Annex V.Part 2.296(b), 297(c) Annex V.Part 2.297(b) Annex V.Part 2.297(b)  Annex V.Part 2.296(j), 297(c) Annex V.Part 2.296(o), 297(c) Annex V.Part 2.296(p), 297(c)
010 020 030 040 050 060 070 080
       
 41.  41.1 

 References National GAAP based on BADAnnex V.Part 2.298 References National GAAP compatible IFRSAnnex V.Part 2.298 Fair valueIFRS 7.25-26 Fair value hierarchyIFRS 13.97, 93(b)
Level 1IFRS 13.76 Level 2IFRS 13.81 Level 3IFRS 13.86
010 020 030 040
ASSETS
015 Financial assets at amortised cost Accounting Directive art 8(4)(b), (6); IAS 39.9 IFRS 7.8(f); IFRS 9.4.1.2    
016 Debt securities Annex V.Part 1.24, 26 Annex V.Part 1.31    
017 Loans and advances Annex V.Part 1.24, 27 Annex V.Part 1.32    
021 Non-trading non-derivative financial assets measured at a cost-based method BAD art 35;Accounting Directive Article 6(1)(i) and Article 8(2); Annex V.Part1.18, 19     
022 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5     
023 Debt securities Annex V.Part 1.31     
024 Loans and advances Annex V.Part 1.32     
031 Other non-trading non-derivative financial assets BAD art 37; Accounting Directive Article 12(7); Annex V.Part 1.20     
032 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5     
033 Debt securities Annex V.Part 1.31     
034 Loans and advances Annex V.Part 1.32     
LIABILITIES
070 Financial liabilities measured at amortised cost Accounting Directive art 8(3), (6); IAS 39.47 IFRS 7.8(g); IFRS 9.4.2.1    
080 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.30 ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36    
090 Debt securities issued Annex V.Part 1.31 Annex V.Part 1.37    
100 Other financial liabilities Annex V.Part 1.32-34 Annex V.Part 1.38-41    
101 Non-trading non-derivative financial liabilities measured at a cost-based method Accounting Directive art 8(3)     
102 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36     
103 Debt securities issued Annex V.Part 1.37     
104 Other financial liabilities Annex V.Part 1.38-41     
 41.2 

 References National GAAP based on BAD References National GAAP compatible IFRS Carrying amountAnnex V.Part 1.27-28
Accounting mismatch Managed on a fair value basis Hybrid contracts Managed for credit risk
IFRS 9.B4.1.29 IFRS 9.B4.1.33 IFRS 9.4.3.6; IFRS 9.4.3.7; Annex V.Part 2.300 IFRS 9.6.7; IFRS 7.8(a)(e); Annex V.Part 2.301
010 020 030 040
ASSETS
010 Financial assets designated at fair value through profit or loss Accounting Directive art 8(1)(a), (6) IFRS 7.8(a)(i); IFRS 9.4.1.5    
030 Debt securities Annex V.Part 1.31 Annex V.Part 1.31    
040 Loans and advances Annex V.Part 1.32 Annex V.Part 1.32    
LIABILITIES
050 Financial liabilities designated at fair value through profit or loss Accounting Directive art 8(1)(a), (6); IAS 39.9 IFRS 7.8 (e)(i); IFRS 9.4.2.2    
060 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36    
070 Debt securities issued Annex V.Part 1.37 Annex V.Part 1.37    
080 Other financial liabilities Annex V.Part 1.38-41 Annex V.Part 1.38-41    
 42. 

 References National GAAP compatible IFRSAnnex V.Part 2.302 Carrying amount 
of which: right-of-use assets
 IFRS 16.47(a), 53(j), Annex V.Part 2.303i
010 020
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 2.303  
080 Revaluation model IAS 38.75-87, 124(a)(ii)  
090 Cost model IAS 38.74  
 43. 

 References National GAAP based on BAD References National GAAP compatible IFRS Carrying amountAnnex V.Part 1.27-28
Pensions and other post employment defined benefit obligations Other long term employee benefits Restructuring Pending legal issues and tax litigation Commitments and guarantees given under national GAAP Other commitments and guarantees given measured under IAS 37 and guarantees given measured under IFRS 4 Other provisions
IAS 19.63; IAS 1.78(d); Annex V.Part 2.9 IAS 19.153; IAS 1.78(d); Annex V.Part 2.10 IAS 37.70-83 IAS 37.14  IAS 37; IFRS 4; Annex V. Part 2.304-305 IAS 37.14
Annex V.Part 2.9 Annex V.Part 2.10   BAD art 24-25, 33(1)  
010 020 030 040 050 055 060
010 Opening balance [carrying amount at the beginning of the period]  IAS 37.84 (a)       
020 Additions, including increases in existing provisions  IAS 37.84 (b)       
030 (-) Amounts used  IAS 37.84 (c)       
040 (-) Unused amounts reversed during the period  IAS 37.84 (d)       
050 Increase in the discounted amount [passage of time] and effect of any change in the discount rate  IAS 37.84 (e)       
060 Other movements         
070 Closing balance [carrying amount at the end of the period]  IAS 37.84 (a)       
 44  44.1 

 References National GAAP compatible IFRS Amount
Annex V.Part 2.306-307
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 2.308 
100 Provisions for pensions and other post-employment defined benefit obligations [Carrying amount] IAS 19.63, IAS 1.78(d); Annex V.Part 2.9 
110 Fair value of any right to reimbursement recognised as an asset IAS 19.140(b) 
 44.2 

 References National GAAP compatible IFRS Defined benefit obligations
Annex V.Part 2.306, 309
010
010 Opening balance [present value] IAS 19.140(a)(ii) 
020 Current service cost IAS 19.141(a) 
030 Interest cost IAS 19.141(b) 
040 Contributions paid IAS 19.141(f) 
050 Actuarial (-) gains or losses from changes in demographic assumptions IAS 19.141(c)(ii) 
060 Actuarial (-) gains or losses from changes in financial assumptions IAS 19.141(c)(iii) 
070 Foreign currency exchange increase or (-) decrease IAS 19.141(e) 
080 Benefits paid IAS 19.141(g) 
090 Past service cost, including gains and losses arising from settlements IAS 19.141(d) 
100 Increase or (-) decrease through business combinations and disposals IAS 19.141(h) 
110 Other increases or (-) decreases  
120 Closing balance [present value] IAS 19.140(a)(ii); Annex V.Part 2.310 
 44.3 

 References National GAAP based on BAD References National GAAP compatible IFRS Current period
010
010 Pension and similar expenses Annex V.Part 2.311(a) Annex V.Part 2.311(a) 
020 Share based payments Annex V.Part 2.311(b) IFRS 2.44; Annex V.Part 2.311(b) 
030 Wages and salaries Annex V.Part 2.311(c) Annex V.Part 2.311(c) 
040 Social security contributions Annex V.Part 2.311(d) Annex V.Part 2.311(d) 
050 Severance payments Annex V.Part 2.311(e) IAS 19.8, Annex V.Part 2.311(e) 
060 Other types of staff expenses Annex V.Part 2.311(f) Annex V.Part 2.311(f) 
070 STAFF EXPENSES   
 44.4 

   Current period
  Total staff   
   of which: Identified staff  
   of which: Management body (in its management function) and senior management of which: Management body (in its supervisory function)
References National GAAP based on BAD References National GAAP compatible IFRS  Annex V.Part 2.311i (a) Annex V.Part 2.311i Annex V.Part 2.311i (b)
  0010 0020 0030 0040
0010 Fixed remuneration Annex V.Part 2.311i (a) Annex V.Part 2.311i (a)    
0020 Variable remuneration Annex V.Part 2.311i (a) Annex V.Part 2.311i (a)    
0030 Staff expenses other than remuneration      
0040 STAFF EXPENSES      
0050 NUMBER OF STAFF Annex V.Part 2.311ii Annex V.Part 2.311ii    
 45  45.1 

 References National GAAP based on BAD References National GAAP compatible IFRS Current period Changes in fair value due to credit risk
 Annex V.Part 2.312
010 020
010 Financial assets designated at fair value through profit or loss  IFRS 7.20(a)(i); IFRS 9.4.1.5  
020 Financial liabilities designated at fair value through profit or loss  IFRS 7.20(a)(i); IFRS 9.4.2.2  
030 GAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES DESIGNATED 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
Annex V.Part 2.313
010
010 Property, Plant and Equipment  IAS 16.68, 71 
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 2.314 IAS 40.76(d); Annex V.Part 2.314  
020 Investment property Annex V.Part 2.314 IAS 40.75(f); Annex V.Part 2.314  
030 Operating Leases other than investment property Annex V.Part 2.315 IFRS 16.81,82; Annex V.Part 2.315  
040 Other Annex V.Part 2.316 Annex V.Part 2.316  
050 OTHER OPERATING INCOME OR EXPENSES Annex V.Part 2.314-316 Annex V.Part 2.314-316  
 46. 

 Sources of equity changes References National GAAP based on BAD References National GAAP compatible IFRS Capital Share premium Equity instruments issued other than Capital Other equity Accumulated other comprehensive income Retained earnings Revaluation reserves Fair value reserves Other reserves First consolidation differences (-) Treasury shares Profit or (-) loss atributable to owners of the parent (-) Interim dividends Minority interests Total
Accumulated Other Comprehensive Income Other items
IAS 1.106, 54(r) IAS 1.106, 78(e) IAS 1.106, Annex V.Part 2.18-19 IAS 1.106; Annex V.Part 2.20 IAS 1.106 CRR art 4(1)(123) IFRS 1.30 D5-D8  IAS 1.106, 54(c)  IAS 1.106; IAS 32.34, 33; Annex V.Part 2.30 IAS 1.106(a) IAS 1.106; IAS 32.35 IAS 1.54(q), 106(a) IAS 1.54(q), 106(a) IAS 1.9(c), IG6
BAD art 4.Liabilities(9), BAD art 22 BAD art 4.Liabilities(10); CRR art 4(124) Annex V.Part 2.18-19 Annex V.Part 2.20 Accounting Directive art 8(1)(a), (6) BAD art 4 Liabilities (13); CRR art 4(123)  BAD art 4.Liabilities(12)  Accounting Directive 24(3)(c) Accounting Directive Annex III Annex III Assets D(III)(2); BAD art 4 Assets (12); Annex V.Part 2.30 BAD art 4.Liabilities(14) CRR Article 26(2b) Accounting Directive art 24(4) Accounting Directive art 24(4) 
010 020 030 040 050 060 070 075 080 085 090 100 110 120 130 140
010 Opening balance [before restatement]                  
020 Effects of corrections of errors  IAS 1.106.(b); IAS 8.42                
030 Effects of changes in accounting policies  IAS 1.106.(b); IAS 1.IG6; IAS 8.22                
040 Opening balance [current period]                  
050 Issuance of ordinary shares  IAS 1.106.(d).(iii)                
060 Issuance of preference shares  IAS 1.106.(d).(iii)                
070 Issuance of other equity instruments  IAS 1.106.(d).(iii)                
080 Exercise or expiration of other equity instruments issued  IAS 1.106.(d).(iii)                
090 Conversion of debt to equity  IAS 1.106.(d).(iii)                
100 Capital reduction  IAS 1.106.(d).(iii)                
110 Dividends  IAS 1.106.(d).(iii); IAS 32.35; IAS 1.IG6                
120 Purchase of treasury shares  IAS 1.106.(d).(iii); IAS 32.33                
130 Sale or cancellation of treasury shares  IAS 1.106.(d).(iii); IAS 32.33                
140 Reclassification of financial instruments from equity to liability  IAS 1.106.(d).(iii)                
150 Reclassification of financial instruments from liability to equity  IAS 1.106.(d).(iii)                
160 Transfers among components of equity  IAS 1.106.(d).(iii); Annex V.Part 2.318                
170 Equity increase or (-) decrease resulting from business combinations  IAS 1.106.(d).(iii)                
180 Share based payments  IAS 1.106.(d).(iii); IFRS 2.10                
190 Other increase or (-) decrease in equity  IAS 1.106.(d)                
200 Total comprehensive income for the year  IAS 1.106.(d).(i)-(ii); IAS 1.81A.(c); IAS 1.IG6                
210 Closing balance [current period]                  
 47. 

  TOTAL
  of which: Households of which: Non-financial corporations
   of which: loans collateralised by residential immovable property  of which: SMEs Of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs
     of which: Commercial Real Estate (CRE) loans
References  Annex V.Part 1.42(f) Annex V.Part 2.86(a), 87 Annex V.Part 1.42(e) SME Art 1 2(a) SME Art 1 2(a), Annex V.Part 2.239ix Annex V.Part 2.239ix
 0010 0020 0030 0040 0050 0060 0070
0010 Non-performing loans and advances: weighted average time since past due date (in years) Annex V.Part 2.362, 363       
0020 Net cumulated recoveries from litigation procedures concluded during the period Annex V.Part 2.362, 364(a)       
0030 Gross carrying amount reduction from litigation procedures concluded during the period Annex V.Part 2.362, 364(b)       
0040 Average duration of litigation procedures concluded in the period (in years) Annex V.Part 2.362, 364(c)       


ANNEX V


ANNEX V 
PART 1 1.  1. This Annex contains additional instructions for the financial information templates (“FINREP”) in Annexes III and IV to this Regulation. This Annex complements the instructions included in the form of references in the templates in Annexes III and IV.
 2. Institutions that use national accounting standards compatible with IFRS (“compatible national GAAP”) shall apply the common and IFRS instructions in this Annex, unless otherwise provided. This is without prejudice to the compliance of the compatible national GAAP requirements with the requirements of BAD. Institutions that use national GAAP requirements that are non-compatible with IFRS or that have not yet been made compatible with the requirements in IFRS 9 shall apply the common and BAD instructions in this Annex, unless provided otherwise.
 3. 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 point (77) of Article 4(1) of Regulation (EU) No 575/2013.
 4. An institution shall only submit those parts of the templates relating to:


((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.
 5. For the purposes of Annexes III and IV as well as this Annex, the following abbreviations shall apply:


((a)) “CRR”: Regulation (EU) No 575/2013;
((b)) “IAS” or “IFRS”: “International Accounting Standards”, as defined in Article 2 of Regulation (EC) No 1606/2002 of the European Parliament and of the Council, which have been adopted by the Commission;
((c)) “ECB BSI Regulation” or “ECB/2013/33”: Regulation (EU) No 1071/2013 of the European Central Bank;
((d)) “NACE Regulation”: Regulation (EC) No 1893/2006 of the European Parliament and of the Council;
((e)) “NACE codes”: codes in NACE Regulation;
((f)) “BAD”: Council Directive 86/635/EEC;
((g)) “Accounting Directive”: Directive 2013/34/EU of the European Parliament and of the Council;
((h)) “National GAAP”: national generally accepted accounting principles developed under BAD;
((i)) “SME”: micro, small and medium-sized enterprises as defined in Commission Recommendation C(2003)1422;
((j)) “ISIN code”: the International Securities Identification Number assigned to securities, composed of 12 alphanumeric characters, which uniquely identifies a securities issue;
((k)) “LEI code”: the global Legal Entity Identifier assigned to entities, which uniquely identifies a party to a financial transaction;
((l)) “Impairment stages”: categories of impairment as defined in IFRS 9.5.5. “Stage 1” refers to impairment measured in accordance with IFRS 9.5.5.5. “Stage 2” refers to impairment measured in accordance with IFRS 9.5.5.3. “Stage 3” refers to impairment on credit-impaired assets as defined in Appendix A of IFRS 9;
((m)) “ESRB recommendation on closing real estate data gaps” refers to the Recommendation of the European Systemic Risk Board of 31 October 2016 on closing real estate data gaps (ESRB/2016/14).
 2.  6. For the purposes of Annexes III and IV, a data point shadowed in grey shall mean that that 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 shall mean that the related data points shall not be submitted by those institutions that follow those references in that row or column.
 7. Templates in Annexes III and IV include implicit validation rules which are laid down in the templates themselves through the use of conventions.
 8. 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.
 9. 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”.
 10. In the “Data Point Model” (“DPM”) for financial information reporting templates of Annexes III and IV, every data point (cell) has a “base item” to which the “credit/debit” attribute is allocated. That allocation ensures that all entities that report data points follow the “sign convention” and allows to know the “credit/debit” attribute that corresponds to each data point.
 11. Schematically, this convention works as in Table 1.


Element Credit/Debit Balance/Movement Figure reported
Assets Debit Balance on assets Positive (“Normal”, no sign needed)
Increase on assets Positive (“Normal”, no sign needed)
Negative balance on assets Negative (Minus “-” sign needed)
Decrease on assets Negative (Minus “-” sign needed)
Expenses Balance on expenses Positive (“Normal”, no sign needed)
Increase on expenses Positive (“Normal”, no sign needed)
Negative balance (including reversals) on expenses Negative (Minus “-” sign needed)
Decrease on expenses Negative (Minus “-” sign needed)
Liabilities Credit Balance on liabilities Positive (“Normal”, no sign needed)
Increase on liabilities Positive (“Normal”, no sign needed)
Negative balance on liabilities Negative (Minus “-” sign needed)
Decrease on liabilities Negative (Minus “-” sign needed)
Equity Balance on equity Positive (“Normal”, no sign needed)
Increase on equity Positive (“Normal”, no sign needed)
Negative balance on equity Negative (Minus “-” sign needed)
Decrease on equity Negative (Minus “-” sign needed)
Income Balance on income Positive (“Normal”, no sign needed)
Increase on income Positive (“Normal”, no sign needed)
Negative balance (including reversals) on income Negative (Minus “-” sign needed)
Decrease on income Negative (Minus “-” sign needed)
 3.  12. Unless specified otherwise in this Annex, FINREP templates shall be prepared using the prudential scope of consolidation in accordance with Section 2 of Chapter 2 of Title II of Part 1 CRR. Institutions shall account for their subsidiaries, joint ventures and associates using the same methods as for prudential consolidation:


((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)CRR;
((b)) institutions may be permitted to use the proportional consolidation method for financial subsidiaries in accordance with Article 18(2) CRR;
((c)) institutions may be required to use the proportional consolidation method for investment in joint ventures in accordance with Article 18(4) CRR.
 4.  13. For the purposes of Annexes III and IV as well as this Annex, “accounting portfolios” means financial instruments aggregated by valuation rules. Those aggregations shall not include investments in subsidiaries, joint ventures and associates, balances receivable on demand classified as “Cash, cash balances at central banks and other demand deposits”, nor 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”.
 14. Under national GAAP, institutions that are permitted or required to apply certain valuation rules for financial instruments in accordance with IFRS shall submit, to the extent that those rules are applied, the relevant IFRS accounting portfolios. Where the valuation rules for financial instruments that institutions are permitted or required to use under national GAAP based on BAD do refer to the valuation rules in IAS 39, institutions shall submit the accounting portfolios based on BAD for all their financial instruments until the valuation rules they apply refer to the valuation rules in IFRS 9.
 4.1.  15. The following accounting portfolios based on IFRS shall be used for financial assets:


((a)) “Financial assets held for trading”;
((b)) “Non-trading financial assets mandatorily at fair value through profit or loss”;
((c)) “Financial assets designated at fair value through profit or loss”;
((d)) “Financial assets at fair value through other comprehensive income”;
((e)) “Financial assets at amortised cost”.
 16. The following accounting portfolios based on national GAAP shall be used for financial assets:


((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 non-derivative financial assets measured at a cost-based method”;
((e)) “Other non-trading non-derivative financial assets”.
 17. “Trading financial assets” includes all financial assets classified as trading under the relevant national GAAP based on BAD. Irrespective of the measurement methodology applied under the relevant national GAAP based on BAD, all derivatives with a positive balance for the reporting institution that are not classified as hedge accounting in accordance with paragraph 22 of this Part shall be reported as trading financial assets. That classification shall also apply to derivatives which according to national GAAP based on BAD are not recognised on the balance-sheet, or have only the changes in their fair value recognised on-balance sheet or which are used as economic hedges as defined in paragraph 137 of Part 2 of this Annex.
 18. Under national GAAP based on BAD, for financial assets, “cost-based methods” shall include those valuation rules by which the debt instrument is measured at cost plus interest accrued less impairment losses.
 19. Under national GAAP based on BAD, “Non-trading non-derivative financial assets measured at a cost-based method” includes financial instruments measured at cost-based methods as well as instruments measured at the lower of cost or market (“LOCOM”) under a non-continuous basis (moderate LOCOM), regardless of their actual measurement as of the reporting reference date. Assets measured at moderate LOCOM are assets for which LOCOM is applied only in specific circumstances. The applicable accounting framework provides for those circumstances, such as impairment, a prolonged decline in fair value compared to cost or change in the management intent.
 20. 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. That accounting portfolio includes, among others, financial assets that are measured at LOCOM on a continuous basis (“strict LOCOM”). Assets measured at strict LOCOM are assets for which the applicable accounting framework either provides for the initial and subsequent measurement at LOCOM, or the initial measurement at cost and the subsequent measurement at LOCOM.
 21. Regardless of their measurement method, investments in subsidiaries, joint ventures and associates that are not fully or proportionally consolidated under the regulatory scope of consolidation are reported in “Investments in subsidiaries, joint ventures and associates”, except where they are classified as held for sale in accordance with IFRS 5.
 22. “Derivatives – Hedge accounting” shall include derivatives with a positive balance for the reporting institution held for hedge accounting under IFRS. Under national GAAP based on BAD, banking book derivatives shall be classified as derivatives held for hedge accounting only where there are special accounting rules for banking book derivatives under the relevant national GAAP based on BAD and the derivatives reduce risk of another position in the banking book.
 4.2.  23. The following accounting portfolios based on IFRS shall be used for financial liabilities:


((a)) “Financial liabilities held for trading”;
((b)) “Financial liabilities designated at fair value through profit or loss”;
((c)) “Financial liabilities measured at amortised cost”.
 24. The following accounting portfolios based on national GAAP shall be used for financial liabilities:


((a)) “Trading financial liabilities”;
((b)) “Non-trading non-derivative financial liabilities measured at a cost-based method”.
 25. “Trading financial liabilities” includes all financial liabilities classified as trading under the relevant national GAAP based on BAD. Irrespective of the measurement methodology applied under the relevant national GAAP based on BAD, all derivatives with a negative balance for the reporting institution that are not classified as hedge accounting in accordance with paragraph 26 of this Part shall be reported as trading financial liabilities. That classification shall also apply to derivatives which according to national GAAP based on BAD are not recognised on the balance-sheet, or have only the changes in their fair value recognised on-balance sheet or which are used as economic hedges as defined in paragraph 137 of Part 2 of this Annex.
 26. “Derivatives – Hedge accounting” shall include derivatives with a negative balance for the reporting institution held for hedge accounting under IFRS. Under national GAAP based on BAD, banking book derivatives shall be classified as hedge accounting only if there are special accounting rules for banking book derivatives under the relevant national GAAP based on BAD and the derivatives reduce risk of another position in the banking book.
 5.  27. For the purposes of Annexes III and IV as well as this Annex, “the carrying amount” means the amount to be reported in the balance sheet. The carrying amount of financial instruments shall include accrued interest. Under the relevant national GAAP based on BAD, the carrying amount of derivatives either shall be the carrying amount under national GAAP including accruals, premium values and provisions if applicable, or it shall be equal to zero where derivatives are not recognised on-balance sheet.
 28. If recognised under the relevant national GAAP based on BAD, accruals and deferrals of financial instruments including interest accrual, premiums and discounts or transaction costs shall be reported together with the instrument and not as other assets or other liabilities.
 29. Where applicable under national GAAP based on BAD, “Haircuts for trading positions valued at fair value” shall be reported. The haircuts decrease the value of trading assets and increase the value of trading liabilities.
 5.1.  30. Financial assets shall be distributed among the following classes of instruments: “Cash on hand”, “Derivatives”, “Equity instruments”, “Debt securities” and “Loans and advances”.
 31. “Debt securities” are debt instruments held by the institution issued as securities that are not loans, as defined in the Table of Part 2 of Annex II to the ECB BSI Regulation.
 32. “Loans and advances” are debt instruments held by the institutions that are not securities. That item includes loans as defined in the Table of Part 2 of Annex II to the ECB BSI Regulation as well as advances that cannot be classified as “loans” defined in the Table of Part 2 of Annex II to the ECB BSI Regulation. “Advances that are not loans” are further characterized in paragraph 85(g) of Part 2 of this Annex.
 33. In FINREP, “debt instruments” shall include “loans and advances” and “debt securities”.
 5.2.  34. Gross carrying amount of debt instruments shall have the following meaning:


((a)) under IFRS and national GAAP based on BAD for debt instruments measured at fair value through profit or loss without being included in the held for trading or trading portfolio, the gross carrying amount shall depend on whether those debt instruments are classified as performing or non-performing. For performing debt instruments, the gross carrying amount shall be the fair value. For non-performing debt instruments, the gross carrying amount shall be the fair value after adding back any accumulated negative changes in fair value due to credit risk, as defined in paragraph 69 of Part 2 of this Annex. For the purposes of the measurement of the gross carrying amount, the valuation of the debt instruments shall be performed on the level of single financial instruments;
((b)) under IFRS for debt instruments at amortised cost or at fair value through other comprehensive income, the gross carrying amount shall be the carrying amount before adjusting for any loss allowance;
((c)) under national GAAP based on BAD, for debt instruments classified as “non-trading non-derivative financial assets measured at a cost-based method”, the gross carrying amount of impaired assets shall be equal to the carrying amount before adjusting for specific allowances for credit risk. The gross carrying amount of unimpaired assets shall be the carrying amount before adjusting for general allowances for credit risk and general allowances for banking risk, where affecting the carrying amount;
((d)) under national GAAP based on BAD, the gross carrying amount of debt instruments classified as “Non-trading non-derivative financial assets measured at fair value to equity” shall depend on whether those financial assets are subject to impairment requirements. Where they are subject to impairment requirements, the gross carrying amount shall be the carrying amount before adjusting for any accumulated impairment, following the requirements in point (c) above for impaired and unimpaired assets, or any accumulated amount of fair value adjustment that is considered as impairment loss. When those financial assets are not subject to impairment requirements, the gross carrying amount of those financial assets shall be the fair value for performing exposures, and for non-performing exposures the fair value after adding back any accumulated negative fair value adjustment due to credit risk;
((e)) under national GAAP based on BAD, the gross carrying amount of debt instruments measured at strict or moderate LOCOM shall be the cost where measured at cost during the reporting reference period. Where those debt instruments are measured at market value, the gross carrying amount shall be the market value before adjusting for credit-risk induced value adjustments;
((f)) under national GAAP based on BAD, for debt instruments reported under “Other non-trading non-derivative financial assets” under measurement methods other than LOCOM, the gross carrying amount shall be the carrying amount before taking into account any valuation adjustment that qualifies as impairment;
((g)) for trading financial assets under GAAP based on BAD or held for trading financial assets under IFRS, the gross carrying amount shall be the fair value. Where GAAP based on BAD require haircuts on trading and fair valued instruments, the carrying amount of the financial instruments shall be the fair value before those haircuts.
 5.3.  35. Financial liabilities shall be distributed among the following classes of instruments: “Derivatives”, “Short positions”, “Deposits”, “Debt securities issued” and “Other financial liabilities”.
 36. For the purposes of Annexes III and IV as well as this Annex, “deposits” shall be deposits as defined in the Table of Part 2 of Annex II to the ECB BSI Regulation.
 37. “Debt securities issued” shall be debt instruments issued as securities by the institution that are not deposits, as defined in the Table of Part 2 of Annex II to the ECB BSI Regulation.
 38. “Other financial liabilities” shall include all financial liabilities other than derivatives, short positions, deposits and debt securities issued.
 39. Under IFRS, “Other financial liabilities” shall include financial guarantees given where they are measured either at fair value through profit or loss (IFRS 9.4.2.1(a)) or at the amount initially recognised less cumulative amortization (IFRS 9.4.2.1(c)(ii)). Loan commitments given shall be reported as “Other financial liabilities” where they are designated as financial liabilities at fair value through profit or loss (IFRS 9.4.2.1(a)) or they are commitments to provide a loan at a below-market interest rate (IFRS 9.2.3(c), IFRS 9.4.2.1(d)).
 40. Where loan commitments, financial guarantees and other commitments given are measured at fair value through profit or loss, any change in the fair value, including changes due to credit risk, shall be reported as “other financial liabilities” and not as provisions for “Commitments and guarantees given”.
 41. “Other financial liabilities” shall 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 where payables for transactions are recognised before the payment date.
 6.  42. Where a breakdown by counterparty is required the following counterparty sectors shall be used:


((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 “credit institutions”, “other financial corporations” or “non-financial corporations” depending on their activity); social security funds; and international organisations, such as institutions of the European Union, the International Monetary Fund and the Bank for International Settlements;
((c)) credit institutions: any institution covered by the definition in point (1) of Article 4(1) CRR (“undertaking the business of which is to take deposits or other repayable funds from the public and to grant credits for its own account”) and multilateral development banks (MDBs);
((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, financial auxiliaries and captive financial institutions and money lenders;
((e)) non-financial corporations (NFCs): corporations and quasi-corporations not engaged in financial intermediation but principally in the production of market goods and non-financial services, as defined in the Table of Part 3 of Annex II 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 (“NPISH”) and which are principally engaged in the production of non-market goods and services intended for particular groups of households shall be included.
 43. The counterparty sector allocation shall be 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 shall be driven by the characteristics of the more relevant or determinant obligor.
 44. The immediate counterparties in the following transactions shall be:


((a)) for loans and advances, the immediate borrower. For trade receivables, the immediate borrower shall be the counterparty obliged to pay the receivables, except in transactions with recourse, where the immediate borrower shall be the transferor of receivables where the reporting institution does not acquire substantially all the risks and rewards of ownership of the transferred receivables;
((b)) for debt securities and equity instruments, the issuer of the securities;
((c)) for deposits, the depositor;
((d)) for short positions, the counterparty of the securities borrowing transaction or reverse repurchase agreement;
((e)) for derivatives, the direct counterparty of the derivative contract. For centrally cleared OTC derivatives, the direct counterparty shall be the clearing house acting as a central counterparty. Counterparty breakdown for credit risk derivatives refers to the sector where the counterparty of the contract (buyer or seller of protection) belongs;
((f)) for financial guarantees given, the counterparty shall be the direct counterparty of the guaranteed debt instrument;
((g)) for loan commitments and other commitments given, the counterparty whose credit risk is assumed by the reporting institution;
((h)) for loan commitments, financial guarantees and other commitments received, the guarantor or the counterparty that has provided the commitment to the reporting institution.

PART 2 1.  1.1.  1. “Cash on hand” shall include holdings of national and foreign banknotes and coins in circulation that are commonly used to make payments.
 2. “Cash balances at central banks” shall include balances receivable on demand at central banks.
 3. “Other demand deposits” shall include balances receivable on demand with credit institutions.
 4. “Investments in subsidiaries, joint ventures and associates” shall include the investments in associates, joint ventures and subsidiaries which are not fully or proportionally consolidated under the regulatory scope of consolidation, except where they shall be classified as held for sale in accordance with IFRS 5, irrespective of how they are measured, including where the accounting standards allow for them to be included in the different accounting portfolios used for financial instruments. The carrying amount of investments accounted for using the equity method shall include 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 shall include, among others, gold, silver and other commodities, even where they are held with trading intent.
 6. Under the relevant national GAAP based on BAD, the carrying amount of repurchased own shares shall be reported as “other assets” where presentation as asset is allowed under the relevant national GAAP.
 7. “Non-current assets and disposal groups classified as held for sale” shall have the same meaning as under IFRS 5.
 1.2.  8. Under national GAAP based on BAD, provisions for contingent losses arising from the ineffective part of portfolio hedge relationship shall be reported in row “Derivatives – Hedge accounting” where the loss arises from the valuation of the hedging derivative, or in row “Fair value changes of the hedged items in portfolio hedge of interest rate risk” where the loss arises from the valuation of the hedged position. Where no distinction between losses arising from the valuation of the hedging derivative and loss arising from the valuation of the hedged position is possible, all provisions for contingent losses arising from the ineffective part of the portfolio hedge relationship shall be reported in row “Derivatives – Hedge accounting”.
 9. Provisions for “Pensions and other post-employment defined benefit obligations” shall include the amount of net defined benefit liabilities.
 10. Under IFRS, provisions for “Other long-term employee benefits” shall 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”.
 11. Under IFRS, provisions for “Commitments and guarantees given” shall include provisions related to all commitments and guarantees, irrespective of whether their impairment is determined in accordance with IFRS 9 or their provisioning follows IAS 37 or whether they are treated as insurance contracts under IFRS 4. Liabilities arising from commitments and financial guarantees measured at fair value through profit or loss shall not be reported as provisions although they are due to credit risk, but as “other financial liabilities” in accordance with paragraph 40 of Part 1 of this Annex. Under national GAAP based on BAD, provisions for “Commitments and guarantees given” shall include provisions related to all commitments and guarantees.
 12. “Share capital repayable on demand” shall include 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.
 13. 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”.
 14. “Liabilities included in disposal groups classified as held for sale” shall have the same meaning as under IFRS 5.
 15. Under national GAAP based on BAD “Funds for general banking risks” are amounts that have been assigned in accordance with Article 38 of BAD. Where recognised, they shall appear separately either as liabilities under “provisions” or within equity under “other reserves” in accordance with the relevant national GAAP.
 1.3.  16. Under IFRS, equity instruments that are financial instruments shall include those contracts under the scope of IAS 32.
 17. Under the relevant national GAAP based on BAD, “Unpaid capital which has been called up” shall include the carrying amount of capital issued by the institution that has been called-up to the subscribers but not paid at the reference date. If capital increase, not yet paid, is recorded as an increase of share capital, unpaid capital which has been called up shall be reported in “Unpaid capital which has been called up” in template 1.3 as well as in “other assets” in template 1.1. Under the relevant national GAAP based on BAD, where capital increase can be recorded only following the receipt of the payment from shareholders, unpaid capital shall not be reported in template 1.3.
 18. “Equity component of compound financial instruments” shall include the equity component of compound financial instruments (that is, financial instruments that contain both a liability and an equity component) issued by the institution, where segregated in accordance with the relevant accounting framework (including compound financial instruments with multiple embedded derivatives the values of which are interdependent).
 19. “Other equity instruments issued” shall include equity instruments that are financial instruments other than “Capital” and “Equity component of compound financial instruments”.
 20. “Other equity” shall comprise all equity instruments that are not financial instruments including, among others, equity-settled share-based payment transactions (IFRS 2.10).
 21. “Fair value changes of equity instruments measured at fair value through other comprehensive income” shall include accumulated gains and losses due to changes in fair value on investments in equity instruments for which the reporting entity has made the irrevocable election to present changes in fair value in other comprehensive income.
 22. “Hedge ineffectiveness of fair value hedges for equity instruments measured at fair value through other comprehensive income” shall comprise the accumulated hedge ineffectiveness arising in fair value hedges in which the hedged item is an equity instrument measured at fair value through other comprehensive income. Hedge ineffectiveness reported in this row shall be the difference between the accumulated variation of the fair value of the equity instrument reported in “Fair value changes of equity instruments measured at fair value through other comprehensive income (hedged item)” and the accumulated variations of the fair value of the hedging derivative reported in “Fair value changes of equity instruments measured at fair value through other comprehensive income (hedging instrument)” (IFRS 9.6.5.3 and IFRS 9.6.5.8).
 23. “Fair value changes of financial liabilities at fair value through profit or loss attributable to changes in the credit risk” shall include accumulated gains and losses recognised in other comprehensive income and related to own credit risk for liabilities designated at fair value through profit or loss, regardless of whether the designation takes place at initial recognition or subsequently.
 24. “Hedge of net investments in foreign operations (effective portion)” shall include the foreign currency translation reserve for the effective portion of both on-going hedges of net investments in foreign operations and hedges of net investments in foreign operations that no longer apply while the foreign operations remain recognised in the balance sheet.
 25. “Hedging derivatives. Cash flow hedges reserve (effective portion)” shall include the cash flow hedge reserve for the effective portion of the variation in fair value of hedging derivatives in a cash flow hedge, both for on-going cash flow hedges and cash flow hedges that no longer apply.
 26. “Fair value changes of debt instruments measured at fair value through other comprehensive income” shall include accumulated gains or losses on debt instruments measured at fair value through other comprehensive income, net of the loss allowance that is measured at the reporting date in accordance with IFRS 9.5.5.
 27. “Hedging instruments (not designated elements)” shall include the accumulated changes in fair value of all of the following:


((a)) the time value of an option where the changes in the time value and the intrinsic value of that option are separated and only the change in the intrinsic value is designated as a hedging instrument (IFRS 9.6.5.15);
((b)) the forward element of a forward contract where the forward element and the spot element of that forward contract are separated and only the change in the spot element of the forward contract is designated as hedging instrument;
((c)) the foreign currency basis spread from a financial instrument where this spread is excluded from the designation of that financial instrument as the hedging instrument (IFRS 9.6.5.15, IFRS 9.6.5.16).
 28. Under IFRS, “Revaluation reserves” shall include the amount of reserves resulting from first-time adoption to IAS that have not been released to other type of reserves.
 29. “Other reserves” shall be split between “Reserves or accumulated losses of investments in subsidiaries, joint ventures and associates accounted for using the equity method” and “Other”. “Reserves or accumulated losses of investments in subsidiaries, joint ventures and associates accounted for using the equity method” shall include the accumulated amount of income and expenses generated by the aforementioned investments through profit or loss in past years where they are accounted for using the equity method. “Other” shall include reserves different from those separately disclosed in other items and may include legal reserve and statutory reserve.
 30. “Treasury shares” shall cover all financial instruments that have the characteristics of own equity instruments which have been reacquired by the institution while they are not sold or amortised, except where under the relevant national GAAP based on BAD they shall be reported in “other assets”.
 2.  31. Interest income and interest expense from financial instruments measured at fair value through profit or loss and from hedging derivatives classified in the category “hedge accounting” shall be reported either separately from other gains and losses under items “interest income” and “interest expense” (“clean price”) or as part of gains or losses from these categories of instruments (“dirty price”). The clean or dirty price approach shall be applied consistently for all financial instruments measured at fair value through profit or loss and for hedging derivatives classified in the category “hedge accounting”.
 32. Institutions shall report the following items, which include income and expense in relation to related parties not fully or proportionally consolidated under the regulatory scope of consolidation, broken down by accounting portfolios:


((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)) “Modification gains or losses, net”;
((f)) “Impairment or (-) reversal of impairment on financial assets not measured at fair value through profit or loss”.
 33. “Interest income. Financial assets held for trading” and “Interest expenses. Financial liabilities held for trading” shall include, where the clean price is used, 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 to present correct interest income and expenses from the financial instruments that are hedged.
 34. Where the clean price is used, “Interest income. Financial assets held for trading” and “Interest expenses. Financial liabilities held for trading” shall also include time-apportioned fees and balancing payments in relation to credit derivatives measured at fair value and used to manage the credit risk of part or all of a financial instrument that is designated at fair value at that occasion (IFRS 9.6.7).
 35. “Interest income. Derivatives – Hedge accounting, interest rate risk” and “Interest expenses. Derivatives – Hedge accounting, interest rate risk” shall include, where the clean price is used, the amounts related to those derivatives classified in the category “hedge accounting” which cover interest rate risk, including hedges of a group of items with offsetting risk positions (hedges of a net position) whose hedged risk affect different line items in the statement of profit or loss. Where the clean price is used, those amounts 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. With clean price, where the hedged item generates interest income (expense), those amounts shall be reported as an interest income (expense) even where it is a negative (positive) amount.
 36. “Interest income – other assets” shall include amounts of interest income not included in the other items, like interest income related to cash, cash balances at central banks and other demand deposits and to non-current assets and disposal groups classified as held for sale as well as net interest income from net defined benefit asset.
 37. Under IFRS and where not provided otherwise in national GAAP, interest in relation to financial liabilities with a negative effective interest rate shall be reported in “Interest income on liabilities”. These liabilities and their interests give rise to a positive yield for an institution.
 38. “Interest expenses – other liabilities” shall include amounts of interest expenses not included in the other items, like 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.
 39. Under IFRS and where not provided otherwise in national GAAP, interest in relation to financial assets with a negative effective interest rate shall be reported in “Interest expense on assets”. Those assets and their interests give rise to a negative yield for an institution.
 40. Dividend income on equity instruments measured at fair value through profit or loss shall be reported either as “dividend income” separately from other gains and losses from those classes of instruments where the clean price is used, or as part of gains or losses from those classes of instruments where the dirty price is used.
 41. Dividend income on equity instruments designated at fair value through other comprehensive income shall encompass dividends related to instruments derecognised during the reporting reference period and dividends related to instruments held at the end of the reporting reference period.
 42. Dividend income from investments in subsidiaries, joint ventures and associates shall include the dividends of those investments where they are accounted for using other than the equity method.
 43. “Gains or (-) losses on financial assets and liabilities held for trading, net” shall include gains and losses in the remeasurement and derecognition of financial instruments classified as held for trading. This item shall also include gains and losses on credit derivatives measured at fair value through profit or loss used to manage the credit risk of all, or part of, a financial instrument that is designated as measured at fair value through profit or loss, as well as dividend and interest income and expense on financial assets and liabilities held for trading where the dirty price is used.
 44. “Gains or losses on financial assets and liabilities designated at fair value through profit or loss” shall include also the amount recognised in the statement of profit or loss for the own credit risk of liabilities designated at fair value where recognising own credit risk changes in other comprehensive income creates or enlarges an accounting mismatch (IFRS 9.5.7.8). This item shall include also gains and losses on the hedged instruments that are designated as measured at fair value through profit or loss where the designation is used to manage credit risk, as well as interest income and expense on financial assets and liabilities designated at fair value through profit or loss where the dirty price is used.
 45. “Gains or (-) losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss” shall not include gains on equity instruments that a reporting entity choses to measure at fair value through other comprehensive income (IFRS 9.5.7.1(b)).
 46. Where a change in business model leads to the reclassification of a financial asset into a different accounting portfolio, the gains or losses from the reclassification shall be reported in the relevant rows of the accounting portfolio in which the financial asset is reclassified, in accordance with the following:


((a)) where a financial asset is reclassified out of the amortised cost measurement category and into the fair value through profit or loss accounting portfolio (IFRS 9.5.6.2), gains or losses due to the reclassification shall be reported in “Gains or (-) losses on financial assets and liabilities held for trading, net” or “Gains or (-) losses on non-trading financial assets mandatorily at fair value through profit or loss, net”, as applicable;
((b)) where a financial asset is reclassified out of the fair value through other comprehensive income measurement category and into the fair value through profit or loss measurement category (IFRS 9.5.6.7), the cumulative gains or losses previously recognised in other comprehensive income reclassified to profit or loss shall be reported in “Gains or (-) losses on financial assets and liabilities held for trading, net” or “Gains or (-) losses on non-trading financial assets mandatorily at fair value through profit or loss, net”, as applicable.
 47. “Gains or (-) losses from hedge accounting, net” shall include gains and losses on hedging instruments and on hedged items, including those on hedged items measured at fair value through other comprehensive income other than equity instruments, in a fair value hedge in accordance with IFRS 9.6.5.8. It shall also include the ineffective part of the variation of the fair value of the hedging instruments in a cash flow hedge. The reclassifications of the cash flow hedges reserve or of the reserve for hedges of net investment in a foreign operation shall be recognised in the same rows of the “Statement of profit or loss” as those impacted by the cash flows from the hedged items. “Gains or (-) losses from hedge accounting, net” shall include also the gains and losses from hedges of net investment in foreign operations. This item shall also include gains on hedges of net positions.
 48. “Gains or losses on derecognition of non-financial assets” shall include the gains and losses on derecognition of non-financial assets, except where classified as held for sale or as investments in subsidiaries, joint ventures and associates.
 48i. “Cash contributions to resolution funds and deposit guarantee schemes” shall include the amounts of contributions to resolution funds and deposit guarantee schemes where they are paid in the form of cash. Where the contribution is made in the form of a payment commitment, this payment commitment shall be included in “provisions or (-) reversal of provisions”, if the payment commitment gives rise to a liability in accordance with the applicable accounting standard.
 49. “Modification gains or (-) losses, net” shall include the amounts arising from adjusting the gross carrying amounts of financial assets to reflect the renegotiated or modified contractual cash flows (IFRS 9.5.4.3 and Appendix A). The modification gains or losses shall not include the impact of modifications on the amount of expected credit losses, which shall be reported in “Impairment or (-) reversal of impairment on financial assets not measured at fair value through profit or loss”.
 50. “Provisions or (-) reversal of provisions. Commitments and guarantees given” shall include the net charges in the “Statement of profit or loss” for provisions on all commitments and guarantees in the scope of IFRS 9, IAS 37 or IFRS 4 in accordance with paragraph 11 of this Part, or under national GAAP based on BAD. Under IFRS, any change in the fair value of commitments and financial guarantees measured at fair value shall be reported in “Gains or (-) losses on financial assets and liabilities designated at fair value through profit or loss, net”. Provisions therefore include the impairment amount for commitments and guarantees for which impairment is determined in accordance with IFRS 9 or their provisioning follows IAS 37 or they are treated as insurance contracts under IFRS 4.
 51. Under IFRS, “Impairment or (-) reversal of impairment on financial assets not measured at fair value through profit or loss” shall include all impairment gains or losses for debt instruments arising from the application of the impairment rules in IFRS 9.5.5, regardless of whether the expected credit losses in accordance with IFRS 9.5.5 are estimated over a 12-month or a lifetime period, and including the impairment gains or losses for trade receivables, contract assets and lease receivables (IFRS 9.5.5.15).
 52. Under national GAAP based on BAD “Impairment or (-) reversal of impairment on financial assets not measured at fair value through profit and loss” shall include all allowances and reversal of allowances of financial instruments measured at cost based methods due to the change in creditworthiness of the debtor or issuer, as well as, depending on the specifications of the national GAAP, the allowances due to the impairment of financial instruments measured at fair value through equity and other measurement methods, including LOCOM.
 53. “Impairment or (-) reversal of impairment on financial assets not measured at fair value through profit or loss” shall also include the amounts written off – as defined in paragraph 72, 74 and 165(b) of this Part of this Annex- that exceed the amount of the loss allowance at the date of write-off and are therefore recognised as a loss directly in profit or loss, as well as recoveries of previously written-off amounts recorded directly to the statement of profit or loss.
 54. The share of profit or loss from subsidiaries, associates and joint ventures which are accounted for under the equity method in the regulatory scope of consolidation shall be reported within “Share of the profit or (-) loss of investments in subsidiaries, joint ventures and associates accounted for using the equity method”. According to IAS 28.10, the carrying amount of the investment shall be reduced by the amount of dividends paid by those entities. The impairment on those investments shall be reported in “(Impairment or (-) reversal of impairment of investments in subsidiaries, joint ventures and associates)”. Gains or losses on derecognition of these investments shall be reported in accordance with paragraph 55 and 56of this Part.
 55. “Profit or loss from non-current assets and disposal groups classified as held for sale not qualifying as discontinued operations” shall include profit or loss generated by non-current assets and disposal groups classified as held for sale not qualifying as discontinued operations.
 56. Under IFRS, the gains or losses on derecognition of investments in subsidiaries, joint ventures and associates shall be reported within “Profit or (-) loss before tax from discontinued operations” where they are considered discontinued operations under IFRS 5. Under national GAAP based on BAD, those gains and losses shall be reported in “Gains or (-) losses on derecognition of investments in subsidiaries, joint ventures and associates, net”.
 3.  57. “Gains or (-) losses from hedge accounting of equity instruments at fair value through other comprehensive income” shall include the change in the accumulated hedge ineffectiveness in fair value hedges in which the hedged item is an equity instrument measured at fair value through other comprehensive income. The change in accumulated hedge ineffectiveness reported in this row shall be the difference between the changes in the variation of the fair value of the equity instrument reported in “Fair value changes of equity instruments measured at fair value through other comprehensive income (hedged item)” and the changes in the variation of the fair value of the hedging derivative reported in “Fair value changes of equity instruments measured at fair value through other comprehensive income (hedging instrument)”.
 58. “Hedge of net investments in foreign operations (effective portion)” shall include the change in the accumulated foreign currency translation reserve for the effective portion of both on-going and discontinued hedges of net investments in foreign operations.
 59. For hedges of net investment in foreign operations and cash flow hedges, the respective amounts reported in “Transferred to profit or loss” shall include amounts transferred because the hedged flows have occurred and are no longer expected to occur.
 60. “Hedging instruments (not designated elements)” shall include changes in the accumulated changes in fair value of all of the following where they are not designated as a hedging component:


((a)) time value of options;
((b)) forward elements of forward contracts;
((c)) foreign exchange basis spread of financial instruments.
 61. For options, the amounts reclassified to profit or loss and reported in “Transferred to profit or loss” shall include reclassifications due to options that hedge a transaction-related hedged item and options that hedge a time-period related hedge item.
 62. “Debt instruments at fair value through other comprehensive income” shall include gains or losses on debt instruments measured at fair value through other comprehensive income other than impairment gains or losses and foreign exchange gains and losses, that shall respectively be reported in “(Impairment or (-) reversal of impairment on financial assets not measured at fair value through profit or loss)” and in “Exchange differences (gain or (-) loss), net” in template 2. “Transferred to profit or loss” in particular shall include the transfer to profit or loss due to derecognition or reclassification into the fair value through profit or loss measurement category.
 63. Where a financial asset is reclassified out of the amortised cost measurement category and into the fair value through other comprehensive income measurement category (IFRS 9.5.6.4), the gains or losses arising due to the reclassification shall be reported in “Debt instruments at fair value through other comprehensive income”.
 64. Where a financial asset is reclassified out of the fair value through other comprehensive income measurement category and into the fair value through profit or loss measurement category (IFRS 9.5.6.7) or into the amortised cost measurement category (IFRS 9.5.6.5), the reclassified cumulative gains and losses previously recognised in other comprehensive income shall be respectively reported in “Transferred to profit or loss” and in “Other reclassifications”, adjusting in the latter case the carrying amount of the financial asset.
 65. For all components of the other comprehensive income, “Other reclassifications” shall include transfers other than the reclassifications from the other comprehensive income to the profit or loss or to the initial carrying amount of hedged items in the case of cash flow hedges.
 66. Under IFRS “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.  67. Financial assets shall be broken down by accounting portfolio and instrument and – where required – by counterparty. For debt instruments measured at fair value through other comprehensive income and at amortised cost, the gross carrying amount of assets and accumulated impairments shall be broken down by impairment stages.
 68. Derivatives reported as trading financial assets under GAAP based on BAD include instruments measured at fair value as well as instruments measured at cost-based methods or LOCOM.
 69. For the purposes of Annexes III and IV as well as this Annex, “accumulated negative changes in fair value due to credit risk” means, for non-performing exposures, accumulated changes in fair value due to credit risk where the accumulated net change is negative. The accumulated net change in fair value due to credit risk shall be calculated by adding all negative and positive changes in fair value due to credit risk that have occurred since recognition of the debt instrument. That amount shall only be reported where the addition of positive and negative changes in fair value due to credit risk results in a negative amount. The valuation of the debt instruments shall be performed on the level of single financial instruments. For each debt instrument, “Accumulated negative changes in fair value due to credit risk” shall be reported until the derecognition of the instrument.
 70. For the purposes of Annexes III and IV as well as this Annex, “accumulated impairment” shall have the following meaning:


((a)) for debt instruments measured at amortised cost or at a cost-based method, accumulated impairment is the cumulative amount of impairment losses, net of use and reversals that has been recognised, where appropriate for each of the impairment stages. Accumulated impairment reduces the carrying amount of the debt instrument through the use of an allowance account under IFRS and national GAAP based on BAD, or via direct reductions that do not constitute a derecognition event under national GAAP based on BAD;
((b)) for debt instruments measured at fair value through other comprehensive income under IFRS, accumulated impairment is the sum of expected credit losses and their variations recognised as a reduction of fair value on a given instrument since initial recognition;
((c)) for debt instruments at fair value through equity under national GAAP based on BAD subject to impairment, accumulated impairment is the cumulative amount of impairment losses, net of use and reversals that has been recognised. The reduction in the carrying amount is either made through use of an allowance account or via direct reductions that do not constitute a derecognition event.
 71. Under IFRS, accumulated impairment shall include the allowance for expected credit losses for financial assets under each of the impairment stages specified by IFRS 9. Under national GAAP based on BAD, it shall include specific and general allowance for credit risk, as well as the general allowance for banking risk where it reduces the carrying amount of debt instruments. Accumulated impairment shall also include the credit risk-induced value adjustments on financial assets under LOCOM.
 72. “Accumulated partial write-offs” and “Accumulated total write-offs” shall include, respectively, the accumulated partial and total amount as at the reference date of principal and accrued past due interest and fees of any debt instrument that has been de-recognised to date using either of the methods described in paragraph 74 because the institution has no reasonable expectations of recovering the contractual cash flows. Those amounts shall be reported until the total extinguishment of all the reporting institution’s rights by expiry of the statute-of-limitations period, forgiveness or other causes, or until recovery. Therefore, where the written-off amounts are not recovered, they shall be reported while they are subject to enforcement activities.
 73. Where a debt instrument is eventually totally written-off because of successive partial write-offs, the cumulative amount written-off shall be reclassified from the “Accumulated partial write-offs” into the “Accumulated total write-offs” column.
 74. Write-offs shall constitute a derecognition event and relate to a financial asset in its entirety or to a portion of it, including where the modification of an asset leads the institution to give up its right of collecting cash flows on a portion or the entirety of this asset as further explained in paragraph 72. Write-offs shall include amounts caused by both reductions of the carrying amount of financial assets recognised directly in profit or loss and reductions in the amounts of the allowance accounts for credit losses taken against the carrying amount of financial assets.
 75. The column “of which: Instruments with low credit risk” shall include instruments that are determined to have low credit risk at the reporting date and for which the institution assumes that the credit risk has not increased significantly since initial recognition in accordance with IFRS 9.5.5.10.
 76. Trade receivables within the meaning of IAS 1.54(h), contract assets and lease receivables for which the simplified approach of IFRS 9.5.5.15 for the estimation of loss allowances has been applied, shall be reported within loans and advances in template 4.4.1. The corresponding loss allowance for those assets shall be reported in either “Accumulated impairment on assets with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2)” or “Accumulated impairment on credit-impaired assets (Stage 3)”, depending on whether trade receivables, contract assets or lease receivables under the simplified approach are considered as credit-impaired assets.
 77. Purchased or originated financial assets that are credit-impaired at initial recognition as defined in IFRS 9 Appendix A shall be separately reported in templates 4.3.1 and 4.4.1. For those assets, the accumulated impairment shall only include the cumulative changes in lifetime expected credit losses since initial recognition (IFRS 9.5.5.13). The corresponding gross carrying amount and accumulated impairment for those assets shall be reported in “Credit-impaired assets (Stage 3)” at initial recognition and as long as they are considered as credit-impaired assets in accordance with the definition of “credit-impaired financial assets” of Appendix to IFRS 9 A. Where those assets are no long considered to be credit-impaired assets after initial recognition, they shall be reported in “Assets with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2)”.
 78. In template 4.5, institutions shall report the carrying amount of “Loans and advances” and “Debt securities” that fall within the definition of “subordinated debt” in paragraph 100 of this Part.
 79. In template 4.8, information to be reported depends on whether Non-trading non-derivative financial assets measured at fair value to equity can be subject to impairment requirements in application of the national GAAP based on BAD. Where those financial assets are subject to impairment, institutions shall report information in this template that relates to the carrying amount, the gross carrying amount of unimpaired assets and impaired assets, accumulated impairment and accumulated write-offs. Where those financial assets are not subject to impairment, institutions shall report the accumulated negative changes in fair value due to credit risk for non-performing exposures.
 80. In template 4.9, financial assets measured under moderate LOCOM and their associated value adjustments shall be identified separately from other financial assets measured at a cost-based method and their associated impairment. Financial assets under a cost-based method, including financial assets under moderate LOCOM, shall be reported as unimpaired assets where they have no value adjustments or impairment associated with them, and as impaired assets in case they have value adjustments that qualify as impairment or impairment associated with them. Value adjustments that qualify as impairment shall be credit risk-induced value adjustments reflecting the deterioration of the creditworthiness of the counterparty. Financial assets under moderate LOCOM with market-risk induced value adjustments reflecting the impact of changes in the market conditions on the value of the asset shall not be considered as impaired. Accumulated credit-risk induced and market-risk induced value adjustments shall be reported separately.
 81. In template 4.10, assets measured at strict LOCOM as well as their associated value adjustments shall be reported separately from assets under other measurement methods. Financial assets under strict LOCOM and financial assets under other measurement methods shall be reported as impaired assets in case they have credit-risk induced value adjustments as defined in paragraph 80 or impairment associated with them. Financial assets under strict LOCOM with market risk induced value adjustments as defined in paragraph 80 shall not be considered as impaired. Accumulated credit-risk induced and market-risk induced value adjustments shall be reported separately.
 82. Under national GAAP based on BAD, the amount of general allowances for banking risk to be reported in the applicable templates shall only be the part that affects the carrying amount of debt instruments (BAD Article 37.2).
 5.  83. Loans and advances other than those held for trading or trading assets shall be broken down by type of product and by counterparty sector for the carrying amount and by type of products only for the gross carrying amount.
 84. Balances receivable on demand classified as “Cash, cash balances at central banks and other demand deposits” shall also be reported in this template independently of how they are measured.
 85. Loans and advances shall be allocated to the following products:


((a)) “on demand (call) and short notice (current account)” shall include balances receivable on demand (call), at short notice (by close of business on the day following that on which the demand was made), current accounts and similar balances including loans that are overnight deposits for the borrower (loans to be repaid by close of business on the day following that in which it was granted), regardless of their legal form. It shall also include “overdrafts” that are debit balances on current account balances and compulsory reserves held at the central bank;
((b)) “Credit card debt” shall include credit granted either via delayed debit cards or via credit cards as defined in the Table of Part 2 of Annex II to the ECB BSI Regulation;
((c)) “Trade receivables” shall 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. That item shall include all factoring and similar transactions, like acceptances, outright purchase of trade receivables, forfaiting, discounting of invoice, bills of exchange, commercial papers and other claims where the reporting institution buys the trade receivables (both with and without recourse);
((d)) “Finance leases” shall include the carrying amount of finance lease receivables. Under IFRS, “finance lease receivables” are as defined in IAS 17;
((e)) “Reverse repurchase loans” shall include finance granted in exchange for securities or gold bought under repurchase agreements or borrowed under securities lending agreements as defined in paragraphs 183 and 184 of this Part;
((f)) “Other term loans” shall include debit balances with contractually fixed maturities or terms that are not included in other items;
((g)) “Advances that are not loans” shall include advances that cannot be classified as loans in accordance with the Table of Part 2 of Annex II to the ECB BSI Regulation. That item shall include, 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).
 86. Loans and advances shall be classified on the basis of the collateral received as follows:


((a)) “Loans collateralized by immovable property” shall include loans and advances formally secured by residential or commercial immovable property collateral, regardless of their loan/collateral ratio (commonly referred as “loan-to-value”) and the legal form of the collateral;
((b)) “Other collateralized loans” shall include loans and advances formally secured by collateral, regardless of their loan/collateral ratio (commonly referred to as “loan-to-value” (LTV) ratio) and the legal form of the collateral, other than “Loans collateralised by immovable property”. That collateral shall include pledges of securities, cash, and other collateral, regardless of the legal form of the collateral.
 87. Loans and advances shall be classified based on the collateral and irrespective of the purpose of the loan. The carrying amount of loans and advances secured by more than one type of collateral shall be classified and reported as collateralised by immovable property where those loans and advances are secured by immovable property regardless of whether they are also secured by other types of collateral.
 88. Loans and advances shall be classified on the basis of their purpose as:


((a)) “Credit for consumption” shall include loans granted mainly for the personal consumption of goods and services, as defined in the Table of Part 2 of Annex II to the ECB BSI Regulation;
((b)) “Lending for house purchase” shall include credit extended to households for the purpose of investing in houses for own use or rental, including building and refurbishments, as defined in the Table of Part 2 of Annex II to the ECB BSI Regulation.
 89. Loans shall be classified on the basis of how they can be recovered. “Project finance loans” shall include loans that meet the characteristics of specialised lending exposures as referred to in Article 147(8) CRR.
 6.  90. Gross carrying amount of loans and advances to non-financial corporations other than those included in the held for trading or trading assets portfolios shall be classified by sector of economic activities using NACE Codes on the basis of the principal activity of the counterparty.
 91. The classification of the exposures incurred jointly by more than one obligor shall be done in accordance with paragraph 43 of Part 1 of this Annex.
 92. Reporting of NACE codes shall be done with the first level of disaggregation (by “section”). Institutions shall report loans and advances to non-financial corporations which engage in financial or insurance activities in “K – Financial and insurance activities”.
 93. Under IFRS, financial assets subject to impairment shall include (i) financial assets at amortised cost, and (ii) financial assets at fair value through other comprehensive income. Under national GAAP based on BAD, financial assets subject to impairment shall include financial assets measured at a cost-based method, including under LOCOM. Depending on the specifications in each national GAAP, they may include (i) financial assets measured at fair value through equity, and (ii) financial assets under other measurement methods.
 7.  94. The carrying amount of debt instruments that are included in the accounting portfolios subject to impairment shall be reported in template 7.1 only where they are past due. Past-due instruments shall be allocated to the corresponding past-due buckets on the basis of their individual situation.
 95. Accounting portfolios subject to impairment shall be financial assets subject to impairment, as defined as in paragraph 93 of this Part.
 96. Financial assets shall qualify as past due where any amount of principal, interest or fee has not been paid at the date it was due. Past due exposures shall be reported for their entire carrying amount. The carrying amounts of such assets shall be reported by impairment stages or impairment status in accordance with the applicable accounting standards and broken down according to the number of days of the oldest past due amount unpaid at the reference date.
 8.  97. “Deposits” and the product breakdown shall be defined in accordance with the Table of Part 2 of Annex II to 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 similar to overnight deposits, shall be classified as deposits redeemable at notice.
 98. “Debt securities issued” shall be disaggregated into the following type of products:


((a)) “Certificates of deposits” shall be securities that enable the holders to withdraw funds from an account;
((b)) “Asset backed securities” shall be securities derived from securitisation transactions as defined in point (61) of Article 4(1) CRR;
((c)) “Covered Bonds” as referred to in Article 129(1) CRR;
((d)) “Hybrid contracts” shall comprise contracts with embedded derivatives;
((e)) “Other debt securities issued” shall be debt securities that are not included in the products referred to in points (a) to (d) and shall distinguish between convertible compound financial instruments and non-convertible instruments.
 99. “Subordinated financial liabilities” issued shall be treated in the same way as other financial liabilities incurred. Subordinated liabilities issued in the form of securities shall be classified as “Debt securities issued” and subordinated liabilities in the form of deposits are classified as “Deposits”.
 100. Template 8.2 shall include the carrying amount of “Deposits” and “Debt securities issued” that shall be subordinated debt, as determined in Table of Part 2 of Annex II to the ECB BSI Regulation, 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.
 101. “Accumulated changes in fair value due to changes in own credit risk” shall include all the said accumulative changes in fair value, regardless of whether they are recognised in profit or loss or in the other comprehensive income.
 9.  102. Off-balance sheet exposures shall include the off-balance sheet items listed in Annex I to CRR. In templates 9.1, 9.1.1 and 9.2, all off-balance sheet exposures listed in Annex I to CRR shall be broken down in loan commitments, financial guarantees, and other commitments.
 103. Information on loan commitments, financial guarantees and other commitments given and received shall include both revocable and irrevocable commitments.
 104. Loan commitments, financial guarantees and other commitments given listed in Annex I to CRR may be instruments that are in the scope of IFRS 9 where they are measured at fair value through profit or loss, or where they are subject to the impairment requirements of IFRS 9, as well as instruments that are within the scope of IAS 37 or IFRS 4.
 105. Under IFRS, loan commitments, financial guarantees and other commitments given shall be reported in template 9.1.1 where any of the following conditions are met:


((a)) they are subject to impairment requirements of IFRS 9;
((b)) they are designated at fair value through profit or loss under IFRS 9;
((c)) they are within the scope of IAS 37 or IFRS 4.
 106. Liabilities that shall be recognised as credit losses for the financial guarantees and commitments given referred to under points (a) and (c) of paragraph 105 of this Part of this Annex shall be reported as provisions regardless of the measurement criteria applied.
 107. Institutions under IFRS shall report the nominal amount and provisions of instruments that are subject to the impairment requirements of IFRS 9, including those measured at initial cost less cumulative income recognised, broken down by impairment stages.
 108. Only the nominal amount of the commitment shall be reported in template 9.1.1 where a debt instrument includes both an on-balance sheet instrument and an off-balance sheet component. Where the reporting entity is unable to identify separately the expected credit losses on the on-balance sheet and off-balance components, the expected credit losses on the commitment shall be reported together with the accumulated impairment on the on-balance sheet component. Where the combined expected credit losses exceed the gross carrying amount of the debt instrument, the remaining balance of the expected credit losses shall be reported as a provision in the appropriate impairment stage in template 9.1.1 (IFRS 9.5.5.20 and IFRS 7.B8E).
 109. A financial guarantee or a commitment to provide a loan at a below-market rate that is measured in accordance with IFRS 9.4.2.1(d) and for which its loss allowance is determined in accordance with IFRS 9.5.5 shall be reported in the appropriate impairment stage.
 110. Where loan commitments, financial guarantees and other commitments are measured at fair value in accordance with IFRS 9, institutions shall report in template 9.1.1 the nominal amount and accumulated negative changes in fair value due to credit risk of those financial guarantees and commitments in dedicated columns. “Accumulated negative changes in fair value due to credit risk” shall be reported applying the criteria of paragraph 69of this Part.
 111. The nominal amount and provisions of other commitments or guarantees that are within the scope of IAS 37 or IFRS 4 shall be reported in dedicated columns.
 112. Institutions under national GAAP based on BAD shall report in template 9.1 the nominal amount of commitments and financial guarantees referred to in paragraphs 102 and 103, as well as the amount of provisions required to be held against those off-balance sheet exposures.
 113. “Loan commitments” shall be firm commitments to provide credit under pre-specified terms and conditions, except those that are derivatives because they can be settled net in cash or by delivering or issuing another financial instrument. The following items of Annex I to CRR shall be classified as “Loan commitments”:


((a)) “Forward deposits”;
((b)) “Undrawn credit facilities”, which comprise agreements to “lend” or provide “acceptance facilities” under pre-specified terms and conditions.
 114. “Financial guarantees” shall be contracts that require the issuer to make specified payments to reimburse the holder of a loss it incurs, because a specified debtor fails to make payment where due in accordance with the original or modified terms of a debt instrument, including guarantees provided for other financial guarantees. Under IFRS, those contracts shall meet the definition of financial guarantee contracts in IFRS 9.2.1(e) and IFRS 4.A. The following items of Annex I to CRR shall be classified as “financial guarantees”:


((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”.
 115. “Other commitments” shall include the following items of Annex I to CRR:


((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” where 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 to CRR.
 116. Under IFRS, the following items are recognised in the balance sheet and, consequently, shall not be reported as off-balance sheet exposures:


((a)) “Credit derivatives” that do not meet the definition of financial guarantees are “derivatives” under IFRS 9;
((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 derecognition under IFRS 9;
((d)) “Transactions with recourse” that do not meet the criteria for derecognition under IFRS 9;
((e)) “Assets purchased under outright forward purchase agreements” are “derivatives” under IFRS 9;
((f)) “Asset sale and repurchase agreements as referred to in paragraphs 3 and 5 of Article 12 of Directive 86/635/EEC”. In those 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 on a date to be specified. Therefore, those contracts meet the definition of derivatives in Appendix A to IFRS 9.
 117. The item “of which: non-performing” shall include the nominal amount of those loan commitments, financial guarantees and other commitments given that are considered as non-performing in accordance with paragraphs 213 to 239 of this Part.
 118. For financial guarantees, loan commitments and other commitments given, the “Nominal amount” shall be 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 shall be the maximum amount the entity would have to pay if the guarantee is called on. For loan commitments, the nominal amount shall be the undrawn amount that the institution has committed to lend. Nominal amounts shall be the exposure values before applying conversion factors and credit risk mitigation techniques.
 119. In template 9.2, for loan commitments received, the nominal amount shall be the total undrawn amount that the counterparty has committed to lend to the institution. For other commitments received, the nominal amount shall be 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” shall be the maximum amount the counterparty would have to pay if the guarantee is called on. Where 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.  120. For the purpose of templates 10 and 11, derivatives shall be considered either as hedging derivatives where they are used in a qualifying hedging relationship in accordance with IFRS or with the applicable national GAAP under BAD, or as held for trading in other cases.
 121. The carrying amount and the notional amount of the derivatives held for trading, including economic hedges, as well as the derivatives held for hedge accounting shall be reported broken down by type of underlying risk, type of market and type of product in templates 10 and 11. Institutions shall report the derivatives held for hedge accounting also broken down by type of hedge. Information on non-derivative hedging instruments shall be reported separately and broken down by types of hedges.
 122. Under the relevant national GAAP based on BAD, all derivatives shall be reported in these templates irrespective of whether they are or are not recognised on the balance sheet under the relevant national GAAP.
 123. The breakdown of the carrying amount, fair value and notional amount of trading and hedging derivatives by accounting portfolios and types of hedges shall be implemented taking into consideration the accounting portfolios and types of hedges that are applicable in IFRS or national GAAP under BAD, whichever framework applies to the reporting entity.
 124. Trading derivatives and hedging derivatives which, in accordance with national GAAP based on BAD, are measured at cost or LOCOM shall be identified separately.
 125. Template 11 shall include hedging instruments and hedged items irrespective of the accounting standard used to recognise a qualifying hedge relationship, including where that qualifying hedge relationship concerns a net position. Where an institution has elected to keep applying IAS 39 for hedge accounting (IFRS 9.7.2.21), the references and names for the types of hedges and accounting portfolios shall be read as the relevant references and names in IAS 39.9: “Financial assets measured at fair value through other comprehensive income” shall refer to “Available for sale assets”, and ‘Assets at amortised cost shall gather “Held to maturity” as well as “Loans and receivables”.
 126. 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 those templates. However, where the hybrid instrument is measured at fair value through profit or loss, the contract shall be reported as a whole and the embedded derivatives shall not be reported in templates 10 and 11.
 127. Commitments considered as derivatives (IFRS 9.2.3(b)) and credit derivatives that do not meet the definition of a financial guarantee in paragraph 114 of this Part of this Annex shall be reported in template 10 and template 11 following the same breakdowns as the other derivative instruments, but not be reported in template 9.
 128. The carrying amount of non-derivative financial assets or non-derivative financial liabilities that are recognised as hedging instrument in application of IFRS or the relevant national GAAP under BAD shall be reported separately in template 11.3.
 10.1.  129. All derivatives shall be classified into one of the following risk categories:


((a)) interest rate: Interest rate derivatives shall be contracts related to an interest-bearing financial instrument the cash flows of which are determined by referencing interest rates or another interest rate contract such as an option on a futures contract to purchase a treasury bill. That category shall be restricted to those deals where all the legs are exposed to only one currency’s interest rate. It shall thus exclude contracts involving the exchange of one or more foreign currencies such as cross-currency swaps and currency options, and other contracts the predominant risk characteristic of which is foreign exchange risk, which are to be reported as foreign exchange contracts. The only exception is where cross-currency swaps are used as part of a portfolio hedge of interest rate risk, where they shall be reported in the dedicated rows for those types of hedges. Interest rate contracts shall include forward rate agreements, single-currency interest rate swaps, interest rate futures, interest rate options (including caps, floors, collars and corridors), interest rate swaps and interest rate warrants;
((b)) equity: Equity derivatives shall be 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 shall include contracts involving the exchange of currencies in the forward market and the exposure to gold. They shall therefore cover outright forwards, foreign exchange swaps, currency swaps (including cross-currency interest rate swaps), currency futures, currency options, currency swaps and currency warrants. Foreign exchange derivatives shall include all deals involving exposure to more than one currency, whether in exchange rates or in interest rates, except where cross-currency swaps are used as part of a portfolio hedge of interest rate risk. Gold contracts shall include all deals involving exposure to that commodity;
((d)) credit: Credit derivatives shall be contracts in which the payout is linked primarily to some measure of the creditworthiness of a particular reference credit and that do not meet the definition of financial guarantees (IFRS 9.4.2.1 (c)). The contracts shall 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. Credit derivatives that meet the definition of a financial guarantee in paragraph 114 of this Part of this Annex shall be reported only in template 9;
((e)) commodity: These derivatives shall be 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: those derivatives shall be 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.
 130. Where a derivative is influenced by more than one type of underlying risk, the instrument shall be allocated to the most sensitive type of risk. For multi-exposure derivatives, in cases of uncertainty, the deals shall be allocated according to the following order of precedence:


((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 shall be included in this category;
((c)) foreign exchange and gold: This category shall include 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 to either interest-bearing financial instruments or exchange rates, except where cross-currency swaps are used as part of a portfolio hedge of interest rate risk.
 10.2.  131. Under IFRS, the “carrying amount” for all derivatives (hedging or trading) shall be the fair value. Derivatives with a positive fair value (above zero) shall be “financial assets” and derivatives with a negative fair value (below zero) shall be “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 shall be 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”). The carrying amount of hedging derivatives shall be their entire fair value, including, where applicable, the components of this fair value that are not designated as hedging instruments.
 132. In addition to carrying amounts as defined in paragraph 27 of Part 1 of this Annex, fair values shall be reported by reporting institutions under national GAAP based on BAD for all derivative instruments, whether required to be booked on-balance sheet or off-balance sheet by the national GAAP based on BAD.
 133. The “Notional amount” shall be the gross nominal of all deals concluded and not yet settled at the reference date, regardless of whether those deals lead to derivative exposures being booked on-balance sheet. In particular, the following shall be taken into account to determine the notional amount:


((a)) for contracts with variable nominal or notional principal amounts, the basis for reporting shall be 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 shall be the contract effective notional amount or par value;
((c)) swaps: The notional amount of a swap shall be 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 shall be 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 shall be 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 shall be 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 shall be either the predefined monetary amount or the fair value of the underlying at the reference date.
 134. The column “Notional amount” of derivatives shall include, for each line item, the sum of the notional amounts of all contracts in which the institution is counterparty, irrespective of whether the derivatives are considered assets or liabilities on the face of the balance sheet or are not booked on-balance sheet. All notional amounts shall be reported, regardless of whether the fair value of derivatives is positive, negative or equal to zero. Netting among the notional amounts shall not be allowed.
 135. The “Notional amount” shall be reported by “total” and by “of which: sold” for the line items: “OTC options”, “Organised market options”, “Credit”, “Commodity” and “Other”. The item “of which sold” shall include 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 its counterparties (protection buyers).
 136. The allocation of a transaction as “OTC” or “Organized market” shall be based on the nature of the market where the transaction takes place and not on whether there is a mandatory clearing obligation for that transaction. An “Organised market” is a regulated market in the meaning of point (92) of Article 4(1) CRR. Therefore, where a reporting entity enters into a derivative contract in an OTC market where central clearing is compulsory, it shall classify that derivative as “OTC” and not as “Organised market”.
 10.3.  137. Derivatives that are held for hedging purposes but which do not meet the criteria to be effective hedging instruments in accordance with IFRS 9, with IAS 39 where IAS 39 is applied for hedge accounting purposes or with the accounting framework under national GAAP based on BAD, shall be reported in template 10 as “economic hedges”. This shall apply also to all of the following cases:


((a)) derivatives hedging unquoted equity instruments for which cost may be an appropriate estimate of fair value;
((b)) credit derivatives measured at fair value through profit or loss used to manage the credit risk of all, or part of, a financial instrument that is designated as measured at fair value through profit or loss at, or subsequent to, initial recognition, or while it is unrecognised in accordance with IFRS 9.6.7.;
((c)) derivatives that are classified as “held for trading” in accordance with Appendix A to IFRS 9 or classified as trading assets in accordance with the national GAAP based on BAD but are not part of the trading book as defined in point (86) of Article 4(1) CRR.
 138. “Economic hedges” shall not include derivatives for proprietary trading.
 139. Derivatives that meet the definition of “economic hedges” shall be reported separately in template 10 for each type of risk.
 140. Credit derivatives used to manage the credit risk of all, or part of, a financial instrument that is designated as measured at fair value through profit or loss at, or subsequent to, initial recognition, or while it is unrecognised in accordance with IFRS 9.6.7, shall be reported in a dedicated row in template 10 within credit risk. Other economic hedges of credit risk for which the reporting entity does not apply IFRS 9.6.7 shall be reported separately.
 10.4.  141. The carrying amount and the total notional amount of derivatives held for trading, and also of derivatives held for hedge accounting, which are traded in the OTC market, shall be reported by counterparties using the following categories:


((a)) “credit institutions”;
((b)) “other financial corporations”;
((c)) “rest” comprising all other counterparties.
 142. All OTC derivatives, irrespective of the type of risk to which they are related, shall be broken down by those counterparties.
 10.5.  143. Where national GAAP under BAD require the allocation of hedging derivatives across categories of hedges, the hedging derivatives shall be separately reported for each of the applicable categories: “fair-value hedges”, “cash flow hedges”, “cost-price hedges”, “hedge in net investments in a foreign operation”, “portfolio fair value hedges of interest rate risk” and “portfolio cash flow hedges of interest rate risk”.
 144. Where applicable in accordance with national GAAP based on BAD, “Cost price hedges” shall refer to a hedging category in which the hedging derivative is generally measured at cost.
 10.6.  145. For non-derivative hedging instruments, the amount to be reported shall be the carrying amount of those non-derivative hedging instruments according to the applicable measurement rules in IFRS or in GAAP based on BAD for the accounting portfolios to which they belong. No “notional amount” shall be reported for non-derivative hedging instruments.
 10.7.  146. The carrying amount of hedged items in a fair value hedge recognised on the statement of financial position shall be broken down by accounting portfolio and type of hedged risk for hedged financial assets and hedged financial liabilities. Where a financial instrument is hedged for more than one risk, it shall be reported in the type of risk in which the hedging instrument shall be reported in accordance with paragraph 129.
 147. “Micro-hedges” shall be hedges other than portfolio hedge of interest rate risk in accordance with IAS 39.89 A. Micro-hedges shall include hedges of nil net positions as referred to in accordance with IFRS 9.6.6.6.
 148. “Hedge adjustments on micro-hedges” shall include all hedge adjustments for all the micro-hedges as defined in paragraph 147.
 149. “Hedge adjustments included in the carrying amount of assets/liabilities” shall be the accumulated amount of the gains and losses on the hedged items that have adjusted the carrying amount of those items and been recognised in profit or loss. Hedge adjustments for the hedged items that are equities measured at fair value through other comprehensive income shall be reported in template 1.3. Hedge adjustments for unrecognised firm commitments or a component thereof shall not be reported.
 150. “Remaining adjustments for discontinued micro-hedges including hedges of net positions” shall include those hedge adjustments which, following the discontinuation of the hedge relationship and the end of the adjustment of hedged items for hedging gains and losses, remain to be amortised to the profit or loss via a recalculated effective interest rate for hedged items measured at amortised cost, or to the amount that represents the previously recognised cumulative hedging gain or loss for hedged assets measured at fair value through other comprehensive income.
 151. Where a group of financial assets or financial liabilities, including a group of financial assets or financial liabilities that constitute a net position, is eligible as a hedged item, financial assets and financial liabilities constituting that group shall be reported at their carrying amount on a gross basis, before netting between instruments within the group, in “Assets or liabilities included in hedge of a net position (before netting)”.
 152. “Hedged items in portfolio hedge of interest rate risk” shall include financial assets and financial liabilities included in a fair value hedge of the interest rate exposure of a portfolio of financial assets or financial liabilities. Those financial instruments shall be reported at their carrying amount on a gross basis, before netting between instruments within the portfolio.
 11.  11.1.  153. Template 12.0 contains a reconciliation of the opening and closing balances of the allowance account for financial assets measured under cost-based methods, as well as for financial assets under other measurement methods or measured at fair value through equity where the national GAAP under BAD require those assets to be subject to impairment. Value adjustments on assets measured at the lower of cost or market shall not be reported in template 12.0.
 154. “Increases due to amounts set aside for estimated loan losses during the period” shall be reported where, for the main category of assets or the counterparty, the estimation of the impairment for the period results 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 where, 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.
 155. Changes in the allowance amounts due to repayment and disposals of financial assets shall be reported in “Other adjustments”. Write-offs shall be reported in accordance with paragraphs 72 to 74.
 11.2.  156. Template 12.1 contains a reconciliation of the opening and closing balances of the allowance account for financial assets measured at amortised cost and at fair value through other comprehensive income broken down by impairment stages, by instrument and by counterparty.
 157. The provisions for off-balance sheet exposures that are subject to the impairment requirements of IFRS 9 shall be reported by impairment stages. Impairment for loan commitments shall be reported as provisions only where they are not considered together with the impairment of on-balance sheet assets in accordance with IFRS 9.7.B8E and paragraph 108 of this part. Movements in provisions for commitments and financial guarantees measured under IAS 37 and financial guarantees treated as insurance contracts under IFRS 4 shall not be reported in this template but in template 43. Changes in the fair value due to credit risk of commitments and financial guarantees measured at fair value through profit or loss in accordance with IFRS 9 shall not be reported in this template but in item “Gains or (-) losses on financial assets and liabilities designated at fair value through profit or loss, net” in accordance with paragraph 50 of this Part.
 158. The items “of which: collectively measured allowances” and “of which: individually measured allowances” shall include the movements in the cumulative amount of impairment related to financial assets which have been measured on a collective or individual basis.
 159. “Increases due to origination and acquisition” shall include the amount of increases in expected losses accounted for on the initial recognition of financial assets originated or acquired. That increase of the allowance shall be reported at the first reporting reference date following the origination or acquisition of those financial assets. Increases or decreases in the expected losses on those financial assets after their initial recognition shall be reported in other columns. Originated or acquired assets shall include assets resulting from the drawdown of off-balance sheet commitments given.
 160. “Decreases due to derecognition” shall include the amount of changes in allowances due to financial assets de-recognised totally in the reporting reference period for reasons other than write-offs, which include transfers to third parties or the expiry of the contractual rights due to full repayment, disposal of those financial assets or their transfer in another accounting portfolio. The change in allowance shall be recognised in this column at the first reporting reference date following the repayment, disposal or transfer. For off-balance sheet exposures, this item shall also include the decreases in the impairment due to the off-balance sheet item becoming an on-balance sheet asset.
 161. “Changes due to change in credit risk (net)” shall include the net amount of changes in expected losses at the end of the reporting reference period due to an increase or decrease in credit risk since initial recognition, irrespective of whether those changes led to a transfer of the financial asset to another stage. The impact on the allowance due to the increase or decrease of the amount of financial assets as a consequence of the interest income accrued and paid shall be reported in this column. This item shall also include the impact of the passing of time on the expected losses calculated in accordance with IFRS 9.5.4.1(a) and (b). The changes in estimates due to updates or review of risk parameters as well as changes in forward-looking economic data shall also be reported in this column. Changes in expected losses due to partial repayment of exposures via instalments shall be reported in this column with the exception of the last instalment, which shall be reported in the column “Decreases due to derecognition”.
 162. All changes in expected credit losses related to revolving exposures shall be reported in “Changes due to change in credit risk (net)”, except for those changes related to write-offs and updates in the institution’s methodology for estimation of credit losses. Revolving exposures shall be those for which customers’ outstanding balances are permitted to fluctuate based on their decisions to borrow and repay up to a limit established by the institution.
 163. “Changes due to an update in the institution’s methodology for estimation (net)” shall include changes due to updates in the institution’s methodology for estimation of expected losses due to changes in the existing models or establishment of new models used to estimate impairment. Methodological updates shall also encompass the impact of the adoption of new standards. Changes in methodology that trigger an asset to change impairment stage shall be considered for a model change in its entirety. The changes in estimates due to updates or review of risk parameters as well as changes in forward-looking economic data shall not be reported in this column.
 164. The reporting of the changes in the expected losses related to modified assets (IFRS 9.5.4.3 and Appendix A) shall depend on the feature of the modification in accordance with the following:


((a)) where the modification results in the partial or total derecognition of an asset due to a write-off as defined in paragraph 74, the impact on expected losses due to this derecognition shall be reported in “Decrease in allowance account due to write-offs”, and any other impact from modification on expected credit losses in other appropriate columns;
((b)) where the modification results in the complete derecognition of an asset for reasons other than a write-off as defined in paragraph 74 and its substitution by a new asset, the impact of modification on expected credit losses shall be reported in “Changes due to derecognition” for the changes due to the asset derecognised, and in “Increases due to origination and acquisition” for the changes due to the newly recognised modified asset. Derecognition for reasons other than write-offs shall include derecognition where the terms of the modified assets have been subject to substantial changes;
((c)) where the modification does not result in derecognition of all or part of the modified asset, its impact on expected losses shall be reported in “Changes due to modifications without derecognition”.
 165. Write-offs shall be reported in accordance with paragraphs 72 to 74 of this Part of this Annex and in accordance with the following:


((a)) where the debt instrument is partially or totally derecognised because there is no reasonable expectation of recovery, the decrease in the loss allowance reported due to the amounts written off shall be reported in: “Decrease in allowance account due to write-offs”;
((b)) “Amounts written-off directly to the statement of profit or loss” shall be the amounts of financial assets written-off during the reporting reference period that exceed any allowance account of the respective financial assets at the derecognition date. They shall include all amounts written-off during the reporting reference period and not only those which are still subject to enforcement activity.
 166. “Other adjustments” shall include any amount not reported in the previous columns, including the adjustments on expected losses due to foreign exchange differences where it is consistent with the reporting of the impact of foreign exchange in template 2.
 166i. “Gains or losses on derecognition of debt instruments” shall include the difference between the carrying amount of financial assets measured at the date of derecognition and the consideration received.
 11.3.  167. For financial assets, the gross carrying amount and for off-balance exposures that are subject to the impairment requirements of IFRS 9, the nominal amount that has been transferred between impairment stages during the reporting reference period shall be reported in template 12.2.
 168. Only the gross carrying amount or the nominal amount of those financial assets or off-balance exposures which are in a different impairment stage at the reporting reference date than they were at the beginning of the financial year or their initial recognition shall be reported. For on-balance exposures for which the impairment reported in template 12.1 includes an off-balance sheet component (IFRS 9.5.5.20 and IFRS 7.B8E), the change in stage of the on-balance sheet and off-balance sheet component shall be considered.
 169. For the reporting of the transfers that have taken place during the financial year, financial assets or off-balance exposures that have changed multiple times the impairment stage since the beginning of the financial year or their initial recognition shall be reported as having been transferred from their impairment stage at the opening of the financial year or initial recognition to the impairment stage in which they are included at the reporting reference date.
 170. The gross carrying amount or the nominal amount to be reported in template 12.2 shall be the gross carrying amount or the nominal value at the reporting date, regardless of whether that amount was higher or lower at the date of the transfer.
 12.  12.1.  171. The collateral and guarantees backing the loans and advances, independently of their legal form, shall be reported by type of pledges: loans collateralised by immovable property and other collateralised loans, and by financial guarantees received. The loans and advances shall be broken down by counterparties and purpose.
 172. 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 the financial guarantee and/or collateral shown in the related columns of template 13.1 shall not exceed the carrying amount of the related loan.
 173. For reporting loans and advances according to the type of pledge, the following definitions shall be used:


((a)) within “Loans collateralised by immovable property”, “Residential” shall include loans secured by residential immovable property and “Commercial” loans secured by pledges of immovable property other than residential, including offices and commercial premises and other types of commercial immovable property. The determination of whether immovable property collateral shall be residential or commercial shall be made in accordance with point (75) of Article 4(1) CRR;
((b)) within “Other collateralised loans”:

((i)) “Cash, deposits, (Debt securities issued)” shall include (a) deposits in the reporting institution that have been pledged as collateral for a loan and (b) debt securities issued by the reporting institution which have been pledged as collateral for a loan;
((ii)) “Movable property” shall comprise pledges of physical collateral other than immovable property and include cars, airplanes, ships, industrial and mechanical equipment (machinery, mechanical and technical equipment), inventories and commodities (merchandise, finished and semi-finished products, raw materials) and other forms of movable property;
((iii)) “Equities and debt securities” shall include collateral in the form of equity instruments, including investments in subsidiaries, joint ventures and associates, as well as in the form of debt securities issued by third parties;
((iv)) “Rest” shall include pledges of assets;
((c)) “Financial guarantees received” shall include contracts that in accordance with paragraph 114 of this Part of this Annex require the issuer to make specified payments to reimburse the institution for a loss it incurs because a specified debtor failed to make a payment where due in accordance with the original or modified terms of a debt instrument.
 174. For loans and advances that have simultaneously several types 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. For loans collateralised by immovable property, immovable property collateral shall always be reported first, irrespective of its quality compared to other collateral. Where the “Maximum collateral/guarantee that can be considered” exceeds the value of immovable property collateral, its remaining value shall be allocated to other collateral types and guarantees according to its quality, starting from the one with best quality.
 12.2.  175. This template shall be used to report information on collateral that has been obtained between the beginning and the end of the reference period and that remains recognised in the balance sheet at the reference date. Collateral obtained by taking possession shall include assets that were not pledged by the debtor as collateral, but were obtained in exchange for the cancellation of debt, whether on a voluntary basis or as part of legal proceedings. The types of collateral shall be the ones referred to in paragraph 173, with the exception of those in point (b) (i) of that paragraph.
 175i. “Value at initial recognition” shall mean the gross carrying amount of the collateral obtained by taking possession at the point in time of the initial recognition in the balance sheet of the reporting institution.
 175ii. “Accumulated negative changes” shall be the difference, at the level of the individual collateral item, between the value at initial recognition of the collateral and the carrying amount at the reporting reference date, where that difference is negative.
 12.3.  176. Collateral obtained by taking possession that remains recognised in the balance sheet at the reference date, irrespective of the point in time when it was obtained, shall be reported in template 13.3.1. Both collateral obtained by taking possession classified as “Property, plant and equipment” and other collateral obtained by taking possession shall be included. Collateral obtained by taking possession shall include assets that were not pledged by the debtor as collateral, but were obtained in exchange for the cancellation of debt, whether on a voluntary basis or as part of legal proceedings.
 13.  177. Institutions shall report the value of financial instruments measured at fair value according to the hierarchy provided by IFRS 13.72. Where national GAAP under BAD require the allocation of assets measured at fair value between different levels of fair value, institutions under national GAAP shall also report this template.
 178. “Change in fair value for the period” shall include gains or losses from re-measurements made in accordance with IFRS 9, IFRS 13 or national GAAP, where applicable, in the period of the instruments that continue to exist at the reporting date. Those gains and losses shall be reported as for inclusion in the statement of profit or loss, or where applicable, in the statement of comprehensive income; thus, the amounts to be reported are before taxes.
 179. “Accumulated change in fair value before taxes” shall include the amount of gains or losses from re-measurements of the instruments accumulated from the initial recognition to the reference date.
 14.  180. Template 15 shall include 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.
 181. 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.
 182. The column “Amounts derecognised for capital purposes” shall include the carrying amount of the financial assets recognised for accounting purposes but de-recognised for prudential purposes because the institution is treating them as securitisation positions for capital purposes in accordance with Articles 109, 243 and 244 CRR.
 183. “Repurchase agreements” (“repos”) shall be transactions in which the institution receives cash in exchange for financial assets sold at a given price under a commitment to repurchase the same (or identical) assets at a fixed price on a specified future date. Transactions involving the temporary transfer of gold against cash collateral shall also be considered “Repurchase agreements” (“repos”). Amounts received by the institution in exchange for financial assets transferred to a third party (“temporary acquirer”) shall be classified under “repurchase agreements” where there is a commitment to reverse the operation and not merely an option to do so. Repurchase agreements shall also include repo-type operations which may include:


((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.
 184. “Repurchase agreements” (“repos”) and “reverse repurchase loans” (“reverse repos”) shall involve cash received or loaned out by the institution.
 185. In a securitisation transaction, where 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.  186. For selected items of the income statement further breakdowns of gains (or income) and losses (or expenses) shall be reported.
 15.1.  187. Interest income shall be broken down in accordance with both of the following:


((a)) interest income on financial and other assets;
((b)) interest income on financial liabilities with negative effective interest rate.
 188. Interest expenses shall be broken down in accordance with both of the following:


((a)) interest expenses on financial and other liabilities;
((b)) interest expenses on financial assets with negative effective interest rate.
 189. Interest income on financial assets and on financial liabilities with a negative effective interest rate shall include interest income on derivatives held for trading, debt securities, and loans and advances, as well as on deposits, debt securities issued and other financial liabilities with a negative effective interest rate.
 190. Interest expenses on financial liabilities and on financial assets with a negative effective interest rate shall include interest expenses on derivatives held for trading, deposits, debt securities issued and other financial liabilities, as well as on debt securities and loans and advances with a negative effective interest rate.
 191. For the purpose of template 16.1, short positions shall be considered within other financial liabilities. All instruments in the various portfolios shall be taken into account except those included in the items “Derivatives – Hedge accounting” not used to hedge interest rate risk.
 192. “Derivatives – Hedge accounting, interest rate risk” shall include the interest income and expenses on hedging instruments where the hedged items generate interest.
 193. Where the clean price is used, interest on derivatives held for trading shall include 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. In such case, interest income on economic hedge derivatives shall be reported separately within interest income from trading derivatives. Time-apportioned fees or balancing payments in relation to credit derivatives measured at fair value and used to manage the credit risk of part or all of a financial instrument that is designated at fair value at that occasion shall also be reported within interest on derivatives held for trading.
 194. Under IFRS, “Of which: interest-income on impaired financial assets” means interest income on credit-impaired financial assets, including purchased or originated credit-impaired financial assets. Under national GAAP under BAD, it shall include interest income on assets impaired with a specific impairment allowance for credit risk.
 194i. “Of which: credit for consumption” and “of which: lending for house purchase” shall reflect the income and expenses on loans and advances as described in paragraph 88of this Part.
 194ii. “Of which: interest from leases” shall reflect the lessor’s interest income on the lease receivable (finance leases) and the lessee’s interest expenses on the lease liability respectively.
 15.2.  195. 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.
 196. Template 16.2 shall apply under IFRS to financial assets and liabilities at amortised cost, and debt instruments measured at fair value through other comprehensive income. Under national GAAP based on BAD, template 16.2 shall apply to financial assets measured at cost-based method, at fair value through equity, and in accordance with measurement methods such as the lower of cost or market. Gains and losses of financial instruments classified as trading under the relevant national GAAP based on BAD shall not be reported in this template regardless of the valuation rules applicable for those instruments.
 15.3.  197. Gains and losses on financial assets and liabilities held for trading shall be broken down by type of instrument; each item of the breakdown shall be the net realised and unrealised amount (gains minus losses) of the financial instrument.
 198. Gains and losses from foreign currency trading on the spot market, excluding exchange of foreign notes and coins, shall be included as trading gains and losses. Gains and losses from precious metal trading or derecognition and re-measurement shall not be included in trading gains and losses but in “Other operating income” or “Other operating expense” in accordance with paragraph 316 of this Part.
 199. The item “Of which: economic hedges with use of the fair value option” shall include only gains and losses on credit derivatives measured at fair value through profit or loss and used to manage the credit risk of all or part of a financial instrument that is designated at fair value through profit or loss at that occasion in accordance with IFRS 9.6.7. Gains or losses due to the reclassification of financial assets out of the amortised cost accounting portfolio and into the fair value through profit or loss accounting portfolio or into the held for trading portfolio (IFRS 9.5.6.2) shall be reported in “Of which: gains and losses due to the reclassification of assets at amortised cost”.
 15.4.  200. Gains and losses on financial assets and financial liabilities held for trading shall also be broken down by type of risk. Each item of the breakdown shall be the net realised and unrealised amount (gains minus losses) of the underlying risk (interest rate, equity, foreign exchange, credit, commodity and other) associated with the exposure, including related derivatives. Gains and losses from exchange differences shall be included in the item in which the rest of gains and losses arising from the converted instrument are included. Gains and losses on financial assets and financial liabilities other than derivatives shall be included in the risk categories as follows:


((a)) interest rate: including trading of loans and advances, deposits and debt securities (held or issued);
((b)) equity: including trading of shares, quotas of UCITS and other equity instruments;
((c)) foreign exchange trading: including exclusively trading on foreign exchanges;
((d)) credit risk: including trading of credit link notes;
((e)) commodities: this item shall include only derivatives because gains and losses on commodities held with trading intent shall be reported under “Other operating income” or “Other operating expense” in accordance with paragraph 316of this Part;
((f)) other: including trading of financial instruments, which cannot be classified in other breakdowns.
 15.5.  201. Gains and losses on non-trading financial assets mandatorily at fair value through profit or loss shall be broken down by type of instrument. Each item of the breakdown shall be the net realised and unrealised amount (gains minus losses) of the financial instrument.
 202. Gains or losses due to the reclassification of financial assets out of the amortised cost accounting portfolio and into the non-trading financial assets mandatorily at fair value through profit or loss accounting portfolio (IFRS 9.5.6.2) shall be reported in “Of which: gains and losses due to the reclassification of assets at amortised cost”.
 15.6.  203. 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 gains or losses and the amount of change in fair value of financial liabilities in the period due to changes in the credit risk (own credit risk of the borrower or issuer) where own credit risk is not reported within other comprehensive income.
 204. Where a credit derivative measured at fair value is used to manage the credit risk of all or part of a financial instrument that is designated at fair value through profit or loss at that occasion, the gains or losses of the financial instrument upon that designation shall be reported in “Of which: gains or (-) losses upon designation of financial assets and liabilities designated at fair value through profit or loss for hedging purposes, net”. Subsequent fair value gains or losses on those financial instruments shall be reported in “Of which: gains or (-) losses after the designation of financial assets and liabilities designated at fair value through profit or loss for hedging purposes, net”.
 15.7.  205. All gains and losses from hedge accounting, except interest income or expense where the clean price is used, 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. Gains and losses on hedging instruments shall not include gains and losses related to elements of the hedging instruments that are not designated as hedging instruments in accordance with IFRS 9.6.2.4. Those hedging instruments that are not designated shall be reported in accordance with paragraph 60of this Part. Gains and losses from hedge accounting shall also include gains and losses on hedges of a group of items with offsetting risk positions (hedges of a net position).
 206. “Fair value changes of the hedged item attributable to the hedged risk” shall include gains and losses on hedged items where the items are debt instruments measured at fair value through other comprehensive income in accordance with IFRS 9.4.1.2 A (IFRS 9.6.5.8).
 207. Under national GAAP based on BAD, the breakdown by type of hedges as provided for in this template shall be reported to the extent the breakdown is compatible with the applicable accounting requirements.
 15.8.  208. “Additions” shall be reported where, 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 where, for the accounting portfolio or main category of assets, the estimation of the impairment for the period results in the recognition of net income.
 15.9.  208i. “Information Technology expenses” shall be the expenses made to deliver IT-enabled business processes, application services and infrastructure solutions for business outcomes, including costs related to the creation and maintenance of IT systems and excluding compensation for IT specialists on the institution’s payroll which shall be reported under staff expenses.
 208ii. Among the Information Technology expenses, “IT outsourcing” shall mean IT expenses related to the use of external service providers. It shall not include expenses related to (i) pure staff services (agency staff) to the extent that the institution just hires staff temporarily and keeps full control of the delivered services and (ii) purely standardised operational hardware/software maintenance contracts on merely purchased assets.
 208iii. “Taxes and duties (other)”shall include taxes and duties other than (i) taxes related to profit or loss taxes and (ii) taxes and duties from discontinued operations. This item includes taxes and duties such as taxes levied on goods and services and the duties paid by the institution.
 208iv. “Consulting and professional services” shall mean expenses made to get expert or strategic advice.
 208v. “Advertising, marketing and communication” shall include expenses related to marketing communications activities such as advertising, direct or online marketing, and events.
 208vi. “Expenses related to credit risk” shall mean administrative expenses in the context of credit events, such as expenses incurred in respect of taking possession of collateral or legal proceedings.
 208vii. “Litigation expenses not covered by provisions” shall mean litigation expenses not related to credit risk that were not covered by an associated provision.
 208viii. “Real estate expenses” shall mean expenses for repairs and maintenance that do not improve the use or prolong the useful life of the real estate, as well as utility expenses (water, electricity and heating).
 208ix. Under IFRS, “leasing expenses” shall comprise expenses of the lessee due to short-term leases and leases of assets of low value as referred to IFRS 16.5 and 16.6. Under national GAAP, leasing expenses shall comprise expenses of the lessee, where the accounting standard envisages the treatment of lease payments as expenses.
 208x. “Other administrative expenses – Rest” shall include all the remaining components of “other administrative expenses”, such as administrative and logistic services, postage and transport of documents, surveillance and security services, money counting services and transport. Cash contributions to resolution funds and deposit guarantee schemes shall not be reported in this category since they are reported in a separate row of template 2.
 16.  209. “Accounting scope of consolidation” shall include 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 subsidiaries that are insurance undertakings and non-financial corporations. Institutions shall account for the subsidiaries, joint ventures and associates using the same method as in their financial statements.
 210. In this template, the item “Investments in subsidiaries, joint ventures and associates” shall not include subsidiaries as all subsidiaries are fully consolidated under the scope of accounting consolidation.
 211. “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.
 212. “Liabilities under insurance and reinsurance contracts” shall include liabilities under insurance and reinsurance contracts issued.
 17.  17.1.  213. For the purposes of template 18, non-performing exposures shall be exposures that satisfy any of the following criteria:


((a)) material exposures which are more than 90 days past due;
((b)) the debtor is assessed as unlikely to pay his or her credit obligations in full without realisation of collateral, regardless of the existence of any past due amount or of the number of days past due.
 214. The categorisation as non-performing exposures shall apply notwithstanding the classification of an exposure as defaulted for regulatory purposes in accordance with Article 178 CRR or as impaired for accounting purposes in accordance with the applicable accounting framework.
 215. Exposures in respect of which a default is considered to have occurred in accordance with Article 178 CRR and exposures that have been found impaired in accordance with the applicable accounting framework shall always be considered as non-performing exposures. Under IFRS, for the purpose of template 18, impaired exposures shall be those that have been found credit-impaired (Stage 3), including purchased or originated credit-impaired assets reported in this stage in accordance with paragraph 77of this Part. Exposures included in impairment stages other than Stage 3 shall be considered as non-performing where they meet the criteria to be considered as non-performing.
 216. Exposures shall be categorised for their entire amount and without taking into account the existence of any collateral. Materiality shall be assessed in accordance with Article 178 CRR.
 217. For the purpose of template 18, “exposures” shall include all debt instruments (debt securities and loans and advances, including cash balances at central banks and other demand deposits) and off-balance sheet exposures, except those held for trading exposures.
 218. Debt instruments shall be included in the following accounting portfolios: (a) debt instruments at cost or amortised cost; (b) debt instruments at fair value through other comprehensive income or through equity subject to impairment; and (c) debt instruments at strict LOCOM or fair value through profit or loss or through equity not subject to impairment, in accordance with the criteria of paragraph 233 of this Part. Each category shall be broken down by instrument and by counterparty.
 219. Under IFRS and relevant national GAAP based on BAD, off-balance sheet exposures shall comprise the following revocable and irrevocable items:


((a)) loan commitments given;
((b)) financial guarantees given;
((c)) other commitments given.
 220. Debt instruments classified as held for sale in accordance with IFRS 5 shall be reported separately.
 221. In template 18 for debt instruments, “gross carrying amount” as defined in paragraph 34of Part 1 of this Annex shall be reported. For off-balance sheet exposures, the nominal amount as defined in paragraph 118 of this Annex shall be reported.
 222. For the purpose of template 18, an exposure is “past-due” where it meets the criteria of paragraph 96 of this Part.
 223. For the purpose of template 18, “debtor” shall mean an obligor within the meaning of Article 178 CRR.
 224. A commitment shall be considered as a non-performing exposure for its nominal amount where, drawn down or otherwise used, it would lead to exposures that present a risk of not being paid back in full without realisation of collateral.
 225. Financial guarantees given shall be considered as non-performing exposures for their nominal amount where the financial guarantee is at risk of being called by the guaranteed party, including, in particular, where the underlying guaranteed exposure meets the criteria to be considered as non-performing, referred to in paragraph 213. Where the guaranteed party is past-due on the amount due under the financial guarantee contract, the reporting institution shall assess whether the resulting receivable meets the non-performing criteria.
 226. Exposures classified as non-performing in accordance with paragraph 213 shall be categorised as either non-performing on an individual basis (“transaction based”) or as non-performing for the overall exposure to a given debtor (“debtor based”). For the categorisation of non-performing exposures on an individual basis or to a given debtor, the following categorisation approaches shall be used for the different types of non-performing exposures:


((a)) for non-performing exposures classified as defaulted in accordance with Article 178 CRR, the categorisation approach of that Article shall be applied;
((b)) for exposures that are classified as non-performing due to impairment under the applicable accounting framework, the recognition criteria for impairment under the applicable accounting framework shall be applied;
((c)) for other non-performing exposures that are neither classified as defaulted nor as impaired, the provisions of Article 178 CRR for defaulted exposures shall be applied.
 227. Where an institution has on-balance sheet exposures to a debtor that are past due by more than 90 days and the gross carrying amount of the past due exposures represents more than 20 % of the gross carrying amount of all on-balance sheet exposures to that debtor, all on- and off-balance sheet exposures to that debtor shall be considered as non-performing. Where a debtor belongs to a group, the need to consider also exposures to other entities of the group as non-performing shall be assessed, where those exposures are not already considered as impaired or defaulted in accordance with Article 178 CRR, except for exposures affected by isolated disputes that are unrelated to the solvency of the counterparty.
 228. Exposures shall be considered to have ceased being non-performing where all of the following conditions are met:


((a)) the exposure meets the exit criteria applied by the reporting institution for the discontinuation of the impairment and default classification according to the applicable accounting framework and Article 178 of the CRR respectively;
((b)) the situation of the debtor has improved to the extent that full repayment is likely to be made, either according to the original or to the modified conditions;
((c)) the debtor does not have any amount past-due by more than 90 days.
 229. An exposure shall remain classified as non-performing as long as the conditions in points (a), (b) and (c) of paragraph 228 are not met, even where the exposure has already met the discontinuation criteria applied by the reporting institution for the impairment and default classification in accordance with the applicable accounting framework and Article 178 CRR respectively.
 230. The classification of a non-performing exposure as non-current asset held for sale in accordance with IFRS 5 shall not discontinue their classification as non-performing exposure.
 231. Granting forbearance measures to a non-performing exposure shall not discontinue the non-performing status of this exposure. Where exposures are non-performing with forbearance measures, as referred to in paragraph 262, those exposures shall be considered to have ceased being non-performing where all the following conditions are met:


((a)) exposures are not considered to be impaired or defaulted by the reporting institution according to the applicable accounting framework and Article 178 of the CRR, respectively;
((b)) at least one year has passed since the date on which the forbearance measures were granted and the date on which the exposures were classified as non-performing, whichever is later;;
((c)) there is not, following the forbearance measures, any past-due amount or concern regarding the full repayment of the exposure according to the post-forbearance conditions. The absence of concerns shall be determined after an analysis of the debtor’s financial situation by the institution. Concerns may be considered as no longer existing where the debtor has paid, via its regular payments in accordance with the post-forbearance conditions, a total equal to the amount that was previously past-due (where there were past-due amounts) or that has been written-off (where there were no past-due amounts) under the forbearance measures or the debtor has otherwise demonstrated its ability to comply with the post-forbearance conditions.
The specific exit conditions referred to in points (a), (b) and (c) shall apply in addition to the criteria applied by reporting institutions for impaired and defaulted exposures according to the applicable accounting framework and Article 178 CRR, respectively.
 232. Where the conditions referred to in paragraph 231 of this Part of this Annex are not met at the end of the one year period specified in point (b) of that paragraph, the exposure shall continue to be identified as non-performing forborne exposure until all conditions are met. The conditions shall be assessed at least on a quarterly basis.
 233. The accounting portfolios under IFRS listed in paragraph 15 of Part 1 of this Annex and under relevant national GAAP based on BAD listed in paragraph 16 of Part 1 of this Annex shall be reported as follows in template 18:


((a)) “Debt instruments at cost or at amortised cost” shall encompass debt instruments included in any of the following:

((i)) “Financial assets at amortised cost” (IFRS);
((ii)) “Non-trading non-derivative financial assets at a cost based method”, including debt instruments under moderate LOCOM (national GAAP based on BAD);
((iii)) “Other non-trading non-derivative financial assets”, except debt instruments measured at strict LOCOM (national GAAP based on BAD);
((b)) “Debt instruments at fair value through other comprehensive income or through equity subject to impairment” shall encompass debt instruments included in any of the following:

((i)) “Financial assets at fair value through other comprehensive income” (IFRS);
((ii)) “Non-trading non-derivative financial assets measured at fair value to equity”, where instruments in that measurement category can be subject to impairment in accordance with the applicable accounting framework under national GAAP based on BAD;
((c)) “Debt instruments at strict LOCOM, or at fair value through profit or loss or through equity not subject to impairment” shall encompass debt instruments included in any of the following:

((i)) “Non-trading financial assets mandatorily at fair value through profit or loss” (IFRS);
((ii)) “Financial assets designated at fair value through profit or loss” (IFRS);
((iii)) “Non-trading non-derivative financial assets measured at fair value through profit or loss” (national GAAP based on BAD);
((iv)) “Other non-trading non-derivative financial assets” where debt instruments are measured under strict LOCOM (national GAAP based on BAD);
((v)) “Non-trading non-derivative financial assets measured at fair value through equity”, where debt instruments in that measurement category are not subject to impairment in accordance with the applicable accounting framework under GAAP based on BAD.
 234. Where IFRS or the relevant national GAAP based on BAD provide for the designation of commitments at fair value through profit and loss, the carrying amount of any asset resulting from that designation and measurement at fair value shall be reported in “Financial assets designated at fair value through profit or loss” (IFRS) or “Non-trading non-derivative financial assets measured at fair value through profit or loss” (national GAAP based on BAD). The carrying amount of any liability resulting from that designation shall not be reported in template 18. The notional amount of all commitments designated at fair value through profit or loss shall be reported in template 9.
 234i. The following exposures shall be identified in separate rows:


((a)) Loans collateralised by immovable property as defined in paragraphs 86(a) and 87of this Part;
((b)) Credit for consumption as defined in paragraph 88(a) of this Part.
 235. Past due exposures shall be reported separately within the performing and non-performing categories for their entire amount as defined in paragraph 96 of this Part. Exposures past due by more than 90 days but that are not material in accordance with Article 178 CRR shall be reported within performing exposures in “Past due > 30 days <= 90 days”.
 236. Non-performing exposures shall be reported broken down by past due time bands. Exposures that are not past due or are past due by 90 days or less, but are nevertheless identified as non-performing due to the likelihood of non-full repayment, shall be reported in a dedicated column. Exposures that present both past due amounts and a likelihood of non-full repayment shall be allocated by past-due time bands consistent with the number of days that they are past due.
 237. The following exposures shall be identified in separate columns:


((a)) exposures which are considered to be impaired in accordance with the applicable accounting framework; under IFRS, the amount of credit-impaired assets (Stage 3), including purchased or originated credit-impaired assets, shall be reported; under national GAAP, the amount of impaired assets shall be reported;
((b)) exposures in respect of which a default is considered to have occurred in accordance with Article 178 CRR.
((c)) under IFRS, assets with significant increase in credit risk since initial recognition, but not credit-impaired (Stage 2), including purchased or originated credit-impaired assets that no longer meet the definition of “credit-impaired” assets after the initial recognition;
((d)) under IFRS, for performing exposures, assets without significant increase in credit risk since initial recognition (Stage 1).
 238. Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions shall be reported in accordance with paragraphs 11, 69 to 71, 106 and 110of this Part.
 239. Information on collateral held and guarantees received on performing and non-performing exposures shall be reported separately. Amounts reported for collateral received and guarantees received shall be calculated in accordance with paragraphs 172 and 174of this Part. The sum of the amounts reported for both collateral and guarantees shall be capped at the carrying amount or nominal amount after deduction of provisions of the related exposure.
 17.2.  239i. Template 18.1 shall provide the inflows and outflows of loans and advances, excluding loans and advances classified as trading financial assets or held for trading, that were classified into or out of the category of non-performing exposures as defined in paragraphs 213 to 239 or 260of this Part. Inflows and outflows of non-performing loans and advances shall be broken down by counterparty sector.
 239ii. Inflows to the non-performing exposures category shall be reported on a cumulative basis since the beginning of the financial year. The inflow shall reflect the gross carrying amount of exposures that have become non-performing as defined in paragraphs 213 to 239 or 260 of this Part during the period, including purchased non-performing exposures. An increase in the gross carrying amount of a non-performing exposure due to accrued interest or due to an increase in the accumulated negative changes in fair value due to credit risk shall be reported as an inflow as well.
 239iii. For an exposure that during the period has been reclassified multiple times from non-performing to performing or vice versa, the amount of inflows and outflows shall be identified based on a comparison between the status of the exposure (performing or non-performing) at the beginning of the financial year or at initial recognition and its status at the reporting reference date.
 239iv. Outflows from the non-performing exposures category shall be reported on a cumulative basis since the beginning of the financial year. The outflow shall reflect the sum of the gross carrying amounts of exposures that cease to be non-performing during the period, and, where applicable, shall include the amount of write-offs made in the context of the partial or full derecognition of the exposure. A decrease in the gross carrying amount of a non-performing exposure due to interest paid or a decrease in the accumulated negative changes in fair value due to credit risk shall be reported as an outflow as well.
 239v. An outflow shall be reported in the following cases:


((a)) a non-performing exposure meets the criteria for ceasing to be classified as non-performing as laid out in paragraphs 228 – 232 of this Part and is reclassified as performing not forborne or performing forborne;
((b)) a non-performing exposure is partially or totally repaid; in case of partial repayment, only the repaid amount shall be classified as outflow;
((c)) collateral is liquidated, including outflows due to other liquidation or legal procedures, such as the liquidation of assets other than collateral obtained via legal procedures, and the voluntary sale of the collateral;
((d)) the institution takes possession of the collateral as referred in paragraph 175 of this Part including cases of debt asset swaps, voluntary surrenders and debt equity swaps;
((e)) a non-performing exposure is sold;
((f)) the risk pertaining to a non-performing exposure is transferred and the exposure meets the criteria to be derecognised;
((g)) a non-performing exposure is written-off partially or totally; in case of partial write-offs, only the written-off amount shall be classified as outflow;
((h)) a non-performing exposure, or parts of a non-performing exposure, ceases to be non-performing for other reasons.
 239vi. The reclassification of a non-performing exposure from one accounting portfolio to another shall be reported neither as inflow nor as outflow. As an exception, the reclassification of a non-performing exposure from any accounting portfolio to “held for sale” shall be reported as outflow from the original accounting portfolio and inflow to “held for sale”.
 239vii. The following exposures shall be identified in separate rows:


((a)) commercial real estate (CRE) loans as defined in paragraph 239ix, broken down into CRE loans to SMEs and CRE loans to non-financial corporations other than SMEs;
((b)) loans collateralised by immovable property as defined in paragraphs 86(a) and 87of this Part;
((c)) credit for consumption as defined in paragraph 88(a) of this Part.
 17.3.  239viii. Template 18.2 shall present information on commercial real estate loans to non-financial corporations and on loans collateralised by commercial or residential immovable property to non-financial corporations and households respectively, broken down by loan to value ratio (LTV ratio). Loans and advances classified as held for trading, trading financial assets and debt instruments held for sale shall be excluded.
 239ix. “Commercial real estate (CRE) loans” shall comprise exposures as defined in section 2, chapter 1, paragraph 1 of the ESRB Recommendation on closing real estate data gaps.
 239x. The LTV ratio shall be calculated in accordance with the method for the calculation of the “current loan-to-value ratio” (LTV-C) laid down in section 2, chapter 1, paragraph 1 of the ESRB Recommendation on closing real estate data gaps.
 239xi. Information on collateral received and financial guarantees received on loans shall be reported in accordance with paragraph 239of this Part. Consequently, the sum of the amounts reported for both collateral and guarantees shall be capped at the carrying amount of the related exposure.
 18.  240. For the purpose of template 19, forborne exposures shall be debt contracts in respect of which forbearance measures have been applied. Forbearance measures consist of concessions towards a debtor that is experiencing or about to experience difficulties in meeting its financial commitments (“financial difficulties”).
 241. For the purpose of template 19, a concession may entail a loss for the lender and shall refer to either of the following actions:


((a)) a modification of the terms and conditions of a contract that the debtor is considered unable to comply with due to his or her financial difficulties (“troubled debt”) resulting in insufficient debt service ability, and where that modification would not have been granted had the debtor not been experiencing financial difficulties;
((b)) a total or partial refinancing of a troubled debt contract, where that refinancing would not have been granted had the debtor not been experiencing financial difficulties.
 242. Evidence of a concession shall include at least any of the following:


((a)) a difference in favour of the debtor between the modified terms of the contract and the pre-modified terms of the contract;
((b)) inclusion in a modified contract of more favourable terms than other debtors with a similar risk profile could have obtained from the same institution at the time of inclusion of those more favourable terms.
 243. The exercise of clauses which, where used at the discretion of the debtor, enable the debtor to change the terms of the contract (“embedded forbearance clauses”) shall be treated as a concession where the institution approves executing those clauses and concludes that the debtor is experiencing financial difficulties.
 244. For the purposes of Annexes III and IV as well as this Annex, “refinancing” shall mean the use of debt contracts to ensure the total or partial payment of other debt contracts the terms of which the debtor is unable to comply with.
 245. For the purpose of template 19, “debtor” shall include all the legal entities in the debtor’s group which are within the accounting scope of consolidation and natural persons who control that group.
 246. For the purpose of template 19, “debt” shall include loans and advances (including also cash balances at central banks and other demand deposits), debt securities and revocable and irrevocable loan commitments given, including those loan commitments that are designated at fair value through profit and loss that are assets at the reporting date. “Debt” shall exclude exposures held for trading.
 247. “Debt” shall also include loans and advances and debt securities classified as non-current assets and disposal groups classified as held for sale in accordance with IFRS 5.
 248. For the purposes of template 19, “exposure” shall have the same meaning as “debt” in paragraphs 246 and 247of this Part.
 249. The accounting portfolios under IFRS listed in paragraph 15 of Part 1 of this Annex and under relevant national GAAP based on BAD listed in paragraph 16 of Part 1 of this Annex shall be reported in template 19 in accordance with paragraph 233 of this Part.
 250. For the purposes of template 19, “institution” shall mean the institution, which applied the forbearance measures.
 251. In template 19 for “debt”, the “gross carrying amount” shall be reported in accordance with paragraph 34 of Part 1 of this Annex. For loan commitments given which are off-balance sheet exposures, the nominal amount as defined in paragraph 118 of this Part of this Annex shall be reported.
 252. Exposures shall be regarded as forborne where a concession has been made, irrespective of whether any amount is past due or of the classification of the exposures as impaired in accordance with the applicable accounting framework or as defaulted in accordance with Article 178 CRR. Exposures shall not be treated as forborne where the debtor is not in financial difficulties. Under IFRS, modified financial assets (IFRS 9.5.4.3 and Appendix A) shall be treated as forborne where a concession as defined in paragraphs 240 and 241 of this Part of this Annex has been made, regardless of the incidence of the modification on the change in the credit risk of the financial asset since initial recognition. Any of the following shall be treated as forbearance measures:


((a)) a modified contract that has been classified as non-performing before the modification or would in the absence of modification be classified as non-performing;
((b)) the modification that has been made to a contract involves a total or partial cancellation by write-offs of the debt;
((c)) the institution approves the use of embedded forbearance clauses for a debtor who is non-performing or who would be considered as non-performing without the use of those clauses;
((d)) simultaneously with or close in time to the concession of additional debt by the institution, the debtor made payments of principal or interest on another contract with the institution that was non-performing or would in the absence of refinancing be classified as non-performing.
 253. A modification involving repayments made by taking possession of collateral shall be treated as a forbearance measure where that modification constitutes a concession.
 254. There is a rebuttable presumption that forbearance has taken place in any of the following circumstances:


((a)) the modified contract was totally or partially past due more than 30 days (without being non-performing) at least once during the three months prior to its modification or would be more than 30 days past due, totally or partially, without modification;
((b)) simultaneously with or close in time to the concession of additional debt by the institution, the debtor made payments of principal or interest on another contract with the institution that was totally or partially past due by 30 days at least once during the three months prior to its refinancing;
((c)) the institution approves the use of embedded forbearance clauses for 30 days past due debtors or debtors who would be 30 days past due without the exercise of those clauses.
 255. Financial difficulties shall be assessed at debtor level as referred to in paragraph 245. Only exposures to which forbearance measures have been applied shall be identified as forborne exposures.
 256. Forborne exposures shall be included in the non-performing exposures category or the performing exposures category in accordance with paragraphs 213 to 239 and 260 of this Part. The classification as forborne exposure shall be discontinued where all of the following conditions are met:


((a)) the forborne exposure is considered to be performing, including where the exposure has been reclassified from the non-performing exposures category after an analysis of the financial condition of the debtor showed that it no longer met the conditions to be considered as non-performing;
((b)) a minimum two year period has passed from the date the forborne exposure was considered to be performing (“probation period”);
((c)) regular payments of more than an insignificant aggregate amount of principal or interest have been made during at least half of the probation period;
((d)) none of the exposures to the debtor is more than 30 days past due at the end of the probation period.
 257. Where the conditions referred to in paragraph 256 are not met at the end of the probation period, the exposure shall continue to be identified as performing forborne under probation until all the conditions are met. The conditions shall be assessed at least on a quarterly basis.
 258. Forborne exposures, which are classified as non-current assets held for sale in accordance with IFRS 5, shall continue to be classified as forborne exposures.
 259. A forborne exposure may be considered as performing from the date the forbearance measures were applied where both of the following conditions are met:


((a)) that extension has not led the exposure to be classified as non-performing;
((b)) the exposure was not considered to be a non-performing exposure at the date the forbearance measures were extended.
 260. Where additional forbearance measures are applied to a performing forborne exposure under probation that has been reclassified out of non-performing category or the forborne exposure under probation reclassified out of non-performing category becomes more than 30 days past due, the exposure shall be classified as non-performing.
 261. “Performing exposures with forbearance measures” (performing forborne exposures) shall comprise forborne exposures that do not meet the criteria to be considered as non-performing and that are included in the performing exposures category. Performing forborne exposures shall be under probation until the criteria laid down in paragraphs 256 and 259 of this Part are not met. Performing forborne exposures under probation that have been reclassified out of the non-performing exposures category shall be reported separately within the performing exposures with forbearance measures in the column “of which: Performing forborne exposures under probation reclassified from non-performing”.
 262. “Non-performing exposures with forbearance measures” (non-performing forborne exposures) shall comprise forborne exposures that meet the criteria to be considered as non-performing and that are included in the non-performing exposures category. Those non-performing forborne exposures shall include the following:


((a)) exposures which have become non-performing due to the application of forbearance measures;
((b)) exposures which were non-performing prior to the extension of forbearance measures;
((c)) forborne exposures which have been reclassified from the performing category, including exposures reclassified in application of paragraph 260.
 263. Where forbearance measures are extended to exposures which were non-performing prior to the extension of forbearance measures, the amount of those forborne exposures shall be separately identified in the column “of which: forbearance of exposures non-performing prior to forbearance measures”.
 264. The following non-performing exposures with forbearance measures shall be identified in separate columns:


((a)) exposures which are considered, in accordance with the applicable accounting framework, to be impaired. Under IFRS, the amount of credit-impaired assets (Stage 3), including purchased or originated credit-impaired assets reported in this stage in accordance with paragraph 77 of this Part shall be reported in this column;
((b)) exposures in respect of which a default is considered to have occurred in accordance with Article 178 CRR.
 265. The column “Refinancing” shall comprise the gross carrying amount of the new contract (“refinancing debt”) granted as part of a refinancing transaction which qualifies as a forbearance measure, as well as the gross carrying amount of the old re-paid contract that is still outstanding.
 266. Forborne exposures combining modifications and refinancing shall be allocated to the column “Instruments with modifications of the terms and conditions” or the column “Refinancing”, depending on the measure that has the most impact on cash flows. Refinancing by a pool of banks shall be reported in the column “Refinancing” for the total amount of refinancing debt provided by or refinanced debt still outstanding at the reporting institution. Repackaging of several debts into a new debt shall be reported as a modification, unless there is also a refinancing transaction that has a larger impact on cash flows. Where forbearance through modification of the terms and conditions of a troubled exposure leads to that exposure’s derecognition and to the recognition of a new exposure, that new exposure shall be treated as forborne debt.
 267. Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions shall be reported in accordance with paragraphs 11, 69 to 71, 106 and 110 of this Part.
 268. Collateral and guarantees received on exposures with forbearance measures shall be reported for all exposures with forbearance measures, regardless of their performing or non-performing status. In addition, collateral and financial guarantees received on non-performing exposures with forbearance measures shall be shown separately. Amounts reported for collateral received and guarantees received shall be calculated in accordance with paragraphs 172 and 174 of this Part. The sum of the amounts reported for both collateral and guarantees shall be capped at the carrying amount of the related on-balance sheet exposure or nominal amount after deduction of provisions of the related off-balance sheet exposure.
 19.  269. Template 20 shall be reported where the institution exceeds the threshold described in point (4) of Article 5(a) of this Regulation.
 19.1.  270. The geographical breakdown by location of the activities in templates 20.1 to 20.3 distinguishes between “domestic activities” and “non-domestic activities”. For the purposes of this Part, “location” shall mean the jurisdiction of incorporation of the legal entity which has recognised the corresponding asset or liability. For branches, it shall mean the jurisdiction of its residence. “Domestic” shall include the activities recognised in the Member State where the reporting institution is located.
 19.2.  271. Templates 20.4 to 20.7 contain information “country-by-country” on the basis of the residence of the immediate counterparty as defined in paragraph 43of Part 1 of this Annex. The breakdown provided shall include exposures or liabilities with residents in each foreign country in which the institution has exposures. Exposures or liabilities with international organisations and multilateral development banks shall not be assigned to the country of residence of the institution but to the geographical area “Other countries”.
 272. “Derivatives” shall include both trading derivatives, including economic hedges, and hedging derivatives under IFRS and under GAAP, reported in templates 10 and 11.
 273. Assets held for trading under IFRS and trading assets under GAAP shall be identified separately. Financial assets subject to impairment shall have the same meaning as in paragraph 93 of this Part. Assets measured under LOCOM that have credit risk induced value adjustments shall be considered as impaired.
 274. In templates 20.4 and 20.7, “Accumulated impairment” and “Accumulated negative changes in fair value due to credit risk on non-performing exposures”, as determined in accordance with paragraphs 69 to 71 of this Part shall be reported.
 275. In template 20.4 for debt instruments, “gross carrying amount”, as determined in accordance with paragraph 34 of Part 1 of this Annex, shall be reported. For derivatives and equity instruments, the amount to be reported shall be the carrying amount. In column “Of which: Non-performing” debt instruments, as determined in accordance with paragraphs 213 to 239 or 260of this Part shall be reported. Debt forbearance shall comprise all “debt” contracts for the purpose of template 19 to which forbearance measures, as defined in paragraphs 240 to 268of this Part, are extended.
 276. In template 20.5, “Provisions for commitments and guarantees given” shall include provisions measured under IAS 37, the credit losses of financial guarantees treated as insurance contracts under IFRS 4, and the provisions on loan commitments and financial guarantees under the impairment requirements of IFRS 9 and provisions for commitments and guarantees under national GAAP based on BAD in accordance with paragraph 11 of this Part.
 277. In template 20.7, loans and advances not held for trading 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”). Loans and advances subject to impairment shall refer to the same portfolios as referred to in paragraph 93 of this Part.
 20.  278. For the purposes of the calculation of the threshold in Article 9(e) of this Regulation, 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 the total of tangible assets.
 279. Under IFRS, assets that have been leased by the institution (as lessor) to third parties in operating leases shall be broken down by measurement method.
 21.  280. For the purposes of the calculation of the threshold in Article 9(f) of this Regulation, the amount of “net fee and commission income” shall be 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” shall be the absolute value of the difference between “interest income” and “interest expenses”.
 21.1.  281. The fee and commission income and expenses shall be reported by type of activity. Under IFRS, this template shall include fee and commission income and expenses other than both of the following:


((a)) amounts considered for the calculation of the effective interest of financial instruments (IFRS 7.20.(c));
((b)) amounts arising from financial instruments that are measured at fair value through profit or loss (IFRS 7.20.(c).(i)).
 282. 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. Those transaction costs shall form part of the initial acquisition/issue value of those instruments and shall be amortised to profit or loss over their residual life using the effective interest rate (IFRS 9.5.1.1).
 283. Under IFRS, 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”, “Gain or losses on non-trading financial assets mandatorily at fair value through profit or loss, net” and “Gains or losses on financial assets and liabilities designated at fair value through profit or loss, net”, depending on the accounting portfolio in which those transaction costs are classified. Those transaction costs shall not be part of the initial acquisition or issuance value of those instruments and shall be immediately recognized in profit or loss.
 284. Institutions shall report fee and commission income and expenses in accordance with the following criteria:


((a)) “Securities. Issuances” shall include 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” shall include fees and commissions generated by the reception, transmission and execution on behalf of customers of orders to buy or sell securities;
((c)) “Securities. Other fee and commission income in relation to securities” shall include fees and commissions generated by the institution providing other services related with securities not originated or issued by the institution;
((d)) Under fee and commission expenses, “securities” shall include fees and commissions charged to the institution where it is receiving services related with securities regardless of whether they are originated or issued by the institution or not;
((e)) “Corporate Finance. M&A advisory” shall include fees and commissions for advisory services surrounding corporate clients’ mergers and acquisitions activities;
((f)) “Corporate Finance. Treasury services” shall include fees and commissions for corporate finance services related to capital market advisory for corporate clients;
((g)) “Corporate Finance. Other fee and commission income in relation to corporate finance activities” shall include all other corporate finance related fees and commissions;
((h)) “Fee based advice” shall include fees and commissions charged for advisory services to clients that are not directly linked to asset management, such as private banking related fees. M&A advisory fees shall not be included here, but under “Corporate Finance. M&A advisory”;
((i)) “Clearing and settlement” shall include fees and commission income (expenses) generated by (charged to) the institution where that institution participates in counterparty, clearing and settlement facilities;
((j)) “Asset management”, “Custody”, “Central administrative services for collective investment undertakings” and “Fiduciary transactions” shall include fees and commission income (expenses) generated by (charged to) the institution that provides those services;
((k)) “Payment services” shall include fees and commission income (expenses) generated by (charged to) the institution that provides (receives) payment services as referred to in Annex I to Directive (EU) 2015/2366 of the European Parliament and of the Council. Information on the fee and commission income shall be reported separately for current accounts, credit cards, debit cards and other card payments, transfers and other payment orders as well as other fee and commission income in relation to payment services. “Other fee and commissions income in relation to payment services” shall include charges for the use of the institution’s ATM network by cards not issued by the institution. Information on fee and commission expenses on credit, debit and other cards shall be reported separately;
((l)) “Customer resources distributed but not managed (by type of product)” shall comprise fee and commission income for distribution of products issued by entities outside the prudential group to its current customers. This information shall be reported by type of product;
((m)) Under fee and commission expenses, “Externally provided distribution of products” shall comprise the expenses for distribution of the institution’s products and services via an external agent network/distribution arrangement with external providers such as mortgage brokers, online loan platforms or Fintech frontends;
((n)) “Structured finance” shall include fees and commissions received for the involvement in the origination or issuance of financial instruments other than securities originated or issued by the institution;
((o)) Fees from “Loan servicing activities” shall include, 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;
((p)) “Loan commitments given” and “Financial guarantees given” shall include the amount, recognized as income during the period, of the amortization of the fees and commission for those activities initially recognised as “other liabilities”;
((q)) “Loan commitments received” and “Financial guarantees received” shall include the fee and commission recognised as expense by the institution during the period as a consequence of the charge made to the counterparty that has given the loan commitment or the financial guarantee that is initially recognised as “other assets”;
((r)) Under “loans granted”, fees and commissions shall be reported which are charged in the process of granting loans, but are not part of the effective interest rate calculation;
((s)) “Foreign exchange” includes fee and commission income (expenses) for foreign exchange services (including exchange of foreign banknotes or coins, fees on international currency cheques, bid-ask-spread) and fee income from/expenses on international transactions. Where the income (expenses) attributable to foreign exchange transactions can be separated from the other credit/debit card related fee income, this item shall also include foreign-exchange related fees and commissions generated via credit or debit cards;
((t)) “Commodities” include fee and commission income related to the commodity business, except for income related to commodity trading which shall be reported as other operating income;
((u)) “Other fee and commission income (expenses)” shall include the fee and commission income (expenses) generated by (charged to) the institution that cannot be allocated to any of the other listed items.
 21.2.  285. Business related to asset management, custody functions, and other services provided by the institution shall be reported using the following definitions:


((a)) “Asset management” shall refer 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” shall refer 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” shall refer 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” shall refer to the administrative services provided by the institution to collective investment undertakings. It shall include, 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” shall refer 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 irrespective of whether the institution provides other services;
((e)) “Payment services” shall refer to the payment services listed in Annex I of Directive (EU) 2015/2366;
((f)) “Customer resources distributed but not managed” shall refer to products issued by entities outside the prudential 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” shall include 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 where the fair value is not available. Where the institution provides services to entities such as collective investment undertakings or pension funds, the assets concerned may be shown at the value at which those entities report the assets in their own balance sheet. Reported amounts shall include accrued interest, where applicable.
 22.  286. For the purposes of Annexes III and IV as well as this Annex, “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.
 287. “Losses incurred by the reporting institution in the current period” shall include losses due to impairment and any other losses which are incurred by a reporting institution during the reporting reference period and concern the reporting institution’s interests in unconsolidated structured entities.
 23.  288. Institutions shall report amounts or transactions related to the balance sheet and the off-balance sheet exposures where the counterparty is a related party as referred to in IAS 24.
 289. Intra-group transactions and intra-group outstanding balances of the prudential group 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 within the scope of the prudential consolidation or because the subsidiaries are excluded from the scope of prudential consolidation in accordance with Article 19 CRR for being immaterial or because, for institutions that are part of a wider 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 where proportional consolidation is applied.
 23.1.  290. For “Loan commitments, financial guarantees and other commitments received”, the amounts that shall be reported shall be the sum of the “nominal” of loan and other commitments received and the “maximum amount of the guarantee that can be considered” of financial guarantees received as defined in paragraph 119.
 291. “Accumulated impairment and accumulated negative changes in fair value due to credit risk on non-performing exposures”, as determined in paragraphs 69 to 71, in this Part shall be reported for non-performing exposures only. “Provisions on non-performing off-balance sheet exposures” shall include provisions in accordance with paragraphs 11, 106 and 111 of this Part for exposures which are non-performing, as determined in accordance with paragraphs 213 to 239of this Part.
 23.2.  292. “Gains or losses on derecognition of other than financial assets” shall include all the gains and losses on derecognition of non-financial assets generated by transactions with related parties. This item shall include the gains and losses on derecognition of non-financial assets, which have been generated by transactions with related parties and that are part of any of the following line items of the “Statement of profit or loss”:


((a)) “Gains or losses on derecognition of investments in subsidiaries, joint ventures and associates”, where reporting under national GAAP based on BAD;
((b)) “Gains or losses on derecognition of non-financial assets”;
((c)) “Profit or loss from non-current assets and disposal groups classified as held for sale not qualifying as discontinued operations”;
((d)) “Profit or loss after tax from discontinued operations”.
 293. “Impairment or (-) reversal of impairment on non-performing exposures” shall include impairment losses as defined in paragraphs 51 to 53 of this Part for exposures which are non-performing in accordance with paragraphs 213 to 239 of this Part. “Provisions or (-) reversal of provisions on non-performing exposures” shall include provisions as defined in paragraph 50 of this Part for off-balance sheet exposures which are non-performing as referred in paragraphs 213 to 239 of this Part.
 24.  294. Institutions shall provide, as of the reporting date, detailed information on subsidiaries, joint ventures and associates fully or proportionally consolidated within the scope of accounting consolidation as well as entities reported as “Investments in subsidiaries, joint ventures and associates” in accordance with paragraph 4 of this Part, including those entities in which investments are held for sale under IFRS 5. All entities shall be reported, regardless of the activity they perform.
 295. Equity instruments that do not meet the criteria to be classified as investments in subsidiaries, joint ventures and associates and in own shares of the reporting institution owned by it (“Treasury shares”) shall be excluded from this template.
 24.1.  296. The following information shall be reported on a “entity-by-entity” basis and the following requirements shall apply for the purposes of Annexes III and IV as well as this Annex:


((a)) “LEI code” shall include the LEI code of the investee. Where a LEI code exists for the investee, it shall be reported;
((b)) “Entity code” shall include the identification code of the investee. The entity code is a row identifier and shall be unique for each row in template 40.1;
((c)) “Entity name” shall include the name of the investee;
((d)) “Entry date” shall mean the date on which the investee entered within the “scope of the group”;
((e)) “Share capital of investee” shall mean the total amount of capital issued by the investee as of the reference date;
((f)) “Equity of investee”, “Total assets of the Investee” and “Profit or (loss) of the Investee” shall include the amounts of those items in the last financial statements of the investee;
((g)) “Residence of investee” shall mean the country of residence of the investee;
((h)) “Sector of investee” shall mean the sector of counterparty referred to in paragraph 42 of Part 1 of this Annex;
((i)) the “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 (%)” shall be the percentage of ownership instruments held by the institution as of the reference date;
((k)) “Voting rights (%)” shall mean the percentage 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 ultimate parent and the investee (parent or entity with joint control of the reporting institution, subsidiary, joint venture or associate);
((m)) “Accounting treatment (Accounting Group)” shall indicate the relationship between the accounting treatment with the accounting scope of consolidation (full consolidation, proportional consolidation, equity method or other);
((n)) “Accounting treatment (CRR Group)” shall indicate the relationship between the accounting treatment and the CRR scope of consolidation (full consolidation, proportional consolidation, equity method or other);
((o)) “Carrying amount” shall mean the amounts reported on the balance sheet of the institution for investees that are neither fully nor proportionally consolidated;
((p)) “Acquisition cost” shall mean the amount paid by investors;
((q)) “Goodwill link to the investee” shall mean the amount of goodwill reported on the consolidated balance sheet of the reporting 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” shall mean the price at the reference date. It shall be provided only where the instruments are quoted.
 24.2.  297. The following information shall be reported on an “instrument-by-instrument” basis:


((a)) “Security code” shall include the ISIN code of the security. For securities without ISIN code, it shall include another code that uniquely identifies the security. “Security code” and “Holding company code” shall be a composite row identifier, and together shall be unique for each row in template 40.2;
((b)) “Holding company code” shall be the identification code of the entity within the group that holds the investment. “Holding company LEI code” shall include the LEI code for the company holding the security. Where a LEI code exists for the holding company, it shall be reported;
((c)) “Entity code”, “Accumulated equity interest (%)”, “Carrying amount” and “Acquisition cost” are defined in paragraph 296 of this Part. The amounts shall correspond to the security held by the related holding company.
 25.  25.1.  298. Information on the fair value of financial instruments measured at amortised cost, using the hierarchy in IFRS 13.72, 76, 81, and 86, shall be reported in this template. Where national GAAP under BAD also requires the allocation of assets measured at fair value between different levels of fair value, institutions under national GAAP shall also report this template.
 25.2.  299. 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.
 300. “Hybrid contracts” shall, for liabilities, include the carrying amount of hybrid financial instruments classified, as a whole, in the accounting portfolio of financial liabilities designated at fair value through profit or loss It shall thus include non-separated hybrid instruments in their entirety.
 301. “Managed for credit risk” shall include the carrying amount of instruments that are designated at fair value through profit or loss at the occasion of their hedging against credit risk by credit derivatives measured at fair value through profit or loss in accordance with IFRS 9.6.7.
 26.  302. “Property, plant and equipment”, “Investment property” and “Other intangible assets” shall be reported by the criteria used in their measurement.
 303. “Other intangible assets” shall include all intangible assets other than goodwill.
 303i. Where the institution assumes the role of a lessee, it shall provide separate information on lease assets (right-of-use assets).
 27.  304. This template shall include reconciliation between the carrying amount of the item “Provisions” at the beginning and end of the period by the nature of the movements, except provisions measured under IFRS 9 that shall instead be reported in template 12.
 305. “Other commitments and guarantees given measured under IAS 37 and guarantees given measured under IFRS 4” shall include provisions measured under IAS 37 and the credit losses of financial guarantees treated as insurance contracts under IFRS 4.
 28.  306. These templates shall include accumulated information of all defined benefit plans of the institution. Where there is more than one defined benefit plan, aggregated amount of all plans shall be reported.
 28.1.  307. The template on components of net defined benefit plan assets and liabilities shall show the reconciliation of the accumulated present value of all net defined benefit liabilities (assets) as well as reimbursement rights (IAS 19.140 (a), (b)).
 308. “Net defined benefit assets” shall include, in the event of a surplus, the surplus amounts that shall be recognised 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 recognised in the memo item “Fair value of any right to reimbursement recognized as asset” shall be included in the item “Other assets” of the balance sheet.
 28.2.  309. The template on movements in defined benefit obligations shall show 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 shall be presented separately.
 310. 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”.
 28.3.  311. For reporting of staff expenses by type of benefits, the following definitions shall be used:


((a)) “Pension and similar expenses” shall include the amount recognised in the period as staff expenses for any post-employment benefit obligations (both defined contribution plans and defined benefit plans), including post-employment-related contributions to social security funds (pension funds) maintained by the government or social security entities;
((b)) “Share based payments” shall include the amount recognised in the reference period as staff expenses for share based payments;
((c)) “Wages and salaries” shall include the remuneration of the institution’s employees for their labour or services, but shall exclude severance payments and remuneration in the form of share-based items which shall be reported in separate items;
((d)) “Social security contributions” shall include contributions to social security funds, amounts paid to the government or to social security entities in order to receive a future social benefit, but shall exclude post-employment-related contributions to social security funds in terms of pensions (contributions to pension funds);
((e)) “Severance payments” shall mean payments relating to the early termination of a contract and shall include termination benefits as defined in IAS 19.8;
((f)) “Other types of staff expenses” shall include staff expenses that cannot be allocated to any of the categories above.
 28.4.  311i. For reporting of staff expenses by category of remuneration and category of staff, the following definitions shall be used:


((a)) “Fixed remuneration”, “variable remuneration”, “identified staff” and “management body in its management function” shall have the same meaning as in the EBA Guidelines “on sound remuneration policies under Articles 74(3) and 75(2) of Directive 2013/36/EU and disclosures under Article 450 of Regulation (EU) No 575/2013” (EBA/GL/2015/22);
((b)) “Management body”, “management body in its supervisory function” and “senior management” shall comprise staff as defined in points (7), (8) and (9) of Article 3(1) CRD.
 311ii. “Number of staff” shall include, as of the reporting reference date, the number of staff, expressed in full time equivalents (FTEs), plus the number of members in the management body expressed in terms of headcount for prudential (CRR) scope of consolidation. Of those, the number of identified staff, and the number of representatives in the management body in its management function and in senior management, as well as the number of representatives in the management body in its supervisory function shall be reported separately.
 29.  29.1.  312. “Financial liabilities designated at fair value through profit or loss” shall only include the gains and losses due to the change in the own credit risk of issuers of liabilities designated at fair value through profit or loss where the reporting institution has chosen to recognise them in profit or loss because a recognition in other comprehensive income would create or enlarge an accounting mismatch.
 29.2.  313. “Gains or losses on derecognition of non-financial assets” shall be broken down by type of asset. Each line item shall include the gain or the loss on the asset that has been derecognised. “Other assets” shall include other tangible assets, intangible assets and investments not reported elsewhere.
 29.3.  314. 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.
 315. “Operating leases other than investment property” shall include, for the column “income” the returns obtained, and for the column “expenses” the costs incurred, by the institution as lessor in its 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”.
 316. Gains or losses from derecognition and re-measurements of holdings of gold, other precious metals and other commodities measured at fair value, less costs to sell, shall be reported among the items included in “Other operating income. Other” or “Other operating expenses. Other”
 30.  317. The statement of changes in equity shall disclose 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.
 318. “Transfers among components of equity” shall include all amounts transferred within equity, including both gains and losses due to own-credit risk of liabilities designated at fair value through profit or loss and the accumulated fair value changes of equity instruments measured at fair value through other comprehensive income that are transferred to other components of equity upon derecognition.
 31.  319. Template 23 presents additional information on loans and advances, excluding loans and advances classified as held for trading, trading financial assets and debt instruments held for sale.
 320. For the purposes of determining the “number of instruments”, an instrument shall be understood as a banking product with an outstanding balance and, where applicable, a credit limit, typically being associated with an account. An exposure towards a specific counterparty can consist of multiple instruments. The number of instruments shall be determined based on the way the institution manages the exposure. The number of instruments shall be indicated separately for exposures in pre-litigation status and exposures in litigation status as defined in paragraphs 321 and 322 of this Part.
 321. An exposure shall be “in pre-litigation status” where the debtor has been formally notified that the institution will take legal action against the debtor within a defined time period, unless certain contractual or other payment obligations are met. That shall also include cases where the contract has been terminated by the reporting institution because the debtor is in formal breach of the terms and conditions of the contract and the debtor has been notified accordingly, but no legal action against the debtor has formally been taken by the institution yet. Exposures classified as “in pre-litigation status” can exit this classification if the outstanding amounts are paid or if they enter into litigation status as defined in the following paragraph.
 322. An exposure shall be “in litigation status” where legal action against the debtor has formally been taken. This comprises cases where a court of law confirmed that formal judiciary proceedings have occurred or the judiciary system has been notified of the intention to commence legal proceedings.
 323. “Unsecured loans and advances without guarantees” refers to exposures for which neither collateral was pledged nor financial guarantees were received; the unsecured part of a partially secured or partially guaranteed exposure shall not be included.
 324. Loans and advances with an accumulated coverage ratio of more than 90 % shall be reported separately. For that purpose, the “accumulated coverage ratio” shall be the ratio between the accumulated impairments, respectively the accumulated negative changes in fair value due to credit risk related to a loan or advance as numerator, and the gross carrying amount of that loan or advance as denominator.
 325. Loans collateralised by immovable property as defined in paragraphs 86(a) and 87 of this Part as well as commercial real estate loans as defined in paragraph 239ix of this Part shall be reported broken down by loan/collateral ratio (“loan-to-value” (LTV) ratio) as defined in paragraph 239x of this Part.
 326. Information on collateral held and guarantees received on the loans and advances shall be reported in accordance with paragraph 239 of this Part. Consequently, the sum of the amounts reported for both collateral and guarantees shall be capped at the carrying amount of the related exposure. Immovable property pledged as collateral shall be reported separately in addition.
 327. By way of derogation from the previous paragraph, “collateral received on loans and advances – uncapped amounts” shall reflect the full value of the collateral received without a cap at the carrying amount of the related exposure.
 32.  32.1.  328. Template 24.1 shall provide a reconciliation of the opening and closing balances of the stock of loans and advances, excluding loans and advances classified as trading financial assets, held for trading or as held for sale, that are classified as non-performing in accordance with paragraphs 213 to 239 or 260 of this Part and reported in template 18. Inflows and outflows of non-performing loans and advances shall be broken down by type of inflow or outflow.
 329. Inflows to the category of non-performing exposures shall be reported in accordance with paragraphs 239ii to 239iii and 239vi of this Part, with the exception of inflows to the category “held for sale”, which are outside the scope of this template. Inflows shall be broken down by type (source) of inflow. In this context:


((a)) “Inflow due to accrued interest” shall represent interest accrued on non-performing loans and advances that have not been included in any of the other categories of the breakdown by type (source); in this regard, this inflow captures the interest accrued on non-performing loans and advances that were classified as non-performing at the end of the preceding financial year and have been continuously classified as such ever since; interest accrued on exposures that were classified as non-performing in accordance with paragraphs 213 to 239 or 260 of this Part only during the period shall be reported together with the inflow itself in the corresponding type (source) category;
((b)) “of which: reclassified from performing forborne exposures under probation previously reclassified from non-performing” shall include “performing forborne exposures under probation reclassified from non-performing”, as defined in paragraph 261 of this Part, that were reclassified again as non-performing in accordance with paragraphs 213 to 239 or 260 of this Part during the period;
((c)) “Inflow due to other reasons” shall capture inflows that cannot be linked to any of the other, specified sources of inflows and shall include, among others, increases in the gross carrying amount of non-performing exposures due to additional amounts disbursed during the period, the capitalisation of past due amounts including capitalised fees and expenses and changes in exchange rates related to non-performing loans and advances that were classified as non-performing at the end of the preceding financial year and have been continuously classified as such ever since.
 330. The following exposures shall be reported in separate rows:


((a)) “Inflow more than once” shall comprise loans and advances that were reclassified multiple times from non-performing to performing or vice versa during the period;
((b)) “Inflow of exposures granted in the past 24 months” shall represent loans and advances that were granted in the 24 months prior to the reference date and that were classified as non-performing in accordance paragraphs 213 to 239 or 260 of this Part during the period. Of these exposures, those granted during the period shall be reported separately in addition.
 331. Outflows from the category of non-performing exposures shall be reported in accordance with paragraphs 239iii to 239vi of this Part, and be broken down by type (reason) of the outflow. In this context, “outflow due to write-offs” shall reflect the amount of write-offs made during the period that cannot be linked to any of the other specified outflow types and shall include also write-offs related to the total extinguishment of all the reporting institution’s rights by expiry of the statue-of-limitations period, forgiveness or other causes occurred during the period.
 332. In those cases where an exposure is partially derecognised and the remaining part is reclassified as performing, the outflow pertaining to the reclassification and the outflow pertaining to the derecognition shall be reported as separate outflows. For outflows due to collateral liquidations, sale of exposures, risk transfers and taking possession of collateral, the net cumulated recoveries obtained shall be reported. If, at the moment of collateral liquidations, sale of exposures, risk transfers and taking possession of collateral, a write-off was made, that amount shall be reported as a part of the related outflow type.
 333. “Net cumulated recoveries” shall mean (i) the amount of cash or cash equivalents collected, net of related costs, in the context of collateral liquidations, of the sale of exposures and of risk transfers, respectively (ii) the value at initial recognition as defined in paragraph 175i of this Part of the collateral obtained in the context of outflows due to taking possession of collateral.
 334. The outflow pertaining to loans and advances that became non-performing during the period and afterwards ceased to meet the criteria for being classified as non-performing shall be reported separately.
 32.2.  335. Template 24.2 shall contain a reconciliation of the opening and closing balances of the allowance accounts and the stock of accumulated negative changes in fair value due to credit risk pertaining to loans and advances that are or were classified as non-performing in accordance with paragraphs 213 to 239 or 260 of this Part.
 336. “Increases during the period” shall comprise:


((a)) the stock, as of the reference date, of accumulated impairments and accumulated negative changes in fair value due to credit risk pertaining to loans and advances that became non-performing during the period and are still classified as non-performing at the reporting reference date;
((b)) the stock, as of the derecognition date, of accumulated impairments and accumulated negative changes in fair value due to credit risk pertaining to loans and advances that became non-performing during the period and were derecognised during the period; and
((c)) the increase of accumulated impairments and accumulated negative changes in fair value due to credit risk pertaining to loans and advances that were classified as non-performing at the end of the preceding financial year and are either still classified as such at the reporting reference date or were derecognised during the period.
 337. The part of the increase attributable to impairments and accumulated negative changes in fair value booked against interest accrued shall be reported separately in addition.
 338. “Decreases during the period” shall comprise:


((a)) the stock, as of the end of derecognition date, of accumulated impairments and accumulated negative changes in fair value due to credit risk pertaining to loans and advances that ceased to be non-performing during the period and exited the institution’s portfolio during the period;
((b)) the stock, as of the reference date, of accumulated impairments and accumulated negative changes in fair value due to credit risk pertaining to loans and advances that ceased to be non-performing during the period and are still not classified as non-performing at the reference date;
((c)) the stock, as of the reference date, of accumulated impairments and accumulated negative changes in fair value due to credit risk pertaining to loans and advances that were reclassified as “held for sale” during the period; and
((d)) the decrease of accumulated impairments and accumulated negative changes in fair value due to credit risk pertaining to loans and advances that were classified as non-performing at the end of the preceding financial year and are still classified as such at the reporting reference date.
 339. The following items shall be reported separately:


((a)) the decrease attributable to the reversal of allowances and the reversal of negative changes in fair value due to credit risk;
((b)) the decrease attributable to the “unwinding” of discounts in the context of application of effective interest rate’s accounting method.
 32.3.  340. Template 24.3 shall be used to report the write-offs as defined in paragraph 74 of this Part to the extent that they (i) were made during the period (inflows) and (ii) refer to loans and advances classified as non-performing in accordance with paragraphs 213 to 239 or 260 of this Part during the period, excluding loans and advances classified as held for trading, trading financial assets or held for sale. Both partial and total write-offs shall be reported. Of these write-offs, those attributable to the forfeiture of the right to legally recover an exposure, or part of it, shall be reported separately.
 33.  341. “Collateral obtained by taking possession” shall include both assets that were pledged by the debtor as collateral and assets that were not pledged by the debtor as collateral, but were obtained in exchange for the cancellation of debt, whether on a voluntary basis or as part of legal proceedings.
 33.1.  342. Template 25.1 shall be used to present the reconciliation of the opening balance, as of the beginning of the financial year, and the closing balance of the stock of collateral obtained by taking possession, other than collateral classified as property, plant and equipment (PP&E). In addition, the template shall provide information on the related “debt balance reduction” and the value at initial recognition of collateral obtained by taking possession.
 343. “Debt balance reduction” shall mean the gross carrying amount of the exposure that was derecognised from the balance sheet in exchange for the collateral obtained by taking possession, at the exact moment of the exchange, and the related impairments and negative changes in fair value due to credit risk accumulated at that point in time. Where, at the moment of exchange, a write-off was made, that amount shall be considered part of the debt balance reduction as well. Derecognitions from the balance sheet due to other reasons, such as cash collections, shall not be reported.
 344. “Value at initial recognition” shall have the same meaning as described in paragraph 175i of this Part.
 345. With regard to the “inflows during the period”:


a)) the collateral obtained by taking possession shall include: (i) new collateral obtained by taking possession during the period (since the beginning of the financial year), irrespective of whether the collateral is still recognised in the institution’s balance sheet (held) at the reference date or not and (ii) positive changes in valuation of collateral during the period due to different reasons (such as positive changes in fair value, appreciation, reversal of impairment, changes of accounting policies). These types of inflows shall be reported separately in addition.
b)) the “debt balance reduction” shall reflect the debt balance reduction of the exposure derecognised related to the collateral that was obtained during the period.
 346. With regard to the “outflows during the period”:


a)) the collateral obtained by taking possession shall include: (i) collateral sold for cash during the period; (ii) collateral sold with replacement by financial instruments during the period; and (iii) negative changes in valuation of collateral during the period due to different reasons (such as negative changes in fair value, depreciation, impairment, write-off, changes of accounting policies). Those types of outflows shall be reported separately. Where collateral is derecognised in exchange for both cash and financial instruments, the relevant amounts shall be split and allocated to the two outflow types. “Collateral sold with replacement by financial instruments” shall describe cases where the collateral is sold to a counterparty, and the acquisition by that counterparty is financed by the reporting institution.
b)) the “debt balance reduction” shall reflect the debt balance reduction of the exposure related to cases where the collateral was sold for cash or replaced by financial instruments during the period.
 347. In case of a sale of collateral for cash, the “Outflow for which cash was collected” shall be equal to the sum of “Cash collected net of costs” and “Profits/(-) losses from sale of collateral obtained by taking possession”. “Cash collected net of costs” shall mean the amount of cash received net of transaction costs, such as fees and commissions paid to agents, transfer taxes and duties. “Profits/(-) losses from sale of collateral obtained by taking possession” shall mean the difference between the carrying amount of the collateral measured at the date of derecognition and the amount of cash received net of transaction costs. In case of replacement of collateral with financial instruments as described in paragraph 346 of this Part, the carrying amount of the financing granted shall be reported.
 348. Collateral obtained by taking possession shall be reported broken down by “vintage” of the collateral, i.e. based on the period of time from which the collateral has been recognised in the institution’s balance sheet.
 349. In the context of the presentation of collateral obtained by vintage, the “ageing” of collateral on the balance sheet, i.e. the migration between the predefined vintage buckets, shall be reported neither as inflow nor as outflow.
 33.2.  350. Template 25.2 shall include a breakdown of the collateral obtained by taking possession as defined in paragraphs 341 of this Part, by type of collateral obtained. The template reflects collateral recognised in the balance sheet at the reference date, irrespective of the point in time when it was obtained. In addition, the template provides information on the related “debt balance reduction” and “value at initial recognition” as defined in paragraphs 343 and 344 of this Part and on the number of collateral obtained by taking possession and recognised in the balance sheet at the reference date.
 351. The type of collateral shall be the ones referred to in paragraph 173 of this Part with the exception of those in point (b) (i) of that paragraph.
 352. With regard to collateral in the form of immovable property, the following information shall be reported in separate rows:


((a)) immovable property that is under construction or development;
((b)) with regard to commercial immovable property, collateral in the form of land related to commercial real estate corporations, excluding agricultural land. Separate information on land with and without a planning permission shall be reported in addition.
 33.3.  353. In template 25.3, information on collateral obtained by taking possession classified as Property Plant and Equipment (PP&E) shall be reported. In addition, the template shall provide information on the related “debt balance reduction” and “value at initial recognition” as defined in paragraphs 343 and 344 of this Part.
 354. Information shall be provided on the stock of collateral as of the reference date, irrespective of the point in time it was obtained, and the inflows due to new collateral obtained by taking possession during the period between the beginning and the end of the reference period and that remains recognised in the balance sheet at the reference date. With regard to the “debt balance reduction”, the “total” shall reflect the debt balance reduction related to the collateral as of the reference date and the “inflows due to new collateral obtained by taking possession” shall reflect the debt balance reduction related to the collateral that was obtained during the period.
 34.  355. Template 26 shall include detailed information on loans and advances classified as forborne in accordance with paragraphs 240 to 268 of this Part, excluding instruments classified as held for sale. Forborne exposures referring to either a modification of the previous terms and conditions or a total or partial refinancing of a troubled debt contract as defined in paragraph 241 of this Part shall be broken-down in more specific types of forbearance measures.
 356. The “Number of instruments” shall be determined as defined in paragraph 320of this Part.
 357. The gross carrying amount of exposures with forbearance measures shall be allocated to a category reflecting the type of forbearance measure. Where multiple forbearance measures have been applied to an exposure, the gross carrying amount of exposures with forbearance measures shall be allocated to the most relevant type of forbearance measure. The latter shall be identified based on the type of forbearance measure which has the highest impact on the Net Present Value (NPV) of the forborne exposure or by using any other methods considered applicable.
 358. The types of forbearance measures shall be the following:


((a)) grace period/payment moratorium: temporary suspension of repayment obligations with regard to the principal or the interest, with repayments to be resumed at a later point in time;
((b)) interest rate reduction: permanent or temporary reduction of the interest rate (fixed or variable) to a fair and sustainable rate;
((c)) extension of maturity/term: extension of the maturity of the exposure, entailing a reduction in instalment amounts by spreading the repayments over a longer period;
((d)) rescheduled payments: adjustment of the contractual repayment schedule with or without changes to instalment amounts, other than grace periods/payment moratorium, extension of maturity/term and debt forgiveness. That category shall include, among others, capitalisation of arrears and/or accrued interest arrears to the outstanding principal balance for repayment under a sustainable, rescheduled programme; decrease of the amount of principal repayment instalments over a defined period, regardless of whether interests remain to be paid in full or whether they are capitalised or forfeited;
((e)) debt forgiveness: partial cancellation of the exposure by the reporting institution through forfeiture of right to legally recover it;
((f)) debt asset swaps: partial replacement of exposures in the form of debt instruments with assets or equity;
((g)) other forbearance measures, including among others, total or partial refinancing of a troubled debt contract.
 359. Where the forbearance measure affects the gross carrying amount of an exposure, the gross carrying amount at the reference date, i.e. after application of the forbearance measure, shall be reported. In the case of refinancing, the gross carrying amount of the new contract (“refinancing debt”) granted which qualifies as a forbearance measure, as well as the gross carrying amount of the old re-paid contract that is still outstanding shall be reported.
 360. The following items shall be reported in separate rows:


((a)) Instruments that were subject to forbearance measures at multiple points in time, where:

((i)) ‘Loans and advances having been forborne “twice” and “more than twice” shall mean exposures classified as forborne in accordance with paragraphs 240 to 268 of this Part at the reporting reference date, to which forbearance measures have been applied at two, respectively more than two different points in time. That includes, among others, originally forborne exposures that exited the forborne status (cured forborne exposures), but were granted new forbearance measures after that;
((ii)) “Loans and advances to which forbearance measures were granted in addition to already existing forbearance measures” shall mean forborne exposures under probation to which forbearance measures were applied in addition to forbearance measures granted at an earlier point in time, without the exposure having cured in between.
((b)) Non-performing forborne exposures that failed to meet the non-performing exit criteria. That shall comprise non-performing forborne exposures that failed to meet the conditions for ceasing to be non-performing as described in paragraph 232 of this Part at the end of the probation period of 1 year specified in paragraph 231 (b) of this Part.
 361. Exposures to which forbearance measures have been granted since the end of the last financial year shall be reported in separate columns.
 35.  362. The information provided in template 47 shall refer to loans and advances, excluding loans and advances classified as held for trading, trading financial assets or held for sale.
 363. The “weighted average time since past due date (in years)” shall be calculated as the weighted average of the number of days past due of exposures classified as non-performing in accordance with paragraphs 213 to 239 or 260 of this Part at the reference date. Non-performing exposures that are not past due shall be considered as being zero days past due in this calculation. Exposures shall be weighted by the gross carrying amount measured at the reference date. The weighted average time since past due date shall be expressed in years (with decimals).
 364. The following information on the results of litigation procedures on non-performing loans and advances concluded during the period shall be reported:


((a)) Net cumulated recoveries: This item shall include recoveries resulting from in-court procedures. Recoveries stemming from voluntary agreements shall not be included.
((b)) Gross carrying amount reduction: This item shall include the gross-carrying amount of non-performing loans and advances derecognised in response to the conclusion of a litigation procedure. This includes related write-offs.
((c)) Average duration of litigation procedures concluded in the period: shall be calculated as the average of the elapsed time between the date of classification of the instrument as “in litigation status” in accordance with paragraph 322 of this Part and the date of the finalisation of legal proceedings; it shall be expressed in years (with decimals).

PART 3 1. Tables 2 and 3 map exposure classes to be used to calculate capital requirements in accordance with CRR to counterparty sectors used in FINREP tables.


SA exposure classes (CRR Article 112) FINREP counterparty sectors Comments

((a)) Central governments or central banks 
((1)) Central banks
((2)) General governments These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty

((b)) Regional governments or local authorities 
((2)) General governments These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty

((c)) Public sector entities 
((2)) General governments
((3)) Credit institutions
((4)) Other financial corporations
((5)) Non-financial corporations. These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty

((d)) Multilateral development banks 
((3)) Credit institutions These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty

((e)) International organisations 
((2)) General governments These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty

((f)) Institutions
(i.e. credit institutions and investment firms) 
((3)) Credit institutions
((4)) Other financial corporations These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty

((g)) Corporates 
((2)) General governments
((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

((h)) 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

((i)) Secured by mortgages on immovable property 
((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 nature of the immediate counterparty.

((j)) In default 
((1)) Central banks
((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 nature of the immediate counterparty.

((ja)) Items associated with particularly high risk 
((1)) Central banks
((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 nature of the immediate counterparty.

((k)) Covered bonds 
((3)) Credit institutions
((4)) Other financial corporations
((5)) Non-financial corporations These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty.

((l)) 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. In FINREP, where securitized positions remain recognised in the balance sheet, the counterparty sectors shall be the sectors of the immediate counterparties of these positions.

((m)) Institutions and corporates with a short-term credit assessment 
((3)) Credit institutions
((4)) Other financial corporations
((5)) Non-financial corporations These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty.

((n)) Collective investment undertakings Equity instruments Investments in CIU shall be classified as equity instruments in FINREP, regardless of whether the CRR allows look-through.

((o)) Equity Equity instruments In FINREP, equities shall be separated as instruments under different categories of financial assets

((p)) Other items Various items of the balance sheet In FINREP, other items may be included under different asset categories.


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)) Institutions
(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 
((2)) General governments
((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 shall be 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, where securitized positions remain recognised in the balance sheet, the counterparty sectors shall be 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


ANNEX XVIII 
AMM TEMPLATES
Template number Template code Name of the template /group of templates
  ADDITIONAL MONITORING TOOLS TEMPLATES
67 C 67.00 CONCENTRATION OF FUNDING BY COUNTERPARTY
68 C 68.00 CONCENTRATION OF FUNDING BY PRODUCT TYPE
69 C 69.00 PRICES FOR VARIOUS LENGTHS OF FUNDING
70 C 70.00 ROLL-OVER OF FUNDING
 Concentration of funding by counterparty
Counterparty Name Code LEI Code Counterparty Sector Residence of Counterparty Product Type Amount Received Weighted average original maturity Weighted average residual maturity
Row ID 010 015 020 030 040 050 060 070 080
010 1. TOP TEN COUNTERPARTIES EACH GREATER THAN 1% OF TOTAL LIABILITIES         
020 1.01         
030 1.02         
040 1.03         
050 1.04         
060 1.05         
070 1.06         
080 1.07         
090 1.08         
100 1.09         
110 1.10         
120 2. ALL OTHER FUNDING         
Concentration of funding by product type
Row ID Product Name Carrying amount received Amount covered by a Deposit Guarantee Scheme according to Directive 2014/49/EU or an equivalent deposit guarantee scheme in a third country Amount not covered by a Deposit Guarantee Scheme according to Directive 2014/49/EU or an equivalent deposit guarantee scheme in a third country Weighted average original maturity Weighted average residual maturity
   010 020 030 040 050
PRODUCTS GREATER THAN 1% OF TOTAL LIABILITIES
010 1 RETAIL FUNDING     
020 1.1 of which sight deposits     
031 1.2 of which term deposits not withdrawable within the following 30 days     
041 1.3 of which term deposits withdrawable within the following 30 days     
070 1.4 Savings accounts     
080 1.4.1 with a notice period for withdrawal greater than 30 days     
090 1.4.2 without a notice period for withdrawal greater than 30 days     
100 2 WHOLESALE FUNDING     
110 2.1 Unsecured wholesale funding     
120 2.1.1 of which loans and deposits from financial customers     
130 2.1.2 of which loans and deposits from non financial customers     
140 2.1.3 of which loans and deposits from intra-group entities     
150 2.2 Secured wholesale funding     
160 2.2.1 of which SFTs     
170 2.2.2 of which covered bond issuance     
180 2.2.3 of which asset backed security issuance     
190 2.2.4 of which loans and deposits from intra-group entities     
 Prices for various lengths of funding
Overnight 1 week 1 month 3 months 6 months 1 year 2 years 5 years 10 years
Spread Volume Spread Volume Spread Volume Spread Volume Spread Volume Spread Volume Spread Volume Spread Volume Spread Volume
Row ID Item 010 020 030 040 050 060 070 080 090 100 110 120 130 140 150 160 170 180
010 1 Total Funding                  
020 1.1 of which: Retail funding                  
030 1.2 of which: Unsecured wholesale funding                  
040 1.3 of which: Secured funding                  
050 1.4 of which: Senior unsecured securities                  
060 1.5 of which: Covered bonds                  
070 1.6 of which: Asset backed securities including ABCP                  
 Roll-over of funding
Overnight > 1 day ≤ 7 days >7days ≤ 14 days >14 days ≤ 1 month >1 Month ≤ 3 Months >3 Months ≤ 6 Months >6 Months Total net cashflows Average Term (days)
Maturing Roll over New Funds Net Maturing Roll over New Funds Net Maturing Roll over New Funds Net Maturing Roll over New Funds Net Maturing Roll over New Funds Net Maturing Roll over New Funds Net Maturing Roll over New Funds Net Maturing Funds Term Roll-over Funds Term New Funds Term
Row ID Day Item 010 020 030 040 050 060 070 080 090 100 110 120 130 140 150 160 170 180 190 200 210 220 230 240 250 260 270 280 290 300 310 320
010 1.1 1 Total funding                                
020 1.1.1 Retail funding                                
030 1.1.2 Unsecured wholesale funding                                
040 1.1.3 Secured funding                                
050 1.2 2 Total funding                                
060 1.2.1 Retail funding                                
070 1.2.2 Unsecured wholesale funding                                
080 1.2.3 Secured funding                                
090 1.3 3 Total funding                                
100 1.3.1 Retail funding                                
110 1.3.2 Unsecured wholesale funding                                
120 1.3.3 Secured funding                                
130 1.4 4 Total funding                                
140 1.4.1 Retail funding                                
150 1.4.2 Unsecured wholesale funding                                
160 1.4.3 Secured funding                                
170 1.5 5 Total funding                                
180 1.5.1 Retail funding                                
190 1.5.2 Unsecured wholesale funding                                
200 1.5.3 Secured funding                                
210 1.6 6 Total funding                                
220 1.6.1 Retail funding                                
230 1.6.2 Unsecured wholesale funding                                
240 1.6.3 Secured funding                                
250 1.7 7 Total funding                                
260 1.7.1 Retail funding                                
270 1.7.2 Unsecured wholesale funding                                
280 1.7.3 Secured funding                                
290 1.8 8 Total funding                                
300 1.8.1 Retail funding                                
310 1.8.2 Unsecured wholesale funding                                
320 1.8.3 Secured funding                                
330 1.9 9 Total funding                                
340 1.9.1 Retail funding                                
350 1.9.2 Unsecured wholesale funding                                
360 1.9.3 Secured funding                                
370 1.10 10 Total funding                                
380 1.10.1 Retail funding                                
390 1.10.2 Unsecured wholesale funding                                
400 1.10.3 Secured funding                                
410 1.11 11 Total funding                                
420 1.11.1 Retail funding                                
430 1.11.2 Unsecured wholesale funding                                
440 1.11.3 Secured funding                                
450 1.12 12 Total funding                                
460 1.12.1 Retail funding                                
470 1.12.2 Unsecured wholesale funding                                
480 1.12.3 Secured funding                                
490 1.13 13 Total funding                                
500 1.13.1 Retail funding                                
510 1.13.2 Unsecured wholesale funding                                
520 1.13.3 Secured funding                                
530 1.14 14 Total funding                                
540 1.14.1 Retail funding                                
550 1.14.2 Unsecured wholesale funding                                
560 1.14.3 Secured funding                                
570 1.15 15 Total funding                                
580 1.15.1 Retail funding                                
590 1.15.2 Unsecured wholesale funding                                
600 1.15.3 Secured funding                                
610 1.16 16 Total funding                                
620 1.16.1 Retail funding                                
630 1.16.2 Unsecured wholesale funding                                
640 1.16.3 Secured funding                                
650 1.17 17 Total funding                                
660 1.17.1 Retail funding                                
670 1.17.2 Unsecured wholesale funding                                
680 1.17.3 Secured funding                                
690 1.18 18 Total funding                                
700 1.18.1 Retail funding                                
710 1.18.2 Unsecured wholesale funding                                
720 1.18.3 Secured funding                                
730 1.19 19 Total funding                                
740 1.19.1 Retail funding                                
750 1.19.2 Unsecured wholesale funding                                
760 1.19.3 Secured funding                                
770 1.20 20 Total funding                                
780 1.20.1 Retail funding                                
790 1.20.2 Unsecured wholesale funding                                
800 1.20.3 Secured funding                                
810 1.21 21 Total funding                                
820 1.21.1 Retail funding                                
830 1.21.2 Unsecured wholesale funding                                
840 1.21.3 Secured funding                                
850 1.22 22 Total funding                                
860 1.22.1 Retail funding                                
870 1.22.2 Unsecured wholesale funding                                
880 1.22.3 Secured funding                                
890 1.23 23 Total funding                                
900 1.23.1 Retail funding                                
910 1.23.2 Unsecured wholesale funding                                
920 1.23.3 Secured funding                                
930 1.24 24 Total funding                                
940 1.24.1 Retail funding                                
950 1.24.2 Unsecured wholesale funding                                
960 1.24.3 Secured funding                                
970 1.25 25 Total funding                                
980 1.25.1 Retail funding                                
990 1.25.2 Unsecured wholesale funding                                
1000 1.25.3 Secured funding                                
1010 1.26 26 Total funding                                
1020 1.26.1 Retail funding                                
1030 1.26.2 Unsecured wholesale funding                                
1040 1.26.3 Secured funding                                
1050 1.27 27 Total funding                                
1060 1.27.1 Retail funding                                
1070 1.27.2 Unsecured wholesale funding                                
1080 1.27.3 Secured funding                                
1090 1.28 28 Total funding                                
1100 1.28.1 Retail funding                                
1110 1.28.2 Unsecured wholesale funding                                
1120 1.28.3 Secured funding                                
1130 1.29 29 Total funding                                
1140 1.29.1 Retail funding                                
1150 1.29.2 Unsecured wholesale funding                                
1160 1.29.3 Secured funding                                
1170 1.30 30 Total funding                                
1180 1.30.1 Retail funding                                
1190 1.30.2 Unsecured wholesale funding                                
1200 1.30.3 Secured funding                                
1210 1.31 31 Total funding                                
1220 1.31.1 Retail funding                                
1230 1.31.2 Unsecured wholesale funding                                
1240 1.31.3 Secured funding                                

ANNEX VII


ANNEX XIX  1.  1.1.  1. In order to monitor an institution’s liquidity risk that falls outside of the scope of the reports on Liquidity Coverage and Stable Funding, institutions shall complete the template in Annex XVIII in accordance with the instructions in this Annex.
 2. Total funding shall be all financial liabilities other than derivatives and short positions;
 3. Funding with open maturity including on sight deposits shall be considered as maturing overnight.
 4. Original maturity shall represent the time between the date of origination and the date of maturity of funding. The date of the maturity of the funding shall be determined in accordance with paragraph 12 of Annex XXIII. This means that in case of optionality such as in the case of paragraph 12 of Annex XXIII, the original maturity of a funding item can be shorter than the time elapsed since its origination.
 5. Residual maturity shall represent the time between the end of the reporting period and the date of maturity of funding. The date of the maturity of the funding shall be determined in accordance with paragraph 12 of Annex XXIII.
 6. For the purposes of calculating the original or residual weighted average maturity, deposits maturing overnight shall be considered to have a one day maturity.
 7. For the purposes of calculating the original and residual maturity, where there is funding with a notice period or a cancellation or early withdrawal clause for the institution’s counterparty, a withdrawal at the first possible date shall be assumed.
 8. For perpetual liabilities, except where subject to optionality as referred to in paragraph 12 of Annex XXIII, a fixed 20 years original and residual maturity shall be assumed.
 9. For calculating the percentage threshold referred to in templates C 67.00 and C 68.00 by significant currency, institutions shall use a threshold of 1 % of total liabilities in all currencies.
 1.2.  1. In order to collect information about the reporting institutions’ concentration of funding by counterparty in template C 67.00, institutions shall apply the instructions contained in this section.
 2. Institutions shall report the top ten largest counterparties or a group of connected clients that is defined in point (39) of Article 4(1) of Regulation (EU) No 575/2013, where the funding obtained from each counterparty or group of connected clients exceeds a threshold of 1 % of total liabilities in rows 020 to 110 of section 1 of the template. The counterparty reported in item 1.01 shall be the largest amount of funding received from one counterparty or group of connected clients which is above the 1 % threshold as at the reporting date. Item 1.02 shall be the second largest above the 1 % threshold, and similarly with the remaining items.
 3. Where a counterparty belongs to several groups of connected clients, it shall be reported only once in the group with the highest amount of funding.
 4. Institutions shall report the total of all other remaining funding in section 2.
 5. The totals of section 1 and section 2 shall equal an institution’s total funding as per its balance sheet reported under the financial reporting framework (FINREP).
 6. For each counterparty, institutions shall report all of the columns 010 to 080.
 7. Where funding is obtained in more than one product type, the type reported shall be the product in which the largest proportion of funding was obtained. Identification of the underlying holder of securities may be undertaken on a best efforts basis. Where an institution has information concerning the holder of securities by virtue of its role as the custodian bank, it shall consider that amount for reporting the concentration of counterparties. Where there is no information available on the holder of the securities, the corresponding amount does not have to be reported.
 8. 

Column Legal references and instructions
010 
The name of each counterparty from which funding obtained exceeds 1 % of total liabilities shall be recorded in column 010 in descending order, that is, in the order of the size of funding obtained.

The name of the counterparty, whether a legal entity or a natural person, shall be reported. Where the counterparty is a legal entity, the counterparty name recorded shall be the full name of the legal entity from which the funding is derived including any references to the company type in accordance with the national company law.

015 
This code is a row identifier and shall be unique for each row in the table.

020 
The legal entity identifier code of the counterparty.

Where a Legal Entity Identification code (LEI code) exists for a given counterparty, it shall be used to identify that counterparty.

030 
One sector shall be allocated to each 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.

040 
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 most recent edition of the Eurostat’s “Balance of Payments Vademecum”.

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

050 
Counterparties reported in column 010 shall be assigned a product type, corresponding to the product issued in which the funding was received or in which the largest proportion of funding was received for mixed product types, using the following codes indicated in bold:

UWF (unsecured wholesale funding obtained from financial customers including interbank money).

 UWNF (unsecured wholesale funding obtained from non-financial customers)SFT (funding obtained from repurchase agreements as defined in point (82) of Article 4(1) of Regulation (EU) No 575/2013)CB (funding obtained from covered bond issuance as defined in Article 129(4) or (5) of Regulation (EU) No 575/2013or Article 52(4) of Directive 2009/65/EC)ABS (funding obtained from asset backed security issuance including asset backed commercial paper)IGCP (funding obtained from intragroup counterparties)OSWF (other secured wholesale funding)OFP (other funding products, e.g. retail funding)
060 
The total amount of funding received from counterparties reported in column 010 shall be recorded in column 060 and institutions shall report carrying amounts therein.

070 
For the amount of funding received reported in column 060, from the counterparty reported in column 010, a weighted average original maturity (in days) for that funding shall be recorded in column 070.

The weighted average original maturity shall be calculated as the average original maturity (in days) of the funding received from that counterparty. The average shall be size weighted, based on the size of different amounts of funding received in proportion to the total funding received from that counterparty.

080 
For the amount of funding received reported in column 060, from the counterparty reported in column 010, a weighted average residual maturity, in days, for that funding shall be recorded in column 080.

The weighted average residual maturity shall be calculated as the average maturity, in remaining days, of the funding received from that counterparty. The average shall be size weighted, based on the size of different amounts of funding received in proportion to the total funding received from that counterparty.

 1.3.  1. 

Row Legal references and instructions
010  1. 
Retail deposits as defined in Article 3(8) of Delegated Regulation (EC) No 2015/61

020  1.1. 
Of the retail funding of row 010 those that are sight deposits.

031  1.2. 
Of the retail funding of row 010 those that are term deposits not withdrawable within the following 30 days

041  1.3. 
Of the retail funding of row 010 those that are term deposits withdrawable within the following 30 days

070  1.4. 
Of the retail funding of row 010 those that are savings accounts with either of the following characteristics:


— with a notice period for withdrawal greater than 30 days
— without a notice period for withdrawal which is greater than 30 days.

This row shall not be reported.

080  1.4.1. 
Of the retail funding of row 010 those that are savings accounts with a notice period for withdrawal greater than 30 days

090  1.4.2. 
Of the retail funding of row 010 those that are savings accounts without a notice period for withdrawal which is greater than 30 days.

100  2. 
All counterparties other than those of retail deposits as defined in Article 3(8) of Delegated Regulation (EC) No 2015/61.

This row shall not be reported.

110  2.1. 
All counterparties other than those of retail deposits as defined in Article 3(8) of Delegated Regulation (EC) No 2015/61 where the funding is unsecured.

120  2.1.1. 
Of the funding in row 110, those that consist of loans and deposits from financial customers.

Funding from central banks shall be excluded from this row.

130  2.1.2. 
Of the funding in row 110, those that consist of loans and deposits from non-financial customers.

Funding from central banks shall be excluded from this row.

140  2.1.3. 
Of the funding in row 110, those that consist of loans and deposits from intra-group entities.

Wholesale funding from intra-group entities shall only be reported on a solo or subconsolidated basis.

150  2.2. 
All counterparties other than those of retail deposits as defined in Article 3(8) of Delegated Regulation (EC) No 2015/61 where the funding is secured.

160  2.2.1. 
Of the funding in row 150, that which is funding obtained from repurchase agreements as defined in point (82) of Article 4(1) of Regulation (EU) No 575/2013.

170  2.2.2. 
Of the funding in row 150, that which is funding obtained from covered bond issuance as defined in Article 129(4) or (5) of Regulation (EU) No 575/2013 or Article 52(4) of Directive 2009/65/EC.

180  2.2.3. 
Of the funding in row 150, that which is funding obtained from asset backed security issuance including asset backed commercial paper.

190  2.2.4. 
Of the funding in row 150, that which is funding obtained from intra-group entities.

Wholesale funding from intra-group entities shall only be reported on a solo or subconsolidated basis.

 2. For the purpose of completing this template, institutions shall report the total amount of funding received from each product type which exceeds a threshold of 1 % of total liabilities.
 3. For each product type, institutions shall report all of the columns 010 to 050.
 4. The 1 % of total liabilities threshold shall be used to determine those product types from which funding has been obtained in accordance with the following:


((a)) the 1 % of total liabilities threshold shall be applied for the product types referred to in all of the following rows: 1.1 “Sight deposit”; 1.2 “Term deposits not withdrawable within the following 30 days”; 1.3 “Term deposits within the following 30 days”; 1.4 “Saving accounts”; 2.1 “Unsecured wholesale funding”; 2.2 “Secured wholesale funding”;
((b)) with regard to the calculation of the 1 % of total liabilities threshold for row 1.4 “Saving accounts” the threshold shall apply on the sum of 1.4.1 and 1.4.2;
((c)) for rows 1. “Retail Funding” and 2. “Wholesale Funding” the 1 % of total liabilities threshold applies on aggregated level only.
 5. The figures reported in rows 1. “Retail”, 2.1 “Unsecured wholesale funding”, 2.2 “Secured wholesale funding” can include broader product types than the underlying “of which” items.
 6. 

Column Legal references and instructions
010 
Carrying amount of funding received for each of the product categories listed in the “Product name” column shall be reported in column 010 of the template

020 
Of the total amount of funding received for each of the product categories listed in the “Product name” column reported in column 010, the amount which is covered by a Deposit Guarantee Scheme in accordance with Directive 2014/49/EU or an equivalent deposit guarantee scheme in a third country.

Note: the amounts reported in column 020 and column 030, for each of the product categories listed in the “Product name” column, shall be equal to the total amount received reported in column 010.

030 
Of the total amount of funding received for each of the product categories listed in the “Product name” column reported in column 010, the amount which is not covered by a Deposit Guarantee Scheme in accordance with Directive 2014/49/EU or an equivalent deposit guarantee scheme in a third country.

Note: the amounts reported in column 020 and column 030, for each of the product categories listed in the “Product name” column, shall be equal to the total amount received reported in column 010.

040 
For the amount of funding received reported in column 010, from the product categories listed in the “Product name” column, a weighted average original maturity (in days) for that funding shall be recorded in column 040.

The weighted average original maturity shall be calculated as the average original maturity (in days) of the funding received for that product type. The average shall be size weighted, based on the size of different amounts of funding received in proportion to the total funding received from all issuances of that product type.

050 
For the amount of funding received reported in column 010, from the product categories listed in the “Product name” column, a weighted average residual maturity (in days) for that funding shall be recorded in column 050.

The weighted average residual maturity shall be calculated as the average maturity (in days) left on the funding received for that product type. The average shall be size weighted, based on the size of different amounts of funding received in proportion, to the total funding received from all issuances of that product type.

 1.4.  1. Institutions shall report the information about the transaction volume and prices paid by institutions for funding obtained during the reporting period and still present at the end of the reporting period in template C 69.00 in accordance with the following original maturities:


((a)) overnight in columns 010 and 020;
((b)) greater than overnight and less than or equal to 1 week (columns 030 and 040)
((c)) greater than 1 week and less than or equal to 1 month in columns 050 and 060;
((d)) greater than 1 month and less than or equal to 3 months in columns 070 and 080;
((e)) greater than 3 months and less than or equal to 6 months in columns 090 and 100;
((f)) greater than 6 months and less than or equal to 1 year in columns 110 and 120;
((g)) greater than 1 year and less than or equal to 2 years in columns 130 and 140;
((h)) greater than 2 years and less than or equal to 5 years in columns 150 and 160;
((i)) greater than 5 years and less than or equal to 10 years in columns 170 and 180.
 2. For the purposes of determining the maturity of the funding obtained, institutions shall ignore the period between trade date and settlement date, e.g. a three-month liability settling in two weeks’ time shall be reported in the 3 months maturity (columns 070 and 080).
 3. The spread reported in the left hand column of each time bucket shall be one of the following:


((a)) the spread payable by the institution for liabilities less than or equal to one year, if they were to have been swapped to the benchmark overnight index for the appropriate currency no later than close of business on the day of the transaction;
((b)) the spread payable by the firm at issuance for liabilities with an original maturity greater than one year, were they to be swapped to the relevant benchmark index for the appropriate currency which is three month EURIBOR for EUR or LIBOR for GBP and USD, no later than close of business on the day of the transaction.
Solely for the purposes of spread calculation under points a) and b) above, on the basis of historical experience, the institution may determine the original maturity with or without taking into account optionality, as appropriate.
 4. Spreads shall be reported in basis points with a negative sign in case the new funding is cheaper than under the relevant benchmark rate. They shall be calculated on a weighted average basis.
 5. For the purposes of calculating the average spread payable across multiple issuances/deposits/loans, institutions shall calculate the total cost in the currency of issue ignoring any FX swap, but they shall include any premium or discount and fees payable or receivable, taking as a basis the term of any theoretical or actual interest rate swap matching the term of the liability. The spread shall be the liability rate minus the swap rate.
 6. The amount of funding obtained for the funding categories listed in the “Item” column shall be reported in the “volume” column of the applicable time bucket.
 7. In the column “volume”, institutions shall provide the amounts representing the carrying amount of the new funding obtained in the applicable time bucket according to original maturity.
 8. As for all items, also for off-balance sheet commitments, institutions shall only report the related amounts reflected in the balance sheet. An off-balance sheet commitment provided to the institution shall only be reported in C69.00 after a drawdown. In the case of a drawdown, the volume and spread to be reported shall be the amount drawn and applicable spread at the end of the reporting period. Where the drawdown cannot be rolled-over at the discretion of the institution, the actual maturity of the drawdown shall be reported. Where the institution has already drawn on the facility at the end of the previous reporting period, and where the institution subsequently increases the usage of the facility, only the additional amount drawn shall be reported.
 9. Deposits placed by retail customers shall consist of deposits as defined in Article 3(8) of Delegated Regulation (EC) No 2015/61.
 10. For funding that has rolled-over during the reporting period that is still outstanding at the end of the reporting period the average of spreads applying at that time (i.e. end of reporting period) shall be reported. For the purposes of C69.00, funding that rolled-over and is still there at the end of the reporting period shall be considered to represent new funding.
 11. By way of deviation from the rest of Section 1.4, the volume and spread of sight deposits shall only be reported where the depositor did not have a sight deposit in the preceding reporting period or where there is an increase in the deposit amount compared to the previous reference date, in which case the increment shall be treated as new funding. The spread shall be that of the end of the period.
 12. Where there is nothing to report, cells relating to spreads shall be left empty.
 13. 

Row Legal references and instructions
010  1. 
Total volume and weighted average spread of all funding shall be obtained for all of the following lengths of time in accordance as follows:


((a)) overnight in columns 010 and 020;
((b)) greater than overnight and less than or equal to 1 week in columns 030 and 040;
((c)) greater than 1 week and less than or equal to 1 month in columns 050 and 060;
((d)) greater than 1 month and less than or equal to 3 months in columns 070 and 080;
((e)) greater than 3 months and less than or equal to 6 months in columns 090 and 100;
((f)) greater than 6 months and less than or equal to 1 year in columns 110 and 120;
((g)) greater than 1 year and less than or equal to 2 years in columns 130 and 140;
((h)) greater than 2 years and less than or equal to 5 years in columns 150 and 160;
((i)) greater than 5 years and less than or equal to 10 years in columns 170 and 180.

020  1.1. 
Of the total funding reported in item 1, the total volume and weighted average spread of retail funding obtained.

030  1.2. 
Of the total funding in item 1, the total volume and weighted average spread of unsecured wholesale funding obtained.

040  1.3. 
Of the total funding reported in item 1, the total volume and weighted average spread of secured funding obtained.

050  1.4. 
Of the total funding reported in item 1, the total volume and weighted average spread of senior unsecured securities obtained.

060  1.5. 
Of the total funding reported in item 1, the total volume and weighted average spread of all covered bond issuance encumbering the institutions own assets.

070  1.6. 
Of the total funding reported in item 1, the total volume and weighted average spread of asset backed securities issued including asset backed commercial paper.

 1.5.  1. This template seeks to collect information about the volume of funds maturing and new funding obtained i.e. “roll-over of funding” on a daily basis over the month preceding the reporting date.
 2. Institutions shall report, in calendar days, the funding they have maturing in accordance with the following time buckets according to the original maturity:


((a)) overnight in columns 010 to 040);
((b)) between 1 and 7 days in columns 050 to 080);
((c)) between 7 and 14 days in columns 090 to 120);
((d)) between 14 and 1 month in columns 130 to 160);
((e)) between 1 and 3 months in columns 170 to 200);
((f)) between 3 and 6 months in columns 210 to 240);
((g)) in more than 6 months in columns 250 to 280).
 3. For each time bucket described in paragraph 2, the amount maturing shall be reported in the left-hand column, the amount funds rolled over shall be reported in the “Roll over” column, new funds obtained shall be reported in the “New Funds” column and the net difference between new funds on the one hand and roll-over minus maturing funds on the other shall be reported in the right-hand column.
 4. Total net cash flows shall be reported in column 290 and shall equal the sum of all “Net” columns numbered 040, 080, 120, 160, 200, 240 and 280.
 5. The average term of funding, in days, for maturing term funds shall be reported in column 300.
 6. The average term of funding, in days, of funds rolled over shall be reported in column 310
 7. The average term of funding, in days, for new term funds shall be reported in column 320.
 8. The “Maturing” amount shall comprise all liabilities that were contractually withdrawable by the provider of the funding or due on the relevant day in the reporting period. It shall always be reported with a positive sign.
 9. The “Roll-over” amount shall comprise the maturing amount as defined in paragraphs 2 and 3 that remains with the institution on the relevant day of the reporting period. It shall always be reported with a positive sign. Where the maturity of the funding has changed due to the roll-over event, the “roll-over” amount shall be reported in a time bucket according to the new maturity.
 10. The “New funds” amount shall comprise actual inflows of funding on the relevant day in the reporting period. It shall always be reported with a positive sign.
 11. The “Net” amount shall be considered as a change of funding within a particular original maturity time band on the relevant day of the reporting period, and shall be calculated by adding in the “net” column the new funds plus the roll over funds minus the maturing funds.
 12. 

Column Legal references and instructions
010 to 040 
The total amount of funding maturing on the relevant day of the reporting period with an overnight original maturity shall be reported in column 010 of line item 1.1-1.31. For months with less than 31 days as well as for weekends, irrelevant lines shall be left empty.

The total amount of funding rolled-over on the relevant day of the reporting period with an overnight original maturity shall be reported in column 020 of line item 1.1-1.31.

The total amount of new funding obtained on the relevant day of the reporting period with an overnight original maturity shall be reported in column 030 of line item 1.1-1.31.

The net difference between, on the one hand, maturing daily funding and, on the other hand, roll-overs plus new daily funding obtained shall be reported in column 040 of line item 1.1-1.31.

050 to 080 > 1 day ≤ 7 daysThe total amount of funding maturing on the relevant day of the reporting period with an original maturity between one day and one week shall be reported in column 050 of line item 1.1-1.31. For months with less than 31 days as well as for weekends, irrelevant lines shall be left empty.The total amount of funding rolled-over on the relevant day of the reporting period with an original maturity between one day and one week shall be reported in column 060 of line item 1.1-1.31.The total amount of new funding obtained on the relevant day of the reporting period with an original maturity between one day and one week shall be reported in column 70 of line item 1.1-1.31.The net difference between, on the one hand, maturing funding and, on the other hand, roll-overs plus new funding obtained shall be reported in column 080 of line item 1.1-1.31.
090 to 120 > 7days ≤ 14 daysThe total amount of funding maturing on the relevant day of the reporting period with an original maturity between one week and two weeks shall be reported in column 090 of line item 1.1-1.31. For months with less than 31 days as well as for weekends, irrelevant lines shall be left empty.The total amount of funding rolled-over on the relevant day of the reporting period with an original maturity between one week and two weeks shall be reported in column 100 of line item 1.1-1.31.The total amount of new funding obtained on the relevant day of the reporting period with an original maturity between one week and two weeks shall be reported in column 110 of line item 1.1-1.31.The net difference between, on the one hand, maturing funding and, on the other hand, roll-overs plus new funding obtained, shall be reported in column 120 of line item 1.1-1.31.
130 to 160 > 14 days ≤ 1 monthThe total amount of funding maturing on the relevant day of the reporting period with an original maturity between two weeks and one month shall be reported in column 130 of line item 1.1-1.31. For months with less than 31 days as well as for weekends, irrelevant lines shall be left empty.The total amount of funding rolled-over on the relevant day of the reporting period with an original maturity between two weeks and one month shall be reported in column 140 of line item 1.1-1.31.The total amount of new funding obtained on the relevant day of the reporting period with an original maturity between two weeks and one month shall be reported in column 150 of line item 1.1-1.31.The net difference between, on the one hand, maturing funding and, on the other hand, roll-overs plus new funding obtained shall be reported in column 160 of line item 1.1-1.31.
170 to 200 > 1 Month ≤ 3 MonthsThe total amount of funding maturing on the relevant day of the reporting period with an original maturity between one month and three months shall be reported in column 170 of line item 1.1-1.31. For months with less than 31 days as well as for weekends, irrelevant lines shall be left empty.The total amount of funding rolled-over on the relevant day of the reporting period with an original maturity between one month and three months shall be reported in column 180 of line item 1.1-1.31.The total amount of new funding obtained on the relevant day of the reporting period with an original maturity between one month and three months shall be reported in column 190 of line item 1.1-1.31.The net difference between, on the one hand, maturing funding and, on the other hand, roll-overs plus new funding obtained, shall be reported in column 200 of line item 1.1-1.31.
210 to 240 > 3 Months ≤ 6 MonthsThe total amount of funding maturing on the relevant day of the reporting period with an original maturity between three months and six months shall be reported in column 210 of line item 1.1-1.31. For months with less than 31 days as well as for weekends, irrelevant lines shall be left empty.The total amount of funding rolled-over on the relevant day of the reporting period with an original maturity between three months and six months shall be reported in column 220 of line item 1.1-1.31.The total amount of new funding obtained on the relevant day of the reporting period with an original maturity between three months and six months shall be reported in column 230 of line item 1.1-1.31.The net difference between, on the one hand, maturing funding and, on the other hand, roll-overs plus new funding obtained, shall be reported in column 240 of line item 1.1-1.31.
250 to 280 > 6 MonthsThe total amount of funding maturing on the relevant day of the reporting period with an original maturity beyond six months shall be reported in column 250 of line item 1.1-1.31. For months with less than 31 days as well as for weekends, irrelevant lines shall be left empty.The total amount of funding rolled-over on the relevant day of the reporting period with an original maturity beyond six months shall be reported in column 260 of line item 1.1-1.31.The total amount of new funding obtained on the relevant day of the reporting period with an original maturity beyond six months shall be reported in column 270 of line item 1.1-1.31.The net difference between, on the one hand, maturing funding and, on the other hand, roll-overs plus new funding obtained, shall be reported in column 280 of line item 1.1-1.31.
290 
The total net cash flows equal to the sum of all “Net” columns numbered 040, 080, 120, 160, 200, 240, 280, shall be reported in column 290.

300 to 320 
The weighted average term, in days, of all funds maturing shall be reported in column 300. The weighted average term, in days, of all funds rolled over shall be reported in column 310, the weighted average term, in days, of all new funds shall be reported in column 320.



ANNEX VIII


ANNEX XXIV 
LIQUIDITY TEMPLATES
Template number Template code Name of the template /group of templates
LIQUIDITY COVERAGE TEMPLATES
  PART I – LIQUID ASSETS
72 C 72.00 LIQUIDITY COVERAGE – LIQUID ASSETS
  PART II – OUTFLOWS
73 C 73.00 LIQUIDITY COVERAGE – OUTFLOWS
  PART III – INFLOWS
74 C 74.00 LIQUIDITY COVERAGE – INFLOWS
  PART IV – COLLATERAL SWAPS
75 C 75.01 LIQUIDITY COVERAGE – COLLATERAL SWAPS
  PART V – CALCULATIONS
76 C 76.00 LIQUIDITY COVERAGE – CALCULATIONS
  PART VI – PERIMETER OF CONSOLIDATION
77 C 77.00 LIQUIDITY COVERAGE – PERIMETER
Row ID Item Amount/Market value Standard weight Applicable weight Value in accordance with Article 9
010 020 030 040
010 1 TOTAL UNADJUSTED LIQUID ASSETS    
020 1.1 Total unadjusted level 1 assets    
030 1.1.1 Total unadjusted LEVEL 1 assets excluding extremely high quality covered bonds    
040 1.1.1.1 Coins and banknotes  1,0  
050 1.1.1.2 Withdrawable central bank reserves  1,0  
060 1.1.1.3 Central bank assets  1,0  
070 1.1.1.4 Central government assets  1,0  
080 1.1.1.5 Regional government / local authorities assets  1,0  
090 1.1.1.6 Public Sector Entity assets  1,0  
100 1.1.1.7 Recognisable domestic and foreign currency central government and central bank assets  1,0  
110 1.1.1.8 Credit institution (protected by Member State government, promotional lender) assets  1,0  
120 1.1.1.9 Multilateral development bank and international organisations assets  1,0  
130 1.1.1.10 Qualifying CIU shares/units: underlying is coins/banknotes and/or central bank exposure  1,0  
140 1.1.1.11 Qualifying CIU shares/units: underlying is Level 1 assets excluding extremely high quality covered bonds  0,95  
150 1.1.1.12 Alternative Liquidity Approaches: Central bank credit facility  1,0  
160 1.1.1.13 Central institutions: Level 1 assets excl. EHQ CB which are considered liquid assets for the depositing credit institution    
170 1.1.1.14 Alternative Liquidity Approaches: Level 2A assets recognised as Level 1  0,8  
180 1.1.2 Total unadjusted LEVEL 1 extremely high quality covered bonds    
190 1.1.2.1 Extremely high quality covered bonds  0,93  
200 1.1.2.2 Qualifying CIU shares/units: underlying is extremely high quality covered bonds  0,88  
210 1.1.2.3 Central institutions: Level 1 EHQ covered bonds which are considered liquid assets for the depositing credit institution    
220 1.2 Total unadjusted level 2 assets    
230 1.2.1 Total unadjusted LEVEL 2A assets    
240 1.2.1.1 Regional government / local authorities or Public Sector Entity assets (Member State, RW20 %)  0,85  
250 1.2.1.2 Central bank or central / regional government or local authorities or Public Sector Entity assets (Third Country, RW20 %)  0,85  
260 1.2.1.3 High quality covered bonds (CQS2)  0,85  
270 1.2.1.4 High quality covered bonds (Third Country, CQS1)  0,85  
280 1.2.1.5 Corporate debt securities (CQS1)  0,85  
290 1.2.1.6 Qualifying CIU shares/units: underlying is Level 2A assets  0,8  
300 1.2.1.7 Central institutions: Level 2A assets which are considered liquid assets for the depositing credit institution    
310 1.2.2 Total unadjusted LEVEL 2B assets    
320 1.2.2.1 Asset-backed securities (residential, CQS1)  0,75  
330 1.2.2.2 Asset-backed securities (auto, CQS1)  0,75  
340 1.2.2.3 High quality covered bonds (RW35 %)  0,7  
350 1.2.2.4 Asset-backed securities (commercial or individuals, Member State, CQS1)  0,65  
360 1.2.2.5 Corporate debt securities (CQS2/3)  0,5  
370 1.2.2.6 Corporate debt securities – non-interest bearing assets (held by credit institutions for religious reasons) (CQS1/2/3)  0,5  
380 1.2.2.7 Shares (major stock index)  0,5  
390 1.2.2.8 Non-interest bearing assets (held by credit institutions for religious reasons) (CQS3-5)  0,5  
400 1.2.2.9 Restricted-use central bank committed liquidity facilities  1,0  
410 1.2.2.10 Qualifying CIU shares/units: underlying is asset-backed securities (residential or auto, CQS1)  0,7  
420 1.2.2.11 Qualifying CIU shares/units: underlying is High quality covered bonds (RW35 %)  0,65  
430 1.2.2.12 Qualifying CIU shares/units: underlying is asset-backed securities (commercial or individuals, Member State, CQS1)  0,6  
440 1.2.2.13 Qualifying CIU shares/units: underlying is corporate debt securities (CQS2/3), shares (major stock index) or non-interest bearing assets (held by credit institutions for religious reasons) (CQS3-5)  0,45  
450 1.2.2.14 Deposits by network member with central institution (no obligated investment)  0,75  
460 1.2.2.15 Liquidity funding available to network member from central institution (non-specified collateralisation)  0,75  
470 1.2.2.16 Central institutions: Level 2B assets which are considered liquid assets for the depositing credit institution    
MEMORANDUM ITEMS
485 2 Deposits by network member with central institution (obligated investment)    
580 3 Level 1/2A/2B assets excluded due to currency reasons    
590 4 Level 1/2A/2B assets excluded for operational reasons except for currency reasons    
 Amount Market value of collateral extended Value of collateral extended in accordance with Article 9 Standard Weight Applicable Weight Outflow
Row ID Item 010 020 030 040 050 060
010 1 OUTFLOWS      
020 1.1 Outflows from unsecured transactions/deposits      
030 1.1.1 Retail deposits      
035 1.1.1.1 deposits exempted from the calculation of outflows    0,0  
040 1.1.1.2 deposits where the payout has been agreed within the following 30 days    1,0  
050 1.1.1.3 deposits subject to higher outflows      
060 1.1.1.3.1 category 1    0,1-0,15  
070 1.1.1.3.2 category 2    0,15-0,2  
080 1.1.1.4 stable deposits    0,05  
090 1.1.1.5 derogated stable deposits    0,03  
100 1.1.1.6 deposits in third countries where a higher outflow is applied      
110 1.1.1.7 other retail deposits    0,1  
120 1.1.2 Operational deposits      
130 1.1.2.1 maintained for clearing, custody, cash management or other comparable services in the context of an established operational relationship      
140 1.1.2.1.1 covered by DGS    0,05  
150 1.1.2.1.2 not covered by DGS    0,25  
160 1.1.2.2 maintained in the context of IPS or a cooperative network      
170 1.1.2.2.1 not treated as liquid assets for the depositing institution    0,25  
180 1.1.2.2.2 treated as liquid assets for the depositing credit institution    1,0  
190 1.1.2.3 maintained in the context of an established operational relationship (other) with non-financial customers    0,25  
200 1.1.2.4 maintained to obtain cash clearing and central credit institution services within a network    0,25  
203 1.1.3 Excess operational deposits      
204 1.1.3.1 deposits by financial customers    1,0  
205 1.1.3.2 deposits by other customers      
206 1.1.3.2.1 covered by DGS    0,2  
207 1.1.3.2.2 not covered by DGS    0,4  
210 1.1.4 Non-operational deposits      
220 1.1.4.1 correspondent banking and provisions of prime brokerage deposits    1,0  
230 1.1.4.2 deposits by financial customers    1,0  
240 1.1.4.3 deposits by other customers      
250 1.1.4.3.1 covered by DGS    0,2  
260 1.1.4.3.2 not covered by DGS    0,4  
270 1.1.5 Additional outflows      
280 1.1.5.1 collateral other than Level 1 assets collateral posted for derivatives    0,2  
290 1.1.5.2 Level 1 EHQ Covered Bonds assets collateral posted for derivatives    0,1  
300 1.1.5.3 material outflows due to deterioration of own credit quality    1,0  
310 1.1.5.4 impact of an adverse market scenario on derivatives transactions    1,0  
340 1.1.5.5 outflows from derivatives    1,0  
350 1.1.5.6 short positions      
360 1.1.5.6.1 covered by collateralized SFT    0,0  
370 1.1.5.6.2 other    1,0  
380 1.1.5.7 callable excess collateral    1,0  
390 1.1.5.8 due collateral    1,0  
400 1.1.5.9 liquid asset collateral exchangable for non-liquid asset collateral    1,0  
410 1.1.5.10 loss of funding on structured financing activites      
420 1.1.5.10.1 structured financing instruments    1,0  
430 1.1.5.10.2 financing facilites    1,0  
450 1.1.5.11 internal netting of client's positions    0,5  
460 1.1.6 Committed facilities      
470 1.1.6.1 credit facilities      
480 1.1.6.1.1 to retail customers    0,05  
490 1.1.6.1.2 to non-financial customers other than retail customers    0,1  
500 1.1.6.1.3 to credit institutions      
510 1.1.6.1.3.1 for funding promotional loans of retail customers    0,05  
520 1.1.6.1.3.2 for funding promotional loans of non-financial customers    0,1  
530 1.1.6.1.3.3 other    0,4  
540 1.1.6.1.4 to regulated financial institutions other than credit institutions    0,4  
550 1.1.6.1.5 within a group or an IPS if subject to preferential treatment      
560 1.1.6.1.6 within IPS or cooperative network if treated as liquid asset by the depositing institution    0,75  
570 1.1.6.1.7 to other financial customers    1,0  
580 1.1.6.2 liquidity facilities      
590 1.1.6.2.1 to retail customers    0,05  
600 1.1.6.2.2 to non-financial customers other than retail customers    0,3  
610 1.1.6.2.3 to personal investment companies    0,4  
620 1.1.6.2.4 to SSPEs      
630 1.1.6.2.4.1 to purchase assets other than securities from non-financial customers    0,1  
640 1.1.6.2.4.2 other    1,0  
650 1.1.6.2.5 to credit institutions      
660 1.1.6.2.5.1 for funding promotional loans of retail customers    0,05  
670 1.1.6.2.5.2 for funding promotional loans of non-financial customers    0,3  
680 1.1.6.2.5.3 other    0,4  
690 1.1.6.2.6 within a group or an IPS if subject to preferential treatment      
700 1.1.6.2.7 within IPS or cooperative network if treated as liquid asset by the depositing institution    0,75  
710 1.1.6.2.8 to other financial customers    1,0  
720 1.1.7 Other products and services      
731 1.1.7.1 Uncommitted funding facilities      
740 1.1.7.2 undrawn loans and advances to wholesale counterparties      
750 1.1.7.3 mortgages that have been agreed but not yet drawn down      
760 1.1.7.4 credit cards      
770 1.1.7.5 overdrafts      
780 1.1.7.6 planned outflows related to renewal or extension of new retail or wholesale loans      
850 1.1.7.7 derivatives payables      
860 1.1.7.8 trade finance off-balance sheet related products      
870 1.1.7.9 others      
885 1.1.8 Other liabilities and due commitments      
890 1.1.8.1 liabilities resulting from operating expenses    0,0  
900 1.1.8.2 in the form of debt securities if not treated as retail deposits    1,0  
912 1.1.8.4 the excess of funding to non-financial customers      
913 1.1.8.4.1 the excess of funding to retail customers    1,0  
914 1.1.8.4.2 the excess of funding to non financial corporates    1,0  
915 1.1.8.4.3 the excess of funding to sovereigns, MLDBs and PSEs    1,0  
916 1.1.8.4.4 the excess of funding to other legal entities    1,0  
917 1.1.8.5 assets borrowed on an unsecured basis    1,0  
918 1.1.8.6 others    1,0  
920 1.2 Outflows from secured lending and capital market-driven transactions      
930 1.2.1 Counterparty is central bank      
940 1.2.1.1 level 1 excl. EHQ Covered Bonds collateral    0,0  
945 1.2.1.1.1 of which collateral extended meets operational requirements      
950 1.2.1.2 level 1 EHQ Covered Bonds collateral    0,0  
955 1.2.1.2.1 of which collateral extended meets operational requirements      
960 1.2.1.3 level 2A collateral    0,0  
965 1.2.1.3.1 of which collateral extended meets operational requirements      
970 1.2.1.4 level 2B asset-backed securities (residential or automobile, CQS1) collateral    0,0  
975 1.2.1.4.1 of which collateral extended meets operational requirements      
980 1.2.1.5 level 2B covered bonds    0,0  
985 1.2.1.5.1 of which collateral extended meets operational requirements      
990 1.2.1.6 level 2B asset-backed securities (commercial or individuals, Member State, CQS1) collateral    0,0  
995 1.2.1.6.1 of which collateral extended meets operational requirements      
1000 1.2.1.7 other Level 2B assets collateral    0,0  
1005 1.2.1.7.1 of which collateral extended meets operational requirements      
1010 1.2.1.8 non-liquid assets collateral    0,0  
1020 1.2.2 Counterparty is non-central bank      
1030 1.2.2.1 level 1 excl. EHQ Covered Bonds collateral    0,0  
1035 1.2.2.1.1 of which collateral extended meets operational requirements      
1040 1.2.2.2 level 1 EHQ Covered Bonds collateral    0,07  
1045 1.2.2.2.1 of which collateral extended meets operational requirements      
1050 1.2.2.3 level 2A collateral    0,15  
1055 1.2.2.3.1 of which collateral extended meets operational requirements      
1060 1.2.2.4 level 2B asset-backed securities (residential or automobile, CQS1) collateral    0,25  
1065 1.2.2.4.1 of which collateral extended meets operational requirements      
1070 1.2.2.5 level 2B covered bonds    0,3  
1075 1.2.2.5.1 of which collateral extended meets operational requirements      
1080 1.2.2.6 level 2B asset-backed securities (commercial or individuals, Member State, CQS1) collateral    0,35  
1085 1.2.2.6.1 of which collateral extended meets operational requirements      
1090 1.2.2.7 other Level 2B assets collateral    0,5  
1095 1.2.2.7.1 of which collateral extended meets operational requirements      
1100 1.2.2.8 non-liquid assets collateral    1,0  
1130 1.3 Total outflows from collateral swaps      
MEMORANDUM ITEMS
1170 2 Liquidity outflows to be netted by interdependent inflows      
 3 Operational deposits maintained for clearing, custody, cash management or other comparable services in the context of an established operational relationship      
1180 3.1 provided by credit institutions      
1190 3.2 provided by financial customers other than credit institutions      
1200 3.3 provided by sovereigns, central banks, MDBs and PSEs      
1210 3.4 provided by other customers      
 4 Intra group or IPS outflows      
1290 4.1 of which: to financial customers      
1300 4.2 of which: to non-financial customers      
1310 4.3 of which: secured      
1320 4.4 of which: credit facilities without preferential treatment      
1330 4.5 of which: liquidity facilites without preferential treatment      
1340 4.6 of which: operational deposits      
1345 4.7 of which: excess operational deposits      
1350 4.8 of which: non-operational deposits      
1360 4.9 of which: liabilities in the form of debt securities if not treated as retail deposits      
1370 5 FX outflows      
 6 Secured funding waived from Article 17 (2) and (3)      
1400 6.1 of which: secured by L1 excl. EHQCB      
1410 6.2 of which: secured by L1 EHQCB      
1420 6.3 of which: secured by L2A      
1430 6.4 of which: secured by L2B      
1440 6.5 of which: secured by non-liquid assets      
 Amount Market value of collateral received Standard Weight Applicable Weight Value of collateral received in accordance with Article 9 Inflow
Subject to the 75 % cap on inflows Subject to the 90 % cap on inflows Exempted from the cap on inflows Subject to the 75 % cap on inflows Subject to the 90 % cap on inflows Exempted from the cap on inflows Subject to the 75 % cap on inflows Subject to the 90 % cap on inflows Exempted from the cap on inflows Subject to the 75 % cap on inflows Subject to the 90 % cap on inflows Exempted from the cap on inflows Subject to the 75 % cap on inflows Subject to the 90 % cap on inflows Exempted from the cap on inflows
Row ID Item 010 020 030 040 050 060 070 080 090 100 110 120 130 140 150 160
010 1 TOTAL INFLOWS                
020 1.1 Inflows from unsecured transactions/deposits                
030 1.1.1 monies due from non-financial customers (except for central banks)                
040 1.1.1.1 monies due from non-financial customers (except for central banks) not corresponding to principal repayment       1,0         
050 1.1.1.2 other monies due from non-financial customers (except for central banks)                
060 1.1.1.2.1 monies due from retail customers       0,5         
070 1.1.1.2.2 monies due from non-financial corporates       0,5         
080 1.1.1.2.3 monies due from sovereigns, multilateral development banks and public sector entities       0,5         
090 1.1.1.2.4 monies due from other legal entities       0,5         
100 1.1.2 monies due from central banks and financial customers                
110 1.1.2.1 monies due from financial customers being classified as operational deposits                
120 1.1.2.1.1 monies due from financial customers being classified as operational deposits where the credit institution is able to establish a corresponding symmetrical inflow rate                
130 1.1.2.1.2 monies due from financial customers being classified as operational deposits where the credit institution is not able to establish a corresponding symmetrical inflow rate       0,05         
140 1.1.2.2 monies due from central banks and financial customers not being classified as operational deposits                
150 1.1.2.2.1 monies due from central banks       1,0         
160 1.1.2.2.2 monies due from financial customers       1,0         
170 1.1.3 inflows corresponding to outflows in accordance with promotional loan commitments referred to in Article 31(9) of Delegated Regulation (EU) 2015/61       1,0         
180 1.1.4 monies due from trade financing transactions       1,0         
190 1.1.5 monies due from securities maturing within 30 days       1,0         
201 1.1.6 loans with an undefined contractual end date       0,2         
210 1.1.7 monies due from positions in major index equity instruments provided that there is no double counting with liquid assets       1,0         
230 1.1.8 inflows from the release of balances held in segregated accounts in accordance with regulatory requirements for the protection of customer trading assets       1,0         
240 1.1.9 inflows from derivatives       1,0         
250 1.1.10 inflows from undrawn credit or liquidity facilities provided by members of a group or an institutional protection scheme where the competent authorities have granted permission to apply a higher inflow rate                
260 1.1.11 other inflows       1,0         
263 1.2 Inflows from secured lending and capital market-driven transactions                
265 1.2.1 Counterparty is central bank                
267 1.2.1.1 collateral that qualifies as a liquid asset                
269 1.2.1.1.1 Level 1 collateral excluding extremely high quality covered bonds       0,0         
271 1.2.1.1.1.1 of which collateral received meets operational requirements                
273 1.2.1.1.2 Level 1 collateral which is extremely high quality covered bonds       0,07         
275 1.2.1.1.2.1 of which collateral received meets operational requirements                
277 1.2.1.1.3 Level 2A collateral       0,15         
279 1.2.1.1.3.1 of which collateral received meets operational requirements                
281 1.2.1.1.4 Level 2B asset backed securities (residential or auto) collateral       0,25         
283 1.2.1.1.4.1 of which collateral received meets operational requirements                
285 1.2.1.1.5 Level 2B high quality covered bonds collateral       0,3         
287 1.2.1.1.5.1 of which collateral received meets operational requirements                
289 1.2.1.1.6 Level 2B asset backed securities (commercial or individuals) collateral       0,35         
291 1.2.1.1.6.1 of which collateral received meets operational requirements                
293 1.2.1.1.7 Level 2B collateral not already captured in section 1.2.1.1.4, 1.2.1.1.5 or 1.2.1.1.6       0,5         
295 1.2.1.1.7.1 of which collateral received meets operational requirements                
297 1.2.1.2 collateral is used to cover a short position                
299 1.2.1.3 collateral that does not qualify as a liquid asset                
301 1.2.1.3.1 collateral is non-liquid equity       1,0         
303 1.2.1.3.2 all other non-liquid collateral       1,0         
305 1.2.2 Counterparty is non-central bank                
307 1.2.2.1 collateral that qualifies as a liquid asset                
309 1.2.2.1.1 Level 1 collateral excluding extremely high quality covered bonds       0,0         
311 1.2.2.1.1.1 of which collateral received meets operational requirements                
313 1.2.2.1.2 Level 1 collateral which is extremely high quality covered bonds       0,07         
315 1.2.2.1.2.1 of which collateral received meets operational requirements                
317 1.2.2.1.3 Level 2A collateral       0,15         
319 1.2.2.1.3.1 of which collateral received meets operational requirements                
321 1.2.2.1.4 Level 2B asset backed securities (residential or auto) collateral       0,25         
323 1.2.2.1.4.1 of which collateral received meets operational requirements                
325 1.2.2.1.5 Level 2B high quality covered bonds collateral       0,3         
327 1.2.2.1.5.1 of which collateral received meets operational requirements                
329 1.2.2.1.6 Level 2B asset backed securities (commercial or individuals) collateral       0,35         
331 1.2.2.1.6.1 of which collateral received meets operational requirements                
333 1.2.2.1.7 Level 2B collateral not already captured in section 1.2.2.1.4, 1.2.2.1.5 or 1.2.2.1.6       0,5         
335 1.2.2.1.7.1 of which collateral received meets operational requirements                
337 1.2.2.2 collateral is used to cover a short position                
339 1.2.2.3 collateral that does not qualify as a liquid asset                
341 1.2.2.3.1 margin loans: collateral is non-liquid       0,5         
343 1.2.2.3.2 collateral is non-liquid equity       1,0         
345 1.2.2.3.3 all other non-liquid collateral       1,0         
410 1.3 Total inflows from collateral swaps                
420 1.4 (Difference between total weighted inflows and total weighted outflows arising from transactions in third countries where there are transfer restrictions or which are denominated in non-convertible currencies)                
430 1.5 (Excess inflows from a related specialised credit institution)                
MEMORANDUM ITEMS         
450 2 FX inflows                
460 3 Inflows within a group or an institutional protection scheme                
470 3.1 Monies due from non-financial customers (except for central banks)                
480 3.2 Monies due from financial customers                
490 3.3 Secured transactions                
500 3.4 Monies due from maturing securities within 30 days                
510 3.5 Any other inflows within a group or an institutional protection scheme                
 4 Secured lending waived from Article 17 (2) and (3)                
530 4.1 of which: secured by L1 excl. EHQCB                
540 4.2 of which: secured by L1 EHQCB                
550 4.3 of which: secured by L2A                
560 4.4 of which: secured by L2B                
570 4.5 of which: secured by non-liquid assets                
 Market value of collateral lent Liquidity value of collateral lent Market value of collateral borrowed Liquidity value of collateral borrowed Standard weight Applicable weight Outflows Inflows subject to the 75 % cap on inflows Inflows subject to the 90 % cap on inflows Inflows exempted from the cap on inflows
Row ID Item 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100
0010 1 TOTAL COLLATERAL SWAPS (counterparty is central bank)          
0020 1.1 Totals for transactions in which Level 1 assets (excl. EHQ covered bonds) are lent and the following collateral is borrowed:          
0030 1.1.1 Level 1 assets (excl. EHQ covered bonds)     0,0     
0040 1.1.1.1 Of which collateral swapped meets operational requirements          
0050 1.1.2 Level 1: extremely high quality covered bonds     0,07     
0060 1.1.2.1 Of which collateral swapped meets operational requirements          
0070 1.1.3 Level 2A assets     0,15     
0080 1.1.3.1 Of which collateral swapped meets operational requirements          
0090 1.1.4 Level 2B: asset-backed securities (residential or automobile, CQS1)     0,25     
0100 1.1.4.1 Of which collateral swapped meets operational requirements          
0110 1.1.5 Level 2B: high quality covered bonds     0,3     
0120 1.1.5.1 Of which collateral swapped meets operational requirements          
0130 1.1.6 Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)     0,35     
0140 1.1.6.1 Of which collateral swapped meets operational requirements          
0150 1.1.7 Other Level 2B     0,5     
0160 1.1.7.1 Of which collateral swapped meets operational requirements          
0170 1.1.8 Non-liquid assets     1,0     
0180 1.1.8.1 Of which collateral swapped meets operational requirements          
0190 1.2 Totals for transactions in which Level 1: extremely high quality covered bonds are lent and the following collateral is borrowed:          
0200 1.2.1 Level 1 assets (excl. EHQ covered bonds)     0,0     
0210 1.2.1.1 Of which collateral swapped meets operational requirements          
0220 1.2.2 Level 1: extremely high quality covered bonds     0,0     
0230 1.2.2.1 Of which collateral swapped meets operational requirements          
0240 1.2.3 Level 2A assets     0,08     
0250 1.2.3.1 Of which collateral swapped meets operational requirements          
0260 1.2.4 Level 2B: asset-backed securities (residential or automobile, CQS1)     0,18     
0270 1.2.4.1 Of which collateral swapped meets operational requirements          
0280 1.2.5 Level 2B: high quality covered bonds     0,23     
0290 1.2.5.1 Of which collateral swapped meets operational requirements          
0300 1.2.6 Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)     0,28     
0310 1.2.6.1 Of which collateral swapped meets operational requirements          
0320 1.2.7 Other Level 2B     0,43     
0330 1.2.7.1 Of which collateral swapped meets operational requirements          
0340 1.2.8 Non-liquid assets     0,93     
0350 1.2.8.1 Of which collateral swapped meets operational requirements          
0360 1.3 Totals for transactions in which Level 2A assets are lent and the following collateral is borrowed:          
0370 1.3.1 Level 1 assets (excl. EHQ covered bonds)     0,0     
0380 1.3.1.1 Of which collateral swapped meets operational requirements          
0390 1.3.2 Level 1: extremely high quality covered bonds     0,0     
0400 1.3.2.1 Of which collateral swapped meets operational requirements          
0410 1.3.3 Level 2A assets     0,0     
0420 1.3.3.1 Of which collateral swapped meets operational requirements          
0430 1.3.4 Level 2B: asset-backed securities (residential or automobile, CQS1)     0,1     
0440 1.3.4.1 Of which collateral swapped meets operational requirements          
0450 1.3.5 Level 2B: high quality covered bonds     0,15     
0460 1.3.5.1 Of which collateral swapped meets operational requirements          
0470 1.3.6 Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)     0,2     
0480 1.3.6.1 Of which collateral swapped meets operational requirements          
0490 1.3.7 Other Level 2B     0,35     
0500 1.3.7.1 Of which collateral swapped meets operational requirements          
0510 1.3.8 Non-liquid assets     0,85     
0520 1.3.8.1 Of which collateral swapped meets operational requirements          
0530 1.4 Totals for transactions in which Level 2B: asset-backed securities (residential or automobile, CQS1) are lent and the following collateral is borrowed:          
0540 1.4.1 Level 1 assets (excl. EHQ covered bonds)     0,0     
0550 1.4.1.1 Of which collateral swapped meets operational requirements          
0560 1.4.2 Level 1: extremely high quality covered bonds     0,0     
0570 1.4.2.1 Of which collateral swapped meets operational requirements          
0580 1.4.3 Level 2A assets     0,0     
0590 1.4.3.1 Of which collateral swapped meets operational requirements          
0600 1.4.4 Level 2B: asset-backed securities (residential or automobile, CQS1)     0,0     
0610 1.4.4.1 Of which collateral swapped meets operational requirements          
0620 1.4.5 Level 2B: high quality covered bonds     0,05     
0630 1.4.5.1 Of which collateral swapped meets operational requirements          
0640 1.4.6 Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)     0,1     
0650 1.4.6.1 Of which collateral swapped meets operational requirements          
0660 1.4.7 Other Level 2B     0,25     
0670 1.4.7.1 Of which collateral swapped meets operational requirements          
0680 1.4.8 Non-liquid assets     0,75     
0690 1.4.8.1 Of which collateral swapped meets operational requirements          
0700 1.5 Totals for transactions in which Level 2B: high quality covered bonds are lent and the following collateral is borrowed:          
0710 1.5.1 Level 1 assets (excl. EHQ covered bonds)     0,0     
0720 1.5.1.1 Of which collateral swapped meets operational requirements          
0730 1.5.2 Level 1: extremely high quality covered bonds     0,0     
0740 1.5.2.1 Of which collateral swapped meets operational requirements          
0750 1.5.3 Level 2A assets     0,0     
0760 1.5.3.1 Of which collateral swapped meets operational requirements          
0770 1.5.4 Level 2B: asset-backed securities (residential or automobile, CQS1)     0,0     
0780 1.5.4.1 Of which collateral swapped meets operational requirements          
0790 1.5.5 Level 2B: high quality covered bonds     0,0     
0800 1.5.5.1 Of which collateral swapped meets operational requirements          
0810 1.5.6 Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)     0,05     
0820 1.5.6.1 Of which collateral swapped meets operational requirements          
0830 1.5.7 Other Level 2B     0,2     
0840 1.5.7.1 Of which collateral swapped meets operational requirements          
0850 1.5.8 Non-liquid assets     0,7     
0860 1.5.8.1 Of which collateral swapped meets operational requirements          
0870 1.6 Totals for transactions in which Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) are lent and the following collateral is borrowed:          
0880 1.6.1 Level 1 assets (excl. EHQ covered bonds)     0,0     
0890 1.6.1.1 Of which collateral swapped meets operational requirements          
0900 1.6.2 Level 1: extremely high quality covered bonds     0,0     
0910 1.6.2.1 Of which collateral swapped meets operational requirements          
0920 1.6.3 Level 2A assets     0,0     
0930 1.6.3.1 Of which collateral swapped meets operational requirements          
0940 1.6.4 Level 2B: asset-backed securities (residential or automobile, CQS1)     0,0     
0950 1.6.4.1 Of which collateral swapped meets operational requirements          
0960 1.6.5 Level 2B: high quality covered bonds     0,0     
0970 1.6.5.1 Of which collateral swapped meets operational requirements          
0980 1.6.6 Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)     0,0     
0990 1.6.6.1 Of which collateral swapped meets operational requirements          
1000 1.6.7 Other Level 2B     0,15     
1010 1.6.7.1 Of which collateral swapped meets operational requirements          
1020 1.6.8 Non-liquid assets     0,65     
1030 1.6.8.1 Of which collateral swapped meets operational requirements          
1040 1.7 Totals for transactions in which Other Level 2B assets are lent and the following collateral is borrowed:          
1050 1.7.1 Level 1 assets (excl. EHQ covered bonds)     0,0     
1060 1.7.1.1 Of which collateral swapped meets operational requirements          
1070 1.7.2 Level 1: extremely high quality covered bonds     0,0     
1080 1.7.2.1 Of which collateral swapped meets operational requirements          
1090 1.7.3 Level 2A assets     0,0     
1100 1.7.3.1 Of which collateral swapped meets operational requirements          
1110 1.7.4 Level 2B: asset-backed securities (residential or automobile, CQS1)     0,0     
1120 1.7.4.1 Of which collateral swapped meets operational requirements          
1130 1.7.5 Level 2B: high quality covered bonds     0,0     
1140 1.7.5.1 Of which collateral swapped meets operational requirements          
1150 1.7.6 Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)     0,0     
1160 1.7.6.1 Of which collateral swapped meets operational requirements          
1170 1.7.7 Other Level 2B     0,0     
1180 1.7.7.1 Of which collateral swapped meets operational requirements          
1190 1.7.8 Non-liquid assets     0,5     
1200 1.7.8.1 Of which collateral swapped meets operational requirements          
1210 1.8 Totals for transactions in which Non-liquid assets are lent and the following collateral is borrowed:          
1220 1.8.1 Level 1 assets (excl. EHQ covered bonds)     0,0     
1230 1.8.1.1 Of which collateral swapped meets operational requirements          
1240 1.8.2 Level 1: extremely high quality covered bonds     0,0     
1250 1.8.2.1 Of which collateral swapped meets operational requirements          
1260 1.8.3 Level 2A assets     0,0     
1270 1.8.3.1 Of which collateral swapped meets operational requirements          
1280 1.8.4 Level 2B: asset-backed securities (residential or automobile, CQS1)     0,0     
1290 1.8.4.1 Of which collateral swapped meets operational requirements          
1300 1.8.5 Level 2B: high quality covered bonds     0,0     
1310 1.8.5.1 Of which collateral swapped meets operational requirements          
1320 1.8.6 Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)     0,0     
1330 1.8.6.1 Of which collateral swapped meets operational requirements          
1340 1.8.7 Other Level 2B     0,0     
1350 1.8.7.1 Of which collateral swapped meets operational requirements          
1360 1.8.8 Non-liquid assets          
1370 2 TOTAL COLLATERAL SWAPS (counterparty is non-central bank)          
1380 2.1 Totals for transactions in which Level 1 assets (excl. EHQ covered bonds) are lent and the following collateral is borrowed:          
1390 2.1.1 Level 1 assets (excl. EHQ covered bonds)     0,0     
1400 2.1.1.1 Of which collateral swapped meets operational requirements          
1410 2.1.2 Level 1: extremely high quality covered bonds     0,07     
1420 2.1.2.1 Of which collateral swapped meets operational requirements          
1430 2.1.3 Level 2A assets     0,15     
1440 2.1.3.1 Of which collateral swapped meets operational requirements          
1450 2.1.4 Level 2B: asset-backed securities (residential or automobile, CQS1)     0,25     
1460 2.1.4.1 Of which collateral swapped meets operational requirements          
1470 2.1.5 Level 2B: high quality covered bonds     0,3     
1480 2.1.5.1 Of which collateral swapped meets operational requirements          
1490 2.1.6 Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)     0,35     
1500 2.1.6.1 Of which collateral swapped meets operational requirements          
1510 2.1.7 Other Level 2B     0,5     
1520 2.1.7.1 Of which collateral swapped meets operational requirements          
1530 2.1.8 Non-liquid assets     1,0     
1540 2.1.8.1 Of which collateral swapped meets operational requirements          
1550 2.2 Totals for transactions in which Level 1: extremely high quality covered bonds are lent and the following collateral is borrowed:          
1560 2.2.1 Level 1 assets (excl. EHQ covered bonds)     0,07     
1570 2.2.1.1 Of which collateral swapped meets operational requirements          
1580 2.2.2 Level 1: extremely high quality covered bonds     0,0     
1590 2.2.2.1 Of which collateral swapped meets operational requirements          
1600 2.2.3 Level 2A assets     0,08     
1610 2.2.3.1 Of which collateral swapped meets operational requirements          
1620 2.2.4 Level 2B: asset-backed securities (residential or automobile, CQS1)     0,18     
1630 2.2.4.1 Of which collateral swapped meets operational requirements          
1640 2.2.5 Level 2B: high quality covered bonds     0,23     
1650 2.2.5.1 Of which collateral swapped meets operational requirements          
1660 2.2.6 Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)     0,28     
1670 2.2.6.1 Of which collateral swapped meets operational requirements          
1680 2.2.7 Other Level 2B     0,43     
1690 2.2.7.1 Of which collateral swapped meets operational requirements          
1700 2.2.8 Non-liquid assets     0,93     
1710 2.2.8.1 Of which collateral swapped meets operational requirements          
1720 2.3 Totals for transactions in which Level 2A assets are lent and the following collateral is borrowed:          
1730 2.3.1 Level 1 assets (excl. EHQ covered bonds)     0,15     
1740 2.3.1.1 Of which collateral swapped meets operational requirements          
1750 2.3.2 Level 1: extremely high quality covered bonds     0,08     
1760 2.3.2.1 Of which collateral swapped meets operational requirements          
1770 2.3.3 Level 2A assets     0,0     
1780 2.3.3.1 Of which collateral swapped meets operational requirements          
1790 2.3.4 Level 2B: asset-backed securities (residential or automobile, CQS1)     0,1     
1800 2.3.4.1 Of which collateral swapped meets operational requirements          
1810 2.3.5 Level 2B: high quality covered bonds     0,15     
1820 2.3.5.1 Of which collateral swapped meets operational requirements          
1830 2.3.6 Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)     0,2     
1840 2.3.6.1 Of which collateral swapped meets operational requirements          
1850 2.3.7 Other Level 2B     0,35     
1860 2.3.7.1 Of which collateral swapped meets operational requirements          
1870 2.3.8 Non-liquid assets     0,85     
1880 2.3.8.1 Of which collateral swapped meets operational requirements          
1890 2.4 Totals for transactions in which Level 2B: asset-backed securities (residential or automobile, CQS1) are lent and the following collateral is borrowed:          
1900 2.4.1 Level 1 assets (excl. EHQ covered bonds)     0,25     
1910 2.4.1.1 Of which collateral swapped meets operational requirements          
1920 2.4.2 Level 1: extremely high quality covered bonds     0,18     
1930 2.4.2.1 Of which collateral swapped meets operational requirements          
1940 2.4.3 Level 2A assets     0,1     
1950 2.4.3.1 Of which collateral swapped meets operational requirements          
1960 2.4.4 Level 2B: asset-backed securities (residential or automobile, CQS1)     0,0     
1970 2.4.4.1 Of which collateral swapped meets operational requirements          
1980 2.4.5 Level 2B: high quality covered bonds     0,05     
1990 2.4.5.1 Of which collateral swapped meets operational requirements          
2000 2.4.6 Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)     0,1     
2010 2.4.6.1 Of which collateral swapped meets operational requirements          
2020 2.4.7 Other Level 2B     0,25     
2030 2.4.7.1 Of which collateral swapped meets operational requirements          
2040 2.4.8 Non-liquid assets     0,75     
2050 2.4.8.1 Of which collateral swapped meets operational requirements          
2060 2.5 Totals for transactions in which Level 2B: high quality covered bonds are lent and the following collateral is borrowed:          
2070 2.5.1 Level 1 assets (excl. EHQ covered bonds)     0,3     
2080 2.5.1.1 Of which collateral swapped meets operational requirements          
2090 2.5.2 Level 1: extremely high quality covered bonds     0,23     
2100 2.5.2.1 Of which collateral swapped meets operational requirements          
2110 2.5.3 Level 2A assets     0,15     
2120 2.5.3.1 Of which collateral swapped meets operational requirements          
2130 2.5.4 Level 2B: asset-backed securities (residential or automobile, CQS1)     0,05     
2140 2.5.4.1 Of which collateral swapped meets operational requirements          
2150 2.5.5 Level 2B: high quality covered bonds     0,0     
2160 2.5.5.1 Of which collateral swapped meets operational requirements          
2170 2.5.6 Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)     0,05     
2180 2.5.6.1 Of which collateral swapped meets operational requirements          
2190 2.5.7 Other Level 2B     0,2     
2200 2.5.7.1 Of which collateral swapped meets operational requirements          
2210 2.5.8 Non-liquid assets     0,7     
2220 2.5.8.1 Of which collateral swapped meets operational requirements          
2230 2.6 Totals for transactions in which Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) are lent and the following collateral is borrowed:          
2240 2.6.1 Level 1 assets (excl. EHQ covered bonds)     0,35     
2250 2.6.1.1 Of which collateral swapped meets operational requirements          
2260 2.6.2 Level 1: extremely high quality covered bonds     0,28     
2270 2.6.2.1 Of which collateral swapped meets operational requirements          
2280 2.6.3 Level 2A assets     0,2     
2290 2.6.3.1 Of which collateral swapped meets operational requirements          
2300 2.6.4 Level 2B: asset-backed securities (residential or automobile, CQS1)     0,1     
2310 2.6.4.1 Of which collateral swapped meets operational requirements          
2320 2.6.5 Level 2B: high quality covered bonds     0,05     
2330 2.6.5.1 Of which collateral swapped meets operational requirements          
2340 2.6.6 Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)     0,0     
2350 2.6.6.1 Of which collateral swapped meets operational requirements          
2360 2.6.7 Other Level 2B     0,15     
2370 2.6.7.1 Of which collateral swapped meets operational requirements          
2380 2.6.8 Non-liquid assets     0,65     
2390 2.6.8.1 Of which collateral swapped meets operational requirements          
2400 2.7 Totals for transactions in which Other Level 2B assets are lent and the following collateral is borrowed:          
2410 2.7.1 Level 1 assets (excl. EHQ covered bonds)     0,5     
2420 2.7.1.1 Of which collateral swapped meets operational requirements          
2430 2.7.2 Level 1: extremely high quality covered bonds     0,43     
2440 2.7.2.1 Of which collateral swapped meets operational requirements          
2450 2.7.3 Level 2A assets     0,35     
2460 2.7.3.1 Of which collateral swapped meets operational requirements          
2470 2.7.4 Level 2B: asset-backed securities (residential or automobile, CQS1)     0,25     
2480 2.7.4.1 Of which collateral swapped meets operational requirements          
2490 2.7.5 Level 2B: high quality covered bonds     0,2     
2500 2.7.5.1 Of which collateral swapped meets operational requirements          
2510 2.7.6 Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)     0,15     
2520 2.7.6.1 Of which collateral swapped meets operational requirements          
2530 2.7.7 Other Level 2B     0,0     
2540 2.7.7.1 Of which collateral swapped meets operational requirements          
2550 2.7.8 Non-liquid assets     0,5     
2560 2.7.8.1 Of which collateral swapped meets operational requirements          
2570 2.8 Totals for transactions in which Non-liquid assets are lent and the following collateral is borrowed:          
2580 2.8.1 Level 1 assets (excl. EHQ covered bonds)     1,0     
2590 2.8.1.1 Of which collateral swapped meets operational requirements          
2600 2.8.2 Level 1: extremely high quality covered bonds     0,93     
2610 2.8.2.1 Of which collateral swapped meets operational requirements          
2620 2.8.3 Level 2A assets     0,85     
2630 2.8.3.1 Of which collateral swapped meets operational requirements          
2640 2.8.4 Level 2B: asset-backed securities (residential or automobile, CQS1)     0,75     
2650 2.8.4.1 Of which collateral swapped meets operational requirements          
2660 2.8.5 Level 2B: high quality covered bonds     0,7     
2670 2.8.5.1 Of which collateral swapped meets operational requirements          
2680 2.8.6 Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)     0,65     
2690 2.8.6.1 Of which collateral swapped meets operational requirements          
2700 2.8.7 Other Level 2B     0,5     
2710 2.8.7.1 Of which collateral swapped meets operational requirements          
2720 2.8.8 Non-liquid assets          
MEMORANDUM ITEMS
2730 23 Total collateral swaps (all counterparties) where borrowed collateral has been used to cover short positions          
2740 34 Total collateral swaps with intragroup counterparties          
 5 Collateral swaps waived from Article 17 (2) and (3)          
2750 5.1 of which: collateral borrowed is L1 excl. EHQCB          
2760 5.2 of which: collateral borrowed is L1 EHQCB          
2770 5.3 of which: collateral borrowed is L2A          
2780 5.4 of which: collateral borrowed is L2B          
2790 5.5 of which: collateral lent is L1 excl. EHQCB          
2800 5.6 of which: collateral lent is L1 EHQCB          
2810 5.7 of which: collateral lent is L2A          
2820 5.8 of which: collateral lent is L2B          
 Value / Percentage
Row ID Item 010
CALCULATIONS
Numerator, denominator, ratio
010 1 Liquidity buffer 
020 2 Net liquidity outflow 
030 3 Liquidity coverage ratio (%) 
Numerator calculations
040 4 L1 excl. EHQCB liquidity buffer (value in accordance with Article 9): unadjusted 
050 5 L1 excl. EHQCB collateral 30 day outflows 
060 6 L1 excl. EHQCB collateral 30 day inflows 
070 7 Secured cash 30 day ouflows 
080 8 Secured cash 30 day inflows 
091 9 L1 excl. EHQCB “adjusted amount” 
100 10 L1 EHQCB value in accordance with Article 9: unadjusted 
110 11 L1 EHQCB collateral 30 day outflows 
120 12 L1 EHQCB collateral 30 day inflows 
131 13 L1 EHQCB “adjusted amount” 
160 14 L2A value in accordance with Article 9: unadjusted 
170 15 L2A collateral 30 day outflows 
180 16 L2A collateral 30 day inflows 
191 17 L2A “adjusted amount” 
220 18 L2B value in accordance with Article 9: unadjusted 
230 19 L2B collateral 30 day outflows 
240 20 L2B collateral 30 day inflows 
251 21 L2B “adjusted amount” 
280 22 Excess liquid asset amount 
290 23 Liquidity buffer 
Denominator calculations
300 24 Total Outflows 
310 25 Fully Exempt Inflows 
320 26 Inflows Subject to 90 % Cap 
330 27 Inflows Subject to 75 % Cap 
340 28 Reduction for Fully Exempt Inflows 
350 29 Reduction for Inflows Subject to 90 % Cap 
360 30 Reduction for Inflows Subject to 75 % Cap 
370 31 Net liquidity outflow 
Pillar 2
380 32 Pillar 2 requirement as set out in Article 105 CRD 
Parent or subsidiary Name Code LEI code Country code Type of entity
005 010 020 030 040 050
     

ANNEX IX


ANNEX XXV  1.  1.1.  1. This is a summary template which contains information about assets for the purpose of reporting the liquidity coverage requirement as specified in Commission Delegated Regulation (EU) 2015/61. Items which do not need to be completed by credit institutions are coloured grey.
 2. Assets reported shall comply with the requirements set out in Title II of Delegated Regulation (EU) 2015/61.
 3. By way of derogation from point 2, credit institutions shall not apply currency restrictions in accordance with Article 8(6), point (d) of Article 10(1) and point (c) of Article 12(1) of Delegated Regulation (EU) 2015/61 when completing the template in a separate currency in accordance with Article 415(2) of Regulation (EU) No 575/2013. Credit institutions shall still apply jurisdiction restrictions.
 4. Credit institutions shall report the template in the corresponding currencies in accordance with Article 415(2) of Regulation (EU) 575/2013.
 5. In accordance with Article 9 of Delegated Regulation (EU) 2015/61, credit institutions shall report, where relevant, the amount/market value of liquid assets by taking into account the net liquidity outflows and inflows resulting from an early close-out of hedges referred to in point (b) of Article 8(5) and in accordance with the appropriate haircuts specified in Chapter 2 of that Delegated Regulation.
 6. Delegated Regulation (EU) 2015/61 only refers to rates and haircuts. In these instructions the word “weighted” is used as general term for indicating the amount obtained after the application of the respective haircuts, rates and any other relevant additional instructions (in the case of e.g. secured lending and funding). The word “weight” in the context of these instructions refers to a number between 0 and 1, which multiplied by the amount yields the weighted amount or the value referred to in Article 9 of Delegated Regulation (EU) 2015/61, respectively.
 7. Credit institutions shall not double report items within and across sections 1.1.1., 1.1.2., 1.2.1., and 1.2.2 of the template.
 1.2.  1.2.1.  8. For items 1.1.1.10., 1.1.1.11., 1.2.1.6., 1.1.2.2., 1.2.2.10., 1.2.2.11., 1.2.2.12., 1.2.2.13. of the template, credit institutions shall report the appropriate proportion of the market value of the CIUs corresponding to the liquid assets underlying the undertaking, in accordance with Article 15(4) of Delegated Regulation (EU) 2015/61.
 1.2.2.  9. Credit institutions shall report items as referred to in Articles 35 to 37 of Delegated Regulation (EU) 2015/61 in the appropriate asset rows. A total of all asset amounts reported based on these Articles shall also be reported in the “Memorandum” section for reference.
 1.2.3.  10. Central institutions, when reporting liquid assets corresponding to deposits from credit institutions placed at the central institution that are considered as liquid assets for the depositing credit institution, shall ensure that the reported amount of these liquid assets after haircut does not exceed the outflow from the corresponding deposits in accordance with Article 27(3) of Delegated Regulation (EU) 2015/61.
 1.2.4.  11. All assets complying with Articles 7, 8 and 9 of Delegated Regulation (EU) 2015/61 and which are in the stock of the credit institution on the reference date, shall be reported in the relevant row in template C72, even if they are sold or used in secured forward transactions. Consistently, no liquid assets from forward starting transactions referring to contractually agreed but not yet settled purchases of liquid assets and forward purchases of liquid assets shall be reported in this template.
 1.2.5.  1.2.5.1. 

Column Legal references and instructions
010 
Credit institutions shall report in Column 010 the market value or the amount where applicable, of the liquid assets in accordance with Title II of Delegated Regulation (EU) 2015/61.

The amount/market value reported in Column 010:


— shall take into account net outflows and net inflows due to early close-out of hedges defined in Article 8(5) of the same Regulation;
— shall not take into account haircuts specified in Title II of the same Regulation;
— shall include the proportion of deposits referred to in point (a) of Article 16(1) of the same Regulation that are holding differing specific assets in the corresponding asset rows;
— shall be reduced, where applicable, by the amount of deposits defined in Article 16 placed at the central credit institution as referred to in Article 27(3) of the same Regulation.

When referring to Article 8(5) of Delegated Regulation (EU) 2015/61, credit institutions shall take into account the net cash flow, either outflow or inflow, that would arise if the hedge was to be closed out at the reporting reference date. Credit institutions shall not take into account potential future value changes in the asset.

020 
Column 020 contains weights reflecting the amount obtained after the application of the respective haircuts specified in Title II of Delegated Regulation (EU) 2015/61. Weights are intended to reflect the reduction in value of the liquid assets after applying the appropriate haircuts.

030 
Credit institutions shall report in Column 030 the applicable weight applied to liquid assets set out in Title II of Delegated Regulation (EU) 2015/61. Applicable weights may result in weighted average values and shall be reported in decimal terms (i.e. 1,0 for an applicable weight of 100 per cent, or 0,5 for an applicable weight of 50 per cent). Applicable weights may reflect, but are not limited to, firm-specific and national discretions. The figure reported in Column 030 shall not exceed the figure in Column 020.

040 
Credit institutions shall report in Column 040 the value of the liquid asset determined in accordance with Article 9 of Delegated Regulation (EU) 2015/61, which shall be the amount/market value, taking into account net liquidity outflows and inflows due to early close-out of hedges, multiplied by the applicable weight.

 1.2.5.2. 

Row Legal references and instructions
010  1. 
Title II of Delegated Regulation (EU) 2015/61

Credit Institutions shall report the total amount / market value of their Liquid assets in c010.

Credit Institutions shall report the total value calculated in accordance with Article 9 of their Liquid assets in c040.

020  1.1. 
Articles 10, 15, 16 and 19 of Delegated Regulation (EU) 2015/61

Assets reported in this section shall have been explicitly identified as or treated as Level 1 assets in accordance with Delegated Regulation (EU) 2015/61.

Credit Institutions shall report the total amount / market value of their Level 1 Liquid assets in c010.

Credit Institutions shall report the total value calculated in accordance with Article 9 of their Level 1 Liquid assets in c040.

030  1.1.1. 
Articles 10, 15, 16 and 19 of Delegated Regulation (EU) 2015/61

Assets reported in this subsection shall have been explicitly identified as or treated as Level 1 assets in accordance with Delegated Regulation (EU) 2015/61. Assets and underlying assets that qualify as extremely high quality covered bonds as referred to in point (f) of Article 10(1) of Delegated Regulation (EU) 2015/61 shall not be reported in this subsection.

Credit institutions shall report in Column 010 the sum of total market value / amount of Level 1 assets, excluding extremely high quality covered bonds, without taking into account the requirements of Article 17 of Delegated Regulation (EU) 2015/61.

Credit institutions shall report in Column 040 the sum of total weighted amount of Level 1 assets, excluding extremely high quality covered bonds, without taking into account the requirements of Article 17 of Delegated Regulation (EU) 2015/61.

040  1.1.1.1. 
Point (a) of Article 10(1) of Delegated Regulation (EU) 2015/61

Total amount of cash arising from coins and banknotes.

050  1.1.1.2. 
Point (iii) of point (b) of Articles 10(1) of Delegated Regulation (EU) 2015/61

Total amount of reserves, withdrawable at any time during periods of stress, held by the credit institution in the ECB, in a Member State’s central bank or in a third country’s central bank, provided that exposures to the third country’s central bank or its central government are assigned a credit assessment by a nominated ECAI (external credit assessment institution) which is at least credit quality step 1 in accordance with Article 114(2) of Regulation (EU) No 575/2013.

Eligible withdrawable amount shall be specified by an agreement between the competent authority of the credit institution and the central bank in which the reserves are held or in the applicable rules of the third country as referred to in point (iii) of point (b) of Article 10(1) of Delegated Regulation (EU) 2015/61.

060  1.1.1.3. 
Points (i) and (ii) of point (b) of Article 10(1) of Delegated Regulation (EU) 2015/61

Assets representing claims on or guaranteed by the ECB, a Member State’s central bank or a third country’s central bank, provided that exposures to the third country’s central bank or its central government are assigned a credit assessment by a nominated ECAI which is at least credit quality step 1 in accordance with Article 114(2) of Regulation (EU) No 575/2013.

070  1.1.1.4. 
Points (i) and (ii) of point (c) of Article 10(1) of Delegated Regulation (EU) 2015/61

Assets representing claims on or guaranteed by the central government of a Member State or the central government of a third country, provided that those assets are assigned a credit assessment by a nominated ECAI which is at least credit quality step 1 in accordance with Article 114(2) of Regulation (EU) No 575/2013.

Assets issued by credit institutions which benefit from a guarantee from the central government of a Member State in accordance with Article 35 of Delegated Regulation (EU) 2015/61 shall be reported in this row.

Assets issued by Member State-sponsored impaired assets management agencies as referred to in Article 36 of Delegated Regulation (EU) 2015/61 shall be reported in this row.

080  1.1.1.5. 
Points (iii) and (iv) of point (c) of Article 10(1) of Delegated Regulation (EU) 2015/61

Assets representing claims on or guaranteed by regional governments or local authorities in a Member State, provided that they are treated as exposures to the central government of the Member State in accordance with Article 115(2) of Regulation (EU) No 575/2013.

Assets representing claims on or guaranteed by regional governments or local authorities in a third country, being assigned a credit assessment by a nominated ECAI which is at least credit quality step 1 in accordance with Article 114(2) of Regulation (EU) No 575/2013 and provided they are treated as exposures to the central government of the third country in accordance with Article 115(4) of Regulation (EU) No 575/2013.

Assets issued by credit institutions which benefit from a guarantee from a regional government or a local authority in a Member State in accordance with Article 35 of Delegated Regulation (EU) 2015/61 shall be reported in this row.

090  1.1.1.6. 
Points (v) and (vi) of point (c) of Article 10(1) Delegated Regulation (EU) 2015/61

Assets representing claims on or guaranteed by public sector entities in a Member State or a third country, provided that those assets are treated as exposures to the central government, regional governments or local authorities of this Member State or third country in accordance with Article 116(4) of Regulation (EU) No 575/2013.

Any exposures to central government of a third country referred to in a preceding paragraph shall be assigned a credit assessment by a nominated ECAI which is at least credit quality step 1 in accordance with Article 114(2) of Regulation (EU) No 575/2013.

Any exposures to regional government or local authority of a third country referred to in this subsection shall be treated as exposures to the central government of the third country in accordance with Article 115(4) of Regulation (EU) No 575/2013.

100  1.1.1.7. 
Point (d) of Article 10(1) of Delegated Regulation (EU) 2015/61

Assets representing claims on or guaranteed by the central government, or the central bank and reserves held in a central bank under the conditions of point (ii) of point (d) of Article 10(1) of Delegated Regulation (EU) 2015/61, of a third country which is not assigned a credit assessment by a nominated ECAI of at least credit quality step 1, provided that the credit institution recognises such assets in aggregate as Level 1 up to the amount of its stressed net liquidity outflows incurred in the same currency.

Assets representing claims on or guaranteed by the central government, or the central bank and reserves held in a central bank under the conditions of point (ii) of point (d) of Article 10(1) of Delegated Regulation (EU) 2015/61, of a third country which is not assigned a credit assessment by a nominated ECAI of at least credit quality step 1, and those assets are not denominated in the domestic currency of that third country, provided that the credit institution recognises the assets as Level 1 up to the amount of its stressed net liquidity outflows in that foreign currency corresponding to its operations in the jurisdiction where the liquidity risk is being taken.

110  1.1.1.8. 
Points (i) and (ii) of point (e) of Article 10(1) of Delegated Regulation (EU) 2015/61

Assets issued by credit institutions incorporated or established by the central government, regional government or local authority of a Member State that is under the legal obligation to protect the economic basis of the credit institution and maintain its financial viability.

Assets issued by promotional lender in accordance with point (ii) of point (e) of Article 10(1) of Delegated Regulation (EU) 2015/61.

Any exposures to regional government or local authority mentioned above shall be treated as exposures to the central government of the Member State in accordance with Article 115(2) of Regulation (EU) No 575/2013.

120  1.1.1.9. 
Point (g) of Article 10(1) of Delegated Regulation (EU) 2015/61

Assets representing claims on or guaranteed by the multilateral development banks and the international organisations as referred to in Article 117(2) and Article 118 of Regulation (EU) No 575/2013.

130  1.1.1.10. 
Point (a) of Article 15(2) of Delegated Regulation (EU) 2015/61

Shares or units in CIUs whose underlying assets correspond to coins, banknotes, and exposures to the ECB, a Member State’s or a third country’s central bank, provided that exposures to the third country’s central bank or its central government are assigned a credit assessment by a nominated ECAI which is at least credit quality step 1 in accordance with Article 114(2) of Regulation (EU) No 575/2013.

140  1.1.1.11. 
Point (b) of Article 15(2) of Delegated Regulation (EU) 2015/61

Shares or units in CIUs whose underlying assets correspond to assets that do qualify as Level 1 assets, except coins, banknotes, exposures to the ECB, to a Member State’s or to a third country’s central bank, and extremely high quality covered bonds as specified in point (f) of Article 10(1) of Delegated Regulation (EU) 2015/61.

150  1.1.1.12. 
Point (b) of Article 19(1) of Delegated Regulation (EU) 2015/61

Undrawn amount of credit facilities from the ECB, the central bank of a Member State or third country provided that the facility complies with the requirements laid down in point (i) to (iii) of point (b) of Article 19(1) of Delegated Regulation (EU) 2015/61.

160  1.1.1.13. 
Article 27(3) of Delegated Regulation (EU) 2015/61

According to Article 27(3) of Delegated Regulation (EU) 2015/61, liquid assets are to be identified which correspond to deposits from credit institutions placed at the central institution that are considered as liquid assets for the depositing credit institution. Those liquid assets shall not be counted to cover outflows other than from the corresponding deposits and shall be disregarded for the purposes of the calculations of the composition of the remaining liquidity buffer under Article 17 for the central institution at individual level.

Central institutions, when reporting those assets, shall ensure that the reported amount of those liquid assets after haircut do not exceed the outflow from the corresponding deposits.

Assets referred to in this row shall be level 1 assets excluding extremely high quality covered bonds.

170  1.1.1.14. 
Point (c) of Article 19(1) of Delegated Regulation (EU) 2015/61

Where there is a deficit of level 1 assets, credit institutions shall report the amount of Level 2A assets they are recognising as Level 1 and not reporting as Level 2A in accordance with point (c) of Article 19(1) of Delegated Regulation (EU) 2015/61. Those assets shall not be reported in the Level 2A assets section.

180  1.1.2. 
Articles 10, 15 and 16 of Delegated Regulation (EU) 2015/61

Assets reported in this subsection have been explicitly identified as or treated as Level 1 assets in accordance with Delegated Regulation (EU) 2015/61 and are, or whose underlying assets do qualify as, extremely high quality covered bonds as referred to in point (f) of Article 10(1) of Delegated Regulation (EU) 2015/61.

Credit institutions shall report in column 010 the sum of total market value / amount of Level 1 extremely high quality covered bonds, without taking into account the requirements of Article 17 of Delegated Regulation (EU) 2015/61.

Credit institutions shall report in column 040 the sum of total weighted amount of Level 1 extremely high quality covered bonds, without taking into account the requirements of Article 17 of Delegated Regulation (EU) 2015/61.

190  1.1.2.1. 
Point (f) of Article 10(1) of Delegated Regulation (EU) 2015/61

Assets representing exposures in the form of extremely high quality covered bonds which comply with point (f) of Article 10(1) of Delegated Regulation (EU) 2015/61.

200  1.1.2.2. 
Point (c) of Article 15(2) of Delegated Regulation (EU) 2015/61

Shares or units in CIUs whose underlying assets correspond to assets that do qualify as extremely high quality covered bonds as specified in point (f) of Article 10(1) of Delegated Regulation (EU) 2015/61.

210  1.1.2.3. 
Article 27(3) of Delegated Regulation (EU) 2015/61

According to Article 27(3) of Delegated Regulation (EU) 2015/61, liquid assets are to be identified which correspond to deposits from credit institutions placed at the central institution that are considered as liquid assets for the depositing credit institution. Those liquid assets shall not be counted to cover outflows other than from the corresponding deposits and shall be disregarded for the calculations of the composition of the remaining liquidity buffer under Article 17 of Delegated Regulation (EU) 2015/61for the central institution at individual level.

Central institutions, when reporting those assets, shall ensure that the reported amount of those liquid assets after haircut does not exceed the outflow from the corresponding deposits.

Assets referred to in this row are level 1 extremely high quality covered bonds.

220  1.2. 
Articles 11 to 16 and Article 19 of Delegated Regulation (EU) 2015/61

Assets reported in this section have been explicitly identified as, or treated similarly to, either Level 2A or Level 2B assets in accordance with Delegated Regulation (EU) 2015/61.

Credit Institutions shall report the total amount / market value of their Level 2 Liquid assets in c010.

Credit Institutions shall report the total value calculated in accordance with according to Article 9 of their Level 2 Liquid assets in c040.

230  1.2.1. 
Articles 11, 15 and 19 of Delegated Regulation (EU) 2015/61

Assets reported in this sub-section have been explicitly identified as or treated as Level 2A assets in accordance with Delegated Regulation (EU) 2015/61.

Credit institutions shall report in Column 010 the sum of total market / value amount of Level 2A assets, without taking into account the requirements of Article 17 of Delegated Regulation (EU) 2015/61.

Credit institutions shall report in Column 040 the sum of total weighted amount of Level 2A assets, without taking into account the requirements of Article 17 of Delegated Regulation (EU) 2015/61.

240  1.2.1.1. 
Point (a) of Article 11(1) of Delegated Regulation (EU) 2015/61

Assets representing claims on or guaranteed by regional governments, local authorities or public sector entities in a Member State where exposures are assigned a risk weight of 20 %.

250  1.2.1.2. 
Point (b) of Article 11(1) of Delegated Regulation (EU) 2015/61

Assets representing claims on or guaranteed by the central government or the central bank of a third country or by a regional government, local authority or public sector entity in a third country, provided those assets are assigned a 20 % risk weight.

260  1.2.1.3. 
Point (c) of Article 11(1) of Delegated Regulation (EU) 2015/61

Assets representing exposures in the form of high quality covered bonds which comply with point (c) of Article 11(1) of Delegated Regulation (EU) 2015/61 provided that those assets are assigned a credit assessment by a nominated ECAI which is at least credit quality step 2 in accordance with Article 129(4) of Regulation (EU) No 575/2013.

270  1.2.1.4. 
Point (d) of Article 11(1) of Delegated Regulation (EU) 2015/61

Assets representing exposures in the form of covered bonds issued by credit institutions in third countries which comply with point (d) of Article 11(1) of Delegated Regulation (EU) 2015/61 provided that those assets are assigned a credit assessment by a nominated ECAI which is credit quality step 1 in accordance with Article 129(4) of Regulation (EU) No 575/2013.

280  1.2.1.5. 
Point (e) of Article 11(1) of Delegated Regulation (EU) 2015/61

Corporate debt securities which comply with point (e) of Article 11(1) of Delegated Regulation (EU) 2015/61.

290  1.2.1.6. 
Point (d) Article 15(2) of Delegated Regulation (EU) 2015/61

Shares or units in CIUs whose underlying assets correspond to assets that do qualify as level 2A assets as specified in Article 11 of Delegated Regulation (EU) 2015/61.

300  1.2.1.7. 
Article 27(3) of Delegated Regulation (EU) 2015/61

According to Article 27(3) of Delegated Regulation (EU) 2015/61, liquid assets are to be identified which correspond to deposits from credit institutions placed at the central institution that are considered as liquid assets for the depositing credit institution. Those liquid assets shall not be counted to cover outflows other than from the corresponding deposits and shall be disregarded for the purposes of the calculations of the composition of the remaining liquidity buffer under Article 17 of Delegated Regulation (EU) 2015/61 for the central institution at individual level.

Central institutions, when reporting those assets, shall ensure that the reported amount of those liquid assets after haircut does not exceed the outflow from the corresponding deposits.

Assets referred to in this row are level 2A assets.

310  1.2.2. 
Articles 12 to 16 and Article 19 of Delegated Regulation (EU) 2015/61

Assets reported in this subsection have been explicitly identified as Level 2B assets in accordance with Delegated Regulation (EU) 2015/61.

Credit institutions shall report in Column 010 the sum of total market value / amount of Level 2B assets, without taking into account the requirements of Article 17 of Delegated Regulation (EU) 2015/61.

Credit institutions shall report in Column 040 the sum of total weighted amount of Level 2B assets, without taking into account the requirements of Article 17 of Delegated Regulation (EU) 2015/61.

320  1.2.2.1. 
Point (a) of Article 12(1) and points (i) and (ii) of point (g) of Article 13(2) of Delegated Regulation (EU) 2015/61

Exposures in the form of asset-backed securities which comply with the requirements of Article 13 of Delegated Regulation (EU) 2015/61, provided that they are backed by residential loans secured by first ranking mortgage or fully guaranteed residential loans in accordance with points (i) and (ii) of point (g) of Article 13(2) of Delegated Regulation (EU) 2015/61.

Assets which are subject to the transitional provision specified in Article 37 of Delegated Regulation (EU) 2015/61 shall be reported in this row.

330  1.2.2.2. 
Point (a) of Article 12(1) and point (iv) of point (g) of Article 13(2) of Delegated Regulation (EU) 2015/61

Exposures in the form of asset-backed securities which comply with Article 13 of Delegated Regulation (EU) 2015/61, provided that they are backed by auto loans and leases in accordance with point (iv) of point (g) of Article 13(2) of Delegated Regulation (EU) 2015/61.

340  1.2.2.3. 
Point (e) of Article 12(1) of Delegated Regulation (EU) 2015/61

Assets representing exposures in the form of covered bonds issued by credit institutions which comply with point (e) of Article 12(1) of Delegated Regulation (EU) 2015/61, provided that the pool of underlying assets consist exclusively of exposures which qualify for a 35 % or lower risk weight under Article 125 of Regulation (EU) No 575/2013.

350  1.2.2.4. 
Point (a) of Article 12(1) and points (iii) and (v) of point (g) of Article 13(2) of Delegated Regulation (EU) 2015/61

Exposures in the form of asset-backed securities which comply with the requirements of Article 13 of Delegated Regulation (EU) 2015/61, provided that they are backed by assets as referred to in points (iii) and (v) of point (g) of Article 13(2) of Delegated Regulation (EU) 2015/61. Note that for the purpose of point(iii) of point (g) of Article 13(2), at least 80 % of the borrowers in the pool shall be SMEs at the time of issuance of the securitisation.

360  1.2.2.5. 
Point (b) of Article 12(1) of Delegated Regulation (EU) 2015/61

Corporate debt securities which comply with point (b) of Article 12(1) of Delegated Regulation (EU) 2015/61

370  1.2.2.6. 
Article 12(3) of Delegated Regulation (EU) 2015/61

A competent authority may allow credit institutions which, according to their statutes of incorporation, are unable to hold interest bearing assets for reasons of religious observance, to derogate from points (ii) and (iii) of point (b) of Article 12(1) of Delegated Regulation (EU) 2015/61, provided that there is evidence of insufficient availability of non-interest bearing assets meeting the requirements laid down in those points and that the non-interest bearing assets in question are adequately liquid in private markets.

Those credit institutions shall report corporate debt securities containing non-interest bearing assets as long as they meet the requirements of point (i) of point (b) of Article 12(1) of Delegated Regulation (EU) 2015/61 and have received proper derogation from their competent authority.

380  1.2.2.7. 
Point (c) of Article 12(1) of Delegated Regulation (EU) 2015/61

Shares, which comply with point (c) of Article 12(1) of Delegated Regulation (EU) 2015/61 and are denominated in the currency of the credit institution’s home Member State.

Credit institutions shall also report shares complying with point (c) of Article 12(1) and denominated in a different currency, provided that they are counted as level 2B assets only up to the amount to cover the liquidity outflows in that currency or in the jurisdiction where the liquidity risk is taken.

390  1.2.2.8. 
Point (f) of Article 12(1) of Delegated Regulation (EU) 2015/61

For credit institutions which, according to their statutes of incorporation, are unable to hold interest bearing assets for reasons of religious observance, non-interest bearing assets constituting a claim on or guaranteed by central banks or by the central government or the central bank of a third country or by a regional government, local authority or public sector entity in a third country, provided that those assets have a credit assessment by a nominated ECAI of at least credit quality step 5 in accordance with Article 114 of Regulation (EU) No 575/2013, or the equivalent credit-quality step in the event of a short-term credit assessment.

400  1.2.2.9. 
Point (d) of Article 12(1) and Article 14 of Delegated Regulation (EU) 2015/61

Undrawn amount of restricted-use committed liquidity facilities provided by central banks which comply with Article 14 of Delegated Regulation (EU) 2015/61.

410  1.2.2.10. 
Point (e) of Article 15(2) of Delegated Regulation (EU) 2015/61

Shares or units in CIUs whose underlying assets correspond to assets that do qualify as level 2B assets as specified in points (i), (ii) and (iv) of point (g) of Article 13(2) of Delegated Regulation (EC) No 2015/61.

420  1.2.2.11. 
Point (f) of Article 15(2) of Delegated Regulation (EU) 2015/61

Shares or units in CIUs whose underlying assets correspond to assets that do qualify as level 2B assets as specified in point (e) of Article 12(1) of Delegated Regulation (EU) 2015/61.

430  1.2.2.12. 
Point (g) of Article 15(2) of Delegated Regulation (EU) 2015/61

Shares or units in CIUs whose underlying assets correspond to assets that do qualify as level 2B assets as specified in points (iii) and (v) of point (g) of Article 13(2) of Delegated Regulation (EU) 2015/61. Note that for the purpose of points (iii) of point (g) Article 13(2), at least 80 % of the borrowers in the pool shall be SMEs at the time of issuance of the securitisation.

440  1.2.2.13. 
Point (h) of Article 15(2) of Delegated Regulation (EU) 2015/61

Shares or units in CIUs whose underlying assets correspond to corporate debt securities that comply with point (b) of Article 12(1) of Delegated Regulation (EU) 2015/61, shares that comply with point (c) of Article 12(1) of the same Regulation or non-interest bearing assets that comply with point (f) of Article 12(1) of the same Regulation.

450  1.2.2.14. 
Point (b) of Article 16(1) of Delegated Regulation (EU) 2015/61

Minimum deposit that the credit institution maintains with the central credit institution, provided that it is part of an institutional protection scheme referred to in Article 113(7) of Regulation (EU) No 575/2013, a network eligible for the waiver provided in Article 10 of the same Regulation or a cooperative network in a Member State governed by law or contract.

Credit institutions shall ensure that the central institution is under no legal or contractual obligation to hold or invest the deposits in liquid assets of specified level or category.

460  1.2.2.15. 
Article 16(2) of Delegated Regulation (EU) 2015/61

Undrawn amount of limited liquidity funding that complies with Article 16(2) of Delegated Regulation (EU) 2015/61.

470  1.2.2.16. 
Article 27(3) of Delegated Regulation (EU) 2015/61

In accordance with Article 27(3) of Delegated Regulation (EU) 2015/61, it is necessary to identify liquid assets which correspond to deposits from credit institutions placed at the central institution that are considered as liquid assets for the depositing credit institution. These liquid assets shall not be counted to cover outflows other than from the corresponding deposits and shall be disregarded for the purposes of the calculations of the composition of the remaining liquidity buffer under Article 17 for the central institution at individual level.

Central institutions, when reporting those assets, shall ensure that the reported amount of these liquid assets after haircut does not exceed the outflow from the corresponding deposits.

Assets referred to in this row are level 2B assets.

MEMORANDUM ITEMS
485  2. 
Point (a) of Article 16(1) of Delegated Regulation (EU) 2015/61.

Credit institutions shall report total amount of assets reported in the above sections as per the requirements in point (a) of Article 16(1) of Delegated Regulation (EU) 2015/61.

580  3. 
Articles 8(6), point (d) of Article 10(1) and point (c) of Article 12(1) of Delegated Regulation (EU) 2015/61

Institution shall report the portion of Level 1, Level 2A and Level 2B assets referred to in Articles 10 to 16 which are not recognisable by institution in accordance with Article 8(6), point (d) of Article 10(1) and point (c) of Article 12(1).

590  4. 
Article 8 of Delegated Regulation (EU) 2015/61

Credit institutions shall report assets in compliance with Article 7 of Delegated Regulation (EU) 2015/61 but that do not meet the requirements specified in Article 8 of Delegated Regulation (EU) 2015/61, provided that they have not been reported in row 580 for currency reasons.

 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 reporting the liquidity coverage requirement as specified in Delegated Regulation (EU) 2015/61. Items which do not need to be completed by credit institutions are coloured grey.
 2. Credit institutions shall report the template in the corresponding currencies in accordance with Article 415(2) of Regulation (EU) 575/2013.
 3. Some memorandum items are included in the associated template to these instructions. While not strictly necessary for the calculation of the ratio itself, they are required to be completed. Those items provide necessary information to allow the competent authorities complete an adequate assessment of credit institutions’ compliance with the liquidity requirements. In some cases, they represent a more granular breakdown of the items included in the main sections of the templates while in other cases they reflect additional liquidity resources credit institutions may have access to.
 4. In accordance with Article 22(1) of Delegated Regulation (EU) 2015/61, liquidity outflows shall:


i.. include the categories referred to in Article 22(2) of Delegated Regulation (EU) 2015/61
ii.. be calculated by multiplying the outstanding balances of various categories of liabilities and off-balance sheet commitments by the rates at which they are expected to run off or be drawn down as indicated in Delegated Regulation (EU) 2015/61.
 5. Delegated Regulation (EU) 2015/61 only refers to rates and haircuts, and the word “weight” just refers to these. In these instructions the word “weighted” is used as general term for indicating the amount obtained after the application of the respective haircuts, rates and any other relevant additional instructions (in the case of e.g. secured lending and funding).
 6. Outflows within a group or an institutional protection scheme (except for outflows from undrawn credit or liquidity facilities provided by members of a group or an institutional protection scheme where the competent authority has granted permission to apply a preferential outflow rate and outflows from operational deposits maintained in the context of an institutional Protection Scheme or a cooperative network) shall be reported in the relevant categories. Those outflows shall also be separately reported as memorandum items.
 7. The liquidity outflows shall be reported only once in the template unless additional outflows in accordance with Article 30 of Delegated Regulation (EU) 2015/61 are applicable or where the item is an “of which” item or a memorandum item.
 8. In the case of separate reporting as referred to in Article 415(2) of Regulation (EU) 575/2013, the following shall always apply:


— only items and flows denominated in that currency shall be reported;
— in case of currency mismatch between legs of a transaction, only the leg in that currency shall be reported;
— where Delegated Regulation (EU) 2015/61 allows netting, it may only be applied to flows in that currency;
— where a flow has multicurrency optionality, the credit institution shall make an assessment of the currency in which the flow is likely to occur and shall report the item only in that separate currency.
 9. The standard weights in column 040 of template C 73.00 of Annex XXIV are those specified in Delegated Regulation (EU) 2015/61 by default and are provided here for information.
 10. The template contains information about collateralised liquidity flows, referred to as “secured lending and capital-market driven transactions” in Delegated Regulation (EU) 2015/61, and for the purpose of calculating LCR as defined in that Regulation. Where those transactions are made against a collateral pool, the identification of the specific assets pledged for the purposes of reporting in this template will be made, according to the liquid assets categories specified in Title II, Chapter 2 of Delegated Regulation (EU) 2015/61, starting from the least liquid assets. Simultaneously, in case of transactions with different residual maturities made against a collateral pool, less liquid assets are assigned to the transactions with the longest residual maturities first.
 11. A separate template is provided for collateral swaps, C 75.01 of Annex XXIV. Collateral swaps, which are collateral-versus-collateral transactions shall not be reported on the outflow template C 73.00 of Annex XXIV, which only covers cash-versus-collateral transactions.
 1.2.  12. 
Forward repos, forward reverse repos and forward collateral swaps that start and mature within the LCR’s 30-day horizon do not have any impact on a bank’s LCR and can be ignored.
 13. 

# Item Decision Reporting
1 Forward starting transaction Yes # 2
No # 4
2 Forward transaction entered into subsequent to the reporting date; Yes Do not report
No # 3
3 Forward transaction that start within the 30 day time horizon and mature after the 30-day horizon where the initial leg produces a net outflow Yes ID 1.1.8.6.
No Do not report
4 An item requiring additional outflows in accordance with Article 30 of DA? Yes # 5 and subsequently # 51
No # 5
5 Retail deposit in accordance with Article 411 (2) of Regulation (EU) 575/2013? Yes # 6
No # 12
6 Cancelled deposit with a residual maturity of less than 30 calendar days and where pay-out has been agreed to another credit institution? Yes ID 1.1.1.2.
No # 7
7 Deposit in accordance with Article 25(4) of DA? Yes ID 1.1.1.1.
No # 8
8 Deposit in accordance with Article 25(5) of DA? Yes ID 1.1.1.6.
No # 9
9 Deposit in accordance with Article 25(2) of DA? Yes Allocate into one relevant item of ID 1.1.1.3.
No # 10
10 Deposit in accordance with Article 24(4) of DA? Yes ID 1.1.1.5.
No # 11
11 Deposit in accordance with Article 24(1) of DA? Yes ID 1.1.1.4.
No ID 1.1.1.7.
12 Liability that become due, can be called for pay- out by the issuer or by the provider of the funding or entail an expectation by the provider of the funding that the credit institution would repay the liability during the next 30 calendar days? Yes # 13
No # 30
13 Liability resulting from the institution’s own operating expenses? Yes ID 1.1.8.1.
No # 14
14 Liability in form of bond sold exclusively in the retail market and held in a retail account in accordance with Article 28(6) of DA? Yes Follow path for retail deposits (ie. answer yes for # 5 and treat accordingly)
No # 15
15 Liability in form of debt security? Yes ID 1.1.8.2.
No # 16
16 Deposit received as collateral? Yes Allocate across relevant items of ID 1.1.5.
No # 17
17 Deposit arising out of a corresponding banking or from the prime brokerage? Yes ID1.1.4.1.
No # 18
18 Operational deposit in accordance with Article 27 of DA? Yes # 19
No # 24
19 Maintained in the context of IPS or a cooperative network? Yes # 20
No # 22
20 Treated as liquid assets for the depositing credit institution? Yes ID 1.1.2.2.2.
No # 21
21 Maintained to obtain cash clearing and central credit institution services within a network? Yes ID 1.1.2.4.
No ID 1.1.2.2.1.
22 Maintained for clearing, custody, cash management or other comparable services in the context of an established operational relationship? Yes Allocate into one relevant item of ID 1.1.2.1.
No # 23
23 Maintained in the context of an established operational relationship (other) with non-financial customers? Yes ID 1.1.2.3.
No # 24
24 Excess operational deposits? Yes Allocate into one relevant item of ID 1.1.3.
No # 25
25 Other deposit? Yes # 26
No # 27
26 Deposits by financial customers? Yes ID 1.1.4.2.
No Allocate into one relevant item of ID 1.1.4.3.
27 Liability from secured lending and capital market driven transaction with the exception of derivatives and collateral swaps? Yes Allocate into one relevant item of ID 1.2.
No # 28
28 Liability from collateral swaps? Yes Allocate into one relevant item of C75.01 and ID 1.3. where applicable.
No # 29
29 Liability resulting in an outflow from derivatives in accordance with Article 30(4) of DA? Yes ID 1.1.5.5.
No # 30
30 Any other liability that becomes due in the next 30 days? Yes ID 1.1.8.3
No #31
31 Contractual commitments to extend funding to non-financial customers that is due in the next 30 days in excess of inflows from those customers? Yes One of the following IDs: 1.1.8.4.1 to 1.1.8.4.4
No #32
32 Other outflows that are due in the next 30 days not mentioned above? Yes ID 1.1.8.6
No #33
33 Undrawn amount that can be drawn from committed credit and liquidity facility in accordance with Article 31 of DA? Yes #34
No # 42
34 Committed credit facility? Yes # 35
No # 37
35 Within IPS or cooperative network treated as liquid asset by the depositing institution? Yes ID 1.1.6.1.6.
No # 36
36 Within a group or an IPS subject to preferential treatment? Yes ID 1.1.6.1.5.
No Allocate into one relevant remaining item of ID 1.1.6.1.
37 Committed liquidity facility? Yes #38
n/a n/a
38 Within IPS or cooperative network treated as liquid asset by the depositing institution? Yes ID 1.1.6.2.7.
No # 39
39 Within a group or an IPS subject to preferential treatment? Yes ID 1.1.6.2.6.
No # 40
40 To SSPEs? Yes Allocate into one relevant item of ID 1.1.6.2.4.
No #41
41 To personal investment companies? Yes ID 1.1.6.2.3.
No Allocate into one relevant remaining item of ID 1.1.6.2.
42 Other product or service in accordance with Article 23 of DA? Yes # 43
No Do not report
43 Trade finance off balance sheet related product? Yes ID1.1.7.8.
No # 44
44 Undrawn loans and advances to wholesale counterparties? Yes ID 1.1.7.2.
No # 45
45 Mortgages that have been agreed but not yet drawn down Yes ID 1.1.7.3.
No # 46
46 Planned outflow related to renewal or extension of new retail or wholesale loans? Yes ID 1.1.7.6.
No # 47
47 Credit cards? Yes ID 1.1.7.4.
No # 48
48 Overdrafts? Yes ID 1.1.7.5.
No # 49
49 Derivatives payable? Yes ID1.1.7.7.
No # 50
50 Other off balance sheet and contingent funding obligation? Yes ID1.1.7.1.
No ID 1.1.7.9.
51 Debt security already reported in item 1.1.8.2 of C 73.00? Yes Do not report
No # 52
52 Liquidity requirement for derivatives in accordance with Article 30.4 of DA already considered in question # 29? Yes Do not report
No Allocate across relevant items of ID 1.1.5.
 1.3. 

Column Legal references and instructions
010  1.1. 
Credit institutions shall report here the outstanding balance of various categories of liabilities and off-balance sheet commitments as specified in Articles 22 to 31 of Delegated Regulation (EU) 2015/61.

Subject to prior approval of the competent authority within each category of outflows, the amount of each item reported in Column 010 of template C 73.00 of Annex XXIV shall be netted by subtracting the relevant amount of interdependent inflow in accordance with Article 26.
 1.2. 
Credit institutions shall report here the outstanding balance of the liabilities which represent the cash leg of the secured transaction in accordance with Article 22(2) of Delegated Regulation (EU) 2015/61,.

020 
Secured lending and capital market-driven transactions specific instructions:

Credit institutions shall report here the market value of extended collateral which is calculated as the current market value gross of haircut and net of flows resulting from unwinding associated hedges in accordance with Article 8(5) of Delegated Regulation (EU) 2015/61) and subject to the following conditions:


— Where a credit institution may only recognise part of their foreign currency shares, or foreign currency central government or bank assets, or domestic currency central government or central bank assets within their HQLA, only the recognizable part shall be reported within the rows on Level 1, Level 2A and Level 2B asssets in accordance with point (ii) of point (c) of Article 12(1) and point (d) of Article 10(1) of Delegated Regulation (EU) 2015/61. Where the particular asset is used as collateral but in an amount which is surplus to the portion which can be recognised within liquid assets, the surplus amount shall be reported in the non-liquid section;
— Level 2A assets shall be reported in the corresponding L2A asset row, even if the Alternative Liquidity Approach is being followed (i.e. do not move L2A to L1 in the secured transaction reporting).

030 
Secured lending and capital market-driven transactions specific instructions:

Credit institutions shall report here the value of extended collateral in accordance with Article 9 of Delegated Regulation (EU) 2015/61. This is calculated by multiplying Column 020 of template C 73.00 of Annex XXIV by the applicable weight/haircut from template C 72.00 of Annex XXIV corresponding to asset type. Column 030 of template C 73.00 of Annex XXIV is used in the calculation of the adjusted amount of liquid assets in template C 76.00 of Annex XXIV.

040 
Articles 24 to 31a of Delegated Regulation (EU) 2015/61

The standard weights in Column 040 are those specified in Delegated Regulation (EU) 2015/61 by default and are provided for information only.

050 
Both unsecured and secured:

Credit institutions shall report here applicable weights. These weights are those specified in Articles 22 to 31a of Delegated Regulation (EU) 2015/61. Applicable weights may result in weighted average values and shall be reported in decimal terms (i.e. 1,0 for an applicable weight of 100 per cent, or 0,5 for an applicable weight of 50 per cent). Applicable weights may reflect, but are not limited to, firm-specific and national discretions.

060 
Both unsecured and secured:

Credit institutions shall report here the outflows. Those outflows are calculated by multiplying Column 010 C 73.00 of Annex XXIV by Column 050 C 73.00 of Annex XXIV.

 1.4. 

Row Legal references and instructions
010  1. 
Chapter 2 of Title III of Delegated Regulation (EU) 2015/61

Credit institutions shall report here on outflows in accordance with Chapter 2 of Title III of Delegated Regulation (EU) 2015/61.

020  1.1. 
Articles 20 to 31a of Delegated Regulation (EU) 2015/61

Credit institutions shall report here on outflows in accordance with Articles 21 to 31a of Delegated Regulation (EU) 2015/61, with the exception of outflows reported in accordance with Article 28(3) an (4) of that Delegated Regulation.

030  1.1.1. 
Articles 24 and 25 of Delegated Regulation (EU) 2015/61

Credit institutions shall report here on retail deposits as defined in Article 411 (2) of Regulation (EU) 575/2013.

Credit institutions shall also report within the appropriate retail deposit category the amount of the notes, bonds and other securities issued which are sold exclusively in the retail market and held in a retail account, as referred to in Article 28(6) of Delegated Regulation (EU) 2015/61. Credit institutions will consider for this category of liability the applicable outflow rates provided for by Delegated Regulation (EU) 2015/61 for the different categories of retail deposits. Accordingly, credit institutions shall report as applicable weigh the average of the relevant applicable weights for all these deposits.

035  1.1.1.1. 
Article 25(4) of Delegated Regulation (EU) 2015/61

Credit institutions shall report here those categories of retail deposits exempted from the calculation of outflows if the conditions of points (a) and (b) of Article 25(4) have been met.

040  1.1.1.2. 
Article 25(4) of Delegated Regulation (EU) 2015/61

Credit institutions shall report here deposits with a residual maturity of less than 30 days where pay-out has been agreed.

050  1.1.1.3. 
Articles 25(2) and (3) of Delegated Regulation (EU) 2015/61

Credit institutions shall report here the full balance of the deposits subject to higher outflow rates in accordance with Article 25(2) and (3) of Delegated Regulation (EU) 2015/61. Those retail deposits where the assessment under Article 25(2) of Delegated Regulation (EU) 2015/61 for their categorization has not been carried out or is not completed shall also be reported here.

060  1.1.1.3.1. 
Article 25(3) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the amount of the whole outstanding balance of every retail deposit which fulfils the criteria in point (a) or two of the criteria in points (b) to (e) of Article 25(2) of Delegated Regulation (EU) 2015/61, unless these deposits have been taken in third countries where a higher outflow is applied in accordance with Article 25(5) of Delegated Regulation (EU) 2015/61 in which case they shall be reported within this latter category.

Credit institutions shall report as applicable weight the average of the rates, either those standard rates envisaged by default in point (a) of Article 25(3) of Delegated Regulation (EU) 2015/61 or higher ones if applied by a competent authority, which have been effectively applied on the full amount of every deposit referred to in the preceding paragraph and weighted by the cited corresponding amounts.

070  1.1.1.3.2. 
Article 25(3) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the amount of the whole outstanding balance of every retail deposit which fulfils the criteria in point (a) of Article 25(2) of Delegated Regulation (EU) 2015/61 and at least another criterion referred to in Article 25(2) or three or more criteria of Article 25(2) unless these deposits have been taken in third countries where a higher outflow is applied in accordance with Article 25(5) of Delegated Regulation (EU) 2015/61, in which case they shall be reported within this latter category.

Those retail deposits where the assessment under Article 25(2) for their categorization has not been carried out or is not completed shall also be reported here.

Credit institutions shall report as applicable weight the average of the rates, either those standard rates envisaged by default in point (b) of Article 25(3) of Delegated Regulation (EU) 2015/61, or higher ones if applied by a competent authority, which have been applied on the full amount of every deposit referred to in the preceding paragraphs and weighted by the cited corresponding amounts.

080  1.1.1.4. 
Article 24 of Delegated Regulation (EU) 2015/61

Credit institutions shall report the part of the amounts of retail deposits covered by a Deposit Guarantee Scheme in accordance with Directive 94/19/EC or Directive 2014/49/EU or an equivalent deposit guarantee scheme in a third country and either is part of an established relationship making withdrawal highly unlikely or is held in a transactional account in accordance with Article 24(2) and (3) of Delegated Regulation (EU) 2015/61 respectively and where:


— Those deposits do not fulfil the criteria for a higher outflow rate laid down in Article 25(2), (3) and (5) of Delegated Regulation (EU) 2015/61, in which case they shall be reported as deposits subject to higher outflows; or
— Those deposits have not been taken in third countries where a higher outflow is applied in accordance with Article 25(5) of Delegated Regulation (EU) 2015/61, in which case they shall be reported within this category;
— The derogation specified in Article 24(4) of Delegated Regulation (EU) 2015/61 is not applicable.

090  1.1.1.5. 
Article 24(4) and (6) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the part of the amounts of retail deposits which is covered by a Deposit Guarantee Scheme in accordance with Directive 2014/49/EU up to a maximum level of EUR 100 000 and either is part of an established relationship making withdrawal highly unlikely or is held in a transactional account in accordance with Article 24(2) and (3) of Delegated Regulation (EU) 2015/61 respectively and where:

Those deposits do not fulfil the criteria for a higher outflow rate laid down in Article 25(2), (3) and (5) of Delegated Regulation (EU) 2015/61 in which case they shall be reported as deposits subject to higher outflows; or


— Those deposits have not been taken in third countries where a higher outflow is applied in accordance with Article 25(5) of Delegated Regulation (EU) 2015/61 in which case they shall be reported within this category;
— The derogation envisaged in Article 24(4) of Delegated Regulation (EU) 2015/61 is applicable.

100  1.1.1.6. 
Article 25(5) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the amount of retail deposits taken in a third country where a higher outflow is applied in accordance with the national law which sets out liquidity requirements in that third country.

110  1.1.1.7. 
Article 25(1) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the amount of other retail deposits than those captured in the preceding items.

120  1.1.2. 
Articles 27 of Delegated Regulation (EU) 2015/61

Credit institutions shall report here the part of the operational deposits determined in accordance with Article 27 of Delegated Regulation (EU) 2015/61, which are necessary for the provision of operational services. Deposits arising out of a correspondent banking relationship or from the provision of prime brokerage services shall be considered non-operational deposits as established in Article 27(5) of Delegated Regulation (EU) 2015/61.

The part of the operational deposits in excess of the amount necessary for the provision of operational services shall not be reported here but shall be reported under id 1.1.3.

130  1.1.2.1. 
Point (a) of Article 27(1), Article 27(2) and (4) of Delegated Regulation (EU) 2015/61

Credit institutions shall report on deposits maintained by the depositor in order to obtain clearing, custody, cash management or other comparable services in the context of an established relationship, as referred to in point (a) of Article 27(1) of Delegated Regulation (EU) 2015/61, which are critically important to the depositor as referred to in Article 27(4) of Delegated Regulation (EU) 2015/61; funds in excess of those required for the provision of operational services shall be treated as non-operational deposits as referred to in the last sentence of Article 27(4) of Delegated Regulation (EU) 2015/61.

Only deposits which have significant legal or operational limitations that make significant withdrawals within 30 calendar days unlikely, as referred in the second sentence of Article 27(4) of Delegated Regulation (EU) 2015/61 shall be reported.

Credit institutions shall report separately, , the amount of those deposits covered and not covered by a Deposit Guarantee Scheme or third country equivalent deposit guarantee scheme that are referred to in Article 27(2) of Delegated Regulation (EU) 2015/61, as specified in the following items of the instructions.

140  1.1.2.1.1. 
Point (a) of Article 27(1), Article 27(2) and (4) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the portion of the outstanding balance of operational deposits maintained in the context of an established operational relationship that fulfils the criteria set out in point (a) of Article 27(1) and Article 27(4) of Delegated Regulation (EU) 2015/61 and which is covered by a Deposit Guarantee Scheme in accordance with Directive 94/19/EC, or Directive 2014/49/EU or an equivalent deposit guarantee scheme in a third country.

150  1.1.2.1.2. 
Point (a) of Article 27(1), Article 27(2) and (4) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the portion of the outstanding balance of operational deposits in the context of an established operational relationship that fulfils the criteria set out in point (a) of Article 27(1) and Article 27(4) of Delegated Regulation (EU) 2015/61 and which is not covered by a Deposit Guarantee Scheme in accordance with Directive 94/19/EC, or Directive 2014/49/EU or an equivalent deposit guarantee scheme in a third country.

160  1.1.2.2. 
Point (b) of Article 27(1) and Article 27(3) of Delegated Regulation (EU) 2015/61

Credit institutions shall report here on deposits maintained in the context of a common task sharing within an institutional protection scheme meeting the requirements of Article 113(7) of Regulation (EU) No 575/2013 or within a group of cooperative credit institutions permanently affiliated to a central body meeting the requirements of Article 113(6) of the same Regulation, or as a legal or contractually established minimum deposit by another credit institution that is a Member of the same institutional protection scheme or cooperative network, as set out in point (b) of Article 27(1) of Delegated Regulation (EU) 2015/61.

Credit institutions shall report those deposits into different rows depending on whether they are treated as liquid assets by the depositing credit institution or not, in accordance with Article 27(3) of Delegated Regulation (EU) 2015/61.

170  1.1.2.2.1. 
Point (b) of Article 27(1) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the amount of the outstanding balance of deposits maintained in the context of a cooperative network or an institutional protection scheme in accordance with the criteria set out in point (b) Article 27(1) of Delegated Regulation (EU) 2015/61, provided those deposits are not recognised as liquid assets for the depositing credit institution.

180  1.1.2.2.2. 
Point (b) Article 27(1) and Article 27(3) of Delegated Regulation (EU) 2015/61

Credit institutions shall report deposits from credit institutions placed at the central credit institution that are considered as liquid assets for the depositing credit institution in accordance with Article 16 of Delegated Regulation (EU) 2015/61.

Credit institutions shall report the amount of these deposits up to the amount of the correspondent liquid assets after haircut, as set out in Article 27(3) of Delegated Regulation (EU) 2015/61.

190  1.1.2.3. 
Point (c) of Article 27(1), Article 27(4) and (6) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the amount of the outstanding balance of deposits maintained by a non-financial customer in the context of an established operational relationship other than that mentioned in point (a) of Article 27(1) of Delegated Regulation (EU) 2015/61 and subject to the requirements set out in Article 27(6) of Delegated Regulation (EU) 2015/61.

Only those deposits which have significant legal or operational limitations that make significant withdrawals within 30 calendar days unlikely, as referred to in Article 27(4) of Delegated Regulation (EU) 2015/61, shall be reported.

200  1.1.2.4. 
Point (d) Article 27(1) and Article 27(4) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the amount of the outstanding balance of deposits maintained by the depositor to obtain cash clearing and central institution services and where the credit institution belongs to one of a network or schemes referred to in Article 16 of Delegated Regulation (EU) 2015/61, as set out in point (d) of Article 27(1) of Delegated Regulation (EU) 2015/61. Those cash clearing and central credit institution services only cover such services to the extent that they are rendered in the context of an established relationship which is critically important to the depositor as referred to in the first sentence of Article 27(4) of Delegated Regulation (EU) 2015/61; funds in excess of those required for the provision of operational services shall be treated as non-operational deposits as referred to in the last sentence of Article 27(4) of Delegated Regulation (EU) 2015/61).

Only those deposits which have significant legal or operational limitations that make significant withdrawals within 30 calendar days unlikely, as referred to in Article 27(4) of Delegated Regulation (EU) 2015/61, shall be reported.

203  1.1.3. 
Article 27(4) of Delegated Regulation (EU) 2015/61.

Credit institutions shall report here the part of the operational deposits in excess of those required for the provision of operational services.

204  1.1.3.1. 
Article 27(4) and 31a(1) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the part of the operational deposits from financial customers in excess of those required for the provision of the operational services in accordance with Article 27(4) of Delegated Regulation (EU) 2015/61.

205  1.1.3.2. 
Article 27(4) and 28(1) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the part of the operational deposits from customers other than financial customers, and excluding retail deposits, in excess of those required for the provision of the operational services as referred to in the last sentence of Article 27(4) of Delegated Regulation (EU) 2015/61.

These excess operational deposits shall be reported in two different rows depending on whether or not the entire amount of the excess operational deposit is covered (by a Deposit Guarantee Scheme or third country equivalent Deposit Guarantee Scheme).

206  1.1.3.2.1. 
Articles 27(4) and 28(1) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the entire amount of the outstanding balance of these excess operational deposits maintained by other customers if that entire amount is covered by a Deposit Guarantee Scheme in accordance with Directive 94/19/EC or Directive 2014/48/EC or an equivalent Deposit Guarantee Scheme in a third country as referred to in Article 28(1) of Delegated Regulation (EU) 2015/61.

207  1.1.3.2.2. 
Article 27(4) and 28(1) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the entire amount of the outstanding balance of these excess operational deposits maintained by other customers if that entire amount is not covered by a Deposit Guarantee Scheme in accordance with Directive 94/19/EC or Directive 2014/48/EC or an equivalent Deposit Guarantee Scheme in a third country, as referred to in Article 28(1) of Delegated Regulation (EU) 2015/61.

210  1.1.4. 
Articles 27(5), 28(1) and 31(9) of Delegated Regulation (EU) 2015/61

Credit institutions shall report here on unsecured deposits referred to in Article 28(1) of Delegated Regulation (EU) 2015/61 and those arising out of a correspondent banking or from the provision of prime brokerage services, as referred to in Article 27(5) of Delegated Regulation (EU) 2015/61.

Credit institutions shall report separately, with the exception of the liabilities arising out of correspondent banking relationship or from the provision of prime brokerage services, as referred to in Article 27(5) of Delegated Regulation (EU) 2015/61, the non-operational deposits covered and not covered by a Deposit Guarantee Scheme or third country equivalent deposit guarantee scheme, as specified in the following items of the instructions.

The part of operational deposits in excess of those required for the provision of operational services shall not be reported here but shall be reported under id 1.1.3.

220  1.1.4.1. 
Article 27(5) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the amount of the outstanding balance of deposits arising out of correspondent banking relationship or from the provision of prime brokerage, as referred to in Article 27(5) of Delegated Regulation (EU) 2015/61.

230  1.1.4.2. 
Article 31a(1) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the amount of the outstanding balance of deposits maintained by financial customers to the extent they are not considered as operational deposits in accordance with Article 27 of Delegated Regulation (EU) 2015/61.

240  1.1.4.3. 
Article 28(1) of Delegated Regulation (EU) 2015/61

Credit institutions shall report on deposits maintained by other customers (other than financial customers and customers considered for the retail deposits) as referred to in Article 28(1) of Delegated Regulation (EU) 2015/61, to the extent those deposits are not considered operational deposits in accordance with Article 27 of Delegated Regulation (EU) 2015/61.

Those deposits shall be reported in two different rows depending on whether or not the entire amount of the deposit is covered (by a Deposit Guarantee Scheme or third country equivalent Deposit Guarantee Scheme).

250  1.1.4.3.1. 
Article 28(1) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the entire amount of the outstanding balance of those deposits maintained by other customers if that entire amount is covered by a Deposit Guarantee Scheme in accordance with Directive 94/19/EC or Directive 2014/48/EC or an equivalent Deposit Guarantee Scheme in a third country, as referred to in Article 28(1) of Delegated Regulation (EU) 2015/61.

260  1.1.4.3.2. 
Article 28(1) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the entire amount of the outstanding balance of these deposits maintained by other customers if that entire amount is not covered by a Deposit Guarantee Scheme in accordance with Directive 94/19/EC or Directive 2014/48/EC or an equivalent Deposit Guarantee Scheme in a third country, as referred to in Article 28(1) of Delegated Regulation (EU) 2015/61.

270  1.1.5. 
Article 30 of Delegated Regulation (EU) 2015/61

Credit institutions shall report here additional outflows as referred to in Article 30 of Delegated Regulation (EU) 2015/61.

Deposits received as collateral, as referred in Article 30(7) of Delegated Regulation (EU) 2015/61, shall not be considered liabilities for the purposes of Article 24, 25, 27 or 31a of Delegated Regulation (EU) 2015/61, but shall be subject to Article 30(1) to (6) of Delegated Regulation (EU) 2015/61, where applicable.

280  1.1.5.1. 
Article 30(1) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the market value of collateral other than Level 1 collateral which is posted for contracts listed in Annex II of Regulation (EU) No 575/2013 and credit derivatives.

290  1.1.5.2. 
Article 30(1) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the market value of level 1 EHQ Covered Bonds collateral which is posted for contracts listed in Annex II of Regulation (EU) No 575/2013 and credit derivatives.

300  1.1.5.3. 
Article 30(2) of Delegated Regulation (EU) 2015/61

Credit institutions shall report total amount of additional outflows they have calculated and notified to the competent authorities in accordance with Article 30(2) of Delegated Regulation (EU) 2015/61.

If an amount subject to outflow due to deterioration of own credit quality has been reported elsewhere in a row with less than 100 % weight, then an amount shall also be reported in Row 300 such that the sum of the outflows is 100 % outflow in total for the transaction.

310  1.1.5.4. 
Article 30(3) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the amount of outflows calculated in accordance with Commission Delegated Regulation (EU) 2017/208.

340  1.1.5.5. 
Article 30(4) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the amount of outflows expected over 30 calendar days from contracts listed in Annex II of Regulation (EU) No 575/2013 and from credit derivatives calculated in accordance with Article 21 of Delegated Regulation (EU) 2015/61.

For the cases of reporting in a separate currency, in accordance with Article 415(2) of Regulation (EU) No 575/2013, only, credit institutions shall report outflows which occur only in the respective significant currency. Netting by counterparty may only be applied to flows in that currency, for instance Counterparty A: EUR+10 and Counterparty A: EUR-20 shall be reported as EUR10 outflow. No netting shall be made across counterparties, for instance Counterparty A: EUR- 10, Counterparty B: EUR+40 shall be reported as EUR10 outflow on C73.00 (and EUR40 inflow on C74.00).

350  1.1.5.6. 
Article 30(5) of Delegated Regulation (EU) 2015/61

If the credit institution has a short position that is covered by an unsecured security borrowing, the credit institution shall add an additional outflow corresponding to 100% of the market value of the securities or other assets sold short unless the terms upon which the credit institution has borrowed them require their return only after 30 calendar days. If the short position is covered by a collateralised securities financing transaction, the credit institution shall assume the short positon will be maintained throughout the 30 calendar day period and received a 0% outflow.

360  1.1.5.6.1. 
Article 30(5) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the market value of securities or other assets sold short that are covered by collateralised securities financing transactions and to be delivered within 30 calendar days unless the credit institution has borrowed them at terms requiring their return only after the 30 calendar day period.

370  1.1.5.6.2. 
Article 30(5) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the market value of securities or other assets sold short other than those covered by collateralised securities financing transactions and to be delivered within 30 calendar days unless the credit institution has borrowed them at terms requiring their return only after the 30 calendar day period.

380  1.1.5.7. 
Point (a) of Article 30(6) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the market value of excess collateral that the institution holds and that can be contractually called at any times by the counterparty.

390  1.1.5.8. 
Point (b) of Article 30(6) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the market value of collateral that is due to be posted to counterparty within the 30 calendar day period.

400  1.1.5.9. 
Point (c) of Article 30(6) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the market value of collateral that qualifies as liquid assets for the purpose of Title II that can be substituted for assets corresponding to assets that would not qualify as liquid assets for the purpose of Title II without the consent of the institution.

410  1.1.5.10. 
Article 30(8) to 30(10) of Delegated Regulation (EU) 2015/61

Credit institutions shall assume 100 % outflow for loss of funding on asset backed securities, covered bonds and other structured financing instruments maturing within the 30 calendar day period issued by the credit institution or by sponsored conduits or SPVs.

Credit institutions that are providers of liquidity facilities associated with financing programs reported here do not need to double count the maturing financing instrument and the liquidity facility for consolidated programs.

420  1.1.5.10.1. 
Article 30(8) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the current outstanding amount of own liabilities or liabilities of sponsored conduits or SPVs from asset backed securities, covered bonds and other structured financing instruments maturing within the 30 calendar day period.

430  1.1.5.10.2. 
Article 30(9) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the maturing amount of liabilities from asset- backed commercial papers, conduits, securities investment vehicles and other such financing facilities, in so far they do not enter into the scope of definition of the instruments defined in item 1.1.5.10.1., or the amount of assets that could potentially be returned or the liquidity required in the scope of those instruments.

All funding on asset-backed commercial paper, conduits, securities investment vehicles and other such financing facilities maturing or returnable within 30 days. Credit institutions having structured financing facilities that include the issuance of short-term debt instruments, such as asset backed commercial paper, shall report the potential liquidity outflows from these structures. These include, but are not limited to, (i) the inability to refinance maturing debt, and (ii) the existence of derivatives or derivative-like components contractually written into the documentation associated with the structure that would allow the “return” of assets in a financing arrangement, or that require the original asset transferor to provide liquidity, effectively ending the financing arrangement (“liquidity puts”) within the 30-day period. Where the structured financing activities are conducted through a special purpose entity (such as a special purpose vehicle, conduit or SIV), the credit institution shall, in determining the HQLA requirements, look through to the maturity of the debt instruments issued by the entity and any embedded options in financing arrangements that may potentially trigger the “return” of assets or the need for liquidity, irrespective of whether or not the SPV is consolidated.

450  1.1.5.11. 
Article 30(12) of Delegated Regulation (EU) 2015/61

Credit institutions shall report here the market value of the non-liquid assets of a client that, in relation to prime brokerage services, the credit institution has used to cover short sales of another client by internally matching them..

460  1.1.6. 
Article 31 of Delegated Regulation (EU) 2015/61

Credit institutions shall report here on outflows as defined in Article 31 of Delegated Regulation (EU) 2015/61.

Credit institutions shall also report here on committed facilities in accordance with Article 29 of Delegated Regulation (EU) 2015/61.

Maximum amount that could be drawn shall be assessed in accordance with Article 31(2) of Delegated Regulation (EU) 2015/61.

470  1.1.6.1. 
Credit institutions shall report here on committed credit facilities as defined in Article 31(1) of Delegated Regulation (EU) 2015/61.

480  1.1.6.1.1. 
Article 31(3) of Delegated Regulation (EU) 2015/61.

Credit institutions shall report the maximum amount that could be drawn from undrawn committed credit facilities to retail customers as defined in Article 411 (2) of Regulation (EU) 575/2013.

490  1.1.6.1.2. 
Article 31(4) of Delegated Regulation (EU) 2015/61.

Credit institutions shall report the maximum amount that could be drawn from undrawn committed credit facilities to customers that are neither financial customers in accordance with Article 411 (1) of Regulation (EU) 575/2013 nor retail customers in accordance with Article 411 (2) of Regulation (EU) 575/2013 and which have not been provided for the purpose of replacing funding of the client in situations where the client is unable to obtain funding requirements in the financial markets.

500  1.1.6.1.3. 
Credit institutions shall report here on committed credit facilities provided to credit institutions.

510  1.1.6.1.3.1. 
Article 31(9) of Delegated Regulation (EU) 2015/61.

Credit institutions shall report the maximum amount that could be drawn from undrawn committed credit facilities provided to credit institutions for the sole purpose of directly or indirectly funding promotional loans qualifying as exposures to customers in accordance with Article 411 (2) of Regulation (EU) 575/2013.

Only credit institutions which have been set up and are sponsored by central or regional government of at least one Member State may report this item.

520  1.1.6.1.3.2. 
Article 31(9) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the maximum amount that could be drawn from undrawn committed credit facilities provided to credit institutions for the sole purpose of directly or indirectly funding promotional loans qualifying as exposures to customers who are neither financial customers in accordance with Article 411 (1) of Regulation (EU) 575/2013 nor retail customers in accordance with Article 411 (2) of Regulation (EU) 575/2013.

Only credit institutions which have been set up and are sponsored by central or regional government of at least one Member State may report this item.

530  1.1.6.1.3.3. 
Point (a) of Article 31(8) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the maximum amount that could be drawn from undrawn committed credit facilities provided to credit institutions other than those reported above.

540  1.1.6.1.4. 
Point (a) of Article 31(8) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the maximum amount that could be drawn from undrawn committed credit facilities provided to regulated financial institutions other than credit institutions.

550  1.1.6.1.5. 
Article 29 of Delegated Regulation (EU) 2015/61

Credit institutions shall report the maximum amount that could be drawn from undrawn committed credit facilities for which they have received permission to apply a lower outflow rate in accordance with Article 29 of Delegated Regulation (EU) 2015/61.

560  1.1.6.1.6. 
Article 31(7) of Delegated Regulation (EU) 2015/61

Central institutions of a scheme or network referred to in Article 16 shall report the maximum amount that could be drawn from undrawn committed credit facilities to member credit institution where such member credit institution treat the facility as a liquid asset in accordance with Article 16(2).

570  1.1.6.1.7. 
Point (c) of Article 31(8) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the maximum amount that could be drawn from undrawn committed credit facilities other than those reported above to other financial customers.

580  1.1.6.2. 
Article 31(1) of Delegated Regulation (EU) 2015/61

Credit institutions shall report here on committed liquidity facilities as defined in Article 31(1) of Delegated Regulation (EU) 2015/61.

590  1.1.6.2.1. 
Article 31(3) of Delegated Regulation (EU) 2015/61.

Credit institutions shall report the maximum amount that could be drawn from undrawn committed liquidity facilities to retail customers as defined in Article 411 (2) of Regulation (EU) 575/2013.

600  1.1.6.2.2. 
Article 31(5) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the maximum amount that could be drawn from undrawn committed liquidity facilities to customers that are neither financial customers in accordance with Article 411 (1) of Regulation (EU) 575/2013 nor retail customers in accordance with Article 411 (2) of Regulation (EU) 575/2013.

610  1.1.6.2.3. 
Article 31(5) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the maximum amounts that could be drawn from undrawn committed liquidity facilities provided to private investment companies.

620  1.1.6.2.4. 
Credit institutions shall report here on committed liquidity facilities provided to SSPEs.

630  1.1.6.2.4.1. 
Article 31(6) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the maximum amount of undrawn committed liquidity facilities provided to an SSPE for the purpose of enabling such SSPE to purchase assets, other than securities from clients that are not financial customers, to the extent that it exceeds the amount of as sets currently purchased from clients and where the maximum amount that can be drawn is contractually limited to the amount of assets currently purchased.

640  1.1.6.2.4.2. 
Point (b) of Article 31(8) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the maximum amount that could be drawn from undrawn committed liquidity facilities provided to SSPEs for other than above mentioned reasons. This includes arrangements under which the institution is required to buy or swap assets from an SSPE.

650  1.1.6.2.5. 
Credit institutions shall report here on committed liquidity facilities provided to credit institutions.

660  1.1.5.2.5.1. 
Article 31(9) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the maximum amount that could be drawn from undrawn committed liquidity facilities provided to credit institutions for the sole purpose of directly or indirectly funding promotional loans qualifying as exposures to customers in accordance with Article 411 (2) of Regulation (EU) 575/2013.

Only credit institutions which have been set up and are sponsored by central or regional government of at least one Member State may report this item.

670  1.1.6.2.5.2. 
Article 31(9) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the maximum amount that could be drawn from undrawn committed liquidity facilities provided to credit institutions for the sole purpose of directly or indirectly funding promotional loans qualifying as exposures to customers who are neither financial customers in accordance with Article 411 (1) of Regulation (EU) 575/2013 nor retail customers in accordance with Article 411 (2) of Regulation (EU) 575/2013.

Only credit institutions which have been set up and are sponsored by central or regional government of at least one Member State may report this item.

680  1.1.6.2.5.3. 
Point (a) of Article 31(8) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the maximum amount that could be drawn of undrawn committed liquidity facilities provided to credit institutions not mentioned above.

690  1.1.6.2.6. 
Article 29 of Delegated Regulation (EU) 2015/61

Credit institutions shall report the maximum amount that could be drawn from undrawn committed liquidity facilities for which they have received permission to apply a lower outflow rate in accordance with Article 29 of Delegated Regulation (EU) 2015/61.

700  1.1.6.2.7. 
Article 31(7) of Delegated Regulation (EU) 2015/61

Central institutions of a scheme or network referred to in Article 16 shall report the maximum amount that could be drawn from undrawn committed liquidity facilities to member credit institution where such member credit institution treat the facility as a liquid asset in accordance with Article 16(2).

710  1.1.6.2.8. 
Point (c) of Article 31(8) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the maximum amount that could be drawn from undrawn committed liquidity facilities other than those reported above to other financial customers.

720  1.1.7. 
Article 23(2) of Delegated Regulation (EU) 2015/61

Credit institutions shall report here on those products or services referred to in Article 23(1) of Delegated Regulation (EU) 2015/61.

The amount to be reported shall be the maximum amount that could be drawn from the products or services referred to in Article 23(1) of Delegated Regulation (EU) 2015/61.

The applicable weight to be reported shall be the weight as determined by the competent authorities in accordance with the procedure set out in Article 23(2) of Delegated Regulation (EU) 2015/61.

731  1.1.7.1. 
Article 23(2) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the amount of uncommitted funding facilities referred to in Article 23(1) of Delegated Regulation (EU) 2015/61.

Guarantees shall not be reported in this row

740  1.1.7.2. 
Article 23(2) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the amount of undrawn loans and advances to wholesale counterparties referred to in Article 23(1) of Delegated Regulation (EU) 2015/61.

750  1.1.7.3. 
Article 23(2) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the amount of mortgages that have been agreed but not yet drawn down referred to in Article 23(1) of Delegated Regulation (EU) 2015/61.

760  1.1.7.4. 
Article 23(2) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the amount of credit cards referred to in Article 23(1) of Delegated Regulation (EU) 2015/61.

770  1.1.7.5. 
Article 23(2) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the amount of overdrafts referred to in Article 23(1) of Delegated Regulation (EU) 2015/61.

780  1.1.7.6. 
Article 23(2) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the amount of planned outflows related to renewal or extension of new retail or wholesale loans referred to in Article 23(1) of Delegated Regulation (EU) 2015/61.

850  1.1.7.7. 
Article 23 of Delegated Regulation (EU) 2015/61

Credit institutions shall report the amount of derivatives payables, other than the contracts listed in Annex II of Regulation (EU) No 575/2013 and credit derivatives, referred to in Article 23(1) of Delegated Regulation (EU) 2015/61.

860  1.1.7.8. 
Credit institutions shall report the amount of the products or services related to trade finance off-balance sheet related products referred to in Article 23(1) of Delegated Regulation (EU) 2015/61.

870  1.1.7.9. 
Article 23(2) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the amount of other products or services than those cited above referred to in Article 23(1) of Delegated Regulation (EU) 2015/61.

Guarantees, among other items, shall be reported in this row.

Contingent outflows due to triggers other than downgrade triggers referred to in Article 30(2) of Delegated Regulation (EU) 2015/61 shall be reported in this row.

885  1.1.8. 
Article 28(2) and (6) and Article 31a of Delegated Regulation (EU) 2015/61

Credit institutions shall report outflows from other liabilities and due commitments as provided in Article 28(2) and (6) and Article 31a of Delegated Regulation (EU) 2015/61.

This item shall also include, where necessary, additional balances required to be kept in central bank reserves where agreed between the relevant competent authority and the ECB or the central bank in accordance with point (iii) of point (b) of Article 10(1) of Delegated Regulation (EU) 2015/61.

890  1.1.8.1. 
Article 28(2) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the amount of the outstanding balance of liabilities resulting from the credit institution’s own operating expenses as referred to in Article 28(2) of Delegated Regulation (EU) 2015/61.

900  1.1.8.2. 
Article 28(6) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the amount of the outstanding balance of notes, bonds and other debt securities, issued by the credit institution other than that reported as retail deposits as referred to in Article 28(6) of Delegated Regulation (EU) 2015/61. This amount includes also coupons that come due in the next 30 calendar days referred to all these securities.

912  1.1.8.4. 
Article 31a(2) of Delegated Regulation (EU) 2015/61.

Credit institutions shall report here the difference between the contractual commitments to extend funding to non-financial customers and the amount of inflows from such customers referred to in point (a) of Article 32(3) when the former exceeds the latter.

913  1.1.8.4.1. 
Credit institutions shall report here the difference between the contractual commitments to extend funding to retail customers and the amount of inflows from such customers referred to in point (a) of Article 32(3) when the former exceeds the latter.

914  1.1.8.4.2. 
Credit institutions shall report here the difference between the contractual commitments to extend funding to non-financial corporates customers and the amount of inflows from such customers referred to in point (a) of Article 32(3) when the former exceeds the latter.

915  1.1.8.4.3. 
Credit institutions shall report here the difference between the contractual commitments to extend funding to sovereigns, multilateral development banks and public sector entities and the amount of inflows from such customers referred to in point (a) Article 32(3) when the former exceeds the latter.

916  1.1.8.4.4. 
Credit institutions shall report here the difference between the contractual commitments to extend funding to other legal entities and the amount of inflows from such customers referred to in point (a) of Article 32(3) when the former exceeds the latter.

917  1.1.8.5. 
Article 28(7) of Delegated Regulation (EU) 2015/61

Credit institutions shall report here assets borrowed on an unsecured basis and maturing within the 30 days. These assets shall be assumed to run off in full, leading to a 100 % outflow.

Credit institutions shall report the market value of assets borrowed on an unsecured basis and maturing within the 30 days period where the credit institution does not own the securities and they do not form part of institutions liquidity buffer.

918  1.1.8.6. 
Article 31a(1) of Delegated Regulation (EU) 2015/61.

Credit institutions shall report the amount of the outstanding balance of any liabilities that come due in the next 30 calendar days other than those referred to in Articles 24 to 31 of Delegated Regulation (EU) 2015/61.

This row shall only include any other outflows from unsecured transactions. Secured transactions shall be reported under ID 1.2. on “Outflows from secured lending and capital market-driven transactions” and under ID 1.3. on “Total outflows from collateral swaps”.

920  1.2. 
Article 28(3) of Delegated Regulation (EU) 2015/61

Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013. Collateral swap transactions (which cover collateral-versus- collateral transactions) shall be reported in template C 75.01 of Annex XXIV.

930  1.2.1. 
Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is a central bank.

940  1.2.1.1. 
Point (a) of Article 28(3) of Delegated Regulation (EU) 2015/61

Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is a central bank and the collateral extended is Level 1 asset excluding extremely high quality covered bonds and, but for being used as collateral for those transactions, would qualify in accordance with Articles 7 and 10 of Delegated Regulation (EU) 2015/61 as liquid asset.

945  1.2.1.1.1. 
Transactions in item 1.2.1.1 where the collateral, but for being used as collateral for those transactions, would qualify with Article 8 of Delegated Regulation (EU) 2015/61as liquid asset.

950  1.2.1.2. 
Point (a) of Article 28(3) of Delegated Regulation (EU) 2015/61

Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is a central bank and the collateral extended is Level 1 asset which is extremely high quality covered bonds and, but for being used as collateral for those transactions, would qualify in accordance with Articles 7 and 10 of Delegated Regulation (EU) 2015/61as liquid asset.

955  1.2.1.2.1. 
Transactions in item 1.2.1.2 where the collateral, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset.

960  1.2.1.3. 
Point (a) of Article 28(3) of Delegated Regulation (EU) 2015/61

Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is a central bank and the collateral extended is Level 2A asset and, but for being used as collateral for those transactions, would qualify in accordance with Articles 7 and 11 of Delegated Regulation (EU) 2015/61 as liquid asset.

965  1.2.1.3.1. 
Transactions in item 1.2.1.3 where the collateral, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset.

970  1.2.1.4. 
Point (a) of Article 28(3) of Delegated Regulation (EU) 2015/61

Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is a central bank and the collateral extended is Level 2B asset backed securities which are residential or automobile backed and of credit quality step 1 and which comply with the conditions laid down in points (i),(ii) or (iv) of point (b) of Article 13(2 )and, but for being used as collateral for those transactions, would qualify in accordance with Articles 7 and 13 of Delegated Regulation (EU) 2015/61 as liquid asset.

975  1.2.1.4.1. 
Transactions in item 1.2.1.4 where the collateral, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset.

980  1.2.1.5. 
Point (a) of Article 28(3) of Delegated Regulation (EU) 2015/61

Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is a central bank and the collateral extended is Level 2B high quality covered bonds which comply with the conditions laid down in point (e) of Article 12(1)(e) and, but for being used as collateral for those transactions, would qualify in accordance with Articles 7 and 12 of Delegated Regulation (EU) 2015/61 as liquid asset.

985  1.2.1.5.1. 
Transactions in item 1.2.1.5 where the collateral, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset.

990  1.2.1.6. 
Point (a) of Article 28(3) of Delegated Regulation (EU) 2015/61

Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is a central bank and the collateral extended is Level 2B asset backed securities which are backed by commercial loans, leases and credit facilities to undertakings or loans and credit facilities to individuals of a Member State and of credit quality step 1 and which comply with the conditions laid down points (iii) or (v) of point (g) in Article 13(2)(g) and, but for being used as collateral for those transactions, would qualify in accordance with Articles 7 and 13 of Delegated Regulation (EU) 2015/61 as liquid asset.

995  1.2.1.6.1. 
Transactions in item 1.2.1.6 where the collateral, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset.

1000  1.2.1.7. 
Point (a) of Article 28(3) of Delegated Regulation (EU) 2015/61

Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is a central bank and the collateral extended is Level 2B asset not captured above and, but for being used as collateral for those transactions, would qualify in accordance with Articles 7 and 12 of Delegated Regulation (EU) 2015/61 as liquid asset.

1005  1.2.1.7.1. 
Transactions in item 1.2.1.7 where the collateral, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset.

1010  1.2.1.8. 
Point (a) of Article 28(3) of Delegated Regulation (EU) 2015/61

Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is a central bank and the collateral extended is non- liquid assets.

1020  1.2.2. 
Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is not a central bank.

1030  1.2.2.1. 
Point (a) of Article 28(3) of Delegated Regulation (EU) 2015/61.

Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is not a central bank and the collateral extended is Level 1 assets excluding extremely high quality covered bonds and, but for being used as collateral for those transactions, would qualify in accordance with Articles 7 and 10 of Delegated Regulation (EU) 2015/61 as liquid asset.

1035  1.2.2.1.1. 
Transactions in item 1.2.2.1 where the collateral, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset.

1040  1.2.2.2. 
Point (b) of Article 28(3) of Delegated Regulation (EU) 2015/61

Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is not a central bank and the collateral extended is Level 1 asset which is extremely high quality covered bonds and, but for being used as collateral for those transactions, would qualify in accordance with Articles 7 and 10 of Delegated Regulation (EU) 2015/61 as liquid asset.

1045  1.2.2.2.1. 
Transactions in item 1.2.2.2 where the collateral, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset.

1050  1.2.2.3. 
Point (c) of Article 28(3) of Delegated Regulation (EU) 2015/61

Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is not a central bank and the collateral extended is Level 2A collateral and, but for being used as collateral for those transactions, would qualify in accordance with Articles 7 and 11 of Delegated Regulation (EU) 2015/61 as liquid asset.

1055  1.2.2.3.1. 
Transactions in item 1.2.2.3 where the collateral, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset.

1060  1.2.2.4. 
Point (d) of Article 28(3) of Delegated Regulation (EU) 2015/61

Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is not a central bank and the collateral extended is Level 2B asset backed securities which are residential or automobile backed and of credit quality step 1 and which comply with the conditions laid down in points (i), (ii) or (iv) of point (g) of Article 13(2) and, but for being used as collateral for those transactions, would qualify in accordance with Articles 7 and 13 of Delegated Regulation (EU) 2015/61 as liquid asset.

1065  1.2.2.4.1. 
Transactions in item 1.2.2.4 where the collateral, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset.

1070  1.2.2.5. 
Point (e) of Article 28(3) of Delegated Regulation (EU) 2015/61

Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is not a central bank and the collateral extended is Level 2B high quality covered bonds which comply with the conditions laid down in point (e) of Article 12(1) and, but for being used as collateral for those transactions, would qualify in accordance with Articles 7 and 12 of Delegated Regulation (EU) 2015/61 as liquid asset.

1075  1.2.2.5.1. 
Transactions in item 1.2.2.5 those where the collateral, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset.

1080  1.2.2.6. 
Point (f) of Article 28(3) of Delegated Regulation (EU) 2015/61

Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is not a central bank and the collateral extended is Level 2B asset backed securities which are backed by commercial loans, leases and credit facilities to undertakings or loans and credit facilities to individuals of a Member State and of credit quality step 1 and which comply with the conditions laid down in points (iii) or (v) of point (f) of Article 13(2) and, but for being used as collateral for those transactions, would qualify in accordance with Articles 7 and 13 of Delegated Regulation (EU) 2015/61as liquid asset..

1085  1.2.2.6.1. 
Transactions in item 1.2.2.6 where the collateral, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset.

1090  1.2.2.7. 
Point (g) of Article 28(3) of Delegated Regulation (EU) 2015/61

Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is not a central bank and the collateral extended is Level 2B collateral not captured above and, but for being used as collateral for those transactions, would qualify in accordance with Articles 7 and 12 of Delegated Regulation (EU) 2015/61as liquid asset.

1095  1.2.2.7.1. 
Transactions in item 1.2.2.7 those where the collateral, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset.

1100  1.2.2.8. 
Point (h) of Article 28(3) of Delegated Regulation (EU) 2015/61

Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is not a central bank and the collateral extended is non liquid assets collateral.

1130  1.3. 
The sum of outflows from C75.01 of Annex XXIV Column 0070 shall be reported in Column 060.

MEMORANDUM ITEMS
1170  2. 
Article 26 of Delegated Regulation (EU) 2015/61

Credit institutions shall report in column 010 the amount of the outstanding balance of all liabilities and off- balance sheet commitments, whose liquidity outflows have been netted by the interdependent inflows in accordance with Article 26 of Delegated Regulation (EU) 2015/61.

Credit institutions shall report in column 060 the outflows that have been netted by the interdependent inflows in accordance with Article 26 of Delegated Regulation (EU) 2015/61.

  3. 
Credit institutions shall report here on operational deposits referred to in item 1.1.2.1. broken down by the following counterparties:


— Credit institutions;
— financial customers other than credit institutions;
— sovereigns, central banks, multilateral development banks and public sector entities;
— other customers.

1180  3.1. 
Credit institutions shall report the amount of the outstanding balance of operational deposits referred to in item 1.1.2.1. provided by credit institutions.

1190  3.2. 
Credit institutions shall report the amount of the outstanding balance of operational deposits referred to in item 1.1.2.1. provided by financial customers other than credit institutions.

1200  3.3. 
Credit institutions shall report the amount of the outstanding balance of operational deposits referred to in item 1.1.2.1. provided by sovereigns, central banks, multilateral development banks and public sector entities.

1210  3.4. 
Credit institutions shall report the amount of the outstanding balance of operational deposits referred to in item 1.1.2.1. provided by other customers (other than those mentioned above and customers considered for the retail deposits).

  4. 
Credit institutions shall report here all transactions reported in item 1 where the counterparty is a parent or a subsidiary of the credit institution or another subsidiary of the same parent or linked to the credit institution by a relationship within the meaning of Article 12(1) of Directive 83/349/EEC or a member of the same institutional protection scheme referred to in Article 113(7) of Regulation (EU) No 575/2013 or the central institution or an affiliate of a network or cooperative group as referred to in Article 10 of Regulation (EU) No 575/2013.

1290  4.1. 
Credit institutions shall report total amount reported in item 1.1. to financial customers within the scope of item 4.

1300  4.2. 
Credit institutions shall report total amount reported in item 1.1. to non-financial customers within the scope of item 4.

1310  4.3. 
Credit institutions shall report total amount of secured transactions reported in item 1.2. within the scope of item 4.

1320  4.4. 
Credit institutions shall report the maximum amount that could be drawn from undrawn committed credit facilities reported in item 1.1.6.1. to entities within the scope of item 4 for which they have not received permission to apply a lower outflow rate in accordance with Article 29 of Delegated Regulation (EU) 2015/61.

1330  4.5. 
Credit institutions shall report the maximum amount that could be drawn from undrawn committed liquidity facilities reported in item 1.1.6.2. to entities within the scope of item 4 for which they have not received permission to apply a lower outflow rate in accordance with Article 29 of Delegated Regulation (EU) 2015/61.

1340  4.6. 
Credit institutions shall report the amount of deposits referred to in item 1.1.2. to entities within the scope of item 4.

1345  4.7. 
Credit institutions shall report the amount of funds from operational deposits held in excess referred to in item 1.1.3. to entities within the scope of item 4.

1350  4.8. 
Credit institutions shall report the amount of the outstanding balance of the deposits referred to in item 1.1.4. from entities within the scope of item 4.

1360  4.9. 
Credit institutions shall report the amount of the outstanding balance of debt securities reported in item 1.1.8.2. which are held by entities within the scope of item 4.

1370  5. 
This item shall only be reported in case of reporting in currencies subject to separate reporting.

For the cases of reporting in a separate currency, in accordance with Article 415(2) of Regulation (EU) No 575/2013, only, credit institutions shall report the portion of outflows from derivatives (reported in item 1.1.5.5.) which relate to FX principal flows in the respective significant currency from cross-currency swaps, FX spot and forward transactions maturing within the 30 day period. Netting by counterparty may only be applied to flows in that currency, for instance Counterparty A: EUR+10 and Counterparty A: EUR-20 shall be reported as EUR10 outflow. No netting shall be made across counterparties, for instance Counterparty A: EUR-10, Counterparty B: EUR+40 shall be reported as EUR10 outflow on C73.00 (and EUR40 inflow on C74.00).

  6. 
Credit institutions shall report here secured funding transactions with a residual maturity up to 30 days where the counterparty is a central bank and where the relevant transactions are exempted from the application of Article 17(2) and (3) of Delegated Regulation (EU) 2015/61 by its Article 17(4).

1400  6.1. 
Credit institutions shall report here secured funding transactions maturing within 30 calendar days where the counterparty is a central bank, the collateral extended is Level 1 collateral excluding extremely high quality covered bonds and but for being used as collateral would meet the requirements laid down in Articles 7 and 8 of Delegated Regulation (EU) 2015/61, and where the relevant transactions are exempted from the application of Article 17(2) and (3) of Delegated Regulation (EU) 2015/61 by its Article 17(4).

1410  6.2. 
Credit institutions shall report here secured funding transactions maturing within 30 calendar days where the counterparty is a central bank, the collateral extended is Level 1 collateral which is extremely high quality covered bonds and but for being used as collateral would meet the requirements laid down in Articles 7 and 8 of Delegated Regulation (EU) 2015/61, and where the relevant transactions are exempted from the application of Article 17(2) and (3) of Delegated Regulation (EU) 2015/61 by its Article 17(4).

1420  6.3. 
Credit institutions shall report here secured funding transactions maturing within 30 calendar days where the counterparty is a central bank, the collateral extended is Level 2A collateral and but for being used as collateral would meet the requirements laid down in Articles 7 and 8 of Delegated Regulation (EU) 2015/61, and where the relevant transactions are exempted from the application of Article 17(2) and (3) of Delegated Regulation (EU) 2015/61 by its Article 17(4).

1430  6.4. 
Credit institutions shall report here secured funding transactions maturing within 30 calendar days where the counterparty is a central bank, the collateral extended is Level 2B collateral and but for being used as collateral would meet the requirements laid down in Articles 7 and 8 of Delegated Regulation (EU) 2015/61, and where the relevant transactions are exempted from the application of Article 17(2) and (3) of Delegated Regulation (EU) 2015/61 by its Article 17(4).

1440  6.5. 
Credit institutions shall report here secured funding transactions maturing within 30 calendar days where the counterparty is a central bank, the collateral extended is a non-liquid collateral and where the relevant transactions are exempted from the application of Article 17(2) and (3) of Delegated Regulation (EU) 2015/61 by its Article 17(4).

 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 reporting the liquidity coverage requirement as specified in Delegated Regulation (EU) 2015/61. Items which do not need to be completed by credit institutions are coloured in grey.
 2. Credit institutions shall submit the template in the corresponding currencies in accordance with Article 415(2) of Regulation (EU) 575/2013 .
 3. In accordance with Article 32 of Delegated Regulation (EU) 2015/61, liquidity inflows shall:


i.. comprise only contractual inflows from exposures that are not past due and for which the credit institution has no reason to expect non-performance within the 30-day time horizon.
ii.. be calculated by multiplying the outstanding balances of various categories of contractual receivables by the rates specified in Delegated Regulation (EU) 2015/61.
 4. Inflows within a group or an institutional protection scheme (except for inflows from undrawn credit or liquidity facilities provided by members of a group or an institutional protection scheme where the competent authority has granted permission to apply a preferential inflow rate) shall be assigned to the relevant categories. Unweighted amounts shall additionally be reported as memorandum items under section 3 of the template (rows 460-510).
 5. In accordance with Article 32(6) of Delegated Regulation (EU) 2015/61, credit institutions shall not report inflows from any of the liquid assets reported in accordance with Title II of that Regulation other than payments due on the assets that are not reflected in the market value of the asset.
 6. Inflows which are to be received in third countries where there are transfer restrictions or which are denominated in non-convertible currencies shall be reported in the relevant rows of sections 1.1., 1.2. or 1.3. The inflows shall be reported in full, regardless of the amount of outflows in the third country or currency.
 7. Monies due from securities issued by the credit institution itself or by a SSPE with which the credit institution has close links shall be taken into account on a net basis with an inflow rate applied on the basis of the inflow rate applicable to the underlying assets pursuant to point (h) of Article 32(3) of Delegated Regulation (EU) 2015/61.
 8. In accordance with Article 32(7) of Delegated Regulation (EU) 2015/61, credit institutions shall not report inflows from any new obligations entered into. This refers to contractual commitments which have not been contractually established at the reporting date, but will or may be entered into within the 30 day horizon.
 9. In the case of a separate reporting in accordance with Article 415(2) of Regulation (EU) 575/2013, the reported balances shall comprise only those which are denominated in the relevant currency to ensure that currency gaps are correctly reflected. This may mean that only one side of the transaction is reported in the relevant currency template. For instance, in case of FX derivatives, credit institutions may only net inflows and outflows in accordance with Article 21 of Delegated Regulation (EU) 2015/61 where they are denominated in the same currency.
 10. The Column structure of this template is built to accommodate the different caps on inflows applicable pursuant to Article 33 of Delegated Regulation (EU) 2015/61. In this regard, the template is based on three sets of Columns, one set for each cap treatment (75 % cap, 90 % cap, and exempted from the cap). Credit institutions reporting on a consolidated basis may use more than one such set of Columns if different entities under the same consolidation qualify for different cap treatments.
 11. In accordance with point (c) of Article 2(3) of Delegated Regulation (EU) 2015/61 regarding consolidation, liquidity inflows in a subsidiary undertaking in a third country which are subject under the national law of that third country to lower rates than those specified in Title III of the regulation shall be subject to consolidation in accordance with the lower rates specified in the national law of the third country.
 12. Delegated Regulation (EU) 2015/61 only refers to rates and haircuts, and the word “weight” in the template just refers to these in the appropriate context. The word “weighted” in this Annex shall be understood as a general term for indicating the amount calculated after the application of the respective haircuts, rates and any other relevant additional instructions (e.g. in the case of secured lending and funding).
 13. Some “memorandum items” are included in the associated templates to these instructions. Among others, these items provide necessary information to allow the competent authority to complete an adequate assessment of credit institutions’ compliance with the liquidity requirements.
 1.2.  14. The template categories collateralizsed flows by the quality of the underlying asset or HQLA eligibility. A separate template is provided for collateral swaps — C 75.01 of ANNEX XXIV. Collateral swaps, which are collateral-versus-collateral transactions shall not be reported on the inflow template (C 74.00 of ANNEX XXIV) which only covers cash-versus-collateral transactions.
 15. Where secured lending and capital market-driven transactions are secured by shares or units in CIUs, these transactions shall be reported as if they would be collateralised by the assets underlying the CIU. For instance, in case a secured lending transaction is collateralised by shares or units in a CIU that exclusively invests into Level 2A assets, the secured lending transaction shall be reported as if directly collateralised by Level 2A collateral. The potentially higher inflow rate for secured lending transactions backed by shares or units in CIUs shall be reflected in the relevant inflow rate to be reported.
 16. In the case of a separate reporting in accordance with Article 415(2) of Regulation (EU) 575/2013 , the reported balances shall comprise only those which are denominated in the relevant currency to ensure that currency gaps are correctly reflected. This may mean that only one side of the transaction is reported in the relevant currency template. Hence a reverse repo transaction can result in a negative inflow. Reverse repo transactions reported in the same item shall be summed (positives and negatives). If the total is positive then this shall be reported on the inflow template. If the total is negative then this shall be reported on the outflow template. This approach shall be followed vice-versa for repos.
 17. For the calculation of inflows, secured lending and capital market-driven transactions shall be reported irrespective of whether the underlying collateral received meets the operational requirements as provided under Article 8 of Delegated Regulation (EU) 2015/61. Furthermore, in order to allow for the calculation of the adjusted stock of liquid assets in accordance with Article 17(2) of Delegated Regulation (EU) 2015/61, credit institutions shall also report separately those transactions where the underlying collateral received additionally meets the operational requirements as provided under Article 8 of Delegated Regulation (EU) 2015/61.
 18. Where a credit institution may only recognise part of their foreign currency shares, or foreign currency central government or bank assets, or domestic currency central government or central bank assets within their HQLA, only the recognisable part shall be reported within the rows on Level 1, Level 2A and Level 2B assets in accordance with point (ii) of point (c) of Article 12(1) and point (d) of Article 10(1) of Delegated Regulation (EU) 2015/61. Where the particular asset is used as collateral but for an amount which is surplus to the portion which can be recognised as liquid assets, the surplus amount shall be reported in the non-liquid section. Level 2A assets shall be reported in the corresponding Level 2A asset row, even if the Alternative Liquidity Approach under Article 19 of Delegated Regulation (EU) 2015/61 is being followed.
 1.3.  19. Credit institutions shall report inflows stemming from forward starting repos that start within the 30 day horizon and mature beyond the 30 day horizon. The inflow to be received shall be reported in {C 74.00; r260} (“other inflows”), net of the market value of the asset to be delivered to the counterparty after the application of the related LCR haircut. If the asset is not a “liquid asset”, the inflow to be received shall be reported in full. The asset to be pledged as collateral shall be reported in C 72.00 if the institution holds the asset in its book at the reference date and it fulfils the related conditions.
 20. Credit institutions shall report inflows stemming from forward starting repos, reverse repos and collateral swaps that start within the 30 day horizon and mature beyond the 30 day horizon where the initial leg produces an inflow. In the case of a repo, the inflow to be received shall be reported in {C 74.00; r260} (“other inflows”), net of the market value of the asset to be delivered to the counterparty after the application of the related LCR haircut. If the amount to be received is lower than the market value of the asset (after LCR haircut) to be lent as collateral, the difference shall be reported as an outflow in C.73.00. If the asset is not a “liquid asset”, the inflow to be received shall be reported in full. The asset to be pledged as collateral shall be reported in C 72.00 where the institution holds the asset in its book at the reference date and it fulfils the related conditions. In the case of a reverse repo, where the market value of the asset to be received as collateral after the application of the related LCR haircut (if the asset qualifies as liquid asset) is larger than the cash amount to be lent, the difference is to be reported as an inflow in {C 74.00; r260} (“other inflows”). For collateral swaps, where the net effect of the initial swap of assets (taking into account LCR haircuts) gives rise to an inflow this inflow shall be reported {C 74.00; r260} (“other inflows”).
 21. Forward repos, forward reverse repos and forward collateral swaps that start and mature within the LCR’s 30 day horizon do not have any impact on a bank’s LCR and can be ignored.
 1.4.  22. The decision tree is without prejudice to the reporting of the memorandum items. The decision tree is part of the instructions to specify prioritisation assessment criteria for the assignment of each reported item in order to secure homogenous and comparable reporting. Going through the decision tree alone is not sufficient — credit institutions shall comply with the rest of the instructions at all times.
 23. For the sake of simplicity, the decision tree ignores totals and subtotals; this however does not necessarily imply that they shall not also be reported.
 1.4.1. 

# Item Decision Reporting
1 Inflow meeting the operational criteria as specified in Article 32, such as:
— Exposure is not past due (Article 32(1))
— Credit institution has no reason to expect non-performance within 30 calendar days (Article 32(1))
— Credit institutions shall not take into account inflows from any new obligation entered into (Article 32(7))
— No inflows shall be reported in case inflows are already netted against outflows (Article 26)
— Credit institutions shall not take into account any inflows from any of the liquid assets referred to in Title II other than payments due on the assets that are not reflected in the market value of the asset (Article 32(6)) No No Reporting
Yes # 2
2 Forward starting transaction Yes # 3
No # 5
3 Forward transaction entered into subsequent to the reporting date; Yes No Reporting
No # 4
4 Forward transaction that start within the 30 day horizon and mature after the 30-day horizon where the initial leg produces a net inflow Yes Row 260, ID 1.1.11.
No No Reporting
5 Inflows within a group or an institutional protection scheme Yes # 6
No # 7
6 Inflows from undrawn credit or liquidity facilities provided by members of a group or an institutional protection scheme where the competent authority has granted permission to apply a higher inflow rate (Article 34) Yes Row 250, ID 1.1.10.
No # 7
7 Inflows from secured lending and capital markets-driven transactions with the exception of derivatives (Article 32(3)(b)-(c);(e)-(f)) Yes # 23
No # 8
8 Monies due from securities maturing within 30 calendar days (Article 32(2)(c)) Yes Row 190, ID 1.1.5.
No # 9
9 Monies due from trade financing transactions with a residual maturity of no more than 30 days (Article 32(2)(b)) Yes Row 180, ID 1.1.4.
No # 10
10 Loans with an undefined contractual end date (Article 32(3)(i)) Yes # 11
No # 12
11 Interest and minimum payments from loans with an undefined contractual end date that are contractually due and that are subject to an actual cash inflow within the next 30 days Yes # 12
No Row 200, ID 1.1.6.
12 Monies due from positions in major index equity instruments provided that there is no double counting with liquid assets (Article 32(2)(d)) Yes Row 210, ID 1.1.7.
No # 13
13 Inflows from the release of balances held in segregated accounts in accordance with regulatory requirements for the protection of customer trading assets (Article 32(4)) Yes Row 230, ID 1.1.8.
No # 14
14 Derivatives cash inflows net by counterparty and collateral (Article 32(5)) Yes Row 240, ID 1.1.9.
No # 15
15 Inflows related to outflows in accordance with promotional loan commitments referred to in Article 31(9) (Article 32(3)(a)) Yes Row 170, ID 1.1.3.
No # 16
16 Monies due from central banks and financial customers with a residual maturity of no more than 30 days (Article 32(2)(a)) Yes # 20
No # 17
17 Monies due from non-financial customers (except for central banks) not corresponding to principal repayment (Article 32(2)) Yes Row 040, ID 1.1.1.1.
No # 18
18 Other monies due from non-financial customers (except for central banks) (Article 32(3)(a)) Yes # 19
No Row 260, ID 1.1.11.
19 Other monies due from non-financial customers (except for central banks) (Article 32(3)(a)) # 19.1 Retail customers Yes Row 060, ID 1.1.1.2.1.
No # 19.2
# 19.2 Non-financial corporates Yes Row 070, ID 1.1.1.2.2.
No # 19.3
# 19.3 Sovereigns, MDBs and PSEs Yes Row 080, ID 1.1.1.2.3.
No Row 090, ID 1.1.1.2.4.
20 Inflows from financial customers being classified as operational deposits (Article 32(3)(d)) Yes # 21
No # 22
21 Credit institution is able to establish a corresponding symmetrical inflow rate (Article 32(3)(d)) Yes Row 120, ID 1.1.2.1.1.
No Row 130, ID 1.1.2.1.2.
22 Monies due from central banks (Article 32(2)(a)) Yes Row 150, ID 1.1.2.2.1.
No Row 160, ID 1.1.2.2.2.
23 Collateral Swap Transaction (Article 32(3)(e)) Yes Row 410, ID 1.3
No # 24
24 Transaction is conducted with a central bank Yes #25
No # 31
25 Collateral is generally eligible as a liquid asset (irrespective or not whether it is re-used in another transaction and irrespective of whether the asset meets the operational requirement under Article 8) Yes # 26
No # 30
26 Collateral is used to cover short positions Yes Row 297, ID 1.2.1.2
No # 27
27 Collateral received meets the operational requirements under Article 8 Yes # 28
No # 29
28 Secured funding transaction secured by (Article 32(3)(b)): # 28.1 Level 1 collateral excluding extremely high quality covered bonds Yes Row 269, ID 1.2.1.1.1 +Row 271, ID 1.2.1.1.1.1
No # 28.2
# 28.2 Level 1 collateral which is extremely high quality covered bonds Yes Row 273, ID 1.2.1.1.2 +Row 275, ID 1.2.1.1.2.1
No # 28.3
# 28.3 Level 2A collateral Yes Row 277, ID 1.2.1.1.3 +Row 279, ID 1.2.1.1.3.1
No # 28.4
# 28.4 Level 2B asset backed securities (residential or auto) collateral Yes Row 281, ID 1.2.1.1.4 +Row 283, ID 1.2.1.1.4.1
No # 28.5
# 28.5 Level 2B high quality covered bonds collateral Yes Row 285, ID 1.2.1.1.5 +Row 287, ID 1.2.1.1.5.1
No # 28.6
# 28.6 Level 2B asset backed securities (commercial or individuals) collateral Yes Row 289, ID 1.2.1.1.6 +Row 291, ID 1.2.1.1.6.1
No Row 293, ID 1.2.1.1.7 +Row 295, ID 1.2.1.1.7.1
29 Secured funding transaction secured by (Article 32(3)(b)): # 29.1 Level 1 collateral excluding extremely high quality covered bonds Yes Row 269, ID 1.2.1.1.1
No # 29.2
# 29.2 Level 1 collateral which is extremely high quality covered bonds Yes Row 273, ID 1.2.1.1.2
No # 29.3
# 29.3 Level 2A collateral Yes Row 277, ID 1.2.1.1.3
No # 29.4
# 29.4 Level 2B asset backed securities (residential or auto) collateral Yes Row 281, ID 1.2.1.1.4
No # 29.5
# 29.5 Level 2B high quality covered bonds collateral Yes Row 285, ID 1.2.1.1.5
No # 29.6
# 29.6 Level 2B asset backed securities (commercial or individuals) collateral Yes Row 289, ID 1.2.1.1.6
No Row 293, ID 1.2.1.1.7
30 Collateral that does not qualify as a liquid asset (Article 32(3)(b)) and is non-liquid equity Yes Row 301, ID 1.2.1.3.1
No Row 303, ID 1.2.1.3.2
31 Collateral is generally eligible as a liquid asset (irrespective or not whether it is re-used in another transaction and irrespective of whether the asset meets the operational requirement under Article 8) Yes # 32
No # 36
32 Collateral is used to cover short positions Yes Row 337, ID 1.2.2.2
No # 33
33 Collateral received meets the operational requirements under Article 8 Yes # 34
No # 35
34 Secured funding transaction secured by (Article 32(3)(b)) # 34.1 Level 1 collateral excluding extremely high quality covered bonds Yes Row 309, ID 1.2.2.1.1 +Row 311, ID 1.2.2.1.1.1
No # 34.2
# 34.2 Level 1 collateral which is extremely high quality covered bonds Yes Row 313, ID 1.2.2.1.2 +Row 315, ID 1.2.2.1.2.1
No # 34.3
# 34.3 Level 2A collateral Yes Row 317, ID 1.2.2.1.3 +Row 319, ID 1.2.2.1.3.1
No # 34.4
# 34.4 Level 2B asset backed securities (residential or auto) collateral Yes Row 321, ID 1.2.2.1.4 +Row 323, ID 1.2.2.1.4.1
No # 34.5
# 34.5 Level 2B high quality covered bonds collateral Yes Row 325, ID 1.2.2.1.5 +Row 327, ID 1.2.2.1.5.1
No # 34.6
# 34.6 Level 2B asset backed securities (commercial or individuals) collateral Yes Row 329, ID 1.2.2.1.6 +Row 331, ID 1.2.2.1.6.1
No Row 333, ID 1.2.2.1.7 +Row 335, ID 1.2.2.1.7.1
35 Secured funding transaction secured by (Article 32(3)(b)) # 35.1 Level 1 collateral excluding extremely high quality covered bonds Yes Row 309, ID 1.2.2.1.1
No # 35.2
# 35.2 Level 1 collateral which is extremely high quality covered bonds Yes Row 313, ID 1.2.2.1.2
No # 35.3
# 35.3 Level 2A collateral Yes Row 317, ID 1.2.2.1.3
No # 35.4
# 35.4 Level 2B asset backed securities (residential or auto) collateral Yes Row 321, ID 1.2.2.1.4
No # 35.5
# 35.5 Level 2B high quality covered bonds collateral Yes Row 325, ID 1.2.2.1.5
No # 35.6
# 35.6 Level 2B asset backed securities (commercial or individuals) collateral Yes Row 329, ID 1.2.2.1.6
No Row 333, ID 1.2.2.1.7
36 Collateral that does not qualify as a liquid asset (Article 32(3)(b)) # 36.1 margin loans: collateral is non-liquid Yes Row 341, ID 1.2.2.3.1.
No # 36.2
# 36.2 collateral is non-liquid equity Yes Row 343, ID 1.2.2.3.2.
No Row 345, ID 1.2.2.3.3.

 1.4.2. 

# Item Decision Reporting
1 Inflow to be reported in rows 010-430 of template C 74.00 of ANNEX XXIV in accordance with Article 32, Article 33 and Article 34 and in accordance with the classification as specified in section 1 (“Decision tree on rows in template C 74.00”) No No Reporting
Yes # 2
2 Inflows from secured lending and capital markets-driven transactions with the exception of derivatives (Article 32(3)(b)-(c);(e)-(f)) Yes # 11
No # 3
3 Partial exemption from the cap on inflows (Article 33(2)-(5)) Yes # 4
No # 6
4 Partial exemption from the cap on inflows (Article 33(2)-(5)) # 4.1 Part of inflows exempted from the cap on inflows  # 5
# 4.2 Part of inflows not exempted from the cap on inflows  # 7
5 Part of the inflows exempted from the 75 % cap on inflows subject to 90 % cap on inflows (Article 33(4) and Article 33(5)) Yes # 9
No # 10
6 Inflow subject to the 75 % cap on inflows (Article 33(1)) Yes # 7
No # 8
7 Inflow subject to the 75 % cap on inflows (Article 33(1)) #7.1 Monies due/maximum amount that can be drawn  Column 010
# 7.2 Applicable Weight  Column 080
# 7.3 Inflow  Column 140
8 Inflow subject to the 90 % cap on inflows (Article 33(4) and Article 33(5)) Yes # 9
No # 10
9 Inflow subject to the 90 % cap on inflows (Article 33(4) and Article 33(5)) # 9.1 Monies due/maximum amount that can be drawn  Column 020
# 9.2 Applicable Weight  Column 090
# 9.3 Inflow  Column 150
10 Inflows that are fully exempted from the cap on inflows (Article 33(2)-(3)) # 10.1 Monies due/maximum amount that can be drawn  Column 030
# 10.2 Applicable Weight  Column 100
# 10.3 Inflow  Column 160
11 Secured funding transaction where the collateral is generally eligible as a liquid asset (irrespective or not whether it is re-used in another transaction and irrespective of whether the asset meets the operational requirement under Article 8) Yes # 12
No # 3
12 Partial exemption from the cap on inflows (Article 33(2)-(5)) Yes # 13
No # 15
13 Partial exemption from the cap on inflows (Article 33(2)-(5)) # 13.1 Part of inflows exempted from the cap on inflows  # 14
# 13.2 Part of inflows not exempted from the cap on inflows  # 16
14 Part of the inflows exempted from the 75 % cap on inflows subject to 90 % cap on inflows (Article 33(4) and Article 33(5)) Yes # 18
No # 19
15 Inflow subject to the 75 % cap on inflows (Article 33(1)) Yes # 16
No # 17
16 Inflow subject to the 75 % cap on inflows (Article 33(1)) # 16.1 Monies due  Column 010
# 16.2 Market value of collateral received  Column 040
# 16.3 Applicable Weight  Column 080
# 16.4 Value of collateral received in accordance with Article 9[only if the collateral received meets the operational requirements]  Column 110
# 16.5 Inflow  Column 140
17 Inflow subject to the 90 % cap on inflows (Article 33(4) and Article 33(5)) Yes # 18
No # 19
18 Inflow subject to the 90 % cap on inflows (Article 33(4) and Article 33(5)) # 18.1 Monies due  Column 020
# 18.2 Market value of collateral received  Column 050
# 18.3 Applicable Weight  Column 090
# 18.4 Value of collateral received in accordance with Article 9[only if the collateral received meets the operational requirements]  Column 120
# 18.5 Inflow  Column 150
19 Inflows that are fully exempted from the cap on inflows (Article 33(2)-(3)) # 19.1 Monies due  Column 030
# 19.2 Market value of collateral received  Column 060
# 19.3 Applicable Weight  Column 100
# 19.4 Value of collateral received in accordance with Article 9[only if the collateral received meets the operational requirements]  Column 130
# 19.5 Inflow  Column 160
 1.5.  1.5.1. 

Column Legal references and instructions
010 
Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61

For rows {040}, {060}-{090}, {120}-{130}, {150}-{260}, {269}-{297}, {301}-{303}, {309-337}, {341}-{345}, {450} and {470}-{510}, credit institutions shall report in Column 010 the total amount of assets/monies due/maximum amounts that can be drawn that are subject to the 75 % cap on inflows as specified in Article 33(1) of Delegated Regulation (EU) 2015/61 and following the relevant instructions included here.

Where a competent authority has approved a partial exemption from the cap on inflows in accordance with Article 33(2) of Delegated Regulation (EU) 2015/61, the part of the amount subject to the exemption shall be reported in Column 020 or 030 and the part of the amount not subject to the exemption shall be reported in Column 010.

020 
Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61

For rows {040}, {060}-{090}, {120}-{130}, {150}-{260}, {269}-{297}, {301}-{303}, {309-337}, {341}-{345}, {450} and {470}-{510}, credit institutions shall report in Column 020 the total amount of assets/monies due/maximum amounts that can be drawn that are subject to the 90 % cap on inflows as specified in Article 33(4) and Article 33(5) of Delegated Regulation (EU) 2015/61 and following the relevant instructions included here.

Where a competent authority has approved a partial exemption from the cap on inflows in accordance with Article 33(2) of Delegated Regulation (EU) 2015/61, the part of the amount subject to the exemption shall be reported in Column 020 or 030 and the part of the amount not subject to the exemption shall be reported in Column 010.

030 
Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61

For rows {040}, {060}-{090}, {120}-{130}, {150}-{260}, {269}-{297}, {301}-{303}, {309-337}, {341}-{345}, {450} and {470}-{510}, credit institutions shall report in Column 030 the total amount of assets/monies due/maximum amounts that can be drawn that are fully exempted from the cap on inflows as specified in Article 33(2), Article 33(3) and Article 33(5) of Delegated Regulation (EU) 2015/61 and following the relevant instructions included here.

Where a competent authority has approved a partial exemption from the cap on inflows in accordance with Article 33(2) of Delegated Regulation (EU) 2015/61, the part of the amount subject to the exemption shall be reported in Column 020 or 030 and the part of the amount not subject to the exemption shall be reported in Column 010.

040 
Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61

For rows {269}-{295}, {309-335} and for row {490}, credit institutions shall report in Column 040 the market value of collateral received in secured lending and capital market-driven transactions that are subject to the 75 % cap on inflows as specified in Article 33(1) of Delegated Regulation (EU) 2015/61.

Where a competent authority has approved a partial exemption from the cap on inflows in accordance with Article 33(2) of Delegated Regulation (EU) 2015/61, the market value of collateral received in secured lending and capital market-driven transactions subject to the exemption shall be reported in Column 050 or 060 and the market value of collateral received in secured lending and capital market-driven transactions not subject to the exemption shall be reported in Column 040.

050 
Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61

For rows {269}-{295}, {309-335} and for row {490}, credit institutions shall report in Column 050 the market value of collateral received in secured lending and capital market-driven transactions that are subject to the 90 % cap on inflows as specified in Article 33(4) and Article 33(5) of Delegated Regulation (EU) 2015/61.

Where a competent authority has approved a partial exemption from the cap on inflows in accordance with Article 33(2) of Delegated Regulation (EU) 2015/61, the market value of collateral received in secured lending and capital market-driven transactions subject to the exemption shall be reported in Column 050 or 060 and the market value of collateral received in secured lending and capital market-driven transactions not subject to the exemption shall be reported in Column 040.

060 
Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61

For rows {269}-{295}, {309-335} and for row {490}, credit institutions shall report in Column 060 the market value of collateral received in secured lending and capital market-driven transactions that are fully exempted from the cap on inflows as specified in Article 33(2), Article 33(3) and Article 33(5) of Delegated Regulation (EU) 2015/61.

Where a competent authority has approved a partial exemption from the cap on inflows in accordance with Article 33(2) of Delegated Regulation (EU) 2015/61, the market value of collateral received in secured lending and capital market-driven transactions subject to the exemption shall be reported in Column 050 or 060 and the market value of collateral received in secured lending and capital market-driven transactions not subject to the exemption shall be reported in Column 040.

070 
Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61

The standard weights in Column 070 are those specified in Delegated Regulation (EU) 2015/61 by default and are provided for information only.

080 
Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61

The Applicable Weight is the one specified in Articles 32 to 34 of Delegated Regulation (EU) 2015/61. Applicable weights may result in weighted average values and shall be reported in decimal terms (i.e. 1,0 for an applicable weight of 100 per cent, or 0,5 for an applicable weight of 50 per cent). Applicable weights may reflect, but are not limited to, firm-specific and national discretions.

For rows {040}, {060}-{090}, {120}-{130}, {150}-{260}, {269}, {273}, {277}, {281}, {285}, {289}, {293}, {301}-{303}, {309}, {313}, {317}, {321}, {325}, {329}, {333}, {341}-{345}, {450} and {470} –{510}, credit institutions shall report in Column 080 the average weight applied to assets/monies due/maximum amounts that can be drawn that are subject to the 75 % cap on inflows as specified in Article 33(1) of Delegated Regulation (EU) 2015/61.

090 
Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61

The Applicable Weight are those specified in Articles 32 to 34 of Delegated Regulation (EU) 2015/61. Applicable weights may result in weighted average values and shall be reported in decimal terms (i.e. 1,0 for an applicable weight of 100 per cent, or 0,5 for an applicable weight of 50 per cent). Applicable weights may reflect, but are not limited to, firm-specific and national discretions.

For rows {040}, {060}-{090}, {120}-{130}, {150}-{260}, {269}, {273}, {277}, {281}, {285}, {289}, {293}, {301}-{303}, {309}, {313}, {317}, {321}, {325}, {329}, {333}, {341}-{345}, {450} and {470} –{510}, credit institutions shall report in Column 090 the average weight applied to assets/monies due/maximum amounts that can be drawn that are subject to the 90 % cap on inflows as specified in Article 33(4) and Article 33(5) of Delegated Regulation (EU) 2015/61.

100 
Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61

The Applicable Weight are those specified in Articles 32 to 34 of Delegated Regulation (EU) 2015/61. Applicable weights may result in weighted average values and shall be reported in decimal terms (i.e. 1,0 for an applicable weight of 100 per cent, or 0,5 for an applicable weight of 50 per cent). Applicable weights may reflect, but are not limited to, firm-specific and national discretions.

For rows {040}, {060}-{090}, {120}-{130}, {150}-{260}, {269}, {273}, {277}, {281}, {285}, {289}, {293}, {301}-{303}, {309}, {313}, {317}, {321}, {325}, {329}, {333}, {341}-{345}, {450} and {470} –{510}, credit institutions shall report in Column 100 the average weight applied to assets/monies due/maximum amounts that can be drawn that are exempted from the cap on inflows as specified in Article 33(2), Article 33(3) and Article 33(5) of Delegated Regulation (EU) 2015/61.

110 
Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61

For rows {271}, {275}, {279}, {283}, {287}, {291}, {295}, {311}, {315}, {319}, {323}, {327}, {331} and {335}, credit institutions shall report in Column 110 the value of collateral received in accordance with Article 9 of Delegated Regulation (EU) 2015/61 in secured lending and capital market-driven transactions that are subject to the 75 % cap on inflows as specified in Article 33(1) of Delegated Regulation (EU) 2015/61.

Where a competent authority has approved a partial exemption from the cap on inflows in accordance with Article 33(2) of Delegated Regulation (EU) 2015/61, the value of collateral received in accordance with Article 9 of Delegated Regulation (EU) 2015/61 in secured lending and capital market-driven transactions subject to the exemption shall be reported in Column 120 or 130 and the value of collateral received in accordance with Article 9 of Delegated Regulation (EU) 2015/61 in secured lending and capital market-driven transactions not subject to the exemption shall be reported in Column 110.

120 
Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61

For rows {271}, {275}, {279}, {283}, {287}, {291}, {295}, {311}, {315}, {319}, {323}, {327}, {331} and {335}, credit institutions shall report in Column 120 the value of collateral received in accordance with Article 9 of Delegated Regulation (EU) 2015/61 in secured lending and capital market-driven transactions that are subject to the 90 % cap on inflows as specified in Article 33(4) and Article 33(5) of Delegated Regulation (EU) 2015/61.

Where a competent authority has approved a partial exemption from the cap on inflows in accordance with Article 33(2) of Delegated Regulation (EU) 2015/61, the value of collateral received in accordance with Article 9 of Delegated Regulation (EU) 2015/61 in secured lending and capital market-driven transactions subject to the exemption shall be reported in Column 120 or 130 and the value of collateral received in accordance with Article 9 of Delegated Regulation (EU) 2015/61 in secured lending and capital market-driven transactions not subject to the exemption shall be reported in Column 110.

130 
Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61

For rows {271}, {275}, {279}, {283}, {287}, {291}, {295}, {311}, {315}, {319}, {323}, {327}, {331} and {335}, credit institutions shall report in Column 130 the value of collateral received in accordance with Article 9 of Delegated Regulation (EU) 2015/61 in secured lending and capital market-driven transactions that are fully exempted from the cap on inflows as specified in Article 33(2), Article 33(3) and Article 33(5) of Delegated Regulation (EU) 2015/61.

Where a competent authority has approved a partial exemption from the cap on inflows in accordance with Article 33(2) of Delegated Regulation (EU) 2015/61, the value of collateral received in accordance with Article 9 of Delegated Regulation (EU) 2015/61 in secured lending and capital market-driven transactions subject to the exemption shall be reported in Column 120 or 130 and the value of collateral received in accordance with Article 9 of Delegated Regulation (EU) 2015/61 in secured lending and capital market-driven transactions not subject to the exemption shall be reported in Column 110.

140 
Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61

For rows {040}, {060}-{090}, {120}-{130}, {150}-{260}, {269}, {273}, {277}, {281}, {285}, {289}, {293}, {301}-{303}, {309}, {313}, {317}, {321}, {325}, {329}, {333}, {341}-{345}, {450} and {470}-{510}, credit institutions shall report in Column 140 total inflows that are subject to the 75 % cap on inflows as specified in Article 33(1) of Delegated Regulation (EU) 2015/61 which shall be calculated by multiplying the total amount/maximum amount that can be drawn from Column 010 with the relevant weight from Column 080.

For row {170}, credit institutions shall report in Column 140 total inflows that are subject to the 75 % cap on inflows as specified in Article 33(1) of Delegated Regulation (EU) 2015/61 only if the credit institution received this commitment in order for them to disburse a promotional loan to a final recipient, or have received a similar commitment from a multilateral development bank or a public sector entity.

150 
Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61

For rows {040}, {060}-{090}, {120}-{130}, {150}-{260}, {269}, {273}, {277}, {281}, {285}, {289}, {293}, {301}-{303}, {309}, {313}, {317}, {321}, {325}, {329}, {333}, {341}-{345}, {450} and {470}-{510}, credit institutions shall report in Column 150 total inflows that are subject to the 90 % cap on inflows as specified in Article 33(4) and Article 33(5) of Delegated Regulation (EU) 2015/61 which shall be calculated by multiplying the total amount/maximum amount that can be drawn from Column 020 with the relevant weight from Column 090.For row {170}, credit institutions shall report in Column 150 total inflows that are subject to the 90 % cap on inflows as specified in Article 33(4) and Article 33(5) of Delegated Regulation (EU) 2015/61 only if the credit institution received this commitment in order for them to disburse a promotional loan to a final recipient, or have received a similar commitment from a multilateral development bank or a public sector entity.

160 
Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61

For rows {040}, {060}-{090}, {120}-{130}, {150}-{260}, {269}, {273}, {277}, {281}, {285}, {289}, {293}, {301}-{303}, {309}, {313}, {317}, {321}, {325}, {329}, {333}, {341}-{345}, {450} and {470}-{510}, credit institutions shall report in Column 160 total inflows that are fully exempted from the cap on inflows as specified in Article 33(2), Article 33(3) and Article 33(5) of Delegated Regulation (EU) 2015/61 which shall be calculated by multiplying the total amount/maximum amount that can be drawn from Column 030 with the relevant weight from Column 100.

For row {170}, credit institutions shall report in Column 160 total inflows that fully exempted from the cap on inflows as specified in Article 33(2), Article 33(3) and Article 33(5) of Delegated Regulation (EU) 2015/61 only if the credit institution received this commitment in order for them to disburse a promotional loan to a final recipient, or have received a similar commitment from a multilateral development bank or a public sector entity.

 1.5.2. 

Row Legal references and instructions
010  1. 
Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61

Credit institutions shall report in row 010 of C 74.00 of ANNEX XXIV


— for each Column 010, 020 and 030 the total amount of assets/monies due/maximum amount that can be drawn as the sum of assets/monies due/maximum amount than can be drawn from unsecured transactions/deposits and secured lending and capital market-driven transactions;

 
— for Column 140 total inflows as the sum of inflows from unsecured transactions/deposits, secured lending and capital market-driven transactions and collateral swap transactions less the difference between total weighted inflows and total weighted outflows arising from transactions in third countries where there are transfer restrictions or which are denominated in non-convertible currencies; and
— for Column 150 and 160 total inflows as the sum of inflows from unsecured transactions/deposits, secured lending and capital market-driven transactions and collateral swap transactions less the difference between total weighted inflows and total weighted outflows arising from transactions in third countries where there are transfer restrictions or which are denominated in non-convertible currencies and less the excess of inflows from a related specialised credit institution referred to in point (e) of Article 2(3) and Article 33(6) of Delegated Regulation (EU) 2015/61.
020  1.1. 
Articles 32, 33 and 34 of Delegated Regulation (EU) 2015/61

Credit institutions shall report in row 020 of C 74.00 of ANNEX XXIV


— for each Column 010, 020 and 030 the total amount of assets/monies due/maximum amount that can be drawn from unsecured transactions/deposits; and
— for each Column 140, 150 and 160 total inflows from unsecured transactions/deposits.

030  1.1.1. 
Point (a) of Article 32(3) of Delegated Regulation (EU) 2015/61

Credit institutions shall report in row 030 of C 74.00 of ANNEX XXIV


— for each Column 010, 020 and 030 the total amount of monies due from non-financial customers (except for central banks) (monies due from non-financial customers not corresponding to principal repayments as well as any other monies due from non-financial customers) and
— for each Column 140, 150 and 160 total inflows from non-financial customers (except for central banks) (inflows from non-financial customers not corresponding to principal repayments as well as any other inflows from non-financial customers).

Non-financial customers shall include, but not be limited to, natural persons, SMEs, corporates, sovereigns, multilateral development banks and public sector entities in accordance with Article 31a of Delegated Regulation (EU) 2015/61.

Monies due from secured lending and capital market driven transactions with a non-financial customer that are collateralised by liquid assets in accordance with Title II of Delegated Regulation (EU) 2015/61, where these transactions are specified in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013, shall be reported in section 1.2. and shall not be reported in section 1.1.1. Monies due from such transactions that are collateralised by transferable securities that do not qualify as liquid assets in accordance with Title II of Delegated Regulation (EU) 2015/61 shall be reported in section 1.2. and shall not be reported in section 1.1.1. Monies due from such transactions with non-financial customers that are collateralised by non-transferable assets that do not qualify as liquid assets in accordance with Title II of Delegated Regulation (EU) 2015/61 shall be reported in the relevant row of section 1.1.1.

Monies due from central banks shall be reported in section 1.1.2. and shall not be reported here. Monies due from trade finance transactions with a residual maturity of no more than 30 days shall be reported in section 1.1.4. and shall not be reported here. Monies due from securities maturing within 30 calendar days shall be reported in section 1.1.5. and shall not be reported here.

040  1.1.1.1. 
Point (a) of Article 32(3) of Delegated Regulation (EU) 2015/61

Monies due from non-financial customers (except for central banks) with a residual maturity of no more than 30 cays not corresponding to principal repayment. These inflows include interest and fees due from non-financial customers (except for central banks).Monies due from central banks not corresponding to principal repayment shall be reported in section 1.1.2. and shall not be reported here.

050  1.1.1.2. 
Point (a) of Article 32(3) of Delegated Regulation (EU) 2015/61

Credit institutions shall report in row 050 of C 74.00 of ANNEX XXIV


— for each Column 010, 020 and 030 the total amount of other monies due from non-financial customers (except for central banks) as the sum of monies due from non-financial customers by counterparty and
— for each Column 140, 150 and 160 total other inflows from non-financial customers (except for central banks) as the sum of other inflows from non-financial customers by counterparty.

Monies due from non-financial customers (except for central banks) not corresponding to principal repayment shall be reported in section 1.1.1.1. and shall not be reported here.

Other monies due from central banks shall be reported in section 1.1.2. and shall not be reported here.

Inflows corresponding to outflows in accordance with promotional loan commitments referred to in Article 31(9) of Delegated Regulation (EU) 2015/61 shall be reported in section 1.1.3. and shall not be reported here.

060  1.1.1.2.1. 
Point (a) of Article 32(3) of Delegated Regulation (EU) 2015/61

Monies due from retail customers with a residual maturity of no more than 30 days.

070  1.1.1.2.2. 
Point (a) of Article 32(3) of Delegated Regulation (EU) 2015/61

Monies due from non-financial corporates with a residual maturity of no more than 30 days.

080  1.1.1.2.3. 
Point (a) of Article 32(3) of Delegated Regulation (EU) 2015/61

Monies due from sovereigns, multilateral development banks and public sector entities with a residual maturity of no more than 30 days.

090  1.1.1.2.4. 
Point (a) of Article 32(3) of Delegated Regulation (EU) 2015/61

Monies due from other legal entities not included anywhere above with a residual maturity of no more than 30 days.

100  1.1.2. 
Point (a) of Article 32(2) and point (d) of Article 32(3) in conjunction with Article 27 of Delegated Regulation (EU) 2015/61

Credit institutions shall report in row 100 of C 74.00 of ANNEX XXIV


— for each Column 010, 020 and 030 the total amount of monies due from central banks and financial customers (operational as well as non-operational deposits); and
— for each Column 140, 150 and 160 total inflows from central banks and financial customers (operational as well as non-operational deposits).

Credit institutions shall report here monies due with a residual maturity of no more than 30 days from central banks and financial customers, that are not past due and for which the bank has no reason to expect non-performance within the 30-day time horizon.

 Monies due from central banks and financial customers not corresponding to principal repayment shall be reported in the relevant section.Deposits at the central institution referred to in Article 27(3) of Delegated Regulation (EU) 2015/61 shall not be reported as an inflow.Monies due from trade finance transactions with a residual maturity of no more than 30 days shall be reported in section 1.1.4. and shall not be reported here. Monies due from securities maturing within 30 calendar days shall be reported in section 1.1.5. and shall not be reported here.
110  1.1.2.1. 
Point (d) of Article 32(3) in conjunction with Article 27 of Delegated Regulation (EU) 2015/61

Credit institutions shall report in row 110 of C 74.00 of ANNEX XXIV


— for each Column 010, 020 and 030 the total amount of monies due from financial customers being classified as operational deposits (disregarding whether the credit institution is able to establish a corresponding symmetrical inflow rate or not); and
— for each Column 140, 150 and 160 total inflows from financial customers being classified as operational deposits (disregarding whether the credit institution is able to establish a corresponding symmetrical inflow rate or not).

Credit institutions shall report here monies due from financial customers in order, for the credit institution, to obtain clearing, custody or cash management services in accordance with Article 27 of Delegated Regulation (EU) 2015/61.

120  1.1.2.1.1. 
Point (d) of Article 32(3) in conjunction with Article 27 of Delegated Regulation (EU) 2015/61

Monies due from financial customers with a residual maturity of no more than 30 days in order, for the credit institution, to obtain clearing, custody or cash management services in accordance with Article 27 of Delegated Regulation (EU) 2015/61 where the credit institution is able to establish a corresponding symmetrical inflow rate.

130  1.1.2.1.2. 
Point (d) of Article 32(3) in conjunction with Article 27 of Delegated Regulation (EU) 2015/61

Monies due from financial customers with a residual maturity of no more than 30 days in order, for the credit institution, to obtain clearing, custody or cash management services in accordance with Article 27 of Delegated Regulation (EU) 2015/61 where the credit institution is not able to establish a corresponding symmetrical inflow rate. For these items, a 5 % inflow rate shall be applied.

140  1.1.2.2. 
Point (a) of Article 32(2) of Delegated Regulation (EU) 2015/61

Credit institutions shall report in row 140 of C 74.00 of ANNEX XXIV


— for each Column 010, 020 and 030 the total amount of monies due from central banks and financial customers not being classified as operational deposits and
— for each Column 140, 150 and 160 total inflows from central banks and financial customers not being classified as operational deposits.

Credit institutions shall report here monies due from central banks and financial customers which do not qualify for the treatment as operational deposits as specified in point (d) of Article 32(3) in conjunction with Article 27 of Delegated Regulation (EU) 2015/61.

150  1.1.2.2.1. 
Point (a) of Article 32(2) of Delegated Regulation (EU) 2015/61

Monies due from central banks with a residual maturity of no more than 30 days in accordance with point (a) of Article 32(2) of Delegated Regulation (EU) 2015/61.

160  1.1.2.2.2. 
Point (a) of Article 32(2) of Delegated Regulation (EU) 2015/61

Monies due from financial customers with a residual maturity of no more than 30 days which do not qualify for the treatment as operational deposits as specified in point (d) of Article 32(3) in conjunction with Article 27 of Delegated Regulation (EU) 2015/61.

Inflows corresponding to outflows in accordance with promotional loan commitments referred to in Article 31(9) of Delegated Regulation (EU) 2015/61 shall be reported in section 1.1.3. and shall not be reported here.

170  1.1.3. 
Point (a) of Article 32(3) of Delegated Regulation (EU) 2015/61

Inflows corresponding to outflows in accordance with promotional loan commitments referred to in Article 31(9) of Delegated Regulation (EU) 2015/61.

180  1.1.4. 
Point (b) of Article 32(2) of Delegated Regulation (EU) 2015/61

Monies due from trade financing transactions with a residual maturity of no more than 30 days in accordance with point (b) of Article 32(2) of Delegated Regulation (EU) 2015/61.

190  1.1.5. 
Point (c) of Article 32(2) of Delegated Regulation (EU) 2015/61

Monies due from securities maturing within 30 calendar days in accordance with point (c) of Article 32(2) of Delegated Regulation (EU) 2015/61.

201  1.1.6. 
Point (i) of Article 32(3) of Delegated Regulation (EU) 2015/61

Loans with an undefined contractual end date in accordance with point (i) of Article 32(3) of Delegated Regulation (EU) 2015/61. The credit institution shall only consider those loans where the contract allows the credit institution to withdraw or to request payment within 30 calendar days. Interest and minimum payments to be debited against the client account within 30 calendar days shall be included in the amount reported. Interest and minimum payments from loans with an undefined contractual end date that are contractually due and give rise to an actual cash inflow within the next 30 calendar days shall be considered as monies due and shall be reported in the relevant row, following the treatment prescribed by Article 32 for monies due. Credit institutions shall not report other interest that accrues, but that is neither debited against the client account nor giving rise to an actual cash inflow over the next 30 calendar days.

210  1.1.7. 
Point (d) of Article 32(2) of Delegated Regulation (EU) 2015/61

Monies due from positions in major index equity instruments provided that there is no double counting with liquid assets in accordance with point (d) of Article 32(2) of Delegated Regulation (EU) 2015/61. Position shall include monies contractually due within 30 calendar days, such as cash dividends from those major indexes and cash due from those equity instruments sold but not yet settled, if they are not recognised as liquid assets in accordance with Title II of Delegated Regulation (EU) 2015/61.

230  1.1.8. 
Article 32(4) of Delegated Regulation (EU) 2015/61

Inflows from the release of balances held in segregated accounts in accordance with regulatory requirements for the protection of customer trading assets in accordance with Article 32(4) of Delegated Regulation (EU) 2015/61.

Inflows shall only be considered if these balances are maintained in liquid assets as specified in Title II of Delegated Regulation (EU) 2015/61.

240  1.1.9. 
Article 32(5) in conjunction with Article 21 of Delegated Regulation (EU) 2015/61

The net amount of receivables expected over 30 calendar days period from the contracts listed in Annex II of Regulation (EU) No 575/2013 and from credit derivatives.

Credit institutions shall calculate inflows expected over 30 calendar days on a net basis by counterparty subject to the existence of bilateral netting agreements in accordance with Article 295 of Regulation (EU) No 575/2013. Net basis shall mean also net of collateral received provided that it qualifies as a liquid asset under Title II of Delegated Regulation (EU) 2015/61.

Cash outflows and inflows arising from foreign currency derivative or credit derivative transactions that involve a full exchange of principal amounts on a simultaneous basis (or within the same day) shall be calculated on a net basis, even where those transactions are not covered by a bilateral netting agreement.

In the case of a separate reporting in accordance with Article 415(2) of Regulation (EU) 575/2013, derivative or credit derivative transactions shall be separated into each respective currency. Netting by counterparty may only be applied to flows in that currency.

250  1.1.10. 
Article 34 of Delegated Regulation (EU) 2015/61

Inflows from undrawn credit or liquidity facilities provided by members of a group or an institutional protection scheme where the competent authority has granted permission to apply a higher inflow rate in accordance with Article 34 of Delegated Regulation (EU) 2015/61.

260  1.1.11. 
Article 32(2) of Delegated Regulation (EU) 2015/61

All other inflows in accordance with Article 32(2) of Delegated Regulation (EU) 2015/61 not reported anywhere else in the template.

263  1.2. 
Points (b), (c) and (f) of Article 32(3)of Delegated Regulation (EU) 2015/61 refer to inflows resulting from secured lending and capital market-driven transactions with a residual maturity of no more than 30 days.

Credit institutions shall report in row 263 of C 74.00 of ANNEX XXIV


— for each Column 010, 020 and 030 the total amount of monies due from secured lending and capital market-driven transactions; and
— for each Column 140, 150 and 160 total inflows from secured lending and capital market driven transactions.

Collateral swap transactions maturing within 30 calendar days shall be reported in template C 75.01 of Annex XXIV and shall not be reported here.

265  1.2.1. 
Credit institutions shall report here inflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 with a residual maturity of no more than 30 days where the counterparty is a central bank.

Credit institutions shall report in row 265 of C 74.00 of ANNEX XXIV


— for each Column 010, 020 and 030 the total amount of monies due from secured lending and capital market-driven transactions where the counterparty is a central bank; and
— for each Column 140, 150 and 160 total inflows from secured lending and capital market driven transactions where the counterparty is a central bank.

267  1.2.1.1. 
Credit institutions shall report in row 267 of C 74.00 of ANNEX XXIV


— for each Column 010, 020 and 030 the total amount of monies due from secured lending and capital market-driven transactions with a residual maturity of no more than 30 days where the counterparty is a central bank and where the transaction is collateralised by liquid assets; and
— for each Column 140, 150 and 160 total inflows from secured lending and capital market driven transactions with a residual maturity of no more than 30 days where the counterparty is a central bank and where the transaction is collateralised by liquid assets.

Credit institutions shall report secured lending and capital market-driven transactions with a residual maturity of no more than 30 days where the counterparty is a central bank and where the transaction is collateralised by liquid assets, whether or not they are re-used in another transaction and irrespective of whether the liquid assets received meet the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

269  1.2.1.1.1. 
Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61

Secured lending and capital market-driven transactions with a residual maturity of no more than 30 days where the counterparty is a central bank and where the transaction is collateralised by assets that, whether or not they are re-used in another transaction, would qualify in accordance with Articles 7 and 10 of Delegated Regulation (EU) 2015/61 as liquid assets of any of the categories of level 1 asset referred to in Article 10 with the exception of extremely high quality covered bonds referred to in point (f) of Article 10(1).

271  1.2.1.1.1.1. 
Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61

Of the transactions in item 1.2.1.1.1, those transactions where the collateral received meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

273  1.2.1.1.2. 
Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61

Secured lending and capital market-driven transactions with a residual maturity of no more than 30 days where the counterparty is a central bank and where the transaction is collateralised by assets that, whether or not they are re-used in another transaction, would qualify in accordance with Articles 7 and 10 of Delegated Regulation (EU) 2015/61 as liquid assets of the category referred to in point (f) of Article 10(1).

275  1.2.1.1.2.1. 
Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61

Of the transactions in item 1.2.1.1.2, those transactions where the collateral received meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

277  1.2.1.1.3. 
Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61

Secured lending and capital market-driven transactions with a residual maturity of no more than 30 days where the counterparty is a central bank and where the transaction is collateralised by assets that, whether or not they are re-used in another transaction, would qualify in accordance with Articles 7 and 11 of Delegated Regulation (EU) 2015/61 as liquid assets of any of the categories of level 2A asset referred to in Article 11.

279  1.2.1.1.3.1. 
Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61

Of the transactions in item 1.2.1.1.3, those transactions where the collateral received meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

281  1.2.1.1.4. 
Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61

Secured lending and capital market-driven transactions with a residual maturity of no more than 30 days where the counterparty is a central bank and where the transaction is collateralised by assets that, whether or not they are re-used in another transaction, would qualify in accordance with Articles 7 and 13 of Delegated Regulation (EU) 2015/61 as liquid assets of any of the categories of level 2B asset referred to in point (i), (ii) or (iv) of point (g) of Article 13(2).

283  1.2.1.1.4.1. 
Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61

Of the transactions in item 1.2.1.1.4, those transactions where the collateral received meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

285  1.2.1.1.5. 
Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61

Secured lending and capital market-driven transactions with a residual maturity of no more than 30 days where the counterparty is a central bank and where the transaction is collateralised by assets that, whether or not they are re-used in another transaction, would qualify in accordance with Articles 7 and 12 of Delegated Regulation (EU) 2015/61 as liquid assets of the category of level 2B asset referred to in point (e) of Article 12(1).

287  1.2.1.1.5.1. 
Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61

Of the transactions in item 1.2.1.1.5, those transactions where the collateral received meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

289  1.2.1.1.6. 
Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61

Secured lending and capital market-driven transactions with a residual maturity of no more than 30 days where the counterparty is a central bank and where the transaction is collateralised by assets that, whether or not they are re-used in another transaction, would qualify in accordance with Articles 7 and 13 of Delegated Regulation (EU) 2015/61 as liquid assets of any of the categories of level 2B asset referred to in point (iii) or (v) of point (g) of Article 13(2).

291  1.2.1.1.6.1. 
Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61

Of the transactions in item 1.2.1.1.6, those transactions where the collateral received meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

293  1.2.1.1.7. 
Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61

Secured lending and capital market-driven transactions with a residual maturity of no more than 30 days where the counterparty is a central bank and where the transaction is collateralised by assets that, whether or not they are re-used in another transaction, would qualify in accordance with Articles 7 and 12 of Delegated Regulation (EU) 2015/61 as liquid assets of any of the categories of level 2B asset referred to in point (b), (c) or (f) of Article 12(1).

295  1.2.1.1.7.1. 
Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61

Of the transactions in item 1.2.1.1.7, those transactions where the collateral received meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

297  1.2.1.2. 
Point (b) of Article 32(3)of Delegated Regulation (EU) 2015/61

Secured lending and capital market-driven transactions with a residual maturity of no more than 30 days where the counterparty is a central bank and where the transaction is collateralised by assets which are used to cover a short position in accordance with the second sentence of Article 30(5). Where collateral of any type is used to cover a short, this shall be reported here and not in any of the lines above. There shall be no double-counting.

299  1.2.1.3. 
Credit institutions shall report in row 299 of C 74.00 of ANNEX XXIV secured lending and capital market-driven transactions with a residual maturity of no more than 30 days where the counterparty is a central bank and where the collateral does not qualify as a liquid asset. Credit institutions shall report


— for each Column 010, 020 and 030 the total amount of monies due from those transactions as the sum of monies due from secured lending and capital market-driven transactions where the collateral is non-liquid equity and secured lending and capital market-driven transactions backed by any other non-liquid collateral; and
— for each Column 140, 150 and 160 total inflows from those transactions as the sum of inflows from secured lending and capital market-driven transactions where the collateral is non-liquid equity and secured lending and capital market-driven transactions backed by any other non-liquid collateral.

301  1.2.1.3.1. 
Point (b) of Article 32(3)of Delegated Regulation (EU) 2015/61

Secured lending and capital market-driven transactions with a residual maturity of no more than 30 days where the counterparty is a central bank and where the transaction is collateralised non-liquid equity.

303  1.2.1.3.2. 
Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61

Secured lending and capital market-driven transactions with a residual maturity of no more than 30 days where the counterparty is a central bank and where the transaction is collateralised by non-liquid assets not already captured in section 1.2.1.3.1.

305  1.2.2. 
Credit institutions shall report here inflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 with a residual maturity of no more than 30 days where the counterparty is not a central bank.

Credit institutions shall report in row 305 of C 74.00 of ANNEX XXIV


— for each Column 010, 020 and 030 the total amount of monies due from secured lending and capital market-driven transactions where the counterparty is not a central bank; and
— for each Column 140, 150 and 160 total inflows from secured lending and capital market driven transactions where the counterparty is not a central bank.

307  1.2.2.1. 
Credit institutions shall report in row 307 of C 74.00 of ANNEX XXIV


— for each Column 010, 020 and 030 the total amount of monies due from secured lending and capital market-driven transactions with a residual maturity of no more than 30 days where the counterparty is not a central bank and where the transaction is collateralised by liquid assets; and
— for each Column 140, 150 and 160 total inflows from secured lending and capital market driven transactions with a residual maturity of no more than 30 days where the counterparty is not a central bank and where the transaction is collateralised by liquid assets.

Credit institutions shall report secured lending and capital market-driven transactions with a residual maturity of no more than 30 days where the counterparty is not a central bank and where the transaction is collateralised by liquid assets, whether or not they are re-used in another transaction and irrespective of whether the liquid assets received meet the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

309  1.2.2.1.1. 
Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61

Secured lending and capital market-driven transactions with a residual maturity of no more than 30 days where the counterparty is not a central bank and where the transaction is collateralised by assets that, whether or not they are re-used in another transaction, would qualify in accordance with Articles 7 and 10 of Delegated Regulation (EU) 2015/61 as liquid assets of any of the categories of level 1 asset referred to in Article 10 with the exception of extremely high quality covered bonds referred to in point (f) of Article 10(1).

311  1.2.2.1.1.1. 
Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61

Of the transactions in item 1.2.2.1.1, those transactions where the collateral received meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

313  1.2.2.1.2. 
Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61

Secured lending and capital market-driven transactions with a residual maturity of no more than 30 days where the counterparty is not a central bank and where the transaction is collateralised by assets that, whether or not they are re-used in another transaction, would qualify in accordance with Articles 7 and 10 of Delegated Regulation (EU) 2015/61 as liquid assets of the category referred to in point (f) of Article 10(1).

315  1.2.2.1.2.1. 
Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61

Of the transactions in item 1.2.2.1.2, those transactions where the collateral received meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

317  1.2.2.1.3. 
Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61

Secured lending and capital market-driven transactions with a residual maturity of no more than 30 days where the counterparty is not a central bank and where the transaction is collateralised by assets that, whether or not they are re-used in another transaction, would qualify in accordance with Articles 7 and 11 of Delegated Regulation (EU) 2015/61 as liquid assets of any of the categories of level 2A asset referred to in Article 11.

319  1.2.2.1.3.1. 
Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61

Of the transactions in item 1.2.2.1.3, those transactions where the collateral received meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

321  1.2.2.1.4. 
Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61

Secured lending and capital market-driven transactions with a residual maturity of no more than 30 days where the counterparty is not a central bank and where the transaction is collateralised by assets that, whether or not they are re-used in another transaction, would qualify in accordance with Articles 7 and 13 of Delegated Regulation (EU) 2015/61 as liquid assets of any of the categories of level 2B asset referred to in point (i), (ii) or (iv) of point (g) of Article 13(2).

323  1.2.2.1.4.1. 
Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61

Of the transactions in item 1.2.2.1.4, those transactions where the collateral received meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

325  1.2.2.1.5. 
Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61

Secured lending and capital market-driven transactions with a residual maturity of no more than 30 days where the counterparty is not a central bank and where the transaction is collateralised by assets that, whether or not they are re-used in another transaction, would qualify in accordance with Articles 7 and 12 of Delegated Regulation (EU) 2015/61 as liquid assets of the category of level 2B asset referred to in point (e) of Article 12(1).

327  1.2.2.1.5.1. 
Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61

Of the transactions in item 1.2.2.1.5, those transactions where the collateral received meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

329  1.2.2.1.6. 
Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61

Secured lending and capital market-driven transactions with a residual maturity of no more than 30 days where the counterparty is not a central bank and where the transaction is collateralised by assets that, whether or not they are re-used in another transaction, would qualify in accordance with Articles 7 and 13 of Delegated Regulation (EU) 2015/61 as liquid assets of any of the categories of level 2B asset referred to in point (iii) or (v) of point (g) of Article 13(2).

331  1.2.1.1.6.1. 
Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61

Of the transactions in item 1.2.2.1.6, those transactions where the collateral received meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

333  1.2.2.1.7. 
Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61

Secured lending and capital market-driven transactions with a residual maturity of no more than 30 days where the counterparty is not a central bank and where the transaction is collateralised by assets that, whether or not they are re-used in another transaction, would qualify in accordance with Articles 7 and 12 of Delegated Regulation (EU) 2015/61 as liquid assets of any of the categories of level 2B asset referred to in point (b), (c) or (f) of Article 12(1).

335  1.2.2.1.7.1. 
Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61

Of the transactions in item 1.2.2.1.7, those transactions where the collateral received meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

337  1.2.2.2. 
Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61

Secured lending and capital market-driven transactions with a residual maturity of no more than 30 days where the counterparty is not a central bank and where the transaction is collateralised by assets which are used to cover a short position in accordance with the second sentence of Article 30(5). Where collateral of any type is used to cover a short, this shall be reported here and not in any of the lines above. There shall be no double-counting.

339  1.2.2.3. 
Credit institutions shall report in row 339 of C 74.00 of ANNEX XXIV secured lending and capital market-driven transactions with a residual maturity of no more than 30 days where the counterparty is not a central bank and where the collateral does not qualify as a liquid asset. Credit institutions shall report


— for each Column 010, 020 and 030 the total amount of monies due from those transactions as the sum of monies due from margin loans where the collateral is non-liquid, secured lending and capital market-driven transactions where the collateral is non-liquid equity and secured lending and capital market-driven transactions backed by any other non-liquid collateral; and
— for each Column 140, 150 and 160 total inflows from those transactions as the sum of inflows from margin loans where the collateral is non-liquid, secured lending and capital market-driven transactions where the collateral is non-liquid equity and secured lending and capital market-driven transactions backed by any other non-liquid collateral.

341  1.2.2.3.1. 
Point (c) of Article 32(3) of Delegated Regulation (EU) 2015/61

Margin loans made against non-liquid assets with a residual maturity of no more than 30 days where the counterparty is not a central bank and where the assets received are not used to cover short positions as outlined in Point (c) of Article 32(3) of Delegated Regulation (EU) 2015/61.

343  1.2.2.3.2. 
Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61

Secured lending and capital market-driven transactions with a residual maturity of no more than 30 days where the counterparty is not a central bank and where the transaction is collateralised non-liquid equity.

345  1.2.2.3.3. 
Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61

Secured lending and capital market-driven transactions with a residual maturity of no more than 30 days where the counterparty is not a central bank and where the transaction is collateralised by non-liquid assets not already captured in section 1.2.2.3.1 or 1.2.2.3.2.

410  1.3. 
Credit institutions shall report here the sum of total inflows from collateral swaps as calculated in template C 75.01 of ANNEX XXIV.

420  1.4. 
Article 32(8) of Delegated Regulation (EU) 2015/61

Institutions shall report in the relevant Column 140, 150 and 160 the sum of total weighted inflows from third countries where there are transfer restrictions or which are denominated in non-convertible currencies less the sum of total weighted outflows to third countries where there are transfer restrictions or which are denominated in non-convertible currencies as reported in C 73.00 of ANNEX XXIV. In case this amount is negative, institutions shall report “0”.

430  1.5. 
Point (e) of Article 2(3) and Article 33(6) of Delegated Regulation (EU) 2015/61

Credit institutions reporting on a consolidated basis shall report in the relevant column 140, 150 or 160, the amount of the inflows arising from a related specialised credit institution referred to in Article 33(3) and (4) of Delegated Regulation (EU) 2015/61 that are in excess of the amount of outflows arising from the same undertaking.

MEMORANDUM ITEMS
450  2. 
This memorandum item shall only be reported in case of a separate reporting of the reporting currency or of a currency other than the reporting currency in accordance with Article 415(2) of Regulation (EU) 575/2013.

Credit institutions shall report the portion of inflows from derivatives (reported in section 1.1.9.) which relate to FX principal flows in the respective currency from cross-currency swaps, FX spot and forward transactions maturing within the 30 day period. Netting by counterparty may only be applied to flows in that currency.

460  3. 
Credit institutions shall report here as memorandum items all transactions reported in section 1 (excluding section 1.1.10.) where the counterparty is a parent or a subsidiary of the credit institution or another subsidiary of the same parent or linked to the credit institution by a relationship within the meaning of Article 12(1) of Directive 83/349/EEC or a member of the same institutional protection scheme referred to in Article 113(7) of Regulation (EU) No 575/2013 or the central institution or an affiliate of a network or cooperative group as referred to in Article 10 of Regulation (EU) No 575/2013.

Credit institutions shall report in row 460 of C 74.00 of ANNEX XXIV


— for each Column 010, 020 and 030 the total amount of monies due/maximum amount that can be drawn within a group or an institutional protection scheme as the sum of monies due/maximum amount that can be drawn within a group or an institutional protection scheme by type of transaction and counterparty; and
— for each Column 140, 150 and 160 total inflows within group or an institutional protection scheme as the sum of inflows within a group or an institutional protection scheme by type of transaction and counterparty.

470  3.1. 
Credit institutions shall report here all monies due from non-financial customers reported in section 1.1.1. where the counterparty is a parent or a subsidiary of the credit institution or another subsidiary of the same parent or linked to the credit institution by a relationship within the meaning of Article 12(1) of Directive 83/349/EEC or a member of the same institutional protection scheme referred to in Article 113(7) of Regulation (EU) No 575/2013 or the central credit institution or an affiliate of a network or cooperative group as referred to in Article 10 of Regulation (EU) No 575/2013.

480  3.2. 
Credit institutions shall report here all monies due from financial customers reported in section 1.1.2. where the counterparty is a parent or a subsidiary of the credit institution or another subsidiary of the same parent or linked to the credit institution by a relationship within the meaning of Article 12(1) of Directive 83/349/EEC or a member of the same institutional protection scheme referred to in Article 113(7) of Regulation (EU) No 575/2013 or the central institution or an affiliate of a network or cooperative group as referred to in Article 10 of Regulation (EU) No 575/2013.

490  3.3. 
Credit institutions shall report here all monies due from secured lending and capital market driven transaction as well as the total market value of received collateral reported in section 1.2., where the counterparty is a parent or a subsidiary of the credit institution or another subsidiary of the same parent or linked to the credit institution by a relationship within the meaning of Article 12(1) of Directive 83/349/EEC or a member of the same institutional protection scheme referred to in Article 113(7) of Regulation (EU) No 575/2013 or the central institution or an affiliate of a network or cooperative group as referred to in Article 10 of Regulation (EU) No 575/2013.

500  3.4. 
Credit institutions shall report here all monies due from maturing securities within 30 days reported in section 1.1.5. where the issuer is a parent or a subsidiary of the credit institution or another subsidiary of the same parent or linked to the credit institution by a relationship within the meaning of Article 12(1) of Directive 83/349/EEC or a member of the same institutional protection scheme referred to in Article 113(7) of Regulation (EU) No 575/2013 or the central institution or an affiliate of a network or cooperative group as referred to in Article 10 of Regulation (EU) No 575/2013.

510  3.5. 
Credit institutions shall report here any other inflows within a group or an institutional protection scheme reported in section 1.1.3. to 1.1.11. (excluding section 1.1.5. and 1.1.10.) where the counterparty is a parent or a subsidiary of the credit institution or another subsidiary of the same parent or linked to the credit institution by a relationship within the meaning of Article 12(1) of Directive 83/349/EEC or a member of the same institutional protection scheme referred to in Article 113(7) of Regulation (EU) No 575/2013 or the central institution or an affiliate of a network or cooperative group as referred to in Article 10 of Regulation (EU) No 575/2013.

  4. 
Credit institutions shall report here secured lending transactions with a residual maturity up to 30 days where the counterparty is a central bank and where the relevant transactions are exempted from the application Article 17(2) and (3) of Delegated Regulation (EU) 2015/61 by its Article 17(4).

530  4.1. 
Credit institutions shall report here secured lending transactions maturing within 30 calendar days where the counterparty is a central bank, the collateral received is Level 1 collateral excluding extremely high quality covered bonds and meeting the operational requirements laid down in Article 8 of Delegated Regulation (EU) 2015/61, and where the relevant transactions are exempted from the application of Article 17(2) and (3) of Delegated Regulation (EU) 2015/61 by its Article 17(4).

540  4.2. 
Credit institutions shall report here secured lending transactions maturing within 30 calendar days where the counterparty is a central bank, the collateral received is Level 1 collateral which is extremely high quality covered bonds and meeting the operational requirements laid down in Article 8 of Delegated Regulation (EU) 2015/61, and where the relevant transactions are exempted from the application of Article 17(2) and (3) of Delegated Regulation (EU) 2015/61 by its Article 17(4).

550  4.3. 
Credit institutions shall report here secured lending transactions maturing within 30 calendar days where the counterparty is a central bank, the collateral received is Level 2A collateral and meeting the operational requirements laid down in Article 8 of Delegated Regulation (EU) 2015/61, and where the relevant transactions are exempted from the application of Article 17(2) and (3) of Delegated Regulation (EU) 2015/61 by its Article 17(4).

560  4.4. 
Credit institutions shall report here secured lending transactions maturing within 30 calendar days where the counterparty is a central bank, the collateral received is Level 2B collateral and meeting the operational requirements laid down in Article 8 of Delegated Regulation (EU) 2015/61, and where the relevant transactions are exempted from the application of Article 17(2) and (3) of Delegated Regulation (EU) 2015/61 by its Article 17(4).

570  4.5. 
Credit institutions shall report here secured lending transactions maturing within 30 calendar days where the counterparty is a central bank, the collateral received is a non-liquid collateral and where the relevant transactions are exempted from the application of Article 17(2) and (3) of Delegated Regulation (EU) 2015/61 by its Article 17(4).

 1.  1.1.  1. Any transaction maturing within the next 30 calendar days in which non-cash assets are swapped for other non-cash assets, shall be reported in this template. Items which do not need to be completed by institutions are coloured grey.
 2. Collateral swap transactions that mature within the next 30 calendar days shall lead to an outflow if the asset borrowed is subject to a lower haircut under Chapter 2 of Delegated Regulation (EU) 2015/61 than the asset lent. The outflow shall be calculated by multiplying the market value of the asset borrowed by the difference between the outflow rate applicable to the asset lent and the outflow rate applicable to the asset borrowed in secured funding transactions maturing within the next 30 calendar days. In the case that the counterparty is the credit institution’s domestic central bank, the outflow rate to be applied to the market value of the asset borrowed shall be 0%. The meaning of the credit institution’s domestic central bank follows the definition provided under Article 28(8) of Delegated Regulation (EU) 2015/61.
 3. Collateral swaps that mature within the next 30 calendar days shall lead to an inflow where, under Chapter 2 of Delegated Regulation (EU) 2015/61, the asset lent is subject to a lower haircut than the asset borrowed. The inflow shall be calculated by multiplying the market value of the asset lent by the difference between the inflow rate applicable to the asset borrowed and the inflow rate applicable to the asset lent in secured lending transactions maturing within the next 30 calendar days. If the collateral obtained is used to cover short positions that can be extended beyond 30 calendar days no inflow shall be recognised.
 4. For liquid assets the liquidity value is calculated in accordance with Article 9 of Delegated Regulation (EU) 2015/61.
 5. Each collateral swap transaction shall be assessed individually and the flow reported as either an outflow or an inflow (per transaction) in the corresponding row. If one trade contains multiple categories of collateral type (e.g. a basket of collateral) then for reporting it shall be split into parts corresponding with the template rows and assessed in parts. In the context of swap transactions of collateral baskets or pools that are maturing within the next 30 calendar days, non-cash assets lent shall be assigned individually to non-cash assets borrowed, in accordance with the liquid assets categories as defined in Title II, Chapter 2 of Delegated Regulation (EU) 2015/61, starting from the least liquid combination (i.e. non-liquid non-cash assets lent, non-liquid non-cash assets borrowed). Any excess collateral within one combination is moved to the higher category, so that up to the most liquid combination, the relevant combinations are fully matched. Any overall excess collateral is then captured in the most liquid combination.
 6. Collateral swap transactions involving shares or units in CIUs shall be reported as if the transactions would involve the assets underlying the CIU. The different haircuts applied to shares or units in CIUs shall be reflected in the relevant outflow or inflow rate to be reported.
 7. Credit institutions shall report the template in the corresponding currencies in accordance with Article 415 (2) of Regulation (EU) 575/2013. In this case, the reported balances shall comprise only those which are denominated in the relevant currency to ensure that currency gaps are correctly reflected. This may mean that only one side of the transaction is reported in the relevant currency template, with corresponding impact on the excess liquidity value.
 1.2.  8. For the calculation of inflows or outflows, collateral swap transactions shall be reported irrespective of whether the underlying collateral involved meets, or would meet if not already being used to secure this transaction, the operational requirements as provided under Article 8 of Delegated Regulation (EU) 2015/61. Furthermore, in order to allow for the calculation of the adjusted stock of liquid assets in accordance with Article 17(2) of Delegated Regulation (EU) 2015/61, credit institutions shall also report separately those transactions where at least one collateral leg meets the operational requirements as provided under Article 8 of Delegated Regulation (EU) 2015/61.
 9. Where an institution may only recognise part of their foreign currency shares, or foreign currency central government or bank assets, or domestic currency central government or central bank assets within their HQLA, only the recognizable part shall be reported within rows on the Level 1, Level 2A and Level 2B assets in accordance with point (ii) of point (c) of Article 12(1) and point (d) of Article 10(1) of Delegated Regulation (EU) 2015/61. Where the particular asset is used as collateral but in an amount which is surplus to the portion which can be recognised within liquid assets, the surplus amount shall be reported in the non-liquid section.
 10. Collateral Swaps involving Level 2A assets shall be reported in the corresponding L2A asset row, even if the Alternative Liquidity Approach is being followed (i.e. do not move L2A to L1 in the collateral swaps reporting).
 1.3.  1.3.1. 

Column Legal references and instructions
0010 
The market value of the collateral lent shall be reported in Column 0010. The market value shall reflect current market value, be gross of haircut and be net of flows resulting from unwinding associated hedges in accordance with Article 8(5) of Delegated Regulation (EU) 2015/61.

0020 
The liquidity value of the collateral lent shall be reported in Column 0020. For liquid assets, the liquidity value shall reflect the value of the asset net of haircut.

0030 
The market value of the collateral borrowed shall be reported in Column 0030. The market value shall reflect current market value, be gross of haircut and be net of flows resulting from unwinding associated hedges in accordance with Article 8(5) of Delegated Regulation (EU) 2015/61.

0040 
The liquidity value of the collateral borrowed shall be reported in Column 0040. For liquid assets, the liquidity value shall reflect the value of the asset net of haircut.

0050 
Articles 28 and 32 of Delegated Regulation (EU) 2015/61,

The standard weights in column 0050 are those specified in Delegated Regulation (EU) 2015/61 by default and are provided for information only.

0060 
Articles 28 and 32 of Delegated Regulation (EU) 2015/61,

The applicable weights are those specified in Articles 28 and 32 of Delegated Regulation (EU) 2015/61. Applicable weights may result in weighted average values and shall be reported in decimal terms (i.e. 1,0 for an applicable weight of 100 per cent, or 0,5 for an applicable weight of 50 per cent). Applicable weights may reflect, but are not limited to, firm-specific and national discretions.

0070 
Credit institutions shall report here the outflows. This is calculated by multiplying column 0060 by column 0030, both from C75.01 of Annex XXIV

0080 
Credit institutions shall report here the inflows of transactions subject to the 75% cap on inflows. The inflows are calculated by multiplying column 0060 by column 0010, both from C 75.01 of Annex XXIV.

0090 
Credit institutions shall report here the inflows of transactions subject to the 90% cap on inflows. The inflows are calculated by multiplying column 0060 by column 0010, both from C 75.01 of Annex XXIV.

0100 
Credit institutions shall report here the inflows of transactions exempt from the cap on inflows. The inflows are calculated by multiplying column 0060 by column 0010, both from C 75.01 of Annex XXIV.

 1.3.2. 

Row Legal references and instructions
0010  1. 
Articles 28(4) and 32(3) of Delegated Regulation (EU) 2015/61

Credit Institutions shall report here, for the relevant columns, the total values of collateral swaps.

0020  1.1. 
Articles 28(4) and 32(3) of Delegated Regulation (EU) 2015/61

Credit Institutions shall report here, for each relevant column, the total values of collateral swaps for transactions in which Level 1 assets (excl. EHQ covered bonds) are lent.

0030  1.1.1. 
Such transactions in which the institution has swapped Level 1 assets excl. EHQ covered bonds (lent) for Level 1 assets excl. EHQ covered bonds (borrowed).

0040  1.1.1.1. 
Of the transactions in item 1.1.1., credit institutions shall report


— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

0050  1.1.2. 
Such transactions in which the institution has swapped Level 1 assets excl. EHQ covered bonds (lent) for Level 1 extremely high quality covered bonds (borrowed).

0060  1.1.2.1. 
Of the transactions in item 1.1.2., credit institutions shall report


— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

0070  1.1.3. 
Such transactions in which the institution has swapped Level 1 assets excl. EHQ covered bonds (lent) for Level 2A assets (borrowed).

0080  1.1.3.1. 
Of the transactions in item 1.1.3., credit institutions shall report


— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

0090  1.1.4. 
Such transactions in which the institution has swapped Level 1 assets excl. EHQ covered bonds (lent) for Level 2B asset-backed securities (residential or automobile, CQS1) (borrowed).

0100  1.1.4.1. 
Of the transactions in item 1.1.4., credit institutions shall report


— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

0110  1.1.5. 
Such transactions in which the institution has swapped Level 1 assets excl. EHQ covered bonds (lent) for Level 2B high quality covered bonds (borrowed).

0120  1.1.5.1. 
Of the transactions in item 1.1.5., credit institutions shall report


— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

0130  1.1.6. 
Such transactions in which the institution has swapped Level 1 assets excl. EHQ covered bonds (lent) for Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (borrowed).

0140  1.1.6.1. 
Of the transactions in item 1.1.6., credit institutions shall report


— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

0150  1.1.7. 
Such transactions in which the institution has swapped Level 1 assets excl. EHQ covered bonds (lent) for Other Level 2B (borrowed).

0160  1.1.7.1. 
Of the transactions in item 1.1.7., credit institutions shall report


— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

0170  1.1.8. 
Such transactions in which the institution has swapped Level 1 assets excl. EHQ covered bonds (lent) for Non-liquid assets (borrowed).

0180  1.1.8.1. 
Of the transactions in item 1.1.8., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset.

0190  1.2. 
Articles 28(4) and 32(3) of Delegated Regulation (EU) 2015/61

Credit Institutions shall report here, for the relevant columns, the total values of collateral swaps for transactions in which Level 1 extremely high quality covered bonds are lent.

0200  1.2.1. 
Such transactions in which the institution has swapped Level 1 extremely high quality covered bonds (lent) for Level 1 assets excl. EHQ covered bonds (borrowed).

0210  1.2.1.1. 
Of the transactions in item 1.2.1., credit institutions shall report


— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

0220  1.2.2. 
Such transactions in which the institution has swapped Level 1 extremely high quality covered bonds (lent) for Level 1 extremely high quality covered bonds (borrowed).

0230  1.2.2.1. 
Of the transactions in item 1.2.2., credit institutions shall report


— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

0240  1.2.3. 
Such transactions in which the institution has swapped Level 1 extremely high quality covered bonds (lent) for Level 2A assets (borrowed).

0250  1.2.3.1. 
Of the transactions in item 1.2.3., credit institutions shall report


— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

0260  1.2.4. 
Such transactions in which the institution has swapped Level 1 extremely high quality covered bonds (lent) for Level 2B asset-backed securities (residential or automobile, CQS1) (borrowed).

0270  1.2.4.1. 
Of the transactions in item 1.2.4., credit institutions shall report


— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

0280  1.2.5. 
Such transactions in which the institution has swapped Level 1 extremely high quality covered bonds (lent) for Level 2B high quality covered bonds (borrowed).

0290  1.2.5.1. 
Of the transactions in item 1.2.5., credit institutions shall report


— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

0300  1.2.6. 
Such transactions in which the institution has swapped Level 1 extremely high quality covered bonds (lent) for Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (borrowed).

0310  1.2.6.1. 
Of the transactions in item 1.2.6., credit institutions shall report


— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

0320  1.2.7. 
Such transactions in which the institution has swapped Level 1 extremely high quality covered bonds (lent) for Other Level 2B (borrowed).

0330  1.2.7.1. 
Of the transactions in item 1.2.7., credit institutions shall report


— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

0340  1.2.8. 
Such transactions in which the institution has swapped Level 1 extremely high quality covered bonds (lent) for Non-liquid assets (borrowed).

0350  1.2.8.1. 
Of the transactions in item 1.2.8., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset.

0360  1.3. 
Articles 28(4) and 32(3) of Delegated Regulation (EU) 2015/61

Credit Institutions shall report here, for the relevant columns, the total values of collateral swaps for transactions in which Level 2A assets are lent.

0370  1.3.1. 
Such transactions in which the institution has swapped Level 2A assets (lent) for Level 1 assets excl. EHQ covered bonds (borrowed).

0380  1.3.1.1. 
Of the transactions in item 1.3.1., credit institutions shall report


— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

0390  1.3.2. 
Such transactions in which the institution has swapped Level 2A assets (lent) for Level 1 extremely high quality covered bonds (borrowed).

0400  1.3.2.1. 
Of the transactions in item 1.3.2., credit institutions shall report


— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

0410  1.3.3. 
Such transactions in which the institution has swapped Level 2A assets (lent) for Level 2A assets (borrowed).

0420  1.3.3.1. 
Of the transactions in item 1.3.3., credit institutions shall report


— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

0430  1.3.4. 
Such transactions in which the institution has swapped Level 2A assets (lent) for Level 2B asset-backed securities (residential or automobile, CQS1) (borrowed).

0440  1.3.4.1. 
Of the transactions in item 1.3.4., credit institutions shall report


— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

0450  1.3.5. 
Such transactions in which the institution has swapped Level 2A assets (lent) for Level 2B high quality covered bonds (borrowed).

0460  1.3.5.1. 
Of the transactions in item 1.3.5., credit institutions shall report


— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

0470  1.3.6. 
Such transactions in which the institution has swapped Level 2A assets (lent) for Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (borrowed).

0480  1.3.6.1. 
Of the transactions in item 1.3.6., credit institutions shall report


— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

0490  1.3.7. 
Such transactions in which the institution has swapped Level 2A assets (lent) for Other Level 2B (borrowed).

0500  1.3.7.1. 
Of the transactions in item 1.3.7., credit institutions shall report


— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

0510  1.3.8. 
Such transactions in which the institution has swapped Level 2A assets (lent) for Non-liquid assets (borrowed).

0520  1.3.8.1. 
Of the transactions in item 1.3.8., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset.

0530  1.4. 
Articles 28(4) and 32(3) of Delegated Regulation (EU) 2015/61

Credit Institutions shall report here, for the relevant columns, the total values of collateral swaps for transactions in which Level 2B asset-backed securities (residential or automobile, CQS1) are lent.

0540  1.4.1. 
Such transactions in which the institution has swapped Level 2B asset-backed securities (residential or automobile, CQS1) (lent) for Level 1 assets excl. EHQ covered bonds (borrowed).

0550  1.4.1.1. 
Of the transactions in item 1.4.1., credit institutions shall report


— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

0560  1.4.2. 
Such transactions in which the institution has swapped Level 2B asset-backed securities (residential or automobile, CQS1) (lent) for Level 1 extremely high quality covered bonds (borrowed).

0570  1.4.2.1. 
Of the transactions in item 1.4.2., credit institutions shall report


— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

0580  1.4.3. 
Such transactions in which the institution has swapped Level 2B asset-backed securities (residential or automobile, CQS1) (lent) for Level 2A assets (borrowed).

0590  1.4.3.1. 
Of the transactions in item 1.4.3., credit institutions shall report


— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

0600  1.4.4. 
Such transactions in which the institution has swapped Level 2B asset-backed securities (residential or automobile, CQS1) (lent) for Level 2B asset-backed securities (residential or automobile, CQS1) (borrowed).

0610  1.4.4.1. 
Of the transactions in item 1.4.4., credit institutions shall report


— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

0620  1.4.5. 
Such transactions in which the institution has swapped Level 2B asset-backed securities (residential or automobile, CQS1) (lent) for Level 2B high quality covered bonds (borrowed).

0630  1.4.5.1. 
Of the transactions in item 1.4.5., credit institutions shall report


— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

0640  1.4.6. 
Such transactions in which the institution has swapped Level 2B asset-backed securities (residential or automobile, CQS1) (lent) for Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (borrowed).

0650  1.4.6.1. 
Of the transactions in item 1.4.6., credit institutions shall report


— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

0660  1.4.7. 
Such transactions in which the institution has swapped Level 2B asset-backed securities (residential or automobile, CQS1) (lent) for Other Level 2B (borrowed).

0670  1.4.7.1. 
Of the transactions in item 1.4.7., credit institutions shall report


— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

0680  1.4.8. 
Such transactions in which the institution has swapped Level 2B asset-backed securities (residential or automobile, CQS1) (lent) for Non-liquid assets (borrowed).

0690  1.4.8.1. 
Of the transactions in item 1.4.8., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset.

0700  1.5. 
Articles 28(4) and 32(3) of Delegated Regulation (EU) 2015/61

Credit Institutions shall report here, for the relevant columns, the total values of collateral swaps for transactions in which Level 2B high quality covered bonds are lent.

0710  1.5.1. 
Such transactions in which the institution has swapped Level 2B high quality covered bonds (lent) for Level 1 assets excl. EHQ covered bonds (borrowed).

0720  1.5.1.1. 
Of the transactions in item 1.5.1., credit institutions shall report


— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

0730  1.5.2. 
Such transactions in which the institution has swapped Level 2B high quality covered bonds (lent) for Level 1 extremely high quality covered bonds (borrowed).

0740  1.5.2.1. 
Of the transactions in item 1.5.2., credit institutions shall report


— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

0750  1.5.3. 
Such transactions in which the institution has swapped Level 2B high quality covered bonds (lent) for Level 2A assets (borrowed).

0760  1.5.3.1. 
Of the transactions in item 1.5.3., credit institutions shall report


— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

0770  1.5.4. 
Such transactions in which the institution has swapped Level 2B high quality covered bonds (lent) for Level 2B asset-backed securities (residential or automobile, CQS1) (borrowed).

0780  1.5.4.1. 
Of the transactions in item 1.5.4., credit institutions shall report


— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

0790  1.5.5. 
Such transactions in which the institution has swapped Level 2B high quality covered bonds (lent) for Level 2B high quality covered bonds (borrowed).

0800  1.5.5.1. 
Of the transactions in item 1.5.5., credit institutions shall report


— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

0810  1.5.6. 
Such transactions in which the institution has swapped Level 2B high quality covered bonds (lent) for Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (borrowed).

0820  1.5.6.1. 
Of the transactions in item 1.5.6., credit institutions shall report


— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

0830  1.5.7. 
Such transactions in which the institution has swapped Level 2B high quality covered bonds (lent) for Other Level 2B (borrowed).

0840  1.5.7.1. 
Of the transactions in item 1.5.7., credit institutions shall report


— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

0850  1.5.8. 
Such transactions in which the institution has swapped Level 2B high quality covered bonds (lent) for Non-liquid assets (borrowed).

0860  1.5.8.1. 
Of the transactions in item 1.5.8., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset.

0870  1.6. 
Articles 28(4) and 32(3) of Delegated Regulation (EU) 2015/61

Credit Institutions shall report here, for the relevant columns, the total values of collateral swaps for transactions in which Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) are lent.

0880  1.6.1. 
Such transactions in which the institution has swapped Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (lent) for Level 1 assets excl. EHQ covered bonds (borrowed).

0890  1.6.1.1. 
Of the transactions in item 1.6.1., credit institutions shall report


— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

0900  1.6.2. 
Such transactions in which the institution has swapped Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (lent) for Level 1 extremely high quality covered bonds (borrowed).

0910  1.6.2.1. 
Of the transactions in item 1.6.2., credit institutions shall report


— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

0920  1.6.3. 
Such transactions in which the institution has swapped Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (lent) for Level 2A assets (borrowed).

0930  1.6.3.1. 
Of the transactions in item 1.6.3., credit institutions shall report


— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

0940  1.6.4. 
Such transactions in which the institution has swapped Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (lent) for Level 2B asset-backed securities (residential or automobile, CQS1) (borrowed).

0950  1.6.4.1. 
Of the transactions in item 1.6.4., credit institutions shall report


— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

0960  1.6.5. 
Such transactions in which the institution has swapped Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (lent) for Level 2B high quality covered bonds (borrowed).

0970  1.6.5.1. 
Of the transactions in item 1.6.5., credit institutions shall report


— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

0980  1.6.6. 
Such transactions in which the institution has swapped Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (lent) for Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (borrowed).

0990  1.6.6.1. 
Of the transactions in item 1.6.6., credit institutions shall report


— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

1000  1.6.7. 
Such transactions in which the institution has swapped Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (lent) for Other Level 2B (borrowed).

1010  1.6.7.1. 
Of the transactions in item 1.6.7., credit institutions shall report


— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

1020  1.6.8. 
Such transactions in which the institution has swapped Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (lent) for Non-liquid assets (borrowed).

1030  1.6.8.1. 
Of the transactions in item 1.6.8., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset.

1040  1.7. 
Articles 28(4) and 32(3) of Delegated Regulation (EU) 2015/61

Credit Institutions shall report here, for the relevant columns, the total values of collateral swaps for transactions in which Other Level 2B assets are lent.

1050  1.7.1. 
Such transactions in which the institution has swapped Other Level 2B (lent) for Level 1 assets excl. EHQ covered bonds (borrowed).

1060  1.7.1.1. 
Of the transactions in item 1.7.1., credit institutions shall report


— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

1070  1.7.2. 
Such transactions in which the institution has swapped Other Level 2B (lent) for Level 1 extremely high quality covered bonds (borrowed).

1080  1.7.2.1. 
Of the transactions in item 1.7.2., credit institutions shall report


— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

1090  1.7.3. 
Such transactions in which the institution has swapped Other Level 2B (lent) for Level 2A assets (borrowed).

1100  1.7.3.1. 
Of the transactions in item 1.7.3., credit institutions shall report


— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

1110  1.7.4. 
Such transactions in which the institution has swapped Other Level 2B (lent) for Level 2B asset-backed securities (residential or automobile, CQS1) (borrowed).

1120  1.7.4.1. 
Of the transactions in item 1.7.4., credit institutions shall report


— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

1130  1.7.5. 
Such transactions in which the institution has swapped Other Level 2B (lent) for Level 2B high quality covered bonds (borrowed).

1140  1.7.5.1. 
Of the transactions in item 1.7.5., credit institutions shall report


— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

1150  1.7.6. 
Such transactions in which the institution has swapped Other Level 2B (lent) for Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (borrowed).

1160  1.7.6.1. 
Of the transactions in item 1.7.6., credit institutions shall report


— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

1170  1.7.7. 
Such transactions in which the institution has swapped Other Level 2B (lent) for Other Level 2B (borrowed).

1180  1.7.7.1. 
Of the transactions in item 1.7.7., credit institutions shall report


— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

1190  1.7.8. 
Such transactions in which the institution has swapped Other Level 2B (lent) for Non-liquid assets (borrowed).

1200  1.7.8.1. 
Of the transactions in item 1.7.8., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset.

1210  1.8. 
Articles 28(4) and 32(3) of Delegated Regulation (EU) 2015/61

Credit Institutions shall report here, for the relevant columns, the total values of collateral swaps for transactions in which Non-liquid assets are lent.

1220  1.8.1. 
Such transactions in which the institution has swapped Non-liquid assets (lent) for Level 1 assets excl. EHQ covered bonds (borrowed).

1230  1.8.1.1. 
Of the transactions in item 1.8.1., credit institutions shall report the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

1240  1.8.2. 
Such transactions in which the institution has swapped Non-liquid assets (lent) for Level 1 extremely high quality covered bonds (borrowed).

1250  1.8.2.1. 
Of the transactions in item 1.8.2., credit institutions shall report the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

1260  1.8.3. 
Such transactions in which the institution has swapped Non-liquid assets (lent) for Level 2A assets (borrowed).

1270  1.8.3.1. 
Of the transactions in item 1.8.3., credit institutions shall report the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

1280  1.8.4. 
Such transactions in which the institution has swapped Non-liquid assets (lent) for Level 2B asset-backed securities (residential or automobile, CQS1) (borrowed).

1290  1.8.4.1. 
Of the transactions in item 1.8.4., credit institutions shall report the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

1300  1.8.5. 
Such transactions in which the institution has swapped Non-liquid assets (lent) for Level 2B high quality covered bonds (borrowed).

1310  1.8.5.1. 
Of the transactions in item 1.8.5., credit institutions shall report the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

1320  1.8.6. 
Such transactions in which the institution has swapped Non-liquid assets (lent) for Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (borrowed).

1330  1.8.6.1. 
Of the transactions in item 1.8.6., credit institutions shall report the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

1340  1.8.7. 
Such transactions in which the institution has swapped Non-liquid assets (lent) for Other Level 2B (borrowed).

1350  1.8.7.1. 
Of the transactions in item 1.8.7., credit institutions shall report the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

1360  1.8.8. 
Such transactions in which the institution has swapped Non-liquid assets (lent) for Non-liquid assets (borrowed).

1370  2. 
Articles 28(4) and 32(3) of Delegated Regulation (EU) 2015/61

Credit Institutions shall report here, for the relevant columns, the total values of collateral swaps.

1380  2.1. 
Articles 28(4) and 32(3) of Delegated Regulation (EU) 2015/61

Credit Institutions shall report here, for each relevant column, the total values of collateral swaps for transactions in which Level 1 assets (excl. EHQ covered bonds) are lent.

1390  2.1.1. 
Such transactions in which the institution has swapped Level 1 assets excl. EHQ covered bonds (lent) for Level 1 assets excl. EHQ covered bonds (borrowed).

1400  2.1.1.1. 
Of the transactions in item 2.1.1., credit institutions shall report


— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

1410  2.1.2. 
Such transactions in which the institution has swapped Level 1 assets excl. EHQ covered bonds (lent) for Level 1 extremely high quality covered bonds (borrowed).

1420  2.1.2.1. 
Of the transactions in item 2.1.2., credit institutions shall report


— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

1430  2.1.3. 
Such transactions in which the institution has swapped Level 1 assets excl. EHQ covered bonds (lent) for Level 2A assets (borrowed).

1440  2.1.3.1. 
Of the transactions in item 2.1.3., credit institutions shall report


— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

1450  2.1.4. 
Such transactions in which the institution has swapped Level 1 assets excl. EHQ covered bonds (lent) for Level 2B asset-backed securities (residential or automobile, CQS1) (borrowed).

1460  2.1.4.1. 
Of the transactions in item 2.1.4., credit institutions shall report


— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

1470  2.1.5. 
Such transactions in which the institution has swapped Level 1 assets excl. EHQ covered bonds (lent) for Level 2B high quality covered bonds (borrowed).

1480  2.1.5.1. 
Of the transactions in item 2.1.5., credit institutions shall report


— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

1490  2.1.6. 
Such transactions in which the institution has swapped Level 1 assets excl. EHQ covered bonds (lent) for Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (borrowed).

1500  2.1.6.1. 
Of the transactions in item 2.1.6., credit institutions shall report


— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

1510  2.1.7. 
Such transactions in which the institution has swapped Level 1 assets excl. EHQ covered bonds (lent) for Other Level 2B (borrowed).

1520  2.1.7.1. 
Of the transactions in item 2.1.7., credit institutions shall report


— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

1530  2.1.8. 
Such transactions in which the institution has swapped Level 1 assets excl. EHQ covered bonds (lent) for Non-liquid assets (borrowed).

1540  2.1.8.1. 
Of the transactions in item 2.1.8., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset.

1550  2.2. 
Articles 28(4) and 32(3) of Delegated Regulation (EU) 2015/61

Credit Institutions shall report here, for the relevant columns, the total values of collateral swaps for transactions in which Level 1 extremely high quality covered bonds are lent.

1560  2.2.1. 
Such transactions in which the institution has swapped Level 1 extremely high quality covered bonds (lent) for Level 1 assets excl. EHQ covered bonds (borrowed).

1570  2.2.1.1. 
Of the transactions in item 2.2.1., credit institutions shall report


— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

1580  2.2.2. 
Such transactions in which the institution has swapped Level 1 extremely high quality covered bonds (lent) for Level 1 extremely high quality covered bonds (borrowed).

1590  2.2.2.1. 
Of the transactions in item 2.2.2., credit institutions shall report


— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

1600  2.2.3. 
Such transactions in which the institution has swapped Level 1 extremely high quality covered bonds (lent) for Level 2A assets (borrowed).

1610  2.2.3.1. 
Of the transactions in item 2.2.3., credit institutions shall report


— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

1620  2.2.4. 
Such transactions in which the institution has swapped Level 1 extremely high quality covered bonds (lent) for Level 2B asset-backed securities (residential or automobile, CQS1) (borrowed).

1630  2.2.4.1. 
Of the transactions in item 2.2.4., credit institutions shall report


— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

1640  2.2.5. 
Such transactions in which the institution has swapped Level 1 extremely high quality covered bonds (lent) for Level 2B high quality covered bonds (borrowed).

1650  2.2.5.1. 
Of the transactions in item 2.2.5., credit institutions shall report


— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

1660  2.2.6. 
Such transactions in which the institution has swapped Level 1 extremely high quality covered bonds (lent) for Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (borrowed).

1670  2.2.6.1. 
Of the transactions in item 2.2.6., credit institutions shall report


— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

1680  2.2.7. 
Such transactions in which the institution has swapped Level 1 extremely high quality covered bonds (lent) for Other Level 2B (borrowed).

1690  2.2.7.1. 
Of the transactions in item 2.2.7., credit institutions shall report


— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

1700  2.2.8. 
Such transactions in which the institution has swapped Level 1 extremely high quality covered bonds (lent) for Non-liquid assets (borrowed).

1710  2.2.8.1. 
Of the transactions in item 2.2.8., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset.

1720  2.3. 
Articles 28(4) and 32(3) of Delegated Regulation (EU) 2015/61

Credit Institutions shall report here, for the relevant columns, the total values of collateral swaps for transactions in which Level 2A assets are lent.

1730  2.3.1. 
Such transactions in which the institution has swapped Level 2A assets (lent) for Level 1 assets excl. EHQ covered bonds (borrowed).

1740  2.3.1.1. 
Of the transactions in item 2.3.1., credit institutions shall report


— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

1750  2.3.2. 
Such transactions in which the institution has swapped Level 2A assets (lent) for Level 1 extremely high quality covered bonds (borrowed).

1760  2.3.2.1. 
Of the transactions in item 2.3.2., credit institutions shall report


— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

1770  2.3.3. 
Such transactions in which the institution has swapped Level 2A assets (lent) for Level 2A assets (borrowed).

1780  2.3.3.1. 
Of the transactions in item 2.3.3., credit institutions shall report


— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

1790  2.3.4. 
Such transactions in which the institution has swapped Level 2A assets (lent) for Level 2B asset-backed securities (residential or automobile, CQS1) (borrowed).

1800  2.3.4.1. 
Of the transactions in item 2.3.4., credit institutions shall report


— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

1810  2.3.5. 
Such transactions in which the institution has swapped Level 2A assets (lent) for Level 2B high quality covered bonds (borrowed).

1820  2.3.5.1. 
Of the transactions in item 2.3.5., credit institutions shall report


— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

1830  2.3.6. 
Such transactions in which the institution has swapped Level 2A assets (lent) for Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (borrowed).

1840  2.3.6.1. 
Of the transactions in item 2.3.6., credit institutions shall report


— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

1850  2.3.7. 
Such transactions in which the institution has swapped Level 2A assets (lent) for Other Level 2B (borrowed).

1860  2.3.7.1. 
Of the transactions in item 2.3.7., credit institutions shall report


— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

1870  2.3.8. 
Such transactions in which the institution has swapped Level 2A assets (lent) for Non-liquid assets (borrowed).

1880  2.3.8.1. 
Of the transactions in item 2.3.8., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset.

1890  2.4. 
Articles 28(4) and 32(3) of Delegated Regulation (EU) 2015/61

Credit Institutions shall report here, for the relevant columns, the total values of collateral swaps for transactions in which Level 2B asset-backed securities (residential or automobile, CQS1) are lent.

1900  2.4.1. 
Such transactions in which the institution has swapped Level 2B asset-backed securities (residential or automobile, CQS1) (lent) for Level 1 assets excl. EHQ covered bonds (borrowed).

1910  2.4.1.1. 
Of the transactions in item 2.4.1., credit institutions shall report


— the leg of the collateral lent , but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

1920  2.4.2. 
Such transactions in which the institution has swapped Level 2B asset-backed securities (residential or automobile, CQS1) (lent) for Level 1 extremely high quality covered bonds (borrowed).

1930  2.4.2.1. 
Of the transactions in item 2.4.2., credit institutions shall report


— the leg of the collateral lent , but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

1940  2.4.3. 
Such transactions in which the institution has swapped Level 2B asset-backed securities (residential or automobile, CQS1) (lent) for Level 2A assets (borrowed).

1950  2.4.3.1. 
Of the transactions in item 2.4.3., credit institutions shall report


— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

1960  2.4.4. 
Such transactions in which the institution has swapped Level 2B asset-backed securities (residential or automobile, CQS1) (lent) for Level 2B asset-backed securities (residential or automobile, CQS1) (borrowed).

1970  2.4.4.1. 
Of the transactions in item 2.4.4., credit institutions shall report


— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

1980  2.4.5. 
Such transactions in which the institution has swapped Level 2B asset-backed securities (residential or automobile, CQS1) (lent) for Level 2B high quality covered bonds (borrowed).

1990  2.4.5.1. 
Of the transactions in item 2.4.5., credit institutions shall report


— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

2000  2.4.6. 
Such transactions in which the institution has swapped Level 2B asset-backed securities (residential or automobile, CQS1) (lent) for Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (borrowed).

2010  2.4.6.1. 
Of the transactions in item 2.4.6., credit institutions shall report


— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

2020  2.4.7. 
Such transactions in which the institution has swapped Level 2B asset-backed securities (residential or automobile, CQS1) (lent) for Other Level 2B (borrowed).

2030  2.4.7.1. 
Of the transactions in item 2.4.7., credit institutions shall report


— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

2040  2.4.8. 
Such transactions in which the institution has swapped Level 2B asset-backed securities (residential or automobile, CQS1) (lent) for Non-liquid assets (borrowed).

2050  2.4.8.1. 
Of the transactions in item 2.4.8., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset.

2060  2.5. 
Articles 28(4) and 32(3) of Delegated Regulation (EU) 2015/61

Credit Institutions shall report here, for the relevant columns, the total values of collateral swaps for transactions in which Level 2B high quality covered bonds are lent.

2070  2.5.1. 
Such transactions in which the institution has swapped Level 2B high quality covered bonds (lent) for Level 1 assets excl. EHQ covered bonds (borrowed).

2080  2.5.1.1. 
Of the transactions in item 2.5.1., credit institutions shall report


— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

2090  2.5.2. 
Such transactions in which the institution has swapped Level 2B high quality covered bonds (lent) for Level 1 extremely high quality covered bonds (borrowed).

2100  2.5.2.1. 
Of the transactions in item 2.5.2., credit institutions shall report


— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

2110  2.5.3. 
Such transactions in which the institution has swapped Level 2B high quality covered bonds (lent) for Level 2A assets (borrowed).

2120  2.5.3.1. 
Of the transactions in item 2.5.3., credit institutions shall report


— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

2130  2.5.4. 
Such transactions in which the institution has swapped Level 2B high quality covered bonds (lent) for Level 2B asset-backed securities (residential or automobile, CQS1) (borrowed).

2140  2.5.4.1. 
Of the transactions in item 2.5.4., credit institutions shall report


— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

2150  2.5.5. 
Such transactions in which the institution has swapped Level 2B high quality covered bonds (lent) for Level 2B high quality covered bonds (borrowed).

2160  2.5.5.1. 
Of the transactions in item 2.5.5., credit institutions shall report


— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

2170  2.5.6. 
Such transactions in which the institution has swapped Level 2B high quality covered bonds (lent) for Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (borrowed).

2180  2.5.6.1. 
Of the transactions in item 2.5.6., credit institutions shall report


— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

2190  2.5.7. 
Such transactions in which the institution has swapped Level 2B high quality covered bonds (lent) for Other Level 2B (borrowed).

2200  2.5.7.1. 
Of the transactions in item 2.5.7., credit institutions shall report


— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

2210  2.5.8. 
Such transactions in which the institution has swapped Level 2B high quality covered bonds (lent) for Non-liquid assets (borrowed).

2220  2.5.8.1. 
Of the transactions in item 2.5.8., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset.

2230  2.6. 
Articles 28(4) and 32(3) of Delegated Regulation (EU) 2015/61

Credit Institutions shall report here, for the relevant columns, the total values of collateral swaps for transactions in which Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) are lent.

2240  2.6.1. 
Such transactions in which the institution has swapped Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (lent) for Level 1 assets excl. EHQ covered bonds (borrowed).

2250  2.6.1.1. 
Of the transactions in item 2.6.1., credit institutions shall report


— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

2260  2.6.2. 
Such transactions in which the institution has swapped Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (lent) for Level 1 extremely high quality covered bonds (borrowed).

2270  2.6.2.1. 
Of the transactions in item 2.6.2., credit institutions shall report


— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

2280  2.6.3. 
Such transactions in which the institution has swapped Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (lent) for Level 2A assets (borrowed).

2290  2.6.3.1. 
Of the transactions in item 2.6.3., credit institutions shall report


— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

2300  2.6.4. 
Such transactions in which the institution has swapped Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (lent) for Level 2B asset-backed securities (residential or automobile, CQS1) (borrowed).

2310  2.6.4.1. 
Of the transactions in item 2.6.4., credit institutions shall report


— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

2320  2.6.5. 
Such transactions in which the institution has swapped Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (lent) for Level 2B high quality covered bonds (borrowed).

2330  2.6.5.1. 
Of the transactions in item 2.6.5., credit institutions shall report


— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

2340  2.6.6. 
Such transactions in which the institution has swapped Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (lent) for Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (borrowed).

2350  2.6.6.1. 
Of the transactions in item 2.6.6., credit institutions shall report


— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

2360  2.6.7. 
Such transactions in which the institution has swapped Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (lent) for Other Level 2B (borrowed).

2370  2.6.7.1. 
Of the transactions in item 2.6.7., credit institutions shall report


— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

2380  2.6.8. 
Such transactions in which the institution has swapped Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (lent) for Non-liquid assets (borrowed).

2390  2.6.8.1. 
Of the transactions in item 2.6.8., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset.

2400  2.7. 
Articles 28(4) and 32(3) of Delegated Regulation (EU) 2015/61

Credit Institutions shall report here, for the relevant columns, the total values of collateral swaps for transactions in which Other Level 2B assets are lent.

2410  2.7.1. 
Such transactions in which the institution has swapped Other Level 2B (lent) for Level 1 assets excl. EHQ covered bonds (borrowed).

2420  2.7.1.1. 
Of the transactions in item 2.7.1., credit institutions shall report


— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

2430  2.7.2. 
Such transactions in which the institution has swapped Other Level 2B (lent) for Level 1 extremely high quality covered bonds (borrowed).

2440  2.7.2.1. 
Of the transactions in item 2.7.2., credit institutions shall report


— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

2450  2.7.3. 
Such transactions in which the institution has swapped Other Level 2B (lent) for Level 2A assets (borrowed).

2460  2.7.3.1. 
Of the transactions in item 2.7.3., credit institutions shall report


— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

2470  2.7.4. 
Such transactions in which the institution has swapped Other Level 2B (lent) for Level 2B asset-backed securities (residential or automobile, CQS1) (borrowed).

2480  2.7.4.1. 
Of the transactions in item 2.7.4., credit institutions shall report


— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

2490  2.7.5. 
Such transactions in which the institution has swapped Other Level 2B (lent) for Level 2B high quality covered bonds (borrowed).

2500  2.7.5.1. 
Of the transactions in item 2.7.5., credit institutions shall report


— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

2510  2.7.6. 
Such transactions in which the institution has swapped Other Level 2B (lent) for Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (borrowed).

2520  2.7.6.1. 
Of the transactions in item 2.7.6., credit institutions shall report


— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

2530  2.7.7. 
Such transactions in which the institution has swapped Other Level 2B (lent) for Other Level 2B (borrowed).

2540  2.7.7.1. 
Of the transactions in item 2.7.7., credit institutions shall report


— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and
— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

2550  2.7.8. 
Such transactions in which the institution has swapped Other Level 2B (lent) for Non-liquid assets (borrowed).

2560  2.7.8.1. 
Of the transactions in item 2.7.8., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset.

2570  2.8. 
Articles 28(4) and 32(3) of Delegated Regulation (EU) 2015/61

Credit Institutions shall report here, for the relevant columns, the total values of collateral swaps for transactions in which Non-liquid assets are lent.

2580  2.8.1. 
Such transactions in which the institution has swapped Non-liquid assets (lent) for Level 1 assets excl. EHQ covered bonds (borrowed).

2590  2.8.1.1. 
Of the transactions in item 2.8.1., credit institutions shall report the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

2600  2.8.2. 
Such transactions in which the institution has swapped Non-liquid assets (lent) for Level 1 extremely high quality covered bonds (borrowed).

2610  2.8.2.1. 
Of the transactions in item 2.8.2., credit institutions shall report the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

2620  2.8.3. 
Such transactions in which the institution has swapped Non-liquid assets (lent) for Level 2A assets (borrowed).

2630  2.8.3.1. 
Of the transactions in item 2.8.3., credit institutions shall report the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

2640  2.8.4. 
Such transactions in which the institution has swapped Non-liquid assets (lent) for Level 2B asset-backed securities (residential or automobile, CQS1) (borrowed).

2650  2.8.4.1. 
Of the transactions in item 2.8.4., credit institutions shall report the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

2660  2.8.5. 
Such transactions in which the institution has swapped Non-liquid assets (lent) for Level 2B high quality covered bonds (borrowed).

2670  2.8.5.1. 
Of the transactions in item 2.8.5., credit institutions shall report the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

2680  2.8.6. 
Such transactions in which the institution has swapped Non-liquid assets (lent) for Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (borrowed).

2690  2.8.6.1. 
Of the transactions in item 2.8.6., credit institutions shall report the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

2700  2.8.7. 
Such transactions in which the institution has swapped Non-liquid assets (lent) for Other Level 2B (borrowed).

2710  2.8.7.1. 
Of the transactions in item 2.8.7., credit institutions shall report the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

2720  2.8.8. 
Such transactions in which the institution has swapped Non-liquid assets (lent) for Non-liquid assets (borrowed).

MEMORANDUM ITEMS
2730  3. 
Institutions shall report here the total collateral swaps (all counterparties) reported in the above lines where borrowed collateral has been used to cover short positions where a 0 % outflow rate has been applied.

2740  4. 
Institutions shall report here the total collateral swaps reported in the above lines that are with intragroup counterparties.

  5. 
Credit institutions shall report here the part of collateral swap transactions with a residual maturity of no more than 30 days where the counterparty is a central bank and where the relevant transactions are exempted from the application of Article 17(2) and (3) of Delegated Regulation (EU) 2015/61 by its Article 17(4).

2750  5.1. 
Credit institutions shall report here the part of collateral swap transactions with a residual maturity of no more than 30 days where the counterparty is a central bank, the collateral borrowed is Level 1 collateral excluding extremely high quality covered bonds and meeting the operational requirements laid down in Article 8 of Delegated Regulation (EU) 2015/61, and where the relevant transactions are exempted from the application of Article 17(2) and (3) of Delegated Regulation (EU) 2015/61 by its Article 17(4).

2760  5.2. 
Credit institutions shall report here the part of collateral swap transactions with a residual maturity of no more than 30 days where the counterparty is a central bank, the collateral borrowed is Level 1 collateral which is extremely high quality covered bonds and meeting the operational requirements laid down in Article 8 of Delegated Regulation (EU) 2015/61, and where the relevant transactions are exempted from the application of Article 17(2) and (3) of Delegated Regulation (EU) 2015/61 by its Article 17(4).

2770  5.3. 
Credit institutions shall report here the part of collateral swap transactions with a residual maturity of no more than 30 days where the counterparty is a central bank, the collateral borrowed is Level 2A collateral and meeting the operational requirements laid down in Article 8 of Delegated Regulation (EU) 2015/61, and where the relevant transactions are exempted from the application of Article 17(2) and (3) of Delegated Regulation (EU) 2015/61 by its Article 17(4).

2780  5.4. 
Credit institutions shall report here the part of collateral swap transactions with a residual maturity of no more than 30 days where the counterparty is a central bank, the collateral borrowed is Level 2B collateral and meeting the operational requirements laid down in Article 8 of Delegated Regulation (EU) 2015/61, and where the relevant transactions are exempted from the application of Article 17(2) and (3) of Delegated Regulation (EU) 2015/61 by its Article 17(4).

2790  5.5. 
Credit institutions shall report here the part of collateral swap transactions with a residual maturity of no more than 30 days where the counterparty is a central bank, the collateral lent is Level 1 collateral excluding extremely high quality covered bonds and meeting the operational requirements laid down in Article 8 of Delegated Regulation (EU) 2015/61, and where the relevant transactions are exempted from the application of Article 17(2) and (3) of Delegated Regulation (EU) 2015/61 by its Article 17(4).

2800  5.6. 
Credit institutions shall report here the part of collateral swap transactions with a residual maturity of no more than 30 days where the counterparty is a central bank, the collateral lent is Level 1 collateral which is extremely high quality covered bonds and meeting the operational requirements laid down in Article 8 of Delegated Regulation (EU) 2015/61, and where the relevant transactions are exempted from the application of Article 17(2) and (3) of Delegated Regulation (EU) 2015/61 by its Article 17(4).

2810  5.7. 
Credit institutions shall report here the part of collateral swap transactions with a residual maturity of no more than 30 days where the counterparty is a central bank, the collateral lent is Level 2A collateral and meeting the operational requirements laid down in Article 8 of Delegated Regulation (EU) 2015/61, and where the relevant transactions are exempted from the application of Article 17(2) and (3) of Delegated Regulation (EU) 2015/61 by its Article 17(4).

2820  5.8. 
Credit institutions shall report here the part of collateral swap transactions with a residual maturity of no more than 30 days where the counterparty is a central bank, the collateral lent is Level 2B collateral and meeting the operational requirements laid down in Article 8 of Delegated Regulation (EU) 2015/61, and where the relevant transactions are exempted from the application of Article 17(2) and (3) of Delegated Regulation (EU) 2015/61 by its Article 17(4).

 1.  1.1.  1. This is a summary template which contains information about calculations for the purpose of reporting the liquidity coverage requirement as specified in Delegated Regulation (EU) 2015/61. Items which do not need to be completed by institutions are coloured grey.
 1.2.  2. Cell references are given in the format: template; row; column. For example, {C 72.00; r130; c040} refers to Liquid Assets template; row 130; column 040.
 1.3. 

Row Legal references and instructions


Article 4 of Delegated Regulation (EU) 2015/61

The Liquidity Coverage Ratio numerator, denominator and ratio.

Enter all below data into column 010 of given row.

010  1. 
Report figure from {C 76.00; r290; c010}.

020  2. 
Report figure from {C 76.00; r370; c010}.

030  3. 
Report the liquidity coverage ratio calculated as specified in Article 4(1) of Delegated Regulation (EU) 2015/61.

The liquidity coverage ratio shall be equal to the ratio of a credit institution’s liquidity buffer to its net liquidity outflows over a 30 calendar day stress period and shall be expressed as a percentage.

If {C 76.00; r020; c010} is zero (causing a ratio of infinity) then report the value 999999.


Article 17 and ANNEX I of Delegated Regulation (EU) 2015/61

Formula for the calculation of the Liquidity Buffer.

Enter all below data into column 010 of given row.

040  4. 
Report figure from {C 72.00; r030; c040}.

050  5. 
Report outflows of Level 1 (excluding extremely high quality covered bonds) liquid securities upon the unwind of any secured funding, secured lending or collateral swap transaction, that matures within 30 calendar days from the reference date unless the transaction is waived as per Article 17(4) of Delegated Regulation (EU) 2015/61.

060  6. 
Report inflows of Level 1 (excluding extremely high quality covered bonds) liquid securities upon the unwind of any secured funding, secured lending, or collateral swap transaction, that matures within 30 calendar days from the reference date unless the transaction is waived as per Article 17(4) of Delegated Regulation (EU) 2015/61.

070  7. 
Report outflows of cash (a Level 1 asset) upon the unwind of any secured funding or secured lending transaction, that matures within 30 calendar days from the reference date unless the transaction is waived as per Article 17(4) of Delegated Regulation (EU) 2015/61.

080  8. 
Report inflows of cash (a Level 1 asset) upon the unwind of any secured funding or secured lending transaction, that matures within 30 calendar days from the reference date unless the transaction is waived as per Article 17(4) of Delegated Regulation (EU) 2015/61.

091  9. 
This is referred to in subparagraph (a) of Annex I (3)

Report the adjusted non-covered bond level 1 asset amount before cap application.

The adjusted amount takes into account the unwind of secured funding, secured lending or collateral swap transactions, that mature within 30 calendar days from the reference date unless the transaction is waived as per Article 17(4) of Delegated Regulation (EU) 2015/61.

100  10. 
Report figure from {C 72.00; r180; c040}.

110  11. 
Report outflows of Level 1 extremely high quality covered bonds upon the unwind of any secured funding, secured lending or collateral swap transaction, that matures within 30 calendar days from the reference date unless the transaction is waived as per Article 17(4) of Delegated Regulation (EU) 2015/61.

120  12. 
Report inflows of Level 1 extremely high quality covered bonds upon the unwind of any secured funding, secured lending, or collateral swap transaction that matures within 30 calendar days from the reference date unless the transaction is waived as per Article 17(4) of Delegated Regulation (EU) 2015/61.

131  13. 
This is referred to by subparagraph (b) of Annex I (3)

Report the adjusted covered bond level 1 asset amount before cap application.

The adjusted amount takes into account the unwind of secured funding, secured lending, or collateral swap transactions that mature within 30 calendar days from the reference date unless the transaction is waived as per Article 17(4) of Delegated Regulation (EU) 2015/61.

160  14. 
Report figure from {C 72.00; r230; c040}.

170  15. 
Report outflows of Level 2A liquid securities upon the unwind of any secured funding, secured lending or collateral swap transaction, that matures within 30 calendar days from the calculation date unless the transaction is waived as per Article 17(4) of Delegated Regulation (EU) 2015/61.

180  16. 
Report inflows of Level 2A liquid securities upon the unwind of any secured funding, secured lending, or collateral swap transaction that matures within 30 calendar days from the calculation date unless the transaction is waived as per Article 17(4) of Delegated Regulation (EU) 2015/61.

191  17. 
This is referred to by subparagraph (c) in Annex I (3)

Report the adjusted level 2A asset amount before cap application.

The adjusted amount takes into account the unwind of secured funding, secured lending or collateral swap transactions, that mature within 30 calendar days from the calculation date unless the transaction is waived as per Article 17(4) of Delegated Regulation (EU) 2015/61.

220  18. 
Report figure from {C 72.00; r310; c040}.

230  19. 
Report outflows of Level 2B liquid securities upon the unwind of any secured funding, secured lending, or collateral swap transaction that matures within 30 calendar days from the calculation date unless the transaction is waived as per Article 17(4) of Delegated Regulation (EU) 2015/61.

240  20. 
Report inflows of Level 2B liquid securities upon the unwind of any secured funding, secured lending or collateral swap transaction, that matures within 30 calendar days from the calculation date unless the transaction is waived as per Article 17(4) of Delegated Regulation (EU) 2015/61.

251  21. 
This is referred to by subparagraph (d) in Annex I (3)

Report the adjusted level 2B asset amount before cap application.

The adjusted amount takes into account the unwind of secured funding, secured lending or collateral swap transactions, that mature within 30 calendar days from the calculation date unless the transaction is waived as per Article 17(4) of Delegated Regulation (EU) 2015/61.

280  22. 
Annex I(4)

Report the “excess liquid assets amount”: this amount shall be equal to:


((a)) the adjusted non-covered bond level 1 asset amount; plus
((b)) the adjusted level 1 covered bond amount; plus
((c)) the adjusted level 2A asset amount; plus
((d)) the adjusted level 2B asset amount;

minus the lesser of:


((e)) the sum of (a),(b),(c) and (d);
((f)) 100/30 times (a);
((g)) 100/60 times the sum of (a) and (b);
((h)) 100/85 times the sum of (a), (b) and (c).

290  23. 
Annex I (2)

Report the liquidity buffer which shall be equal to:


((a)) the level 1 asset amount; plus
((b)) the level 2A asset amount; plus
((c)) the level 2B asset amount;
minus the lesser of:
((d)) the sum of (a), (b), and (c); or
((e)) the “excess liquid assets amount”.


ANNEX II of Delegated Regulation (EU) 2015/61

Formula for the calculation of the net liquidity outflow

Where,

NLONet liquidity outflowTOTotal outflowsTITotal inflowsFEIFully exempted inflowsIHCInflows subject to higher cap of 90 % outflowsICInflows subject to cap of 75 % of outflows

Enter all below data in to column 010 of given row

300  24. 
TO = from Outflow sheet

Report figure from {C 73.00; r010; c060}.

310  25. 
FEI = from Inflows sheet

Report figure from {C 74.00; r010; c160}.

320  26. 
IHC = from Inflows sheet

Report figure from {C 74.00; r010; c150}.

330  27. 
IC = from Inflows sheet

Report figure from {C 74.00; r010; c140}.

340  28. 
Report the following part of the NLO calculation:

= MIN (FEI, TO).

350  29. 
Report the following part of the NLO calculation:

= MIN (IHC, 0.9*MAX(TO-FEI, 0)).

360  30. 
Report the following part of the NLO calculation:

= MIN (IC, 0.75*MAX(TO-FEI-IHC/0.9, 0)).

370  31. 
Report the net liquidity outflow which equals total outflows less the reduction for fully exempt inflows less the reduction for inflows subject to the 90 % cap less the reduction for inflows subject to the 75 % cap.

NLO = TO — MIN(FEI, TO) - MIN(IHC, 0.9*MAX(TO-FEI, 0)) - MIN(IC, 0.75*MAX(T0-FEI-IHC/0.9,0))

Pillar 2
380  32. 
as set out in Article 105 CRD

Report the Pillar 2 requirement.

 1.  1.1.  1. This is a template that, for the only purposes of LCR at a consolidated level, identifies the entities to which the information reported in templates C 72.00, C 73.00, C 74.00, C 75.01 and C 76.00 refers. This template identifies all the entities that form part of the perimeter of consolidation of the LCR in accordance with Articles 8 and 10, Article 11(3) and (5) of Regulation (EU) 575/2013, as applicable. This template shall have as many rows as entities are in the perimeter of consolidation.
 1.2. 

Column Legal references and instructions
0005 
“Parent” will be reported in the case the entity in the row is:


— the EU parent institution, EU parent financial holding company or EU parent mixed financial holding company as envisaged in Article 11(3) of Regulation (EU) 575/2013;
— the parent institution or subsidiary institution that need to comply with the LCR on a consolidated basis or in a sub-consolidated basis, respectively, in the context of a single liquidity subgroup as per Article 8 of Regulation (EU) 575/2013;
— the relevant institution required to comply with the LCR on a sub-consolidated basis as per Article 11(5) of Regulation (EU) 575/2013;
— the EU central institution.

“Subsidiary” will be reported in the rest of the rows.

010 
The name of each entity in the perimeter of consolidation shall be reported in Column 010.

020 
This code is a row identifier and shall be unique for each row in the table.

Code assigned to the entity within the scope of consolidation.

030 
The Legal Entity Identifier code of each entity in the perimeter of consolidation shall be reported in Column 020. Where a Legal Entity Identification code (LEI code) exists for a given entity, it shall be used to identify that entity.

040 
ISO code 3166-1-alpha-2 of the country of incorporation of each entity in the perimeter of consolidation shall be reported in Column 030.

050 
Entities reported in column 010 shall be assigned an entity type corresponding to its legal form as per the following list:

“Credit institution”

“Investment firm”

“Other”x


