ANNEX II

1.

CAPITAL ADEQUACY OVERVIEW (CA)

1.1.

GENERAL REMARKS

1. (10)

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

   1. (a)

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

   2. (b)

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

   3. (c)

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

   4. (d)

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

   5. (e)

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

2. (11)

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

3. (12)

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

4. (13)

   Transitional provisions are treated as follows in CA templates:

   1. (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.

   2. (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.

   3. (c)

      Template CA5 is exclusively used for reporting the transitional provisions.

5. (14)

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

   1. (a)

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

   2. (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.

   3. (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.

C 01.00 — OWN FUNDS (CA1)

1.2.1.

Instructions concerning specific positions

1.3.

C 02.00 — OWN FUNDS REQUIREMENTS (CA2)

1.3.1.

Instructions concerning specific positions

1.4.

C 03.00 — CAPITAL RATIOS AND CAPITAL LEVELS (CA3)

1.4.1.

Instructions concerning specific positions

1.5.

C 04.00 — MEMORANDUM ITEMS (CA4)

1.5.1.

Instructions concerning specific positions

1.6.

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

1.6.1.

General remarks

1. (15)

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

2. (16)

   CA5 is structured as follows:

   1. (a)

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

   2. (b)

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

3. (17)

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

4. (18)

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

5. (19)

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

1.6.2.

C 05.01 — Transitional provisions (CA5.1)

1. (20)

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

2. (21)

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

3. (22)

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

4. (23)

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

5. (24)

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

1.6.2.1.

Instructions concerning specific positions

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

Rows
010	1. Total adjustments This row reflects the overall effect of transitional adjustments in the different types of capital, plus the risk weighted amounts arising from these adjustments
020	1.1 Grandfathered instruments Articles 483 to 491 of CRR This row reflects the overall effect of instruments transitionally grandfathered in the different types of capital.
030	1.1.1 Grandfathered instruments: Instruments constituting state aid Article 483 CRR
040	1.1.1.1 Instruments that qualified as own funds according to 2006/48/EC Article 483 (1) (2), (4) and (6) of CRR
050	1.1.1.2 Instruments issued by institutions that are incorporated in a Member State that is subject to an Economic Adjustment Programme Article 483 (1), (3), (5), (7) and (8) of CRR
060	1.1.2 Instruments not constituting state aid The amounts to be reported shall be obtained from column 060 of table CA 5.2.
070	1.2 Minority interests and equivalents Articles 479 and 480 of CRR This row reflects the effects of transitional provisions in the minority interests eligible as CET1; the qualifying T1 instruments eligible as consolidated AT1; and the qualifying own funds eligible as consolidated T2.
080	1.2.1 Capital instruments and items that do not qualify as minority interests Articles 479 of CRR The amount to be reported in column 060 of this row shall be the amount qualifying as consolidated reserves in accordance with prior regulation.
090	1.2.2 Transitional recognition in consolidated own funds of minority interests Articles 84 and 480 of CRR The amount to be reported in column 060 of this row shall be the eligible amount without transitional provisions.
091	1.2.3 Transitional recognition in consolidated own funds of qualifying Additional Tier 1 capital Article 85 and 480 of CRR The amount to be reported in column 060 of this row shall be the eligible amount without transitional provisions.
092	1.2.4 Transitional recognition in consolidated own funds of qualifying Tier 2 capital Article 87 and 480 of CRR The amount to be reported in column 060 of this row shall be the eligible amount without transitional provisions.
100	1.3 Other transitional adjustments Articles 467 to 478 and 481 of CRR This row reflects the overall effect of transitional adjustments in the deduction to different types of capital, unrealised gains and losses, additional filters and deductions plus the risk weighted amounts arising from these adjustments.
110	1.3.1 Unrealised gains and losses Articles 467 and 468 of CRR This row reflects the overall effect of transitional provisions on unrealized gains and losses measured at fair value.
120	1.3.1.1 Unrealised gains Article 468(1) of CRR
130	1.3.1.2 Unrealised losses Article 467(1) of CRR
133	1.3.1.3 Unrealised gains on exposures to central governments classified in the "Available for sale" category of EU-endorsed IAS39 Article 468 of CRR
136	1.3.1.4 Unrealised loss on exposures to central governments classified in the "Available for sale" category of EU-endorsed IAS39 Article 467 of CRR
138	1.3.1.5 Fair value gains and losses arising from the institution's own credit risk related to derivative liabilities Article 468 of CRR
140	1.3.2 Deductions Articles 36(1), 469 to 478 of CRR This row reflects the overall effect of transitional provisions on deductions.
150	1.3.2.1. Losses for the current financial year Articles 36 (1) point (a), 469 (1), 472 (3) and 478 of CRR The amount to be reported in column 060 of this row shall be the original deduction according to Article 36(1)(a) of CRR. Where firms have only been required to deduct material losses: where the total interim net loss was "material", the full residual amount would be deducted from Tier 1, or where the whole total interim net loss was not "material", no deduction of residual amount would be made.
160	1.3.2.2. Intangible assets Articles 36 (1) point (b), 469 (1), 472 (4) and 478 of CRR When determining the amount of intangible assets to be deducted, institutions shall take into account the provisions of Article 37 of CRR. The amount to be reported in column 060 of this row shall be the original deduction Article 36(1)(b) of CRR.
170	1.3.2.3. Deferred tax assets that rely on future profitability and do not arise from temporary differences Articles 36 (1) point (c), 469 (1), 472 (5) and 478 of CRR When determining the amount of the above-mentioned deferred tax assets (DTA) to be deducted, institutions shall take into account the provisions of Article 38 of CRR relating to the reduction of DTA by deferred tax liabilities. The amount to be reported in column 060 of this row: Total amount according to Article 469 (1) c) of CRR.
180	1.3.2.4. IRB shortfall of provisions to expected losses Articles 36 (1) point (d), 469 (1), 472 (6) and 478 of CRR When determining the amount of the above-mentioned IRB shortfall of provisions to expected losses to be deducted, institutions shall take into account the provisions of Article 40 of CRR. The amount to be reported in column 060 of this row: Original deduction Article 36(1)(d) of CRR
190	1.3.2.5. Defined benefit pension fund assets Articles 33 (1) point (e), 469 (1), 472 (7), 473 and 478 of CRR When determining the amount of the above-mentioned defined benefit pension fund assets to be deducted, institutions shall take into account the provisions of Article 41 of CRR. The amount to be reported in column 060 of this row: Original deduction Article 36(1)(e) of CRR
194	1.3.2.5.* of which: Introduction of amendments to IAS 19 — positive item Article 473 of CRR
198	1.3.2.5.** of which: Introduction of amendments to IAS 19 — negative item Article 473 of CRR
200	1.3.2.6. Own instruments Articles 36 (1) point (f), 469 (1), 472 (8) and 478 of CRR The amount to be reported in column 060 of this row: Original deduction Article 36(1)(f) of CRR
210	1.3.2.6.1 Own CET1 instruments Articles 36 (1) point (f), 469 (1), 472 (8) and 478 of CRR When determining the amount of the above-mentioned Own Common Equity Tier 1 instruments to be deducted, institutions shall take into account the provisions of Article 42 of CRR. Given that the treatment of the "residual amount" differs depending upon the nature of the instrument, institutions shall break down holdings in own Common Equity instruments according to "direct" and "indirect" holdings. The amount to be reported in column 060 of this row: Original deduction Article 36(1)(f) of CRR.
211	1.3.2.6.1** of which: Direct holdings The amount to be reported in column 060 of this row: Total amount of direct holdings, including instruments that an institution could be obliged to purchase by virtue of an existing or contingent contractual obligation, Article 469 (1) (b), 472 (8) (a) of CRR.
212	1.3.2.6.1* of which: Indirect holdings The amount to be reported in column 060 of this row: Total amount of indirect holdings, including instruments that an institution could be obliged to purchase by virtue of an existing or contingent contractual obligation, Article 469 (1) (b), 472 (8) (b) of CRR.
220	1.3.2.6.2 Own AT1 instruments Articles 56 point (a), 474, 475(2) and 478 of CRR When determining the amount of the above-mentioned holdings to be deducted, institutions shall take into account the provisions of Article 57 of CRR. Given that the treatment of the "residual amount" differs depending upon the nature of the instrument (Article 475(2) of CRR), institutions shall break down the above-mentioned holdings according to "direct" and "indirect" own Additional Tier 1 holdings. The amount to be reported in column 060 of this row: Original deduction Article 56 (a) of CRR.
221	1.3.2.6.2** of which: Direct holdings 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.
222	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.
230	1.3.2.6.3 Own T2 instruments Articles 66 point (a), 476, 477(2) and 478 of CRR When determining the amount of the holdings to be deducted, institutions shall take into account the provisions of Article 67 of CRR. Given that the treatment of the "residual amount" differs depending upon the nature of the instrument (Article 477(2) of CRR), institutions shall break down the above-mentioned holdings according to "direct" and "indirect" own Tier 2 holdings. The amount to be reported in column 060 of this row: Original deduction Article 66 (a) of CRR.
231	of which: Direct holdings 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 476 (b) and 477 (2) (a) of CRR
232	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, Articles 476 (b) and 477 (2) (b) of CRR
240	1.3.2.7. Reciprocal cross holdings Given that the treatment of the "residual amount" differs depending whether the holding of Common Equity Tier 1, Additional Tier 1 or Tier 2 in the financial sector entity is to be considered being significant or not (Articles 472(9), 475 (3) and 477 (3) of CRR), institutions shall break down reciprocal cross holdings according to significant investments and non-significant investments.
250	1.3.2.7.1 Reciprocal cross holdings in CET1 Capital Articles 36(1) point (g), 469 (1), 472(9) and 478 of CRR The amount to be reported in column 060 of this row: Original deduction Article 36(1)(g) of CRR
260	1.3.2.7.1.1 Reciprocal cross holdings in CET1 Capital of financial sector entities where the institution does not have a significant investment Articles 36(1) point (g), 469 (1), 472(9) point (a) and 478 of CRR The amount to be reported in column 060 of this row: Residual amount according to Article 469 (1) (b) of CRR
270	1.3.2.7.1.2 Reciprocal cross holdings in CET1 Capital of financial sector entities where the institution has a significant investment Articles 36(1) point (g), 469 (1), 472(9) point (b) and 478 of CRR The amount to be reported in column 060 of this row: Residual amount according to Article 469 (1) (b) of CRR
280	1.3.2.7.2 Reciprocal cross holdings in AT1 Capital Articles 56 point (b), 474, 475(3) and 478 of CRR The amount to be reported in column 060 of this row: Original deduction Article 56 (b) of CRR
290	1.3.2.7.2.1 Reciprocal cross holdings in AT1 Capital of financial sector entities where the institution does not have a significant investment Articles 56 point (b), 474, 475(3) point (a) and 478 of CRR The amount to be reported in column 060 of this row: Residual amount according to Article 475 (3) of CRR
300	1.3.2.7.2.2 Reciprocal cross holdings in AT1 Capital of financial sector entities where the institution has a significant investment Articles 56 point (b), 474, 475(3) point (b) and 478 of CRR The amount to be reported in column 060 of this row: Residual amount according to Article 475 (3) of CRR
310	1.3.2.7.3 Reciprocal cross holdings in T2 Capital Articles 66 point (b), 476, 477(3) and 478 of CRR The amount to be reported in column 060 of this row: Original deduction Article 66 (b) of CRR
320	1.3.2.7.3.1 Reciprocal cross holdings in T2 Capital of financial sector entities where the institution does not have a significant investment Articles 66 point (b), 476, 477(3) point (a) and 478 of CRR The amount to be reported in column 060 of this row: Residual amount according to Article 477 (3) of CRR
330	1.3.2.7.3.2 Reciprocal cross holdings in T2 Capital of financial sector entities where the institution has a significant investment Articles 66 point (b), 476, 477(3) point (b) and 478 of CRR The amount to be reported in column 060 of this row: Residual amount according to Article 477 (3) of CRR
340	1.3.2.8. Own funds instruments of financial sector entities where the institution does not have a significant investment
350	1.3.2.8.1 CET1 instruments of financial sector entities where the institution does not have a significant investment Articles 36(1) point (h), 469 (1), 472(10) and 478 of CRR The amount to be reported in column 060 of this row: Original deduction Article 36 (1) (h) of CRR
360	1.3.2.8.2 AT1 instruments of financial sector entities where the institution does not have a significant investment Articles 56 point (c), 474, 475(4) and 478 of CRR The amount to be reported in column 060 of this row: Original deduction Article 56 (c) of CRR
370	1.3.2.8.3 T2 instruments of financial sector entities where the institution does not have a significant investment Articles 66 point (c), 476, 477(4) and 478 of CRR The amount to be reported in column 060 of this row: Original deduction Article 66 (c) of CRR
380	1.3.2.9 Deferred tax assets that are dependent on future profitability and arise from temporary differences and CET1 instruments of financial sector entities where the institution has a significant investment Article 470(2) and (3) of CRR The amount to be reported in column 060 of this row: Article 470 (1) of CRR
390	1.3.2.10 Own funds instruments of financial sector entities where the institution has a significant investment
400	1.3.2.10.1 CET1 instruments of financial sector entities where the institution has a significant investment Articles 36(1) point (i), 469 (1), 472(11) and 478 of CRR The amount to be reported in column 060 of this row: Original deduction Article 36 (1) (i) of CRR
410	1.3.2.10.2 AT1 instruments of financial sector entities where the institution has a significant investment Articles 56 point (d), 474, 475(4) and 478 of CRR The amount to be reported in column 060 of this row: Original deduction Article 56 (d) of CRR
420	1.3.2.10.3 T2 instruments of financial sector entities where the institution has a significant investment Articles 66 point (d), 476, 477(4) and 478 of CRR The amount to be reported in column 060 of this row: Original deduction Article 66 (d) of CRR
425	1.3.2.11 Exemption from deduction of Equity Holdings in Insurance Companies from CET 1 Items Article 471 of CRR
430	1.3.3 Additional filters and deductions Article 481 of CRR This row reflects the overall effect of transitional provisions on additional filters and deductions.

1.6.3.

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

1. (26)

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

1.6.3.1.

Instructions concerning specific positions

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

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

2.

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

2.1.

GENERAL REMARKS

1. (27)

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

   1. (a)

      Entities within the scope of consolidation;

   2. (b)

      Detailed group solvency information;

   3. (c)

      Information on the contribution of individual entities to group solvency

   4. (d)

      Information on capital buffers

2. (28)

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

2.2.

DETAILED GROUP SOLVENCY INFORMATION;

1. (29)

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

2. (30)

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

2.3.

INFORMATION ON THE CONTRIBUTIONS OF INDIVIDUAL ENTITIES TO GROUP SOLVENCY

1. (31)

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

2. (32)

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

3. (33)

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

4. (34)

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

5. (35)

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

6. (36)

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

7. (37)

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

2.4.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

3.

CREDIT RISK TEMPLATES

3.1.

GENERAL REMARKS

1. (38)

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

3.1.1.

Reporting of CRM techniques with substitution effect

1. (39)

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

2. (40)

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

3. (41)

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

4. (42)

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

5. (43)

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

6. (44)

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

7. (45)

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

3.1.2.

Reporting of Counterparty Credit Risk

1. (46)

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

3.2.

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

3.2.1.

General remarks

1. (47)

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

   1. (a)

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

   2. (b)

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

3.2.2.

Scope of the CR SA template

1. (48)

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

2. (49)

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

3. (50)

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

   1. (a)

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

   2. (b)

      Exposures deducted from own funds.

4. (51)

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

   1. (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;

   2. (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. (c)

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

5. (52)

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

6. (53)

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

7. (54)

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

   1. (a)

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

   2. (b)

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

   3. (c)

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

   4. (d)

      Institutions (Article 112 point (f) of CRR)

   5. (e)

      Corporates (Article 112 point (g) of CRR)

   6. (f)

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

8. (55)

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

9. (56)

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

10. (57)

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

3.2.3.

Assignment of exposures to exposure classes under the Standardised Approach

1. (58)

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

   1. (a)

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

   2. (b)

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

2. (59)

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

3. (60)

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

4. (61)

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

5. (62)

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

6. (63)

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

7. (64)

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

   1. (1)

      Securitisation positions;

   2. (2)

      Items associated with particular high risk;

   3. (3)

      Equity exposures

   4. (4)

      Exposures in default;

   5. (5)

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

   6. (6)

      Exposures secured by mortgages on immovable property;

   7. (7)

      Other items;

   8. (8)

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

   9. (9)

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

8. (65)

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

9. (66)

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

10. (67)

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

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

3.2.4.

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

3.2.4.1.

Exposure Class "Institutions"

1. (68)

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

2. (69)

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

3. (70)

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

3.2.4.2.

Exposure Class "Covered Bonds"

1. (71)

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

2. (72)

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

3.2.4.3.

Exposure class "Collective Investment Undertakings"

1. (73)

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

3.2.5.

Instructions concerning specific positions

3.3.

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

3.3.1.

Scope of the CR IRB template

1. (74)

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

   1. (i)

      Credit risk in the banking book, among which:

      • Counterparty credit risk in the banking book;
      • Dilution risk for purchased receivables;

   2. (ii)

      Counterparty credit risk in the trading book;

   3. (iii)

      Free deliveries resulting from all business activities..

2. (75)

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

3. (76)

   The CR IRB template does not cover the following data:

   1. (i)

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

   2. (ii)

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

   3. (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;

   4. (iv)

      Credit valuation adjustment risk, which is reported on the CVA Risk template;

      The CR IRB template does not require a geographical breakdown of IRB exposures by residence of the counterparty. This breakdown is reported in the template CR GB.

4. (77)

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

5. "NO"= in case the supervisory estimates of LGD and credit conversion factors are used (Foundation IRB)

6. "YES"= in case own estimates of LGD and credit conversion factors are used (Advanced IRB)

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

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

3.3.2.

Breakdown of the CR IRB template

1. (78)

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

   1. (1)

      Total

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

   2. (2)

      Central banks and central governments

      (Article 147 (2) (a) CRR)

   3. (3)

      Institutions

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

   4. (4.1)

      Corporate — SME

      (Article 147 (2) point (c) CRR

   5. (4.1)*

      Corporate — SME subject to SME-supporting factor

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

   6. (4.2)

      Corporate — Specialised lending

      (Article 147 (8) CRR)

   7. (4.3)

      Corporate — Other

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

   8. (5.1)

      Retail — Secured by immovable property SME

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

   9. (5.1)*

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

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

   10. (5.2)

       Retail — Secured by immovable property non-SME

       (Exposures reflecting Article 147 (2) point (d) CRR which are secured by immovable property and not reported under 5.1).

   11. (5.3)

       Retail — Qualifying revolving

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

   12. (5.4)

       Retail — Other SME

       (Article 147 (2) point (d) not reported under 5.1 and 5.3).

   13. (5.4)*

       Retail — Other SME subject to SME supporting factor

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

   14. (5.5)

       Retail — Other non — SME

       (Article 147 (2) point (d) CRR which were not reported under 5.2 and 5.3).

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

3.3.3.

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

3.3.3.1

Instructions concerning specific positions

3.3.4.

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

3.4.

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

1. (79)

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

2. (80)

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

3. (81)

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

3.4.1.

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

3.4.1.1.

Instructions concerning specific positions

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

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

3.4.2.

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

3.4.2.1.

Instructions concerning specific positions

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

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

3.4.3.

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

3.4.3.1.

General remarks

1. (82)

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

   1. (a)

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

   2. (b)

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

2. (83)

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

3. (84)

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

3.4.3.2.

Instructions concerning specific positions

Rows
010	Own funds requirements for credit risk Part Three, Title II of the CRR

3.5.

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

3.5.1.

General remarks

1. (85)

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

2. (86)

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

3. (87)

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

   1. (a)

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

   2. (b)

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

4. (88)

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

5. (89)

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

   • the Simple Risk Weight approach,
   • the PD/LGD approach, or
   • the Internal Models approach.

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

6. (90)

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

   • Equity exposures in the trading book (in case where institutions are not exempted from calculating own funds requirements for trading book positions according to Article 94 of CRR).
   • Equity exposures subject to the partial use of the standardised approach (Article 150 of CRR), including:
   • Grandfathered equity exposures according to Article 495(1) of CRR,
   • Equity exposures to entities whose credit obligations are assigned a 0 % risk weight under the Standardised Approach, including those publicly sponsored entities where a 0 % risk weight can be applied (Article 150(1) point (g) of CRR),
   • Equity exposures incurred under legislated programmes to promote specified sectors of the economy that provide significant subsidies for the investment to the institution and involve some form of government oversight and restrictions on the equity investments (Article 150(1) point (h) of CRR).
   • Equity exposures to ancillary services undertakings whose risk weighted exposure amounts may be calculated according to the treatment of "other non credit-obligation assets" (in accordance with Article 155(1) of CRR).
   • Equity claims deducted from own funds in accordance with Articles 46 and 48 of the CRR.

3.5.2.

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

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

1. (91)

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

   Rows
   CR EQU IRB 1 — row 020	PD/LGD APRROACH: TOTAL Institutions applying the PD/LGD approach (Article 155(3) of CRR) report the requested information in row 020 of the CR EQU IRB 1 template.
   CR EQU IRB 1 — rows 050-090	SIMPLE RISK WEIGHT APPROACH: TOTAL BREAKDOWN OF TOTAL EXPOSURES UNDER THE SIMPLE RISK WEIGHT APRROACH BY RISK WEIGHTS: Institutions applying the Simple Risk Weight approach (Article 155(2) of CRR) report the requested information according to the characteristics of the underlying exposures in rows 050 to 090.
   CR EQU IRB 1 — row 100	INTERNAL MODELS APPROACH Institutions applying the Internal Models approach (Article 155(4) of CRR) report the requested information in row 100.
   CR EQU IRB 1 — row 110	EQUITY EXPOSURES SUBJECT TO RISK WEIGHTS Institutions applying the IRB approach shall report risk weighted exposure amounts for those equity exposures which attract a fixed risk weight treatment (without however being explicitly treated according to the Simple Risk Weight approach or the (temporary or permanent) partial use of the credit risk standardised approach). As an example, the risk weighted exposure amount of equity positions in financial sector entities treated in accordance with Article 48(4) of the CRR, as well as equity positions risk-weighted with 370 % in accordance with Article 471 (2) CRR shall be reported in row 110.
   CR EQU IRB 2	BREAKDOWN OF TOTAL EXPOSURES UNDER THE PD/LGD APRROACH BY OBLIGOR GRADES: Institutions applying the PD/LGD approach (Article 155(3) of CRR) report the requested information in the CR EQU IRB 2 template. In case where institutions using the PD/LGD approach apply a unique rating system or are able to report according to an internal master scale, they report in CR EQU IRB 2 the rating grades or pools associated to this unique rating system/masterscale. In any other case, the different rating systems shall be merged and ordered according to the following criteria: Obligor grades or pools of the different rating systems shall be pooled together and ordered from the lower PD assigned to each obligor grade or pool to the higher.

3.6.

C 11.00 — SETTLEMENT/DELIVERY RISK (CR SETT)

3.6.1.

General remarks

1. (92)

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

2. (93)

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

3. (94)

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

4. (95)

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

5. (96)

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

6. (97)

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

7. (98)

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

3.6.2.

Instructions concerning specific positions

3.7.

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

3.7.1.

General remarks

1. (99)

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

2. (100)

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

3.7.2.

Instructions concerning specific positions

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

1. (101)

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

2. (102)

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

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

3.8.

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

3.8.1.

General remarks

1. (103)

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

2. (104)

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

3. (105)

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

3.8.2.

Instructions concerning specific positions

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

1. (106)

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

2. (107)

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

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

3.9.

C 14.00 — DETAILED INFORMATION ON SECURITISATIONS (SEC DETAILS)

3.9.1.

General remarks

1. (108)

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

2. (109)

   This template is to be reported for:

   1. (a)

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

   2. (b)

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

   3. (c)

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

   4. (d)

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

3. (110)

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

4. (111)

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

5. (112)

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

3.9.2.

Instructions concerning specific positions

4.

OPERATIONAL RISK TEMPLATES

4.1.

C 16.00 — OPERATIONAL RISK (OPR)

4.1.1.

General Remarks

1. (113)

   This template provides information on the calculation of own funds requirements according to Articles 312 to 324 of CRR for Operational Risk under the Basic Indicator Approach (BIA), the Standardised Approach (TSA), the Alternative Standardised Approach (ASA) and the Advanced Measurement Approaches (AMA). An institution can not apply TSA and ASA for the business lines retail banking and commercial banking at the same time at solo level

2. (114)

   Institutions using the BIA, TSA and/or ASA shall calculate their own funds requirement, based on the information at financial year end. When audited figures are not available, institutions may use business estimates. If audited figures are used, institutions shall report the audited figures which should remain unchanged. Deviations from this "unchanged" principle are possible, for instance if during that period the exceptional circumstances, such as recent acquisitions or disposals of entities or activities, are met.

3. (115)

   If an institution can justify its competent authority that — due to exceptional circumstances such as a merger or a disposal of entities or activities — using a three year average to calculating the relevant indicator would lead to a biased estimation for the own funds requirement for operational risk,, the competent authority may permit the institution to modify the calculation in a way that would take into account such events. Also the competent authority may on its own initiative, require an institution to modify the calculation. Where an institution has been in operation for less than three years it may use forward looking business estimates in calculating the relevant indicator, provided that it starts using historical data as soon as they are available.

4. (116)

   By columns, this template presents information, for the three most recent years, on the amount of the relevant indicator of the banking activities subject to operational risk and on the amount of loans and advances (the latter only applicable in the case of ASA). Next, information on the amount of own funds requirement for operational risk is reported. If applicable, it must be detailed which part of this amount is due to an allocation mechanism. Regarding AMA, memorandum items are added to present a detail of the effect of the expected loss, diversification and mitigation techniques on own funds requirement for operational risk.

5. (117)

   By rows, information is presented by method of calculation of the operational risk own funds requirement detailing business lines for TSA and ASA.

6. (118)

   This template shall be submitted by all institutions subject to operational risk own funds requirement.

4.1.2.

Instructions concerning specific positions

4.2.

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

4.2.1.

General Remarks

1. (119)

   This template summarises the information on the gross losses registered by an institution in the last year according to event types and business lines, based on the first accounting date of the loss.

2. (120)

   The information is presented by distributing the gross losses above internal thresholds amongst business lines (as defined in Article 317 of CRR, Table 2 of CRR including the additional business line "Corporate items" as referred to in Article 322 (3) point b) of CRR) and event types (as defined in Article 324 of CRR), being possible that the losses corresponding to one event are distributed amongst several business lines.

3. (121)

   Columns present the different event types and the totals for each business line, together with a memorandum item that shows the lowest internal threshold applied in the data collection of losses, revealing within each business line the lowest and the highest threshold if there is more than one threshold.

4. (122)

   Rows present the business lines, and within each business line, information on the number of events, the amount of the total loss, the maximum single loss and the sum of the five largest losses (regardless the number of losses).

5. (123)

   This template shall be reported by institutions using AMA or TSA/ASA for the calculation of their own funds requirements.

6. (124)

   Institutions subject to Article 5 point (b) (2) ii may only report the following information for the sum of all event types (column 080) of the OPR Details template:

   1. (a)

      Number of events (row 910),

   2. (b)

      Total loss amount (row 920),

   3. (c)

      Maximum single loss (row 930) and

   4. (d)

      Sum of the five largest losses (row 940).

4.2.2.

Instructions concerning specific positions