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Commission Implementing Regulation (EU) 2018/1627 of 9 October 2018 amending Implementing Regulation (EU) No 680/2014 as regards prudent valuation for supervisory reporting (Text with EEA relevance)

In forceVersion 2018-10-09from 2018-11-29
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Contents
  1. Preamble
    1. Article 1
    2. Article 2
  3. ANNEX
  4. ANNEX I
  5. ANNEX II
  6. PART I GENERAL INSTRUCTIONS
  7. 1.
  8. 1.1.1.
  9. 1.2.4.5.6.7.8.
  10. PART II TEMPLATE RELATED INSTRUCTIONS
  11. 1.
  12. 1.1.10.11.12.13.14.
  13. 1.1.10.
  14. 1.1.10.11.12.13.
  15. 1.2.
  16. 1.2.1.
  17. 1.1.2.1.2 (*)
  18. 1.3.
  19. 1.3.1.
  20. 1.4.
  21. 1.4.1.
  22. 13
  23. 13*
  24. 13**
  25. 14
  26. 14*
  27. 14**
  28. 15
  29. 15*
  30. 15**
  31. 1.5.
  32. 1.5.1.
  33. 12.1.1. a)
  34. 13.1.1. a)
  35. 14.1.1. a)
  36. 15.1.1. a)
  37. 16.1.1. a)
  38. 17.1.1. a)
  39. 1.6.
  40. 1.6.1.15.16.17.18.19.
  41. 1.6.1.15.16.
  42. 1.6.2.20.21.22.23.24.
  43. 1.6.2.1. Adjustments included in RWAs
  44. 1.6.3.25.
  45. 1.6.3.1. Amount of instruments plus related share premium
  46. 2.
  47. 2.1.26.27.28.
  48. 2.1.26.
  49. 2.3.31.32.33.34.35.36.37.
  50. 2.4. ENTITIES WITHIN SCOPE OF CONSOLIDATION
  51. 2.5. ENTITIES WITHIN SCOPE OF CONSOLIDATION
  52. Reporting of fixed overheads of investment firms:
  53. RELATED T1 INSTRUMENTS, RELATED RETAINED EARNINGS AND SHARE PREMIUM ACCOUNTS
  54. TIER 2 CAPITAL
  55. 3.
  56. 3.1.38.
  57. 3.1.1.39.40.41.42.43.44.45.
  58. 3.2.
  59. 3.2.1.47. a)
  60. 3.2.2.48.49.50.51.52.53.54.55.56.57.
  61. 3.2.2.48.49.50.
  62. 3.2.2.48.49.50.51.
  63. 3.2.2.48.49.50.51.52.53.54.
  64. 3.2.3.58.59.60.61.62.63.64.65.66.67.
  65. 3.2.3.58.
  66. 3.2.3.58.59.60.61.62.63.64.
  67. 3.2.4.
  68. 3.2.4.1.68.69.70.
  69. 3.2.4.2.71.72.
  70. 3.2.5. ORIGINAL EXPOSURE PRE CONVERSION FACTORS
  71. 3.3.
  72. 3.3.1.74.75.76.77.
  73. 3.3.1.74. i.
  74. 3.3.1.74.75.76. i.
  75. 3.3.2.78.
  76. 3.3.3.
  77. 3.3.3.1. INTERNAL RATING SYSTEM/PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%)
  78. 3.3.4. Obligor grade (row identifier)
  79. 3.4.79.80.81.
  80. 3.4.1.
  81. 3.4.1.1. ORIGINAL EXPOSURE PRE CONVERSION FACTORS
  82. 3.4.2.
  83. 3.4.2.1. ORIGINAL EXPOSURE PRE CONVERSION FACTORS
  84. 3.4.3.
  85. 3.4.3.1.82.83.84.85.
  86. 3.4.3.2. Amount
  87. 3.5.
  88. 3.5.1.86.87.88.89.90.91.
  89. 3.5.1.86.87.88.
  90. 3.5.2. OBLIGOR GRADE (ROW IDENTIFIER)
  91. 3.5.2.92. PD/LGD APRROACH: TOTAL
  92. 3.6.
  93. 3.6.1.93.94.95.96.97.98.99.
  94. 3.6.2. Transactions unsettled up to 4 days (Factor 0 %) Transactions unsettled between 5 and 15 days (Factor 8 %) Transactions unsettled between 16 and 30 days (Factor 50 %) Transactions unsettled between 31 and 45 days (Factor 75 %) Transactions unsettled for 46 days or more (Factor 100 %)
  95. 3.6.2. UNSETTLED TRANSACTIONS AT SETTLEMENT PRICE
  96. 3.7.
  97. 3.7.1.100.100a.100b.101.
  98. 3.7.2.102.103.
  99. 3.7.2. TOTAL AMOUNT OF SECURITISATION EXPOSURES ORIGINATED
  100. 1250 % (UNRATED)
  101. 3.8.
  102. 3.8.1.104.104a.105.106.
  103. 3.8.2.107.108.
  104. 3.8.2. TOTAL AMOUNT OF SECURITISATION EXPOSURES ORIGINATED
  105. 3.9.
  106. 3.9.1.109.110.111.112.113.
  107. 3.9.1.109.110. a.
  108. 3.9.2. ROW NUMBER
  109. 4.
  110. 4.1.
  111. 4.1.1.114.115.116.117.118.119.
  112. 4.1.2. RELEVANT INDICATOR
  113. 4.2.
  114. 4.2.1.120.121.122.123.124.125.126.127.128.129.
  115. 4.2.2.
  116. 4.2.2.1.130.131.132.133.
  117. 4.2.2.2. EVENT TYPES
  118. 4.2.3.
  119. 4.2.3.1.134.135.136.
  120. 4.2.3.1.134.135.
  121. 4.2.3.2.
  122. Event ID
  123. 5.137.138.
  124. 5.1.
  125. 5.1.1.139.140.
  126. 5.1.2. ALL POSITIONS (LONG AND SHORT)
  127. 5.2.
  128. 5.2.1.141.141a.142.143.
  129. 5.2.2. ALL POSITIONS (LONG AND SHORT)
  130. 5.3.
  131. 5.3.1.144.145.146.147.
  132. 5.3.2. ALL POSITIONS (LONG AND SHORT)
  133. 5.4.
  134. 5.4.1.148.149.
  135. 5.4.2. ALL POSITIONS (LONG AND SHORT)
  136. 5.5.
  137. 5.5.1.150.151.
  138. 5.5.2. ALL POSITIONS (LONG AND SHORT)
  139. pt_1
  140. 5.6.
  141. 5.6.2. All POSITIONS (LONG AND SHORT)
  142. 5.7.
  143. 5.7.1.153.154.
  144. 5.7.2. VaR
  145. 12 weeks average measure
  146. 12 WEEKS AVERAGE MEASURE AND LAST MEASURE
  147. 5.8.
  148. 5.8.1. Exposure value
  149. 6.
  150. 6.1.
  151. 6.1.1.154a.154b.
  152. 6.1.2. FAIR-VALUED ASSETS AND LIABILITIES
  153. 6.2.
  154. 6.2.1.154c.154d.154e.
  155. 6.2.1.154c.154d.
  156. 6.2.2.1.1.1.11.1.1.21.1.1.31.1.1.41.1.1.5
  157. 6.2.2. CATEGORY LEVEL AVA
  158. 6.3.
  159. 6.3.1.154f.154g.154h.154i.154j.
  160. 6.3.2. RANK
  161. 6.4
  162. 6.4.1.154k.154l.154m.154n.154o.
  163. 6.4.2. RANK
  164. 7.
  165. 7.1.155.156.157.158.159.160.
  166. 7.2.161.162.163.
  167. 7.3. Total gross carrying amount of non-derivative financial assets
  168. ANNEX III
  169. ANNEX V REPORTING ON FINANCIAL INFORMATION
  170. PART 1 GENERAL INSTRUCTIONS
  171. 1.1.2.3.4.
  172. 1.1.2.3.4.5.
  173. 2.6.7.8.9.10.11. Table 1 Credit/debit convention, positive and negative signs
  174. 3.12.
  175. 4.13.14.
  176. 4.1.15.16.17.18.19.20.21.22.
  177. 4.1.15.
  178. 4.1.15.16.
  179. 4.2.23.24.25.26.
  180. 4.2.23.
  181. 4.2.23.24.
  182. 5.27.28.29.
  183. 5.1.30.31.32.33.
  184. 5.2.34.
  185. 5.3.35.36.37.38.39.40.41.
  186. 6.42.
  187. 6.42.43.44.
  188. PART 2 TEMPLATE RELATED INSTRUCTIONS
  189. 1.
  190. 1.1.1.2.3.4.5.6.7.
  191. 1.2.8.9.10.11.12.13.14.15.
  192. 1.3.16.17.18.19.20.21.22.23.24.25.26.27.28.29.30.
  193. 1.3.16.17.18.19.20.21.22.23.24.25.26.27.
  194. 2.31.32.33.34.35.36.37.38.39.40.41.42.43.44.45.46.47.48.49.50.51.52.53.54.55.56.
  195. 2.31.32.
  196. 2.31.32.33.34.35.36.37.38.39.40.41.42.43.44.45.46.
  197. 3.57.58.59.60.61.62.63.64.65.66.
  198. 3.57.58.59.60.
  199. 4.67.68.69.70.71.72.73.74.75.76.77.78.79.80.81.82.
  200. 4.67.68.69.70.
  201. 5.83.84.85.86.87.88.89.
  202. 5.83.84.85.
  203. 5.83.84.85.86.
  204. 5.83.84.85.86.87.88.
  205. 6.90.91.92.93.
  206. 8.97.98.99.100.101.
  207. 8.97.98.
  208. 9.102.103.104.105.106.107.108.109.110.111.112.113.114.115.116.117.118.119.
  209. 9.102.103.104.105.
  210. 9.102.103.104.105.106.107.108.109.110.111.112.113.
  211. 9.102.103.104.105.106.107.108.109.110.111.112.113.114.
  212. 9.102.103.104.105.106.107.108.109.110.111.112.113.114.115.
  213. 9.102.103.104.105.106.107.108.109.110.111.112.113.114.115.116.
  214. 10.120.121.122.123.124.125.126.127.128.
  215. 10.1.129.130.
  216. 10.1.129.
  217. 10.2.131.132.133.134.135.136.
  218. 10.2.131.132.133.
  219. 10.3.137.138.139.140.
  220. 10.3.137.
  221. 10.4.141.142.
  222. 10.4.141.
  223. 10.5.143.144.
  224. 10.7.146.147.148.149.150.151.152.
  225. 11.
  226. 11.1.153.154.155.
  227. 11.2.156.157.158.159.160.161.162.163.164.165.166.
  228. 11.2.156.157.158.159.160.161.162.163.164.
  229. 11.2.156.157.158.159.160.161.162.163.164.165.
  230. 11.3.167.168.169.170.
  231. 12.
  232. 12.1.171.172.173.174.
  233. 12.1.171.172.173.
  234. 13.177.178.179.
  235. 14.180.181.182.183.184.185.
  236. 14.180.181.182.183.
  237. 15.186.
  238. 15.1.187.188.189.190.191.192.193.194.
  239. 15.1.187.
  240. 15.1.187.188.
  241. 15.2.195.196.
  242. 15.3.197.198.199.
  243. 15.4.200.
  244. 15.5.201.202.
  245. 15.6.203.204.
  246. 15.7.205.206.207.
  247. 16.209.210.211.212.
  248. 17.213.214.215.216.217.218.219.220.221.222.223.224.225.226.227.228.229.230.231.232.233.234.235.236.237.238.239.
  249. 17.213.
  250. 17.213.214.215.216.217.218.219.
  251. 17.213.214.215.216.217.218.219.220.221.222.223.224.225.226.
  252. 17.213.214.215.216.217.218.219.220.221.222.223.224.225.226.227.228.
  253. 17.213.214.215.216.217.218.219.220.221.222.223.224.225.226.227.228.229.230.231.
  254. 17.213.214.215.216.217.218.219.220.221.222.223.224.225.226.227.228.229.230.231.232.233.
  255. 17.213.214.215.216.217.218.219.220.221.222.223.224.225.226.227.228.229.230.231.232.233.234.235.236.237.
  256. 18.240.241.242.243.244.245.246.247.248.249.250.251.252.253.254.255.256.257.258.259.260.261.262.263.264.265.266.267.268.
  257. 18.240.241.
  258. 18.240.241.242.
  259. 18.240.241.242.243.244.245.246.247.248.249.250.251.252.
  260. 18.240.241.242.243.244.245.246.247.248.249.250.251.252.253.254.
  261. 18.240.241.242.243.244.245.246.247.248.249.250.251.252.253.254.255.256.
  262. 18.240.241.242.243.244.245.246.247.248.249.250.251.252.253.254.255.256.257.258.259.
  263. 18.240.241.242.243.244.245.246.247.248.249.250.251.252.253.254.255.256.257.258.259.260.261.262.
  264. 18.240.241.242.243.244.245.246.247.248.249.250.251.252.253.254.255.256.257.258.259.260.261.262.263.264.
  265. 19.269.
  266. 19.2.271.272.273.274.275.276.277.
  267. 21.280.
  268. 21.1.281.282.283.284.
  269. 21.1.281.
  270. 21.2.285.
  271. 23.288.289.
  272. 23.1.290.291.
  273. 23.2.292.293.
  274. 23.2.292.
  275. 24.294.295.
  276. 24.1.296.
  277. 24.2.297.
  278. 25.
  279. 25.2.299.300.301.
  280. 28.306.
  281. 28.1.307.308.
  282. 28.2.309.310.
  283. 28.3.311.
  284. 29.
  285. 29.3.314.315.316.
  286. PART 3 1. Table 2 (a)(1)(2)(b)(2)(c)(2)(3)(4)(5)(d)(3)(e)(2)(f)(3)(4)(g)(2)(4)(5)(6)(h)(4)(5)(6)(i)(2)(3)(4)(5)(6)(j)(1)(2)(3)(4)(5)(6)(ja)(1)(2)(3)(4)(5)(6)(k)(3)(4)(5)(l)(2)(3)(4)(5)(6)(m)(3)(4)(5)(n)(o)(p) Table 3 (a)(1)(2)(3)(b)(2)(3)(4)(c)(2)(4)(5)(6)(d)(4)(5)(6)(e)(f)(2)(3)(4)(5)(6)(g) MAPPING OF EXPOSURE CLASSES AND COUNTERPARTY SECTORS Standardised Approach Internal Ratings Based Approach
  287. ANNEX IV
  288. ANNEX IX INSTRUCTIONS FOR REPORTING LARGE EXPOSURES AND CONCENTRATION RISK
  289. PART I GENERAL INSTRUCTIONS
  290. 1.1.2.3.4.5.6.
  291. 1.1.
  292. PART II TEMPLATE RELATED INSTRUCTIONS
  293. 1.1.2.3.4.5.6.7.
  294. 2.8.9.
  295. 3.11.12.13.14.15.16.17.18.19.20.21.
  296. 3.11.12.13.14.15.16.
  297. 4.
  298. 4.1. Non institutions
  299. 5.
  300. 5.1. Counterparty Identification:
  301. 6.
  302. 6.1. Code

THE EUROPEAN COMMISSION,

Having regard to the Treaty on the Functioning of the European Union,

Having regard to Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012 and in particular the fourth subparagraph of Article 99(5), the fourth subparagraph of Article 99(6), the third subparagraph of Article 394(4) the fourth subparagraph of Article 415(3) and the third subparagraph of Article 430(2) thereof,

Whereas:

(1) Commission Implementing Regulation (EU) No 680/2014 specifies the modalities according to which institutions are required to report information relevant to their compliance with Regulation (EU) No 575/2013. The regulatory framework established by Regulation (EU) No 575/2013 is gradually being supplemented and amended in its non-essential elements by the adoption of further regulatory technical standards. Implementing Regulation (EU) No 680/2014 needs to be updated to reflect those changes.

(2) Regulation (EU) No 575/2013 is supplemented by the adoption of Commission Delegated Regulation (EU) 2016/101, with regard to prudent valuation and by Regulation (EU) 2017/2401 of the European Parliament and of the Council, with regard to securitisation. Implementing Regulation (EU) No 680/2014 should be updated to reflect those changes and to provide further precision in the instructions and definitions used for the purposes of the institutions’ supervisory reporting. Certain references and formatting inconsistencies which were discovered as misleading in the course of the application of Implementing Regulation (EU) No 680/2014 should also be clarified.

(3) Delegated Regulation (EU) 2016/101 sets out requirements relating to prudent valuation adjustments of fair-valued positions. It provides two approaches for the implementation of the prudent valuation requirements: a core approach and a simplified approach. To monitor compliance of institutions with those requirements and to assess the impact of that Regulation on valuation adjustments, additional reporting, relating to the prudent valuation requirements, is necessary.

(4) Regulation (EU) 2017/2401 amends Regulation (EU) No 575/2013 to make the capital treatment of securitisations more risk-sensitive and able to reflect properly the specific features of simple, transparent and standardised securitisations. Implementing Regulation (EU) No 680/2014 needs to be amended to accommodate the reporting on securitisation positions subject to this revised securitisation framework.

(5) Amendments to Implementing Regulation (EU) No 680/2014 are also necessary to improve competent authorities’ ability to effectively monitor and assess the institutions’ risk profile and to obtain a view on the risks posed to the financial sector, which requires minor changes to the reporting requirements on the geographical distribution of exposures.

(6) This Regulation is based on the draft implementing technical standards submitted by the European Banking Authority (EBA) to the Commission.

(7) EBA has conducted open public consultations on the draft implementing technical standards on which this Regulation is based that relate to prudent valuation and the total geographical breakdown, analysed the potential related costs and benefits and requested the opinion of the Banking Stakeholder Group established in accordance with Article 37 of Regulation (EU) No 1093/2010 of the European Parliament and of the Council in relation to those. In accordance with the second subparagraph of Article 15(1) of that Regulation, EBA has not conducted any open public consultation with regard to those parts of the draft implementing technical standards on which this Regulation is based that are either of editorial nature or introduce only a limited number of items in the supervisory reporting framework, as such consultation would be disproportionate in relation to the scope and impact of the draft implementing technical standards concerned.

(8) Implementing Regulation (EU) No 680/2014 should therefore be amended accordingly,

HAS ADOPTED THIS REGULATION:

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 (4) is replaced by the following:

(4) the information on the geographical distribution of exposures by country, as well as aggregated at a total level, as specified in template 9 of Annex I, according to the instructions in Part II point 3.4 of Annex II. With regard to the information specified in templates 9.1 and 9.2 in particular, information on the geographical distribution of exposures by country shall be reported where non-domestic original exposures in all non-domestic countries in all exposures classes, as reported in row 850 of template 4 of Annex I, are equal or higher than 10 % of total domestic and non-domestic original exposures as reported in row 860 of template 4 of Annex I. For this purpose exposures shall be deemed to be domestic where they are exposures to counterparties located in the Member State where the institution is located. The entry and exit criteria of Article 4 shall apply;;

(ii) the following point (12) is added:

(12) the information on prudent valuation specified in template 32 of Annex I in accordance with the instructions in Part II, point 6 of Annex II as follows: For the purposes of point (a)(12), the entry and exit criteria of Article 4 shall not apply.;

(i) all institutions shall report the information specified in template 32.1 of Annex I in accordance with the instructions in Part II, point 6 of Annex II;

(ii) in addition to the reporting referred to in point (i), institutions that apply the core approach pursuant to Regulation (EU) 2016/101 shall also report the information specified in template 32.2 of Annex I in accordance with the instructions in Part II, point 6 of Annex II;

(iii) in addition to the requirements referred to in points (i) and (ii), institutions that apply the core approach pursuant to Regulation (EU) 2016/101 and which exceed the threshold referred to in Article 4(1) of that Regulation at their respective reporting level, shall also report the information specified in templates 32.3 and 32.4 of Annex I in accordance with the instructions in Part II, point 6 of Annex II.

(b) point (b) is amended as follows: In point (3) points (a), (b) and (c), the words point 6 of Part II of Annex II are replaced by the words point 7 of Part II of Annex II;

(2) in Article 9(2), point (d) is replaced by the following:

(d) the information specified in template 20 in Part 2 of Annex III with a quarterly frequency where the institution exceeds the threshold defined in the second sentence of point (4) of Article 5(a). The entry and exit criteria referred to in Article 4 shall apply;;

(3) Annex I is replaced by the text set out in Annex I to this Regulation;

(4) Annex II is replaced by the text set out in Annex II to this Regulation;

(5) Annex V is replaced by the text set out in Annex III to this Regulation;

(6) Annex IX is replaced by the text set out in Annex IV to this Regulation;

(7) Annex XI is replaced by the text set out in Annex V to this Regulation;

(8) Annex XVI is replaced by Annex VI to this Regulation;

(9) Annex XIX is replaced by the text set out in Annex VII to this Regulation;

(10) Annex XXI is replaced by the text set out in Annex VIII to this Regulation;

(11) Annex XXII is replaced by the text set out in Annex IX to this Regulation;

(12) Annex XXIII is replaced by the text set out in Annex X to this Regulation.

Article 2

This Regulation shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union. It shall apply from 1 December 2018.

This Regulation shall be binding in its entirety and directly applicable in all Member States. Done at Brussels, 9 October 2018. For the Commission The President Jean-Claude Juncker

ANNEX

ANNEX I

ANNEX I REPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS C 01.00 - OWN FUNDS (CA1) C 02.00 - OWN FUNDS REQUIREMENTS (CA2) C 03.00 - CAPITAL RATIOS AND CAPITAL LEVELS (CA3) C 04.00 - MEMORANDUM ITEMS (CA4) C 05.01 - TRANSITIONAL PROVISIONS (CA5.1) C 05.02 - GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUING STATE AID (CA5.2) C 06.01 - GROUP SOLVENCY: INFORMATION ON AFFILIATES - TOTAL (GS TOTAL) C 06.02 - GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS) C 07.00 - CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: STANDARDISED APPROACH TO CAPITAL REQUIREMENTS (CR SA) C 08.01 - CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS (CR IRB 1) 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) C 09.01 - GEOGRAPHICAL BREAKDOWN OF EXPOSURES BY RESIDENCE OF THE OBLIGOR: SA EXPOSURES (CR GB 1) C 09.02 - GEOGRAPHICAL BREAKDOWN OF EXPOSURES BY RESIDENCE OF THE OBLIGOR: IRB EXPOSURES (CR GB 2) C 09.04 -BREAKDOWN OF CREDIT EXPOSURES RELEVANT FOR THE CALCULATION OF THE COUNTERCYCLICAL BUFFER BY COUNTRY AND INSTITUTION-SPECIFIC COUNTERCYCLICAL BUFFER RATE (CCB) C 10.01 - CREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS (CR EQU IRB 1) 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) C 11.00 - SETTLEMENT/DELIVERY RISK (CR SETT) C 12.00 - CREDIT RISK: SECURITISATIONS - STANDARDISED APPROACH TO OWN FUNDS REQUIREMENTS (CR SEC SA) C 13.00 - CREDIT RISK: SECURITISATIONS - IRB APPROACH TO OWN FUNDS REQUIREMENTS (CR SEC IRB) C 14.00 - DETAILED INFORMATION ON SECURITISATIONS (SEC Details) C 16.00 - OPERATIONAL RISK (OPR) 1.2.3. C 17.01 - OPERATIONAL RISK: LOSSES AND RECOVERIES BY BUSINESS LINES AND EVENT TYPES IN THE LAST YEAR (OPR DETAILS 1) C 17.02 - OPERATIONAL RISK: LARGE LOSS EVENTS (OPR DETAILS 2) C 18.00 - MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS (MKR SA TDI) C 19.00 - MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS (MKR SA SEC) 1.2.3.4.5.6.7.8.9.10. C 20.00 - MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN THE CORRELATION TRADING PORTFOLIO (MKR SA CTP) C 21.00 - MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES (MKR SA EQU) C 22.00 - MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK (MKR SA FX) C 23.00 - MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES (MKR SA COM) C 24.00 - MARKET RISK INTERNAL MODELS (MKR IM) C 25.00 - CREDIT VALUE ADJUSTMENT RISK (CVA) C 32.01 - PRUDENT VALUATION: FAIR-VALUED ASSETS AND LIABILITIES (PRUVAL 1) C 32.02 - PRUDENT VALUATION: CORE APPROACH (PRUVAL 2) C 32.03 - PRUDENT VALUATION: MODEL RISK AVA (PRUVAL 3) C 32.04 - PRUDENT VALUATION: CONCENTRATED POSITIONS AVA (PRUVAL 4) C 33.00 - GENERAL GOVERNMENTS EXPOSURES BY COUNTRY OF THE COUNTERPARTY (GOV) SA Exposure class IRB Exposure class: Own estimates of LGD and/or conversion factors: IRB Exposure class: Own estimates of LGD and/or conversion factors: Country: Country: Country: Currency: National market: Country:

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 12 C 12.00 CREDIT RISK: SECURITISATIONS - STANDARDISED APPROACH TO OWN FUNDS REQUIREMENTS CR SEC SA 13 C 13.00 CREDIT RISK: SECURITISATIONS - IRB APPROACH TO OWN FUNDS REQUIREMENTS CR SEC IRB 14 C 14.00 DETAILED INFORMATION ON SECURITISATIONS CR SEC Details OPERATIONAL RISK OPR 16 C 16.00 OPERATIONAL RISK OPR OPERATIONAL RISK: LOSSES AND RECOVERIES 17,1 C 17.01 OPERATIONAL RISK: LOSSES AND RECOVERIES BY BUSINESS LINES AND 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 1250 % risk weight 460 1.1.1.18 (-) Securitisation positions which can alternatively be subject to a 1250 % risk weight 470 1.1.1.19 (-) Free deliveries which can alternatively be subject to a 1250 % 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 1250 % risk weight 472 1.1.1.21 (-) Equity exposures under an internal models approach which can alternatively be subject to a 1250 % 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 instrumentsand 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) 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 immovableproperty 160 1.1.1.1.10 Exposures in default 170 1.1.1.1.11 Items associated with particular high risk 180 1.1.1.1.12 Covered bonds 190 1.1.1.1.13 Claims on institutions and corporates with a short-term credit assessment 200 1.1.1.1.14 Collective investments undertakings (CIU) 210 1.1.1.1.15 Equity 211 1.1.1.1.16 Other items 220 1.1.1.2 Securitisation positions SA 230 1.1.1.2* of which: resecuritisation 240 1.1.2 Internal ratings based Approach (IRB) 250 1.1.2.1 IRB approaches when neither own estimates of LGD nor Conversion Factors are used 260 1.1.2.1.01 Central governments and central banks 270 1.1.2.1.02 Institutions 280 1.1.2.1.03 Corporates - SME 290 1.1.2.1.04 Corporates - Specialised Lending 300 1.1.2.1.05 Corporates - Other 310 1.1.2.2 IRB approaches when own estimates of LGD and/or Conversion Factors are used 320 1.1.2.2.01 Central governments and central banks 330 1.1.2.2.02 Institutions 340 1.1.2.2.03 Corporates - SME 350 1.1.2.2.04 Corporates - Specialised Lending 360 1.1.2.2.05 Corporates - Other 370 1.1.2.2.06 Retail - Secured by real estate SME 380 1.1.2.2.07 Retail - Secured by real estate non-SME 390 1.1.2.2.08 Retail - Qualifying revolving 400 1.1.2.2.09 Retail - Other SME 410 1.1.2.2.10 Retail - Other non-SME 420 1.1.2.3 Equity IRB 430 1.1.2.4 Securitisation positions IRB 440 1.1.2.4* Of which: resecuritisation 450 1.1.2.5 Other non credit-obligation assets 460 1.1.3 Risk exposure amount for contributions to the default fund of a CCP 490 1.2 TOTAL RISK EXPOSURE AMOUNT FOR SETTLEMENT/DELIVERY 500 1.2.1 Settlement/delivery risk in the non-Trading book 510 1.2.2 Settlement/delivery risk in the Trading book 520 1.3 TOTAL RISK EXPOSURE AMOUNT FOR POSITION, FOREIGN EXCHANGE AND COMMODITIES RISKS 530 1.3.1 Risk exposure amount for position, foreign exchange and commodities risks under standardised approaches (SA) 540 1.3.1.1 Traded debt instruments 550 1.3.1.2 Equity 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 Art 458 720 1.8.2* Of which: requirements for large exposures 730 1.8.2** Of which: due to modified risk weights for targeting asset bubbles in the residential and commercial property 740 1.8.2*** Of which: due to intra financial sector exposures 750 1.8.3 Of which: Additional stricter prudential requirements based on Art 459 760 1.8.4 Of which: Additional risk exposure amount due to Article 3 CRR 770 1.8.5 Of which: Risk weighted exposure amounts for credit risk: securitisation positions (revised securitisation framework) 780 1.8.5.1 Internal ratings-based approach (SEC-IRBA) 790 1.8.5.1.1 Securitisations not qualifying for differentiated capital treatment 800 1.8.5.1.2 STS securitisations qualifying for differentiated capital treatment 810 1.8.5.2 Standardised approach (SEC-SA) 820 1.8.5.2.1 Securitisations not qualifying for differentiated capital treatment 830 1.8.5.2.2 STS securitisations qualifying for differentiated capital treatment 840 1.8.5.3 External ratings-based approach (SEC-ERBA) 850 1.8.5.3.1 Securitisations not qualifying for differentiated capital treatment 860 1.8.5.3.2 STS securitisations qualifying for differentiated capital treatment 870 1.8.5.4 Internal assessment approach (IAA) 880 1.8.5.4.1 Securitisations not qualifying for differentiated capital treatment 890 1.8.5.4.2 STS securitisations qualifying for differentiated capital treatment 900 1.8.5.5 Other (RW = 1250 %) 910 1.8.6 Of which: Total risk exposure amount for position risk: Traded debt instruments – specific risk of securitisation instruments (revised securitisation framework) 920 1.8.6.1 Internal ratings-based approach (SEC-IRBA) 930 1.8.6.1.1 Securitisations not qualifying for differentiated capital treatment 940 1.8.6.1.2 STS securitisations qualifying for differentiated capital treatment 950 1.8.6.2 Standardised approach (SEC-SA) 960 1.8.6.2.1 Securitisations not qualifying for differentiated capital treatment 970 1.8.6.2.2 STS securitisations qualifying for differentiated capital treatment 980 1.8.6.3 External ratings-based approach (SEC-ERBA) 990 1.8.6.3.1 Securitisations not qualifying for differentiated capital treatment 1000 1.8.6.3.2 STS securitisations qualifying for differentiated capital treatment 1010 1.8.6.4 Internal assessment approach (IAA) 1020 1.8.6.4.1 Securitisations not qualifying for differentiated capital treatment 1030 1.8.6.4.2 STS securitisations qualifying for differentiated capital treatment 1040 1.8.6.5 Other (RW = 1250 %) 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 investmenttemporary 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 investmenttemporary waived 720 25 Holdings on T2 Capital Instruments of financial sector entities where the institution does not have a significant investmenttemporary 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 toor 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 itemswithout an incentive to redeem 110 3.2 Grandfathered items with an incentive to redeem 120 3.2.1 Itemswith 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 toor 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 QUALIFYINGOWN FUNDS INSTRUMENTSINCLUDED 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 QUALIFYINGTIER 1 INSTRUMENTSINCLUDED 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 QUALIFYINGOWN FUNDS INSTRUMENTSINCLUDED 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 MINORITY INTERESTS INCLUDED IN CONSOLIDATED COMMON EQUITY TIER 1 CAPITAL QUALIFYINGTIER 1 INSTRUMENTSINCLUDED IN CONSOLIDATED 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 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 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 1250 % 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 LARGEFINANCIAL 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 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 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 LARGEFINANCIAL 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 approaches 040 Value of trading book exposures for internal models Relevant credit exposures – Securitisation 050 Exposure value of securitisation positions in the banking book under the Standardised Approach 060 Exposure value of securitisation positions in the banking book under the IRB Approach 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 SECURITISATIONS: CREDIT PROTECTION TO THE SECURITISED EXPOSURES SECURITISATION POSITIONS (-) VALUE ADJUSTMENTS AND PROVISIONS EXPOSURE NET OF VALUE ADJUSTMENTS AND PROVISIONS CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS (-) CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE AMOUNT OF THE EXPOSURE: FUNDED CREDIT PROTECTION FINANCIAL COLLATERAL COMPREHENSIVE METHOD ADJUSTED VALUE (Cvam) FULLY ADJUSTED EXPOSURE VALUE (E*) BREAKDOWN OF THE FULLY ADJUSTED EXPOSURE VALUE (E*) OF OFF BALANCE SHEET ITEMS ACCORDING TO CONVERSION FACTORS EXPOSURE VALUE BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS RISK-WEIGHTED EXPOSURE AMOUNT OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONS ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO MATURITY MISMATCHES TOTAL RISK-WEIGHTED EXPOSURE AMOUNT MEMORANDUM ITEM: RISK WEIGHTED EXPOSURE AMOUNT CORRESPONDING TO THE OUTFLOWS FROM THE SA SECURITISATION TO OTHER EXPOSURE CLASSES (-) FUNDED CREDIT PROTECTION (Cva) (-) TOTAL OUTFLOWS NOTIONAL AMOUNT RETAINED OR REPURCHASED OF CREDIT PROTECTION ORIGINAL EXPOSURE PRE CONVERSION FACTORS (-) UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (Ga) (-) FUNDED CREDIT PROTECTION SUBSTITUTION OF THE EXPOSURE DUE TO CRM 0% >0% and <=20% >20% and <=50% >50% and <=100% (-) DEDUCTED FROM OWN FUNDS SUBJECT TO RISK WEIGHTS RATED (CREDIT QUALITY STEPS) 1250% LOOK-THROUGH INTERNAL ASSESMENT APPROACH (-) UNFUNDED CREDIT PROTECTION ADJUSTED VALUES (G*) (-) TOTAL OUTFLOWS TOTAL INFLOWS CQS 1 CQS 2 CQS 3 CQS 4 ALL OTHER CQS UNRATED OF WHICH: SECOND LOSS IN ABCP OF WHICH: AVERAGE RISK WEIGHT (%) AVERAGE RISK WEIGHT (%) OF WHICH: SYNTHETIC SECURITISATIONS BEFORE CAP AFTER CAP 010 020 030 040 050 060 070 080 090 100 110 120 130 140 150 160 170 180 190 200 210 220 230 240 250 260 270 280 290 300 310 320 330 340 350 360 370 380 390 010 TOTAL EXPOSURES Cell linked to CA 020 OF WHICH: RE-SECURITISATIONS Cell linked to CA 030 ORIGINATOR: TOTAL EXPOSURES 040 ON-BALANCE SHEET ITEMS 050 SECURITISATIONS 060 RE-SECURITISATIONS 070 OFF-BALANCESHEET ITEMS AND DERIVATIVES 080 SECURITISATIONS 090 RE-SECURITISATIONS 100 EARLY AMORTISATION 110 INVESTOR: TOTAL EXPOSURES 120 ON-BALANCE SHEET ITEMS 130 SECURITISATIONS 140 RE-SECURITISATIONS 150 OFF-BALANCESHEET ITEMS AND DERIVATIVES 160 SECURITISATIONS 170 RE-SECURITISATIONS 180 SPONSOR: TOTAL EXPOSURES 190 ON-BALANCE SHEET ITEMS 200 SECURITISATIONS 210 RE-SECURITISATIONS 220 OFF-BALANCESHEET ITEMS AND DERIVATIVES 230 SECURITISATIONS 240 RE-SECURITISATIONS BREAKDOWN OF OUTSTANDING POSITIONS ACCORDING TO CQS AT INCEPTION: 250 CQS 1 260 CQS 2 270 CQS 3 280 CQS 4 290 ALL OTHER CQS AND UNRATED TOTAL AMOUNT OF SECURITISATI0N EXPOSURES ORIGINATED SYNTHETIC SECURITIZATIONS: CREDIT PROTECTION TO THE SECURITISED EXPOSURES SECURITISATION POSITIONS CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS (-) CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE AMOUNT OF THE EXPOSURE: FUNDED CREDIT PROTECTION FINANCIAL COLLATERAL COMPREHENSIVE METHOD ADJUSTED VALUE (Cvam) FULLY ADJUSTED EXPOSURE VALUE (E*) BREAKDOWN OF THE FULLY ADJUSTED EXPOSURE VALUE (E*) OF OFF BALANCE SHEET ITEMS ACCORDING TO CREDIT CONVERSION FACTORS EXPOSURE VALUE BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS (-) REDUCTION IN RISK WEIGHTED EXPOSURE AMOUNT DUE TO VALUE ADJUSTMENTS AND PROVISIONS RISK-WEIGHTED EXPOSURE AMOUNT OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONS ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO MATURITY MISMATCHES TOTAL RISK-WEIGHTED EXPOSURE AMOUNT MEMORANDUM ITEM: RISK WEIGHTED EXPOSURE AMOUNT CORRESPONDING TO THE OUTFLOWS FROM THE IRB SECURITISATION TO OTHER EXPOSURE CLASSES (-) FUNDED CREDIT PROTECTION (Cva) (-) TOTAL OUTFLOWS NOTIONAL AMOUNT RETAINED OR REPURCHASED OF CREDIT PROTECTION ORIGINAL EXPOSURE PRE CONVERSION FACTORS (-) UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (Ga) (-) FUNDED CREDIT PROTECTION SUBSTITUTION OF THE EXPOSURE DUE TO CRM 0% >0% and <=20% >20% and <=50% >50% and <=100% (-) DEDUCTED FROM OWN FUNDS SUBJECT TO RISK WEIGHTS RATINGS BASED METHOD(CREDIT QUALITY STEPS) 1250% SUPERVISORY FORMULA METHOD LOOK-THROUGH INTERNAL ASSESSMENT APPROACH (-) UNFUNDED CREDIT PROTECTION ADJUSTED VALUES (G*) (-) TOTAL OUTFLOWS TOTAL INFLOWS CQS 1 & S/T CQS 1 CQS 2 CQS 3 CQS 4 & S/T CQS 2 CQS 5 CQS 6 CQS 7 & S/T CQS 3 CQS 8 CQS 9 CQS 10 CQS 11 ALL OTHER CQS UNRATED AVERAGE RISK WEIGHT (%) AVERAGE RISK WEIGHT (%) AVERAGE RISK WEIGHT (%) OF WHICH: SYNTHETIC SECURITISATIONS BEFORE CAP AFTER CAP 010 020 030 040 050 060 070 080 090 100 110 120 130 140 150 160 170 180 190 200 210 220 230 240 250 260 270 280 290 300 310 320 330 340 350 360 370 380 390 400 410 420 430 440 450 460 010 TOTAL EXPOSURES Cell linked to CA 020 OF WHICH: RE-SECURITISATIONS Cell linked to CA 030 ORIGINATOR: TOTAL EXPOSURES 040 ON-BALANCE SHEET ITEMS 050 SECURITISATIONS A 060 B 070 C 080 RE-SECURITISATIONS D 090 E 100 OFF-BALANCE SHEET ITEMS AND DERIVATIVES 110 SECURITISATIONS A 120 B 130 C 140 RE-SECURITISATIONS D 150 E 160 EARLY AMORTISATION 170 INVESTOR: TOTAL EXPOSURES 180 ON-BALANCE SHEET ITEMS 190 SECURITISATIONS A 200 B 210 C 220 RE-SECURITISATIONS D 230 E 240 OFF-BALANCE SHEET ITEMS AND DERIVATIVES 250 SECURITISATIONS A 260 B 270 C 280 RE-SECURITISATIONS D 290 E 300 SPONSOR: TOTAL EXPOSURES 310 ON-BALANCE SHEET ITEMS 320 SECURITISATIONS A 330 B 340 C 350 RE-SECURITISATIONS D 360 E 370 OFF-BALANCE SHEET ITEMS AND DERIVATIVES 380 SECURITISATIONS A 390 B 400 C 410 RE-SECURITISATIONS D 420 E BREAKDOWN OF OUTSTANDING POSITIONS ACCORDING TO CQS AT INCEPTION: 430 CQS 1 & S/T CQS 1 440 CQS 2 450 CQS 3 460 CQS 4 & S/T CQS 2 470 CQS 5 480 CQS 6 490 CQS 7 & S/T CQS 3 500 CQS 8 510 CQS 9 520 CQS 10 530 CQS 11 540 ALL OTHER CQS AND UNRATED ROW NUMBER INTERNAL CODE IDENTIFIER OF THE SECURITISATION IDENTIFIER OF THE ORIGINATOR SECURITISATION TYPE: (TRADITIONAL / SYNTHETIC) ACCOUNTING TREATMENT: Securitised exposures are kept or removed from the balance sheet? SOLVENCY TREATMENT: Securitisation positions subject to own funds requirements ? SECURITISATION OR RE-SECURITISATION? STS SECURITISATION RETENTION ROLE OF THE INSTITUTION: (ORIGINATOR / SPONSOR / ORIGINAL LENDER / INVESTOR) NON ABCP PROGRAMMES SECURITISED EXPOSURES SECURITISATION STRUCTURE SECURITISATION POSITIONS (-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS TOTAL RISK-WEIGHTED EXPOSURE AMOUNT APPROACH STS SECURITISATION QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT SECURITISATION POSITIONS - TRADING BOOK TYPE OF RETENTION APPLIED % OF RETENTION AT REPORTING DATE COMPLIANCE WITH THE RETENTION REQUIREMENT? ORIGINATION DATE TOTAL AMOUNT OF SECURITISED EXPOSURES AT ORIGINATION DATE TOTAL AMOUNT INSTITUTION'S SHARE (%) TYPE APPROACH APPLIED (SA/IRB/MIX) NUMBER OF EXPOSURES COUNTRY ELGD (%) (-) VALUE ADJUSTMENTS AND PROVISIONS OWN FUNDS REQUIREMENTS BEFORE SECURITISATION (%) ON-BALANCE SHEET ITEMS OFF-BALANCE SHEET ITEMS AND DERIVATIVES MATURITY ORIGINAL EXPOSURE PRE-CONVERSION FACTORS MEMORANDUM ITEMS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES EARLY AMORTISATION CTP OR NON-CTP? NET POSITIONS TOTAL OWN FUNDS REQUIREMENTS (SA) SENIOR MEZZANINE FIRST LOSS SENIOR MEZZANINE FIRST LOSS FIRST FORESEEABLE TERMINATION DATE LEGAL FINAL MATURITY DATE ON-BALANCE SHEET ITEMS OFF-BALANCE SHEET ITEMS AND DERIVATIVES DIRECT CREDIT SUBSTITUTES IRS / CRS ELIGIBLE LIQUIDITY FACILITIES OTHER (including non-eligible LF) CONVERSION FACTOR APPLIED SENIOR MEZZANINE FIRST LOSS SENIOR MEZZANINE FIRST LOSS BEFORE CAP AFTER CAP LONG SHORT SPECIFIC RISK 005 010 020 030 040 050 060 070 075 080 090 100 110 120 130 140 150 160 170 180 190 200 210 220 230 240 250 260 270 280 290 300 310 320 330 340 350 360 370 380 390 400 410 420 430 440 445 446 450 460 470 480 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 BANKING ACTIVITIES SUBJECT TO BASIC INDICATOR APPROACH (BIA) Cell linked to CA2 020 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 BANKING ACTIVITIES SUBJECT TO ADVANCED MEASUREMENT APPROACHES AMA Cell linked to CA2 MAPPING OF LOSSES TO BUSINESS LINES EVENT TYPES TOTAL 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 010 020 030 040 050 060 070 080 090 100 0010 CORPORATE FINANCE[CF] Number of events (new events) 0020 Gross loss amount (new events) 0030 Number of 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 TRADINGAND SALES[TS] Number of events (new events) 0120 Gross loss amount (new events) 0130 Number of 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 events (new events) 0220 Gross loss amount (new events) 0230 Number of 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 events) 0320 Gross loss amount (new events) 0330 Number of 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 RETAILBANKING[RB] Number of events (new events) 0420 Gross loss amount (new events) 0430 Number of 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 events (new events) 0520 Gross loss amount (new events) 0530 Number of 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 AGENCYSERVICES[AS] Number of events (new events) 0620 Gross loss amount (new events) 0630 Number of 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 events (new events) 0720 Gross loss amount (new events) 0730 Number of 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 events (new events) 0820 Gross loss amount (new events) 0830 Number of 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 TOTALBUSINESSLINES Number of events (new 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 < 1000000 0914 related to losses ≥ 1000000 0920 Gross loss amount (new 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 < 1000000 0924 related to losses ≥ 1000000 0930 Number of events subject to loss adjustments. Of which: 0935 of which: number of events with a positive loss adjustment 0936 of which: number of 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 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) ACCORDING TO SA AND IRB RISK WEIGHTS BREAKDOWN OF THE NET POSITIONS (SHORT) ACCORDING TO SA AND IRB RISK WEIGHTS OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONS BEFORE CAP AFTER CAP TOTAL OWN FUNDS REQUIREMENTS RISK WEIGHTS < 1250 % 1250 % SUPERVISORY FORMULA METHOD LOOK-THROUGH INTERNAL ASSESMENT APPROACH RISK WEIGHTS < 1250 % 1250 % SUPERVISORY FORMULA METHOD LOOK-THROUGH INTERNAL ASSESMENT APPROACH LONG SHORT (-) LONG (-) SHORT LONG SHORT 7 - 10 % 12 - 18 % 20 - 35 % 40 - 75 % 100 % 150 % 200 % 225 % 250 % 300 % 350 % 425 % 500 % 650 % 750 % 850 % RATED UNRATED AVERAGE RISK WEIGHT (%) AVERAGE RISK WEIGHT (%) 7 - 10 % 12 - 18 % 20 - 35 % 40 - 75 % 100 % 150 % 200 % 225 % 250 % 300 % 350 % 425 % 500 % 650 % 750 % 850 % RATED UNRATED AVERAGE RISK WEIGHT (%) AVERAGE RISK WEIGHT (%) WEIGHTED NET LONG POSITIONS WEIGHTED NET SHORT POSITIONS WEIGHTED NET LONG POSITIONS WEIGHTED NET SHORT POSITIONS SUM OF WEIGHTED NET LONG AND SHORT POSITIONS WEIGHTED NET LONG POSITIONS WEIGHTED NET SHORT POSITIONS SUM OF WEIGHTED NET LONG AND SHORT POSITIONS 010 020 030 040 050 060 070 080 090 100 110 120 130 140 150 160 170 180 190 200 210 220 230 240 250 260 270 280 290 300 310 320 330 340 350 360 370 380 390 400 410 420 430 440 450 460 470 480 490 500 510 520 530 540 550 560 570 580 590 600 610 010 TOTAL EXPOSURES Cell linked to MKR SA TDI {325:060} 020 Of which: RE-SECURITISATIONS 030 ORIGINATOR: TOTAL EXPOSURES 040 SECURITISATIONS 050 RE-SECURITISATIONS 060 INVESTOR: TOTAL EXPOSURES 070 SECURITISATIONS 080 RE-SECURITISATIONS 090 SPONSOR: TOTAL EXPOSURES 100 SECURITISATIONS 110 RE-SECURITISATIONS BREAKDOWN OF THE TOTAL SUM OF WEIGHTED NET LONG AND NET SHORT POSITIONS BY UNDERLYING TYPES: 120 Residential mortgages 130 Commercial mortgages 140 Credit card receivables 150 Leasing 160 Loans to corporates or SMEs 170 Consumer loans 180 Trade receivables 190 Other assets 200 Covered Bondes 210 Other liabilities ALL POSITIONS (-) POSITIONS DEDUCTED FROM OWN FUNDS NET POSITIONS BREAKDOWN OF THE NET POSITION (LONG) ACCORDING TO SA AND IRB RISK WEIGHTS BREAKDOWN OF THE NET POSITION (SHORT) ACCORDING TO SA AND IRB RISK WEIGHTS BEFORE CAP AFTER CAP TOTAL OWN FUNDS REQUIREMENTS RISK WEIGHTS < 1250 % 1250 % SUPERVISORY FORMULA METHOD LOOK-THROUGH INTERNAL ASSESMENT APPROACH RISK WEIGHTS < 1250 % 1250 % SUPERVISORY FORMULA METHOD LOOK-THROUGH INTERNAL ASSESMENT APPROACH LONG SHORT (-) LONG (-) SHORT LONG SHORT 7 - 10 % 12 - 18 % 20 - 35 % 40- 75 % 100 % 250 % 350 % 425 % 650 % Other RATED UNRATED AVERAGE RISK WEIGHT (%) AVERAGE RISK WEIGHT (%) 7 - 10 % 12 - 18 % 20 - 35 % 40 - 75 % 100 % 250 % 350 % 425 % 650 % Other RATED UNRATED AVERAGE RISK WEIGHT (%) AVERAGE RISK WEIGHT (%) WEIGHTED NET LONG POSITIONS WEIGHTED NET SHORT POSITIONS WEIGHTED NET LONG POSITIONS WEIGHTED NET SHORT POSITIONS 010 020 030 040 050 060 070 080 090 100 110 120 130 140 150 160 170 180 190 200 210 220 230 240 250 260 270 280 290 300 310 320 330 340 350 360 370 380 390 400 410 420 430 440 450 010 TOTAL EXPOSURES Cell linked to MKR SA TDI {330:060} SECURITISATION POSITIONS: 020 ORIGINATOR: TOTAL EXPOSURES 030 SECURITISATIONS 040 OTHER CTP POSITIONS 050 INVESTOR: TOTAL EXPOSURES 060 SECURITISATIONS 070 OTHER CTP POSITIONS 080 SPONSOR: TOTAL EXPOSURES 090 SECURITISATIONS 100 OTHER CTP POSITIONS N-TH-TO-DEFAULT CREDIT 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 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 FUNDS REQUIREMENTS TOTAL RISK EXPOSURE AMOUNT MEMORANDUM ITEMS CVA RISK HEDGE NOTIONALS of which: OTC Derivatives of which:SFT MULTIPLICATION FACTOR (mc) x AVERAGE OF PREVIOUS 60 WORKING DAYS (VaRavg) PREVIOUS DAY(VaRt-1) MULTIPLICATION FACTOR (ms) x AVERAGE OF PREVIOUS 60 WORKING DAYS (SVaRavg) LATEST AVAILABLE (SVaRt-1) Number of counterparties of which: proxy was used to determine credit spread INCURRED CVA SINGLE NAME CDS INDEX CDS 010 020 030 040 050 060 070 080 090 100 110 120 130 140 010 CVA risk total Link to {CA2;r640;c010} 020 According to Advanced method Link to {CA2;r650;c010} 030 According to Standardised method Link to {CA2;r660;c010} 040 Based on OEM Link to {CA2;r670;c010} FAIR-VALUED ASSETS AND LIABILITIES FAIR-VALUED ASSETS AND LIABILITIES EXCLUDED BECAUSE OF PARTIAL IMPACT ON CET1 FAIR-VALUED ASSETS AND LIABILITIES INCLUDED IN ART. 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 QTD REVENUE IPV DIFFERENCE 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 MARKETPRICEUNCER-TAINTY CLOSE-OUT COSTS MODELRISK CONCEN-TRATEDPOSITIONS UNEARNED CREDIT SPREADS INVESTING ANDFUNDING COSTS FUTURE ADMINIS-TRATIVE COSTS EARLY TERMI-NATION OPERA- TIONALRISK 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 - 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) 0080 1.1.1**** OF WHICH: AVA ASSESSED TO HAVE ZERO VALUE UNDER ARTICLE 10(2)&10(3) 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: AGGRE-GATED 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 CONCEN-TRATED POSITIONSIZE SIZE MEASURE MARKET VALUE PRUDENT EXIT PERIOD CONCEN-TRATED POSITIONS AVA CONCEN-TRATED POSITIONFAIR 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 REPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS

PART I GENERAL INSTRUCTIONS

1. STRUCTURE AND CONVENTIONS

1.

1.1.1.2.3. STRUCTURE Overall, the framework consists of five blocks of templates: 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 the Implementing Technical Standard.. Institutions report only those templates that are relevant depending on the approach used for determining own funds requirements.

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.

1.2.4.5.6.7.8.

NUMBERING CONVENTION The document follows the labelling convention set in the following table, when referring to the columns, rows and cells of the templates. These numerical codes are extensively used in the validation rules. The following general notation is followed in the instructions: {Template;Row;Column}. In the case of validations inside a template, in which only data points of that template is used, notations do not refer to a template: {Row;Column}. In the case of templates with only one column, only rows are referred to. {Template;Row} An asterisk sign is used to express that the validation is done for the rows or columns specified before.

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

1.4.9a. ABBREVIATIONS For the purposes of this Annex, Regulation (EU) No 575/2013 is referred to as CRR, and Directive 2013/36/EU of the European Parliament and of the Council is referred to as CRD.

PART II TEMPLATE RELATED INSTRUCTIONS

1.

GENERAL REMARKS CA templates contain information about Pillar 1 numerators (own funds, Tier 1, Common Equity Tier 1), denominator (own funds requirements), and transitional provisions and is structures in five templates: The templates shall apply to all reporting entities, irrespective of the accounting standards followed, although some items in the numerator are specific for entities applying IAS/IFRS-type valuation rules. Generally, the information in the denominator is linked to the final results reported in the correspondent templates for the calculation of the total risk exposure amount. The total own funds consist of different types of capital: Tier 1 capital (T1), which is the sum of Common Equity Tier 1 capital (CET1), Additional Tier 1 capital (AT1) as well as Tier 2 capital (T2). Transitional provisions are treated as follows in CA templates: The treatment of Pillar II requirements can be different within the Union (Article 104(2) CRD has to be transposed into national regulation). Only the impact of Pillar II requirements on the solvency ratio or the target ratio shall be included in the solvency reporting of CRR. A detailed reporting of Pillar II requirements is not within the mandate of Article 99 CRR.

1.1.10.
1.1.10.11.12.13.

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

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

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

1.1.10.11.12.13.14. a)

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

b)

The template CA3 contains the impact of additional Pillar II-requirements on the solvency ratio on an aggregated basis. One block focuses on the impact of amounts on the ratios, whereas the other block focuses on the ratio itself. Both blocks of ratios do not have any further link to the templates CA1, CA2 or CA5.

c)

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

1.2.
1.2.1.

1.1.1.1.1* Of which: Capital instruments subscribed by public authorities in emergency situations Article 31 of 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.

1.1.1.11. (-) Other intangible assets Articles 4(1)(115), 36(1) point (b) and 37 point (a) of CRR Other intangible assets are the intangibles assets under the applicable accounting standard, minus the goodwill, also according to the applicable accounting standard.

1.1.1.12. (-) Deferred tax assets that rely on future profitability and do not arise from temporary differences net of associated tax liabilities Articles 36(1) point (c) and 38 of CRR

1.1.1.13. (-) IRB shortfall of credit risk adjustments to expected losses Articles 36(1) point (d), 40, 158 and 159 of CRR The amount to be reported shall not be reduced by a rise in the level of deferred tax assets that rely on future profitability, or other additional tax effect, that could occur if provisions were to rise to the level of expected losses’ (Article 40 of CRR)

1.1.1.14. (-) Defined benefit pension fund assets Articles 4(1)(109), 36(1) point (e) and 41 of CRR

1.1.1.14.1. (-) Defined benefit pension fund assets Articles 4(1)(109), 36(1) point (e) of CRR Defined benefit pension fund assets are defined as the assets of a defined pension fund or plan, as applicable, calculated after they have been reduced by the amount of obligations under the same fund or plan The amount to be reported here shall correspond to the amount reported in the balance sheet (if reported separately).

1.1.1.14.2. Deferred tax liabilities associated to defined benefit pension fund assets Articles 4(1)(108) and (109), and 41(1) point (a) of CRR Amount of deferred tax liabilities that would be extinguished if the defined benefit pension fund assets became impaired or were derecognised under the relevant accounting standard.

1.1.1.14.3. Defined benefit pension fund assets which the institution has an unrestricted ability to use Articles 4(1)(109) and 41(1) point (b) of CRR This item shall only present any amount if there is a prior consent of the competent authority to reduce the amount of defined benefit pension fund assets to be deducted. The assets included in this row shall receive a risk weight for credit risk requirements.

1.1.1.15. (-) Reciprocal cross holdings in CET1 Capital Articles 4(1)(122), 36(1) point (g) and 44 of CRR Holdings in CET1 instruments of financial sector entities (as defined in Article 4(27) of CRR) where there is a reciprocal cross holding that the competent authority considers to have been designed to inflate artificially the own funds of the institution The amount to be reported shall be calculated on the basis of the gross long positions, and shall include Tier 1 own-fund insurance items.

1.1.1.21. (-) Equity exposures under an internal models approach which can alternatively be subject to a 1,250 % risk weight Articles 36(1) point (k) (v) and 155(4) of CRR According to Article 36(1) point (k) (v) of CRR they can, alternatively, be deducted from CET1 (using this item), or subject to a risk weight of 1250 %.

1.1.1.22. (-) CET1 instruments of financial sector entities where the institution does not have a significant investment Articles 4(1)(27), 36(1) point (h); 43 to 46, 49 (2) and (3) and 79 of CRR Part of holdings by the institution of instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where the institution does not have a significant investment that has to be deducted from CET1 See alternatives to deduction when consolidation is applied (Article 49(2) and (3))

Memorandum item: Capital instruments not eligible Article 52(1) points (c), (e) and (f) of CRR Conditions in those points reflect different situations of the capital which are reversible, and thus the amount reported here can be eligible in subsequent periods. The amount to be reported shall not include the share premium related to the instruments

1.1.2.11. (-) Additional deductions of AT1 Capital due to Article 3 CRR Article 3 CRR

1.1.2.12. AT1 capital elements or deductions — other This row is invented to provide flexibility solely for reporting purposes. It shall only be populated in the rare cases that there is no final decision on the reporting of specific capital items/deductions in the current CA1 template. As a consequence, this row shall only be populated if an AT1 capital element respective a deduction of an AT1 element cannot be assigned to one of the rows 530 to 744. This cell shall not be used to assign capital items/deductions which are not covered by CRR into the calculation of solvency ratios (e.g. an assignment of national capital items/deductions which are outside the scope of CRR).

1.2.11. Excess of deduction from T2 items over T2 Capital (deducted in AT1) Article 56 point (e) of CRR Tier 2 cannot be negative, but it is possible that T2 deductions are greater than T2 Capital plus related share premium. When this happens, T2 shall be equal to zero, and the excess of T2 deductions shall be deducted from AT1. With this item, the sum of items 1.2.1 to 1.2.13 is never lower than zero. If this item shows a positive figure, item 1.1.2.8 shall be the inverse of that figure.

1.2.12. (-) Additional deductions of T2 Capital due to Article 3 CRR Article 3 CRR

1.2.13. T2 capital elements or deductions — other This row is invented to provide flexibility solely for reporting purposes. It shall only be populated in the rare cases that there is no final decision on the reporting of specific capital items/deductions in the current CA1 template. As a consequence, this row shall only be populated if a T2 capital element respective a deduction of a T2 element cannot be assigned to one of the rows 750 to 974. This cell shall not be used to assign capital items/deductions which are not covered by CRR into the calculation of solvency ratios (e.g. an assignment of national capital items/deductions which are outside the scope of CRR).

1.3.
1.3.1.

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

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

1.1.1.2.* Of which: resecuritisation CR SEC SA template at the level of total securitisation types

1.1.2.4* Of which: resecuritisation CR SEC IRB template at the level of total securitisation types

1.3.1.3.* Memo item: CIUs exclusively invested in traded debt instruments Total risk exposure amount for positions in CIUs if the CIU is invested exclusively in instruments subject to interest rate risk.

1.3.1.3.** CIUs invested exclusively in equity instruments or in mixed instruments 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.

1.8.2* Of which: requirements for large exposures Article 458 of CRR

1.8.2** Of which: due to modified risk weights for targeting asset bubbles in the residential and commercial property Article 458 of CRR

1.8.2*** Of which: due to intra financial sector exposures Article 458 of CRR

1.8.5. Of which: Risk weighted exposure amounts for credit risk: securitisation positions (revised securitisation framework) Articles 92(3)(a) and Part Three, Title II, Chapter 5 of CRR.

1.8.6. Of which: Total risk exposure amount for position risk: Traded debt instruments – specific risk of securitisation instruments (revised securitisation framework) Articles 92(3)(b)(i), (4), 335, 337 of CRR

1.4.
1.4.1.
13

13* TSCR: to be made up of CET1 capital The sum of (i) and (ii) as follows: If no additional own funds requirements, to be held in the form of CET1 capital, were communicated by the competent authority, then only point (i) should be reported.

13*

(i) the CET1 capital ratio (4,5 %) as per Article 92(1)(a) of 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.

13** TSCR: to be made up of Tier 1 capital The sum of (i) and (ii) as follows: If 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) should be reported.

13**

(i) the Tier 1 capital ratio (6 %) as per Article 92(1)(b) of 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.

14

14* OCR: to be made up of CET1 capital The sum of (i) and (ii) as follows: If no buffer requirement is applicable, only point (i) shall be reported.

14*

(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 Article 128 point (6) of CRD.

14** OCR: to be made up of Tier 1 capital The sum of (i) and (ii) as follows: If no buffer requirement is applicable, only point (i) shall be reported.

14**

(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 Article 128 point (6) of CRD.

15

15* OCR and P2G: to be made up of CET1 capital The sum of (i) and (ii) as follows: If no P2G is communicated by the competent authority, then only point (i) should be reported.

15*

(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.

15** OCR and P2G: to be made up of Tier 1 capital The sum of (i) and (ii) as follows: If no P2G is communicated by the competent authority, then only point (i) should be reported.

15**

(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.

1.5.
1.5.1.

12 Holdings of CET1 capital of financial sector entities where the institution does not have a significant investment, net of short positions Articles 44 to 46 and 49 of CRR

Underwriting positions held for 5 working days or fewer;

b)

c)

13 Holdings of AT1 capital of financial sector entities where the institution does not have a significant investment, net of short positions Articles 58 to 60 of CRR

Underwriting positions held for 5 working days or fewer; and

b)

Underwriting positions held for 5 working days or fewer; and

b)

Underwriting positions held for 5 working days or fewer;

b)

c)

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

b)

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

b)

21 Holdings on CET1 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived Article 79 of CRR A competent authority may waive on a temporary basis the provisions on deductions from CET1 due to holdings on instruments of a specific financial sector entity, when it deems those holdings to be for the purposes of a financial assistance operation designed to reorganise and save that entity. Note that these instruments shall also be reported on item 12.1.

22 Holdings on CET1 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived Article 79 of CRR A competent authority may waive on a temporary basis the provisions on deductions from CET1 due to holdings on instruments of a specific financial sector entity, when it deems those holdings to be for the purposes of a financial assistance operation designed to reorganise and save that entity. Note that these instruments shall also be reported on item 15.1.

Capital conservation buffer

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

Institution specific countercyclical capital buffer

Systemic risk buffer

Global Systemically Important Institution buffer

Other Systemically Important Institution buffer

Articles 128 point (4) and 131 of CRD The amount reported shall represent the amount of own funds needed to fulfil the respective capital buffer requirements at the reporting date.

31 Non-domestic original exposures Information necessary to calculate the threshold for reporting of the CR GB template according to Article 5(a)(4) of this 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.

32 Total original exposures Information necessary to calculate the threshold for reporting of the CR GB template according to Article 5(a)(4) of this 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.

Adjustments to total own funds

Own funds fully adjusted for Basel I floor

Own funds requirements for Basel I floor

Own funds requirements for Basel I floor — SA alternative

Deficit of total own funds as regards the own funds requirements of the Basel I floor or SA alternative

1.6.

General remarks CA5 summarizes the calculation of own funds elements and deductions subject to the transitional provisions laid down in Articles 465 to 491 of CRR. CA5 is structured as follows: 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. Institutions shall only report elements in CA5 during the period where transitional provisions in accordance with Part Ten of CRR apply. 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.

1.6.1.15.16.

C 05.01 — Transitional Provisions (Ca5.1) Institutions shall report in Table 5.1 the transitional provisions to own funds components as laid down in Articles 465 to 491 of CRR, compared to applying the final provisions laid down in Title II of Part Two of CRR. Institutions shall report in rows 020 to 060 information in relation with the transitional provisions of grandfathered instruments. The figures to be reported in columns 010 to 030 of row 060 of CA 5.1 can be derived from the respective sections of CA 5.2. Institutions shall report in rows 070 to 092 information in relation with the transitional provisions of minority interests and additional Tier 1 and Tier 2 instruments issued by subsidiaries (in accordance with Articles 479 and 480 of CRR). In rows 100 onwards institutions shall report information in relation with the transitional provisions of unrealized gains and losses, deductions as well as additional filters and deductions. There might be cases where the transitional deductions of CET1, AT1 or T2 capital exceed the CET1, AT1 or T2 capital of an institution. This effect – if it results from transitional provisions – shall be shown in the CA1 template using the respective cells. As a consequence, the adjustments in the columns of the CA5 template do not include any spill-over effects in the case of insufficient capital available.

Column 040 includes the relevant amounts adjusting the total risk exposure amount of Article 92(3) of 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 Art. 92 (4) of CRR. This means that transitional amounts subject to provisions of 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 are only memorandum items.

Eligible amount without transitional provisions

1.3.2.5.* of which: Introduction of amendments to IAS 19 – positive item Article 473 of CRR

1.3.2.5.** of which: Introduction of amendments to IAS 19 – negative item Article 473 of CRR

1.3.2.6.1** of which: Direct holdings Article 469(1)(b), 472 (8) (a) of 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.

1.3.2.6.1* of which: Indirect holdings Article 469(1)(b), 472 (8) (b) of 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.

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

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

of which: Direct holdings

of which: Indirect holdings

Deferred tax assets that are dependent on future profitability and arise from temporary differences

1.3.2.10.2. T2 instruments of financial sector entities where the institution has a significant investment Articles 66 point (d), 476, 477(4) and 478 of CRR The amount to be reported in column 060 of this row: Original deduction according to Article 66 (d) of CRR

1.6.3.25.

Article 484(3) to (5) of CRR Instruments which are eligible for each respective row, including their related share premiums.

Base for calculating the limit

Applicable percentage

Limit

(-) Amount that exceeds the limits for grandfathering

Total grandfathered amount

2.

GENERAL REMARKS Templates C 06.01 and C 06.02 shall be reported if own funds requirements are calculated on a consolidated basis. This template consists of four parts in order to gather different information on all individual entities (including the reporting institution) included in the scope of consolidation. Institutions waived according to Article 7 of CRR shall only report the columns 010 to 060 and 250 to 400. The figures reported take into account all applicable transitional provisions of CRR which are applicable at the respective reporting date.

2.1.26.

INFORMATION ON THE CONTRIBUTIONS OF INDIVIDUAL ENTITIES TO GROUP SOLVENCY The objective of the third part of this template (information on the contributions of all entities within CRR scope of consolidation to group solvency), including those that are not subject to particular solvency requirements on an individual basis, in columns 250 to 400, is to identify which entities within the group generate the risks and raise own funds from the market, based on data that are readily available or can easily be reprocessed, without having to reconstruct the capital ratio on a solo or sub-consolidated basis. At the entity level, both risk and own fund figures are contributions to the group figures and not elements of a solvency ratio on a solo basis and as such must not be compared to each other. The third part also includes the amounts of minority interests, qualifying AT1, and qualifying T2 eligible in the consolidated own funds. 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. The principle is to delete the cross-exposures within the same groups in a homogeneous way both in terms of risks or own funds, in order to cover the amounts reported in the group’s consolidated CA template by adding the amounts reported for each entity in Group Solvency template. In cases where the 1 % threshold is not exceeded a direct link to the CA template is not possible. 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. It is possible for one consolidated group to be included within another consolidated group. This means that the entities within a subgroup shall be reported entity-by-entity in the GS of the entire group, even if the sub-group itself is subject to reporting requirements. If the subgroup is subject to reporting requirements, it shall also report the GS template on an entity-by-entity basis, although those details are included in the GS template of a higher consolidated group. An institution shall report data of the contribution of an entity when its contribution to the total risk exposure amount exceeds 1 % of the total risk exposure amount of the group or when its contribution to the total own funds exceeds 1 % of the total own funds of the group. This threshold does not apply in the case of subsidiaries or subgroups that provide own funds (in the form of minority interests or qualifying AT1 or T2 instruments included in own funds) to the group.

See instructions for C 06.02

CAPITAL BUFFERS

TOTAL

This template is designed to gather information on all entities on an entity-by-entity-basis within the scope of consolidation according to Chapter 2 of Title II of Part One of CRR.

NAME

CODE

LEI CODE

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, pre-LEI codes are being assigned to counterparties by a Local Operational Unit that has been endorsed by Regulatory Oversight Committee (ROC, detailed information may be found at the following website: www.leiroc.org)). Where a Legal Entity Identification code (LEI code) exists for a given counterparty, it shall be used to identify that counterparty.

INSTITUTION OR EQUIVALENT (YES/NO)

TYPE OF ENTITY

SCOPE OF DATA: solo fully consolidated (SF) OR solo partially consolidated (SP)

COUNTRY CODE

Institutions shall report the two-letter country code according to ISO 3166-2.

SHARE OF HOLDING (%)

INFORMATION ON ENTITIES SUBJECT TO OWN FUNDS REQUIREMENT

Investment firms shall include own funds requirements related to fixed overheads in their calculation of capital ratio according to Articles 95, 96, 97 and 98 of CRR. The part of the total risk exposure amount related to fixed overheads shall be reported in column 100 of part 2 of this template.

TOTAL RISK EXPOSURE AMOUNT

CREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/DELIVERY RISK

POSITION, FX AND COMMODITY RISKS

OPERATIONAL RISK

OTHER RISK EXPOSURE AMOUNTS

DETAILED INFORMATION ON GROUP SOLVENCY OWN FUNDS

OWN FUNDS

OF WHICH: QUALIFYING OWN FUNDS

RELATED OWN FUNDS INSTRUMENTS, RELATED RETAINED EARNINGS, SHARE PREMIUM ACCOUNTS AND OTHER RESERVES

TOTAL TIER 1 CAPITAL

OF WHICH: QUALIFYING TIER 1 CAPITAL

Article 85(1)(b) of CRR

COMMON EQUITY TIER 1 CAPITAL

OF WHICH: MINORITY INTERESTS

RELATED OWN FUNDS INSTRUMENTS, RELATED RETAINED EARNINGS, SHARE PREMIUM ACCOUNTS AND OTHER RESERVES

Article 84(1)(b) of CRR

ADDITIONAL TIER 1 CAPITAL

Article 61 of CRR

OF WHICH: QUALIFYING ADDITIONAL TIER 1 CAPITAL

Article 71 of CRR

OF WHICH: QUALIFYING TIER 2 CAPITAL

CONTRIBUTION TO RISKS

TOTAL RISK EXPOSURE AMOUNT

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

CREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/DELIVERY RISK

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

POSITION, FX AND COMMODITY RISKS

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

OPERATIONAL RISK

In case of AMA, the reported risk exposure amounts for operational risk include the effect of diversification. Fixed overheads shall be included in this column.

OTHER RISK EXPOSURE AMOUNTS

The amount to be reported in this column corresponds to the risk exposure amount not especially listed above.

CONTRIBUTION TO OWN FUNDS

QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS

Article 87 of CRR

QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 1 CAPITAL

MINORITY INTERESTS INCLUDED IN CONSOLIDATED COMMON EQUITY TIER 1 CAPITAL

QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED ADDITIONAL TIER 1 CAPITAL

QUALIFYING OWN FUNDS INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 2 CAPITAL

CONSOLIDATED OWN FUNDS

OF WHICH: CONRIBUTIONS TO CONSOLIDATED RESULT

OF WHICH: (-) GOODWILL/(+) NEGATIVE GOODWILL

CAPITAL BUFFERS

COMBINED BUFFER REQUIREMENT

CAPITAL CONSERVATION BUFFER

INSTITUTION SPECIFIC COUNTERCYCLICAL 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

Articles 128 point (4) and 131 of CRD In this cell the amount of the Other Systemically Important Institution buffer shall be reported.

3.
3.1.38.

Reporting of CRM techniques with substitution effect Article 235 of CRR describes the computation procedure of the exposure which is fully protected by unfunded protection. Article 236 of CRR describes the computation procedure of exposure which is fully protected by unfunded protection in the case of full protection/partial protection — equal seniority. Articles 196, 197 and 200 of CRR regulate the funded credit protection. Reporting of exposures to obligors (immediate counterparties) and protection providers which are assigned to the same exposure class shall be done as an inflow as well as an outflow to the same exposure class. The exposure type does not change because of unfunded credit protection. If an exposure is secured by an unfunded credit protection, the secured part is assigned as an outflow e.g. in the exposure class of the obligor and as an inflow in the exposure class of the protection provider. However, the type of the exposure does not change due to the change of the exposure class. The substitution effect in the COREP reporting framework shall reflect the risk weighting treatment effectively applicable to the covered part of the exposure. As such, the covered part of the exposure is risk weighted according to the SA approach and shall be reported in the CR SA template.

3.2.

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

b)

Scope of the CR SA template According to Article 112 of CRR each SA exposure shall be assigned to one of the 16 SA exposure classes in order to calculate the own funds requirements. The information in CR SA is required for the total exposure classes and individually for each of the exposure classes as defined for the standardised approach. The total figures as well as the information of each exposure class are reported in a separate dimension. However the following positions are not within the scope of CR SA: The scope of the CR SA template covers the following own funds requirements: The scope of the template are all exposures for which the own funds requirements are calculated according to part 3 title II chapter 2 of CRR in conjunction with part 3 title II chapter 4 and 6 of CRR. Institutions that apply Article 94(1) of CRR also need to report their trading book positions in this template when they apply part 3 title II chapter 2 of CRR to calculate the own funds requirements thereof (part 3 title II chapter 2 and 6 and title V of CRR). Therefore the template provides not only detailed information on the type of the exposure (e.g. on balance sheet/off balance sheet items), but also information on the allocation of risk weights within the respective exposure class. In addition CR SA includes memorandum items in rows 290 to 320 in order to collect further information about exposures secured by mortgages on immovable property and exposures in default. These memorandum items shall only be reported for the following exposure classes: The reporting of the memorandum items affect neither the calculation of the risk weighted exposure amounts of the exposure classes according to Article 112 points a) to c) and f) to h) of CRR nor of the exposure classes according to Article 112 points i) and j) of CRR reported in CR SA. 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. However the figures reported are the same as used to calculate the risk weighted exposure amounts in the exposure classes in default or ‘secured by immovable property. E.g. if an exposure, the risk exposure amounts of which are calculated subject to Article 127 of CRR and the value adjustments are less than 20 %, then this information is reported in CR SA, row 320 in the total and in the exposure class in default. If this exposure, before it defaulted, was an exposure to an institution then this information shall also be reported in row 320 of exposure class institutions.

3.2.2.48.49.50.
3.2.2.48.49.50.51.

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

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

3.2.2.48.49.50.51.52.53.54.

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

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

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

Assignment of exposures to exposure classes under the Standardised Approach In order to ensure a consistent categorisation of exposures into the different exposure classes as defined in Article 112 of CRR the following sequential approach shall be applied: The following criteria apply for the classification of the Original exposure pre conversion factors into the different exposure classes (first step) without prejudice to the subsequent redistribution caused by the use of CRM techniques with substitution effects on the exposure or to the treatment (risk weight) that each specific exposure shall receive within the assigned exposure class. For the purpose of classifying the original exposure pre conversion factor in the first step, the CRM techniques associated to the exposure shall not be considered (note that they shall be considered explicitly in the second phase) unless a protection effect is intrinsically part of the definition of an exposure class as it is the case in the exposure class mentioned in Article 112 point (i) of CRR (exposures secured by mortgages on immovable property). Article 112 of CRR does not provide criteria for disjoining the exposure classes. This might imply that one exposure could potentially be classified in different exposure classes if no prioritisation in the assessment criteria for the classification is provided. The most obvious case arises between exposures to institutions and corporate with a short-term credit assessment (Article 112 point (n) of CRR) and exposures to institutions (Article 112 point (f) of CRR)/exposures to corporates (Article 112 point (g) of CRR). In this case it is clear that there is an implicit prioritisation in CRR since it shall be assessed first if a certain exposure fit for being assigned to Short-term exposures to institutions and corporate and only afterwards do the same process for exposures to institutions and exposures to corporates. Otherwise it is obvious that the exposure class mentioned in Article 112 point (n) of CRR shall never be assigned an exposure. The example provided is one of the most obvious examples but not the only one. It is worth noting that the criteria used for establishing the exposure classes under the standardised approach are different (institutional categorisation, term of the exposure, past due status, etc.) which is the underlying reason for non disjoint groupings. 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 it is the case, on any decision on the part of the reporting institutions or the supervisor on the applicability of certain exposure classes. As such, the outcome of the exposure assignment process for reporting purposes would be in line with CRR provisions. This does not preclude institutions to apply other internal assignment procedures that may also be consistent with all relevant CRR provisions and its interpretations issued by the appropriate fora. An exposure class shall be given priority to others in the assessment ranking in the decision tree (i.e. it shall be first assessed if an exposure can be assigned to it, without prejudice to the outcome of that assessment) if otherwise no exposures would potentially be assigned to it. This would be the case when in the absence of prioritisation criteria one exposure class would be a subset of others. As such the criteria graphically depicted in the following decision tree would work on a sequential process. With this background the assessment ranking in the decision tree mentioned below would follow the following order: In the case of exposures in the form of units or shares in collective investment undertakings and where the look through approach (Article 132(3) to (5) of CRR) is used, the underlying individual exposures shall be considered and classified into their corresponding risk weight line according to their treatment, but all the individual exposures shall be classified within the exposure class of exposures in the form of units or shares in collective investment undertakings (CIU). In the case of nth to default credit derivatives specified in Article 134(6) of CRR, if they are rated, they shall be directly classified as securitisation positions. If they are not rated, they shall be considered in the Other items exposure class. In this latter case the nominal amount of the contract shall be reported as the Original exposure pre conversion factors in the line for Other risk weights (the risk weight used shall be that specified by the sum indicated under Article 134(6) of CRR. In a second step, as a consequence of credit risk mitigation techniques with substitution effects, exposures shall be reallocated to the exposure class of the protection provider.

3.2.3.58.
3.2.3.58.59.60.61.62.63.64.

Original exposure pre conversion factors Does it fit for being assigned to the exposure class of Article 112 (m)? YES Securitisation positions NO Does it fit for being assigned to the exposure class of Article 112point (k)? YES Items associated with particular high risk (also see Article 128) NO Does it fit for being assigned to the exposure class of Article 112 point (p)? YES Equity exposures (also see Article 133) NO Does it fit for being assigned to the exposure class of Article 112 point (j)? YES Exposures in default NO Does it fit for being assigned to the exposure classes of Article 112 points (l) and (o)? YES Exposures in the form of units or shares in collective investment undertakings (CIU) Exposures in the form of covered bonds (also see Article 129) 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 Article 112 point (i)? YES Exposures secured by mortgages on immovable property (also see Article 124) NO Does it fit for being assigned to the exposure class of Article 112 point (q)? YES Other items NO Does it fit for being assigned to the exposure class of Article 112 point (n)? 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 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 corporates Retail exposures

3.2.4.

Exposure Class Institutions Reporting of intra-group exposures according to Article 113(6) to (7) of CRR shall be done as follows: Exposures which fulfil the requirements of Article 113(7) of CRR shall be reported in the respective exposure classes where they would be reported if they were no intra-group exposures. According Article 113(6) and (7) of CRR an institution may, subject to the prior approval of the competent authorities, decide not to apply the requirements of paragraph 1 of this Article to the exposures of that institution to a counterparty which is its parent undertaking, its subsidiary, a subsidiary of its parent undertaking or an undertaking linked by a relationship within the meaning of Article 12(1) of Directive 83/349/EEC. This means that intra-group counterparties are not necessarily institutions but also undertakings which are assigned to other exposure classes, e.g. ancillary services undertakings or undertakings within the meaning of Article 12(1) of Directive 83/349/EEC. Therefore intra-group exposures shall be reported in the corresponding exposure class.

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

Exposure value according to Article 111 of CRR without taking into account value adjustments and provisions, conversion factors and the effect of credit risk mitigation techniques with the following qualifications stemming from Article 111(2) of CRR: For Derivative instruments, repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions subject to part 3 title II chapter 6 of CRR or subject to Article 92(3) point (f) of CRR, the original exposure shall correspond to the Exposure Value for Counterparty Credit Risk calculated according to the methods laid down in part 3 title II chapter 6 of CRR. Exposure values for leases are subject to Article 134(7) of CRR. In case of on-balance sheet netting laid down in Article 219 of CRR the exposure values shall be reported according to the received cash collateral. In the case of master netting agreements covering repurchase transactions and/or securities or commodities lending or borrowing transactions and/or other capital market driven transactions subject to part 3 title II chapter 6 of CRR, the effect of Funded Credit Protection in the form of master netting agreements as under Article 220(4) of CRR shall be included in column 010. Therefore, in the case of master netting agreements covering repurchase transactions subject to the provisions in part 3 title II chapter 6 of CRR, E* as calculated under Articles 220 and 221 of CRR shall be reported in column 010 of the CR SA template.

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

Exposure net of value adjustments and provisions

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

Unfunded credit protection: adjusted values (Ga)

Guarantees

Credit derivatives

Funded credit protection

Financial collateral: simple method

Other funded credit protection

SUBSTITUTION OF THE EXPOSURE DUE TO CRM

NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS

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

Volatility adjustment to the exposure

(-) Financial collateral adjusted value (Cvam)

(-) Of which: Volatility and maturity adjustments

Fully adjusted exposure value (E*)

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

Exposure value

Of which: Arising from Counterparty Credit Risk

Risk weighted exposure amount pre SME-supporting factor

Risk weighted exposure amount after SME-supporting factor

Of which: with a credit assessment by a nominated ECAI

Of which: with a credit assessment derived from central government

Total exposures

of which: Defaulted exposures

of which: SME

of which: Exposures subject to the SME-supporting factor

of which: Secured by mortgages on immovable property — Residential property

of which: Exposures under the permanent partial use of the standardised approach

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

On balance sheet exposures subject to credit risk

Off balance sheet exposures subject to credit risk

Off-balance sheet positions comprise those items listed in Annex I of CRR. Exposures, which are off-balance sheet items and which are included as Securities Financing Transactions, Derivatives & Long Settlement Transactions or from Contractual Cross Product Netting shall be reported in rows 040, 060 and, therefore, not reported in this row. Exposures arising from assets posted to a CCP according to Article 4(90) of CRR and default fund exposures according to Article 4(89) of CRR shall be included if they are considered as off-balance sheet items.

Exposures/Transactions subject to counterparty credit risk

Securities Financing Transactions

Of which: centrally cleared through a QCCP

Derivatives and Long Settlement Transactions

Of which: centrally cleared through a QCCP

Article 306 of CRR for qualifying CCPs according to Articles 4(88) in conjunction with Article 301(2) of CRR Trade exposures to a CCP according to Article 4(91) of CRR

From Contractual Cross Product Netting

Other risk weights

Memorandum Items

Exposures secured by mortgages on commercial immovable property

Exposures in default subject to a risk weight of 100 %

Exposures secured by mortgages on residential property

Exposures in default subject to a risk weight of 150 %

3.3.

Scope of the CR IRB template The scope of the CR IRB template covers own funds requirements for: The scope of the template refers to the exposures for which the risk weighted exposure amounts are calculated according to Articles 151 to 157 Part Three Title II Chapter 3 CRR (IRB approach). The CR IRB template does not cover the following data: In order to clarify whether the institution uses its own estimates for LGD and/or credit conversion factors the following information shall be provided for each reported exposure class: In any case, for the reporting of the retail portfolios YES has to be reported. In case an institution uses own estimates of LGDs to calculate risk weighted exposure amounts for a part of its IRB exposures as well as uses supervisory LGDs to calculate risk weighted exposure amounts for the other part of its IRB exposures, an CR IRB Total for F-IRB positions and one CR IRB Total for A-IRB positions has to be reported.

Credit risk in the banking book, among which:

ii.

iii.

3.3.1.74.75.76. i.

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

ii.

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

iii.

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

iv.

3.3.2.78.
3.3.3.

The PD assigned to the obligor grade or pool to be reported shall be based on the provisions laid down in Article 180 of CRR. For each individual grade or pool, the PD assigned to the specific obligor grade or pool shall be reported. For figures corresponding to an aggregation of obligor grades or pools (e.g. total exposures) the exposure weighted average of the PDs assigned to the obligor grades or pools included in the aggregation shall be provided. The exposure value (column 110) shall be used for the calculation of the exposure-weighted average PD. For each individual grade or pool the PD assigned to the specific obligor grade or pool shall be reported. All reported risk parameters shall be derived from the risk parameters used in the internal rating system approved by the respective competent authority. It is neither intended nor desirable to have a supervisory master scale. If the reporting institution applies a unique rating system or is able to report according to an internal master scale, this scale is used. Otherwise, the different rating systems shall be merged and ordered according to the following criteria: Obligor grades of the different rating systems shall be pooled and ordered from the lower PD assigned to each obligor grade to the higher. Where the institution uses a large number of grades or pools, a reduced number of grades or pools to be reported may be agreed with the competent authorities. Institutions shall contact their competent authority in advance, if they want to report a different number of grades in comparison with the internal number of grades. For the purposes of weighting the average PD the exposure value reported in column 110 is used. All exposures, including defaulted exposures are to be considered for the purpose of the calculation of the exposure weighted average PD (e.g. for total exposure). Defaulted exposures are those assigned to the last rating grade/s with a PD of 100 %.

ORIGINAL EXPOSURE PRE CONVERSION FACTORS

OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

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

UNFUNDED CREDIT PROTECTION

GUARANTEES:

CREDIT DERIVATIVES:

OTHER FUNDED CREDIT PROTECTION

SUBSTITUTION OF THE EXPOSURE DUE TO CRM

EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS

Of which: Off Balance Sheet Items

EXPOSURE VALUE

Of which: Arising from counterparty Credit Risk

OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

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

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

GUARANTEES

See instructions to column 040.

CREDIT DERIVATIVES

See instructions to column 050.

OWN ESTIMATES OF LGDS ARE USED: OTHER FUNDED CREDIT PROTECTION

ELIGIBLE FINANCIAL COLLATERAL

OTHER ELIGIBLE COLLATERAL

REAL ESTATE

OTHER PHYSICAL COLLATERAL

RECEIVABLES

SUBJECT TO DOUBLE DEFAULT TREATMENT: UNFUNDED CREDIT PROTECTION

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

OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

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

EXPECTED LOSS AMOUNT

(-) VALUE ADJUSTMENTS AND PROVISIONS

NUMBER OF OBLIGORS

of which: Exposures subject to SME-supporting factor

On balance sheet items subject to credit risk

Off balance sheet items subject to credit risk

Off-balance sheet positions comprise those items listed in Annex I of CRR. Exposures, which are off-balance sheet items and which are included as Securities Financing Transactions, Derivatives & Long Settlement Transactions or from Contractual Cross Product Netting shall be reported in rows 040-060 and, therefore, not reported in this row. Exposures arising from assets posted to a CCP according to Article 4(91) of CRR and default fund exposures according to Article 4(89) of CRR shall be included if they are considered as off-balance sheet items.

Securities Financing Transactions

Derivatives and Long Settlement Transactions

From Contractual Cross Product Netting

EXPOSURES ASSIGNED TO OBLIGOR GRADES OR POOLS: TOTAL

SPECIALIZED LENDING SLOTTING CRITERIA: TOTAL

Of which: In category 1

ALTERNATIVE TREATMENT: SECURED BY REAL ESTATE

EXPOSURES FROM FREE DELIVERIES APPLYING RISK WEIGHTS UNDER THE ALTERNATIVE TREATMENT OR 100 % AND OTHER EXPOSURES SUBJECT TO RISK WEIGHTS

DILUTION RISK: TOTAL PURCHASED RECEIVABLES

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

CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: INFORMATION WITH GEOGRAPHICAL BREAKDOWN All institutions shall submit information aggregated at a total level. Additionally, institutions fulfilling the threshold set in Article 5 (a) (4) of this Regulation shall submit information broken down by country regarding the domestic country as well as any non-domestic country. The threshold is only applicable to Table 1 and Table 2. Exposures to supranational organisations shall be assigned to the geographical area other countries. 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. 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.

Same definition as for column 010 of CR SA template

Defaulted exposures

Observed new defaults for the period

General credit risk adjustments

Specific credit risk adjustments

Credit risk adjustments according to Article 110 of CRR.

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

Central governments or central banks

Regional governments or local authorities

Public sector entities

Multilateral developments banks

International organisations

Institutions

Corporates

of which: SME

Retail

of which: SME

Same definition as for row 020of CR SA template

Secured by mortgages on immovable property

of which: SME

Same definition as for row 020of CR SA template

Exposures in default

Items associated with particularly high risk

Covered bonds

Claims on institutions and corporates with a short-term credit assessment

Collective investments undertakings (CIU)

Equity exposures

Article 112 point (p) of CRR.

Other exposures

Article 112 point (q) of CRR.

3.4.2.

Same definition as for column 020 of CR IRB template

Of which defaulted

Observed new defaults for the period

General credit risk adjustments

Specific credit risk adjustments

Credit risk adjustments according to Article 110 of CRR.

Write-offs

Credit risk adjustments/write-offs for observed new defaults

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

EXPOSURE WEIGHTED AVERAGE LGD (%)

Of which: defaulted

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

Exposure value

RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR

Of which defaulted

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

RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR

EXPECTED LOSS AMOUNT

Central banks and central governments

Institutions

Corporates

Of which: Specialized lending (excl. SL subject to slotting criteria)

Of which: Specialized lending subject to slotting criteria

Of which: SME

Retail

Retail – Secured by real estate property

SME

non-SME

Retail – Qualifying revolving

Other Retail

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

SME

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

non-SME

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

Equity

3.4.3.

General remarks This table 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 Part Three, Title II and Title IV of CRR and the geographical location for credit exposures, securitisation exposures and trading book exposures relevant for the calculation of the institution specific counter-cyclical capital buffer (CCB) in accordance with Article 140 CRD (relevant credit exposures). Information in template C 09.04 shall be reported for the Total of relevant credit exposures across all jurisdictions where these exposures are located and individually for each of the jurisdictions in which relevant credit exposures are located. The total figures as well as the information of each jurisdiction shall be reported in a separate dimension. The threshold set in Article 5 (a) (4) of this Regulation shall not apply for the reporting of this breakdown. In order to determine the geographical location, the exposures are allocated on an immediate obligor basis as provided for in Commission Delegated Regulation (EU) No 1152/2014 of 4 June 2014 with regard to regulatory technical standards on the identification of the geographical location of the relevant credit exposures for calculating institution-specific countercyclical capital buffer rates. Therefore CRM techniques do not change the allocation of an exposure to its geographical location for the purpose of reporting information set out in this template.

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

Qualitative Information

Relevant credit exposures – Credit risk

Exposure value under the Standardised Approach

Exposure value under the IRB Approach

Relevant credit exposures – Market risk

Sum of long and short positions of trading book exposures for standardised approaches

Value of trading book exposures under internal model approaches

Relevant credit exposures – Securitisation positions in the banking book

Exposure value of securitisation positions in the banking book under the Standardised Approach

Exposure value of securitisation positions in the banking book under the IRB Approach

Total own funds requirements for CCB

Own funds requirements for relevant credit exposures – Credit risk

Own funds requirements for relevant credit exposures – Market risk

Own funds requirements for relevant credit exposures – Securitisation positions in the banking book

Own funds requirements weights

Countercyclical capital buffer rate set by the Designated Authority

Countercyclical capital buffer rate applicable for the country of the institution

Institution-specific countercyclical capital buffer rate

Use of 2 % threshold for general credit exposure

Use of 2 % threshold for trading book exposure

3.5.

General remarks 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. The CR EQU IRB template provides information on the calculation of risk weighted exposure amounts for credit risk (Article 92(3) point (a) of CRR) according to the IRB method (Part Three, Title II, Chapter 3 of CRR) for equity exposures referred to in Article 147(2) point (e) of CRR. According to Article 147(6) of CRR, the following exposures shall be assigned to the equity exposure class: Collective investment undertakings treated according to the simple risk weight approach as referred to in Article 152 of CRR shall also be reported in the CR EQU IRB template. In accordance with Article 151(1) of CRR, institutions shall provide the CR EQU IRB template when applying one of the three approaches referred to in Article 155 of CRR: 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 according to the Simple Risk Weight approach or the (temporary or permanent) partial use of the credit risk standardised approach (e.g. equity exposures attracting a risk-weight of 250 % in accordance with Article 48(4) of CRR, respectively a risk-weight of 370 % in accordance with Article 471(2) of CRR))). The following equity claims shall not be reported in the CR EQU IRB template:

3.5.1.86.87.88.

The obligor grade is a row identifier and shall be unique for each row in the table. It shall follow the numerical order 1, 2, 3, etc.

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

ORIGINAL EXPOSURE PRE CONVERSION FACTORS

CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE UNFUNDED CREDIT PROTECTION GUARANTEES CREDIT DERIVATIVES

CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE SUBSTITUTION OF THE EXPOSURE DUE TO CRM (-) TOTAL OUTFLOWS

EXPOSURE VALUE

EXPOSURE WEIGHTED AVERAGE LGD (%)

RISK WEIGHTED EXPOSURE AMOUNT

MEMORANDUM ITEM: EXPECTED LOSS AMOUNT

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

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

INTERNAL MODELS APPROACH

EQUITY EXPOSURES SUBJECT TO RISK WEIGHTS

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

3.6.

General remarks This template requests information on both trading and non-trading book transactions which are unsettled after their due delivery dates, and their corresponding own funds requirements for settlement risk according to Articles 92(3) point (c) ii) and 378 of CRR. Institutions report in the CR SETT template information on the settlement/delivery risk in connection with debt instruments, equities, foreign currencies and commodities held in their trading or non-trading book. According to Article 378 of CRR, repurchase transactions, securities or commodities lending and securities or commodities borrowing in connection with debt instruments, equities, foreign currencies and commodities are not subject to settlement/delivery risk. Note however that, derivatives and long settlement transactions unsettled after their due delivery dates are nevertheless subject to own funds requirements for settlement/delivery risk as determined in Article 378 of CRR. In the case of unsettled transactions after the due delivery date, institutions calculate the price difference to which they are exposed. This is the difference between the agreed settlement price for the debt instrument, equity, foreign currency or commodity in question and its current market value, where the difference could involve a loss for the institution. Institutions multiply this difference by the appropriate factor of Table 1 of Article 378 of CRR to determine the corresponding own funds requirements. According to Article 92(4) Point (b), the own funds requirements for settlement/delivery risk shall be multiplied by 12.5 to calculate the risk exposure amount. Note that own funds requirements for free deliveries as laid down in Article 379 of CRR are not within the scope of the CR SETT template; the latter shall be reported in the credit risk templates (CR SA, CR IRB).

Instructions concerning specific positions Columns 010 020 030 040 Rows 010 020 to 060 Institutions report the information in relation with settlement/delivery risk for non-trading book positions according to the categories referred to in Table 1 of Article 378 of CRR in rows 020 to 060. No own funds requirements for settlement/delivery risk are required for transactions unsettled less than 5 working days after the due settlement date. 070 080 to 120

In accordance with Article 378 of CRR, institutions report in this column 010 the unsettled transactions after their due delivery date at the respective agreed settlement prices. All unsettled transactions shall be included in this column 010, irrespective of whether or not they are at a gain or at a loss after the due settlement date.

PRICE DIFFERENCE EXPOSURE DUE TO UNSETTLED TRANSACTIONS

OWN FUNDS REQUIREMENTS

TOTAL SETTLEMENT RISK EXPOSURE AMOUNT

Total unsettled transactions in the Non-trading Book

Institutions report in row 070 aggregated information in relation with settlement/delivery risk for trading book positions (in accordance with Articles 92(3) point (c) ii) and 378 of CRR). Institutions report in 070/010 the aggregated sum of unsettled transactions after their due delivery dates at the respective agreed settlement prices. Institutions report in 070/020 the aggregated information for price difference exposure due to unsettled transactions at a loss. Institutions report in 070/030 the aggregated own funds requirements derived from summing the own funds requirements for unsettled transactions by multiplying the price difference reported in column 020 by an appropriate factor based on the number of working days after due settlement date (categories referred to in Table 1 of Article 378 of CRR).

Transactions unsettled up to 4 days (Factor 0 %) Transactions unsettled between 5 and 15 days (Factor 8 %) Transactions unsettled between 16 and 30 days (Factor 50 %) Transactions unsettled between 31 and 45 days (Factor 75 %) Transactions unsettled for 46 days or more (Factor 100 %)

3.7.

General remarks The information in this template shall be submitted with regard to all securitisations for which a significant risk transfer is recognised and in which the reporting institution is involved in a securitisation treated under the Standardised Approach. On reporting reference dates that are after 1 January 2019, securitisations the risk weighted exposure amount of which is determined based on the revised securitisation framework shall not be reported in this template, but only in template C 02.00. Equally, on reporting reference dates that are after 1 January 2019, securitisation positions, which are subject to a 1250 % risk weight in accordance with the revised securitisation framework and which are deducted from CET1 in accordance with Article 36(1) point (k) (ii) of CRR, shall not be reported in this template, but only in template C 01.00. For the purposes of this template, all references to the Articles of Part Three, Title II, chapter 5 of CRR shall be read as references to CRR in the version applicable on 31 December 2018. The information to be reported is contingent on the role of the institution in the context of a securitisation. As such, specific reporting items are applicable for originators, sponsors and investors. The CR SEC SA template gathers joint information on both traditional and synthetic securitisations held in the banking book, as defined in Article 242(10) and (11) of CRR, respectively.

Instructions concerning specific positions Columns 010 020-040 020 030 040 050 060 070 080-110 080 090 100-110 100 110 120 130 140 150-180 190 200 210 220-320 220-260 270 280 290 300 310 320 330 340 350 360 370-380 390 The CR SEC SA template is divided into three major blocks of rows which gather data on the originated/sponsored/retained or purchased exposures by originators, investors and sponsors. For each of them, the information is broken down by on-balance sheet items and off-balance sheet items and derivatives as well as by securitisations and re-securitisations. Positions treated according to the ratings based method and unrated positions (exposures at reporting date) shall also be broken down according to the credit quality steps applied at inception (last block of rows). Originators, sponsors as well as investors shall report this information. Rows 010 020 030 040-060 070-090 100 110 120-140 150-170 180 190-210 220-240 250-290

Originator institutions must report the outstanding amount at the reporting date of all current securitisation exposures originated in the securitisation transaction, irrespective of who holds the positions. As such, on-balance sheet securitisation exposures (e.g. bonds, subordinated loans) as well as off-balance sheet exposures and derivatives (e.g. subordinated credit lines, liquidity facilities, interest rate swaps, credit default swaps, etc.) that have been originated in the securitisation shall be reported. In the case of traditional securitisations where the originator does not hold any position, then the originator shall not consider that securitisation in the reporting of the CR SEC SA or CR SEC IRB templates. For this purpose securitisation positions held by the originator include early amortisation provisions in a securitisation of revolving exposures, as defined under Article 242(12) of CRR.

SYNTHETIC SECURITISATIONS: CREDIT PROTECTION TO THE SECURITISED EXPOSURES

(-) FUNDED CREDIT PROTECTION (CVA)

(-) TOTAL OUTFLOWS: UNFUNDED CREDIT PROTECTION ADJUSTED VALUES (G*)

NOTIONAL AMOUNT RETAINED OR REPURCHASED OF CREDIT PROTECTION

SECURITISATION POSITIONS: ORIGINAL EXPOSURE PRE CONVERSION FACTORS

(-) VALUE ADJUSTMENTS AND PROVISIONS

EXPOSURE NET OF VALUE ADJUSTMENTS AND PROVISIONS

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

(-) UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (GA)

(-) FUNDED CREDIT PROTECTION

SUBSTITUTION OF THE EXPOSURE DUE TO CRM:

(-) TOTAL OUTFLOWS

TOTAL INFLOWS

NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS

(-) CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE AMOUNT OF THE EXPOSURE: FUNDED CREDIT PROTECTION FINANCIAL COLLATERAL COMPREHENSIVE METHOD ADJUSTED VALUE (CVAM)

FULLY ADJUSTED EXPOSURE VALUE (E*)

BREAKDOWN OF THE FULLY ADJUSTED EXPOSURE VALUE (E*) OF OFF BALANCE SHEET ITEMS ACCORDING TO CONVERSION FACTORS

EXPOSURE VALUE

(-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS

EXPOSURE VALUE SUBJECT TO RISK WEIGHTS

BREAKDOWN OF EXPOSURE VALUE SUBJECT TO RISK WEIGHTS ACCORDING TO RISK WEIGHTS

RATED

Article 242(7) of CRR defines unrated positions.

LOOK-THROUGH

LOOK-THROUGH — OF WHICH: SECOND LOSS IN ABCP

LOOK-THROUGH OF WHICH: AVERAGE RISK WEIGHT (%)

INTERNAL ASSESSMENT APPROACH (IAA)

IAA: AVERAGE RISK WEIGHT (%)

RISK-WEIGHTED EXPOSURE AMOUNT

OF WHICH: SYNTHETIC SECURITISATIONS

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

ADJUSTMENT TO THE RISK WEIGHTED EXPOSURE AMOUNT DUE TO MATURITY MISMATCHES

TOTAL RISK-WEIGHTED EXPOSURE AMOUNT: BEFORE CAP/AFTER CAP

MEMORANDUM ITEM: RISK WEIGHTED EXPOSURE AMOUNT CORRESPONDING TO THE OUTFLOWS FROM THE SA SECURITISATION TO OTHER EXPOSURE CLASSES

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

OF WHICH: RE-SECURITISATIONS

ORIGINATOR: TOTAL EXPOSURES

ON-BALANCE SHEET ITEMS

OFF-BALANCE SHEET ITEMS AND DERIVATIVES

EARLY AMORTISATION

INVESTOR: TOTAL EXPOSURES

This row summarizes information on on-balance and off-balance sheet items and derivatives of those securitisation positions for which the institution plays the role of investor. CRR does not provide an explicit definition for investor. Therefore, in this context it shall be understood as an institution that holds a securitisation position in a securitisation transaction for which it is neither originator nor sponsor.

ON-BALANCE SHEET ITEMS

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

OFF-BALANCE SHEET ITEMS AND DERIVATIVES

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

SPONSOR: TOTAL EXPOSURES

This row summarizes information on on-balance and off-balance sheet items and derivatives of those securitisation positions for which the institution plays the role of a sponsor, as defined by Article 4(14) of CRR. If a sponsor is also securitising it own assets, it shall fill in the originator’s rows the information regarding its own securitised assets.

ON-BALANCE SHEET ITEMS

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

OFF-BALANCE SHEET ITEMS AND DERIVATIVES

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

BREAKDOWN OF OUTSTANDING POSITIONS ACCORDING TO CQS AT INCEPTION

3.8.

General remarks The information in this template is required for all securitisations for which a significant risk transfer is recognised and in which the reporting institution is involved in a securitisation treated under the Internal Ratings Based Approach. On reporting reference dates that are after 1 January 2019, securitisations the risk weighted exposure amounts of which is determined based on the revised securitisation framework shall not be reported in this template, but only template C 02.00. Equally, on reporting reference dates that are after 1 January 2019, securitisation positions, which are subject to a 1250 % risk weight in accordance with the revised securitisation framework and which are deducted from CET1 in accordance with Article 36(1) point (k) (ii) of CRR, shall not be reported in this template, but only in template C 01.00. For the purposes of this template, all references to the Articles of Part Three, Title II, chapter 5 of CRR shall be read as references to CRR in the version applicable on 31 December 2018. The information to be reported is contingent on the role of the institution as for the securitisation. As such, specific reporting items are applicable for originators, sponsors and investors. The CR SEC IRB template has the same scope as the CR SEC SA, it gathers joint information on both traditional and synthetic securitisations held in the banking book.

Instructions concerning specific positions Columns 010 020-040 020 030 040 050 060-090 060 070 080-090 080 090 100 110 120 130-160 170 180 190 EXPOSURE VALUE SUBJECT TO RISK WEIGHTS 200-320 330 340 350 360 370 380 390 400 410 420 430 440-450 460 The CR SEC IRB template is divided into three major blocks of rows which gather data on the originated/sponsored/retained or purchased exposures by originators, investors and sponsors. For each of them, the information is broken down by on-balance sheet items and off-balance sheet items and derivatives, as well as by risk weight groupings of securitisations and re-securitisations. Positions treated according to the ratings based method and unrated positions (exposures at reporting date) are also broken down according to the credit quality steps applied at inception (last block of rows). Originators, sponsors as well as investors shall report this information. Rows 010 020 030 040-090 100-150 160 170 180-230 240-290 300 310-360 370-420 430-540

For the row total on balance sheet items the amount reported under this column corresponds to the outstanding amount of securitised exposures at the reporting date. See column 010 of CR SEC SA.

SYNTHETIC SECURITISATIONS: CREDIT PROTECTION TO THE SECURITISED EXPOSURES

(-) FUNDED CREDIT PROTECTION (CVA)

(-) TOTAL OUTFLOWS: UNFUNDED CREDIT PROTECTION ADJUSTED VALUES (G*)

NOTIONAL AMOUNT RETAINED OR REPURCHASED OF CREDIT PROTECTION

SECURITISATION POSITIONS: ORIGINAL EXPOSURE PRE CONVERSION FACTORS

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

(-) UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (GA)

(-) FUNDED CREDIT PROTECTION

SUBSTITUTION OF THE EXPOSURE DUE TO CRM:

(-) TOTAL OUTFLOWS

TOTAL INFLOWS

EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS

(-) CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE AMOUNT OF THE EXPOSURE: FUNDED CREDIT PROTECTION FINANCIAL COLLATERAL COMPREHENSIVE METHOD ADJUSTED VALUE (CVAM)

FULLY ADJUSTED EXPOSURE VALUE (E*)

BREAKDOWN OF THE FULLY ADJUSTED EXPOSURE VALUE (E*) OF OFF BALANCE SHEET ITEMS ACCORDING TO CONVERSION FACTORS

EXPOSURE VALUE

(-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS

RATINGS BASED METHOD (CREDIT QUALITY STEPS)

SUPERVISORY FORMULA METHOD

SUPERVSIORY FORMULA METHOD: AVERAGE RISK WEIGHT

LOOK-THROUGH

LOOK-THROUGH: AVERAGE RISK WEIGHT

INTERNAL ASSESSMENT APPROACH

IAA: AVERAGE RISK WEIGHT

Weighted average risk weights shall be reported in this column.

(-) REDUCTION IN RISK WEIGHTED EXPOSURE AMOUNT DUE TO VALUE ADJUSTMENTS AND PROVISIONS

RISK-WEIGHTED EXPOSURE AMOUNT

RWEA OF WHICH: SYNTHETIC SECURITISATIONS

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

ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO MATURITY MISMATCHES

TOTAL RISK-WEIGHTED EXPOSURE AMOUNT: BEFORE CAP/AFTER CAP

MEMORANDUM ITEM: RISK WEIGHTED EXPOSURE AMOUNT CORRESPONDING TO THE OUTFLOWS FROM THE IRB SECURITISATION TO OTHER EXPOSURE CLASSES

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

OF WHICH: RE-SECURITISATIONS

ORIGINATOR: TOTAL EXPOSURES

ON-BALANCE SHEET ITEMS

OFF-BALANCE SHEET ITEMS AND DERIVATIVES

EARLY AMORTISATION

INVESTOR: TOTAL EXPOSURES

This row summarizes information on on-balance and off-balance sheet items and derivatives of those securitisation positions for which the institution plays the role of investor. CRR does not provide an explicit definition for investor. Therefore, in this context it shall be understood as an institution that holds a securitisation position in a securitisation transaction for which it is neither originator nor sponsor.

ON-BALANCE SHEET ITEMS

The same criteria of classification among securitisations (A-B-C) and re-securitisations (D-E) used for on-balance sheet items for originators shall be applied here.

OFF-BALANCE SHEET ITEMS AND DERIVATIVES

The same criteria of classification among securitisations (A-B-C) and re-securitisations (D-E) used for off-balance sheet items and derivatives for originators shall be applied here.

SPONSOR: TOTAL EXPOSURES

This row summarizes information on on-balance and off-balance sheet items and derivatives of those securitisation positions for which the institution plays the role of a sponsor, as defined by Article 4(1)(14) of CRR. If a sponsor is also securitising it own assets, it shall fill in the originator’s rows with the information regarding its own securitised assets.

ON-BALANCE SHEET ITEMS

The same criteria of classification among securitisations (A-B-C) and re-securitisations (D-E) used for on-balance sheet items and derivatives for originators shall be applied here.

OFF-BALANCE SHEET ITEMS AND DERIVATIVES

The same criteria of classification among securitisations (A-B-C) and re-securitisations (D-E) used for off-balance sheet items and derivatives for originators shall be applied here.

BREAKDOWN OF OUTSTANDING POSITIONS ACCORDING TO CQS AT INCEPTION

3.9.

General remarks This template gathers information on a transaction basis (versus the aggregate information reported in CR SEC SA, CR SEC IRB, 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. This template is to be reported for: This template shall be reported by consolidated groups and stand-alone institutions located in the same country where they are subject to own funds requirements. In case of securitisations involving more than one entity of the same consolidated group, the entity-by-entity detail breakdown shall be provided. On account of Article 406(1) of CRR, which establishes that institutions investing in securitisation positions shall acquire a great deal of information on them in order to comply with due diligence requirements the reporting scope of the template is applied to a limited extent to investors. In particular, they shall report columns 010-040; 070-110; 160; 190; 290-400; 420-470. 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.

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

b.

c.

d.

The row number is a row identifier and shall be unique for each row in the table. It shall follow the numerical order 1, 2, 3, etc.

INTERNAL CODE

IDENTIFIER OF THE SECURITISATION (Code/Name)

IDENTIFIER OF THE ORIGINATOR (Code/Name)

SECURITISATION TYPE: (TRADITIONAL/SYNTHETIC)

ACCOUNTING TREATMENT: SECURITISED EXPOSURES ARE KEPT OR REMOVED FROM THE BALANCE SHEET?

SOLVENCY TREATMENT: SECURITISATION POSITIONS SUBJECT TO OWN FUNDS REQUIREMENTS?

SECURITISATION OR RE-SECURITISATION?

STS SECURITISATION

RETENTION

TYPE OF RETENTION APPLIED

% OF RETENTION AT REPORTING DATE

COMPLIANCE WITH THE RETENTION REQUIREMENT?

ROLE OF THE INSTITUTION: (ORIGINATOR/SPONSOR/ORIGINAL LENDER/INVESTOR)

NON ABCP PROGRAMS

ORIGINATION DATE (mm/yyyy)

TOTAL AMOUNT OF SECURITISED EXPOSURES AT ORIGINATION DATE

SECURITISED EXPOSURES

TOTAL AMOUNT

INSTITUTION’S SHARE (%)

TYPE

APPROACH APPLIED (SA/IRB/MIX)

NUMBER OF EXPOSURES

COUNTRY

ELGD (%)

(-) VALUE ADJUSTMENTS AND PROVISIONS

OWN FUNDS REQUIREMENTS BEFORE SECURITISATION (%)

SECURITISATION STRUCTURE

ON-BALANCE SHEET ITEMS

SENIOR

MEZZANINE

FIRST LOSS

OFF-BALANCE SHEET ITEMS AND DERIVATIVES

FIRST FORESEEABLE TERMINATION DATE

LEGAL FINAL MATURITY DATE

SECURITISATION POSITIONS: ORIGINAL EXPOSURE PRE CONVERSION FACTORS

ON-BALANCE SHEET ITEMS

The same criteria of classification among tranches used for columns 230 to 250 shall be applied here.

OFF-BALANCE SHEET ITEMS AND DERIVATIVES

The same criteria of classification among tranches used for columns 260 to 280 shall be applied here.

MEMORANDUM ITEMS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES

DIRECT CREDIT SUBSTITUTES (DCS)

IRS/CRS

ELIGIBLE LIQUIDITY FACILITIES

OTHER (INCLUDING NON-ELIGIBLE LF)

EARLY AMORTISATION: CONVERSION FACTOR APPLIED

(-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS

TOTAL RISK WEIGHTED EXPOSURE AMOUNT BEFORE CAP

TOTAL RISK WEIGHTED EXPOSURE AMOUNT AFTER CAP

APPROACH

SECURITISATION QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

CTP OR NON-CTP?

NET POSITIONS — LONG/SHORT

TOTAL OWN FUNDS REQUIREMENTS (SA) - SPECIFIC RISK

4.
4.1.

General Remarks This template provides information on the calculation of own funds requirements according to Articles 312 to 324 of CRR for Operational Risk under the Basic Indicator Approach (BIA), the Standardised Approach (TSA), the Alternative Standardised Approach (ASA) and the Advanced Measurement Approaches (AMA). An institution cannot apply TSA and ASA for the business lines retail banking and commercial banking at the same time at solo level Institutions using the BIA, TSA and/or ASA shall calculate their own funds requirement, based on the information at financial year end. When audited figures are not available, institutions may use business estimates. If audited figures are used, institutions shall report the audited figures which 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. If an institution can justify its competent authority that – due to exceptional circumstances such as a merger or a disposal of entities or activities – using a three year average to calculating the relevant indicator would lead to a biased estimation for the own funds requirement for operational risk„ the competent authority may permit the institution to modify the calculation in a way that would take into account such events. Also the competent authority may on its own initiative, require an institution to modify the calculation. Where an institution has been in operation for less than three years it may use forward looking business estimates in calculating the relevant indicator, provided that it starts using historical data as soon as they are available. By columns, this template presents information, for the three most recent years, on the amount of the relevant indicator of the banking activities subject to operational risk and on the amount of loans and advances (the latter only applicable in the case of ASA). Next, information on the amount of own funds requirement for operational risk is reported. If applicable, it must be detailed which part of this amount is due to an allocation mechanism. Regarding AMA, memorandum items are added to present a detail of the effect of the expected loss, diversification and mitigation techniques on own funds requirement for operational risk. By rows, information is presented by method of calculation of the operational risk own funds requirement detailing business lines for TSA and ASA. This template shall be submitted by all institutions subject to operational risk own funds requirement.

Institutions using the relevant indicator to calculate the own funds requirement for operational risk (BIA, TSA and ASA) report relevant indicator for the respective years in columns 010 to 030. Moreover, in the case of a combined use of different approaches as referred in Article 314 of CRR, institutions also report, for information purposes, relevant indicator for the activities subject to AMA. It is also the case for all other AMA banks. Hereafter, the term relevant indicator refers to the sum of the elements at the end of the financial year as defined in Article 316 point 1, Table1 of CRR. If the institution has less than 3 years of data on relevant indicator available, the available historical data (audited figures) shall be assigned by priority to the corresponding columns in the table. If, for instance, historical data for only one year is available, it shall be reported in column 030. If it seems reasonable, the forward looking estimates shall then be included in column 020 (estimate of next year) and column 010 (estimate of year +2). Furthermore if there are no historical data on relevant indicator available the institution may use forward-looking business estimates.

LOANS AND ADVANCES (IN THE CASE OF ASA APPLICATION)

OWN FUND REQUIREMENT

TOTAL OPERATIONAL RISK EXPOSURE AMOUNT

OF WHICH: DUE TO AN ALLOCATION MECHANISM

OWN FUNDS REQUIREMENT BEFORE ALLEVIATION DUE TO EXPECTED LOSS, DIVERSIFICATION AND RISK MITIGATION TECHNIQUES

(-) ALLEVIATION OF OWN FUNDS REQUIREMENTS DUE TO THE EXPECTED LOSS CAPTURED IN BUSINESS PRACTICES

(-) ALLEVIATION OF OWN FUNDS REQUIREMENTS DUE TO DIVERSIFICATION

(-) ALLEVIATION OF OWN FUNDS REQUIREMENT DUE TO RISK MITIGATION TECHNIQUES (INSURANCE AND OTHER RISK TRANSFER MECHANISMS)

BANKING ACTIVITIES SUBJECT TO BASIC INDICATOR APPROACH (BIA)

BANKING ACTIVITIES SUBJECT TO STANDARISED (TSA)/ALTERNATIVE STANDARDISED (ASA) APPROACHES

SUBJECT TO TSA

SUBJECT TO ASA

BANKING ACTIVITIES SUBJECT TO ADVANCED MEASUREMENT APPROACHES AMA

4.2.

General Remarks 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 according to event types and business lines. Template C 17.02 (OPR DETAILS 2) provides detailed information on the largest loss events in the last year. 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. In case of a combined use of different approaches for the calculation of own funds requirements for operational risk according to 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. Gross loss means a loss stemming from an operational risk event or event type — as referred to in Article 322(3)(b) of CRR — before recoveries of any type, without prejudice to rapidly recovered loss events as defined below. 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. Rapidly recovered loss events means operational risk events that lead to losses that are partly or fully recovered within five working days. In case of a rapidly recovered loss event, only the part of the loss that is not fully recovered (i.e. the loss net of the partial rapid recovery) shall be included into the gross loss definition. As a consequence, loss events that lead to losses that are fully recovered within five working days shall not be included into the gross loss definition, as well as into the OPR DETAILS reporting at all. Date of accounting means the date when a loss or reserve/provision was first recognized in the Profit and Loss statement, against an operational risk loss. This date logically follows the Date of occurrence (i.e. the date when the operational risk event happened or first began) and the Date of discovery (i.e. the date on which the institution became aware of the operational risk event). 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. The figures reported in June of the respective year are interim figures, while the final figures are reported in December. Therefore the figures in June have a six-month reference period (i.e. from 1 January to 30 June of the calendar year) while the figures in December have a twelve-month reference period (i.e. from 1 January to 31 December of the calendar year). Both for data reported as of June and December, previous reporting reference periods means all reporting reference periods until and including the one ending at the preceding calendar year end. In order to verify the conditions envisaged by Article 5 (b) (2) (b) (i) of this Regulation, the institutions shall use the latest statistics as available in the Supervisory Disclosure webpage of the EBA to get the sum of individual balance sheet totals of all institutions within the same Member State. In order to verify the conditions envisaged by Article 5 (b) 2 (b) (iii), 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.

General Remarks In template C 17.01, the information is presented by distributing the losses and recoveries above internal thresholds amongst business lines (as defined in Article 317, Table 2 of CRR including the additional business line Corporate items as referred to in Article 322(3) point (b) CRR) and event types (as defined in Article 324 CRR), being possible that the losses corresponding to one event are distributed amongst several business lines. Columns present the different event types and the totals for each business line, together with a memorandum item that shows the lowest internal threshold applied in the data collection of losses, revealing within each business line the lowest and the highest threshold if there is more than one threshold. Rows present the business lines, and within each business line, information on the number of events (new events), the gross loss amount (new events), the number of 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). For the total business lines, data on the number of events and the gross loss amount is also required for certain ranges based on set thresholds, 10,000, 20,000, 100,000, and 1000000. The thresholds are set in Euro amounts and are included for comparability purposes of the reported losses among institutions; therefore they do not necessarily relate with the minimum loss thresholds used for the internal loss data collection, to be reported in another section of the template.

Institutions report the losses in the respective columns 010 to 070 according to the event types as defined in Article 324 CRR. Institutions that calculate their own funds requirement according to BIA may report those losses for which the event type is not identified in column 080 only.

TOTAL EVENT TYPES

MEMORANDUM ITEM: THRESHOLD APPLIED IN DATA COLLECTION

BUSINESS LINES: CORPORATE FINANCE, TRADING AND SALES, RETAIL BROKERAGE, COMMERCIAL BANKING, RETAIL BANKING, PAYMENT AND SETTLEMENT, AGENCY SERVICES, ASSET MANAGEMENT, CORPORATE ITEMS

Number of events (new events)

Gross loss amount (new events)

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

Total recovery from insurance and other risk transfer mechanisms

TOTAL BUSINESS LINES

Number of Events

Gross loss amount (new events)

Provided that the institution has assigned all its losses either to a business line listed in Article 317(4) table 2 CRR or the business line Corporate items as referred to in Article 322(3) point (b) CRR, the gross loss amount (new events) reported in row 920 is the simple aggregation of the gross loss amounts of new events for each business line. In rows 921 – 924, the gross loss amount for events with a gross loss amount within the ranges defined in the pertinent rows shall be reported.

Number of loss events subject to loss adjustments

In row 930, the total of the numbers of events subject to loss adjustments as defined for rows 030, 130, …, 830 shall be reported. This figure may be lower than the aggregation of the number of events subject to loss adjustments by business lines since events with multiple impacts (impacts in different business lines) shall be considered as one. It may be higher, if an institution calculating its own funds requirements according to 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 events for which a positive loss adjustment was made within the reporting reference period and the number of events for which a negative loss adjustment was made within the reporting period (all reported with a positive sign).

Loss adjustments relating to previous reporting periods

In row 940, the total of the loss adjustment amounts relating to previous reporting periods per business lines (as defined for rows 040, 140, …, 840) shall be reported. Provided that the institution has assigned all its losses either to a business line listed in Article 317(4) table 2 of CRR or the business line Corporate items as referred to in Article 322(3) point (b) of CRR, the amount reported in row 940 is 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 events for which a positive loss adjustment was made in the reporting reference period (row 945, reported with as positive figure) and the amount related to events for which a negative loss adjustment was made within the reporting period (row 946, reported as negative figure). If, due to a negative loss adjustment, the adjusted loss amount attributable to an event falls below the internal data collection threshold of the institution, the institution shall report the total loss amount for that 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 in row 946 instead of the amount of the negative loss adjustment itself.

Maximum single loss

Provided that the institution has assigned all its losses either to a business line listed in Article 317(4) table 2 CRR or the business line Corporate items as referred to in Article 322(3) point (b) CRR, the maximum single loss is the maximum loss over the internal threshold for each event type and amongst all business lines. These figures may be higher than the highest single loss recorded in each business line if an event impacts different business lines. Provided that the institution has assigned all its losses either to a business line listed in Article 317(4) table 2 CRR or the business line Corporate items as referred to in Article 322(3) point (b) CRR respectively that it has identified the event types for all losses, the following shall apply for column 080:

The maximum single loss reported shall be equal to the highest of the values reported in columns 010 – 070 of this row.

If there are 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.

Sum of the five largest losses

The sum of the five largest gross losses for each event type and amongst all business lines is reported. This sum may be higher than the highest sum of the five largest losses recorded in each business line. This sum has to be reported regardless of the number of losses. Provided that the institution has assigned all its losses either to a business line listed in Article 317(4) table 2 CRR or the business line Corporate items as referred to in Article 322(3) point (b) CRR respectively that it has identified the event types for all losses, for column 080, the sum of the five largest losses shall be the sum of the five largest losses in the whole matrix, which means that it may not necessarily be equal to neither the maximum value of sum of the five largest losses in row 960 nor the maximum value of sum of the five largest losses in column 080.

Total direct loss recovery

Provided that the institution has assigned all its losses either to a business line listed in Article 317(4) table 2 CRR or the business line Corporate items as referred to in Article 322(3) point (b) CRR, the total direct loss recovery is the simple aggregation of the total direct loss recovery for each business line.

Total recovery from insurance and other risk transfer mechanisms

Provided that the institution has assigned all its losses either to a business line listed in Article 317(4) table 2 CRR or the business line Corporate items as referred to in Article 322(3) point (b) CRR, the total recovery from insurance and other risk transfer mechanisms is the simple aggregation of the total loss recovery from insurance and other risk transfer mechanisms for each business line.

4.2.3.

General Remarks In template C 17.02, information on individual loss events shall be provided (one row per event). The information reported in this template shall refer to new events, i.e. operational risk events Only events entailing a gross loss amount of 100,000 EUR or more shall be reported. 1. Subject to that threshold,

4.2.3.1.134.135.
4.2.3.1.134.135.136.

(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.

4.2.3.2.

The event ID is a row identifier and shall be unique for each row in the table. 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.

Date of Accounting

Date of occurrence

Date of discovery

Event Type

Gross loss

Gross loss net of direct recoveries

Gross loss by business line

Legal Entity name

Legal Entity ID

Business Unit

Description

5.137.138.
5.1.

General Remarks This template captures the positions and the related own funds requirements for position risks on traded debt instruments under the standardised approach (Articles 102 and 105 (1) of CRR). The different risks and methods available under CRR are considered by rows. The specific risk associated with exposures included in MKR SA SEC and MKR SA CTP only has to be reported in the Total template of the MKR SA TDI. The own funds requirements reported in those templates shall be transferred to cell {325;060} (securitisations) and {330;060} (CTP) respectively.. 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.

Articles 102 and 105 (1) of CRR. These are gross positions not netted by instruments but excluding underwriting positions subscribed or sub-underwritten by third parties (Article 345 second sentence of CRR). Regarding the distinction between Long and Short positions, also applicable to these gross positions, see Article 328(2) of CRR.

NET POSITIONS (LONG AND SHORT)

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

POSITIONS SUBJECT TO CAPITAL CHARGE

OWN FUNDS REQUIREMENTS

TOTAL RISK EXPOSURE AMOUNT

TRADED DEBT INSTRUMENTS IN TRADING BOOK

Derivatives

Other assets and liabilities

MATURITY BASED APPROACH

GENERAL RISK. DURATION BASED APPROACH

SPECIFIC RISK

Own funds requirement for non-securitisation debt instruments

Own funds requirement for securitisation instruments

Own funds requirement for the correlation trading portfolio

ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS)

5.2.

General Remarks 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. On reporting reference dates that are after 1 January 2019, securitisations held in the trading book, the own funds requirement for specific risk of which is determined based on CRR, i.e where the own funds requirement is calculated in accordance with the revised securitisation framework, shall not be reported in this template, but only in template C 02.00. Equally, on reporting reference dates that are after 1 January 2019, securitisation positions which are subject to a 1250 % risk weight in accordance with the CRR and which are deducted from CET1 in accordance with Article 36(1) point (k) (ii) of the CRR, shall not be reported in this template, but only in template C 01.00. For the purposes of this template, all references to the Articles of Part Three, Title II, chapter 5 of CRR and Article 337 CRR shall be read as references to CRR in the version applicable on 31 December 2018. The MKR SA SEC template determines the own funds requirement only for the specific risk of securitisation positions according to Articles 335 in connection with 337 CRR. If securitisation positions of the trading book are hedged by credit derivatives, Articles 346 and 347 CRR apply. There is only one template for all positions of the trading book, irrespective of the fact whether the institution uses the Standardised Approach or the Internal Ratings Based Approach to determine the risk weight for each of the positions according to Part Three Title II Chapter 5 of CRR. The reporting of the own funds requirements of the general risk of these positions is conducted in the MKR SA TDI or the MKR IM template. Positions which receive a risk weight of 1,250 % can alternatively be deducted from CET1 (see 243(1) point (b), 244(1) point (b) and 258 of CRR). If this is the case, those positions have to be reported in row 460 of CA1.

Articles 102 and 105 (1) of CRR in connection with Article 337 of CRR (securitisation positions). Regarding the distinction between Long and Short positions, also applicable to these gross positions, see Article 328(2) of CRR.

(-) POSITIONS DEDUCTED FROM OWN FUNDS (LONG AND SHORT)

NET POSITIONS (LONG AND SHORT)

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

BREAKDOWN OF THE NET POSITIONS ACCORDING TO RISK WEIGHTS

SUPERVISORY FORMULA METHOD

LOOK THROUGH

INTERNAL ASSESSMENT APPROACH

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

BEFORE CAP — WEIGHTED NET LONG/SHORT POSITIONS AND SUM OF WEIGHTED NET LONG AND SHORT POSITIONS

AFTER CAP — WEIGHTED NET LONG/SHORT POSITIONS AND SUM OF WEIGHTED NET LONG AND SHORT POSITIONS

Article 337 of CRR taking into account the discretion of Article 335 of CRR.

TOTAL OWN FUNDS REQUIREMENTS

TOTAL EXPOSURES

SECURITISATIONS

RE-SECURITISATIONS

ORIGINATOR

INVESTOR

SPONSOR

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

5.3.

General Remarks This template requests information on positions of the CTP (comprising securitisations, nth-to-default credit derivatives and other CTP positions included according to Article 338(3)) and the corresponding own funds requirements under the standardised approach. The MKR SA CTP template determines the own funds requirement only for the specific risk of positions assigned to the Correlation Trading Portfolio according to Articles 335 in connection with 338 (2) and (3) of CRR. If CTP- positions of the trading book are hedged by credit derivatives, Articles 346 and 347 CRR apply. There is only one template for all CTP-positions of the trading book, irrespective of the fact whether the institution uses the Standardised Approach or the Internal Ratings Based Approach to determine the risk weight for each of the positions according to Part Three Title II Chapter 5 of CRR. The reporting of the own funds requirements of the general risk of these positions is conducted in the MKR SA TDI or the MKR IM template. This structure of the template separates securitisation positions, n-th to default credit derivatives and other CTP-positions. As a result, securitisation positions shall always be reported in rows 030, 060 or 090 (depending on the role of the institution in the securitisation). N-th to default credit derivatives shall always be reported in line 110. The other CTP-positions are neither securitisation positions nor n-th to default credit derivatives (see definition in Article 338(3) CRR), but they are explicitly linked (because of the hedging intent) to one of these two positions. That is why they are assigned either under the sub-heading securitisation or n-th to default credit derivative. Positions which receive a risk weight of 1,250 % can alternatively be deducted from CET1 (see 243(1) point (b), 244(1) point (b) and 258 of CRR). If this is the case, those positions have to be reported in row 460 of CA1.

Articles 102 and 105 (1) of CRR in connection with positions assigned to the Correlation Trading Portfolio according to Article 338(2) and (3) of CRR. Regarding the distinction between Long and Short positions, also applicable to these gross positions, see Article 328(2) of CRR.

(-) POSITIONS DEDUCTED FROM OWN FUNDS (LONG AND SHORT)

NET POSITIONS (LONG AND SHORT)

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

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

OTHER

SUPERVISORY FORMULA METHOD

LOOK THROUGH

INTERNAL ASSESSMENT APPROACH

BEFORE CAP — WEIGHTED NET LONG/SHORT POSITIONS

AFTER CAP — WEIGHTED NET LONG/SHORT POSITIONS

Article 338 taking into account the discretion of Article 335 of CRR.

TOTAL OWN FUNDS REQUIREMENTS

TOTAL EXPOSURES

ORIGINATOR

INVESTOR

SPONSOR

SECURITISATIONS

N-TH-TO-DEFAULT CREDIT DERIVATIVES

OTHER CTP POSITIONS

5.4.

General Remarks 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. The template has to be filled out separately for the Total, plus a static, pre-defined list of following markets: Bulgaria, Croatia, Czech Republic, Denmark, Egypt, Hungary, Iceland, Liechtenstein, Norway, Poland, Romania, Sweden, United Kingdom, Albania, Japan, Former Yugoslav Republic of Macedonia, Russian Federation, Serbia, Switzerland, Turkey, Ukraine, USA, Euro Area plus one residual template for all other markets. For the purpose of this reporting requirement the term market shall be read as country (except for countries belonging to the Euro Area, see Commission Delegated Regulation (EU) No 525/2014).

Articles 102 and 105 (1) of CRR. These are gross positions not netted by instruments but excluding underwriting positions subscribed or sub-underwritten by third parties (Article 345 second sentence of CRR).

NET POSITIONS (LONG AND SHORT)

Articles 327, 329, 332, 341 and 345 of CRR.

POSITIONS SUBJECT TO CAPITAL CHARGE

OWN FUNDS REQUIREMENTS

TOTAL RISK EXPOSURE AMOUNT

EQUITIES IN TRADING BOOK

GENERAL RISK

Derivatives

Other assets and liabilities

Exchange traded stock-index futures broadly diversified and subject to a particular approach

Other equities than exchange traded stock-index futures broadly diversified

SPECIFIC RISK

Positions in equities subject to specific risk and the correspondent own funds requirement according to Articles 342 and 344 (4) CRR.

ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS)

5.5.

General Remarks Institutions shall report information on the positions in each currency (reporting currency included) and the corresponding own funds requirements for foreign exchange treated under the standardised approach. The position is calculated for each currency (including euro), gold, and positions to CIUs. Rows 100 to 480 of this template shall be reported even if institutions are not required to calculate own funds requirements for foreign exchange risk according to Article 351 of CRR. In those memorandum items, all the positions in the reporting currency are included, irrespective of the extent to which 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 and the following currencies: USD, CHF, JPY, RUB, TRY, AUD, CAD, RSD, ALL, UAH, MKD, EGP, ARS, BRL, MXN, HKD, ICK, TWD, NZD, NOK, SGD, KRW, CNY and all other currencies.

Gross positions due to assets, amounts to be received and similar items referred to in Article 352(1) of CRR. According to Article 352(2) and subject to permission from competent authorities, positions taken to hedge against the adverse effect of the exchange rate on their ratios in accordance with Article 92(1) and positions related to items that are already deducted in the calculation of own funds shall not be reported.

NET POSITIONS (LONG AND SHORT)

Articles 352(3) and (4), first and second sentences, and 353 of CRR. The net positions are calculated by each currency, accordingly there may be simultaneous long and short positions.

POSITIONS SUBJECT TO CAPITAL CHARGE

POSITIONS SUBJECT TO CAPITAL CHARGE (LONG AND SHORT)

POSITIONS SUBJECT TO CAPITAL CHARGE (MATCHED)

OWN FUNDS REQUIREMENTS

TOTAL RISK EXPOSURE AMOUNT

TOTAL POSITIONS

CURRENCIES CLOSELY CORRELATED

Currencies closely correlated: of which: reporting currency

ALL OTHER CURRENCIES (including CIU's treated as different currencies)

pt_1

GOLD

ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS)

Breakdown of total positions (reporting currency included) by exposure types

Other assets and liabilities other than off-balance sheet items and derivatives

Off-balance sheet items

Derivatives

MEMORANDUM ITEMS: CURRENCY POSITIONS

5.6.

Gross long/short positions considered positions in the same commodity according to Article 357(1) and (4) of CRR (see also Article 359(1) of CRR).

NET POSITIONS (LONG AND SHORT)

As defined in Article 357(3) of CRR.

POSITIONS SUBJECT TO CAPITAL CHARGE

OWN FUNDS REQUIREMENTS

TOTAL RISK EXPOSURE AMOUNT

TOTAL POSITIONS IN COMMODITIES

POSITIONS BY CATEGORY OF COMMODITY

MATURITY LADDER APPROACH

EXTENDED MATURITY LADDER APPROACH

SIMPLIFIED APPROACH

ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS)

5.7.

General Remarks This template provides a breakdown of VaR and stressed VaR (sVaR) figures according to the different market risks (debt, equity, FX, commodities) and other information relevant for the calculation of the own funds requirements. Generally the reporting depends on the structure of the model of the institutions whether they report the figures for general and specific risk separately or together. The same holds true for the decomposition of the VAR/Stress-Var into the risk categories (interest rate risk, equity risk, commodities risk and foreign exchange risk). An institution can resign to report the decompositions mentioned above if it proves that a reporting of these figures would be unduly burdensome.

It means the maximum potential loss that would result from a price change with a given probability over a specified time horizon.

Multiplication factor (mc) x Average of previous 60 working days VaR (VaRavg)

Previous day VaR (VaRt-1)

Stressed VaR

It means the maximum potential loss that would result from a price change with a given probability over a specified time horizon obtained by using input calibrated to historical data from a continuous 12-months period of financial stress relevant to the institution’s portfolio.

Multiplication factor (ms) x Average of previous 60 working days (SVaRavg)

Latest available (SVaRt-1)

INCREMENTAL DEFAULT AND MIGRATION RISK CAPITAL CHARGE

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

Last Measure

FLOOR

Article 364(3) point (b).

LAST MEASURE

Article 364(3) point (a)

OWN FUNDS REQUIREMENTS

TOTAL RISK EXPOSURE AMOUNT

Number of overshootings (during previous 250 working days)

VaR Multiplication Factor (mc) and SVaR Multiplication Factor (ms)

ASSUMED CHARGE FOR CTP FLOOR — WEIGHTED NET LONG/SHORT POSITIONS AFTER CAP

TOTAL POSITIONS

TRADED DEBT INSTRUMENTS

TDI – GENERAL RISK

TDI – SPECIFIC RISK

EQUITIES

EQUITIES – GENERAL RISK

General risk defined in Article 362 of CRR.

EQUITIES – SPECIFIC RISK

Specific risk defined in Article 362 of CRR.

FOREIGN EXCHANGE RISK

COMMODITY RISK

TOTAL AMOUNT FOR GENERAL RISK

TOTAL AMOUNT FOR SPECIFIC RISK

5.8.

Article 271 of CRR in accordance with article 382 of CRR Total EAD from all transactions subject to CVA charge

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)

OWN FUNDS REQUIREMENTS

TOTAL RISK EXPOSURE AMOUNT

Number of counterparties

Of which: proxy was used to determine credit spread

INCURRED CVA

SINGLE NAME CDS

INDEX CDS

CVA risk total

According to Advanced method

According to Standardised method

Based on OEM

6.
6.1.

General remarks This template shall be completed by all institutions, whether or not they have adopted the simplified approach for the determination of Additional Valuation Adjustments (AVAs). It is dedicated to the absolute value of fair-valued assets and liabilities used to determine whether or not the conditions set out in Article 4 of Delegated Regulation (EU) 2016/101 on prudent valuation for using the simplified approach for the determination of AVAs are met. With regard to institutions using the simplified approach, this template shall provide the total AVA to be deducted from own funds under Articles 34 and 105 CRR as set out in Article 5 of the Delegated Regulation (EU) 2016/101 on prudent valuation, which shall be reported accordingly in row 290 of C 01.00.

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 the Delegated Regulation (EU) 2016/101 on prudent valuation, before any deduction pursuant to Article 4(2) is performed.

OF WHICH: trading book

FAIR-VALUED ASSETS AND LIABILITIES EXCLUDED BECAUSE OF PARTIAL IMPACT ON CET1

Exactly matching

Hedge accounting

PRUDENTIAL Filters

Other

Comment for other

FAIR-VALUED Assets and Liabilities included in ART. 4(1) threshold

OF WHICH: trading book

Absolute value of fair-valued assets and liabilities, as reported in column 0080, corresponding to positions held in the trading book.

6.2.

General remarks 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. This template shall be completed by all institutions that: For the purposes of this template, upside uncertainty shall be defined as follows: As determined by Article 8(2) of the Delegated Regulation (EU) 2016/101 on prudent valuation, AVAs are calculated as the difference between the fair value and a prudent valuation that is defined 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.

6.2.1.154c.154d.

Instructions concerning specific positions Columns 0010 - 0100 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110 0120 0130 -0140 0130 0140 0150 0160 0170 - 0250 0170 0180 0190 0200 0210 0220 0230 0240 0250 0260 0270 Rows 0010 0020 0030 0040 - 0130 0050 0060 0070 0080 0090 INTEREST RATES 0100 FOREIGN EXCHANGE 0110 CREDIT 0120 EQUITIES 0130 COMMODITIES 0140 0150 0160 0170 0180 0190 0200 0210

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 to 11 and 14 to 17 of the Delegated Regulation (EU) 2016/101 on prudent valuation respectively. For the market price uncertainty, close-out cost and model risk categories, which are subject to diversification benefit as set out under Articles 9(6), 10(7) and 11(7) of the Delegated Regulation (EU) 2016/101 on prudent valuation, 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 the Delegated Regulation (EU) 2016/101 on prudent valuation 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 defined in Articles 9(5)(b), 10(6)(b) and 11(4) of the Delegated Regulation (EU) 2016/101 on prudent valuation shall be separately reported in columns 0020, 0040 and 0060.

MARKET PRICE UNCERTAINTY

OF WHICH: CALCULATED USING THE EXPERT-BASED APPROACH

CLOSE-OUT COSTS

OF WHICH: CALCULATED USING THE EXPERT-BASED APPROACH

Close-out costs AVAs computed according to Article 10(6)(b) of the Delegated Regulation (EU) 2016/101 on prudent valuation.

MODEL RISK

OF WHICH: CALCULATED USING THE EXPERT BASED APPROACH

CONCENTRATED POSITIONS

FUTURE ADMINISTRATIVE COSTS

EARLY TERMINATION

OPERATIONAL RISK

Article 105(10) CRR Operational risk AVAs as computed under Article 17 of the Delegated Regulation (EU) 2016/101 on prudent valuation.

TOTAL AVA

UPSIDE UNCERTAINTY

FAIR-VALUED ASSETS AND LIABILITIES

FAIR-VALUED ASSETS

FAIR-VALUED LIABILITIES

QTD REVENUE

IPV DIFFERENCE

FAIR VALUE ADJUSTMENTS

MARKET PRICE UNCERTAINTY

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.

CLOSE-OUT COSTS

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.

MODEL RISK

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.

CONCENTRATED POSITIONS

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 that can be identified as addressing the same source of valuation uncertainty as the Concentrated positions AVA.

UNEARNED CREDIT SPREADS

INVESTING AND FUNDING COSTS

FUTURE ADMINISTRATION COSTS

EARLY TERMINATION

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 that can be identified as addressing the same source of valuation uncertainty as the Early termination AVA.

OPERATIONAL RISK

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 that can be identified as addressing the same source of valuation uncertainty as the Operational risk AVA.

EXPLANATION DESCRIPTION

OF WHICH: TRADING BOOK

OF WHICH: UNEARNED CREDIT SPREADS AVA

OF WHICH: INVESTMENT AND FUNDING COSTS AVA

OF WHICH: AVA ASSESSED TO HAVE ZERO VALUE UNDER ARTICLE 9(2)

Absolute value of fair-valued assets and liabilities corresponding to the valuation exposures assessed to have zero AVA value under Article 9(2) of the Delegated Regulation (EU) 2016/101 on prudent valuation.

OF WHICH: AVA ASSESSED TO HAVE ZERO VALUE UNDER ARTICLE 10(2)&10(3)

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 the Delegated Regulation (EU) 2016/101 on prudent valuation.

6.2.2.1.1.1.11.1.1.21.1.1.31.1.1.41.1.1.5

1.1.2.2* Memorandum item: pre-diversification AVAs reduced by more than 90 % by diversification under Method 2 In the terminology of Method 2, the sum of FV – PV for all valuation exposures for which APVA < 10 % (FV – PV).

6.3.

General remarks This template is to be completed only by institutions that exceed the threshold referred to in Article 4(1) of the Delegated Regulation (EU) 2016/101 on prudent valuation 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. 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 the Delegated Regulation (EU) 2016/101 on prudent valuation. This information corresponds to the information reported in column 0050 of template C 32.02. 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. Products corresponding to these top individual model risk AVAs shall be reported using the product inventory required by Article 19(3)(a) of the Delegated Regulation (EU) 2016/101 on prudent valuation. 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.

The rank is a row identifier and shall be unique for each row in the table. 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.

MODEL

RISK CATEGORY

PRODUCT

OBSERVABILITY

MODEL RISK AVA

OF WHICH: USING EXPERT-BASED APPROACH

OF WHICH: AGGREGATED USING METHOD 2

AGGREGATED AVA CALCULATED UNDER METHOD 2

FAIR-VALUED ASSETS AND LIABILITIES

FAIR-VALUED ASSETS

FAIR-VALUED LIABILITIES

IPV DIFFERENCE (OUTPUT TESTING)

IPV COVERAGE (OUTPUT TESTING)

FAIR VALUE ADJUSTMENTS

6.4

General remarks This template shall be completed only by institutions that exceed the threshold referred to in Article 4(1) of the Delegated Regulation (EU) 2016/101 on prudent valuation at their level. 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. 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 the Delegated Regulation (EU) 2016/101 on prudent valuation. This information shall correspond to the information reported in column 0070 of template C 32.02. The top 20 concentrated positions AVAs, and corresponding product information, shall be reported in decreasing order starting from the largest individual concentrated positions AVAs. Products corresponding to these top individual concentrated positions AVAs shall be reported using the product inventory required by Article 19(3)(a) of the Delegated Regulation (EU) 2016/101 on prudent valuation. Positions that are homogenous in terms of AVA calculation methodology shall be aggregated where this is possible in order to maximise the coverage of this template.

The rank is a row identifier and shall be unique for each row in the table. 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.

RISK CATEGORY

PRODUCT

UNDERLYING

CONCENTRATED POSITION SIZE

SIZE MEASURE

MARKET VALUE

PRUDENT EXIT PERIOD

CONCENTRATED POSITIONS AVA

CONCENTRATED POSITION FAIR VALUE ADJUSTMENT

IPV DIFFERENCE

7.

GENERAL REMARKS The information for the purpose of template C 33.00 shall cover all exposures to General governments as defined in paragraph 42 (b) of Annex V. Exposures to General governments are included in different exposure classes in accordance with Article 112 and Article 147 of CRR, as specified by the instructions for the completion of template C 07.00, C 08.01 and C 08.02. Table 2 (Standardised approach) and Table 3 (IRB approach), included in Part 3 of Annex 5, shall be observed for the mapping of exposure classes used to calculate capital requirements under CRR to counterparty sector General governments. 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. 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 includes the incidence of credit risk mitigation techniques, including substitution effects. 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 in Article 5 (b) point 3 of this Regulation.

SCOPE OF THE TEMPLATE ON EXPOSURES TO GENERAL GOVERNMENTS 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. An exposure is a direct exposure when the immediate counterparty is an entity covered by the definition of General governments. 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

Aggregate of gross carrying amount, as determined in accordance with paragraph 34 in Annex V, Part 1, of non-derivative financial assets to General governments, for all accounting portfolios under IFRS or national GAAP based on Directive 86/635/EEC (Bank Accounting Directive, BAD) defined in paragraphs 15 to 22 in Annex V, Part 1 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.

Total carrying amount of non-derivative financial assets (net of short positions)

NON-DERIVATIVE FINANCIAL ASSETS BY ACCOUNTING PORTFOLIOS

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

Short positions

Of which: Short positions from reverse repurchased loans classified as held for trading or trading financial assets

Accumulated impairment

Accumulated impairment — of which: from financial assets at fair value through other comprehensive income or from non-trading non-derivative financial assets measured at fair value to equity

Accumulated negative changes in fair value due to credit risk

Accumulated negative changes in fair value due to credit risk — of which: from non-trading financial assets mandatorily at fair value through profit or loss, financial assets designated at fair value through profit or loss or from non-trading financial assets measured at fair value through profit or loss

Accumulated negative changes in fair value due to credit risk — of which: from financial assets at fair value through other comprehensive income or from non-trading non-derivative financial assets measured at fair value to equity

DERIVATIVES

Derivatives with positive fair value

Derivatives with positive fair value: Carrying amount

Derivatives with positive fair value: Notional amount

Derivatives with negative fair value

Derivatives with negative fair value: Carrying amount

Derivatives with negative fair value: Notional amount

Nominal amount

Provisions

Accumulated negative changes in fair value due to credit risk

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 (Annex V, Part 2, paragraph110)

Memorandum item: credit derivatives sold on general government exposures

Derivatives with positive fair value — Carrying amount

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 is the fair value of the derivatives with a positive fair value at the reference reporting date, independently how they are accounted for.

Derivatives with negative fair value — Carrying amount

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 is 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 how they are accounted for.

Exposure value

Risk weighted exposure amount

Total exposures

Exposures under the credit risk framework

Standardised Approach

Central governments

Regional governments or local authorities

Public sector entities

International Organisations

Other general government exposures subject to Standardised Approach

IRB Approach

Exposures to General governments that shall be risk-weighted in accordance with Part Three, Title II, Chapter 3 CRR, including exposures from the non-trading book for which the risk-weighting in accordance with that Chapter addresses counterparty credit risk.

Central governments

Exposures to General governments that are central governments and that are allocated to the Central governments and central banks exposure class in accordance with Article 147(3)(a) 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..

Regional governments or local authorities [Central governments and central banks]

Regional governments or local authorities [Institutions]

Public sector entities [Central governments and central banks]

Public sector entities [Institutions]

International Organisations [Central governments and central banks]

Exposures subject to market risk

BREAKDOWN OF EXPOSURES BY RESIDUAL MATURITY

ANNEX III

ANNEX V REPORTING ON FINANCIAL INFORMATION

PART 1 GENERAL INSTRUCTIONS

1.1.2.3.4.5. REFERENCES 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. 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 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. The data points identified in the templates shall be drawn up in accordance with the recognition, offsetting and valuation rules of the relevant accounting framework, as defined in Article 4(1)(77) of Regulation (EU) No 575/2013. Institutions shall only submit those parts of the templates related to: For the purposes of Annexes III and IV as well as this Annex, the following abbreviations shall apply:

1.1.2.3.4.

(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.

1.1.2.3.4.5.

(a) CRR: Regulation (EU) No 575/2013

(b) IAS or IFRS: International Accounting Standards, as defined in Article 2 of the IAS Regulation (EC) No 1606/2002, which have been adopted by the Commission;

(c) ECB BSI Regulation or ECB/2013/33: Regulation (EC) 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;

(h) National GAAP: national generally accepted accounting principles developed under BAD;

(i) SME: micro, small and medium-sized enterprises 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.

2.6.7.8.9.10.11. Table 1 Credit/debit convention, positive and negative signs

CONVENTIONS For the purposes of Annexes III and IV, a data point shadowed in grey shall mean that this data point is not requested or that it is not possible to report it. In Annex IV, a row or a column with references shadowed in black means that the related data points shall not be submitted by those institutions that follow those references in that row or column. Templates in Annexes III and IV include implicit validation rules which are laid down in the templates themselves through the use of conventions. 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. 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. 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. This allocation ensures that all entities who report data points follow the sign convention and allows to know the credit/debit attribute that corresponds to each data point. 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. CONSOLIDATION Unless specified otherwise in this Annex, FINREP templates shall be prepared using the prudential scope of consolidation in accordance with Part 1, Title II, Chapter 2, Section 2, of CRR. Institutions shall account for their subsidiaries, joint ventures and associates using the same methods as for prudential consolidation:

3.12.

(a) institutions may be permitted or required to apply the equity method to investments in insurance and non-financial subsidiaries in accordance with Article 18(5) of CRR;

(b) institutions may be permitted to use the proportional consolidation method for financial subsidiaries in accordance with Article 18(2) of CRR;

(c) institutions may be required to use the proportional consolidation method for investment in joint ventures in accordance with Article 18(4) of CRR.

4.13.14. ACCOUNTING PORTFOLIOS OF FINANCIAL INSTRUMENTS For the purposes of Annexes III and IV as well as this Annex, accounting portfolios means financial instruments aggregated by valuation rules. These 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 as well as those financial instruments classified as Held for sale presented in the items Non-current assets and disposal groups classified as held for sale and Liabilities included in disposal groups classified as held for sale. 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 they 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.

4.13.14.
4.1.15.16.17.18.19.20.21.22.

Financial assets The following accounting portfolios based on IFRS shall be used for financial assets: The following accounting portfolios based on national GAAP shall be used for financial assets: 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. This classification shall also apply for 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. 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. 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 these circumstances, such as impairment, a prolonged decline in fair value compared to cost or change in the management intent. Under national GAAP based on BAD, Other non-trading non-derivative financial assets shall include financial assets that do not qualify for inclusion in other accounting portfolios. This accounting portfolio includes, among others, financial assets that are measured at 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. 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. 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 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.

4.1.15.

(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.

4.1.15.16.

(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; and

(e) Other non-trading non-derivative financial assets.

4.2.23.24.25.26.

Financial liabilities The following accounting portfolios based on IFRS shall be used for financial liabilities: The following accounting portfolios based on national GAAP shall be used for financial liabilities: 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. This classification shall also apply for 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. 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.

4.2.23.

(a) Financial liabilities held for trading;

(b) Financial liabilities designated at fair value through profit or loss;

(c) Financial liabilities measured at amortised cost.

4.2.23.24.

(a) Trading financial liabilities;

(b) Non-trading non-derivative financial liabilities measured at a cost-based method.

5.27.28.29. FINANCIAL INSTRUMENTS 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 shall be either 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. 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. 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.

5.27.28.29.
5.1.30.31.32.33.

Financial assets Financial assets shall be distributed among the following classes of instruments: Cash on hand, Derivatives, Equity instruments, Debt securities and Loans and advances. Debt securities are debt instruments held by the institution issued as securities that are not loans in accordance with the ECB BSI Regulation. Loans and advances are debt instruments held by the institutions that are not securities; this item includes loans in accordance with the ECB BSI Regulation as well as advances that cannot be classified as loans according to the ECB BSI Regulation. Advances that are not loans are further characterized in paragraph 85(g) of Part 2 of this Annex. In FINREP, debt instruments shall include loans and advances and debt securities.

5.2.34. Gross carrying amount Gross carrying amount of debt instruments shall have the following meaning:

5.2.34.

(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 they 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 fair value adjustment due to credit risk, as defined in paragraph 69 of Part 2 of this Annex. For the purpose 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 these 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 these financial assets are not subject to impairment requirements, the gross carrying amount of these 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 period. Where these 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 these haircuts.

5.3.35.36.37.38.39.40.41.

Financial liabilities Financial liabilities shall be distributed among the following classes of instruments: Derivatives, Short positions, Deposits, Debt securities issued and Other financial liabilities. For the purposes of Annexes III and IV as well as this Annex the definition of deposits in Annex II, Part 2 of the ECB BSI Regulation applies. Debt securities issued shall be debt instruments issued as securities by the institution that are not deposits in accordance with the ECB BSI Regulation. Other financial liabilities shall include all financial liabilities other than derivatives, short positions, deposits and debt securities issued. 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)]. 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. 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.

6.42.43.44. COUNTERPARTY BREAKDOWN Where a breakdown by counterparty is required the following counterparty sectors shall be used: 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. The immediate counterparties in the following transactions shall be:

6.42.

(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 Article 4(1)(1) of 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: corporations and quasi-corporations not engaged in financial intermediation but principally in the production of market goods and non-financial services according to the ECB BSI Regulation;

(f) households: individuals or groups of individuals as consumers and producers of goods and non-financial services exclusively for their own final consumption, and as producers of market goods and non-financial and financial services provided that their activities are not those of quasi-corporations. Non-profit institutions which serve households (NPISH) and which are principally engaged in the production of non-market goods and services intended for particular groups of households shall be included.

6.42.43.44.

(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 TEMPLATE RELATED INSTRUCTIONS

1. BALANCE SHEET

1.
1.1.1.2.3.4.5.6.7.

Assets (1.1) Cash on hand shall include holdings of national and foreign banknotes and coins in circulation that are commonly used to make payments. Cash balances at central banks shall include balances receivable on demand at central banks. Other demand deposits shall include balances receivable on demand with credit institutions. 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, irrespectively 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. 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. 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. Non-current assets and disposal groups classified as held for sale shall have the same meaning as under IFRS 5.

1.2.8.9.10.11.12.13.14.15.

Liabilities (1.2) 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. Provisions for Pensions and other post-employment defined benefit obligations shall include the amount of net defined benefit liabilities. 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. 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 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. 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. 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. Liabilities included in disposal groups classified as held for sale shall have the same meaning as under IFRS 5. 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.

1.3.16.17.18.19.20.21.22.23.24.25.26.27.28.29.30.

Equity (1.3) Under IFRS equity instruments that are financial instruments shall include those contracts under the scope of IAS 32. 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. 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 whose values are interdependent). Other equity instruments issued shall include equity instruments that are financial instruments other than Capital and Equity component of compound financial instruments. Other equity shall comprise all equity instruments that are not financial instruments including, among others, equity-settled share-based payment transactions [IFRS 2.10]. 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. 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]. 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. 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. 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. 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. Hedging instruments [not designated elements] shall include the accumulated changes in fair value of all of the following: 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. 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. 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.

1.3.16.17.18.19.20.21.22.23.24.25.26.27.

(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].

2.31.32.33.34.35.36.37.38.39.40.41.42.43.44.45.46.47.48.49.50.51.52.53.54.55.56.

STATEMENT OF PROFIT OR LOSS (2) 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. 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: 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. 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]. 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, these 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), these amounts shall be reported as an interest income (expense) even where it is a negative (positive) amount. 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. 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. 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. 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. These assets and their interests give rise to a negative yield for an institution. 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 these classes of instruments where the clean price is used or as part of gains or losses from these classes of instruments where the dirty price is used. Dividend income on equity instruments designated at fair value through other comprehensive income shall encompass dividends related to instruments derecognised during the period and dividends related to instruments held at the end of the reporting period. Dividend income from investments in subsidiaries, joint ventures and associates shall include the dividends of these investments where they are accounted for using other than the equity method. 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 include also 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. 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. 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 chose to measure at fair value through other comprehensive income [IFRS 9.5.7.1(b)]. 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: 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. 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. 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. 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. 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]. 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. 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. 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 de-recognition of these investments shall be reported in accordance with paragraph 55 and 56 of this Part. 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. Under IFRS, the gains or losses on de-recognition 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, these gains and losses shall be reported in Gains or (-) losses on derecognition of investments in subsidiaries, joint ventures and associates, net.

2.31.32.

(a) Interest income;

(b) Interest expense;

(c) Dividend income;

(d) Gains or losses on de-recognition 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.

2.31.32.33.34.35.36.37.38.39.40.41.42.43.44.45.46.

(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.

3.57.58.59.60.61.62.63.64.65.66.

STATEMENT OF COMPREHENSIVE INCOME (3) 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]. 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. 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. 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: 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. 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 de-recognition or reclassification into the fair value through profit or loss measurement category. 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. 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. 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. 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.

3.57.58.59.60.

(a) time value of options;

(b) forward elements of forward contracts;

(c) foreign exchange basis spread of financial instruments.

4.67.68.69.70.71.72.73.74.75.76.77.78.79.80.81.82.

BREAKDOWN OF FINANCIAL ASSETS BY INSTRUMENT AND BY COUNTERPARTY SECTOR (4) 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. 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. 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. This amount shall only be reported if 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. For the purposes of Annexes III and IV as well as this Annex, accumulated impairment means: 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. 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. These 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. Where a debt instrument is eventually totally written-off as a consequence 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. Write-offs shall constitute a de-recognition 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 both by reductions of the carrying amount of financial assets recognised directly in profit or loss as well as reductions in the amounts of the allowance accounts for credit losses taken against the carrying amount of financial assets. 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. 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. Purchased or originated financial assets that are credit-impaired at initial recognition shall be separately reported in 4.3.1 and 4.4.1. For these loans, the accumulated impairment shall only include the cumulative changes in lifetime expected credit losses since initial recognition [IFRS 9.5.5.13]. 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. 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 these 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 these 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. 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. 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. 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].

4.67.68.69.70.

(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.

5.83.84.85.86.87.88.89.

BREAKDOWN OF NON-TRADING LOANS AND ADVANCES BY PRODUCT (5) 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. 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. Loans and advances shall be allocated to the following products: Loans and advances shall be classified on the basis of the collateral received as follows: 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 collateral where they are secured by immovable property collateral regardless of whether they are also secured by other types of collateral. Loans and advances shall be classified on the basis of its purpose as: 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 defined in Article 147(8) of CRR.

5.83.84.85.

(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 [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. This 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 according to the ECB BSI Regulation. This 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).

5.83.84.85.86.

(a) Loans collateralized by immovable property shall include loans and advances formally secured by residential or commercial immovable property collateral, independently 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, independently of their loan/collateral ratio (commonly referred to as loan-to-value) and the legal form of the collateral, other than Loans collateralised by immovable property. This collateral shall include pledges of securities, cash, and other collateral independently from the legal form of the collateral.

5.83.84.85.86.87.88.

(a) Credit for consumption shall include loans granted mainly for the personal consumption of goods and services [ECB BSI Regulation];

(b) Lending for house purchase shall include credit extended to households for the purpose of investing in houses for own use and rental, including building and refurbishments [ECB BSI Regulation].

6.90.91.92.93.

BREAKDOWN OF NON-TRADING LOANS AND ADVANCES TO NON-FINANCIAL CORPORATIONS BY NACE CODES (6) 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. 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. 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. 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.

7.94.95.96. FINANCIAL ASSETS SUBJECT TO IMPAIRMENT THAT ARE PAST DUE (7) The carrying amount of debt instruments that are included in the accounting portfolios subject to impairment shall be reported in template 7.1 only if they are past due. Past-due instruments shall be allocated to the corresponding past-due buckets on the basis of their individual situation. Accounting portfolios subject to impairment shall be defined as in paragraph 93 of this Part. 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.

8.97.98.99.100.101.

BREAKDOWN OF FINANCIAL LIABILITIES (8) Deposits and the product breakdown shall be defined in the same way as in the ECB BSI Regulation and therefore, regulated savings deposits shall be classified in accordance with the ECB BSI Regulation and distributed according to the counterparty. In particular, non-transferable sight savings deposits, which although legally redeemable at demand are subject to significant penalties and restrictions and have features that are very close to overnight deposits, shall be classified as deposits redeemable at notice. Debt securities issued shall be disaggregated into the following type of products: 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, whereas subordinated liabilities in the form of deposits are classified as Deposits. Template 8.2 shall include the carrying amount of Deposits and Debt securities issued that meet the definition of subordinated debt classified by accounting portfolios. Subordinated debt instruments provide a subsidiary claim on the issuing institution that can only be exercised after all claims with a higher status have been satisfied [ECB BSI Regulation]. 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.

8.97.98.

(a) Certificates of deposits shall be securities that enable the holders to withdraw funds from an account;

(b) Asset backed securities according to Article 4(1)(61) of CRR;

(c) Covered Bonds according to Article 129(1) of CRR;

(d) Hybrid contracts shall comprise contracts with embedded derivatives;

(e) Other debt securities issued shall include debt securities not recorded in the previous lines and distinguishes convertible compound financial instruments and non-convertible instruments.

9.102.103.104.105.106.107.108.109.110.111.112.113.114.115.116.117.118.119.

LOAN COMMITMENTS, FINANCIAL GUARANTEES AND OTHER COMMITMENTS (9) 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 as listed in Annex I to CRR shall be broken down in loan commitments, financial guarantees, and other commitments. Information on loan commitments, financial guarantees and other commitments given and received shall include both revocable and irrevocable commitments. 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. 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: Liabilities that shall be recognised as credit losses for the financial guarantees and commitments given referred to under points (a) and (c) in paragraph 105 of this Part of this Annex shall be reported as provisions independently of the measurement criteria applied. 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. 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 separately identify 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]. Where a financial guarantee or a commitment to provide a loan at a below-market rate is measured in accordance with IFRS 9.4.2.1(d) and its loss allowance determined in accordance with IFRS 9.5.5 it shall be reported in the appropriate impairment stage. 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 these 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 69 of this Part. 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. 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 these off-balance sheet exposures. 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: 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 these 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: Other commitments shall include the following items of Annex I to CRR: Under IFRS, the following items are recognised in the balance sheet and, consequently, shall not be reported as off-balance sheet exposures: 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 213-239 of this Part. 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 could 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. 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 could 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.

9.102.103.104.105.

(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.

9.102.103.104.105.106.107.108.109.110.111.112.113.

(a) Forward deposits;

(b) Undrawn credit facilities which comprise agreements to lend or provide acceptance facilities under pre-specified terms and conditions.

9.102.103.104.105.106.107.108.109.110.111.112.113.114.

(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.

9.102.103.104.105.106.107.108.109.110.111.112.113.114.115.

(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.

9.102.103.104.105.106.107.108.109.110.111.112.113.114.115.116.

(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 de-recognition under IFRS 9;

(d) Transactions with recourse that do not meet the criteria for de-recognition under IFRS 9;

(e) Assets purchased under outright forward purchase agreements are derivatives under IFRS 9;

(f) Asset sale and repurchase agreements as defined in paragraphs (3) and (5) of Article 12 of Directive 86/635/EEC. In these contracts, the transferee has the option, but not the obligation, to return the assets at a price agreed in advance on a date specified or on a date to be specified. Therefore, these contracts meet the definition of derivatives under IFRS 9-Appendix A.

10.120.121.122.123.124.125.126.127.128.

DERIVATIVES AND HEDGE ACCOUNTING (10 AND 11) 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. 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. Under the relevant national GAAP based on BAD, all derivatives shall be reported in these templates irrespective of whether they are recognised on the balance sheet or not under the relevant national GAAP. 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. Trading derivatives and hedging derivatives which, in accordance with national GAAP based on BAD, are measured at cost or LOCOM shall be separately identified. Template 11 shall include hedging instruments and hedged items irrespective of the accounting standard used to recognise a qualifying hedge relationship, including where this qualifying hedge relationship is in relation to 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. Derivatives included in hybrid instruments which have been separated from the host contract shall be reported in templates 10 and 11 according to the nature of the derivative. The amount of the host contract is not included in these templates. However, 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 are not reported in templates 10 and 11. 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. 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.

10.1.129.130.

Classification Of Derivatives By Type Of Risk All derivatives shall be classified into one of the following risk categories: 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:

10.1.129.

(a) interest rate: Interest rate derivatives shall be contracts related to an interest-bearing financial instrument whose cash flows are determined by referencing interest rates or another interest rate contract such as an option on a futures contract to purchase a Treasury bill. This category shall be restricted to those deals where all the legs are exposed to only one currency’s interest rate. Thus it shall exclude contracts involving the exchange of one or more foreign currencies such as cross-currency swaps and currency options, and other contracts whose predominant risk characteristic is foreign exchange risk, which are to be reported as foreign exchange contracts. 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 these 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 swaptions 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 therefore shall cover outright forwards, foreign exchange swaps, currency swaps (including cross-currency interest rate swaps), currency futures, currency options, currency swaptions and currency warrant. Foreign exchange derivatives 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]. 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: These 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.

10.1.129.130.

(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 either to interest-bearing financial instruments or exchange rates except where cross-currency swaps are used as part of a portfolio hedge of interest rate risk.

10.2.131.132.133.134.135.136.

Amounts to be reported for derivatives 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. 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. The Notional amount shall be the gross nominal of all deals concluded and not yet settled at the reference date, regardless of whether these deals lead to derivative exposures being booked on-balance sheet. In particular, the following shall be taken into account to determine the notional amount: 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 whether the fair value of derivatives is positive, negative or equal to zero. Netting among the notional amounts shall not be allowed. 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 their counterparties (protection buyers). 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 Article 4(92) of 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.

10.2.131.132.133.

(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 defined as either the predefined monetary amount or the fair value of the underlying at the reference date.

10.3.137.138.139.140.

Derivatives classified as economic hedges 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: Economic hedges shall not include derivatives for proprietary trading. Derivatives that meet the definition of economic hedges shall be reported separately for each type of risk in template 10. 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.

10.3.137.

(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 IFRS 9 Appendix A or trading assets in accordance with the national GAAP based on BAD but are not part of the trading book as defined in Article 4(1)(86) of CRR.

10.4.141.142.

Breakdown of derivatives by counterparty sector 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 counterparty using the following categories: All OTC derivatives, without regarding the type of risk to which they are related, shall be broken down by these counterparties.

10.4.141.

(a) credit institutions;

(b) other financial corporations;

(c) rest comprising all other counterparties.

10.5.143.144.

Hedge accounting under national GAAP (11.2) 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. 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. Amount to be reported for non-derivative hedging instruments (11.3 and 11.3.1) For non-derivative hedging instruments the amount to be reported shall be their carrying amount according to the applicable measurement rules for the accounting portfolios to which they belong in IFRS or in GAAP based on BAD. No notional amount shall be reported for non-derivative hedging instruments.

10.7.146.147.148.149.150.151.152.

Hedged items in fair value hedges (11.4) 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. Micro-hedges shall be hedges other than portfolio hedge of interest rate risk in accordance with IAS 39.89 A. Micro-hedges include hedges of net positions in accordance with IFRS 9.6.6. Hedge adjustments on micro-hedges shall include all hedge adjustments for all the micro-hedges as defined in paragraph 147. 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. 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. 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 this 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). 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. These financial instruments shall be reported at their carrying amount on a gross basis, before netting between instruments within the portfolio.

11. MOVEMENTS IN ALLOWANCES AND PROVISIONS FOR CREDIT LOSSES (12)

11.
11.1.153.154.155.

Movements in allowances for credit losses and impairment of equity instruments under national GAAP based on BAD (12.0) 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 if 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. 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. 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.

11.2.156.157.158.159.160.161.162.163.164.165.166.

Movements in allowances and provisions for credit losses under IFRS (12.1) 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. 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 if this Part. 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 respectively measured on a collective or individual basis. 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. This 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, as applicable. Originated or acquired assets shall include assets resulting from the drawdown of off-balance sheet commitments given. Decreases due to derecognition shall include the amount of changes in expected losses due to financial assets de-recognised totally in the reporting 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. Changes due to change in credit risk (net) shall include the net amount of changes in expected losses at the end of the reporting period due to an increase or decrease in credit risk since initial recognition irrespectively of whether they led to a transfer of the financial asset to another stage. The impact in the allowance due to the increase or decrease of the amount of financial assets as 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 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. 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. Changes due to 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. 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: Write-offs shall be reported in accordance with paragraphs 72 to 74 of this Part of this Annex and in accordance with the following: Other adjustments shall include any amount not reported in the previous columns, including among others 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.

11.2.156.157.158.159.160.161.162.163.164.

(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.

11.2.156.157.158.159.160.161.162.163.164.165.

(a) where the debt instrument is partially or totally de-recognised 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 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 period and not only those which are still subject to enforcement activity.

11.3.167.168.169.170.

Transfers between impairment stages (gross basis presentation) (12.2) 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 period shall be reported in template 12.2. 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. 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. 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 this amount was higher or lower at the date of the transfer.

12. COLLATERAL AND GUARANTEES RECEIVED (13)

12.
12.1.171.172.173.174.

Breakdown of collateral and guarantees by loans and advances other than held for trading(13.1) 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. 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. For reporting loans and advances according to the type of pledge the following definitions shall be used: For loans and advances that have simultaneously more than one type of collateral or guarantee, the amount of the Maximum collateral/guarantee that can be considered shall be allocated according to its quality starting from the one with the best quality. 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.

12.1.171.172.173.

(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 the CRR;

(b) within Other collateralised loans, Cash [Debt instruments 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. Rest shall include pledges of other securities issued by any third parties or pledges of other 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 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.

12.2.175. Collateral obtained by taking possession during the period [held at the reporting date] (13.2) This template shall include the carrying amount of the 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.

12.3.176. Collateral obtained by taking possession [tangible assets] accumulated (13.3) Foreclosure [tangible assets] shall be the cumulative carrying amount of tangible assets obtained by taking possession of collateral that remains recognised in the balance sheet at the reference date excluding those classified as Property, plant and equipment.

13.177.178.179.

FAIR VALUE HIERARCHY: FINANCIAL INSTRUMENTS AT FAIR VALUE (14) 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 also require the allocation of assets measured at fair value between different levels of fair value, institutions under national GAAP shall also report this template. Change in fair value for the period shall include gains or losses from re-measurements 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. These 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 reported are before taxes. 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.

14.180.181.182.183.184.185.

DERECOGNITION AND FINANCIAL LIABILITIES ASSOCIATED WITH TRANSFERRED FINANCIAL ASSETS (15) Template 15 shall include information on transferred financial assets of which part or all do not qualify for de-recognition, and financial assets entirely derecognised for which the institution retains servicing rights. 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. 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 of CRR. 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: Repurchase agreements (repos) and reverse repurchase loans (reverse repos) shall involve cash received or loaned out by the institution. 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 de-recognition.

14.180.181.182.183.

(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.

15.186. BREAKDOWN OF SELECTED STATEMENT OF PROFIT OR LOSS ITEMS (16) For selected items of the income statement further breakdowns of gains (or income) and losses (or expenses) shall be reported.

15.186.
15.1.187.188.189.190.191.192.193.194.

Interest income and expenses by instrument and counterparty sector (16.1) Interest income shall be broken down in accordance with both of the following: Interest expenses shall be broken down in accordance with both of the following: 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. 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. 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. Derivatives — Hedge accounting, interest rate risk shall include the interest income and expenses on hedging instruments where the hedged items generate interest. 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. 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.

15.1.187.

(a) interest income on financial and other assets;

(b) interest income on financial liabilities with negative effective interest rate.

15.1.187.188.

(a) interest expenses on financial and other liabilities;

(b) interest expenses on financial assets with negative effective interest rate.

15.2.195.196.

Gains or losses on de-recognition of financial assets and liabilities not measured at fair value through profit or loss by instrument (16.2) Gains and losses on de-recognition 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. 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 according to other 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 these instruments.

15.3.197.198.199.

Gains or losses on financial assets and liabilities held for trading and trading financial assets and trading financial liabilities by instrument (16.3) 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. 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 de-recognition 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. 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 or losses on financial assets and liabilities held for trading and trading financial assets and trading financial liabilities by risk (16.4) 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 is the net realised and unrealised amount (gains minus losses) of the underlying risk (interest rate, equity, foreign exchange, credit, commodity and other) associated to 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:

15.4.200.

(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 316 of this Part;

(f) other: including trading of financial instruments which cannot be classified in other breakdowns.

15.5.201.202.

Gains or losses on non-trading financial assets mandatorily at fair value through profit or loss by instrument (16.4.1) 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 is the net realised and unrealised amount (gains minus losses) of the financial instrument. 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.

15.6.203.204.

Gains or losses on financial assets and liabilities designated at fair value to profit or loss by instrument (16.5) 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. 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 these 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.

15.7.205.206.207.

Gains or losses from hedge accounting (16.6) 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. These not designated hedging instruments shall be reported in accordance with paragraph 60 of 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). Fair value changes of the hedged item attributable to the hedged risk shall also 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]. 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. Impairment on non-financial assets (16.7) 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 result in the recognition of net income.

16.209.210.211.212.

RECONCILIATION BETWEEN ACCOUNTING AND CRR SCOPE OF CONSOLIDATION (17) 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. In this template, the item Investments in subsidiaries, joint ventures and associates shall not include subsidiaries as with the accounting scope of consolidation all subsidiaries are fully consolidated. 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. Liabilities under insurance and reinsurance contracts shall include liabilities under insurance and reinsurance contracts issued.

17.213.214.215.216.217.218.219.220.221.222.223.224.225.226.227.228.229.230.231.232.233.234.235.236.237.238.239.

NON-PERFORMING EXPOSURES (18) For the purpose of template 18, non-performing exposures shall be those that satisfy any of the following criteria: That categorisation as non-performing exposures shall apply notwithstanding the classification of an exposure as defaulted for regulatory purposes in accordance with Article 178 of CRR or as impaired for accounting purposes in accordance with the applicable accounting framework. Exposures in respect of which a default is considered to have occurred in accordance with Article 178 of 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. 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. 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 of CRR. For the purpose of template 18, exposures shall include all debt instruments (debt securities and loans and advances which shall include also cash balances at central banks and other demand deposits) and off-balance sheet exposures, except those held for trading exposures. 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. Under IFRS and relevant national GAAP based on BAD, off-balance sheet exposures shall comprise the following revocable and irrevocable items: Debt instruments classified as held for sale in accordance with IFRS 5 shall be reported separately. In template 18 for debt instruments, gross carrying amount shall be reported as defined in paragraph 34 of Part 1 of this Annex. For off-balance sheet exposures, the nominal amount as defined in paragraph 118 of this Part of this Annex shall be reported. For the purpose of template 18, an exposure is past-due where it meets the criteria of paragraph 96 of this Part. For the purpose of template 18, debtor means an obligor within the meaning of Article 178 of CRR. 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. 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. 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: 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 also consider exposures to other entities of the group as non-performing shall be assessed, where they are not already considered as impaired or defaulted in accordance with Article 178 of CRR, except for exposures affected by isolated disputes that are unrelated to the solvency of the counterparty. Exposures shall be considered to have ceased being non-performing where all of the following conditions are met: An exposure shall remain classified as non-performing while the conditions in points (a), (b) and (c) of paragraph 228 of this Part of this Annex are not met, even though the exposure has already met the discontinuation criteria applied by the reporting institution for the impairment and default classification according to the applicable accounting framework and Article 178 of CRR respectively. The classification of a non-performing exposure as non-current asset held for sale in accordance with IFRS 5 does not discontinue their classification as non-performing exposure. 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: 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 of CRR, respectively. 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. 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: 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 F18. The notional amount of all commitments designated at fair value through profit or loss shall be reported in template 9. 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 of CRR shall be reported within performing exposures in Past due > 30 days <= 90 days. 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 nevertheless are 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. The following exposures shall be identified in separate columns: Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions figures shall be reported in accordance with paragraphs 11, 69 to 71, 106 and 110 of this Part. Information on collateral held and guarantees received on non-performing exposures shall be reported 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 or nominal amount of the related exposure.

17.213.

(a) material exposures which are more than 90 days past due;

(b) the debtor is assessed as unlikely to pay its 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.

17.213.214.215.216.217.218.219.

(a) loan commitments given;

(b) financial guarantees given;

(c) other commitments given.

17.213.214.215.216.217.218.219.220.221.222.223.224.225.226.

(a) for non-performing exposures classified as defaulted in accordance with Article 178 of 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 of CRR for defaulted exposures shall be applied.

17.213.214.215.216.217.218.219.220.221.222.223.224.225.226.227.228.

(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, according to the original or where applicable the modified conditions, is likely to be made;

(c) the debtor does not have any amount past-due by more than 90 days.

17.213.214.215.216.217.218.219.220.221.222.223.224.225.226.227.228.229.230.231.

(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) one year has passed since the latest between the moment where forbearance measures were applied and the moment where exposures have been classified as non-performing;

(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.

17.213.214.215.216.217.218.219.220.221.222.223.224.225.226.227.228.229.230.231.232.233.

(a) Debt instruments at cost or at amortised cost shall encompass debt instruments included in any of the following:

(a)

(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:

(b)

(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:

(c)

(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.

17.213.214.215.216.217.218.219.220.221.222.223.224.225.226.227.228.229.230.231.232.233.234.235.236.237.

(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 in this column;

(b) exposures in respect of which a default is considered to have occurred in accordance with Article 178 of CRR.

18.240.241.242.243.244.245.246.247.248.249.250.251.252.253.254.255.256.257.258.259.260.261.262.263.264.265.266.267.268.

FORBORNE EXPOSURES (19) 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). For the purpose of template 19, a concession may entail a loss for the lender and shall refer to either of the following actions: Evidence of a concession shall include at least any of the following: 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. For the purposes of Annexes III and IV as well as this Annex, refinancing means the use of debt contracts to ensure the total or partial payment of other debt contracts the current terms of which the debtor is unable to comply with. 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. For the purpose of template 19, debt shall include loans and advances (which include also cash balances at central banks and other demand deposits), debt securities and revocable and irrevocable loan commitments given including those loan commitments designated at fair value through profit and loss that are assets at the reporting date. Debt shall exclude exposures held for trading. 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. For the purpose of template 19, exposure shall have the same meaning as given for debt in paragraph 247 of this Part. 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 as defined in paragraph 233 of this Part. For the purpose of template 19, institution means the institution which applied the forbearance measures. In template 19 for debt, the gross carrying amount shall be reported as defined in 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. 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 of 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 provided that 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 modification involving repayments made by taking possession of collateral shall be treated as a forbearance measure where that modification constitutes a concession. There is a rebuttable presumption that forbearance has taken place in any of the following circumstances: 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. Forborne exposures shall be included within the non-performing exposures category or the performing exposures category in accordance with paragraphs 213 to 224 and 260 of this Part. The classification as forborne exposure shall be discontinued where all of the following conditions are met: 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. 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. A forborne exposure may be considered as performing from the date the forbearance measures were applied where both of the following conditions are met: Where additional forbearance measures are applied to a performing forborne exposure under probation that has been reclassified out of non-performing category or the exposure becomes more than 30 days past due, it shall be classified as non-performing. 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 are included in the performing exposures category. Performing forborne exposures are under probation according to paragraph 256, including where paragraph 259 applies. 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. 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 are included in the non-performing exposures category. Those non-performing forborne exposures shall include the following: 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. The following non-performing exposures with forbearance measures shall be identified in separate columns: 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. Forborne exposures combining modifications and refinancing shall be allocated to the column Instruments with modifications of the terms and conditions or the column Refinancing according to 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 its de-recognition and to the recognition of a new exposure, that new exposure shall be treated as forborne debt. 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. 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. 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 exposure.

18.240.241.

(a) a modification of the previous terms and conditions of a contract that the debtor is considered unable to comply with due to its financial difficulties (troubled debt) resulting in insufficient debt service ability and that would not have been granted had the debtor not been experiencing financial difficulties;

(b) a total or partial refinancing of a troubled debt contract, that would not have been granted had the debtor not been experiencing financial difficulties.

18.240.241.242.

(a) a difference in favour of the debtor between the modified terms of the contract and the previous 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 that time.

18.240.241.242.243.244.245.246.247.248.249.250.251.252.

(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.

18.240.241.242.243.244.245.246.247.248.249.250.251.252.253.254.

(a) the modified contract was totally or partially past due by 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.

18.240.241.242.243.244.245.246.247.248.249.250.251.252.253.254.255.256.

(a) the forborne exposure is considered to be performing, including where it 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.

18.240.241.242.243.244.245.246.247.248.249.250.251.252.253.254.255.256.257.258.259.

(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.

18.240.241.242.243.244.245.246.247.248.249.250.251.252.253.254.255.256.257.258.259.260.261.262.

(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.

18.240.241.242.243.244.245.246.247.248.249.250.251.252.253.254.255.256.257.258.259.260.261.262.263.264.

(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 in this column;

(b) exposures in respect of which a default is considered to have occurred in accordance with Article 178 of CRR.

19.269. GEOGRAPHICAL BREAKDOWN (20) Template 20 shall be reported where the institution exceeds the threshold described in Article 5 (a) (4) of this Regulation.

19.269.

19.1.270. Geographical breakdown by location of activities (20.1-20.3) 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 means the jurisdiction of incorporation of the legal entity which has recognised the corresponding asset or liability; for branches, it means the jurisdiction of its residence. For these purposes, domestic shall include the activities recognised in the Member State where the reporting institution is located.

19.2.271.272.273.274.275.276.277.

Geographical breakdown by residence of the counterparty (20.4-20.7) 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 43 of 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. Derivatives shall include both trading derivatives, including economic hedges, and hedging derivatives under IFRS and under GAAP, reported in templates 10 and 11. 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. In templates 20.4 and 20.7, Accumulated impairment and Accumulated negative changes in fair value due to credit risk on non-performing exposures shall be reported as defined in paragraphs 69 to 71 of this Part. In template 20.4 for debt instruments, gross carrying amount shall be reported as defined in paragraph 34 of Part 1 of this Annex. For derivatives and equity instruments, the amount to be reported shall be the carrying amount. In column Of which: Non-performing debt instruments shall be reported as defined in paragraphs 213 to 232 of this Part. Debt forbearance comprises all debt contracts for the purpose of template 19 to which forbearance measures, as defined in paragraphs 240 to 255 of this Part, are extended. 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. 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.

20.278.279. TANGIBLE AND INTANGIBLE ASSETS: ASSETS SUBJECT TO OPERATING LEASE (21) 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 total of tangible assets. Under IFRS, assets that have been leased by the institution (as lessor) to third parties in operating leases shall be reported broken down by measurement method.

21.280. ASSET MANAGEMENT, CUSTODY AND OTHER SERVICE FUNCTIONS (22) 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.

21.280.
21.1.281.282.283.284.

Fee and commission income and expenses by activity (22.1) 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: Transaction costs directly attributable to the acquisition or issue of financial instruments not measured at fair value through profit or loss shall not be included; they shall form part of the initial acquisition/issue value of these instruments and shall be amortised to profit or loss over their residual life using the effective interest rate [see IFRS 9.5.1.1]. 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 they are classified. They shall not be part of the initial acquisition or issuance value of these instruments and are immediately recognized in profit or loss. Institutions shall report fee and commission income and expenses according to the following criteria:

21.1.281.

(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)].

21.1.281.282.283.284.

(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 shall include fees and commissions generated by the institution providing other services related with securities not originated or issued by the institution;

(d) Clearing and settlement shall include fee and commission income (expenses) generated by (charged to) the institution where participating in counterparty, clearing and settlement facilities;

(e) Asset management, Custody, Central administrative services for collective investment undertakings, Fiduciary transactions, Payment services shall include fee and commission income (expenses) generated by (charged to) the institution where providing these services;

(f) 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;

(g) 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;

(h) 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 these activities initially recognised as other liabilities;

(i) 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;

(j) Other shall include the rest of fee and commission income (expenses) generated by (charged to) the institution such as those derived from other commitments, from foreign exchange services (such as exchange of foreign banknotes or coins) or from providing (receiving) other fee-based advice and services.

21.2.285. Assets involved in the services provided (22.2) Business related to asset management, custody functions, and other services provided by the institution shall be reported using the following definitions:

21.2.285.

(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 without regarding whether the institution provides additionally other services;

(e) Payment services shall refer to the collection on behalf of customers of payments generated by debt instruments that are neither recognised on the balance sheet of the institution nor originated by it;

(f) Customer resources distributed but not managed 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, pension funds, the assets concerned may be shown at the value at which these entities report the assets in their own balance sheet. Reported amounts shall include accrued interest, where appropriate.

22.286.287. INTERESTS IN UNCONSOLIDATED STRUCTURED ENTITIES (30) For the purposes of Annexes III and IV as well as this Annex, liquidity support drawn means 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. Losses incurred by the reporting institution in the current period shall include losses due to impairment and any other losses incurred during the reporting period by a reporting institution relating to its interests in unconsolidated structured entities.

23.288.289. RELATED PARTIES (31) Institutions shall report amounts and/or transactions related to the balance sheet and the off-balance sheet exposures where the counterparty is a related party in accordance with IAS 24. 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 with the prudential scope of consolidation or because, in accordance with Article 19 of CRR, the subsidiaries are excluded from the scope of prudential consolidation 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.

23.288.289.
23.1.290.291.

Related parties: amounts payable to and amounts receivable from (31.1) 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 of this Part. Accumulated impairment and accumulated negative changes in fair value due to credit risk on non-performing exposures shall be reported as defined as in paragraphs 69 to 71 in this Part only for non-performing exposures. Provisions on non-performing off-balance sheet exposures shall include provisions as defined as in paragraphs 11, 106 and 111 of this Part for exposures which are non-performing in accordance with paragraphs 213 to 239 of this Part.

23.2.292.293.

Related parties: expenses and income generated by transactions with (31.2) Gains or losses on de-recognition of other than financial assets shall include all the gains and losses on de-recognition of non-financial assets generated by transactions with related parties. This item shall include the gains and losses on de-recognition 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: 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 provision as defined in paragraph 50 of this Part for off-balance sheet exposures which are non-performing in accordance with paragraphs 213 to 239 of this Part.

23.2.292.

(a) Gains or losses on de-recognition of investments in subsidiaries, joint ventures and associates, where reporting under national GAAP based in BAD;

(b) Gains or losses on de-recognition 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.

24.294.295. GROUP STRUCTURE (40) Institutions shall provide detailed information as of the reporting date on subsidiaries, joint ventures and associates fully or proportionally consolidated in the accounting scope of consolidation as well as entities reported as Investments in subsidiaries, joint ventures and associates in accordance with paragraph 4 of this Part, including also those entities in which investments are held for sale under IFRS 5. All entities regardless the activity they perform shall be reported. Equity instruments that do not meet the criteria to be classified as investments in subsidiaries, joint ventures and associates and own shares of the reporting institution owned by it (Treasury shares), shall be excluded from the scope of this template.

24.294.295.

24.1.296. Group structure: entity-by-entity (40.1) The following information shall be reported on a entity-by-entity basis and the following definitions apply for the purposes of Annexes III and IV as well as this Annex:

24.1.296.

(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 means the date in which the investee entered within the scope of the group;

(e) Share capital of investee means the total amount of capital issued by the investee as at the reference date;

(f) Equity of investee, Total assets of the Investee and Profit or (loss) of the Investee shall include the amounts of these items in the last financial statements of the investee;

(g) Residence of investee means the country of residence of the investee;

(h) Sector of investee means the sector of counterparty as defined in paragraph 42 of Part 1 of this Annex;

(i) NACE code shall be provided on the basis of the principal activity of the investee. For non-financial corporations, NACE codes shall be reported with the first level of disaggregation (by section); for financial corporations, NACE codes shall be reported with a two level detail (by division);

(j) Accumulated equity interest (%) shall be the percentage of ownership instruments held by the institution as of the reference date;

(k) Voting rights (%) means the percentages of voting rights associated to the ownership instruments held by the institution as of the reference date.

(l) Group structure [relationship] shall indicate the relationship between the 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 with the CRR scope of consolidation (full consolidation, proportional consolidation, equity method or other);

(o) Carrying amount means amounts reported on the balance sheet of the institution for investees that are neither fully nor proportionally consolidated;

(p) Acquisition cost means the amount paid by the investors;

(q) Goodwill link to the investee means the amount of goodwill reported on the consolidated balance sheet of the 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 means the price at the reference date; it shall be provided only if the instruments are quoted.

24.2.297. Group structure: instrument-by-instrument (40.2) The following information shall be reported on an instrument-by-instrument basis:

24.2.297.

(a) Security code shall include the ISIN code of the security. For securities without ISIN code assigned, 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 above. The amounts shall correspond to the security held by the related holding company.

25. FAIR VALUE (41)

25.

25.1.298. Fair value hierarchy: financial instruments at amortised cost (41.1) 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.

25.2.299.300.301.

Use of fair value option (41.2) Information on the use of fair value option for financial assets and liabilities designated at fair value through profit or loss shall be reported in this template. Hybrid contracts shall include for liabilities the carrying amount of hybrid financial instruments classified, as a whole, in these accounting portfolios; that is, it shall include non-separated hybrid instruments in their entirely. 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.

26.302.303. TANGIBLE AND INTANGIBLE ASSETS: CARRYING AMOUNT BY MEASUREMENT METHOD (42) Property, plant and equipment, Investment property and Other intangible assets shall be reported by the criteria used in their measurement. Other intangible assets shall include all other intangible assets than goodwill.

27.304.305. PROVISIONS (43) 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. 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. DEFINED BENEFIT PLANS AND EMPLOYEE BENEFITS (44) 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.

28.306.
28.1.307.308.

Components of net defined benefit plan assets and liabilities (44.1) 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)]. 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.

28.2.309.310.

Movements in defined benefit obligations (44.2) 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. 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. Memo items [related to staff expenses] (44.3) For reporting of memorandum items related to staff expenses, the following definitions shall be used:

28.3.311.

(a) Pension and similar expenses shall include the amount recognized in the period as staff expenses for any post – employment benefit obligations (both defined contributions plans and defined benefits plans) and contributions to social security funds;

(b) Share based payments shall include the amount recognized in the period as staff expenses for share based payments.

29. BREAKDOWN OF SELECTED ITEMS OF STATEMENT OF PROFIT OR LOSS (45)

29.

29.1.312. Gains or losses on financial assets and liabilities designated at fair value through profit or loss by accounting portfolio (45.1) 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 de-recognition of non-financial assets (45.2) Gains or losses on de-recognition 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.

29.3.314.315.316.

Other operating income and expenses (45.3) 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. 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 their operating leasing activities other than those with assets classified as investment property. The costs for the institution as lessee shall be included in the item Other administrative expenses. Gains or losses from derecognition and re-measurements of holdings of gold, other precious metals and other commodities measured at fair value less cost to sell shall be reported among the items included in Other operating income. Other or Other operating expenses. Other

30.317.318. STATEMENT OF CHANGES IN EQUITY (46) The statement of changes in equity discloses the reconciliation between the carrying amount at the beginning of the period (opening balance) and the end of the period (closing balance) for each component of equity. 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 de-recognition.

PART 3 1. Table 2 (a)(1)(2)(b)(2)(c)(2)(3)(4)(5)(d)(3)(e)(2)(f)(3)(4)(g)(2)(4)(5)(6)(h)(4)(5)(6)(i)(2)(3)(4)(5)(6)(j)(1)(2)(3)(4)(5)(6)(ja)(1)(2)(3)(4)(5)(6)(k)(3)(4)(5)(l)(2)(3)(4)(5)(6)(m)(3)(4)(5)(n)(o)(p) Table 3 (a)(1)(2)(3)(b)(2)(3)(4)(c)(2)(4)(5)(6)(d)(4)(5)(6)(e)(f)(2)(3)(4)(5)(6)(g) MAPPING OF EXPOSURE CLASSES AND COUNTERPARTY SECTORS Standardised Approach Internal Ratings Based Approach

The Tables 2 and 3 map exposure classes used to calculate capital requirements according to the CRR to counterparty sectors used in FINREP tables. SA exposure classes (CRR Article 112) FINREP counterparty sectors Comments Central governments or central banks Central banks General governments These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty Regional governments or local authorities General governments These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty Public sector entities General governments Credit institutions Other financial corporations Non financial corporations. These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty Multilateral development banks Credit institutions These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty International organisations General governments These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty Institutions (i.e. credit institutions and investment firms) Credit institutions Other financial corporations These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty Corporates General governments Other financial corporations Non financial corporations. Households These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty Retail Other financial corporations Non financial corporations Households These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty Secured by mortgages on immovable property General governments Credit institutions Other financial corporations Non-financial corporations Households These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty. In default Central banks General governments Credit institutions Other financial corporations Non-financial corporations Households These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty. Items associated with particularly high risk Central banks General governments Credit institutions Other financial corporations Non-financial corporations Households These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty. Covered bonds Credit institutions Other financial corporations Non-financial corporations These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty. Securitisation positions General governments Credit institutions Other financial corporations Non-financial corporations 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. Institutions and corporates with a short-term credit assessment Credit institutions Other financial corporations Non-financial corporations These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty. Collective investment undertakings Equity instruments Investments in CIU shall be classified as equity instruments in FINREP, regardless of whether the CRR allows look-through. Equity Equity instruments In FINREP, equities shall be separated as instruments under different categories of financial assets 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 Central governments and central banks Central banks General governments Credit institutions These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty Institutions (i.e. credit institution and investment firms as well as some general governments and multilateral banks) General governments Credit institutions Other financial corporations These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty Corporates General governments Other financial corporations Non-financial corporations Households These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty Retail Other financial corporations Non-financial corporations Households These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty Equity Equity instruments In FINREP, equities shall be separated as instruments under different categories of financial assets Securitisation positions General governments Credit institutions Other financial corporations Non-financial corporations 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 Other non credit obligations Various items of the balance sheet In FINREP, other items may be included under different asset categories.

ANNEX IV

ANNEX IX INSTRUCTIONS FOR REPORTING LARGE EXPOSURES AND CONCENTRATION RISK

PART I GENERAL INSTRUCTIONS

1.1.2.3.4.5.6.

Structure and conventions The reporting framework on large exposures (LE) shall consist of six templates which include the following information: The instructions include legal references as well as detailed information regarding the data that shall be reported in each template. The instructions and the validation rules follow the labelling convention set in the following paragraphs, when referring to the columns, rows and cells of the templates. The following convention is generally used in the instructions and validation rules: {Template;Row;Column}. An asterisk sign shall be used to express that the validation is done for all the rows reported. In the case of validations within a template, in which only data points of that template are used, notations do not refer to a template: {Row;Column}. ABS(Value): the absolute value without sign. Any amount that increases the exposures shall be reported as a positive figure. On the contrary, any amount that reduces the exposures shall be reported as a negative figure. Where there is a negative sign (-) preceding the label of an item, no positive figure shall be reported for that item.

1.1.

(a) large exposures limits;

(b) identification of the counterparty (template LE1);

(c) exposures in the non-trading and trading book (template LE2);

(d) detail of the exposures to individual clients within groups of connected clients (template LE3);

(e) maturity buckets of the ten largest exposures to institutions and the ten largest exposures to unregulated financial sector entities (template LE4);

(f) maturity buckets of the ten largest exposures to institutions and the ten largest exposures to unregulated financial sector entities: detail of the exposures to individual clients within groups of connected clients (template LE5).

2.7. Abbreviations For the purposes of this Annex, Regulation (EU) No 575/2013 is referred to as CRR.

PART II TEMPLATE RELATED INSTRUCTIONS

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

2.8.9.

Definitions and general instructions for the purposes of the LE reporting Group of connected clients is defined in Article 4(1)(39) of CRR. Unregulated financial sector entities are defined in Article 142(1)(5) of CRR. Institutions is defined in Article 4(1)(3) of CRR Exposures to civil-law associations shall be reported. In addition, institutions shall add the credit amounts of the civil-law association to the indebtedness of each partner. Exposures towards civil law associations featuring quotas shall be divided or allocated to the partners according to their respective quotas. Certain constructions (e.g. joint accounts, communities of heirs, straw-man loans) working in fact civil law associations have to be reported just like them. Assets and off balance sheet items shall be used without risk weights or degrees of risk in accordance to Article 389 of CRR. Specifically, credit conversion factors shall not be applied to off balance sheet items. Exposures are defined in Article 389 of CRR. The exposures to groups of connected clients shall be calculated in accordance with Article 390(5). The netting agreements shall be allowed to be taken into account to the effects of large exposures exposure value as laid down in Article 390(1), (2) and (3) of CRR. The exposure value of a derivative instrument listed in Annex II of CRR shall be determined in accordance with Part Three, Title II, Chapter 6, of CRR with the effects of contracts of novation and other netting agreements taken into account for the purposes of those methods in accordance with Part Three, Title II, Chapter 6, of CRR. The exposure value of repurchase transaction, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions may be determined either in accordance with Part Three, Title II, Chapter 4 or Chapter 6, of CRR. In accordance with Article 296 of CRR, the exposure value of a single legal obligation arising from the contractual cross-product netting agreement with a counterparty of the reporting institution shall be reported as other commitments in the LE templates. The value of an exposure shall be calculated according to Article 390 of CRR. The effect of the full or partial application of exemptions and eligible credit risk mitigation (CRM) techniques for the purposes of calculating of exposures for the purpose of Article 395(1) CRR is described in Articles 399 to 403 of CRR. Reverse repurchase agreements which fall under the reporting for large exposures shall be reported according to Article 402(3) of CRR. Provided that the criteria in Article 402(3) of CRR are met the institution shall report the large exposures to each third party for the amount of the claim that the counterparty to the transaction has on this third party and not for the amount of the exposure to the counterparty.

3.11.12.13.14.15.16.
4.

Articles 395(1), 458(2)(d)(ii), 458(10) and 459(b) of CRR. The amount of the applicable limit for counterparties other than institutions shall be reported. This amount is 25 % of the eligible capital, which is reported in row 226 of template 4 of Annex I, unless a more restrictive percentage applies due to the application of national measures in accordance with Article 458 of CRR or the delegated acts adopted in accordance with Article 459(b) of CRR.

Institutions

Articles 395(1), 458(2)(d)(ii), 458(10) and 459(b) of CRR. The amount of the applicable limit for counterparties which are institutions shall be reported. According to Article 395(1) of CRR, this amount shall be the following: These limits may be stricter in case of application of national measures in accordance with Article 395(6) or Article 458 of CRR or the delegated acts adopted in accordance with Article 459(b) of CRR.

if the 25 % of the eligible capital is greater than EUR 150 million (or a lower limit than EUR 150 million set out by the competent authority in accordance with the third paragraph of Article 395(1) of CRR, 25 % of the eligible capital shall be reported;

if EUR 150 million (or a lower limit set out by the competent authority in accordance with the third paragraph of Article 395(1) of CRR is greater than 25 % of the institution’s eligible capital, EUR 150 million (or the lower limit if set out by the competent authority) shall be reported. If the institution has determined a lower limit in terms of its eligible capital, required by the second subparagraph of Article 395(1) of CRR, that limit shall be reported.

Institutions in %

5.

Institutions shall report the identification of any counterparty for which information is being submitted in any of the templates C 28.00 to C 31.00. The identification of the group of connected clients shall not be reported, unless the national reporting system provides a unique code for the group of connected clients. According to Article 394(1)(a) of CRR, institutions shall report the identification of the counterparty to which they have a large exposure as defined in Article 392 of CRR. According to Article 394(2)(a) of CRR, institutions shall report the identification of the counterparty to which they have the largest exposures (in the cases where the counterparty is an institution or an unregulated financial sector entity).

Code

Name

LEI Code

The legal entity identifier code of the counterparty.

Residence of the counterparty

Sector of the counterparty

One sector shall be allocated to every counterparty on the basis of FINREP economic sector classes: For groups of connected clients, no sector shall be reported.

(i) Central Banks;

(ii) General Governments;

(iii) Credit institutions;

(iv) investment firms as defined in Article 4(1)(2) CRR;

(v) Other financial corporations (excluding investment firms);

(vi) Non-financial corporations;

(vii) Households.

NACE code

For the economic sector, the NACE codes (Nomenclature statistique des activités économiques dans l’Union européenne = Statistical Classification of Economic Activities in the European Union) shall be used. This column shall apply only for the counterparties Other financial corporations and Non-financial corporations. NACE codes shall be used for Non-financial corporations with one level detail (e.g. F – Construction) and for Other financial corporations with a two level detail, which provides separate information on insurance activities (e.g. K65 — Insurance, reinsurance and pension funding, except compulsory social security).’ The Other financial corporations and Non-financial corporations economic sectors shall be classified on the basis of FINREP counterparty breakdown. For groups of connected clients, no NACE code shall be reported.

Type of counterparty

6.

For a group of connected clients, if a unique code is available at national level, this code shall be reported as the code of the group of connected clients. Where there is no unique code at the national level, the code that shall be reported shall be the code of the parent company in C 27.00. In the cases where the group of connected clients does not have a parent, the code that shall be reported shall be the code of the individual entity which is considered by the institution as the most significant within the group of connected clients. In any other case, the code shall correspond to the individual counterparty. The codes shall be used in a consistent way across time. The composition of the code depends on the national reporting system, unless a uniform codification is available in the EU.

Group or individual

Transactions where there is an exposure to underlying assets

Original exposures

Total original exposure

Of which: defaulted

Direct exposures

Direct exposures shall mean the exposures on immediate borrower basis.

Debt instruments

Equity instruments

ECB/2013/33 Annex II, Part 2, table, categories 4 and 5. The instruments included in this column shall be those qualified as Equity or as Investment fund shares/units according to ECB/2013/33.

Derivatives

Off balance sheet items

Loan commitments

Financial guarantees

Other commitments

Other commitments are the items in Annex I to CRR that are not included in the previous categories. The exposure value of a single legal obligation arising from the contractual cross-product netting agreement with a counterparty of the institution shall be reported in this column.

Indirect exposures

Article 403 of CRR. According to Article 403 of CRR, a credit institution may use the substitution approach where an exposure to a client is guaranteed by a third party, or secured by collateral issued by a third party. The institution shall report in this block of columns the amounts of the direct exposures that are re-assigned to the guarantor or the issuer of collateral provided that the latter would be assigned an equal or lower risk weight than the risk weight which would be applied to the third party under Part Three, Title II, Chapter 2 of CRR. The protected reference original exposure (direct exposure) shall be deducted from the exposure to the original borrower in the columns of Eligible credit risk mitigation techniques. The indirect exposure shall increase the exposure to the guarantor or issuer of collateral via substitution effect. This shall apply also to guarantees given within a group of connected clients. The institution shall report the original amount of the indirect exposures in the column that corresponds to the type of direct exposure guaranteed or secured by collateral such as, when the direct exposure guaranteed is a debt instrument, the amount of Indirect exposure assigned to the guarantor shall be reported under the column Debt instruments. Exposures arising from credit-linked notes shall also be reported in this block of columns, according to Article 399 of CRR.

Debt instruments

See column 060.

Equity instruments

See column 070.

Derivatives

See column 080.

Off balance sheet items

The value of these columns shall be the nominal value before any reduction of specific credit risk adjustments and conversion factors are applied.

Loan commitments

See column 090.

Financial guarantees

See column 100.

Other commitments

See column 110.

Additional exposures arising from transactions where there is an exposure to underlying assets

(-) Value adjustments and provisions

(-) Exposures deducted from own funds

Exposure value before application of exemptions and CRM

Total

Of which: Non-trading book

% of eligible capital

(-) Eligible credit risk mitigation (CRM) techniques

(-) Substitution effect of eligible credit risk mitigation techniques

(-) Debt instruments

See column 060.

(-) Equity instruments

See column 070.

(-) Derivatives

See column 080.

(-) Off balance sheet items

The value of these columns shall be without application of conversion factors.

(-) Loan commitments

See column 090.

(-) Financial guarantees

See column 100.

(-) Other commitments

See column 110.

(-) Funded credit protection other than substitution effect

(-) Real estate

(-) Amounts exempted

Exposure value after application of exemptions and CRM

Total

This column shall include the amount to be taken into account in order to comply with the large exposures limit set out in Article 395 of CRR.

Of which: Non-trading book

The institution shall report the total exposure after application of exemptions and after taking into account the effect of CRM belonging to the non-trading book.

% of eligible capital

The institution shall report the percentage of the exposure value after application of exemptions and CRM related to the eligible capital of the institution, as defined in Article 4(1)(71)(b) of CRR.

531 more provisions are not shown here; each has its own address.

Versions

  1. 2018-10-09