ANNEX II INSTRUCTIONS FOR DISCLOSURE STANDARD FORMATS
PART I
GENERAL INSTRUCTIONS
Reference data
- (1)
Under the field "Level of application" institutions shall indicate the level of application that forms the basis for the data provided in Tables 1 and 2. When completing this field institutions shall select one of the following, in accordance with Article 6 and 13 of Regulation (EU) No 575/2013:
- (a)
Consolidated;
- (b)
Individual;
- (c)
Sub-consolidated.
- (a)
- (2)
For disclosure on an individual basis in accordance with Part One, Title II of Regulation (EU) No 575/2013, institutions shall complete Tables 1 and 2 of these Instructions on an individual basis in accordance with Part One, Title II, Chapter 1 of Regulation (EU) No 575/2013.
- (3)
For disclosure on a consolidated or sub-consolidated basis in accordance with Part One, Title II of Regulation (EU) No 575/2013, institutions shall complete Tables 1 and 2 of these Instructions based on a consolidated basis in accordance with Part One, Title II, Chapter 2 of Regulation (EU) No 575/2013.
PART II
INSTRUCTIONS FOR STANDARD FORMAT 1
Table 1 Geographical distribution of credit exposures relevant for the calculation of the countercyclical capital buffer
The scope of Table 1 is limited to credit exposures relevant for the calculation of CCB in accordance with Article 140(4) of Directive 2013/36/EU.
Legal references and instructions |
|
Row number |
Explanation |
010-01X |
Breakdown of relevant credit exposures by country List of countries in which the institution has credit exposures relevant for the calculation of the institution-specific countercyclical buffer in accordance with Delegated Regulation (EU) No 1152/2014. The number of rows may vary depending on the number of countries where the institution has its credit exposures relevant for the calculation of the countercyclical buffer. In accordance with Delegated Regulation (EU) No 1152/2014, if trading book exposures or foreign credit exposures of an institution represent less than 2 % of its aggregate risk weighted exposures, the institution may choose to allocate these exposures to the place of institution. If the exposures disclosed for the place of institution include exposures from other countries, these should be clearly identified in a note or footnote to the disclosure table. |
020 |
Total The value as described in accordance with the explanation for columns 010 to 120 of the current Table. |
Legal references and instructions |
|
Column number |
Explanation |
010 |
Exposure value of general credit exposures for SA Exposure value of relevant credit exposures defined in accordance with Article 140(4)(a) of Directive 2013/36/EU, determined in accordance with Article 111 of Regulation (EU) No 575/2013. Geographical breakdown is made in accordance with Delegated Regulation (EU) No 1152/2014. Row 020 (Total): The sum of all relevant credit exposures defined in accordance with Article 140(4)(a) of Directive 2013/36/EU, determined in accordance with Article 111 of Regulation (EU) No 575/2013. |
020 |
Exposure value of general credit exposures for IRB Exposure value of relevant credit exposures defined in accordance with Article 140(4)(a) of Directive 2013/36/EU, determined in accordance with Article 166 of Regulation (EU) No 575/2013. Geographical breakdown is made in accordance with EBA/RTS/2013/15. Row 020 (Total): The sum of all relevant credit exposures defined in accordance with Article 140(4)(a) of Directive 2013/36/EU, determined in accordance with Article 166 of Regulation (EU) No 575/2013. |
030 |
Sum of long and short positions of trading book exposures Sum of long and short positions of relevant credit exposures defined in accordance with Article 140(4)(b) of Directive 2013/36/EU, calculated as the sum of long and short positions determined in accordance with Article 327 of Regulation (EU) No 575/2013. Geographical breakdown is made in accordance with Delegated Regulation (EU) No 1152/2014. Row 020 (Total): The sum of all long and short positions of relevant credit exposures defined in accordance with Article 140(4)(b) of Directive 2013/36/EU, calculated as the sum of long and short positions determined in accordance with Article 327 of Regulation (EU) No 575/2013. |
040 |
Value of trading book exposures for internal models Sum of the following:
Geographical breakdown is made in accordance with Delegated Regulation (EU) No 1152/2014. Row 020 (Total): The sum of fair value of all cash positions, that represent relevant credit exposures as defined in Article 140(4)(b) of Directive 2013/36/EU, determined in accordance with Article 104 of Regulation (EU) No 575/2013, and notional value of all derivatives, that represent relevant credit exposures as defined in accordance with Article 140(4)(b) of Directive 2013/36/EU. |
050 |
Exposure value of securitisation exposures for SA Exposure value of relevant credit exposures defined in accordance with Article 140(4)(c) of Directive 2013/36/EU, determined in accordance with Article 246(1)(a) and (c) of Regulation (EU) No 575/2013. Geographical breakdown is made in accordance with Delegated Regulation (EU) No 1152/2014. Row 020 (Total): The sum of all relevant credit exposures defined in accordance with Article 140(4)(c) of Directive 2013/36/EU, determined in accordance with Article 246(1)(a) and (c) of Regulation (EU) No 575/2013. |
060 |
Exposure value of securitisation exposures for IRB Exposure value of relevant credit exposures defined in accordance with Article 140(4)(c) of Directive 2013/36/EU, determined in accordance with Article 246(1)(b) and (d) of Regulation (EU) No 575/2013. Geographical breakdown is made in accordance with Delegated Regulation (EU) No 1152/2014. Row 020 (Total): The sum of all relevant credit exposures defined in accordance with Article 140(4)(c) of Directive 2013/36/EU, determined in accordance with Article 246(1)(b) and (d) of Regulation (EU) No 575/2013. |
070 |
Own funds requirements: general credit exposures Own funds requirements for relevant credit exposures in the country in question, defined in accordance to Article 140(4)(a) of Directive 2013/36/EU, determined in accordance with Part Three, Title II of Regulation (EU) No 575/2013. Row 020 (Total): The sum of all own funds requirements for relevant credit exposures, defined in accordance to Article 140(4)(a) of Directive 2013/36/EU, determined in accordance with Part Three, Title II of Regulation (EU) No 575/2013. |
080 |
Own funds requirements: trading book exposures Own funds requirements for relevant credit exposures in the country in question, defined in accordance to Article 140(4)(b) of Directive 2013/36/EU, determined in accordance with Part Three, Title IV, Chapter 2 of Regulation (EU) No 575/2013 for specific risk, or in accordance with Part Three, Title IV, Chapter 5 of Regulation (EU) No 575/2013 for incremental default and migration risk. Row 020 (Total): The sum of all own funds requirements for relevant credit exposures, defined in accordance to Article 140(4)(b) of Directive 2013/36/EU, determined in accordance with Part Three, Title IV, Chapter 2 of Regulation (EU) No 575/2013 for specific risk, or in accordance with Part Three, Title IV, Chapter 5 of Regulation (EU) No 575/2013 for incremental default and migration risk. |
090 |
Own funds requirements: securitisation exposures Own funds requirements for relevant credit exposures in the country in question, defined in accordance to Article 140(4)(c) of Directive 2013/36/EU, determined in accordance with Part Three, Title II, Chapter 5 of Regulation (EU) No 575/2013. Row 020 (Total): The sum of all own funds requirements for relevant credit exposures, defined in accordance to Article 140(4)(c) of Directive 2013/36/EU, determined in accordance with Part Three, Title II, Chapter 5 of Regulation (EU) No 575/2013. |
100 |
Own funds requirements — Total The sum of columns 070, 080 and 090. Row 020 (Total): The sum of all own funds requirements for relevant credit exposures, defined in accordance to Article 140(4) of Directive 2013/36/EU. |
110 |
Own funds requirements weights The weight applied to the countercyclical buffer rate in each country, calculated as the total own funds requirements that relates to the relevant credit exposures in the country in question (row 01X, column 100), divided by the total own funds requirements that relates to all credit exposures relevant for the calculation of the countercyclical buffer in accordance with Article 140(4) of Directive 2013/36/EU (row 020, column 100). This value is disclosed as an absolute number with 2 decimal points. |
120 |
Countercyclical capital buffer rate Countercyclical capital buffer rate applicable in the country in question, and set in accordance with Articles 136, 137, 138 and 139 of Directive 2013/36/EU. This column does not include countercyclical capital buffer rates that were set, but are not yet applicable at the time of computation of the institution-specific countercyclical capital buffer to which the disclosure relates. This value is disclosed as percentage with the same number of decimal points as set in accordance with Articles 136, 137, 138 and 139 of Directive 2013/36/EU. |
PART III
INSTRUCTIONS FOR STANDARD FORMAT 2
Table 2 Amount of institution-specific countercyclical capital buffer
Institutions shall apply the instructions provided in this section in order to complete Table 2 Amount of institution-specific countercyclical capital buffer.
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|
Row number |
Explanation |
010 |
Total risk exposure amount Total risk exposure amount calculated in accordance with Article 92(3) of Regulation (EU) No 575/2013. |
020 |
Institution-specific countercyclical capital buffer rate Institution-specific countercyclical capital buffer rate, determined in accordance with Article 140(1) of Directive 2013/36/EU. The institution-specific countercyclical capital buffer rate is calculated as the weighted average of the countercyclical buffer rates that apply in the countries where the relevant credit exposures of the institution are located and reported in rows 010 to 01X of column 120 of Table 1. The weight applied to the countercyclical buffer rate in each country is the share of own funds requirements in total own funds requirements relating to relevant credit exposures in the territory in question, and is disclosed in Table 1 column 110. This value is disclosed as percentage with 2 decimal points. |
030 |
Institution-specific countercyclical capital buffer requirement Institution-specific countercyclical capital buffer requirement, calculated as the institution-specific countercyclical buffer rate, as reported in row 020 of this Table, applied to the total risk exposure amount as reported in row 010 of this Table. |
Legal references and instructions |
|
Column number |
Explanation |
010 |
The value as described in accordance with the explanation for rows 010 to 030 of the current Table. |