title: Commission Implementing Regulation (EU) 2017/2114 of 9 November 2017 amending Implementing Regulation (EU) No 680/2014 as regards templates and instructions (Text with EEA relevance. )

text:
                  6.12.2017

                  EN

                  Official Journal of the European Union

                  L 321/1

            COMMISSION IMPLEMENTING REGULATION (EU) 2017/2114
      of 9 November 2017
      amending Implementing Regulation (EU) No 680/2014 as regards templates and instructions
      (Text with EEA relevance)
      THE EUROPEAN COMMISSION,
      Having regard to the Treaty on the Functioning of the European Union,
      Having regard to Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012 (1), in particular the fourth subparagraph of Article 99(5), the third subparagraph of Article 101(4), the fourth subparagraph of Article 415(3), and the third subparagraph of Article 430(2) thereof,
      Whereas:

                  (1)

                  Commission Implementing Regulation (EU) No 680/2014 (2) specifies the modalities according to which institutions are required to report information relevant to their compliance with Regulation (EU) No 575/2013. Given that the regulatory framework established by Regulation (EU) No 575/2013 is gradually being supplemented and amended in its non-essential elements by the adoption of further secondary legislation and, in this case, by Commission Delegated Regulation (EU) 2015/61 (3), Implementing Regulation (EU) No 680/2014 should also be updated to reflect those rules and to provide further precision in the instructions and definitions used for the purposes of the institutions' supervisory reporting, including with regard to a maturity ladder, which would allow the maturity mismatch of an institution's balance sheet to be reflected in the reporting.

                  (2)

                  Amendments to Implementing Regulation (EU) No 680/2014 are required in order to correct erroneous references and formatting inconsistencies which were discovered in the course of the application of that Regulation.

                  (3)

                  Amendments to Implementing Regulation (EU) No 680/2014 are also required to reflect competent authorities' ability to effectively monitor and assess the institutions' risk profile and to obtain a view on the risks posed to the financial sector, which requires changes to the reporting requirements in the areas of operational risk, credit risk and with regard to institutions' exposures towards sovereigns.

                  (4)

                  In order to provide institutions and competent authorities with sufficient time to implement the amendments set out in this Regulation, it should apply from 1 March 2018.

                  (5)

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

                  (6)

                  The European Banking Authority has conducted open public consultations on the draft implementing technical standards on which this Regulation is based, analysed the potential related costs and benefits and requested the opinion of the Banking Stakeholder Group established in accordance with Article 37 of Regulation (EU) No 1093/2010 of the European Parliament and of the Council (4).

                  (7)

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

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

                  (1)

                  point (2) of Article 5(b) is replaced by the following:

                              ‘(2)

                              the information on material losses stemming from operational risk events as follows:

                                          (a)

                                          institutions which calculate own funds requirements relating to operational risk in accordance with Chapter 4 of Title III of Part Three of Regulation (EU) No 575/2013 shall report this information as specified in templates 17.01 and 17.02 of Annex I, in accordance with the instructions in point 4.2 of Part II of Annex II;

                                          (b)

                                          institutions which calculate the own funds requirements relating to operational risk in accordance with Chapter 3 of Title III of Part Three of Regulation (EU) No 575/2013 and that meet at least one of the following criteria shall report this information as specified in templates 17.01 and 17.02 of Annex I in accordance with the instructions in point 4.2 of Part II of Annex II:

                                                      (i)

                                                      the ratio of the individual balance sheet total to the sum of individual balance sheet totals of all institutions within the same Member State is equal to or above 1 %, where balance sheet total figures are based on year-end figures for the year before the year preceding the reporting reference date;

                                                      (ii)

                                                      the total value of the institution's assets exceeds EUR 30 billion;

                                                      (iii)

                                                      the total value of the institution's assets exceeds both EUR 5 billion and 20 % of the GDP of the Member State where it is established;

                                                      (iv)

                                                      the institution is one of the three largest institutions established in a particular Member State measured by the total value of its assets;

                                                      (v)

                                                      the institution is the parent of subsidiaries, which are themselves credit institutions established in at least two Member States other than the Member State where the parent institution is authorised and where both of the following conditions are met:

                                                                  —

                                                                  the value of the institution's consolidated total assets exceeds EUR 5 billion,

                                                                  —

                                                                  more than 20 % of either the institution's consolidated total assets as defined in template 1.1 of Annex III or IV, as applicable, or the institution's consolidated total liabilities as defined in template 1.2 of Annex III or IV, as applicable, relates to activities with counterparties located in a Member State other than that where the parent institution is authorised;

                                          (c)

                                          institutions which calculate the own funds requirements relating to operational risk in accordance with Chapter 3 of Title III of Part Three of Regulation (EU) No 575/2013 and for which none of the conditions in point (b) is met, shall report the information referred to in points (i) and (ii) below in accordance with the instructions in point 4.2 of Part II of Annex II:

                                                      (i)

                                                      the information as specified for column 080 of template 17.01 of Annex I for the following rows:

                                                                  —

                                                                  number of events (new events) (row 910),

                                                                  —

                                                                  gross loss amount (new events) (row 920),

                                                                  —

                                                                  number of events subject to loss adjustments (row 930),

                                                                  —

                                                                  loss adjustments relating to previous reporting periods (row 940),

                                                                  —

                                                                  maximum single loss (row 950),

                                                                  —

                                                                  sum of the five largest losses (row 960),

                                                                  —

                                                                  total direct loss recovery (except insurance and other risk transfer mechanisms) (row 970),

                                                                  —

                                                                  total recoveries from insurance and other risk transfer mechanisms (row 980);

                                                      (ii)

                                                      the information as specified in template 17.02 of Annex I;

                                          (d)

                                          the institutions referred to in point (c) may report the complete set of information specified in templates 17.01 and 17.02 of Annex I, in accordance with the instructions in point 4.2 of Part II of Annex II;

                                          (e)

                                          institutions which calculate the own funds requirements relating to operational risk in accordance with Chapter 2 of Title III of Part Three of Regulation (EU) No 575/2013 and that meet at least one of the conditions (ii) to (v) of point (b) shall report this information as specified in templates 17.01 and 17.02 of Annex I in accordance with the instructions in point 4.2 of Part II of Annex II;

                                          (f)

                                          institutions which calculate the own funds requirements relating to operational risk in accordance with Chapter 2 of Title III of Part Three of Regulation (EU) No 575/2013 and for which none of the conditions set out in points (ii) to (v) of point (b) are met, may report the information referred to in templates 17.01 and 17.02 of Annex I in accordance with the instructions in point 4.2 of Part II of Annex II;

                                          (g)

                                          the entry and exit criteria of Article 4 shall apply.’;

                  (2)

                  in Article 5(b), the following point (3) is added:

                              ‘(3)

                              the information on sovereign exposures as follows:

                                          (a)

                                          institutions shall report the information specified in template 33 of Annex I in accordance with the instructions in point 6 of Part II of Annex II where the aggregate carrying amount of financial assets from the counterparty sector “General governments” is equal or higher than 1 % of the sum of total carrying amount for “Debt securities and Loans and advances”. For the purposes of determining those carrying amounts, institutions shall apply the definitions used in templates 4.1 to 4.4.1 of Annex III or templates 4.1 to 4.4.1 and 4.6 to 4.10 of Annex IV, as applicable;

                                          (b)

                                          institutions that meet the criterion referred to in point (a) and where the value reported for domestic exposures of non-derivative financial assets as defined in row 010, column 010 of template 33 of Annex I is less than 90 % of the value reported for domestic and non-domestic exposures for the same data point, shall report the information specified in template 33 of Annex I in accordance with the instructions in point 6 of Part II of Annex II aggregated at a total level and for each individual country they are exposed to;

                                          (c)

                                          institutions that meet the criterion referred to in point (a) but do not meet the criterion referred in point (b) shall report the information specified in template 33 of Annex I in accordance with the instructions in point 6 of Part II of Annex II with exposures aggregated at both a total level and at domestic level;

                                          (d)

                                          the entry and exit criteria of Article 4 shall apply.’;

                  (3)

                  in Article 16b(1), the following point (c) is added:

                              ‘(c)

                              the information specified in Annex XXII in accordance with the instructions in Annex XXIII.’;

                  (4)

                  in Article 16b(2), point (a) is replaced by the following:

                              ‘(a)

                              the institution does not form part of a group comprising credit institutions, investment firms or financial institutions with subsidiaries or parent institutions located in jurisdictions other than the institution's jurisdiction of incorporation;’;

                  (5)

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

                  (6)

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

                  (7)

                  Annex VII is replaced by the text set out in Annex III to this Regulation;

                  (8)

                  Annex XI is replaced by the text set out in Annex IV to this Regulation;

                  (9)

                  Annex XIV is replaced by the text set out in Annex V to this Regulation;

                  (10)

                  Annex XV is replaced by the text set out in Annex VI to this Regulation;

                  (11)

                  Annex XVIII is replaced by the text set out in Annex VII to this Regulation;

                  (12)

                  Annex XIX is replaced by the text set out in Annex VIII to this Regulation;

                  (13)

                  Annex XX is replaced by the text set out in Annex IX to this Regulation;

                  (14)

                  Annex XXI is replaced by the text set out in Annex X to this Regulation;

                  (15)

                  a new Annex XXII is added, the text of which is set out in Annex XI to this Regulation;

                  (16)

                  a new Annex XXIII is added, the text of which is set out in Annex XII to this Regulation.

            Article 2
      This Regulation shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union.
      It shall apply from 1 March 2018.

         This Regulation shall be binding in its entirety and directly applicable in all Member States.
         Done at Brussels, 9 November 2017.

               For the Commission

               The President

            Jean-Claude JUNCKER

         (1)  OJ L 176, 27.6.2013, p. 1.

         (2)  Commission Implementing Regulation (EU) No 680/2014 laying down implementing technical standards with regard to supervisory reporting of institutions according to Regulation (EU) No 575/2013 of the European Parliament and of the Council (OJ L 191, 28.6.2014, p. 1).

         (3)  Commission Delegated Regulation (EU) 2015/61 of 10 October 2014 to supplement Regulation (EU) No 575/2013 of the European Parliament and the Council with regard to liquidity coverage requirement for Credit Institutions (OJ L 11, 17.1.2015, p. 1).

         (4)  Regulation (EU) No 1093/2010 of the European Parliament and of the Council of 24 November 2010 establishing a European Supervisory Authority (European Banking Authority), amending Decision No 716/2009/EC and repealing Commission Decision 2009/78/EC (OJ L 331, 15.12.2010, p. 12).

         ANNEX I
         ‘
               ANNEX I

                  REPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS

                              COREP TEMPLATES

                              Template number

                              Template code

                              Name of the template/group of templates

                              Short name

                              Capital adequacy

                              CA

                           1

                           C 01.00

                           OWN FUNDS

                           CA1

                           2

                           C 02.00

                           OWN FUNDS REQUIREMENTS

                           CA2

                           3

                           C 03.00

                           CAPITAL RATIOS

                           CA3

                           4

                           C 04.00

                           MEMORANDUM ITEMS:

                           CA4

                              Transitional provisions

                              CA5

                           5.1

                           C 05.01

                              TRANSITIONAL PROVISIONS

                           CA5.1

                           5.2

                           C 05.02

                              GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUING STATE AID

                           CA5.2

                              Group solvency

                              GS

                           6.1

                           C 06.01

                           GROUP SOLVENCY: INFORMATION ON AFFILIATES - TOTAL

                           GS Total

                           6.2

                           C 06.02

                           GROUP SOLVENCY: INFORMATION ON AFFILIATES

                           GS

                              Credit risk

                              CR

                           7

                           C 07.00

                           CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: STANDARDISED APPROACH TO CAPITAL REQUIREMENTS

                           CR SA

                           CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS

                           CR IRB

                           8.1

                           C 08.01

                              CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS

                           CR IRB 1

                           8.2

                           C 08.02

                              CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS (Breakdown by obligor grades or pools)

                           CR IRB 2

                           GEOGRAPHICAL BREAKDOWN

                           CR GB

                           9.1

                           C 09.01

                              Table 9.1 - Geographical breakdown of exposures by residence of the obligor (SA exposures)

                           CR GB 1

                           9.2

                           C 09.02

                              Table 9.2 - Geographical breakdown of exposures by residence of the obligor (IRB exposures)

                           CR GB 2

                           9.4

                           C 09.04

                              Table 9.4 - Breakdown of credit exposures relevant for the calculation of the countercyclical buffer by country and institution-specific countercyclical buffer rate

                           CCB

                           CREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS

                           CR EQU IRB

                           10.1

                           C 10.01

                              CREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS

                           CR EQU IRB 1

                           10.2

                           C 10.02

                              CREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS. BREAKDOWN OF TOTAL EXPOSURES UNDER THE PD/LGD APRROACH BY OBLIGOR GRADES:

                           CR EQU IRB 2

                           11

                           C 11.00

                           SETTLEMENT/DELIVERY RISK

                           CR SETT

                           12

                           C 12.00

                           CREDIT RISK: SECURITISATIONS - STANDARDISED APPROACH TO OWN FUNDS REQUIREMENTS

                           CR SEC SA

                           13

                           C 13.00

                           CREDIT RISK: SECURITISATIONS - IRB APPROACH TO OWN FUNDS REQUIREMENTS

                           CR SEC IRB

                           14

                           C 14.00

                           DETAILED INFORMATION ON SECURITISATIONS

                           CR SEC Details

                              Operational risk

                              OPR

                           16

                           C 16.00

                           OPERATIONAL RISK

                           OPR

                           17

                           C 17.00

                           OPERATIONAL RISK: GROSS LOSSES BY BUSINESS LINES AND EVENT TYPES IN THE LAST YEAR

                           OPR Details

                              Market risk

                              MKR

                           18

                           C 18.00

                           MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS

                           MKR SA TDI

                           19

                           C 19.00

                           MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS

                           MKR SA SEC

                           20

                           C 20.00

                           MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN THE CORRELATION TRADING PORTFOLIO

                           MKR SA CTP

                           21

                           C 21.00

                           MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES

                           MKR SA EQU

                           22

                           C 22.00

                           MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK

                           MKR SA FX

                           23

                           C 23.00

                           MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES

                           MKR SA COM

                           24

                           C 24.00

                           MARKET RISK INTERNAL MODELS

                           MKR IM

                           25

                           C 25.00

                           CREDIT VALUE ADJUSTMENT RISK

                           CVA

                           33

                           C 33.00

                           GENERAL GOVERNMENTS EXPOSURES BY COUNTRY OF THE COUNTERPARTY

                           GOV

                  C 01.00 - OWN FUNDS (CA1)

                              Rows

                              ID

                              Item

                              Amount

                              010

                              1

                              OWN FUNDS

                              015

                              1.1

                              TIER 1 CAPITAL

                              020

                              1.1.1

                              COMMON EQUITY TIER 1 CAPITAL

                              030

                              1.1.1.1

                              Capital instruments eligible as CET1 Capital

                              040

                           1.1.1.1.1

                           Paid up capital instruments

                              045

                           1.1.1.1.1*

                           Of which: Capital instruments subscribed by public authorities in emergency situations

                              050

                           1.1.1.1.2*

                           Memorandum item: Capital instruments not eligible

                              060

                           1.1.1.1.3

                           Share premium

                              070

                           1.1.1.1.4

                           (-) Own CET1 instruments

                              080

                           1.1.1.1.4.1

                           (-) Direct holdings of CET1 instruments

                              090

                           1.1.1.1.4.2

                           (-) Indirect holdings of CET1 instruments

                              091

                           1.1.1.1.4.3

                           (-) Synthetic holdings of CET1 instruments

                              092

                           1.1.1.1.5

                           (-) Actual or contingent obligations to purchase own CET1 instruments

                              130

                              1.1.1.2

                              Retained earnings

                              140

                           1.1.1.2.1

                           Previous years retained earnings

                              150

                           1.1.1.2.2

                           Profit or loss eligible

                              160

                           1.1.1.2.2.1

                           Profit or loss attributable to owners of the parent

                              170

                           1.1.1.2.2.2

                           (-) Part of interim or year-end profit not eligible

                              180

                              1.1.1.3

                              Accumulated other comprehensive income

                              200

                              1.1.1.4

                              Other reserves

                              210

                              1.1.1.5

                              Funds for general banking risk

                              220

                              1.1.1.6

                              Transitional adjustments due to grandfathered CET1 Capital instruments

                              230

                              1.1.1.7

                              Minority interest given recognition in CET1 capital

                              240

                              1.1.1.8

                              Transitional adjustments due to additional minority interests

                              250

                              1.1.1.9

                              Adjustments to CET1 due to prudential filters

                              260

                           1.1.1.9.1

                           (-) Increases in equity resulting from securitised assets

                              270

                           1.1.1.9.2

                           Cash flow hedge reserve

                              280

                           1.1.1.9.3

                           Cumulative gains and losses due to changes in own credit risk on fair valued liabilities

                              285

                           1.1.1.9.4

                           Fair value gains and losses arising from the institution's own credit risk related to derivative liabilities

                              290

                           1.1.1.9.5

                           (-) Value adjustments due to the requirements for prudent valuation

                              300

                              1.1.1.10

                              (-) Goodwill

                              310

                           1.1.1.10.1

                           (-) Goodwill accounted for as intangible asset

                              320

                           1.1.1.10.2

                           (-) Goodwill included in the valuation of significant investments

                              330

                           1.1.1.10.3

                           Deferred tax liabilities associated to goodwill

                              340

                              1.1.1.11

                              (-) Other intangible assets

                              350

                           1.1.1.11.1

                           (-) Other intangible assets before deduction of deferred tax liabilities

                              360

                           1.1.1.11.2

                           Deferred tax liabilities associated to other intangible assets

                              370

                              1.1.1.12

                              (-) Deferred tax assets that rely on future profitability and do not arise from temporary differences net of associated tax liabilities

                              380

                              1.1.1.13

                              (-) IRB shortfall of credit risk adjustments to expected losses

                              390

                              1.1.1.14

                              (-) Defined benefit pension fund assets

                              400

                           1.1.1.14.1

                           (-) Defined benefit pension fund assets

                              410

                           1.1.1.14.2

                           Deferred tax liabilities associated to defined benefit pension fund assets

                              420

                           1.1.1.14.3

                           Defined benefit pension fund assets which the institution has an unrestricted ability to use

                              430

                              1.1.1.15

                              (-) Reciprocal cross holdings in CET1 Capital

                              440

                              1.1.1.16

                              (-) Excess of deduction from AT1 items over AT1 Capital

                              450

                              1.1.1.17

                              (-) Qualifying holdings outside the financial sector which can alternatively be subject to a 1 250  % risk weight

                              460

                              1.1.1.18

                              (-) Securitisation positions which can alternatively be subject to a 1 250  % risk weight

                              470

                              1.1.1.19

                              (-) Free deliveries which can alternatively be subject to a 1 250  % risk weight

                              471

                              1.1.1.20

                              (-) Positions in a basket for which an institution cannot determine the risk weight under the IRB approach, and can alternatively be subject to a 1 250  % risk weight

                              472

                              1.1.1.21

                              (-) Equity exposures under an internal models approach which can alternatively be subject to a 1 250  % risk weight

                              480

                              1.1.1.22

                              (-) CET1 instruments of financial sector entites where the institution does not have a significant investment

                              490

                              1.1.1.23

                              (-) Deductible deferred tax assets that rely on future profitability and arise from temporary differences

                              500

                              1.1.1.24

                              (-) CET1 instruments of financial sector entities where the institution has a significant investment

                              510

                              1.1.1.25

                              (-) Amount exceeding the 17,65 % threshold

                              520

                              1.1.1.26

                              Other transitional adjustments to CET1 Capital

                              524

                              1.1.1.27

                              (-) Additional deductions of CET1 Capital due to Article 3 CRR

                              529

                              1.1.1.28

                              CET1 capital elements or deductions - other

                              530

                              1.1.2

                              ADDITIONAL TIER 1 CAPITAL

                              540

                              1.1.2.1

                              Capital instruments eligible as AT1 Capital

                              550

                           1.1.2.1.1

                           Paid up capital instruments

                              560

                           1.1.2.1.2*

                           Memorandum item: Capital instruments not eligible

                              570

                           1.1.2.1.3

                           Share premium

                              580

                           1.1.2.1.4

                           (-) Own AT1 instruments

                              590

                           1.1.2.1.4.1

                           (-) Direct holdings of AT1 instruments

                              620

                           1.1.2.1.4.2

                           (-) Indirect holdings of AT1 instruments

                              621

                           1.1.2.1.4.3

                           (-) Synthetic holdings of AT1 instruments

                              622

                           1.1.2.1.5

                           (-) Actual or contingent obligations to purchase own AT1 instruments

                              660

                              1.1.2.2

                              Transitional adjustments due to grandfathered AT1 Capital instruments

                              670

                              1.1.2.3

                              Instruments issued by subsidiaries that are given recognition in AT1 Capital

                              680

                              1.1.2.4

                              Transitional adjustments due to additional recognition in AT1 Capital of instruments issued by subsidiaries

                              690

                              1.1.2.5

                              (-) Reciprocal cross holdings in AT1 Capital

                              700

                              1.1.2.6

                              (-) AT1 instruments of financial sector entities where the institution does not have a significant investment

                              710

                              1.1.2.7

                              (-) AT1 instruments of financial sector entities where the institution has a significant investment

                              720

                              1.1.2.8

                              (-) Excess of deduction from T2 items over T2 Capital

                              730

                              1.1.2.9

                              Other transitional adjustments to AT1 Capital

                              740

                              1.1.2.10

                              Excess of deduction from AT1 items over AT1 Capital (deducted in CET1)

                              744

                              1.1.2.11

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

                              748

                              1.1.2.12

                              AT1 capital elements or deductions - other

                              750

                              1.2

                              TIER 2 CAPITAL

                              760

                              1.2.1

                              Capital instruments and subordinated loans eligible as T2 Capital

                              770

                           1.2.1.1

                           Paid up capital instruments and subordinated loans

                              780

                           1.2.1.2*

                           Memorandum item: Capital instruments and subordinated loans not eligible

                              790

                           1.2.1.3

                           Share premium

                              800

                           1.2.1.4

                           (-) Own T2 instruments

                              810

                           1.2.1.4.1

                           (-) Direct holdings of T2 instruments

                              840

                           1.2.1.4.2

                           (-) Indirect holdings of T2 instruments

                              841

                           1.2.1.4.3

                           (-) Synthetic holdings of T2 instruments

                              842

                           1.2.1.5

                           (-) Actual or contingent obligations to purchase own T2 instruments

                              880

                              1.2.2

                              Transitional adjustments due to grandfathered T2 Capital instruments and subordinated loans

                              890

                              1.2.3

                              Instruments issued by subsidiaries that are given recognition in T2 Capital

                              900

                              1.2.4

                              Transitional adjustments due to additional recognition in T2 Capital of instruments issued by subsidiaries

                              910

                              1.2.5

                              IRB Excess of provisions over expected losses eligible

                              920

                              1.2.6

                              SA General credit risk adjustments

                              930

                              1.2.7

                              (-) Reciprocal cross holdings in T2 Capital

                              940

                              1.2.8

                              (-) T2 instruments of financial sector entities where the institution does not have a significant investment

                              950

                              1.2.9

                              (-) T2 instruments of financial sector entities where the institution has a significant investment

                              960

                              1.2.10

                              Other transitional adjustments to T2 Capital

                              970

                              1.2.11

                              Excess of deduction from T2 items over T2 Capital (deducted in AT1)

                              974

                              1.2.12

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

                              978

                              1.2.13

                              T2 capital elements or deductions - other

                  C 02.00 - OWN FUNDS REQUIREMENTS (CA2)

                              Rows

                              Item

                              Label

                              Amount

                              010

                              1

                              TOTAL RISK EXPOSURE AMOUNT

                              020

                           1*

                              Of which: Investment firms under Article 95 paragraph 2 and Article 98 of CRR

                              030

                           1**

                              Of which: Investment firms under Article 96 paragraph 2 and Article 97 of CRR

                              040

                              1.1

                              RISK WEIGHTED EXPOSURE AMOUNTS FOR CREDIT, COUNTERPARTY CREDIT AND DILUTION RISKS AND FREE DELIVERIES

                              050

                              1.1.1

                              Standardised approach (SA)

                              060

                           1.1.1.1

                           SA exposure classes excluding securitisation positions

                              070

                           1.1.1.1.01

                           Central governments or central banks

                              080

                           1.1.1.1.02

                           Regional governments or local authorities

                              090

                           1.1.1.1.03

                           Public sector entities

                              100

                           1.1.1.1.04

                           Multilateral Development Banks

                              110

                           1.1.1.1.05

                           International Organisations

                              120

                           1.1.1.1.06

                           Institutions

                              130

                           1.1.1.1.07

                           Corporates

                              140

                           1.1.1.1.08

                           Retail

                              150

                           1.1.1.1.09

                           Secured by mortgages on immovable property

                              160

                           1.1.1.1.10

                           Exposures in default

                              170

                           1.1.1.1.11

                           Items associated with particular high risk

                              180

                           1.1.1.1.12

                           Covered bonds

                              190

                           1.1.1.1.13

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

                              200

                           1.1.1.1.14

                           Collective investments undertakings (CIU)

                              210

                           1.1.1.1.15

                           Equity

                              211

                           1.1.1.1.16

                           Other items

                              220

                           1.1.1.2

                           Securitisation positions SA

                              230

                           1.1.1.2*

                              of which: resecuritisation

                              240

                              1.1.2

                              Internal ratings based Approach (IRB)

                              250

                           1.1.2.1

                           IRB approaches when neither own estimates of LGD nor Conversion Factors are used

                              260

                           1.1.2.1.01

                           Central governments and central banks

                              270

                           1.1.2.1.02

                           Institutions

                              280

                           1.1.2.1.03

                           Corporates - SME

                              290

                           1.1.2.1.04

                           Corporates - Specialised Lending

                              300

                           1.1.2.1.05

                           Corporates - Other

                              310

                           1.1.2.2

                           IRB approaches when own estimates of LGD and/or Conversion Factors are used

                              320

                           1.1.2.2.01

                           Central governments and central banks

                              330

                           1.1.2.2.02

                           Institutions

                              340

                           1.1.2.2.03

                           Corporates - SME

                              350

                           1.1.2.2.04

                           Corporates - Specialised Lending

                              360

                           1.1.2.2.05

                           Corporates - Other

                              370

                           1.1.2.2.06

                           Retail - Secured by real estate SME

                              380

                           1.1.2.2.07

                           Retail - Secured by real estate non-SME

                              390

                           1.1.2.2.08

                           Retail - Qualifying revolving

                              400

                           1.1.2.2.09

                           Retail - Other SME

                              410

                           1.1.2.2.10

                           Retail - Other non-SME

                              420

                           1.1.2.3

                           Equity IRB

                              430

                           1.1.2.4

                           Securitisation positions IRB

                              440

                           1.1.2.4*

                              Of which: resecuritisation

                              450

                           1.1.2.5

                           Other non credit-obligation assets

                              460

                              1.1.3

                              Risk exposure amount for contributions to the default fund of a CCP

                              490

                              1.2

                              TOTAL RISK EXPOSURE AMOUNT FOR SETTLEMENT/DELIVERY

                              500

                              1.2.1

                              Settlement/delivery risk in the non-Trading book

                              510

                              1.2.2

                              Settlement/delivery risk in the Trading book

                              520

                              1.3

                              TOTAL RISK EXPOSURE AMOUNT FOR POSITION, FOREIGN EXCHANGE AND COMMODITIES RISKS

                              530

                              1.3.1

                              Risk exposure amount for position, foreign exchange and commodities risks under standardised approaches (SA)

                              540

                           1.3.1.1

                           Traded debt instruments

                              550

                           1.3.1.2

                           Equity

                              555

                           1.3.1.3

                           Particular approach for position risk in CIUs

                              556

                           1.3.1.3*

                           Memo item: CIUs exclusively invested in traded debt instruments

                              557

                           1.3.1.3**

                           Memo item: CIUs invested exclusively in equity instruments or in mixed instruments

                              560

                           1.3.1.4

                           Foreign Exchange

                              570

                           1.3.1.5

                           Commodities

                              580

                              1.3.2

                              Risk exposure amount for Position, foreign exchange and commodities risks under internal models (IM)

                              590

                              1.4

                              TOTAL RISK EXPOSURE AMOUNT FOR OPERATIONAL RISK (OpR )

                              600

                              1.4.1

                              OpR Basic indicator approach (BIA)

                              610

                              1.4.2

                              OpR Standardised (STA)/Alternative Standardised (ASA) approaches

                              620

                              1.4.3

                              OpR Advanced measurement approaches (AMA)

                              630

                              1.5

                              ADDITIONAL RISK EXPOSURE AMOUNT DUE TO FIXED OVERHEADS

                              640

                              1.6

                              TOTAL RISK EXPOSURE AMOUNT FOR CREDIT VALUATION ADJUSTMENT

                              650

                              1.6.1

                              Advanced method

                              660

                              1.6.2

                              Standardised method

                              670

                              1.6.3

                              Based on OEM

                              680

                              1.7

                              TOTAL RISK EXPOSURE AMOUNT RELATED TO LARGE EXPOSURES IN THE TRADING BOOK

                              690

                              1.8

                              OTHER RISK EXPOSURE AMOUNTS

                              710

                              1.8.2

                              Of which: Additional stricter prudential requirements based on Art 458

                              720

                           1.8.2*

                           Of which: requirements for large exposures

                              730

                           1.8.2**

                           Of which: due to modified risk weights for targeting asset bubbles in the residential and commercial property

                              740

                           1.8.2***

                           Of which: due to intra financial sector exposures

                              750

                              1.8.3

                              Of which: Additional stricter prudential requirements based on Art 459

                              760

                              1.8.4

                              Of which: Additional risk exposure amount due to Article 3 CRR

                  C 03.00 - CAPITAL RATIOS AND CAPITAL LEVELS (CA3)

                              Rows

                              ID

                              Item

                              Amount

                           010

                              1

                              CET1 Capital ratio

                           020

                              2

                              Surplus(+)/Deficit(–) of CET1 capital

                           030

                              3

                              T1 Capital ratio

                           040

                              4

                              Surplus(+)/Deficit(–) of T1 capital

                           050

                              5

                              Total capital ratio

                           060

                              6

                              Surplus(+)/Deficit(–) of total capital

                              Memorandum Items: Capital ratios due to Pillar II adjustments

                           070

                              7

                              CET1 capital ratio including Pillar II adjustments

                           080

                              8

                              Target CET1 capital ratio due to Pillar II adjustments

                           090

                              9

                              T1 capital ratio including Pillar II adjustments

                           100

                              10

                              Target T1 capital ratio due to Pillar II adjustments

                           110

                              11

                              Total capital ratio including Pillar II adjustments

                           120

                              12

                              Target Total capital ratio due to Pillar II adjustments

                  C 04.00 - MEMORANDUM ITEMS (CA4)

                              Row

                              ID

                              Item

                              Column

                              Deferred tax assest and liabilities

                              010

                           010

                           1

                              Total deferred tax assets

                           020

                           1.1

                           Deferred tax assets that do not rely on future profitability

                           030

                           1.2

                           Deferred tax assets that rely on future profitability and do not arise from temporary differences

                           040

                           1.3

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

                           050

                           2

                              Total deferred tax liabilities

                           060

                           2.1

                           Deferred tax liabilities non deductible from deferred tax assets that rely on future profitability

                           070

                           2.2

                           Deferred tax liabilities deductible from deferred tax assets that rely on future profitability

                           080

                           2.2.1

                           Deductible deferred tax liabilities associated with deferred tax assets that rely on future profitability and do not arise from temporary differences

                           090

                           2.2.2

                           Deductible deferred tax liabilities associated with deferred tax assets that rely on future profitability and arise from temporary differences

                           093

                           2A

                              Tax overpayments and tax loss carry backs

                           096

                           2B

                              Deferred Tax Assets subject to a risk weight of 250 %

                           097

                           2C

                              Deferred Tax Assets subject to a risk weight of 0 %

                              Credit risk adjustments and expected losses

                           100

                           3

                              IRB excess (+) or shortfall (-) of credit risk adjustments, additional value adjustments and other own funds reductions to expected losses for non defaulted exposures

                           110

                           3.1

                           Total credit risk adjustments, additional value adjustments and other own funds reductions eligible for inclusion in the calculation of the expected loss amount

                           120

                           3.1.1

                           General credit risk adjustments

                           130

                           3.1.2

                           Specific credit risk adjustments

                           131

                           3.1.3

                           Additional value adjustments and other own funds reductions

                           140

                           3.2

                           Total expected losses eligible

                           145

                           4

                              IRB excess (+) or shortfall (-) of specific credit risk adjustments to expected losses for defaulted exposures

                           150

                           4.1

                           Specific credit risk adjustments and positions treated similarily

                           155

                           4.2

                           Total expected losses eligible

                           160

                           5

                              Risk weighted exposure amounts for calculating the cap to the excess of provision eligible as T2

                           170

                           6

                              Total gross provisions eligible for inclusion in T2 capital

                           180

                           7

                              Risk weighted exposure amounts for calculating the cap to the provision eligible as T2

                              Thresholds for Common Equity Tier 1 deductions

                           190

                           8

                              Threshold non deductible of holdings in financial sector entities where an institution does not have a significant investment

                           200

                           9

                              10 % CET1 threshold

                           210

                           10

                              17,65 % CET1 threshold

                           225

                           11.1

                              Eligible capital for the purposes of qualifying holdings outside the financial sector

                           226

                           11.2

                              Eligible capital for the purposes of large exposures

                              Investments in the capital of financial sector entities where the institution does not have a significant investment

                           230

                           12

                              Holdings of CET1 capital of financial sector entities where the institution does not have a significant investment, net of short positions

                           240

                           12.1

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

                           250

                           12.1.1

                           Gross direct holdings of CET1 capital of financial sector entities where the institution does not have a significant investment

                           260

                           12.1.2

                           (-) Permitted offsetting short positions in relation to the direct gross holdings included above

                           270

                           12.2

                           Indirect holdings of CET1 capital of financial sector entities where the institution does not have a significant investment

                           280

                           12.2.1

                           Gross indirect holdings of CET1 capital of financial sector entities where the institution does not have a significant investment

                           290

                           12.2.2

                           (-) Permitted offsetting short positions in relation to the indirect gross holdings included above

                           291

                           12.3

                           Synthetic holdings of CET1 capital of financial sector entities where the institution does not have a significant investment

                           292

                           12.3.1

                           Gross synthetic holdings of CET1 capital of financial sector entities where the institution does not have a significant investment

                           293

                           12.3.2

                           (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above

                           300

                           13

                              Holdings of AT1 capital of financial sector entities where the institution does not have a significant investment, net of short positions

                           310

                           13.1

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

                           320

                           13.1.1

                           Gross direct holdings of AT1 capital of financial sector entities where the institution does not have a significant investment

                           330

                           13.1.2

                           (-) Permitted offsetting short positions in relation to the direct gross holdings included above

                           340

                           13.2

                           Indirect holdings of AT1 capital of financial sector entities where the institution does not have a significant investment

                           350

                           13.2.1

                           Gross indirect holdings of AT1 capital of financial sector entities where the institution does not have a significant investment

                           360

                           13.2.2

                           (-) Permitted offsetting short positions in relation to the indirect gross holdings included above

                           361

                           13.3

                           Synthetic holdings of AT1 capital of financial sector entities where the institution does not have a significant investment

                           362

                           13.3.1

                           Gross synthetic holdings of AT1 capital of financial sector entities where the institution does not have a significant investment

                           363

                           13.3.2

                           (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above

                           370

                           14

                              Holdings of T2 capital of financial sector entities where the institution does not have a significant investment, net of short positions

                           380

                           14.1

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

                           390

                           14.1.1

                           Gross direct holdings of T2 capital of financial sector entities where the institution does not have a significant investment

                           400

                           14.1.2

                           (-) Permitted offsetting short positions in relation to the direct gross holdings included above

                           410

                           14.2

                           Indirect holdings of T2 capital of financial sector entities where the institution does not have a significant investment

                           420

                           14.2.1

                           Gross indirect holdings of T2 capital of financial sector entities where the institution does not have a significant investment

                           430

                           14.2.2

                           (-) Permitted offsetting short positions in relation to the indirect gross holdings included above

                           431

                           14.3

                           Synthetic holdings of T2 capital of financial sector entities where the institution does not have a significant investment

                           432

                           14.3.1

                           Gross synthetic holdings of T2 capital of financial sector entities where the institution does not have a significant investment

                           433

                           14.3.2

                           (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above

                              Investments in the capital of financial sector entities where the institution has a significant investment

                           440

                           15

                              Holdings of CET1 capital of financial sector entities where the institution has a significant investment, net of short positions

                           450

                           15.1

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

                           460

                           15.1.1

                           Gross direct holdings of CET1 capital of financial sector entities where the institution has a significant investment

                           470

                           15.1.2

                           (-) Permitted offsetting short positions in relation to the direct gross holdings included above

                           480

                           15.2

                           Indirect holdings of CET1 capital of financial sector entities where the institution has a significant investment

                           490

                           15.2.1

                           Gross indirect holdings of CET1 capital of financial sector entities where the institution has a significant investment

                           500

                           15.2.2

                           (-) Permitted offsetting short positions in relation to the indirect gross holdings included above

                           501

                           15.3

                           Synthetic holdings of CET1 capital of financial sector entities where the institution has a significant investment

                           502

                           15.3.1

                           Gross synthetic holdings of CET1 capital of financial sector entities where the institution has a significant investment

                           503

                           15.3.2

                           (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above

                           510

                           16

                              Holdings of AT1 capital of financial sector entities where the institution has a significant investment, net of short positions

                           520

                           16.1

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

                           530

                           16.1.1

                           Gross direct holdings of AT1 capital of financial sector entities where the institution has a significant investment

                           540

                           16.1.2

                           (-) Permitted offsetting short positions in relation to the direct gross holdings included above

                           550

                           16.2

                           Indirect holdings of AT1 capital of financial sector entities where the institution has a significant investment

                           560

                           16.2.1

                           Gross indirect holdings of AT1 capital of financial sector entities where the institution has a significant investment

                           570

                           16.2.2

                           (-) Permitted offsetting short positions in relation to the indirect gross holdings included above

                           571

                           16.3

                           Synthetic holdings of AT1 capital of financial sector entities where the institution has a significant investment

                           572

                           16.3.1

                           Gross synthetic holdings of AT1 capital of financial sector entities where the institution has a significant investment

                           573

                           16.3.2

                           (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above

                           580

                           17

                              Holdings of T2 capital of financial sector entities where the institution has a significant investment, net of short positions

                           590

                           17.1

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

                           600

                           17.1.1

                           Gross direct holdings of T2 capital of financial sector entities where the institution has a significant investment

                           610

                           17.1.2

                           (-) Permitted offsetting short positions in relation to the direct gross holdings included above

                           620

                           17.2

                           Indirect holdings of T2 capital of financial sector entities where the institution has a significant investment

                           630

                           17.2.1

                           Gross indirect holdings of T2 capital of financial sector entities where the institution has a significant investment

                           640

                           17.2.2

                           (-) Permitted offsetting short positions in relation to the indirect gross holdings included above

                           641

                           17.3

                           Synthetic holdings of T2 capital of financial sector entities where the institution has a significant investment

                           642

                           17.3.1

                           Gross synthetic holdings of T2 capital of financial sector entities where the institution has a significant investment

                           643

                           17.3.2

                           (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above

                              Total risk exposure amounts of holdings not deducted from the corresponding capital category:

                           650

                           18

                              Risk weighted exposures of CET1 holdings in financial sector entities which are not deducted from the institution's CET1 capital

                           660

                           19

                              Risk weighted exposures of AT1 holdings in financial sector entities which are not deducted from the institution's AT1 capital

                           670

                           20

                              Risk weighted exposures of T2 holdings in financial sector entities which are not deducted from the institution's T2 capital

                              Temporary waiver from deduction from own funds

                           680

                           21

                              Holdings on CET1 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived

                           690

                           22

                              Holdings on CET1 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived

                           700

                           23

                              Holdings on AT1 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived

                           710

                           24

                              Holdings on AT1 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived

                           720

                           25

                              Holdings on T2 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived

                           730

                           26

                              Holdings on T2 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived

                              Capital buffers

                           740

                           27

                              Combined buffer requirement

                           750

                              Capital conservation buffer

                           760

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

                           770

                              Institution specific countercyclical capital buffer

                           780

                              Systemic risk buffer

                           800

                              Global Systemically Important Institution buffer

                           810

                              Other Systemically Important Institution buffer

                              Pillar II requirements

                           820

                           28

                              Own funds requirements related to Pillar II adjustments

                              Additional information for investment firms

                           830

                           29

                              Initial capital

                           840

                           30

                              Own funds based on Fixed Overheads

                              Additional information for calculation of reporting thresholds

                           850

                           31

                              Non-domestic original exposures

                           860

                           32

                              Total original exposures

                              Basel I floor

                           870

                              Adjustments to total own funds

                           880

                              Own funds fully adjusted for Basel I floor

                           890

                              Own funds requirements for Basel I floor

                           900

                              Own funds requirements for Basel I floor - SA alternative

                           910

                              Deficit of total capital as regards the minimum own funds requirements of the Basel I floor

                  C 05.01 - TRANSITIONAL PROVISIONS (CA5.1)

                              Adjustments to CET1

                              Adjustments to AT1

                              Adjustments to T2

                              Adjustments included in RWAs

                              Memorandum items

                              Applicable percentage

                              Eligible amount without transitional provisions

                              Code

                              ID

                              Item

                           010

                           020

                           030

                           040

                           050

                           060

                           010

                           1

                              TOTAL ADJUSTMENTS

                           020

                           1.1

                              GRANDFATHERED INSTRUMENTS

                           link to {CA1;r220}

                           link to {CA1;r660}

                           link to {CA1;r880}

                           030

                           1.1.1

                              Grandfathered instruments: Instruments constituting state aid

                           040

                           1.1.1.1

                           Instruments that qualified as own funds according to 2006/48/EC

                           050

                           1.1.1.2

                           Instruments issued by institutions that are incorporated in a Member State that is subject to an Economic Adjustment Programme

                           060

                           1.1.2

                              Instruments not constituting state aid

                           link to {CA5.2;r010;c060}

                           link to {CA5.2;r020;c060}

                           link to {CA5.2;r090;c060}

                           070

                           1.2

                              MINORITY INTERESTS AND EQUIVALENTS

                           link to {CA1;r240}

                           link to {CA1;r680}

                           link to {CA1;r900}

                           080

                           1.2.1

                              Capital instruments and items that do not qualify as minority interests

                           090

                           1.2.2

                              Transitional recognition in consolidated own funds of minority interests

                           091

                           1.2.3

                           Transitional recognition in consolidated own funds of qualifying Additional Tier 1 capital

                           092

                           1.2.4

                           Transitional recognition in consolidated own funds of qualifying Tier 2 capital

                           100

                           1.3

                              OTHER TRANSITIONAL ADJUSTMENTS

                           link to {CA1;r520}

                           link to {CA1;r730}

                           link to {CA1;r960}

                           110

                           1.3.1

                              Unrealised gains and losses

                           120

                           1.3.1.1

                           Unrealised gains

                           130

                           1.3.1.2

                           Unrealised losses

                           133

                           1.3.1.3.

                           Unrealised gains on exposures to central governments classified in the “Available for sale” category of EU-endorsed IAS39

                           136

                           1.3.1.4.

                           Unrealised loss on exposures to central governments classified in the “Available for sale” category of EU-endorsed IAS39

                           138

                           1.3.1.5.

                           Fair value gains and losses arising from the institution's own credit risk related to derivative liabilities

                           140

                           1.3.2

                              Deductions

                           150

                           1.3.2.1

                           Losses for the current financial year

                           160

                           1.3.2.2

                           Intangible assets

                           170

                           1.3.2.3

                           Deferred tax assets that rely on future profitability and do not arise from temporary differences

                           180

                           1.3.2.4

                           IRB shortfall of provisions to expected losses

                           190

                           1.3.2.5

                           Defined benefit pension fund assets

                           194

                           1.3.2.5*

                           of which: Introduction of amendments to IAS 19 - positive item

                           198

                           1.3.2.5**

                           of which: Introduction of amendments to IAS 19 - negative item

                           200

                           1.3.2.6

                           Own instruments

                           210

                           1.3.2.6.1

                           Own CET1 instruments

                           211

                           1.3.2.6.1**

                           of which: Direct holdings

                           212

                           1.3.2.6.1*

                           of which: Indirect holdings

                           220

                           1.3.2.6.2

                           Own AT1 instruments

                           221

                           1.3.2.6.2**

                           of which: Direct holdings

                           222

                           1.3.2.6.2*

                           of which: Indirect holdings

                           230

                           1.3.2.6.3

                           Own T2 instruments

                           231

                           1.3.2.6.3*

                           of which: Direct holdings

                           232

                           1.3.2.6.3**

                           of which: Indirect holdings

                           240

                           1.3.2.7

                           Reciprocal cross holdings

                           250

                           1.3.2.7.1

                           Reciprocal cross holdings in CET1 Capital

                           260

                           1.3.2.7.1.1

                           Reciprocal cross holdings in CET1 Capital of financial sector entities where the institution does not have a significant investment

                           270

                           1.3.2.7.1.2

                           Reciprocal cross holdings in CET1 Capital of financial sector entities where the institution has a significant investment

                           280

                           1.3.2.7.2

                           Reciprocal cross holdings in AT1 Capital

                           290

                           1.3.2.7.2.1

                           Reciprocal cross holdings in AT1 Capital of financial sector entities where the institution does not have a significant investment

                           300

                           1.3.2.7.2.2

                           Reciprocal cross holdings in AT1 Capital of financial sector entities where the institution has a significant investment

                           310

                           1.3.2.7.3

                           Reciprocal cross holdings in T2 Capital

                           320

                           1.3.2.7.3.1

                           Reciprocal cross holdings in T2 Capital of financial sector entities where the institution does not have a significant investment

                           330

                           1.3.2.7.3.2

                           Reciprocal cross holdings in T2 Capital of financial sector entities where the institution has a significant investment

                           340

                           1.3.2.8

                           Own funds instruments of financial sector entities where the institution does not have a significant investment

                           350

                           1.3.2.8.1

                           CET1 instruments of financial sector entities where the institution does not have a significant investment

                           360

                           1.3.2.8.2

                           AT1 instruments of financial sector entities where the institution does not have a significant investment

                           370

                           1.3.2.8.3

                           T2 instruments of financial sector entities where the institution does not have a significant investment

                           380

                           1.3.2.9

                           Deferred tax assets that are dependent on future profitability and arise from temporary differences and CET1 instruments of financial sector entities where the institution has a significant investment

                           385

                           1.3.2.9a

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

                           390

                           1.3.2.10

                           Own funds instruments of financial sector entities where the institution has a significant investment

                           400

                           1.3.2.10.1

                           CET1 instruments of financial sector entities where the institution has a significant investment

                           410

                           1.3.2.10.2

                           AT1 instruments of financial sector entities where the institution has a significant investment

                           420

                           1.3.2.10.3

                           T2 instruments of financial sector entities where the institution has a significant investment

                           425

                           1.3.2.11

                           Exemption from deduction of Equity Holdings in Insurance Companies from CET 1 Items

                           430

                           1.3.3

                              Additional filters and deductions

                           440

                           1.3.4

                              Adjustments due to IFRS 9 transitional arrangements

                  C 05.02 - GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUING STATE AID (CA5.2)

                                          CA 5.2

                                       Grandfathered instruments: Instruments not constituting State aid

                              Amount of instruments plus related share premium

                              Base for calculating the limit

                              Applicable percentage

                              Limit

                              (-) Amount that exceeds the limits for grandfathering

                              Total grandfathered amount

                              Code

                              ID

                              Item

                           010

                           020

                           030

                           040

                           050

                           060

                           010

                           1.

                              Instruments that qualified for point a) of Article 57 of 2006/48/EC

                           link to {CA5.1;r060;c010)

                           020

                           2.

                              Instruments that qualified for point ca) of Article 57 and Article 154(8) and (9) of 2006/48/EC, subject to the limit of Article 489

                           link to {CA5.1;r060;c020)

                           030

                           2.1

                           Total instruments without a call or an incentive to redeem

                           040

                           2.2.

                           Grandfathered instruments with a call and incentive to redeem

                           050

                           2.2.1

                           Instruments with a call exercisable after the reporting date, and which meet the conditions in Article 52 of CRR after the date of effective maturity

                           060

                           2.2.2

                           Instruments with a call exercisable after the reporting date, and which do not meet the conditions in Article 52 of CRR after the date of effective maturity

                           070

                           2.2.3

                           Instruments with a call exercisable prior to or on 20 July 2011, and which do not meet the conditions in Article 52 of CRR after the date of effective maturity

                           080

                           2.3

                           Excess on the limit of CET1 grandfathered instruments

                           090

                           3

                              Items that qualified for points e), f), g) or h) of Article 57 of 2006/48/EC, subject to the limit of Article 490

                           link to {CA5.1;r060;c030)

                           100

                           3.1

                           Total items without an incentive to redeem

                           110

                           3.2

                           Grandfathered items with an incentive to redeem

                           120

                           3.2.1

                           Items with a call exercisable after the reporting date, and which meet the conditions in Article 63 of CRR after the date of effective maturity

                           130

                           3.2.2

                           Items with a call exercisable after the reporting date, and which do not meet the conditions in Article 63 of CRR after the date of effective maturity

                           140

                           3.2.3

                           Items with a call exercisable prior to or on 20 July 2011, and which do not meet the conditions in Article 63 of CRR after the date of effective maturity

                           150

                           3.3

                           Excess on the limit of AT1 grandfathered instruments

                  C 06.01 - GROUP SOLVENCY: INFORMATION ON AFFILIATES - TOTAL (GS TOTAL)

                              INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP

                              CAPITAL BUFFERS

                              TOTAL RISK EXPOSURE AMOUNT

                              QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS

                              CONSOLIDATED OWN FUNDS

                              COMBINED BUFFER REQUIREMENTS

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

                              POSITION, FX AND COMMODITIES RISKS

                              OPERATIONAL RISK

                              OTHER RISK EXPOSURE AMOUNTS

                              QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 1 CAPITAL

                              QUALIFYING OWN FUNDS INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 2 CAPITAL

                              MEMORANDUM ITEM:

                              GOODWILL (–)/(+) NEGATIVE GOODWILL

                              OF WHICH: COMMON EQUITY TIER 1

                              OF WHICH: ADDITIONAL TIER 1

                              OF WHICH: CONRIBUTIONS TO CONSOLIDATED RESULT

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

                              CAPITAL CONSERVATION BUFFER

                              INSTITUTION SPECIFIC COUNTERCYCLICAL CAPITAL BUFFER

                              CONSERVATION BUFFER DUE TO MACRO-PRUDENTIAL OR SYSTEMIC RISK IDENTIFIED AT THE LEVEL OF A MEMBER STATE

                              SYSTEMIC RISK BUFFER

                              GLOBAL SYSTEMICALLY IMPORTANT INSTITUTION BUFFER

                              OTHER SYSTEMICALLY IMPORTANT INSTITUTION BUFFER

                              MINORITY INTERESTS INCLUDED IN CONSOLIDATED COMMON EQUITY TIER 1 CAPITAL

                              QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED ADDITIONAL TIER 1 CAPITAL

                           250

                           260

                           270

                           280

                           290

                           300

                           310

                           320

                           330

                           340

                           350

                           360

                           370

                           380

                           390

                           400

                           410

                           420

                           430

                           440

                           450

                           470

                           480

                           010

                           TOTAL

                  C 06.02 - GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS)

                              ENTITIES WITHIN SCOPE OF CONSOLIDATION

                              INFORMATION ON ENTITIES SUBJECT TO OWN FUNDS REQUIREMENTS

                              INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP

                              CAPITAL BUFFERS

                              NAME

                              CODE

                              LEI code

                              INSTITUTION OR EQUIVALENT (YES/NO)

                              SCOPE OF DATA: SOLO FULLY CONSOLIDATED (SF) OR SOLO PARTIALLY CONSOLIDATED (SP)

                              COUNTRY CODE

                              SHARE OF HOLDING (%)

                              TOTAL RISK EXPOSURE AMOUNT

                              OWN FUNDS

                              TOTAL RISK EXPOSURE AMOUNT

                              QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS

                              CONSOLIDATED OWN FUNDS

                              COMBINED BUFFER REQUIREMENTS

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

                              POSITION, FX AND COMMODITIES RISKS

                              OPERATIONAL RISK

                              OTHER RISK EXPOSURE AMOUNTS

                              TOTAL TIER 1 CAPITAL

                              TIER 2 CAPITAL

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

                              POSITION, FX AND COMMODITIES RISKS

                              OPERATIONAL RISK

                              OTHER RISK EXPOSURE AMOUNTS

                              QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 1 CAPITAL

                              QUALIFYING OWN FUNDS INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 2 CAPITAL

                              MEMORANDUM ITEM:

                              GOODWILL (–)/(+) NEGATIVE GOODWILL

                              OF WHICH: COMMON EQUITY TIER 1

                              OF WHICH: ADDITIONAL TIER 1

                              OF WHICH: CONRIBUTIONS TO CONSOLIDATED RESULT

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

                              CAPITAL CONSERVATION BUFFER

                              INSTITUTION SPECIFIC COUNTERCYCLICAL CAPITAL BUFFER

                              CONSERVATION BUFFER DUE TO MACRO-PRUDENTIAL OR SYSTEMIC RISK IDENTIFIED AT THE LEVEL OF A MEMBER STATE

                              SYSTEMIC RISK BUFFER

                              GLOBAL SYSTEMICALLY IMPORTANT INSTITUTION BUFFER

                              OTHER SYSTEMICALLY IMPORTANT INSTITUTION BUFFER

                              COMMON EQUITY TIER 1 CAPITAL

                              ADDITIONAL TIER 1 CAPITAL

                              MINORITY INTERESTS INCLUDED IN CONSOLIDATED COMMON EQUITY TIER 1 CAPITAL

                              QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED ADDITIONAL TIER 1 CAPITAL

                              OF WHICH: QUALIFYING OWN FUNDS

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

                              OF WHICH: QUALIFYING TIER 1 CAPITAL

                              RELATED T1 INSTRUMENTS, RELATED RETAINED EARNINGS AND SHARE PREMIUM ACCOUNTS

                              OF WHICH: MINORITY INTERESTS

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

                              OF WHICH: QUALIFYING ADDITIONAL TIER 1 CAPITAL

                              OF WHICH: QUALIFYING TIER 2 CAPITAL

                           010

                           020

                           025

                           030

                           040

                           050

                           060

                           070

                           080

                           090

                           100

                           110

                           120

                           130

                           140

                           150

                           160

                           170

                           180

                           190

                           200

                           210

                           220

                           230

                           240

                           250

                           260

                           270

                           280

                           290

                           300

                           310

                           320

                           330

                           340

                           350

                           360

                           370

                           380

                           390

                           400

                           410

                           420

                           430

                           440

                           450

                           470

                           480

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

                              SA Exposure class

                              ORIGINAL EXPOSURE PRE CONVERSION FACTORS

                              (-) VALUE ADJUSTMENTS AND PROVISIONS ASSOCIATED WITH THE ORIGINAL EXPOSURE

                              EXPOSURE NET OF VALUE ADJUSTMENTS AND PROVISIONS

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

                              NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS

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

                              FULLY ADJUSTED EXPOSURE VALUE (E*)

                              BREAKDOWN OF THE FULLY ADJUSTED EXPOSURE VALUE OF OFF-BALANCE SHEET ITEMS BY CONVERSION FACTORS

                              EXPOSURE VALUE

                              RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR

                              RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR

                              UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (Ga)

                              FUNDED CREDIT PROTECTION

                              SUBSTITUTION OF THE EXPOSURE DUE TO CRM

                              VOLATILITY ADJUSTMENT TO THE EXPOSURE

                              (-) FINANCIAL COLLATERAL: ADJUSTED VALUE (Cvam)

                              0 %

                              20 %

                              50 %

                              100 %

                              OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK

                              OF WHICH: WITH A CREDIT ASSESSMENT BY A NOMINATED ECAI

                              OF WHICH: WITH A CREDIT ASSESSMENT DERIVED FROM CENTRAL GOVERNMENT

                              (-) GUARANTEES

                              (-) CREDIT DERIVATIVES

                              (-) FINANCIAL COLLATERAL: SIMPLE METHOD

                              (-) OTHER FUNDED CREDIT PROTECTION

                              (-) TOTAL OUTFLOWS

                              TOTAL INFLOWS (+)

                              (-) OF WHICH: VOLATILITY AND MATURITY ADJUSTMENTS

                           010

                           030

                           040

                           050

                           060

                           070

                           080

                           090

                           100

                           110

                           120

                           130

                           140

                           150

                           160

                           170

                           180

                           190

                           200

                           210

                           215

                           220

                           230

                           240

                           010

                              TOTAL EXPOSURES

                           Cell linked to CA

                           015

                              of which: Defaulted exposures

                           020

                              of which: SME

                           030

                              of which: Exposures subject to SME-supporting factor

                           040

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

                           050

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

                           060

                              of which: Exposures under the standardised approach with prior supervisory permission to carry out a sequential IRB implementation

                              BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:

                           070

                              On balance sheet exposures subject to credit risk

                           080

                              Off balance sheet exposures subject to credit risk

                              Exposures/Transactions subject to counterparty credit risk

                           090

                              Securities Financing Transactions

                           100

                              of which: centrally cleared through a QCCP

                           110

                              Derivatives & Long Settlement Transactions

                           120

                              of which: centrally cleared through a QCCP

                           130

                              From Contractual Cross Product Netting

                              BREAKDOWN OF TOTAL EXPOSURES BY RISK WEIGHTS:

                           140

                              0 %

                           150

                              2 %

                           160

                              4 %

                           170

                              10 %

                           180

                              20 %

                           190

                              35 %

                           200

                              50 %

                           210

                              70 %

                           220

                              75 %

                           230

                              100 %

                           240

                              150 %

                           250

                              250 %

                           260

                              370 %

                           270

                              1 250  %

                           280

                              Other risk weights

                              MEMORANDUM ITEMS

                           290

                              Exposures secured by mortgages on commercial immovable property

                           300

                              Exposures in default subject to a risk weight of 100 %

                           310

                              Exposures secured by mortgages on residential property

                           320

                              Exposures in default subject to a risk weight of 150 %

                  C 08.01 - CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS (CR IRB 1)

                              IRB Exposure class:

                              Own estimates of LGD and/or conversion factors:

                              INTERNAL RATING SYSTEM

                              ORIGINAL EXPOSURE PRE CONVERSION FACTORS

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

                              EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS

                              EXPOSURE VALUE

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

                              SUBJECT TO DOUBLE DEFAULT TREATMENT

                              EXPOSURE WEIGHTED AVERAGE LGD (%)

                              EXPOSURE WEIGHTED AVERAGE LGD (%) FOR LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

                              EXPOSURE-WEIGHTED AVERAGE MATURITY VALUE (DAYS)

                              RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR

                              RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR

                              MEMORANDUM ITEMS:

                              UNFUNDED CREDIT PROTECTION

                              (-) OTHER FUNDED CREDIT PROTECTION

                              SUBSTITUTION OF THE EXPOSURE DUE TO CRM

                              OWN ESTIMATES OF LGD'S ARE USED:

                              UNFUNDED CREDIT PROTECTION

                              FUNDED CREDIT PROTECTION

                              UNFUNDED CREDIT PROTECTION

                              EXPECTED LOSS AMOUNT

                              (-) VALUE ADJUSTMENTS AND PROVISIONS

                              NUMBER OF OBLIGORS

                              PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%)

                              OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

                              (-) GUARANTEES

                              (-) CREDIT DERIVATIVES

                              (-) TOTAL OUTFLOWS

                              TOTAL INFLOWS (+)

                              OF WHICH: OFF BALANCE SHEET ITEMS

                              OF WHICH: OFF BALANCE SHEET ITEMS

                              OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK

                              OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

                              GUARANTEES

                              CREDIT DERIVATIVES

                              OWN ESTIMATES OF LGD'S ARE USED:

                              OTHER FUNDED CREDIT PROTECTION

                              ELIGIBLE FINANCIAL COLLATERAL

                              OTHER ELIGIBLE COLLATERAL

                              OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

                              REAL ESTATE

                              OTHER PHYSICAL COLLATERAL

                              RECEIVABLES

                           010

                           020

                           030

                           040

                           050

                           060

                           070

                           080

                           090

                           100

                           110

                           120

                           130

                           140

                           150

                           160

                           170

                           180

                           190

                           200

                           210

                           220

                           230

                           240

                           250

                           255

                           260

                           270

                           280

                           290

                           300

                           010

                              TOTAL EXPOSURES

                              Cell linked to CA

                           015

                              of which: Exposures subject to SME-supporting factor

                              BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:

                           020

                              On balance sheet items subject to credit risk

                           030

                              Off balance sheet items subject to credit risk

                              Exposures/Transactions subject to counterparty credit risk

                           040

                              Securities Financing Transactions

                           050

                              Derivatives & Long Settlement Transactions

                           060

                              From Contractual Cross Product Netting

                           070

                              EXPOSURES ASSIGNED TO OBLIGOR GRADES OR POOLS: TOTAL

                           080

                              SPECIALIZED LENDING SLOTTING CRITERIA: TOTAL

                              BREAKDOWN BY RISK WEIGHTS OF TOTAL EXPOSURES UNDER SPECIALIZED LENDING SLOTTING CRITERIA:

                           090

                              RISK WEIGHT: 0 %

                           100

                              50 %

                           110

                              70 %

                           120

                              Of which: in category 1

                           130

                              90 %

                           140

                              115 %

                           150

                              250 %

                           160

                              ALTERNATIVE TREATMENT: SECURED BY REAL ESTATE

                           170

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

                           180

                              DILUTION RISK: TOTAL PURCHASED RECEIVABLES

                  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)

                              IRB Exposure class:

                              Own estimates of LGD and/or conversion factors:

                              OBLIGOR GRADE (ROW IDENTIFIER)

                              INTERNAL RATING SYSTEM

                              ORIGINAL EXPOSURE PRE CONVERSION FACTORS

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

                              EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS

                              EXPOSURE VALUE

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

                              SUBJECT TO DOUBLE DEFAULT TREATMENT

                              EXPOSURE WEIGHTED AVERAGE LGD (%)

                              EXPOSURE WEIGHTED AVERAGE LGD (%) FOR LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

                              EXPOSURE-WEIGHTED AVERAGE MATURITY VALUE (DAYS)

                              RISK WEIGHTED EXPOSURE AMOUNT PRE SME-FACTOR

                              RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-FACTOR

                              MEMORANDUM ITEMS:

                              UNFUNDED CREDIT PROTECTION

                              (-) OTHER FUNDED CREDIT PROTECTION

                              SUBSTITUTION OF THE EXPOSURE DUE TO CRM

                              OWN ESTIMATES OF LGD'S ARE USED:

                              UNFUNDED CREDIT PROTECTION

                              FUNDED CREDIT PROTECTION

                              UNFUNDED CREDIT PROTECTION

                              EXPECTED LOSS AMOUNT

                              (-) VALUE ADJUSTMENTS AND PROVISIONS

                              NUMBER OF OBLIGORS

                              PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%)

                              OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

                              (-) GUARANTEES

                              (-) CREDIT DERIVATIVES

                              (-) TOTAL OUTFLOWS

                              TOTAL INFLOWS (+)

                              OF WHICH: OFF BALANCE SHEET ITEMS

                              OF WHICH: OFF BALANCE SHEET ITEMS

                              OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK

                              OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

                              GUARANTEES

                              CREDIT DERIVATIVES

                              OWN ESTIMATES OF LGD'S ARE USED:

                              OTHER FUNDED CREDIT PROTECTION

                              ELIGIBLE FINANCIAL COLLATERAL

                              OTHER ELIGIBLE COLLATERAL

                              OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

                              REAL ESTATE

                              OTHER PHYSICAL COLLATERAL

                              RECEIVABLES

                           005

                           010

                           020

                           030

                           040

                           050

                           060

                           070

                           080

                           090

                           100

                           110

                           120

                           130

                           140

                           150

                           160

                           170

                           180

                           190

                           200

                           210

                           220

                           230

                           240

                           250

                           255

                           260

                           270

                           280

                           290

                           300

                  C 09.01 - GEOGRAPHICAL BREAKDOWN OF EXPOSURES BY RESIDENCE OF THE OBLIGOR: SA EXPOSURES (CR GB 1)

                              Country:

                              ORIGINAL EXPOSURE PRE CONVERSION FACTORS

                              Defaulted exposures

                              Observed new defaults for the period

                              General credit risk adjustments

                              Specific credit risk adjustments

                              Of which: write off

                              Credit risk adjustments/write-offs for observed new defaults

                              EXPOSURE VALUE

                              RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR

                              RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR

                           010

                           020

                           040

                           050

                           055

                           060

                           070

                           075

                           080

                           090

                           010

                           Central governments or central banks

                           020

                           Regional governments or local authorities

                           030

                           Public sector entities

                           040

                           Multilateral Development Banks

                           050

                           International Organisations

                           060

                           Institutions

                           070

                           Corporates

                           075

                           of which: SME

                           080

                           Retail

                           085

                           of which: SME

                           090

                           Secured by mortgages on immovable property

                           095

                           of which: SME

                           100

                           Exposures in default

                           110

                           Items associated with particularly high risk

                           120

                           Covered bonds

                           130

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

                           140

                           Collective investments undertakings (CIU)

                           150

                           Equity exposures

                           160

                           Other exposures

                           170

                              Total exposures

                  C 09.02 - GEOGRAPHICAL BREAKDOWN OF EXPOSURES BY RESIDENCE OF THE OBLIGOR: IRB EXPOSURES (CR GB 2)

                              Country:

                              ORIGINAL EXPOSURE PRE CONVERSION FACTORS

                              Of which: defaulted

                              Observed new defaults for the period

                              General credit risk adjustments

                              Specific credit risk adjustments

                              Of which: write off

                              Credit risk adjustments/write-offs for observed new defaults

                              PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%)

                              EXPOSURE WEIGHTED AVERAGE LGD (%)

                              Of which: defaulted

                              EXPOSURE VALUE

                              RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR

                              Of which: defaulted

                              RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR

                              EXPECTED LOSS AMOUNT

                           010

                           030

                           040

                           050

                           055

                           060

                           070

                           080

                           090

                           100

                           105

                           110

                           120

                           125

                           130

                           010

                           Central governments or central banks

                           020

                           Institutions

                           030

                           Corporates

                           042

                           Of Which: Specialised Lending (excl. SL subject to slotting criteria)

                           045

                           Of Which: Specialised Lending subject to slotting criteria

                           050

                           Of Which: SME

                           060

                           Retail

                           070

                           Secured by real estate property

                           080

                           SME

                           090

                           Non-SME

                           100

                           Qualifying Revolving

                           110

                           Other Retail

                           120

                           SME

                           130

                           Non-SME

                           140

                           Equity

                           150

                              Total exposures

                  C 09.04 - BREAKDOWN OF CREDIT EXPOSURES RELEVANT FOR THE CALCULATION OF THE COUNTERCYCLICAL BUFFER BY COUNTRY AND INSTITUTION-SPECIFIC COUNTERCYCLICAL BUFFER RATE (CCB)

                              Country:

                              Amount

                              Percentage

                              Qualitative information

                           010

                           020

                           030

                              Relevant credit exposures - Credit Risk

                           010

                           Exposure value under the Standardised Approach

                           020

                           Exposure value under the IRB Approach

                              Relevant credit exposures – Market risk

                           030

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

                           040

                           Value of trading book exposures for internal models

                              Relevant credit exposures – Securitisation

                           050

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

                           060

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

                              Own funds requirements and weights

                           070

                           Total own funds requirements for CCB

                           080

                           Own funds requirements for relevant credit exposures – Credit risk

                           090

                           Own funds requirements for relevant credit exposures – Market risk

                           100

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

                           110

                           Own funds requirements weights

                              Countercyclical capital buffer rates

                           120

                           Countercyclical capital buffer rate set by the Designated Authority

                           130

                           Countercyclical capital buffer rate applicable for the country of the institution

                           140

                           Institution-specific countercyclical capital buffer rate

                              Use of 2 % threshold

                           150

                           Use of 2 % threshold for general credit exposure

                           160

                           Use of 2 % threshold for trading book exposure

                  C 10.01 - CREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS (CR EQU IRB 1)

                              INTERNAL RATING SYSTEM

                              ORIGINAL EXPOSURE PRE CONVERSION FACTORS

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

                              EXPOSURE VALUE

                              EXPOSURE WEIGHTED AVERAGE LGD (%)

                              RISK WEIGHTED EXPOSURE AMOUNT

                              MEMORANDUM ITEM:

                              UNFUNDED CREDIT PROTECTION

                              SUBSTITUTION OF THE EXPOSURE DUE TO CRM

                              EXPECTED LOSS AMOUNT

                              PD ASSIGNED TO THE OBLIGOR GRADE (%)

                              (-) GUARANTEES

                              (-) CREDIT DERIVATIVES

                              (-) TOTAL OUTFLOWS

                           010

                           020

                           030

                           040

                           050

                           060

                           070

                           080

                           090

                           010

                              TOTAL IRB EQUITY EXPOSURES

                           Cell linked to CA

                           020

                              PD/LGD APRROACH: TOTAL

                           050

                              SIMPLE RISK WEIGHT APPROACH: TOTAL

                           060

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

                           070

                           RISK WEIGHT: 190 %

                           080

                           290 %

                           090

                           370 %

                           100

                              INTERNAL MODELS APPROACH

                           110

                              EQUITY EXPOSURES SUBJECT TO RISK WEIGHTS

                  C 10.02 - CREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS. BREAKDOWN OF TOTAL EXPOSURES UNDER THE PD/LGD APRROACH BY OBLIGOR GRADES (CR EQU IRB 2)

                              OBLIGOR GRADE

                              (ROW IDENTIFIER)

                              INTERNAL RATING SYSTEM

                              ORIGINAL EXPOSURE PRE CONVERSION FACTORS

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

                              EXPOSURE VALUE

                              EXPOSURE WEIGHTED AVERAGE LGD (%)

                              RISK WEIGHTED EXPOSURE AMOUNT

                              MEMORANDUM ITEM:

                              UNFUNDED CREDIT PROTECTION

                              SUBSTITUTION OF THE EXPOSURE DUE TO CRM

                              EXPECTED LOSS AMOUNT

                              PD ASSIGNED TO THE OBLIGOR GRADE (%)

                              (-) GUARANTEES

                              (-) CREDIT DERIVATIVES

                              (-) TOTAL OUTFLOWS

                           005

                           010

                           020

                           030

                           040

                           050

                           060

                           070

                           080

                           090

                  C 11.00 - SETTLEMENT/DELIVERY RISK (CR SETT)

                              UNSETTLED TRANSACTIONS AT SETTLEMENT PRICE

                              PRICE DIFFERENCE EXPOSURE DUE TO UNSETTLED TRANSACTIONS

                              OWN FUNDS REQUIREMENTS

                              TOTAL SETTLEMENT RISK EXPOSURE AMOUNT

                           010

                           020

                           030

                           040

                           010

                              Total unsettled transactions in the Non-trading Book

                           Cell linked to CA

                           020

                           Transactions unsettled up to 4 days (Factor 0 %)

                           030

                           Transactions unsettled between 5 and 15 days (Factor 8 %)

                           040

                           Transactions unsettled between 16 and 30 days (Factor 50 %)

                           050

                           Transactions unsettled between 31 and 45 days (Factor 75 %)

                           060

                           Transactions unsettled for 46 days or more (Factor 100 %)

                           070

                              Total unsettled transactions in the Trading Book

                           Cell linked to CA

                           080

                           Transactions unsettled up to 4 days (Factor 0 %)

                           090

                           Transactions unsettled between 5 and 15 days (Factor 8 %)

                           100

                           Transactions unsettled between 16 and 30 days (Factor 50 %)

                           110

                           Transactions unsettled between 31 and 45 days (Factor 75 %)

                           120

                           Transactions unsettled for 46 days or more (Factor 100 %)

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

                              TOTAL AMOUNT OF SECURITISATION EXPOSURES ORIGINATED

                              SYNTHETIC SECURITISATIONS: CREDIT PROTECTION TO THE SECURITISED EXPOSURES

                              SECURITISATION POSITIONS

                              (-) VALUE ADJUSTMENTS AND PROVISIONS

                              EXPOSURE NET OF VALUE ADJUSTMENTS AND PROVISIONS

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

                              NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS

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

                              FULLY ADJUSTED EXPOSURE VALUE (E*)

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

                              EXPOSURE VALUE

                              BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS

                              BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS

                              RISK-WEIGHTED EXPOSURE AMOUNT

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

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

                              TOTAL RISK-WEIGHTED EXPOSURE AMOUNT

                              MEMORANDUM ITEM:

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

                              (-) FUNDED CREDIT PROTECTION (Cva)

                              (-) TOTAL OUTFLOWS

                              NOTIONAL AMOUNT RETAINED OR REPURCHASED OF CREDIT PROTECTION

                              ORIGINAL EXPOSURE PRE CONVERSION FACTORS

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

                              (-) FUNDED CREDIT PROTECTION

                              SUBSTITUTION OF THE EXPOSURE DUE TO CRM

                              0 %

                              > 0 % and <= 20 %

                              > 20 % and <= 50 %

                              > 50 % and <= 100 %

                              (-) DEDUCTED FROM OWN FUNDS

                              SUBJECT TO RISK WEIGHTS

                              RATED

                              (CREDIT QUALITY STEPS)

                              1 250  %

                              LOOK-THROUGH

                              INTERNAL ASSESMENT APPROACH

                              (-) UNFUNDED CREDIT PROTECTION ADJUSTED VALUES (G*)

                              (-) TOTAL OUTFLOWS

                              TOTAL INFLOWS

                              CQS 1

                              CQS 2

                              CQS 3

                              CQS 4

                              ALL OTHER CQS

                              UNRATED

                              OF WHICH: SECOND LOSS IN ABCP

                              OF WHICH: AVERAGE RISK WEIGHT (%)

                              AVERAGE RISK WEIGHT (%)

                              OF WHICH: SYNTHETIC SECURITISATIONS

                              BEFORE CAP

                              AFTER CAP

                           010

                           020

                           030

                           040

                           050

                           060

                           070

                           080

                           090

                           100

                           110

                           120

                           130

                           140

                           150

                           160

                           170

                           180

                           190

                           200

                           210

                           220

                           230

                           240

                           250

                           260

                           270

                           280

                           290

                           300

                           310

                           320

                           330

                           340

                           350

                           360

                           370

                           380

                           390

                           010

                              TOTAL EXPOSURES

                           Cell linked to CA

                           020

                           OF WHICH: RE-SECURITISATIONS

                           Cell linked to CA

                           030

                              ORIGINATOR: TOTAL EXPOSURES

                           040

                           ON-BALANCE SHEET ITEMS

                           050

                           SECURITISATIONS

                           060

                           RE-SECURITISATIONS

                           070

                           OFF-BALANCE SHEET ITEMS AND DERIVATIVES

                           080

                           SECURITISATIONS

                           090

                           RE-SECURITISATIONS

                           100

                           EARLY AMORTISATION

                           110

                              INVESTOR: TOTAL EXPOSURES

                           120

                           ON-BALANCE SHEET ITEMS

                           130

                           SECURITISATIONS

                           140

                           RE-SECURITISATIONS

                           150

                           OFF-BALANCE SHEET ITEMS AND DERIVATIVES

                           160

                           SECURITISATIONS

                           170

                           RE-SECURITISATIONS

                           180

                              SPONSOR: TOTAL EXPOSURES

                           190

                           ON-BALANCE SHEET ITEMS

                           200

                           SECURITISATIONS

                           210

                           RE-SECURITISATIONS

                           220

                           OFF-BALANCE SHEET ITEMS AND DERIVATIVES

                           230

                           SECURITISATIONS

                           240

                           RE-SECURITISATIONS

                              BREAKDOWN OF OUTSTANDING POSITIONS ACCORDING TO CQS AT INCEPTION:

                           250

                           CQS 1

                           260

                           CQS 2

                           270

                           CQS 3

                           280

                           CQS 4

                           290

                           ALL OTHER CQS AND UNRATED

                  C 13.00 - CREDIT RISK: SECURITISATIONS - IRB APPROACH TO OWN FUNDS REQUIREMENTS (CR SEC IRB)

                              TOTAL AMOUNT OF SECURITISATION EXPOSURES ORIGINATED

                              SYNTHETIC SECURITIZATIONS: CREDIT PROTECTION TO THE SECURITISED EXPOSURES

                              SECURITISATION POSITIONS

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

                              EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS

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

                              FULLY ADJUSTED EXPOSURE VALUE (E*)

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

                              EXPOSURE VALUE

                              BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS

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

                              RISK-WEIGHTED EXPOSURE AMOUNT

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

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

                              TOTAL RISK-WEIGHTED EXPOSURE AMOUNT

                              MEMORANDUM ITEM:

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

                              (-) FUNDED CREDIT PROTECTION (Cva)

                              (-) TOTAL OUTFLOWS

                              NOTIONAL AMOUNT RETAINED OR REPURCHASED OF CREDIT PROTECTION

                              ORIGINAL EXPOSURE PRE CONVERSION FACTORS

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

                              (-) FUNDED CREDIT PROTECTION

                              SUBSTITUTION OF THE EXPOSURE DUE TO CRM

                              0 %

                              > 0 % and <= 20 %

                              > 20 % and <= 50 %

                              > 50 % and <= 100 %

                              (-) DEDUCTED FROM OWN FUNDS

                              SUBJECT TO RISK WEIGHTS

                              RATINGS BASED METHOD

                              (CREDIT QUALITY STEPS)

                              1 250  %

                              SUPERVISORY FORMULA METHOD

                              LOOK-THROUGH

                              INTERNAL ASSESSMENT APPROACH

                              (-) UNFUNDED CREDIT PROTECTION ADJUSTED VALUES (G*)

                              (-) TOTAL OUTFLOWS

                              TOTAL INFLOWS

                              CQS 1 & S/T CQS 1

                              CQS 2

                              CQS 3

                              CQS 4 & S/T CQS 2

                              CQS 5

                              CQS 6

                              CQS 7 & S/T CQS 3

                              CQS 8

                              CQS 9

                              CQS 10

                              CQS 11

                              ALL OTHER CQS

                              UNRATED

                              AVERAGE RISK WEIGHT (%)

                              AVERAGE RISK WEIGHT (%)

                              AVERAGE RISK WEIGHT (%)

                              OF WHICH: SYNTHETIC SECURITISATIONS

                              BEFORE CAP

                              AFTER CAP

                           010

                           020

                           030

                           040

                           050

                           060

                           070

                           080

                           090

                           100

                           110

                           120

                           130

                           140

                           150

                           160

                           170

                           180

                           190

                           200

                           210

                           220

                           230

                           240

                           250

                           260

                           270

                           280

                           290

                           300

                           310

                           320

                           330

                           340

                           350

                           360

                           370

                           380

                           390

                           400

                           410

                           420

                           430

                           440

                           450

                           460

                           010

                              TOTAL EXPOSURES

                           Cell linked to CA

                           020

                           OF WHICH: RE-SECURITISATIONS

                           Cell linked to CA

                           030

                              ORIGINATOR: TOTAL EXPOSURES

                           040

                           ON-BALANCE SHEET ITEMS

                           050

                           SECURITISATIONS

                           A

                           060

                           B

                           070

                           C

                           080

                           RE-SECURITISATIONS

                           D

                           090

                           E

                           100

                           OFF-BALANCE SHEET ITEMS AND DERIVATIVES

                           110

                           SECURITISATIONS

                           A

                           120

                           B

                           130

                           C

                           140

                           RE-SECURITISATIONS

                           D

                           150

                           E

                           160

                           EARLY AMORTISATION

                           170

                              INVESTOR: TOTAL EXPOSURES

                           180

                           ON-BALANCE SHEET ITEMS

                           190

                           SECURITISATIONS

                           A

                           200

                           B

                           210

                           C

                           220

                           RE-SECURITISATIONS

                           D

                           230

                           E

                           240

                           OFF-BALANCE SHEET ITEMS AND DERIVATIVES

                           250

                           SECURITISATIONS

                           A

                           260

                           B

                           270

                           C

                           280

                           RE-SECURITISATIONS

                           D

                           290

                           E

                           300

                              SPONSOR: TOTAL EXPOSURES

                           310

                           ON-BALANCE SHEET ITEMS

                           320

                           SECURITISATIONS

                           A

                           330

                           B

                           340

                           C

                           350

                           RE-SECURITISATIONS

                           D

                           360

                           E

                           370

                           OFF-BALANCE SHEET ITEMS AND DERIVATIVES

                           380

                           SECURITISATIONS

                           A

                           390

                           B

                           400

                           C

                           410

                           RE-SECURITISATIONS

                           D

                           420

                           E

                              BREAKDOWN OF OUTSTANDING POSITIONS ACCORDING TO CQS AT INCEPTION:

                           430

                           CQS 1 & S/T CQS 1

                           440

                           CQS 2

                           450

                           CQS 3

                           460

                           CQS 4 & S/T CQS 2

                           470

                           CQS 5

                           480

                           CQS 6

                           490

                           CQS 7 & S/T CQS 3

                           500

                           CQS 8

                           510

                           CQS 9

                           520

                           CQS 10

                           530

                           CQS 11

                           540

                           ALL OTHER CQS AND UNRATED

                  C 14.00 - DETAILED INFORMATION ON SECURITISATIONS (SEC Details)

                              ROW NUMBER

                              INTERNAL CODE

                              IDENTIFIER OF THE SECURITISATION

                              IDENTIFIER OF THE ORIGINATOR

                              SECURITISATION TYPE:

                              (TRADITIONAL/SYNTHETIC)

                              ACCOUNTING TREATMENT: Securitised exposures are kept or removed from the balance sheet?

                              SOLVENCY TREATMENT: Securitisation positions subject to own funds requirements?

                              SECURITISATION OR RE-SECURITISATION?

                              RETENTION

                              ROLE OF THE INSTITUTION:

                              (ORIGINATOR/SPONSOR/ORIGINAL LENDER/INVESTOR)

                              NON ABCP PROGRAMMES

                              SECURITISED EXPOSURES

                              SECURITISATION STRUCTURE

                              SECURITISATION POSITIONS

                              (-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS

                              TOTAL RISK-WEIGHTED EXPOSURE AMOUNT

                              SECURITISATION POSITIONS - TRADING BOOK

                              TYPE OF RETENTION APPLIED

                              % OF RETENTION AT REPORTING DATE

                              COMPLIANCE WITH THE RETENTION REQUIREMENT?

                              ORIGINATION DATE

                              (mm/yyyy)

                              TOTAL AMOUNT OF SECURITISED EXPOSURES AT ORIGINATION DATE

                              TOTAL AMOUNT

                              INSTITUTION'S SHARE (%)

                              TYPE

                              APPROACH APPLIED (SA/IRB/MIX)

                              NUMBER OF EXPOSURES

                              COUNTRY

                              ELGD (%)

                              (-) VALUE ADJUSTMENTS AND PROVISIONS

                              OWN FUNDS REQUIREMENTS BEFORE SECURITISATION (%)

                              ON-BALANCE SHEET ITEMS

                              OFF-BALANCE SHEET ITEMS AND DERIVATIVES

                              MATURITY

                              ORIGINAL EXPOSURE PRE-CONVERSION FACTORS

                              MEMORANDUM ITEMS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES

                              EARLY AMORTISATION

                              CTP OR NON-CTP?

                              NET POSITIONS

                              TOTAL OWN FUNDS REQUIREMENTS (SA)

                              SENIOR

                              MEZZANINE

                              FIRST LOSS

                              SENIOR

                              MEZZANINE

                              FIRST LOSS

                              FIRST FORESEEABLE TERMINATION DATE

                              LEGAL FINAL MATURITY DATE

                              ON-BALANCE SHEET ITEMS

                              OFF-BALANCE SHEET ITEMS AND DERIVATIVES

                              DIRECT CREDIT SUBSTITUTES

                              IRS/CRS

                              ELIGIBLE LIQUIDITY FACILITIES

                              OTHER (including non-eligible LF)

                              CONVERSION FACTOR APPLIED

                              SENIOR

                              MEZZANINE

                              FIRST LOSS

                              SENIOR

                              MEZZANINE

                              FIRST LOSS

                              BEFORE CAP

                              AFTER CAP

                              LONG

                              SHORT

                              SPECIFIC RISK

                           005

                           010

                           020

                           030

                           040

                           050

                           060

                           070

                           080

                           090

                           100

                           110

                           120

                           130

                           140

                           150

                           160

                           170

                           180

                           190

                           200

                           210

                           220

                           230

                           240

                           250

                           260

                           270

                           280

                           290

                           300

                           310

                           320

                           330

                           340

                           350

                           360

                           370

                           380

                           390

                           400

                           410

                           420

                           430

                           440

                           450

                           460

                           470

                           480

                  C 16.00 - OPERATIONAL RISK (OPR)

                              BANKING ACTIVITIES

                              RELEVANT INDICATOR

                              LOANS AND ADVANCES

                              (IN CASE OF ASA APPLICATION)

                              OWN FUNDS REQUIREMENT

                              Total operational risk exposure amount

                              AMA MEMORANDUM ITEMS TO BE REPORTED IF APPLICABLE

                              YEAR-3

                              YEAR-2

                              LAST YEAR

                              YEAR-3

                              YEAR-2

                              LAST YEAR

                              OF WHICH:

                              DUE TO AN ALLOCATION MECHANISM

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

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

                              (-) ALLEVIATION OF OWN FUNDS REQUIREMENT DUE TO DIVERSIFICATION

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

                              010

                              020

                              030

                              040

                              050

                              060

                              070

                              O71

                              080

                              090

                              100

                              110

                              120

                           010

                                          1.

                                       BANKING ACTIVITIES SUBJECT TO BASIC INDICATOR APPROACH (BIA)

                           Cell linked to CA2

                           020

                                          2.

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

                           Cell linked to CA2

                                 SUBJECT TO TSA:

                           030

                           CORPORATE FINANCE (CF)

                           040

                           TRADING AND SALES (TS)

                           050

                           RETAIL BROKERAGE (RBr)

                           060

                           COMMERCIAL BANKING (CB)

                           070

                           RETAIL BANKING (RB)

                           080

                           PAYMENT AND SETTLEMENT (PS)

                           090

                           AGENCY SERVICES (AS)

                           100

                           ASSET MANAGEMENT (AM)

                                 SUBJECT TO ASA:

                           110

                           COMMERCIAL BANKING (CB)

                           120

                           RETAIL BANKING (RB)

                           130

                                          3.

                                       BANKING ACTIVITIES SUBJECT TO ADVANCED MEASUREMENT APPROACHES AMA

                           Cell linked to CA2

                  C 17.01 - OPERATIONAL RISK: LOSSES AND RECOVERIES BY BUSINESS LINES AND EVENT TYPES IN THE LAST YEAR (OPR DETAILS 1)

                              MAPPING OF LOSSES TO BUSINESS LINES

                              EVENT TYPES

                              TOTAL EVENT TYPES

                              MEMORANDUM ITEM: THRESHOLD APPLIED IN DATA COLLECTION

                              INTERNAL FRAUD

                              EXTERNAL FRAUD

                              EMPLOYMENT PRACTICES AND WORKPLACE SAFETY

                              CLIENTS, PRODUCTS & BUSINESS PRACTICES

                              DAMAGE TO PHYSICAL ASSETS

                              BUSINESS DISRUPTION AND SYSTEM FAILURES

                              EXECUTION, DELIVERY & PROCESS MANAGEMENT

                              LOWEST

                              HIGHEST

                           Rows

                           010

                           020

                           030

                           040

                           050

                           060

                           070

                           080

                           090

                           100

                           010

                              CORPORATE FINANCE [CF]

                           Number of events (new events)

                           020

                           Gross loss amount (new events)

                           030

                           Number of events subject to loss adjustments

                           040

                           Loss adjustments relating to previous reporting periods

                           050

                           Maximum single loss

                           060

                           Sum of the five largest losses

                           070

                           Total direct loss recovery

                           080

                           Total recovery from insurance and other risk transfer mechanisms

                           110

                              TRADING AND SALES [TS]

                           Number of events (new events)

                           120

                           Gross loss amount (new events)

                           130

                           Number of events subject to loss adjustments

                           140

                           Loss adjustments relating to previous reporting periods

                           150

                           Maximum single loss

                           160

                           Sum of the five largest losses

                           170

                           Total direct loss recovery

                           180

                           Total recovery from insurance and other risk transfer mechanisms

                           210

                              RETAIL BROKERAGE [RBr]

                           Number of events (new events)

                           220

                           Gross loss amount (new events)

                           230

                           Number of events subject to loss adjustments

                           240

                           Loss adjustments relating to previous reporting periods

                           250

                           Maximum single loss

                           260

                           Sum of the five largest losses

                           270

                           Total direct loss recovery

                           280

                           Total recovery from insurance and other risk transfer mechanisms

                           310

                              COMMERCIAL BANKING [CB]

                           Number of events (new events)

                           320

                           Gross loss amount (new events)

                           330

                           Number of events subject to loss adjustments

                           340

                           Loss adjustments relating to previous reporting periods

                           350

                           Maximum single loss

                           360

                           Sum of the five largest losses

                           370

                           Total direct loss recovery

                           380

                           Total recovery from insurance and other risk transfer mechanisms

                           410

                              RETAIL BANKING [RB]

                           Number of events (new events)

                           420

                           Gross loss amount (new events)

                           430

                           Number of events subject to loss adjustments

                           440

                           Loss adjustments relating to previous reporting periods

                           450

                           Maximum single loss

                           460

                           Sum of the five largest losses

                           470

                           Total direct loss recovery

                           480

                           Total recovery from insurance and other risk transfer mechanisms

                           510

                              PAYMENT AND SETTLEMENT [PS]

                           Number of events (new events)

                           520

                           Gross loss amount (new events)

                           530

                           Number of events subject to loss adjustments

                           540

                           Loss adjustments relating to previous reporting periods

                           550

                           Maximum single loss

                           560

                           Sum of the five largest losses

                           570

                           Total direct loss recovery

                           580

                           Total recovery from insurance and other risk transfer mechanisms

                           610

                              AGENCY SERVICES [AS]

                           Number of events (new events)

                           620

                           Gross loss amount (new events)

                           630

                           Number of events subject to loss adjustments

                           640

                           Loss adjustments relating to previous reporting periods

                           650

                           Maximum single loss

                           660

                           Sum of the five largest losses

                           670

                           Total direct loss recovery

                           680

                           Total recovery from insurance and other risk transfer mechanisms

                           710

                              ASSET MANAGEMENT [AM]

                           Number of events (new events)

                           720

                           Gross loss amount (new events)

                           730

                           Number of events subject to loss adjustments

                           740

                           Loss adjustments relating to previous reporting periods

                           750

                           Maximum single loss

                           760

                           Sum of the five largest losses

                           770

                           Total direct loss recovery

                           780

                           Total recovery from insurance and other risk transfer mechanisms

                           810

                              CORPORATE ITEMS [CI]

                           Number of events (new events)

                           820

                           Gross loss amount (new events)

                           830

                           Number of events subject to loss adjustments

                           840

                           Loss adjustments relating to previous reporting periods

                           850

                           Maximum single loss

                           860

                           Sum of the five largest losses

                           870

                           Total direct loss recovery

                           880

                           Total recovery from insurance and other risk transfer mechanisms

                           910

                              TOTAL BUSINESS LINES

                           Number of events (new events). Of which:

                           911

                           related to losses ≥ 10 000  and < 20 000

                           912

                           related to losses ≥ 20 000  and < 100 000

                           913

                           related to losses ≥ 100 000  and < 1 000 000

                           914

                           related to losses ≥ 1 000 000

                           920

                           Gross loss amount (new events). Of which:

                           921

                           related to losses ≥ 10 000  and < 20 000

                           922

                           related to losses ≥ 20 000  and < 100 000

                           923

                           related to losses ≥ 100 000  and < 1 000 000

                           924

                           related to losses ≥ 1 000 000

                           930

                           Number of events subject to loss adjustments. Of which:

                           935

                           of which: number of events with a positive loss adjustment

                           936

                           of which: number of events with a negative loss adjustment

                           940

                           Loss adjustments relating to previous reporting periods

                           945

                           of which: positive loss adjustment amounts (+)

                           946

                           of which: negative loss adjustment amounts (–)

                           950

                           Maximum single loss

                           960

                           Sum of the five largest losses

                           970

                           Total direct loss recovery

                           980

                           Total recovery from insurance and other risk transfer mechanisms

                  C 17.02 - OPERATIONAL RISK: LARGE LOSS EVENTS (OPR DETAILS 2)

                              Event ID

                              Date of accounting

                              Date of occurrence

                              Date of discovery

                              Event Type

                              Gross loss

                              Gross loss net of direct recoveries

                              GROSS LOSS BY BUSINESS LINE

                              Legal Entity name

                              Legal Entity ID

                              Business Unit

                              Description

                              Corporate Finance [CF]

                              Trading and Sales [TS]

                              Retail Brokerage [RBr]

                              Commercial Banking [CB]

                              Retail Banking [RB]

                              Payment and Settlement [PS]

                              Agency Services [AS]

                              Asset Management [AM]

                              Corporate Items [CI]

                           Rows

                           010

                           020

                           030

                           040

                           050

                           060

                           070

                           080

                           090

                           100

                           110

                           120

                           130

                           140

                           150

                           160

                           170

                           180

                           190

                           200

                           …

                  C 18.00 - MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS (MKR SA TDI)

                              Currency:

                              POSITIONS

                              OWN FUNDS REQUIREMENTS

                              TOTAL RISK EXPOSURE AMOUNT

                              ALL POSITIONS

                              NET POSITIONS

                              POSITIONS SUBJECT TO CAPITAL CHARGE

                              LONG

                              SHORT

                              LONG

                              SHORT

                           010

                           020

                           030

                           040

                           050

                           060

                           070

                           010

                              TRADED DEBT INSTRUMENTS IN TRADING BOOK

                           Cell linked to CA2

                           011

                              General risk

                           012

                           Derivatives

                           013

                           Other assets and liabilities

                           020

                           Maturity-based approach

                           030

                           Zone 1

                           040

                           0 ≤ 1 month

                           050

                           > 1 ≤ 3 months

                           060

                           > 3 ≤ 6 months

                           070

                           > 6 ≤ 12 months

                           080

                           Zone 2

                           090

                           > 1 ≤ 2 (1,9 for cupon of less than 3 %) years

                           100

                           > 2 ≤ 3 (> 1,9 ≤ 2,8 for cupon of less than 3 %) years

                           110

                           > 3 ≤ 4 (> 2,8 ≤ 3,6 for cupon of less than 3 %) years

                           120

                           Zone 3

                           130

                           > 4 ≤ 5 (> 3,6 ≤ 4,3 for cupon of less than 3 %) years

                           140

                           > 5 ≤ 7 (> 4,3 ≤ 5,7 for cupon of less than 3 %) years

                           150

                           > 7 ≤ 10 (> 5,7 ≤ 7,3 for cupon of less than 3 %) years

                           160

                           > 10 ≤ 15 (> 7,3 ≤ 9,3 for cupon of less than 3 %) years

                           170

                           > 15 ≤ 20 (> 9,3 ≤ 10,6 for cupon of less than 3 %) years

                           180

                           > 20 (> 10,6 ≤ 12,0 for cupon of less than 3 %) years

                           190

                           (> 12,0 ≤ 20,0 for cupon of less than 3 %) years

                           200

                           (> 20 for cupon of less than 3 %) years

                           210

                           Duration-based approach

                           220

                           Zone 1

                           230

                           Zone 2

                           240

                           Zone 3

                           250

                              Specific risk

                           251

                           Own funds requirement for non-securitisation debt instruments

                           260

                           Debt securities under the first category in Table 1

                           270

                           Debt securities under the second category in Table 1

                           280

                           With residual term ≤ 6 months

                           290

                           With a residual term > 6 months and ≤ 24 months

                           300

                           With a residual term > 24 months

                           310

                           Debt securities under the third category in Table 1

                           320

                           Debt securities under the fourth category in Table 1

                           321

                           Rated nth-to default credit derivatives

                           325

                           Own funds requirement for securitisation instruments

                           330

                           Own funds requirement for the correlation trading portfolio

                           350

                           Additional requirements for options (non-delta risks)

                           360

                           Simplified method

                           370

                           Delta plus approach - additional requirements for gamma risk

                           380

                           Delta plus approach - additional requirements for vega risk

                           390

                           Scenario matrix approach

                  C 19.00 - MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS (MKR SA SEC)

                              ALL POSITIONS

                              (-) POSITIONS DEDUCTED FROM OWN FUNDS

                              NET POSITIONS

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

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

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

                              BEFORE CAP

                              AFTER CAP

                              TOTAL OWN FUNDS REQUIREMENTS

                              RISK WEIGHTS < 1 250  %

                              1 250  %

                              SUPERVISORY FORMULA METHOD

                              LOOK-THROUGH

                              INTERNAL ASSESMENT APPROACH

                              RISK WEIGHTS < 1 250  %

                              1 250  %

                              SUPERVISORY FORMULA METHOD

                              LOOK-THROUGH

                              INTERNAL ASSESMENT APPROACH

                              LONG

                              SHORT

                              (-) LONG

                              (-) SHORT

                              LONG

                              SHORT

                              7 - 10 %

                              12 - 18 %

                              20 - 35 %

                              40 - 75 %

                              100 %

                              150 %

                              200 %

                              225 %

                              250 %

                              300 %

                              350 %

                              425 %

                              500 %

                              650 %

                              750 %

                              850 %

                              RATED

                              UNRATED

                              AVERAGE RISK WEIGHT (%)

                              AVERAGE RISK WEIGHT (%)

                              7 - 10 %

                              12 - 18 %

                              20 - 35 %

                              40 - 75 %

                              100 %

                              150 %

                              200 %

                              225 %

                              250 %

                              300 %

                              350 %

                              425 %

                              500 %

                              650 %

                              750 %

                              850 %

                              RATED

                              UNRATED

                              AVERAGE RISK WEIGHT (%)

                              AVERAGE RISK WEIGHT (%)

                              WEIGHTED NET LONG POSITIONS

                              WEIGHTED NET SHORT POSITIONS

                              WEIGHTED NET LONG POSITIONS

                              WEIGHTED NET SHORT POSITIONS

                              SUM OF WEIGHTED NET LONG AND SHORT POSITIONS

                              WEIGHTED NET LONG POSITIONS

                              WEIGHTED NET SHORT POSITIONS

                              SUM OF WEIGHTED NET LONG AND SHORT POSITIONS

                           010

                           020

                           030

                           040

                           050

                           060

                           070

                           080

                           090

                           100

                           110

                           120

                           130

                           140

                           150

                           160

                           170

                           180

                           190

                           200

                           210

                           220

                           230

                           240

                           250

                           260

                           270

                           280

                           290

                           300

                           310

                           320

                           330

                           340

                           350

                           360

                           370

                           380

                           390

                           400

                           410

                           420

                           430

                           440

                           450

                           460

                           470

                           480

                           490

                           500

                           510

                           520

                           530

                           540

                           550

                           560

                           570

                           580

                           590

                           600

                           610

                           010

                              TOTAL EXPOSURES

                           Cell linked to MKR SA TDI {325:060}

                           020

                           Of which: RE-SECURITISATIONS

                           030

                              ORIGINATOR: TOTAL EXPOSURES

                           040

                           SECURITISATIONS

                           050

                           RE-SECURITISATIONS

                           060

                              INVESTOR: TOTAL EXPOSURES

                           070

                           SECURITISATIONS

                           080

                           RE-SECURITISATIONS

                           090

                              SPONSOR: TOTAL EXPOSURES

                           100

                           SECURITISATIONS

                           110

                           RE-SECURITISATIONS

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

                           120

                                       1.

                                       Residential mortgages

                           130

                                       2.

                                       Commercial mortgages

                           140

                                       3.

                                       Credit card receivables

                           150

                                       4.

                                       Leasing

                           160

                                       5.

                                       Loans to corporates or SMEs

                           170

                                       6.

                                       Consumer loans

                           180

                                       7.

                                       Trade receivables

                           190

                                       8.

                                       Other assets

                           200

                                       9.

                                       Covered Bondes

                           210

                                       10.

                                       Other liabilities

                  C 20.00 - MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN THE CORRELATION TRADING PORTFOLIO (MKR SA CTP)

                              ALL POSITIONS

                              (-) POSITIONS DEDUCTED FROM OWN FUNDS

                              NET POSITIONS

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

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

                              BEFORE CAP

                              AFTER CAP

                              TOTAL OWN FUNDS REQUIREMENTS

                              RISK WEIGHTS < 1 250  %

                              1 250  %

                              SUPERVISORY FORMULA METHOD

                              LOOK-THROUGH

                              INTERNAL ASSESMENT APPROACH

                              RISK WEIGHTS < 1 250  %

                              1 250  %

                              SUPERVISORY FORMULA METHOD

                              LOOK-THROUGH

                              INTERNAL ASSESMENT APPROACH

                              LONG

                              SHORT

                              (-) LONG

                              (-) SHORT

                              LONG

                              SHORT

                              7 - 10 %

                              12 - 18 %

                              20 - 35 %

                              40- 75 %

                              100 %

                              250 %

                              350 %

                              425 %

                              650 %

                              Other

                              RATED

                              UNRATED

                              AVERAGE RISK WEIGHT (%)

                              AVERAGE RISK WEIGHT (%)

                              7 - 10 %

                              12 - 18 %

                              20 - 35 %

                              40 - 75 %

                              100 %

                              250 %

                              350 %

                              425 %

                              650 %

                              Other

                              RATED

                              UNRATED

                              AVERAGE RISK WEIGHT (%)

                              AVERAGE RISK WEIGHT (%)

                              WEIGHTED NET LONG POSITIONS

                              WEIGHTED NET SHORT POSITIONS

                              WEIGHTED NET LONG POSITIONS

                              WEIGHTED NET SHORT POSITIONS

                           010

                           020

                           030

                           040

                           050

                           060

                           070

                           080

                           090

                           100

                           110

                           120

                           130

                           140

                           150

                           160

                           170

                           180

                           190

                           200

                           210

                           220

                           230

                           240

                           250

                           260

                           270

                           280

                           290

                           300

                           310

                           320

                           330

                           340

                           350

                           360

                           370

                           380

                           390

                           400

                           410

                           420

                           430

                           440

                           450

                           010

                              TOTAL EXPOSURES

                           Cell linked to MKR SA TDI {330:060}

                              SECURITISATION POSITIONS:

                           020

                              ORIGINATOR: TOTAL EXPOSURES

                           030

                           SECURITISATIONS

                           040

                           OTHER CTP POSITIONS

                           050

                              INVESTOR: TOTAL EXPOSURES

                           060

                           SECURITISATIONS

                           070

                           OTHER CTP POSITIONS

                           080

                              SPONSOR: TOTAL EXPOSURES

                           090

                           SECURITISATIONS

                           100

                           OTHER CTP POSITIONS

                              N-TH-TO-DEFAULT CREDIT DERIVATIVES:

                           110

                           N-TH-TO-DEFAULT CREDIT DERIVATIVES

                           120

                           OTHER CTP POSITIONS

                  C 21.00 - MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES (MKR SA EQU)

                              National market:

                              POSITIONS

                              OWN FUNDS REQUIREMENTS

                              TOTAL RISK EXPOSURE AMOUNT

                              ALL POSITIONS

                              NET POSITIONS

                              POSITIONS SUBJECT TO CAPITAL CHARGE

                              LONG

                              SHORT

                              LONG

                              SHORT

                           010

                           020

                           030

                           040

                           050

                           060

                           070

                           010

                              EQUITIES IN TRADING BOOK

                           Cell linked to CA

                           020

                           General risk

                           021

                           Derivatives

                           022

                           Other assets and liabilities

                           030

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

                           040

                           Other equities than exchange traded stock-index futures broadly diversified

                           050

                           Specific risk

                           090

                           Additional requirements for options (non-delta risks)

                           100

                           Simplified method

                           110

                           Delta plus approach - additional requirements for gamma risk

                           120

                           Delta plus approach - additional requirements for vega risk

                           130

                           Scenario matrix approach

                  C 22.00 - MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK (MKR SA FX)

                              ALL POSITIONS

                              NET POSITIONS

                              POSITIONS SUBJECT TO CAPITAL CHARGE

                              (Including redistribution of unmatched positions in non-reporting currencies subject to special treatment for matched positions)

                              OWN FUNDS REQUIREMENTS

                              TOTAL RISK EXPOSURE AMOUNT

                              LONG

                              SHORT

                              LONG

                              SHORT

                              LONG

                              SHORT

                              MATCHED

                           020

                           030

                           040

                           050

                           060

                           070

                           080

                           090

                           100

                           010

                              TOTAL POSITIONS

                           Cell linked to CA

                           020

                           Currencies closely correlated

                           025

                           of which: reporting currency

                           030

                           All other currencies (including CIUs treated as different currencies)

                           040

                           Gold

                           050

                           Additional requirements for options (non-delta risks)

                           060

                           Simplified method

                           070

                           Delta plus approach - additional requirements for gamma risk

                           080

                           Delta plus approach - additional requirements for vega risk

                           090

                           Scenario matrix approach

                              BREAKDOWN OF TOTAL POSITIONS (REPORTING CURRENCY INCLUDED) BY EXPOSURE TYPES

                           100

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

                           110

                           Off-balance sheet items

                           120

                           Derivatives

                              Memorandum items: CURRENCY POSITIONS

                           130

                           Euro

                           140

                           Lek

                           150

                           Argentine Peso

                           160

                           Australian Dollar

                           170

                           Brazilian Real

                           180

                           Bulgarian Lev

                           190

                           Canadian Dollar

                           200

                           Czech Koruna

                           210

                           Danish Krone

                           220

                           Egyptian Pound

                           230

                           Pound Sterling

                           240

                           Forint

                           250

                           Yen

                           270

                           Lithuanian Litas

                           280

                           Denar

                           290

                           Mexican Peso

                           300

                           Zloty

                           310

                           Rumanian Leu

                           320

                           Russian Ruble

                           330

                           Serbian Dinar

                           340

                           Swedish Krona

                           350

                           Swiss Franc

                           360

                           Turkish Lira

                           370

                           Hryvnia

                           380

                           US Dollar

                           390

                           Iceland Krona

                           400

                           Norwegian Krone

                           410

                           Hong Kong Dollar

                           420

                           New Taiwan Dollar

                           430

                           New Zealand Dollar

                           440

                           Singapore Dollar

                           450

                           Won

                           460

                           Yuan Renminbi

                           470

                           Other

                           480

                           Croatian Kuna

                  C 23.00 - MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES (MKR SA COM)

                              ALL POSITIONS

                              NET POSITIONS

                              POSITIONS SUBJECT TO CAPITAL CHARGE

                              OWN FUNDS REQUIREMENTS

                              TOTAL RISK EXPOSURE AMOUNT

                              LONG

                              SHORT

                              LONG

                              SHORT

                           010

                           020

                           030

                           040

                           050

                           060

                           070

                           010

                              TOTAL POSITIONS IN COMMODITIES

                           Cell linked to CA

                           020

                           Precious metals (except gold)

                           030

                           Base metals

                           040

                           Agricultural products (softs)

                           050

                           Others

                           060

                           Of which energy products (oil, gas)

                           070

                           Maturity ladder approach

                           080

                           Extended maturity ladder approach

                           090

                           Simplified approach: All positions

                           100

                           Additional requirements for options (non-delta risks)

                           110

                           Simplified method

                           120

                           Delta plus approach - additional requirements for gamma risk

                           130

                           Delta plus approach - additional requirements for vega risk

                           140

                           Scenario matrix approach

                  C 24.00 - MARKET RISK INTERNAL MODELS (MKR IM)

                              VaR

                              STRESSED VaR

                              INCREMENTAL DEFAULT AND MIGRATION RISK CAPITAL CHARGE

                              ALL PRICE RISKS CAPITAL CHARGE FOR CTP

                              OWN FUNDS REQUIREMENTS

                              TOTAL RISK EXPOSURE AMOUNT

                              Number of overshootings during previous 250 working days

                              VaR Multiplication Factor (mc)

                              SVaR Multiplication Factor (ms)

                              ASSUMED CHARGE FOR CTP FLOOR - WEIGHTED NET LONG POSITIONS AFTER CAP

                              ASSUMED CHARGE FOR CTP FLOOR - WEIGHTED NET SHORT POSITIONS AFTER CAP

                              MULTIPLICATION FACTOR (mc) x AVERAGE OF PREVIOUS 60 WORKING DAYS (VaRavg)

                              PREVIOUS DAY (VaRt – 1)

                              MULTIPLICATION FACTOR (ms) x AVERAGE OF PREVIOUS 60 WORKING DAYS (SVaRavg)

                              LATEST AVAILABLE (SVaRt – 1)

                              12 WEEKS AVERAGE MEASURE

                              LAST MEASURE

                              FLOOR

                              12 WEEKS AVERAGE MEASURE

                              LAST MEASURE

                           030

                           040

                           050

                           060

                           070

                           080

                           090

                           100

                           110

                           120

                           130

                           140

                           150

                           160

                           170

                           180

                           010

                              TOTAL POSITIONS

                           Cell linked to CA

                              Memorandum items: BREAKDOWN OF MARKET RISK

                           020

                              Traded debt instruments

                           030

                              TDI - General risk

                           040

                              TDI - Specific Risk

                           050

                              Equities

                           060

                              Equities - General risk

                           070

                              Equities - Specific Risk

                           080

                              Foreign Exchange risk

                           090

                              Commodities risk

                           100

                              Total amount for general risk

                           110

                              Total amount for specific risk

                  C 25.00 - CREDIT VALUE ADJUSTMENT RISK (CVA)

                              EXPOSURE VALUE

                              VaR

                              STRESSED VaR

                              OWN FUNDS REQUIREMENTS

                              TOTAL RISK EXPOSURE AMOUNT

                              MEMORANDUM ITEMS

                              CVA RISK HEDGE NOTIONALS

                              of which: OTC Derivatives

                              of which: SFT

                              MULTIPLICATION FACTOR (mc) x AVERAGE OF PREVIOUS 60 WORKING DAYS (VaRavg)

                              PREVIOUS DAY (VaRt – 1)

                              MULTIPLICATION FACTOR (ms) x AVERAGE OF PREVIOUS 60 WORKING DAYS (SVaRavg)

                              LATEST AVAILABLE (SVaRt – 1)

                              Number of counterparties

                              of which: proxy was used to determine credit spread

                              INCURRED CVA

                              SINGLE NAME CDS

                              INDEX CDS

                           010

                           020

                           030

                           040

                           050

                           060

                           070

                           080

                           090

                           100

                           110

                           120

                           130

                           140

                           010

                              CVA risk total

                           Link to {CA2;r640;c010}

                           020

                              According to Advanced method

                           Link to {CA2;r650;c010}

                           030

                              According to Standardised method

                           Link to {CA2;r660;c010}

                           040

                              Based on OEM

                           Link to {CA2;r670;c010}

                  C 33.00 - GENERAL GOVERNMENTS EXPOSURES BY COUNTRY OF THE COUNTERPARTY (GOV)

                              Country:

                              Direct exposures

                              Memorandum item: credit derivatives sold on general government exposures

                              Exposure value

                              Risk weighted exposure amount

                              On-balance sheet exposures

                              Accumulated impairment

                              Accumulated negative changes in fair value due to credit risk

                              Derivatives

                              Off-balance sheet exposures

                              Total gross carrying amount of non-derivative financial assets

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

                              Non-derivative financial assets by accounting portfolios

                              Short positions

                              Derivatives with positive fair value

                              Derivatives with negative fair value

                              Nominal amount

                              Provisions

                              Accumulated negative changes in fair value due to credit risk

                              Derivatives with positive fair value - Carrying amount

                              Derivatives with negative fair value - Carrying amount

                              Financial assets held for trading

                              Trading financial assets

                              Non-trading financial assets mandatorily at fair value through profit or loss

                              Financial assets designated at fair value through profit or loss

                              Non-trading non-derivative financial assets measured at fair value through profit or loss

                              Financial assets at fair value through other comprehensive income

                              Non-trading non-derivative financial assets measured at fair value to equity

                              Financial assets at amortised cost

                              Non-trading non-derivative financial assets measured at a cost-based method

                              Other non-trading non-derivative financial assets

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

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

                              of which: from non-trading financial assets mandatorily at fair value through profit or loss, financial assets designated at fair value through profit or loss or from non-trading financial assets measured at fair value through profit or loss

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

                              Carrying amount

                              Notional amount

                              Carrying amount

                              Notional amount

                           010

                           020

                           030

                           040

                           050

                           060

                           070

                           080

                           090

                           100

                           110

                           120

                           130

                           140

                           150

                           160

                           170

                           180

                           190

                           200

                           210

                           220

                           230

                           240

                           250

                           260

                           270

                           280

                           290

                           300

                           010

                           Total exposures

                              BREAKDOWN OF TOTAL EXPOSURES BY RISK, REGULATORY APPROACH AND EXPOSURE CLASSES:

                           020

                           Exposures under the credit risk framework

                           030

                           Standardised Approach

                           040

                           Central governments

                           050

                           Regional governments or local authorities

                           060

                           Public sector entities

                           070

                           International Organisations

                           080

                           IRB Approach

                           090

                           Central governments

                           100

                           Regional governments or local authorities [Central governments]

                           110

                           Regional governments or local authorities [Institutions]

                           120

                           Public sector entities [Central governments]

                           130

                           Public sector entities [Institutions]

                           140

                           International Organisations [Central governments]

                           150

                           International Organisations [Institutions]

                           160

                           Exposures under the market risk framework

                              BREAKDOWN OF TOTAL EXPOSURES BY RESIDUAL MATURITY:

                           170

                           [ 0 - 3M [

                           180

                           [ 3M - 1Y [

                           190

                           [ 1Y - 2Y [

                           200

                           [ 2Y - 3Y [

                           210

                           [3Y - 5Y [

                           220

                           [5Y - 10Y [

                           230

                           [10Y – more

                     ’

         ANNEX II
         ‘
               ANNEX II

                  REPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS

               Table of Contents

                           PART I: GENERAL INSTRUCTIONS

                        140

                           1.

                        STRUCTURE AND CONVENTIONS
                        140

                           1.1.

                        STRUCTURE
                        140

                           1.2.

                        NUMBERING CONVENTION
                        140

                           1.3.

                        SIGN CONVENTION
                        140

                           PART II: TEMPLATE RELATED INSTRUCTIONS

                        140

                           1.

                        CAPITAL ADEQUACY OVERVIEW (CA)
                        140

                           1.1.

                        GENERAL REMARKS
                        140

                           1.2.

                        C 01.00 — OWN FUNDS (CA1)
                        141

                           1.2.1.

                        INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
                        141

                           1.3.

                        C 02.00 — OWN FUNDS REQUIREMENTS (CA2)
                        155

                           1.3.1.

                        INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
                        155

                           1.4.

                        C 03.00 — CAPITAL RATIOS AND CAPITAL LEVELS (CA3)
                        161

                           1.4.1.

                        INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
                        161

                           1.5.

                        C 04.00 — MEMORANDUM ITEMS (CA4)
                        162

                           1.5.1.

                        INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
                        162

                           1.6.

                        TRANSITIONAL PROVISIONS AND GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUTING STATE AID (CA 5)
                        177

                           1.6.1.

                        GENERAL REMARKS
                        177

                           1.6.2.

                        C 05.01 — TRANSITIONAL PROVISIONS (CA5.1)
                        177

                           1.6.2.1.

                        INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
                        177

                           1.6.3.

                        C 05.02 — GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUING STATE AID (CA5.2)
                        185

                           1.6.3.1.

                        INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
                        185

                           2.

                        GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS)
                        187

                           2.1.

                        GENERAL REMARKS
                        187

                           2.2.

                        DETAILED GROUP SOLVENCY INFORMATION
                        188

                           2.3.

                        INFORMATION ON THE CONTRIBUTIONS OF INDIVIDUAL ENTITIES TO GROUP SOLVENCY
                        188

                           2.4.

                        C 06.01 — GROUP SOLVENCY: INFORMATION ON AFFILIATES – TOTAL (GS TOTAL)
                        188

                           2.5.

                        C 06.02 — GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS)
                        189

                           3.

                        CREDIT RISK TEMPLATES
                        195

                           3.1.

                        GENERAL REMARKS
                        195

                           3.1.1.

                        REPORTING OF CRM TECHNIQUES WITH SUBSTITUTION EFFECT
                        195

                           3.1.2.

                        REPORTING OF COUNTERPARTY CREDIT RISK
                        196

                           3.2.

                        C 07.00 — CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: STANDARDISED APPROACH TO CAPITAL REQUIREMENTS (CR SA)
                        196

                           3.2.1.

                        GENERAL REMARKS
                        196

                           3.2.2.

                        SCOPE OF THE CR SA TEMPLATE
                        196

                           3.2.3.

                        ASSIGNMENT OF EXPOSURES TO EXPOSURE CLASSES UNDER THE STANDARDISED APPROACH
                        197

                           3.2.4.

                        CLARIFICATIONS ON THE SCOPE OF SOME SPECIFIC EXPOSURE CLASSES REFERRED TO IN ARTICLE 112 OF CRR
                        200

                           3.2.4.1.

                        EXPOSURE CLASS ‘INSTITUTIONS’
                        200

                           3.2.4.2.

                        EXPOSURE CLASS ‘COVERED BONDS’
                        200

                           3.2.4.3.

                        EXPOSURE CLASS ‘COLLECTIVE INVESTMENT UNDERTAKINGS’
                        201

                           3.2.5.

                        INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
                        201

                           3.3.

                        CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO OWN FUNDS REQUIREMENTS (CR IRB)
                        207

                           3.3.1.

                        SCOPE OF THE CR IRB TEMPLATE
                        207

                           3.3.2.

                        BREAKDOWN OF THE CR IRB TEMPLATE
                        208

                           3.3.3.

                        C 08.01 — CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS (CR IRB 1)
                        209

                           3.3.3.1.

                        INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
                        209

                           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)
                        216

                           3.4.

                        CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: INFORMATION WITH GEOGRAPHICAL BREAKDOWN
                        217

                           3.4.1.

                        C 09.01 — GEOGRAPHICAL BREAKDOWN OF EXPOSURES BY RESIDENCE OF THE OBLIGOR: SA EXPOSURES (CR GB 1)
                        217

                           3.4.1.1.

                        INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
                        217

                           3.4.2.

                        C 09.02 — GEOGRAPHICAL BREAKDOWN OF EXPOSURES BY RESIDENCE OF THE OBLIGOR: IRB EXPOSURES (CR GB 2)
                        219

                           3.4.2.1.

                        INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
                        219

                           3.4.3.

                        C 09.04 — BREAKDOWN OF CREDIT EXPOSURES RELEVANT FOR THE CALCULATION OF THE COUNTERCYCLICAL BUFFER BY COUNTRY AND INSTITUTION-SPECIFIC COUNTERCYCLICAL BUFFER RATE (CCB)
                        222

                           3.4.3.1.

                        GENERAL REMARKS
                        222

                           3.4.3.2.

                        INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
                        222

                           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)
                        225

                           3.5.1.

                        GENERAL REMARKS
                        225

                           3.5.2.

                        INSTRUCTIONS CONCERNING SPECIFIC POSITIONS (APPLICABLE TO BOTH CR EQU IRB 1 AND CR EQU IRB 2)
                        226

                           3.6.

                        C 11.00 — SETTLEMENT/DELIVERY RISK (CR SETT)
                        229

                           3.6.1.

                        GENERAL REMARKS
                        229

                           3.6.2.

                        INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
                        230

                           3.7.

                        C 12.00 — CREDIT RISK: SECURITISATION — STANDARDISED APPROACH TO OWN FUNDS REQUIREMENTS (CR SEC SA)
                        231

                           3.7.1.

                        GENERAL REMARKS
                        231

                           3.7.2.

                        INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
                        231

                           3.8.

                        C 13.00 — CREDIT RISK — SECURITISATIONS: INTERNAL RATINGS BASED APPROACH TO OWN FUNDS REQUIREMENTS (CR SEC IRB)
                        237

                           3.8.1.

                        GENERAL REMARKS
                        237

                           3.8.2.

                        INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
                        238

                           3.9.

                        C 14.00 — DETAILED INFORMATION ON SECURITISATIONS (SEC DETAILS)
                        244

                           3.9.1.

                        GENERAL REMARKS
                        244

                           3.9.2.

                        INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
                        245

                           4.

                        OPERATIONAL RISK TEMPLATES
                        253

                           4.1.

                        C 16.00 — OPERATIONAL RISK (OPR)
                        253

                           4.1.1.

                        GENERAL REMARKS
                        253

                           4.1.2.

                        INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
                        254

                           4.2.

                        OPERATIONAL RISK: DETAILED INFORMATION ON LOSSES IN THE LAST YEAR (OPR DETAILS)
                        256

                           4.2.1.

                        GENERAL REMARKS
                        256

                           4.2.2.

                        TEMPLATE C 17.01: OPERATIONAL RISK LOSSES AND RECOVERIES BY BUSINESS LINES AND EVENT TYPES IN THE LAST YEAR (OPR DETAILS 1)
                        257

                           4.2.2.1.

                        GENERAL REMARKS
                        257

                           4.2.2.2.

                        INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
                        257

                           4.2.3.

                        TEMPLATE C 17.02: OPERATIONAL RISK: DETAILED INFORMATION ON THE LARGEST LOSS EVENTS IN THE LAST YEAR (OPR DETAILS 2)
                        262

                           4.2.3.1.

                        GENERAL REMARKS
                        262

                           4.2.3.2.

                        INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
                        263

                           5.

                        MARKET RISK TEMPLATES
                        263

                           5.1.

                        C 18.00 — MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS (MKR SA TDI)
                        264

                           5.1.1.

                        GENERAL REMARKS
                        264

                           5.1.2.

                        INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
                        264

                           5.2.

                        C 19.00 — MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS (MKR SA SEC)
                        266

                           5.2.1.

                        GENERAL REMARKS
                        266

                           5.2.2.

                        INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
                        266

                           5.3.

                        C 20.00 — MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK FOR POSITIONS ASSIGNED TO THE CORRELATION TRADING PORTFOLIO (MKR SA CTP)
                        268

                           5.3.1.

                        GENERAL REMARKS
                        268

                           5.3.2.

                        INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
                        269

                           5.4.

                        C 21.00 — MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES (MKR SA EQU)
                        270

                           5.4.1.

                        GENERAL REMARKS
                        270

                           5.4.2.

                        INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
                        271

                           5.5.

                        C 22.00 — MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK (MKR SA FX)
                        272

                           5.5.1.

                        GENERAL REMARKS
                        272

                           5.5.2.

                        INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
                        272

                           5.6.

                        C 23.00 — MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES (MKR SA COM)
                        274

                           5.6.1.

                        GENERAL REMARKS
                        274

                           5.6.2.

                        INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
                        275

                           5.7.

                        C 24.00 — MARKET RISK INTERNAL MODEL (MKR IM)
                        275

                           5.7.1.

                        GENERAL REMARKS
                        275

                           5.7.2.

                        INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
                        276

                           5.8.

                        C 25.00 — CREDIT VALUATION ADJUSTMENT RISK (CVA)
                        278

                           5.8.1.

                        INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
                        278

                           6.

                        C 33.00 — EXPOSURES TO GENERAL GOVERNMENTS (GOV)
                        280

                           6.1.

                        GENERAL REMARKS
                        280

                           6.2.

                        SCOPE OF THE TEMPLATE ON EXPOSURES TO ‘GENERAL GOVERNMENTS’
                        280

                           6.3.

                        INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
                        280

                  PART I: GENERAL INSTRUCTIONS

               1.   STRUCTURE AND CONVENTIONS
               1.1.   STRUCTURE

                           1.

                           Overall, the framework consists of five blocks of templates:

                                       (a)

                                       capital adequacy, an overview of regulatory capital; total risk exposure amount;

                                       (b)

                                       group solvency, an overview of the fulfilment of the solvency requirements by all individual entities included in the scope of consolidation of the reporting entity

                                       (c)

                                       credit risk (including counterparty, dilution and settlement risks);

                                       (d)

                                       market risk (including position risk in trading book, foreign exchange risk, commodities risk and CVA risk);

                                       (e)

                                       operational risk.

                           2.

                           For each template legal references are provided. Further detailed information regarding more general aspects of the reporting of each block of templates, instructions concerning specific positions as well as validation rules are included in this part of the Implementing Technical Standard.

                           3.

                           Institutions report only those templates that are relevant depending on the approach used for determining own funds requirements.

                     1.2.   NUMBERING CONVENTION

                           4.

                           The document follows the labelling convention set in the following table, when referring to the columns, rows and cells of the templates. These numerical codes are extensively used in the validation rules.

                           5.

                           The following general notation is followed in the instructions: {Template;Row;Column}.

                           6.

                           In the case of validations inside a template, in which only data points of that template is used, notations do not refer to a template: {Row;Column}.

                           7.

                           In the case of templates with only one column, only rows are referred to. {Template;Row}

                           8.

                           An asterisk sign is used to express that the validation is done for the rows or columns specified before.

                     1.3.   SIGN CONVENTION

                           9.

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

                  PART II: TEMPLATE RELATED INSTRUCTIONS

               1.   CAPITAL ADEQUACY OVERVIEW (CA)
               1.1.   GENERAL REMARKS

                           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:

                                       (a)

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

                                       (b)

                                       CA2 template summarizes the total risk exposures amounts as defined in Article 92(3) of Regulation (EU) No 575/2013 (‘CRR’)

                                       (c)

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

                                       (d)

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

                                       (e)

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

                           11.

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

                           12.

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

                           13.

                           Transitional provisions are treated as follows in CA templates:

                                       (a)

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

                                       (b)

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

                                       (c)

                                       Template CA5 is exclusively used for reporting the transitional provisions.

                           14.

                           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.

                                       a)

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

                                       b)

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

                                       c)

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

                     1.2.   C 01.00 — OWN FUNDS (CA1)
               1.2.1.   Instructions concerning specific positions

                           Row

                           Legal references and instructions

                           010

                           1.   Own funds

                           Articles 4(1)(118) and 72 of CRR
                           The own funds of an institution shall consist of the sum of its Tier 1 capital and Tier 2 capital.

                           015

                           1.1.   Tier 1 capital

                           Article 25 of CRR
                           The Tier 1 capital is the sum of Common Equity Tier 1 Capital and Additional Tier 1 capital

                           020

                           1.1.1.   Common Equity Tier 1 capital

                           Article 50 of CRR

                           030

                           1.1.1.1.   Capital instruments eligible as CET1 capital

                           Articles 26(1) points (a) and (b), 27 to 30, 36(1) point (f) and 42 of CRR

                           040

                           1.1.1.1.1.   Paid up capital instruments

                           Articles 26(1) point (a) and 27 to 31 of CRR
                           Capital instruments of mutual, cooperative societies or similar institutions (Articles 27 and 29 of CRR) shall be included.
                           The share premium related to the instruments shall not be included.
                           Capital instruments subscribed by public authorities in emergency situations shall be included if all conditions of Article 31 CRR are fulfilled.

                           045

                           1.1.1.1.1*   Of which: Capital instruments subscribed by public authorities in emergency situations

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

                           050

                           1.1.1.1.2*   Memorandum item: Capital instruments not eligible

                           Article 28(1) points (b), (l) and (m) of CRR
                           Conditions in those points reflect different situations of the capital which are reversible, and thus the amount reported here can be eligible in subsequent periods.
                           The amount to be reported shall not include the share premium related to the instruments

                           060

                           1.1.1.1.3.   Share premium

                           Articles 4(1)(124), 26(1) point (b) of CRR
                           Share premium has the same meaning as under the applicable accounting standard.
                           The amount to be reported in this item shall be the part related to the ‘Paid up capital instruments’.

                           070

                           1.1.1.1.4.   (-) Own CET1 instruments

                           Articles 36(1) point (f) and 42 of CRR
                           Own CET1 held by the reporting institution or group at the reporting date. Subject to exceptions in Article 42 of CRR.
                           Holdings on shares included as ‘Capital instruments not eligible’ shall not be reported in this row.
                           The amount to be reported shall include the share premium related to the own shares.
                           Items 1.1.1.1.4 to 1.1.1.1.4.3 do not include actual or contingent obligations to purchase own CET1 instruments. Actual or contingent obligations to purchase own CET1 instruments are reported separately in item 1.1.1.1.5.

                           080

                           1.1.1.1.4.1.   (-) Direct holdings of CET1 instruments

                           Articles 36(1) point (f) and 42 of CRR
                           Common Equity Tier 1 instruments included in item 1.1.1.1 held by institutions of the consolidated group.
                           The amount to be reported shall include holdings in the trading book calculated on the basis of the net long position, as stated in Article 42 point (a) of CRR.

                           090

                           1.1.1.1.4.2.   (-) Indirect holdings of CET1 instruments

                           Articles 4(1)(114), 36(1) point (f) and 42 of CRR

                           091

                           1.1.1.1.4.3.   (-) Synthetic holdings of CET1 instruments

                           Articles 4(1)(126), 36(1) point (f) and 42 of CRR

                           092

                           1.1.1.1.5.   (-) Actual or contingent obligations to purchase own CET1 instruments

                           Articles 36(1) point (f) and 42 of CRR
                           According to Article 36(1) point (f) of CRR, ‘own Common Equity Tier 1 instruments that an institution is under an actual or contingent obligation to purchase by virtue of an existing contractual obligation’ shall be deducted.

                           130

                           1.1.1.2.   Retained earnings

                           Articles 26(1) point (c) and 26(2) of CRR
                           Retained earnings includes the previous year retained earnings plus the eligible interim or year-end profits

                           140

                           1.1.1.2.1.   Previous years retained earnings

                           Articles 4(1)(123) and 26(1) c) of CRR
                           Article 4(1)(123) of CRR defines retained earnings as ‘Profit and losses brought forward as a result of the final application of profit or loss under the applicable accounting framework’.

                           150

                           1.1.1.2.2.   Profit or loss eligible

                           Articles 4(1)(121), 26(2) and 36(1) point (a) of CRR
                           Article 26(2) of CRR allows including as retained earnings interim or year-end profits, with the prior consent of the competent authorities, if some conditions are met.
                           On the other hand, losses shall be deducted from CET1, as stated in article 36(1) point (a) of CRR.

                           160

                           1.1.1.2.2.1.   Profit or loss attributable to owners of the parent

                           Articles 26(2) and 36(1) point (a) of CRR
                           The amount to be reported shall be the profit or loss reported in the accounting income statement.

                           170

                           1.1.1.2.2.2.   (-) Part of interim or year-end profit not eligible

                           Article 26(2) of CRR
                           This row shall not present any figure if, for the reference period, the institution has reported losses. This is because the losses shall be completely deducted from CET1.
                           If the institution reports profits, it shall be reported the part which is not eligible according to article 26(2) of CRR (i.e. profits not audited and foreseeable charges or dividends)
                           Note that, in case of profits, the amount to be deduced shall be, at least, the interim dividends.

                           180

                           1.1.1.3.   Accumulated other comprehensive income

                           Articles 4(1)(100) and 26(1) point (d) of CRR
                           The amount to be reported shall be net of any tax charge foreseeable at the moment of the calculation, and prior to the application of prudential filters. The amount to be reported shall be determined in accordance with Article 13(4) of Commission Delegated Regulation (EU) No 241/2014.

                           200

                           1.1.1.4.   Other reserves

                           Articles 4(1)(117) and 26(1) point (e) of CRR
                           Other reserves are defined in CRR as ‘Reserves within the meaning of the applicable accounting framework that are required to be disclosed under that applicable accounting standard, excluding any amounts already included in accumulated other comprehensive income or retained earnings’.
                           The amount to be reported shall be net of any tax charge foreseeable at the moment of the calculation.

                           210

                           1.1.1.5.   Funds for general banking risk

                           Articles 4(1)(112) and 26(1) point (f) of CRR
                           Funds for general banking risk are defined in article 38 of Directive 86/635/EEC as ‘Amounts which a credit institution decides to put aside to cover such risks where that is required by the particular risks associated with banking’
                           The amount to be reported shall be net of any tax charge foreseeable at the moment of the calculation.

                           220

                           1.1.1.6.   Transitional adjustments due to grandfathered CET1 Capital instruments

                           Articles 483(1) to (3), and 484 to 487 of CRR
                           Amount of capital instruments transitionally grandfathered as CET1. The amount to be reported is directly obtained from CA5.

                           230

                           1.1.1.7.   Minority interest given recognition in CET1 capital

                           Article 4(120) and 84 of CRR
                           Sum of all the amounts of minority interests of subsidiaries that is included in consolidated CET1.

                           240

                           1.1.1.8.   Transitional adjustments due to additional minority interests

                           Articles 479 and 480 of CRR
                           Adjustments to the minority interests due to transitional provisions. This item is obtained directly from CA5.

                           250

                           1.1.1.9.   Adjustments to CET1 due to prudential filters

                           Articles 32 to 35 of CRR

                           260

                           1.1.1.9.1.   (-) Increases in equity resulting from securitised assets

                           Article 32(1) of CRR
                           The amount to be reported is the increase in the equity of the institution resulting from securitised assets, according to the applicable accounting standard.
                           For example, this item includes the future margin income that results in a gain on sale for the institution, or, for originators, the net gains that arise from the capitalisation of future income from the securitised assets that provide credit enhancement to positions in the securitisation.

                           270

                           1.1.1.9.2.   Cash flow hedge reserve

                           Article 33(1) point (a) of CRR
                           The amount to be reported could either be positive or negative. It shall be positive if cash flow hedges result in a loss (i.e. if it reduces accounting equity) and vice versa. Thus, the sign shall be contrary to the one used in accounting statements.
                           The amount shall be net of any tax charge foreseeable at the moment of the calculation.

                           280

                           1.1.1.9.3.   Cumulative gains and losses due to changes in own credit risk on fair valued liabilities

                           Article 33(1) point (b) of CRR
                           The amount to be reported could either be positive or negative. It shall be positive if there is a loss due to changes in own credit risk (i.e. if it reduces accounting equity) and vice versa. Thus, the sign shall be contrary to the one used in accounting statements.
                           Unaudited profit shall not be included in this item.

                           285

                           1.1.1.9.4.   Fair value gains and losses arising from the institution's own credit risk related to derivative liabilities

                           Article 33(1) point (c) and 33(2) of CRR
                           The amount to be reported could either be positive or negative. It shall be positive if there is a loss due to changes in own credit risk and vice versa. Thus, the sign shall be contrary to the one used in accounting statements.
                           Unaudited profit shall not be included in this item.

                           290

                           1.1.1.9.5.   (-) Value adjustments due to the requirements for prudent valuation

                           Articles 34 and 105 of CRR
                           Adjustments to the fair value of exposures included in the trading book or non-trading book due to stricter standards for prudent valuation set in Article 105 of CRR

                           300

                           1.1.1.10.   (-) Goodwill

                           Articles 4(1)(113), 36(1) point (b) and 37 of CRR

                           310

                           1.1.1.10.1.   (-) Goodwill accounted for as intangible asset

                           Articles 4(1)(113) and 36(1) point (b) of CRR
                           Goodwill has the same meaning as under the applicable accounting standard.
                           The amount to be reported here shall be the same that is reported in the balance sheet.

                           320

                           1.1.1.10.2.   (-) Goodwill included in the valuation of significant investments

                           Article 37 point (b) and 43 of CRR

                           330

                           1.1.1.10.3.   Deferred tax liabilities associated to goodwill

                           Article 37 point (a) of CRR
                           Amount of deferred tax liabilities that would be extinguished if the goodwill became impaired or was derecognised under the relevant accounting standard

                           340

                           1.1.1.11.   (-) Other intangible assets

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

                           350

                           1.1.1.11.1.   (-) Other intangible assets before deduction of deferred tax liabilities

                           Articles 4(1)(115) and 36(1) point (b) of CRR
                           Other intangible assets are the intangibles assets under the applicable accounting standard, minus the goodwill, also according to the applicable accounting standard.
                           The amount to be reported here shall correspond to the amount reported in the balance sheet of intangible assets others than goodwill.

                           360

                           1.1.1.11.2.   Deferred tax liabilities associated to other intangible assets

                           Article 37 point (a) of CRR
                           Amount of deferred tax liabilities that would be extinguished if the intangibles assets other than goodwill became impaired or was derecognised under the relevant accounting standard

                           370

                           1.1.1.12.   (-) Deferred tax assets that rely on future profitability and do not arise from temporary differences net of associated tax liabilities

                           Articles 36(1) point (c) and 38 of CRR

                           380

                           1.1.1.13.   (-) IRB shortfall of credit risk adjustments to expected losses

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

                           390

                           1.1.1.14.   (-) Defined benefit pension fund assets

                           Articles 4(1)(109), 36(1) point (e) and 41 of CRR

                           400

                           1.1.1.14.1.   (-) Defined benefit pension fund assets

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

                           410

                           1.1.1.14.2.   Deferred tax liabilities associated to defined benefit pension fund assets

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

                           420

                           1.1.1.14.3.   Defined benefit pension fund assets which the institution has an unrestricted ability to use

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

                           430

                           1.1.1.15.   (-) Reciprocal cross holdings in CET1 Capital

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

                           440

                           1.1.1.16.   (-) Excess of deduction from AT1 items over AT1 Capital

                           Article 36(1) point (j) of CRR
                           The amount to be reported is directly taken from CA 1 item ‘Excess of deduction from AT1 items over AT1 Capital. The amount has to be deducted from CET1’.

                           450

                           1.1.1.17.   (-) Qualifying holdings outside the financial sector which can alternatively be subject to a 1 250  % risk weight

                           Articles 4(1)(36), 36(1) point (k) (i) and 89 to 91 of CRR
                           Qualifying holdings are defined as ‘direct or indirect holding in an undertaking which represents 10 % or more of the capital or of the voting rights or which makes it possible to exercise a significant influence over the management of that undertaking’.
                           According to Article 36(1) point (k) (i) of CRR they can, alternatively, be deducted from CET1 (using this item), or subject to a risk weight of 1 250  %.

                           460

                           1.1.1.18.   (-) Securitisation positions which can alternatively be subject to a 1 250  % risk weight

                           Articles 36(1) point (k) (ii), 243(1) point (b), 244(1) point (b), 258 and 266(3) of CRR
                           Securitisation positions which are subject to a 1 250  % risk weight, but alternatively, are allowed to be deducted from CET1 (Article 36(1) point (k) (ii) of CRR). In the latter case, they shall be reported in this item.

                           470

                           1.1.1.19.   (-) Free deliveries which can alternatively be subject to a 1 250  % risk weight

                           Articles 36(1) point (k) (iii) and 379(3) of CRR
                           Free deliveries are subject to a 1 250  % risk weight after 5 days post second contractual payment or delivery leg until the extinction of the transaction, according to the own funds requirements for settlement risk. Alternatively, they are allowed to be deducted from CET1 (Article 36(1) point (k) (iii) of CRR). In the latter case, they shall be reported in this item.

                           471

                           1.1.1.20.   (-) Positions in a basket for which an institution cannot determine the risk weight under the IRB approach, and can alternatively be subject to a 1 250  % risk weight

                           Articles 36(1) point (k) (iv) and 153(8) of CRR
                           According to Article 36(1) point (k) (iv) of CRR they can, alternatively, be deducted from CET1 (using this item), or subject to a risk weight of 1 250  %.

                           472

                           1.1.1.21.   (-) Equity exposures under an internal models approach which can alternatively be subject to a 1 250  % risk weight

                           Articles 36(1) point (k) (v) and 155(4) of CRR
                           According to Article 36(1) point (k) (v) of CRR they can, alternatively, be deducted from CET1 (using this item), or subject to a risk weight of 1 250  %.

                           480

                           1.1.1.22.   (-) CET1 instruments of financial sector entities where the institution does not have a significant investment

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

                           490

                           1.1.1.23.   (-) Deductible deferred tax assets that rely on future profitability and arise from temporary differences

                           Articles 36(1) point (c); 38 and 48(1) point (a) of CRR
                           Part of deferred tax assets that rely in future profitability and arise from temporary differences (net of the part of associated deferred tax liabilities allocated to deferred tax assets that arise from temporary differences, according to article 38(5) point (b) of CRR) which has to be deducted, applying the 10 % threshold in article 48(1) point (a) of CRR.

                           500

                           1.1.1.24.   (-) CET1 instruments of financial sector entities where the institution has a significant investment

                           Articles 4(1)(27); 36(1) point (i); 43, 45; 47; 48(1) point (b); 49(1) to (3) and 79 of CRR
                           Part of holdings by the institution of CET1 instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where the institution has a significant investment that has to be deducted, applying the 10 % threshold in Article 48(1) point (b) of CRR.
                           See alternatives to deduction when consolidation is applied (article 49(1), (2) and (3)).

                           510

                           1.1.1.25.   (-) Amount exceeding the 17,65 % threshold

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

                           520

                           1.1.1.26.   Other transitional adjustments to CET1 Capital

                           Articles 469 to 472, 478 and 481 of CRR
                           Adjustments to deductions due to transitional provisions. The amount to be reported is directly obtained from CA5.

                           524

                           1.1.1.27.   (-) Additional deductions of CET1 Capital due to Article 3 CRR

                           Article 3 CRR

                           529

                           1.1.1.28.   CET1 capital elements or deductions — other

                           This row is invented to provide flexibility solely for reporting purposes. It shall only be populated in the rare cases that there is no final decision on the reporting of specific capital items/deductions in the current CA1 template. As a consequence, this row shall only be populated if a CET1 capital element respective a deduction of a CET1 element cannot be assigned to one of the rows 020 to 524.
                           This cell shall not be used to assign capital items/deductions which are not covered by the CRR into the calculation of solvency ratios (e.g. an assignment of national capital items/deductions which are outside the scope of the CRR).

                           530

                           1.1.2.   ADDITIONAL TIER 1 CAPITAL

                           Article 61 of CRR

                           540

                           1.1.2.1.   Capital instruments eligible as AT1 Capital

                           Articles 51 point (a), 52 to 54, 56 point (a) and 57 of CRR

                           550

                           1.1.2.1.1.   Paid up capital instruments

                           Articles 51 point (a) and 52 to 54 of CRR
                           The amount to be reported shall not include the share premium related to the instruments

                           560

                           1.1.2.1.2 (*)   Memorandum item: Capital instruments not eligible

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

                           570

                           1.1.2.1.3.   Share premium

                           Article 51 point (b) of CRR
                           Share premium has the same meaning as under the applicable accounting standard.
                           The amount to be reported in this item shall be the part related to the ‘Paid up capital instruments’.

                           580

                           1.1.2.1.4.   (-) Own AT1 instruments

                           Articles 52(1) point (b), 56 point (a) and 57 of CRR
                           Own AT1 instruments held by the reporting institution or group at the reporting date. Subject to exceptions in article 57 of CRR.
                           Holdings on shares included as ‘Capital instruments not eligible’ shall not be reported in this row.
                           The amount to be reported shall include the share premium related to the own shares.
                           Items 1.1.2.1.4 to 1.1.2.1.4.3 do not include actual or contingent obligations to purchase own CET1 instruments. Actual or contingent obligations to purchase own AT1 instruments are reported separately in item 1.1.2.1.5.

                           590

                           1.1.2.1.4.1.   (-) Direct holdings of AT1 instruments

                           Articles 4(1)(114) 52 (1) point (b), 56 point (a) and 57 of CRR
                           Additional Tier 1 instruments included in item 1.1.2.1.1 held by institutions of the consolidated group.

                           620

                           1.1.2.1.4.2.   (-) Indirect holdings of AT1 instruments

                           Articles 52(1) point (b) (ii), 56 point (a) and 57of CRR

                           621

                           1.1.2.1.4.3.   (-) Synthetic holdings of AT1 instruments

                           Articles 4(1)(126), 52(1) point (b), 56 point (a) and 57 of CRR

                           622

                           1.1.2.1.5.   (-) Actual or contingent obligations to purchase own AT1 instruments

                           Articles 56 point (a) and 57 of CRR
                           According to Article 56 point (a) of CRR, ‘own Additional Tier 1 instruments that an institution could be obliged to purchase as a result of existing contractual obligations’ shall be deducted.

                           660

                           1.1.2.2.   Transitional adjustments due to grandfathered AT1 Capital instruments

                           Articles 483(4) and (5), 484 to 487, 489 and 491 of CRR
                           Amount of capital instruments transitionally grandfathered as AT1. The amount to be reported is directly obtained from CA5.

                           670

                           1.1.2.3.   Instruments issued by subsidiaries that are given recognition in AT1 Capital

                           Articles 83, 85 and 86 of CRR
                           Sum of all the amounts of qualifying T1 capital of subsidiaries that is included in consolidated AT1.
                           Qualifying AT1 capital issued by a special purpose entity (Article 83 of CRR) shall be included.

                           680

                           1.1.2.4.   Transitional adjustments due to additional recognition in AT1 Capital of instruments issued by subsidiaries

                           Article 480 of CRR
                           Adjustments to the qualifying T1 capital included in consolidated AT1 capital due to transitional provisions. This item is obtained directly from CA5.

                           690

                           1.1.2.5.   (-) Reciprocal cross holdings in AT1 Capital

                           Articles 4(1)(122), 56 point (b) and 58 of CRR
                           Holdings in AT1 instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where there is a reciprocal cross holding that the competent authority considers to have been designed to inflate artificially the own funds of the institution
                           The amount to be reported shall be calculated on the basis of the gross long positions, and shall include Additional Tier 1 own-fund insurance items.

                           700

                           1.1.2.6.   (-) AT1 instruments of financial sector entities where the institution does not have a significant investment

                           Articles 4(1)(27), 56 point (c); 59, 60 and 79 of CRR
                           Part of holdings by the institution of instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where the institution does not have a significant investment that has to be deducted from AT1

                           710

                           1.1.2.7.   (-) AT1 instruments of financial sector entities where the institution has a significant investment

                           Articles 4(1)(27), 56 point (d), 59 and 79 of CRR
                           Holdings by the institution of AT1 instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where the institution has a significant investment are completely deducted

                           720

                           1.1.2.8.   (-) Excess of deduction from T2 items over T2 Capital

                           Article 56 point (e) of CRR
                           The amount to be reported is directly taken from CA 1 item ‘Excess of deduction from T2 items over T2 Capital’ (deducted in AT1).

                           730

                           1.1.2.9.   Other transitional adjustments to AT1 Capital

                           Articles 474, 475, 478 and 481 of CRR
                           Adjustments due to transitional provisions. The amount to be reported is directly obtained from CA5.

                           740

                           1.1.2.10.   Excess of deduction from AT1 items over AT1 Capital (deducted in CET1)

                           Article 36(1) point (j) of CRR
                           Additional Tier 1 cannot be negative, but it is possible that AT1 deductions are greater than AT1 Capital plus related share premium. When this happens, AT1 has to be equal to zero, and the excess of AT1 deductions has to be deducted from CET1.
                           With this item, it is achieved that the sum of items 1.1.2.1 to 1.1.2.12 is never lower than zero. Then, if this item shows a positive figure, item 1.1.1.16 shall be the inverse of that figure.

                           744

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

                           Article 3 CRR

                           748

                           1.1.2.12.   AT1 capital elements or deductions — other

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

                           750

                           1.2.   TIER 2 CAPITAL

                           Article 71 of CRR

                           760

                           1.2.1.   Capital instruments and subordinated loans eligible as T2 Capital

                           Articles 62 point (a), 63 to 65, 66 point (a), and 67 of CRR

                           770

                           1.2.1.1.   Paid up capital instruments and subordinated loans

                           Articles 62 point (a), 63 and 65 of CRR
                           The amount to be reported shall not include the share premium related to the instruments

                           780

                           1.2.1.2 (*)   Memorandum item: Capital instruments and subordinated loans not eligible

                           Article 63 points (c), (e) and (f); and article 64 of CRR
                           Conditions in those points reflect different situations of the capital which are reversible, and thus the amount reported here can be eligible in subsequent periods.
                           The amount to be reported shall not include the share premium related to the instruments

                           790

                           1.2.1.3.   Share premium

                           Articles 62 point (b) and 65 of CRR
                           Share premium has the same meaning as under the applicable accounting standard.
                           The amount to be reported in this item shall be the part related to the ‘Paid up capital instruments’.

                           800

                           1.2.1.4.   (-) Own T2 instruments

                           Article 63 point (b) (i), 66 point (a), and 67 of CRR
                           Own T2 instruments held by the reporting institution or group at the reporting date. Subject to exceptions in article 67 of CRR.
                           Holdings on shares included as ‘Capital instruments not eligible’ shall not be reported in this row.
                           The amount to be reported shall include the share premium related to the own shares.
                           Items 1.2.1.4 to 1.2.1.4.3 do not include actual or contingent obligations to purchase own T2 instruments. Actual or contingent obligations to purchase own T2 instruments are reported separately in item 1.2.1.5.

                           810

                           1.2.1.4.1.   (-) Direct holdings of T2 instruments

                           Articles 63 point (b), 66 point (a) and 67 of CRR
                           Tier 2 instruments included in item 1.2.1.1 held by institutions of the consolidated group.

                           840

                           1.2.1.4.2.   (-) Indirect holdings of T2 instruments

                           Articles 4(1)(114), 63 point (b), 66 point (a) and 67 of CRR

                           841

                           1.2.1.4.3.   (-) Synthetic holdings of T2 instruments

                           Articles 4(1)(126), 63 point (b), 66 point (a) and 67 of CRR

                           842

                           1.2.1.5.   (-) Actual or contingent obligations to purchase own T2 instruments

                           Articles 66 point (a) and 67 of CRR
                           According to Article 66 point (a) of CRR, ‘own Tier 2 instruments that an institution could be obliged to purchase as a result of existing contractual obligations’ shall be deducted.

                           880

                           1.2.2.   Transitional adjustments due to grandfathered T2 Capital instruments and subordinated loans

                           Articles 483(6) and (7), 484, 486, 488, 490 and 491 of CRR
                           Amount of capital instruments transitionally grandfathered as T2. The amount to be reported is directly obtained from CA5.

                           890

                           1.2.3.   Instruments issued by subsidiaries that are given recognition in T2 Capital

                           Articles 83, 87 and 88 of CRR
                           Sum of all the amounts of qualifying own funds of subsidiaries that is included in consolidated T2.
                           Qualifying Tier 2 capital issued by a special purpose entity (Article 83 of CRR) shall be included.

                           900

                           1.2.4.   Transitional adjustments due to additional recognition in T2 Capital of instruments issued by subsidiaries

                           Article 480 of CRR
                           Adjustments to the qualifying own funds included in consolidated T2 capital due to transitional provisions. This item is obtained directly from CA5.

                           910

                           1.2.5.   IRB Excess of provisions over expected losses eligible

                           Article 62 point (d) of CRR
                           For institutions calculating risk-weighted exposure amounts in accordance with IRB approach, this item contains the positive amounts resulting from comparing the provisions and expected losses which are eligible as T2 capital.

                           920

                           1.2.6.   SA General credit risk adjustments

                           Article 62 point (c) of CRR
                           For institutions calculating risk-weighted exposure amounts in accordance with standard approach, this item contains the general credit risk adjustments eligible as T2 capital.

                           930

                           1.2.7.   (-) Reciprocal cross holdings in T2 Capital

                           Articles 4(1)(122), 66 point (b) and 68 of CRR
                           Holdings in T2 instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where there is a reciprocal cross holding that the competent authority considers to have been designed to inflate artificially the own funds of the institution.
                           The amount to be reported shall be calculated on the basis of the gross long positions, and shall include Tier 2 and Tier 3 own-fund insurance items.

                           940

                           1.2.8.   (-) T2 instruments of financial sector entities where the institution does not have a significant investment

                           Articles 4(1)(27), 66 point (c), 68 to 70 and 79 of CRR
                           Part of holdings by the institution of instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where the institution does not have a significant investment that has to be deducted from T2.

                           950

                           1.2.9.   (-) T2 instruments of financial sector entities where the institution has a significant investment

                           Articles 4(1)(27), 66 point (d), 68, 69 and 79 of CRR
                           Holdings by the institution of T2 instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where the institution has a significant investment shall be completely deducted.

                           960

                           1.2.10.   Other transitional adjustments to T2 Capital

                           Articles 476 to 478 and 481 of CRR
                           Adjustments due to transitional provisions. The amount to be reported shall be directly obtained from CA5.

                           970

                           1.2.11.   Excess of deduction from T2 items over T2 Capital (deducted in AT1)

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

                           974

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

                           Article 3 CRR

                           978

                           1.2.13.   T2 capital elements or deductions — other

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

                     1.3.   C 02.00 — OWN FUNDS REQUIREMENTS (CA2)
               1.3.1.   Instructions concerning specific positions

                           Row

                           Legal references and instructions

                           010

                           1.   TOTAL RISK EXPOSURE AMOUNT

                           Articles 92(3), 95, 96 and 98 of CRR

                           020

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

                           For investment firms under Article 95(2) and Article 98 of CRR

                           030

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

                           For investment firms under Article 96(2) and Article 97 of CRR

                           040

                           1.1.   RISK WEIGHTED EXPOSURE AMOUNTS FOR CREDIT, COUNTERPARTY CREDIT AND DILUTION RISKS AND FREE DELIVERIES

                           Article 92(3) points (a) and (f) of CRR

                           050

                           1.1.1.   Standardised approach (SA)

                           CR SA and SEC SA templates at the level of total exposures

                           060

                           1.1.1.1.   SA exposure classes excluding securitisations positions

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

                           070

                           1.1.1.1.01.   Central governments or central banks

                           See CR SA template

                           080

                           1.1.1.1.02.   Regional governments or local authorities

                           See CR SA template

                           090

                           1.1.1.1.03.   Public sector entities

                           See CR SA template

                           100

                           1.1.1.1.04.   Multilateral Development Banks

                           See CR SA template

                           110

                           1.1.1.1.05.   International Organisations

                           See CR SA template

                           120

                           1.1.1.1.06.   Institutions

                           See CR SA template

                           130

                           1.1.1.1.07.   Corporates

                           See CR SA template

                           140

                           1.1.1.1.08.   Retail

                           See CR SA template

                           150

                           1.1.1.1.09.   Secured by mortgages on immovable property

                           See CR SA template

                           160

                           1.1.1.1.10.   Exposures in default

                           See CR SA template

                           170

                           1.1.1.1.11.   Items associated with particular high risk

                           See CR SA template

                           180

                           1.1.1.1.12.   Covered bonds

                           See CR SA template

                           190

                           1.1.1.1.13.   Claims on institutions and corporate with a short-term credit assessment

                           See CR SA template

                           200

                           1.1.1.1.14.   Collective investments undertakings (CIU)

                           See CR SA template

                           210

                           1.1.1.1.15.   Equity

                           See CR SA template

                           211

                           1.1.1.1.16.   Other items

                           See CR SA template

                           220

                           1.1.1.2.   Securitisations positions SA

                           CR SEC SA template at the level of total securitisation types

                           230

                           1.1.1.2.*   Of which: resecuritisation

                           CR SEC SA template at the level of total securitisation types

                           240

                           1.1.2.   Internal ratings based Approach (IRB)

                           250

                           1.1.2.1.   IRB approaches when neither own estimates of LGD nor Conversion Factors are used

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

                           260

                           1.1.2.1.01.   Central governments and central banks

                           See CR IRB template

                           270

                           1.1.2.1.02.   Institutions

                           See CR IRB template

                           280

                           1.1.2.1.03.   Corporates — SME

                           See CR IRB template

                           290

                           1.1.2.1.04.   Corporates – Specialised Lending

                           See CR IRB template

                           300

                           1.1.2.1.05.   Corporates – Other

                           See CR IRB template

                           310

                           1.1.2.2.   IRB approaches when own estimates of LGD and/or Conversion Factor are used

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

                           320

                           1.1.2.2.01.   Central governments and central banks

                           See CR IRB template

                           330

                           1.1.2.2.02.   Institutions

                           See CR IRB template

                           340

                           1.1.2.2.03.   Corporates — SME

                           See CR IRB template

                           350

                           1.1.2.2.04.   Corporates – Specialised Lending

                           See CR IRB template

                           360

                           1.1.2.2.05.   Corporates – Other

                           See CR IRB template

                           370

                           1.1.2.2.06.   Retail – secure by real estate SME

                           See CR IRB template

                           380

                           1.1.2.2.07.   Retail – secure by real estate non-SME

                           See CR IRB template

                           390

                           1.1.2.2.08.   Retail – Qualifying revolving

                           See CR IRB template

                           400

                           1.1.2.2.09.   Retail – Other SME

                           See CR IRB template

                           410

                           1.1.2.2.10.   Retail – Other non-SME

                           See CR IRB template

                           420

                           1.1.2.3.   Equity IRB

                           See CR EQU IRB template

                           430

                           1.1.2.4.   Securitisations positions IRB

                           CR SEC IRB template at the level of total securitisation types

                           440

                           1.1.2.4*   Of which: resecuritisation

                           CR SEC IRB template at the level of total securitisation types

                           450

                           1.1.2.5.   Other non credit-obligation assets

                           The amount to be reported is the risk weighted exposure amount as calculated according to Article 156 of CRR.

                           460

                           1.1.3.   Risk exposure amount for contributions to the default fund of a CCP

                           Articles 307 to 309 of CRR

                           490

                           1.2.   TOTAL RISK EXPOSURE AMOUNT FOR SETTLEMENT/DELIVERY

                           Articles 92(3) point (c) (ii) and 92(4) point (b) of CRR

                           500

                           1.2.1.   Settlement/delivery risk in the non-Trading book

                           See CR SETT template

                           510

                           1.2.2.   Settlement/delivery risk in the Trading book

                           See CR SETT template

                           520

                           1.3.   TOTAL RISK EXPOSURE AMOUNT FOR POSITION, FOREIGN EXCHANGE AND COMMODITIES RISKS

                           Articles 92(3) points (b) (i) and (c) (i) and (iii), and 92(4) point (b) of CRR

                           530

                           1.3.1.   Risk exposure amount for position, foreign exchange and commodities risks under standardised approaches (SA)

                           540

                           1.3.1.1.   Traded debt instruments

                           MKR SA TDI template at the level of total currencies.

                           550

                           1.3.1.2.   Equity

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

                           555

                           1.3.1.3.   Particular approach for position risk in CIUs

                           Articles 348(1), 350 (3) c) and 364 (2) a) CRR
                           Total risk exposure amount for positions in CIUs if capital requirements are calculated according to Article 348(1) CRR either immediately or as a consequence of the cap defined in Article 350(3) c) CRR. The CRR does not explicitly assign those positions to either the interest rate risk or the equity risk.
                           If the particular approach according to Article 348(1) sentence 1 of CRR is applied, the amount to be reported is 32 % of the net position of the CIU exposure in question, multiplied by 12,5.
                           If the particular approach according to Article 348(1) sentence 2 of CRR is applied, the amount to be reported is the lower of 32 % of the net position of the relevant CIU exposure and the difference between 40 % of this net position and the own funds requirements that arise from the foreign exchange risk associated with this CIU exposure, multiplied by 12,5 respectively.

                           556

                           1.3.1.3.*   Memo item: CIUs exclusively invested in traded debt instruments

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

                           557

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

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

                           560

                           1.3.1.4.   Foreign Exchange

                           See MKR SA FX template

                           570

                           1.3.1.5.   Commodities

                           See MKR SA COM template

                           580

                           1.3.2.   Risk exposure amount for positions, foreign exchange and commodity risks under internal models (IM)

                           See MKR IM template

                           590

                           1.4.   TOTAL RISK EXPOSURE AMOUNT FOR OPERATIONAL RISK (OpR)

                           Article 92(3) point (e) and 92(4) point (b) of CRR
                           For investment firms under Article 95(2), Article 96(2) and Article 98 of CRR this element shall be zero.

                           600

                           1.4.1.   OpR Basic Indicator approach (BIA)

                           See OPR template

                           610

                           1.4.2.   OpR Standardised (TSA)/Alternative Standardised (ASA) approaches

                           See OPR template

                           620

                           1.4.3.   OpR Advanced measurement approaches (AMA)

                           See OPR template

                           630

                           1.5.   ADDITIONAL RISK EXPOSURE AMOUNT DUE TO FIXED OVERHEADS

                           Articles 95(2), 96(2), 97 and 98(1) point (a) of CRR
                           Only for investment firms under Article 95(2), Article 96(2) and Article 98 of CRR. See also Article 97 of CRR
                           Investment firms under Article 96 of CRR shall report the amount referred to in Article 97 multiplied by 12,5.
                           Investment firms under Article 95 of CRR shall report:

                                       —

                                       If the amount referred to in article 95(2) point (a) of CRR is greater than the amount referred to in article 95(2) point (b) of CRR, the amount to be reported is zero.

                                       —

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

                           640

                           1.6.   TOTAL RISK EXPOSURE AMOUNT FOR CREDIT VALUATION ADJUSTMENT

                           Article 92(3) point (d) of CRR See CVA template.

                           650

                           1.6.1.   Advanced method

                           Own funds requirements for credit valuation adjustment risk according to Article 383 of CRR. See CVA template.

                           660

                           1.6.2.   Standardised method

                           Own funds requirements for credit valuation adjustment risk according to Article 384 of CRR. See CVA template.

                           670

                           1.6.3.   Based on OEM

                           Own funds requirements for credit valuation adjustment risk according to Article 385 of CRR. See CVA template.

                           680

                           1.7.   TOTAL RISK EXPOSURE AMOUNT RELATED TO LARGE EXPOSURES IN THE TRADING BOOK

                           Articles 92(3) point (b) (ii) and 395 to 401 of CRR

                           690

                           1.8.   OTHER RISK EXPOSURE AMOUNTS

                           Articles 3, 458 and 459 of CRR and risk exposure amounts which cannot be assigned to one of the items from 1.1 to 1.7.
                           Institutions shall report the amounts needed to comply with the following:
                           Stricter prudential requirements imposed by the Commission, in accordance with Article 458 and 459 of CRR
                           Additional risk exposure amounts due to Article 3 CRR
                           This item does not have a link to a details template.

                           710

                           1.8.2.   Of which: Additional stricter prudential requirements based on Art 458

                           Article 458 of CRR

                           720

                           1.8.2*   Of which: requirements for large exposures

                           Article 458 of CRR

                           730

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

                           Article 458 of CRR

                           740

                           1.8.2***   Of which: due to intra financial sector exposures

                           Article 458 of CRR

                           750

                           1.8.3.   Of which: Additional stricter prudential requirements based on Art 459

                           Article 459 of CRR

                           760

                           1.8.4.   Of which: Additional risk exposure amount due to Article 3 CRR

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

                     1.4.   C 03.00 — CAPITAL RATIOS AND CAPITAL LEVELS (CA3)
               1.4.1.   Instructions concerning specific positions

                           Rows

                           010

                           1.   CET1 Capital ratio

                           Article 92(2) point (a) of CRR
                           The CET1 capital ratio is the CET1 capital of the institution expressed as a percentage of the total risk exposure amount.

                           020

                           2.   Surplus(+)/Deficit(–) of CET1 capital

                           This item shows, in absolute figures, the amount of CET1 capital surplus or deficit relating to the requirement set in Article 92(1) point (a) of CRR (4,5 %), i.e. without taking into account the capital buffers and transitional provisions on the ratio.

                           030

                           3.   T1 Capital ratio

                           Article 92(2) point (b) of CRR
                           The T1 capital ratio is the T1 capital of the institution expressed as a percentage of the total risk exposure amount.

                           040

                           4.   Surplus(+)/Deficit(–) of T1 capital

                           This item shows, in absolute figures, the amount of T1 capital surplus or deficit relating to the requirement set in Article 92(1) point (b) of CRR (6 %), i.e. without taking into account the capital buffers and transitional provisions on the ratio.

                           050

                           5.   Total capital ratio

                           Article 92(2) point (c) of CRR
                           The total capital ratio is the own funds of the institution expressed as a percentage of the total risk exposure amount.

                           060

                           6.   Surplus(+)/Deficit(–) of total capital

                           This item shows, in absolute figures, the amount of own funds surplus or deficit relating to the requirement set in Article 92(1) point (c) of CRR (8 %), i.e. without taking into account the capital buffers and transitional provisions on the ratio.

                           070

                              CET1 capital ratio including Pillar II adjustments

                           Article 92(2) point (a) of CRR and Article 104(2) CRD IV
                           This cell only has to be populated if a decision of a competent authority has an impact on the CET1 capital ratio.

                           080

                              Target CET1 capital ratio due to Pillar II adjustments

                           Article 104(2) CRD
                           This cell only has to be populated if a competent authority decides that an institution has to meet a higher target CET1capital ratio.
                           The target CET1 capital ratio reflects the minimum requirement of Article 92(1) point (a) CRR and the requirement imposed in accordance with Article 104(2) CRD, but excludes other requirements (e.g. the capital buffer requirements).

                           090

                              T1 capital ratio including Pillar II adjustments

                           Article 92(2) point (b) of CRR and Article 104(2) CRD IV
                           This cell only has to be populated if a decision of a competent authority has an impact on the T1 capital ratio.

                           100

                              Target T1 capital ratio due to Pillar II adjustments

                           Article 104(2) CRD IV
                           This cell only has to be populated if a competent authority decides that an institution has to meet a higher target T1 capital ratio.
                           The target T1 capital ratio reflects the minimum requirement of Article 92(1) point (b) CRR and the requirement imposed in accordance with Article 104(2) CRD, but excludes other requirements (e.g. the capital buffer requirements).

                           110

                              Total capital ratio including Pillar II adjustments

                           Article 92(2) point (c) of CRR and Article 104(2) CRD IV
                           This cell only has to be populated if a decision of a competent authority has an impact on the total capital ratio.

                           120

                              Target total capital ratio due to Pillar II adjustments

                           Article 104(2) CRD IV
                           This cell only has to be populated if a competent authority decides that an institution has to meet a higher target total capital ratio.
                           The target total capital ratio reflects the minimum requirement of Article 92(1) point (c) CRR and the requirement imposed in accordance with Article 104(2) CRD, but excludes other requirements (e.g. the capital buffer requirements).

                     1.5.   C 04.00 — MEMORANDUM ITEMS (CA4)
               1.5.1.   Instructions concerning specific positions

                           Rows

                           010

                           1.   Total deferred tax assets

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

                           020

                           1.1.   Deferred tax assets that do not rely on future profitability

                           Article 39(2) of CRR
                           Deferred tax assets that do not rely on future profitability, and thus are subject to the application of a risk weight.

                           030

                           1.2.   Deferred tax assets that rely on future profitability and do not arise from temporary differences

                           Articles 36(1) point (c) and 38 of CRR
                           Deferred tax assets that rely on future profitability, but do not arise from temporary differences, and thus are not subject to any threshold (i.e. are completely deducted from CET1).

                           040

                           1.3.   Deferred tax assets that rely on future profitability and arise from temporary differences

                           Articles 36(1) point (c); 38 and 48(1) point (a) of CRR
                           Deferred tax assets that rely on future profitability and arise from temporary differences, and thus, their deduction from CET1 is subject to 10 % and 17,65 % thresholds in Article 48 of CRR.

                           050

                           2.   Total deferred tax liabilities

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

                           060

                           2.1.   Deferred tax liabilities non deductible from deferred tax assets that rely on future profitability

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

                           070

                           2.2.   Deferred tax liabilities deductible from deferred tax assets that rely on future profitability

                           Article 38 of CRR

                           080

                           2.2.1.   Deductible deferred tax liabilities associated with deferred tax assets that rely on future profitability and do not arise from temporary differences

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

                           090

                           2.2.2.   Deductible deferred tax liabilities associated with deferred tax assets that rely on future profitability and arise from temporary differences

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

                           093

                           2A   Tax overpayments and tax loss carry backs

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

                           096

                           2B   Deferred Tax Assets subject to a risk weight of 250 %

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

                           097

                           2C   Deferred Tax Assets subject to a risk weight of 0 %

                           Article 469(1) lit. d, 470, 472 (5) and 478 CRR
                           The amount of deferred tax assets that are dependent on future profitability and arise from temporary differences that are not deducted pursuant to Articles 469(1) lit. d and 470 CRR, but subject to a risk weight of 0 % in accordance with Article 472(5) CRR. The amount reported shall be the amount of DTAs before the application of the risk weight.

                           100

                           3.   IRB excess (+) or shortfall (–) of credit risk adjustments, additional value adjustments and other own funds reductions to expected losses for non defaulted exposures

                           Articles 36(1) point (d), 62 point (d), 158 and 159 of CRR
                           This item shall only be reported by IRB institutions.

                           110

                           3.1.   Total credit risk adjustments, additional value adjustments and other own funds reductions eligible for inclusion in the calculation of the expected loss amount

                           Article 159 of CRR
                           This item shall only be reported by IRB institutions.

                           120

                           3.1.1.   General credit risk adjustments

                           Article 159 of CRR
                           This item shall only be reported by IRB institutions.

                           130

                           3.1.2.   Specific credit risk adjustments

                           Article 159 of CRR
                           This item shall only be reported by IRB institutions.

                           131

                           3.1.3.   Additional value adjustments and other own funds reductions

                           Articles 34, 110 and 159 of CRR
                           This item shall only be reported by IRB institutions.

                           140

                           3.2.   Total expected losses eligible

                           Articles 158(5), (6) and (10), and 159 of CRR
                           This item shall only be reported by IRB institutions. Only the expected loss related to non-defaulted exposures shall be reported.

                           145

                           4.   IRB excess (+) or shortfall (–) of specific credit risk adjustments to expected losses for defaulted exposures

                           Articles 36(1) point (d), 62 point (d), 158 and 159 of CRR
                           This item shall only be reported by IRB institutions.

                           150

                           4.1.   Specific credit risk adjustments and positions treated similarily

                           Article 159 of CRR
                           This item shall only be reported by IRB institutions.

                           155

                           4.2.   Total expected losses eligible

                           Articles 158(5), (6) and (10), and 159 of CRR
                           This item shall only be reported by IRB institutions. Only the expected loss related to defaulted exposures shall be reported.

                           160

                           5.   Risk weighted exposure amounts for calculating the cap to the excess of provision eligible as T2

                           Article 62 point (d) of CRR
                           For IRB institutions, according to Article 62 point (d) of CRR, the excess amount of provisions (to expected losses) eligible for inclusion in Tier 2 capital is capped at 0,6 % of risk-weighted exposure amounts calculated with the IRB approach.
                           The amount to be reported in this item is the risk weighted exposure amounts (i.e. not multiplied by 0,6 %) which is the base for calculating the cap.

                           170

                           6.   Total gross provisions eligible for inclusion in T2 capital

                           Article 62 point (c) of CRR
                           This item includes the general credit risk adjustments that are eligible for inclusion in T2 capital, before cap.
                           The amount to be reported shall be gross of tax effects.

                           180

                           7.   Risk weighted exposure amounts for calculating the cap to the provision eligible as T2

                           Article 62 point (c) of CRR
                           According to Article 62 point (c) of CRR, the credit risk adjustments eligible for inclusion in Tier 2 capital is capped at 1,25 % of risk-weighted exposure amounts.
                           The amount to be reported in this item is the risk weighted exposure amounts (i.e. not multiplied by 1,25 %) which is the base for calculating the cap.

                           190

                           8.   Threshold non deductible of holdings in financial sector entities where an institution does not have a significant investment

                           Article 46(1) point (a) of CRR
                           This item contains the threshold up to which holdings in a financial sector entity where an institution does not have a significant investment are not deducted. The amount results from adding up all items which are the base of the threshold and multiplying the sum thus obtained by 10 %.

                           200

                           9.   10 % CET1 threshold

                           Article 48(1) points (a) and (b) of CRR
                           This item contains the 10 % threshold for holdings in financial sector entities where an institution has a significant investment, and for deferred tax assets that are dependent on future profitability and arise from temporary differences.
                           The amount results from adding up all items which are the base of the threshold and multiplying the sum thus obtained by 10 %.

                           210

                           10.   17,65 % CET1 threshold

                           Article 48(1) of CRR
                           This item contains the 17,65 % threshold for holdings in financial sector entities where an institution has a significant investment, and for deferred tax assets that are dependent on future profitability and arise from temporary differences, to be applied after the 10 % threshold.
                           The threshold is calculated so that the amount of the two items that is recognised must not exceed 15 % of the final Common Equity Tier 1 capital, i.e. the CET1 capital calculated after all deductions, not including any adjustment due to transitional provisions.

                           225

                           11.1.   Eligible capital for the purposes of qualifying holdings outside the financial sector

                           Article 4(1)(71)(a)

                           226

                           11.2.   Eligible capital for the purposes of large exposures

                           Article 4(1)(71)(b)

                           230

                           12.   Holdings of CET1 capital of financial sector entities where the institution does not have a significant investment, net of short positions

                           Articles 44 to 46 and 49 of CRR

                           240

                           12.1.   Direct holdings of CET1 capital of financial sector entities where the institution does not have a significant investment

                           Articles 44, 45, 46 and 49 of CRR

                           250

                           12.1.1.   Gross direct holdings of CET1 capital of financial sector entities where the institution does not have a significant investment

                           Articles 44, 46 and 49 of CRR
                           Direct holdings of CET1 capital of financial sector entities where the institution does not have a significant investment, excluding:

                                       a)

                                       Underwriting positions held for 5 working days or fewer;

                                       b)

                                       The amounts relating to the investments for which any alternative in article 49 is applied; and

                                       c)

                                       Holdings which are treated as reciprocal cross holdings according to article 36(1) point (g) of CRR

                           260

                           12.1.2.   (-) Permitted offsetting short positions in relation to the direct gross holdings included above

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

                           270

                           12.2.   Indirect holdings of CET1 capital of financial sector entities where the institution does not have a significant investment

                           Articles 4(1)(114), 44 and 45 of CRR

                           280

                           12.2.1.   Gross indirect holdings of CET1 capital of financial sector entities where the institution does not have a significant investment

                           Articles 4(1)(114), 44 and 45 of CRR
                           The amount to be reported is the indirect holdings in the trading book of the capital instruments of financial sector entities that take the form of holdings of index securities. It is obtained by calculating the underlying exposure to the capital instruments of the financial sector entities in the indices.
                           Holdings which are treated as reciprocal cross holdings according to article 36(1) point (g) of CRR shall not be included

                           290

                           12.2.2.   (-) Permitted offsetting short positions in relation to the indirect gross holdings included above

                           Articles 4(1)(114) and 45 of CRR
                           Article 45 point (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year.

                           291

                           12.3.1.   Synthetic holdings of CET1 capital of financial sector entities where the institution does not have a significant investment

                           Articles 4(1)(126), 44 and 45 of CRR

                           292

                           12.3.2.   Gross synthetic holdings of CET1 capital of financial sector entities where the institution does not have a significant investment

                           Articles 4(1)(126), 44 and 45 of CRR

                           293

                           12.3.3.   (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above

                           Articles 4(1)(126) and 45 of CRR

                           300

                           13.   Holdings of AT1 capital of financial sector entities where the institution does not have a significant investment, net of short positions

                           Articles 58 to 60 of CRR

                           310

                           13.1.   Direct holdings of AT1 capital of financial sector entities where the institution does not have a significant investment

                           Articles 58, 59 and 60(2) of CRR

                           320

                           13.1.1.   Gross direct holdings of AT1 capital of financial sector entities where the institution does not have a significant investment

                           Articles 58 and 60(2) of CRR
                           Direct holdings of AT1 capital of financial sector entities where the institution does not have a significant investment, excluding:

                                       a)

                                       Underwriting positions held for 5 working days or fewer; and

                                       b)

                                       Holdings which are treated as reciprocal cross holdings according to article 56 point (b) of CRR

                           330

                           13.1.2.   (-) Permitted offsetting short positions in relation to the direct gross holdings included above

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

                           340

                           13.2.   Indirect holdings of AT1 capital of financial sector entities where the institution does not have a significant investment

                           Articles 4(1)(114), 58 and 59 of CRR

                           350

                           13.2.1.   Gross indirect holdings of AT1 capital of financial sector entities where the institution does not have a significant investment

                           Articles 4(1)(114), 58 and 59 of CRR
                           The amount to be reported is the indirect holdings in the trading book of the capital instruments of financial sector entities that take the form of holdings of index securities. It is obtained by calculating the underlying exposure to the capital instruments of the financial sector entities in the indices.
                           Holdings which are treated as reciprocal cross holdings according to article 56 point (b) of CRR shall not be included

                           360

                           13.2.2.   (-) Permitted offsetting short positions in relation to the indirect gross holdings included above

                           Articles 4(1)(114) and 59 of CRR
                           Article 59 (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year.

                           361

                           13.3.   Synthetic holdings of AT1 capital of financial sector entities where the institution does not have a significant investment

                           Articles 4(1)(126), 58 and 59 of CRR

                           362

                           13.3.1.   Gross synthetic holdings of AT1 capital of financial sector entities where the institution does not have a significant investment

                           Articles 4(1)(126), 58 and 59 of CRR

                           363

                           13.3.2.   (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above

                           Articles 4(1)(126) and 59 of CRR

                           370

                           14.   Holdings of T2 capital of financial sector entities where the institution does not have a significant investment, net of short positions

                           Articles 68 to 70 of CRR

                           380

                           14.1.   Direct holdings of T2 capital of financial sector entities where the institution does not have a significant investment

                           Articles 68, 69 and 70(2) of CRR

                           390

                           14.1.1.   Gross direct holdings of T2 capital of financial sector entities where the institution does not have a significant investment

                           Articles 68 and 70(2) of CRR
                           Direct holdings of T2 capital of financial sector entities where the institution does not have a significant investment, excluding:

                                       a)

                                       Underwriting positions held for 5 working days or fewer; and

                                       b)

                                       Holdings which are treated as reciprocal cross holdings according to article 66 point (b) of CRR

                           400

                           14.1.2.   (-) Permitted offsetting short positions in relation to the direct gross holdings included above

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

                           410

                           14.2.   Indirect holdings of T2 capital of financial sector entities where the institution does not have a significant investment

                           Article 4(1)(114), 68 and 69 of CRR

                           420

                           14.2.1.   Gross indirect holdings of T2 capital of financial sector entities where the institution does not have a significant investment

                           Articles 4(1)(114), 68 and 69 of CRR
                           The amount to be reported is the indirect holdings in the trading book of the capital instruments of financial sector entities that take the form of holdings of index securities. It is obtained by calculating the underlying exposure to the capital instruments of the financial sector entities in the indices.
                           Holdings which are treated as reciprocal cross holdings according to article 66 point (b) of CRR shall not be included

                           430

                           14.2.2.   (-) Permitted offsetting short positions in relation to the indirect gross holdings included above

                           Articles 4(1)(114) and 69 of CRR
                           Article 69 point (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year.

                           431

                           14.3.   Synthetic holdings of T2 capital of financial sector entities where the institution does not have a significant investment

                           Articles 4(1)(126), 68 and 69 of CRR

                           432

                           14.3.1.   Gross synthetic holdings of T2 capital of financial sector entities where the institution does not have a significant investment

                           Articles 4(1)(126), 68 and 69 of CRR

                           433

                           14.3.2.   (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above

                           Articles 4(1)(126) and 69 of CRR

                           440

                           15.   Holdings of CET1 capital of financial sector entities where the institution has a significant investment, net of short positions

                           Articles 44, 45, 47 and 49 of CRR

                           450

                           15.1.   Direct holdings of CET1 capital of financial sector entities where the institution has a significant investment

                           Articles 44, 45, 47 and 49 of CRR

                           460

                           15.1.1.   Gross direct holdings of CET1 capital of financial sector entities where the institution has a significant investment

                           Articles 44, 45, 47 and 49 of CRR
                           Direct holdings of CET1 capital of financial sector entities where the institution has a significant investment, excluding:

                                       a)

                                       Underwriting positions held for 5 working days or fewer;

                                       b)

                                       The amounts relating to the investments for which any alternative in article 49 is applied; and

                                       c)

                                       Holdings which are treated as reciprocal cross holdings according to article 36(1) point (g) of CRR

                           470

                           15.1.2.   (-) Permitted offsetting short positions in relation to the direct gross holdings included above

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

                           480

                           15.2.   Indirect holdings of CET1 capital of financial sector entities where the institution has a significant investment

                           Articles 4(1)(114), 44 and 45 of CRR

                           490

                           15.2.1.   Gross indirect holdings of CET1 capital of financial sector entities where the institution has a significant investment

                           Articles 4(1)(114), 44 and 45 of CRR
                           The amount to be reported shall be the indirect holdings in the trading book of the capital instruments of financial sector entities that take the form of holdings of index securities. It shall be obtained by calculating the underlying exposure to the capital instruments of the financial sector entities in the indices.
                           Holdings which are treated as reciprocal cross holdings according to article 36(1) point (g) of CRR shall not be included.

                           500

                           15.2.2.   (-) Permitted offsetting short positions in relation to the indirect gross holdings included above

                           Articles 4(1)(114) and 45 of CRR
                           Article 45 point (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year.

                           501

                           15.3.   Synthetic holdings of CET1 capital of financial sector entities where the institution has a significant investment

                           Articles 4(1)(126), 44 and 45 of CRR

                           502

                           15.3.1.   Gross synthetic holdings of CET1 capital of financial sector entities where the institution has a significant investment

                           Articles 4(1)(126), 44 and 45 of CRR

                           503

                           15.3.2.   (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above

                           Articles 4(1)(126) and 45 of CRR

                           510

                           16.   Holdings of AT1 capital of financial sector entities where the institution has a significant investment, net of short positions

                           Articles 58 and 59 of CRR

                           520

                           16.1.   Direct holdings of AT1 capital of financial sector entities where the institution has a significant investment

                           Articles 58 and 59 of CRR

                           530

                           16.1.1.   Gross direct holdings of AT1 capital of financial sector entities where the institution has a significant investment

                           Article 58 of CRR
                           Direct holdings of AT1 capital of financial sector entities where the institution has a significant investment, excluding:

                                       a)

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

                                       b)

                                       Holdings which are treated as reciprocal cross holdings according to article 56 point (b) of CRR

                           540

                           16.1.2.   (-) Permitted offsetting short positions in relation to the direct gross holdings included above

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

                           550

                           16.2.   Indirect holdings of AT1 capital of financial sector entities where the institution has a significant investment

                           Articles 4(1)(114), 58 and 59 of CRR

                           560

                           16.2.1.   Gross indirect holdings of AT1 capital of financial sector entities where the institution has a significant investment

                           Articles 4(1)(114), 58 and 59 of CRR
                           The amount to be reported shall be the indirect holdings in the trading book of the capital instruments of financial sector entities that take the form of holdings of index securities. It shall be obtained by calculating the underlying exposure to the capital instruments of the financial sector entities in the indices.
                           Holdings which are treated as reciprocal cross holdings according to article 56 point (b) of CRR shall not be included.

                           570

                           16.2.2.   (-) Permitted offsetting short positions in relation to the indirect gross holdings included above

                           Article 4(1)(114) and 59 of CRR
                           Article 59 point (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year.

                           571

                           16.3.   Synthetic holdings of AT1 capital of financial sector entities where the institution has a significant investment

                           Articles 4(1)(126), 58 and 59 of CRR

                           572

                           16.3.1.   Gross synthetic holdings of AT1 capital of financial sector entities where the institution has a significant investment

                           Articles 4(1)(126), 58 and 59 of CRR

                           573

                           16.3.2.   (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above

                           Articles 4(1)(126) and 59 of CRR

                           580

                           17.   Holdings of T2 capital of financial sector entities where the institution has a significant investment, net of short positions

                           Articles 68 and 69 of CRR

                           590

                           17.1.   Direct holdings of T2 capital of financial sector entities where the institution has a significant investment

                           Articles 68 and 69 of CRR

                           600

                           17.1.1.   Gross direct holdings of T2 capital of financial sector entities where the institution has a significant investment

                           Article 68 of CRR
                           Direct holdings of T2 capital of financial sector entities where the institution has a significant investment, excluding:

                                       a)

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

                                       b)

                                       Holdings which are treated as reciprocal cross holdings according to article 66 point (b) of CRR

                           610

                           17.1.2.   (-) Permitted offsetting short positions in relation to the direct gross holdings included above

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

                           620

                           17.2.   Indirect holdings of T2 capital of financial sector entities where the institution has a significant investment

                           Articles 4(1)(114), 68 and 69 of CRR

                           630

                           17.2.1.   Gross indirect holdings of T2 capital of financial sector entities where the institution has a significant investment

                           Articles 4(1)(114), 68 and 69 of CRR
                           The amount to be reported shall be the indirect holdings in the trading book of the capital instruments of financial sector entities that take the form of holdings of index securities. It shall be obtained by calculating the underlying exposure to the capital instruments of the financial sector entities in the indices.
                           Holdings which are treated as reciprocal cross holdings according to article 66 point (b) of CRR shall not be included

                           640

                           17.2.2.   (-) Permitted offsetting short positions in relation to the indirect gross holdings included above

                           Articles 4(1)(114), 69 of CRR
                           Article 69 point (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year.

                           641

                           17.3.   Synthetic holdings of T2 capital of financial sector entities where the institution has a significant investment

                           Articles 4(1)(126), 68 and 69 of CRR

                           642

                           17.3.1.   Gross synthetic holdings of T2 capital of financial sector entities where the institution has a significant investment

                           Articles 4(1)(126), 68 and 69 of CRR

                           643

                           17.3.2.   (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above

                           Articles 4(1)(126) and 69 of CRR

                           650

                           18.   Risk weighted exposures of CET1 holdings in financial sector entities which are not deducted from the institution's CET1 capital

                           Article 46(4), 48(4) and 49(4) of CRR

                           660

                           19.   Risk weighted exposures of AT1 holdings in financial sector entities which are not deducted from the institution's AT1 capital

                           Article 60(4) of CRR

                           670

                           20.   Risk weighted exposures of T2 holdings in financial sector entities which are not deducted from the institution's T2 capital

                           Article 70(4) of CRR

                           680

                           21.   Holdings on CET1 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived

                           Article 79 of CRR
                           A competent authority may waive on a temporary basis the provisions on deductions from CET1 due to holdings on instruments of a specific financial sector entity, when it deems those holdings to be for the purposes of a financial assistance operation designed to reorganise and save that entity.
                           Note that these instruments shall also be reported on item 12.1.

                           690

                           22.   Holdings on CET1 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived

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

                           700

                           23.   Holdings on AT1 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived

                           Article 79 of CRR
                           A competent authority may waive on a temporary basis the provisions on deductions from AT1 due to holdings on instruments of a specific financial sector entity, when it deems those holdings to be for the purposes of a financial assistance operation designed to reorganise and save that entity.
                           Note that these instruments shall also be reported on item 13.1.

                           710

                           24.   Holdings on AT1 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived

                           Article 79 of CRR
                           A competent authority may waive on a temporary basis the provisions on deductions from AT1 due to holdings on instruments of a specific financial sector entity, when it deems those holdings to be for the purposes of a financial assistance operation designed to reorganise and save that entity.
                           Note that these instruments shall also be reported on item 16.1.

                           720

                           25.   Holdings on T2 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived

                           Article 79 of CRR
                           A competent authority may waive on a temporary basis the provisions on deductions from T2 due to holdings on instruments of a specific financial sector entity, when it deems those holdings to be for the purposes of a financial assistance operation designed to reorganise and save that entity.
                           Note that these instruments shall also be reported on item 14.1.

                           730

                           26.   Holdings on T2 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived

                           Article 79 of CRR
                           A competent authority may waive on a temporary basis the provisions on deductions from T2 due to holdings on instruments of a specific financial sector entity, when it deems those holdings to be for the purposes of a financial assistance operation designed to reorganise and save that entity.
                           Note that these instruments shall also be reported on item 17.1.

                           740

                           27.   Combined buffer requirement

                           Article 128 point (6) of CRD

                           750

                              Capital conservation buffer

                           Articles 128 point (1) and 129 of CRD
                           According to Article 129(1) the capital conservation buffer is an additional amount of Common Equity Tier 1 capital. Due to the fact that the capital conservation buffer rate of 2,5 % is stable, an amount shall be reported in this cell.

                           760

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

                           Article 458(2) point d (iv) of CRR
                           In this cell the amount of the conservation buffer due to macro-prudential or systemic risk identified at the level of a Member State, which can be requested according to Article 458 CRR in addition to the capital conservation buffer shall be reported.
                           The amount reported shall represent the amount of own funds needed to fulfil the respective capital buffer requirements at the reporting date.

                           770

                              Institution specific countercyclical capital buffer

                           Articles 128 point (2), 130, 135-140 of CRD
                           The amount reported shall represent the amount of own funds needed to fulfil the respective capital buffer requirements at the reporting date.

                           780

                              Systemic risk buffer

                           Articles 128 point (5), 133 and 134 of CRD
                           The amount reported shall represent the amount of own funds needed to fulfil the respective capital buffer requirements at the reporting date.

                           800

                              Global Systemically Important Institution buffer

                           Articles 128 point (3) and 131 of CRD
                           The amount reported shall represent the amount of own funds needed to fulfil the respective capital buffer requirements at the reporting date.

                           810

                              Other Systemically Important Institution buffer

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

                           820

                           28.   Own funds requirements related to Pillar II adjustments

                           Article 104(2) of CRD.
                           If a competent authority decides that an institution has to calculate additional own funds requirements for Pillar II reasons, those additional own funds requirements shall be reported in this cell.

                           830

                           29.   Initial capital

                           Articles 12, 28 to 31of CRD and Article 93 of CRR

                           840

                           30.   Own funds based on Fixed Overheads

                           Articles 96(2) point (b), 97 and 98(1) point (a) of CRR

                           850

                           31.   Non-domestic original exposures

                           Information necessary to calculate the threshold for reporting of the CR GB template according to Article 5(a)(4) of this Regulation. The calculation of the threshold shall be done at the basis of the original exposure pre conversion factor.
                           Exposures shall be deemed to be domestic where they are exposures to counterparties located in the Member State where the institution is located.

                           860

                           32.   Total original exposures

                           Information necessary to calculate the threshold for reporting of the CR GB template according to Article 5(a)(4) of this Regulation. The calculation of the threshold shall be done at the basis of the original exposure pre conversion factor
                           Exposures shall be deemed to be domestic where they are exposures to counterparties located in the Member State where the institution is located.

                           870

                              Adjustments to total own funds

                           Article 500(4) of CRR
                           The difference between the amount reported in position 880 and the total own funds pursuant to CRR has to be reported in this position.
                           If the SA alternative (Article 500(2) CRR) is applied, this row shall be empty.

                           880

                              Own funds fully adjusted for Basel I floor

                           Article 500(4) of CRR
                           Total own funds pursuant to CRR adjusted as required by Article 500(4) of CRR (i.e. fully adjusted to reflect differences in the calculation of own funds under Directive 93/6/EEC and Directive 2000/12/EC as those Directives stood prior to 1 January 2007 and the calculation of own funds under CRR deriving from the separate treatments of expected loss and unexpected loss under Part Three, Title II, Chapter 3, of CRR) have to be reported in this position.
                           If the SA alternative (Article 500(2) CRR) is applied, this row shall be empty.

                           890

                              Own funds requirements for Basel I floor

                           Article 500(1) point (b) of CRR
                           The amount of own funds required by Article 500(1)(b) of CRR to be hold (i.e. 80 % of the total minimum amount of own funds that the institution would be required to hold under Article 4 of Directive 93/6/EEC as that Directive and Directive 2000/12/EC of the European Parliament and of the Council of 20 March 2000 relating to the taking up and pursuit of the business of credit institutions as those Directives stood prior to January 2007) has to be reported in this position.

                           900

                              Own funds requirements for Basel I floor — SA alternative

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

                           910

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

                           Articles 500(1) point (b) and 500 (2) CRR
                           This row has to be filled with:

                                       —

                                       if Article 500(1)(b) CRR is applied and row 880 < row 890: the difference between row 890 and row 880

                                       —

                                       or if Article 500(2) CRR is applied and row 010 of C 01.00 < row 900 of C 04.00: the difference between row 900 of C 04.00 and row 010 of C 01.00

                     1.6.   TRANSITIONAL PROVISIONS AND GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUTING STATE AID (CA 5)
               1.6.1.   General remarks

                           15.

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

                           16.

                           CA5 is structured as follows:

                                       (a)

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

                                       (b)

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

                           17.

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

                           18.

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

                           19.

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

                     1.6.2.   C 05.01 — TRANSITIONAL PROVISIONS (CA5.1)

                           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.

                           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 030 of row 060 of CA 5.1 can be derived from the respective sections of CA 5.2.

                           22.

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

                           23.

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

                           24.

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

                     1.6.2.1.   Instructions concerning specific positions

                           Columns

                           010

                              Adjustments to CET1

                           020

                              Adjustments to AT1

                           030

                              Adjustments to T2

                           040

                              Adjustments included in RWAs

                           Column 040 includes the relevant amounts adjusting the total risk exposure amount of Article 92(3) of CRR due to transitional provisions. The amounts reported shall consider the application of provisions of Chapter 2 or 3 of Title II of Part Three or of Title IV of Part Three in accordance with Art. 92 (4) of CRR. This means that transitional amounts subject to provisions of Chapter 2 or 3 of Title II of Part Three should be reported as risk weighted exposure amounts, whereas transitional amounts subject to Title IV of Part Three should represent the own funds requirements multiplied by 12,5.
                           Whereas columns 010 to 030 have a direct link to the CA1 template, the adjustments to the total risk exposure amount do not have a direct link to the relevant templates for credit risk. If there are adjustments stemming from the transitional provisions to the total risk exposure amount, those adjustments shall be included directly in the CR SA, CR IRB, CR EQU IRB, MKR SA TDI, MKR SA EQU or MKR IM. Additionally, those effects shall be reported in column 040 of CA5.1. As a consequence, those amounts are only memorandum items.

                           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 according to 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) 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 according to 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 according to 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 according to 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 according to Article 36(1)(f) of CRR.

                           211

                           1.3.2.6.1**   of which: Direct holdings

                           Article 469(1)(b), 472 (8) (a) of CRR
                           The amount to be reported in column 060 of this row: Total amount of direct holdings, including instruments that an institution could be obliged to purchase by virtue of an existing or contingent contractual obligation.

                           212

                           1.3.2.6.1*   of which: Indirect holdings

                           Article 469(1)(b), 472 (8) (b) of CRR
                           The amount to be reported in column 060 of this row: Total amount of indirect holdings, including instruments that an institution could be obliged to purchase by virtue of an existing or contingent contractual obligation.

                           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 according to 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 deduction0 according to 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 according to 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 according to 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 according to 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 according to 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 according to 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 according to 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

                           385

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

                           Article 469(1)(c), 478 and 472(5) CRR.
                           Part of deferred tax assets that rely in future profitability and arise from temporary differences which exceeds the 10 % threshold in Article 470(2) lit. (a) 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 according to 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 according to Article 56 (d) of CRR

                           420

                           1.3.2.10.2.   T2 instruments of financial sector entities where the institution has a significant investment

                           Articles 66 point (d), 476, 477(4) and 478 of CRR
                           The amount to be reported in column 060 of this row: Original deduction according to Article 66 (d) of CRR

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

                           440

                           1.3.4.   Adjustments due to IFRS 9 transitional arrangements

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

                     1.6.3.   C 05.02 — GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUING STATE AID (CA5.2)

                           25.

                           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 484(4) and 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 52 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 52 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 52 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.   GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS)
               2.1.   GENERAL REMARKS

                           26.

                           Templates C 06.01 and C 06.02 shall be reported if own funds requirements are calculated on a consolidated basis. This template consists of four parts in order to gather different information on all individual entities (including the reporting institution) included in the scope of consolidation.

                                       (a)

                                       Entities within the scope of consolidation;

                                       (b)

                                       Detailed group solvency information;

                                       (c)

                                       Information on the contribution of individual entities to group solvency;

                                       (d)

                                       Information on capital buffers;

                           27.

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

                           28.

                           The figures reported take into account all applicable transitional provisions of Regulation (EU) No 575/2013 which are applicable at the respective reporting date.

                     2.2.   DETAILED GROUP SOLVENCY INFORMATION

                           29.

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

                           30.

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

                     2.3.   INFORMATION ON THE CONTRIBUTIONS OF INDIVIDUAL ENTITIES TO GROUP SOLVENCY

                           31.

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

                           32.

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

                           33.

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

                           34.

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

                           35.

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

                           36.

                           It is possible for one consolidated group to be included within another consolidated group. This means that the entities within a subgroup shall be reported entity-by-entity in the GS of the entire group, even if the sub-group itself is subject to reporting requirements. If the subgroup is subject to reporting requirements, it shall also report the GS template on an entity-by-entity basis, although those details are included in the GS template of a higher consolidated group.

                           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.   C 06.01 – GROUP SOLVENCY: INFORMATION ON AFFILIATES – Total (GS Total)

                           Columns

                           Instructions

                           250-400

                              ENTITIES WITHIN SCOPE OF CONSOLIDATION

                           See instructions for C 06.02

                           410-480

                              CAPITAL BUFFERS

                           See instructions for C 06.02

                           Rows

                           Instructions

                           010

                              TOTAL

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

                     2.5.   C 06.02 – GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS)

                           Columns

                           Instructions

                           010-060

                              ENTITIES WITHIN SCOPE OF CONSOLIDATION

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

                           010

                              NAME

                           Name of the entity within the scope of consolidation.

                           020

                              CODE

                           This code is a row identifier and shall be unique for each row in the table.
                           Code assigned to the entity within the scope of consolidation.
                           The actual composition of the code depends on the national reporting system.

                           025

                              LEI CODE

                           LEI code stands for Legal Entity Identification code which is a reference code proposed by the Financial Stability Board (FSB) and endorsed by the G20, aimed at achieving a unique and worldwide identification of parties to financial transactions.
                           Until the global LEI system is fully operational, pre-LEI codes are being assigned to counterparties by a Local Operational Unit that has been endorsed by Regulatory Oversight Committee (ROC, detailed information may be found at the following website: www.leiroc.org).
                           Where a Legal Entity Identification code (LEI code) exists for a given counterparty, it shall be used to identify that counterparty.

                           030

                              INSTITUTION OR EQUIVALENT (YES/NO)

                           ‘YES’ shall be reported in case the entity is subject to own funds requirements according to CRR and CRD or provisions at least equivalent to Basel provisions.
                           ‘NO’ shall be reported otherwise.

                              Minority interests:
                           Articles 81(1) point (a) (ii) and 82(1) point (a) (ii) of CRR
                           To the effects of minority interests and AT1 and T2 instruments issued by subsidiaries, the subsidiaries whose instruments can be eligible shall be institutions or undertakings subject by virtue of applicable national law to the requirements of CRR.

                           040

                              SCOPE OF DATA: SOLO FULLY CONSOLIDATED (SF) OR SOLO PARTIALLY CONSOLIDATED (SP)

                           ‘SF’ shall be reported for individual subsidiaries fully consolidated.
                           ‘SP’ shall be reported for individual subsidiaries partially consolidated.

                           050

                              COUNTRY CODE

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

                           060

                              SHARE OF HOLDING (%)

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

                           070-240

                              INFORMATION ON ENTITIES SUBJECT TO OWN FUNDS REQUIREMENT

                           The section of detailed information (i.e. columns 070 to 240) shall gather information only on those entities and subgroups which, being within the scope of consolidation (Chapter 2 of Title II of Part One of CRR), are effectively subject to solvency requirements according to CRR or provisions at least equivalent to Basel provisions (i.e, reported yes in column 030).
                           Information shall be included about all individual institutions of a consolidated group that are subject to own funds requirements, regardless where they are located.
                           The information reported in this part shall be according to the local solvency rules where the institution is operating (therefore for this template it is not necessary to do a double calculation on an individual basis according to the parent institution's rules). When local solvency rules differ from CRR and a comparable breakdown is not given, the information shall be completed where data is available in the respective granularity. Therefore, this part is a factual template that summarises the calculations that the individual institutions of a group shall carry out, bearing in mind that some of those institutions may be subject to different solvency rules.

                              Reporting of fixed overheads of investment firms:

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

                           070

                              TOTAL RISK EXPOSURE AMOUNT

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

                           080

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

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

                           090

                              POSITION, FX AND COMMODITY RISKS

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

                           100

                              OPERATIONAL RISK

                           The amount to be reported in this column corresponds to the risk exposure amount that is equal or equivalent to the one that shall be reported in row 590 ‘TOTAL RISK EXPOSURE AMOUNT FOR OPERATIONAL RISKS (OpR)’ of the template CA2.
                           Fixed overheads shall be included in this column including the row 630 ‘ADDITIONAL RISK EXPOSURE AMOUNT DUE TO FIXED OVERHEADS’ of the template CA2.

                           110

                              OTHER RISK EXPOSURE AMOUNTS

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

                           120-240

                              DETAILED INFORMATION ON GROUP SOLVENCY OWN FUNDS

                           The information reported in the following columns shall be according to the local solvency rules where the entity or subgroup is operating.

                           120

                              OWN FUNDS

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

                           130

                              OF WHICH: QUALIFYING OWN FUNDS

                           Article 82 of CRR
                           This column shall only be provided for the subsidiaries reported on an individual basis that are fully consolidated, which are institutions.
                           Qualifying holdings are, for the subsidiaries specified above, the instruments (plus related retained earnings, share premium accounts and other reserves) owned by persons other than the undertakings included in the CRR consolidation.
                           The amount to be reported shall include the effects of any transitional provision. It shall be the eligible amount on the date of reporting.

                           140

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

                           Article 87(1)(b) of CRR

                           150

                              TOTAL TIER 1 CAPITAL

                           Article 25 of CRR

                           160

                              OF WHICH: QUALIFYING TIER 1 CAPITAL

                           Article 82 of CRR
                           This column shall only be provided for the subsidiaries reported on an individual basis that are fully consolidated, which are institutions.
                           Qualifying holdings are, for the subsidiaries specified above, the instruments (plus related retained earnings and share premium accounts) owned by persons other than the undertakings included in the CRR consolidation.
                           The amount to be reported shall include the effects of any transitional provision. It shall be the eligible amount on the date of reporting.

                           170

                              RELATED T1 INSTRUMENTS, RELATED RETAINED EARNINGS AND SHARE PREMIUM ACCOUNTS

                           Article 85(1)(b) of CRR

                           180

                              COMMON EQUITY TIER 1 CAPITAL

                           Article 50 of CRR

                           190

                              OF WHICH: MINORITY INTERESTS

                           Article 81 of CRR
                           This column shall only be reported for subsidiaries fully consolidated which are institutions, except subsidiaries referred to in article 84(3) of CRR. Each subsidiary shall be considered on a sub-consolidated basis for the purpose of all the calculations required in article 84 of CRR, if relevant, in accordance with article 84(2), otherwise on a solo basis.
                           To the effects of CRR and this template, minority interests are, for the subsidiaries specified above, the CET1 instruments (plus related retained earnings and share premium accounts) owned by persons other than the undertakings included in the CRR consolidation.
                           The amount to be reported shall include the effects of any transitional provision. It shall be the eligible amount on the date of reporting.

                           200

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

                           Article 84(1)(b) of CRR

                           210

                              ADDITIONAL TIER 1 CAPITAL

                           Article 61 of CRR

                           220

                              OF WHICH: QUALIFYING ADDITIONAL TIER 1 CAPITAL

                           Articles 82 and 83 of CRR
                           This column shall only be provided for the subsidiaries reported on an individual basis that are fully consolidated which are institutions, except subsidiaries referred to in Article 85(2) of CRR. Each subsidiary shall be considered on a sub-consolidated basis for the purpose of all the calculations required in article 85 of CRR, if relevant, in accordance with article 85(2), otherwise on a solo basis.
                           To the effects of CRR and this template, minority interests are, for the subsidiaries specified above, the AT1 instruments (plus related retained earnings and share premium accounts) owned by persons other than the undertakings included in the CRR consolidation.
                           The amount to be reported shall include the effects of any transitional provision. It shall be the eligible amount on the date of reporting.

                           230

                              TIER 2 CAPITAL

                           Article 71 of CRR

                           240

                              OF WHICH: QUALIFYING TIER 2 CAPITAL

                           Articles 82 and 83 of CRR
                           This column shall only be provided for the subsidiaries reported on an individual basis that are fully consolidated, which are institutions, except subsidiaries referred to in Article 87(2) of CRR. Each subsidiary shall be considered on a sub-consolidated basis for the purpose of all the calculations required in article 87 of CRR, if relevant, in accordance with article 87(2) of CRR, otherwise on a solo basis.
                           To the effects of CRR and this template, minority interests are, for the subsidiaries specified above, the T2 instruments (plus related retained earnings and share premium accounts) owned by persons other than the undertakings included in the CRR consolidation.
                           The amount to be reported shall include the effects of any transitional provision, i.e. it has to be the eligible amount in the date of reporting.

                           250-400

                              INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP

                           250-290

                              CONTRIBUTION TO RISKS

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

                           250

                              TOTAL RISK EXPOSURE AMOUNT

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

                           260

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

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

                           270

                              POSITION, FX AND COMMODITY RISKS

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

                           280

                              OPERATIONAL RISK

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

                           290

                              OTHER RISK EXPOSURE AMOUNTS

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

                           300-400

                              CONTRIBUTION TO OWN FUNDS

                           This part of the template does not intend to impose that institutions perform a full computation of the total capital ratio at the level of each entity.
                           Columns 300 to 350 shall be reported for those consolidated entities which contribute to own funds by minority interest, qualifying Tier 1 capital and/or qualifying own funds. Subject to the threshold defined in the last paragraph of Part II, chapter 2.3 above, columns 360 to 400 shall be reported for all consolidated entities which contribute to the consolidated own funds.
                           Own funds brought to an entity by the rest of entities included within the scope of the reporting entity shall not to be taken into account, only the net contribution to the group own funds shall be reported in this column, that is mainly the own funds raised from third parties and accumulated reserves.
                           The information reported in the following columns shall be according to the solvency rules applicable to the reporting institution.

                           300-350

                              QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS

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

                           300

                              QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS

                           Article 87 of CRR

                           310

                              QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 1 CAPITAL

                           Article 85 of CRR

                           320

                              MINORITY INTERESTS INCLUDED IN CONSOLIDATED COMMON EQUITY TIER 1 CAPITAL

                           Article 84 of CRR
                           The amount to be reported is the amount of minority interests of a subsidiary that is included in consolidated CET1 according to the CRR.

                           330

                              QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED ADDITIONAL TIER 1 CAPITAL

                           Article 86 of CRR
                           The amount to be reported is the amount of qualifying T1 capital of a subsidiary that is included in consolidated AT1 according to the CRR.

                           340

                              QUALIFYING OWN FUNDS INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 2 CAPITAL

                           Article 88 of CRR
                           The amount to be reported is the amount of qualifying own funds of a subsidiary that is included in consolidated T2 according to the CRR.

                           350

                              MEMORANDUM ITEM: GOODWILL (–)/(+) NEGATIVE GOODWILL

                           360-400

                              CONSOLIDATED OWN FUNDS

                           Article 18 CRR
                           The amount to be reported as ‘CONSOLIDATED OWN FUNDS’ is the amount as derived from the balance sheet, excluding any fund brought in by other group entities.

                           360

                              CONSOLIDATED OWN FUNDS

                           370

                              OF WHICH: COMMON EQUITY TIER 1

                           380

                              OF WHICH: ADDITIONAL TIER 1

                           390

                              OF WHICH: CONRIBUTIONS TO CONSOLIDATED RESULT

                           The contribution of each entity to the consolidated result (profit or loss (–)) is reported. This includes the results attributable to minority interests.

                           400

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

                           Goodwill or negative goodwill of the reporting entity on the subsidiary is reported here.

                           410-480

                              CAPITAL BUFFERS

                           The structure of the reporting of capital buffers for the GS template follows the general structure of the template CA4, using the same reporting concepts. When reporting the capital buffers for the GS template, the relevant amounts shall be reported in accordance with the provisions applicable to determine the buffer requirement for the consolidated situation of a group. Therefore, the reported amounts of capital buffers represent the contributions of each entity to group capital buffers. The amounts reported shall be based on the national transposition measures of Directive 2013/36/EU (CRD) and on Regulation (EU) No 575/2013 (CRR), including any transitional provisions provided for therein.

                           410

                              COMBINED BUFFER REQUIREMENTS

                           Article 128 point (6) of CRD

                           420

                              CAPITAL CONSERVATION BUFFER

                           Article 128 point (1) and 129 of CRD
                           According to Article 129(1) the capital conservation buffer is an additional amount of Common Equity Tier 1 capital. Due to the fact that the capital conservation buffer rate of 2,5 % is stable, an amount shall be reported in this cell.

                           430

                              INSTITUTION SPECIFIC COUNTERCYCLICAL CAPITAL BUFFER

                           Article 128 point (2), Article 130 and 135-140 of CRD
                           In this cell the concrete amount of the countercyclical buffer shall be reported.

                           440

                              CONSERVATION BUFFER DUE TO MACRO-PRUDENTIAL OR SYSTEMIC RISK IDENTIFIED AT THE LEVEL OF A MEMBER STATE

                           Article 458(2) point d (iv) of CRR
                           In this cell the amount of the conservation buffer due to macro-prudential or systemic risk identified at the level of a Member State, which can be requested according to Article 458 of CRR in addition to the capital conservation buffer shall be reported.

                           450

                              SYSTEMIC RISK BUFFER

                           Articles 128 point (5), 133 and 134 of CRD
                           In this cell the amount of the systemic risk buffer shall be reported.

                           470

                              GLOBAL SYSTEMICALLY IMPORTANT INSTITUTION BUFFER

                           Articles 128 point (3) and 131 of CRD
                           In this cell the amount of the Global Systemically Important Institution buffer shall be reported.

                           480

                              OTHER SYSTEMICALLY IMPORTANT INSTITUTION BUFFER

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

                     3.   CREDIT RISK TEMPLATES
               3.1.   GENERAL REMARKS

                           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

                           39.

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

                           40.

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

                           41.

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

                           42.

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

                           43.

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

                           44.

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

                           45.

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

                     3.1.2.   Reporting of Counterparty Credit Risk

                           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

                           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:

                                       a)

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

                                       b)

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

                     3.2.2.   Scope of the CR SA template

                           48.

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

                           49.

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

                           50.

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

                                       (a)

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

                                       (b)

                                       Exposures deducted from own funds.

                           51.

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

                                       (a)

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

                                       (b)

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

                                       (c)

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

                           52.

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

                           53.

                           In addition CR SA includes memorandum items in rows 290 to 320 in order to collect further information about exposures secured by mortgages on immovable property and exposures in default.

                           54.

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

                                       (a)

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

                                       (b)

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

                                       (c)

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

                                       (d)

                                       Institutions (Article 112 point (f) of CRR)

                                       (e)

                                       Corporates (Article 112 point (g) of CRR)

                                       (f)

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

                           55.

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

                           56.

                           The memorandum rows provide additional information about the obligor structure of the exposure classes ‘in default’ or ‘secured by immovable property’. Exposures shall be reported in these rows where the obligors would have been reported in the exposure classes ‘Central governments or central banks’, ‘Regional governments or local authorities’, ‘Public sector entities’, ‘Institutions’, ‘Corporates’ and ‘Retail’ of CR SA, if those exposures were not assigned to the exposure classes ‘in default’ or ‘secured by immovable property’. However the figures reported are the same as used to calculate the risk weighted exposure amounts in the exposure classes ‘in default’ or ‘secured by immovable property’.

                           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, row 320 in the total and in the exposure class ‘in default’. If this exposure, before it defaulted, was an exposure to an institution then this information shall also be reported in row 320 of exposure class ‘institutions’.

                     3.2.3.   Assignment of exposures to exposure classes under the Standardised Approach

                           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:

                                       (a)

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

                                       (b)

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

                           59.

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

                           60.

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

                           61.

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

                           62.

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

                           63.

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

                           64.

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

                                       1.

                                       Securitisation positions;

                                       2.

                                       Items associated with particular high risk;

                                       3.

                                       Equity exposures

                                       4.

                                       Exposures in default;

                                       5.

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

                                       6.

                                       Exposures secured by mortgages on immovable property;

                                       7.

                                       Other items;

                                       8.

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

                                       9.

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

                           65.

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

                           66.

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

                           67.

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

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

                           Original exposure pre conversion factors

                           Does it fit for being assigned to the exposure class of Article 112 (m)?

                           YES

                           Securitisation positions

                           NO

                           Does it fit for being assigned to the exposure class of Article 112point (k)?

                           YES

                           Items associated with particular high risk (also see Article 128)

                           NO

                           Does it fit for being assigned to the exposure class of Article 112 point (p)?

                           YES

                           Equity exposures (also see Article 133)

                           NO

                           Does it fit for being assigned to the exposure class of Article 112 point (j)?

                           YES

                           Exposures in default

                           NO

                           Does it fit for being assigned to the exposure classes of Article 112 points (l) and (o)?

                           YES

                           Exposures in the form of units or shares in collective investment undertakings (CIU)
                           Exposures in the form of covered bonds (also see Article 129)
                           These two exposure classes are disjoint among themselves (see comments on the look-through approach in the answer above). Therefore the assignment to one of them is straightforward.

                           NO

                           Does it fit for being assigned to the exposure class of Article 112 point (i)?

                           YES

                           Exposures secured by mortgages on immovable property (also see Article 124)

                           NO

                           Does it fit for being assigned to the exposure class of Article 112 point (q)?

                           YES

                           Other items

                           NO

                           Does it fit for being assigned to the exposure class of Article 112 point (n)?

                           YES

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

                           NO

                           The exposure classes below are disjoint among themselves. Therefore the assignment to one of them is straightforward.
                           Exposures to central governments or central banks
                           Exposures to regional governments or local authorities
                           Exposures to public sector entities
                           Exposures to multilateral development banks
                           Exposures to international organisations
                           Exposures to institutions
                           Exposures to corporates
                           Retail exposures

                     3.2.4.   Clarifications on the scope of some specific exposure classes referred to in Article 112 of CRR
               3.2.4.1.   Exposure Class ‘Institutions’

                           68.

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

                           69.

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

                           70.

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

                     3.2.4.2.   Exposure Class ‘Covered Bonds’

                           71.

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

                           72.

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

                     3.2.4.3.   Exposure class ‘Collective Investment Undertakings’

                           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

                           Columns

                           010

                              ORIGINAL EXPOSURE PRE CONVERSION FACTORS

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

                           030

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

                           Article 24 and 111 of CRR
                           Value adjustments and provisions for credit losses made in accordance with the accounting framework to which the reporting entity is subject to.

                           040

                              Exposure net of value adjustments and provisions

                           Sum of columns 010 and 030.

                           050-100

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

                           Credit risk mitigation techniques as defined in Article 4(57) of CRR that reduce the credit risk of an exposure or exposures via the substitution of exposures as defined below in Substitution of the exposure due to CRM.
                           If collateral has an effect on the exposure value (e.g. if used for credit risk mitigation techniques with substitution effects on the exposure) it shall be capped at the exposure value.
                           Items to be reported here:

                                       —

                                       collateral, incorporated according to Financial Collateral Simple Method;

                                       —

                                       eligible unfunded credit protection.

                                 Please also see instructions of point 4.1.1.

                           050-060

                              Unfunded credit protection: adjusted values (Ga)

                           Article 235 of CRR
                           Article 239(3) of CRR defines the adjusted value Ga of an unfunded credit protection.

                           050

                              Guarantees

                           Article 203 of CRR
                           Unfunded Credit Protection as defined in Article 4(59) of CRR different from Credit Derivatives.

                           060

                              Credit derivatives

                           Article 204 of CRR.

                           070-080

                              Funded credit protection

                           These columns refer to funded credit protection according to Article 4(58) of CRR and Articles 196, 197 and 200 of CRR. The amounts shall not include master netting agreements (already included in Original Exposure pre conversion factors).
                           Credit Linked Notes and on-balance sheet netting positions resulting from eligible on-balance sheet netting agreements according to Articles 218 and 219 of CRR shall be treated as cash collateral.

                           070

                              Financial collateral: simple method

                           Article 222(1) to (2) of CRR.

                           080

                              Other funded credit protection

                           Article 232 of CRR.

                           090-100

                              SUBSTITUTION OF THE EXPOSURE DUE TO CRM

                           Articles 222(3), Article 235(1) to (2) and Article 236 of CRR.
                           Outflows correspond to the covered part of the Original Exposure pre conversion factors, that is deducted from the obligor's exposure class and subsequently assigned to the protection provider's exposure class. This amount shall be considered as an Inflow into the protection provider's exposure class.
                           Inflows and outflows within the same exposure classes shall also be reported.
                           Exposures stemming from possible in- and outflows from and to other templates shall be taken into account.

                           110

                              NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS

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

                           120-140

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

                           Articles 223, 224, 225, 226, 227 and 228 of CRR. It also includes credit linked notes (Article 218 of CRR)
                           Credit Linked Notes and on-balance sheet netting positions resulting from eligible on-balance sheet netting agreements according to Articles 218 and 219 of CRR are treated as cash collateral.
                           The effect of the collateralization of the Financial Collateral Comprehensive Method applied to an exposure, which is secured by eligible financial collateral, is calculated according to Articles 223, 224, 225, 226, 227 and 228 of CRR.

                           120

                              Volatility adjustment to the exposure

                           Article 223(2) to (3) of CRR.
                           The amount to be reported is given by the impact of the volatility adjustment to the exposure (EVA-E) = E*He

                           130

                              (-) Financial collateral adjusted value (Cvam)

                           Article 239(2) of CRR.
                           For trading book operations includes financial collateral and commodities eligible for trading book exposures according to Article 299(2) points (c) to (f) of CRR.
                           The amount to be reported corresponds to Cvam = C*(1-Hc-Hfx)*(t-t*)/(T-t*). For a definition of C, Hc, Hfx, t, T and t* see part 3 title II chapter 4 section 4 and 5 of CRR.

                           140

                              (-) Of which: Volatility and maturity adjustments

                           Article 223(1) of CRR and Article 239(2) of CRR.
                           The amount to be reported is the joint impact of volatility and maturity adjustments (Cvam-C) = C*[(1-Hc-Hfx)*(t-t*)/(T-t*)-1], where the impact of volatility adjustment is (Cva-C) = C*[(1-Hc-Hfx)-1] and the impact of maturity adjustments is (Cvam-Cva) = C*(1-Hc-Hfx)*[(t-t*)/(T-t*)-1]

                           150

                              Fully adjusted exposure value (E*)

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

                           160-190

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

                           Article 111(1) and Article 4(56) of CRR. See also Article 222(3) and Article 228(1) of CRR.
                           The figures reported shall be the fully adjusted exposure values before application of the conversion factor.

                           200

                              Exposure value

                           Article 111 of CRR and Part 3 title II chapter 4 section 4 of CRR.
                           Exposure value after taking into account value adjustments, all credit risk mitigants and credit conversion factors that is to be assigned to risk weights according to Article 113 and part 3 title II chapter 2 section 2 of CRR.

                           210

                              Of which: Arising from Counterparty Credit Risk

                           For Derivative instruments, repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions subject to part 3 title II chapter 6 of CRR, the exposure value for Counterparty Credit Risk calculated according to the methods laid down in part 3 title II chapter 6 sections 2, 3, 4, 5 of CRR.

                           215

                              Risk weighted exposure amount pre SME-supporting factor

                           Article 113(1) to (5) of CRR without taking into account the SME-supporting factor according to Article 501 of CRR.

                           220

                              Risk weighted exposure amount after SME-supporting factor

                           Article 113(1) to (5) of CRR taking into account the SME-supporting factor according to Article 500 of CRR.

                           230

                              Of which: with a credit assessment by a nominated ECAI

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

                           240

                              Of which: with a credit assessment derived from central government

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

                           Rows

                           Instructions

                           010

                              Total exposures

                           015

                              of which: Defaulted exposures

                           Article 127 CRR
                           This row shall only be reported in exposure classes ‘Items associated with a particular high risk’ and ‘Equity exposures’.
                           If an exposure is either listed in Article 128(2) of CRR or meets the criteria set in Articles 128(3) or 133 of CRR, it shall be assigned to the exposure class ‘Items associated with particular high risk’ or ‘Equity exposures’. Consequently, there should be no other allocation, even if the exposure is defaulted according to Article 127 of CRR.

                           020

                              of which: SME

                           All exposures to SME shall be reported here.

                           030

                              of which: Exposures subject to the SME-supporting factor

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

                           040

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

                           Article 125 of CRR.
                           Only reported in exposure class ‘Secured by mortgages on immovable property’

                           050

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

                           Exposures treated under Article 150(1) of the CRR

                           060

                              of which: Exposures under the standardised approach with prior supervisory permission to carry out a sequential IRB implementation

                           Exposures treated under Article 148(1) of the CRR

                           070-130

                              BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES

                           Reporting institution's ‘banking book’ positions shall be broken-down, following the criteria provided below, into on-balance sheet exposures subject to credit risk, off-balance sheet exposures subject to credit risk and exposures subject to counterparty credit risk.
                           Reporting institution's ‘trading book’ counterparty credit risk positions according to Article 92(3) point (f) and Article 299(2) of CRR are assigned to the exposures subject to counterparty credit risk. Institutions that apply Article 94(1) of CRR also break down their ‘trading book’ positions following the criteria provided below, into on-balance sheet exposures subject to credit risk, off-balance sheet exposures subject to credit risk and exposures subject to counterparty credit risk.

                           070

                              On balance sheet exposures subject to credit risk

                           Assets referred to in Article 24 of CRR not included in any other category.
                           Exposures, which are on-balance sheet items and which are included as Securities Financing Transactions, Derivatives & Long Settlement Transactions or from Contractual Cross Product Netting shall be reported in rows 090, 110 and 130, and therefore shall not be reported in this row.
                           Free deliveries according to Article 379(1) of CRR (if not deducted) do not constitute an on-balance sheet item, but nevertheless shall be reported in this row.
                           Exposures arising from assets posted to a CCP according to Article 4(90) of CRR and default fund exposures according to Article 4(89) of CRR shall be included if not reported in row 030.

                           080

                              Off balance sheet exposures subject to credit risk

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

                           090-130

                              Exposures/Transactions subject to counterparty credit risk

                           090

                              Securities Financing Transactions

                           Securities Financing Transactions (SFT), as defined in paragraph 17 of the Basel Committee document ‘The Application of Basel II to Trading Activities and the Treatment of Double Default Effects’, includes: (i) Repurchase and reverse repurchase agreements defined in Article 4(82) of CRR as well as securities or commodities lending and borrowing transactions; (ii) margin lending transactions as defined in Article 272(3) of CRR.

                           100

                              Of which: centrally cleared through a QCCP

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

                           110

                              Derivatives and Long Settlement Transactions

                           Derivatives comprise those contract listed in Annex II of CRR.
                           Long Settlement Transactions as defined in Article 272(2) of CRR.
                           Derivatives and Long Settlement Transactions which are included in a Cross Product Netting and therefore reported in row 130, shall not be reported in this row.

                           120

                              Of which: centrally cleared through a QCCP

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

                           130

                              From Contractual Cross Product Netting

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

                           140-280

                              BREAKDOWN OF EXPOSURES BY RISK WEIGHTS

                           140

                              0 %

                           150

                              2 %

                           Article 306(1) of CRR

                           160

                              4 %

                           Article 305(3) of CRR

                           170

                              10 %

                           180

                              20 %

                           190

                              35 %

                           200

                              50 %

                           210

                              70 %

                           Article 232(3) point (c) of CRR.

                           220

                              75 %

                           230

                              100 %

                           240

                              150 %

                           250

                              250 %

                           Article 133(2) of CRR

                           260

                              370 %

                           Article 471 of CRR

                           270

                              1 250  %

                           Article 133(2) of CRR

                           280

                              Other risk weights

                           This row is not available for exposure classes Government, Corporates, Institutions and Retail.
                           For reporting those exposures not subject to the risk weights listed in the template.
                           Article 113(1) to (5) of CRR.
                           Unrated nth to default credit derivatives under the Standardized Approach (Article 134(6) of CRR) shall be reported in this row under the exposure class ‘Other items’.
                           See also Article 124(2) and Article 152(2) point (b) of CRR.

                           290-320

                              Memorandum Items

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

                           290

                              Exposures secured by mortgages on commercial immovable property

                           Article 112 point (i) of CRR
                           This is a memorandum item only. Independent from the calculation of risk exposure amounts of exposures secured by commercial immovable property according to Article 124 and 126 of CRR the exposures shall be broken down and reported in this row based on the criteria whether the exposures are secured by commercial real estate.

                           300

                              Exposures in default subject to a risk weight of 100 %

                           Article 112 point (j) of CRR.
                           Exposures included in the exposure class ‘exposures in default’ which shall be included in this exposure class if they were not in default.

                           310

                              Exposures secured by mortgages on residential property

                           Article 112 point (i) of CRR.
                           This is a memorandum item only. Independent from the calculation of risk exposure amounts of exposures secured by mortgages on residential property according to Article 124 and 125 of CRR the exposures shall be broken down and reported in this row based on the criteria whether the exposures are secured by real estate property.

                           320

                              Exposures in default subject to a risk weight of 150 %

                           Article 112 point (j) of CRR.
                           Exposures included in the exposure class ‘exposures in default’ which shall be included in this exposure class if they were not in default.

                     3.3.   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

                           74.

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

                                       i.

                                       Credit risk in the banking book, among which:

                                                   —

                                                   Counterparty credit risk in the banking book;

                                                   —

                                                   Dilution risk for purchased receivables;

                                       ii.

                                       Counterparty credit risk in the trading book;

                                       iii.

                                       Free deliveries resulting from all business activities..

                           75.

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

                           76.

                           The CR IRB template does not cover the following data:

                                       i.

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

                                       ii.

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

                                       iii.

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

                                       iv.

                                       Credit valuation adjustment risk, which is reported on the CVA Risk template;
                                       The CR IRB template does not require a geographical breakdown of IRB exposures by residence of the counterparty. This breakdown is reported in the template CR GB.

                           77.

                           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:

                                       ‘NO’ = in case the supervisory estimates of LGD and credit conversion factors are used (Foundation IRB)

                                       ‘YES’ = in case own estimates of LGD and credit conversion factors are used (Advanced IRB)

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

                     3.3.2.   Breakdown of the CR IRB template

                           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.

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

                                       2.

                                       Central banks and central governments
                                       (Article 147(2)(a) CRR)

                                       3.

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

                                       4.1)

                                       Corporate – SME
                                       (Article 147(2) point (c) CRR

                                       4.2)

                                       Corporate – Specialised lending
                                       (Article 147(8) CRR)

                                       4.3)

                                       Corporate – Other
                                       (All corporates according to Article 147(2) point (c), not reported under 4.1 and 4.2).

                                       5.1)

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

                                       5.2)

                                       Retail – Secured by immovable property non-SME
                                       (Exposures reflecting Article 147(2) point (d) CRR which are secured by immovable property and not reported under 5.1).

                                       5.3)

                                       Retail – Qualifying revolving
                                       (Article 147(2) point (d) in conjunction with Article 154(4) CRR).

                                       5.4)

                                       Retail – Other SME
                                       (Article 147(2) point (d) not reported under 5.1 and 5.3).

                                       5.5)

                                       Retail – Other non – SME
                                       (Article 147(2) point (d) CRR which were not reported under 5.2 and 5.3).

                     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

                           Columns

                           Instructions

                           010

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

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

                           020

                              ORIGINAL EXPOSURE PRE CONVERSION FACTORS

                           Institutions report the exposure value before taking into account any value adjustments, provisions, effects due to credit risk mitigation techniques or credit conversion factors.
                           The original exposure value shall be reported in accordance with Article 24 of CRR and Article 166(1) and (2) and (4) to (7) of CRR.
                           The effect resulting from Article 166(3) of CRR (effect of on balance sheet netting of loans and deposits) is reported separately as Funded Credit Protection and therefore shall not reduce the Original Exposure.

                           030

                              OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

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

                           040-080

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

                           Credit risk mitigation techniques as defined in Article 4(57) of CRR that reduce the credit risk of an exposure or exposures via the substitution of exposures as defined below in ‘SUBSTITUTION OF THE EXPOSURE DUE TO CRM’.

                           040-050

                              UNFUNDED CREDIT PROTECTION

                           Unfunded credit protection: Values as they are defined in Article 4(59) of CRR.
                           If collateral has an effect on the exposure (e.g. if used for credit risk mitigation techniques with substitution effects on the exposure) it shall be capped at the exposure value.

                           040

                              GUARANTEES:

                           When own estimates of LGD are not used, the Adjusted Value (Ga) as defined in Article 236 of CRR shall be provided.
                           When Own estimates of LGD are used, (Article 183 of CRR, except paragraph 3), the relevant value used in the internal model shall be reported.
                           Guarantees shall be reported in column 040 when the adjustment is not made in the LGD. When the adjustment is made in the LGD, the amount of the guarantee shall be reported in column 150.
                           Regarding exposures subject to the double default treatment, the value of unfunded credit protection is re-ported in column 220.

                           050

                              CREDIT DERIVATIVES:

                           When own estimates of LGD are not used, the Adjusted Value (Ga) as defined in Article 216 of CRR shall be provided.
                           When own estimates of LGD are used (Article 183 of CRR), the relevant value used in the internal modelling shall be reported.
                           When the adjustment is made in the LGD, the amount of the credit derivatives shall be reported in column 160
                           Regarding exposures subject to the double default treatment the value of unfunded credit protection shall be reported in column 220.

                           060

                              OTHER FUNDED CREDIT PROTECTION

                           If collateral has an effect on the exposure (e.g. if used for credit risk mitigation techniques with substitution effects of the exposure), it shall be capped at the exposure value.
                           When own estimates of LGD are not used, Article 232 of CRR shall be applied.
                           When own estimates of LGD are used, those credit risk mitigants that comply with the criteria in Article 212 of the CRR shall be reported. The relevant value used in the internal model shall be reported.
                           To be reported in column 060 when the adjustment is not made in the LGD. When an adjustment is made in the LGD the amount shall be reported in column 170.

                           070-080

                              SUBSTITUTION OF THE EXPOSURE DUE TO CRM

                           Outflows correspond to the covered part of the Original Exposure pre conversion factors, that is deducted from the obligor's exposure class and, when relevant, obligor grade or pool, and subsequently assigned to the protection provider's exposure class and, when relevant, obligor grade or pool. This amount shall be considered as an Inflow into the protection provider's exposure class and, when relevant, obligor grades or pools.
                           Inflows and outflows within the same exposure classes and, when relevant, obligor grades or pools shall also be considered.
                           Exposures stemming from possible in- and outflows from and to other templates shall be taken into account.

                           090

                              EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS

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

                           100, 120

                              Of which: Off Balance Sheet Items

                           See CR-SA instructions

                           110

                              EXPOSURE VALUE

                           The value in accordance with Article 166 of CRR and Article 230(1) sentence 2 of CRR are reported.
                           For the instruments as defined in Annex I, the credit conversion factors (Article 166(8) to (10) of CRR) irrespective the approach chosen by the institution, are applied.
                           For rows 040-060 (securities financing transactions, derivatives and long settlement transactions and exposures from contractual cross-product netting) subject to part 3 title II chapter 6 of CRR, the Exposure Value is the same as the value for Counterparty Credit Risk calculated according to the methods laid down in part 3 title II chapter 6 sections 3, 4, 5, 6 and 7 of CRR. These values are reported in this column and not column 130 ‘Of which: arising from counterparty credit risk’.

                           130

                              Of which: Arising from counterparty Credit Risk

                           See CR SA instructions.

                           140

                              OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

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

                           150-210

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

                           CRM techniques that have an impact on LGDs as a result of the application of the substitution effect of CRM techniques shall not be included in these columns.
                           Where own estimates of LGD are not used: Articles 228(2), 230 (1) and (2), 231 of the CRR
                           Where own estimates of LGD are used:

                                       —

                                       Regarding unfunded credit protection, for exposures to central government and central banks, institutions and corporates: Article 161 paragraph 3 of the CRR. For retail exposures Article 164 paragraph 2 of the CRR.

                                       —

                                       Regarding funded credit protection collateral taken into account in the LGD estimates according to Article 181(1) points (e) and (f) of the CRR.

                           150

                              GUARANTEES

                           See instructions to column 040.

                           160

                              CREDIT DERIVATIVES

                           See instructions to column 050.

                           170

                              OWN ESTIMATES OF LGDS ARE USED: OTHER FUNDED CREDIT PROTECTION

                           The relevant value used in the internal modelling of the institution.
                           Those credit risk mitigants that comply with the criteria in Article 212 of the CRR.

                           180

                              ELIGIBLE FINANCIAL COLLATERAL

                           For trading book operations includes financial instruments and commodities eligible for trading book exposures according to Article 299 paragraph 2 point. (c) to (f) of CRR Credit linked Notes and on -balance sheet netting according to Part 3 Title II Chapter 4 Section 4 of CRR are treated as cash collateral.
                           When own estimates of LGD are not used: values in accordance with Article 193(1) to (4) and Article 194(1) of CRR. The adjusted value (Cvam) as set out in Article 223(2) of CRR is reported.
                           When own estimates of LGD are used: financial collateral taken into account in the LGD estimates according to Article 181(1) points (e) and (f) of CRR. The amount to be reported shall be the estimated market value of the collateral.

                           190-210

                              OTHER ELIGIBLE COLLATERAL

                           Where own estimates of LGD are not used: Article 199(1) to (8) of CRR and Article 229 of CRR.
                           Where own estimates of LGD are used: other collateral taken into account in the LGD estimates according to Article 181(1) points (e) and (f) of CRR.

                           190

                              REAL ESTATE

                           Where own estimates of LGD are not used, values in accordance with Article 199(2) to (4) of CRR shall be reported. Leasing of real estate property is also included (see Article 199(7) of CRR). See also Article 229 of CRR.
                           When own estimates of LGD are used the amount to be reported shall be the estimated market value.

                           200

                              OTHER PHYSICAL COLLATERAL

                           Where own estimates of LGD are not used, values in accordance with Article 199(6) and (8) of CRR shall be reported. Leasing of property different from real estate is also included (see Article 199(7) of CRR). See also Article 229(3) of CRR.
                           Where own estimates of LGD are used the amount to be reported shall be the estimated market value of collateral.

                           210

                              RECEIVABLES

                           When own estimates of LGD are not used, values in accordance with Articles 199(5), 229 (2) of CRR are reported.
                           When own estimates of LGD are used, the amount to be reported shall be the estimated market value of collateral.

                           220

                              SUBJECT TO DOUBLE DEFAULT TREATMENT: UNFUNDED CREDIT PROTECTION

                           Guarantees and credit derivatives covering exposures subject to the double default treatment reflecting Articles 202 and 217 (1) of CRR. See also columns 040 ‘Guarantees’ and 050 ‘Credit derivatives’.

                           230

                              EXPOSURE WEIGHTED AVERAGE LGD (%)

                           All the impact of CRM techniques on LGD values as specified in Part 3 Title II Chapters 3 and 4 of CRR shall be considered. In the case of exposures subject to the double default treatment the LGD to be reported shall correspond to the one selected according to Article 161(4) of CRR.
                           For defaulted exposures, provisions laid down in Article 181(1) point (h) of CRR shall be considered.
                           The definition of exposure value as in Column 110 shall be used for the calculation of the exposure-weighted averages.
                           All effects shall be considered (so the floor applicable to mortgages shall be included in the reporting).
                           For institutions applying the IRB approach but not using their own estimates of LGD the risk mitigation effects of financial collateral are reflected in E*, the fully adjusted value of the exposure, and then reflected in LGD* according to Article 228(2) CRR.
                           The exposure weighted average LGD associated to each PD ‘obligor grade or pool’ shall result from the average of the prudential LGDs, assigned to the exposures of that PD grade/pool, weighted by the respective exposure value of Column 110.
                           If own estimates of LGD are applied Article 175 and Article 181(1) and (2) of CRR shall be considered.
                           In the case of exposures subject to the double default treatment the LGD to be reported shall correspond to the one selected according to Article 161(4) of CRR.
                           The calculation of the exposure weighted average LGD shall be derived from the risk parameters really used in the internal rating system approved by the respective competent authority.
                           Data shall not be reported for specialized lending exposures referred to in Article 153(5).
                           Exposure and the respective LGD's for large regulated financial sector entities and unregulated financial entities shall not be included in the calculation of column 230, they shall only be included in the calculation of column 240.

                           240

                              EXPOSURE WEIGHTED AVERAGE LGD (%) FOR LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

                           Exposure weighted average LGD (%) for all exposures defined according to Article 142(4) and (5) CRR subject to the higher correlation according to Article 153(2) CRR.

                           250

                              EXPOSURE-WEIGHTED AVERAGE MATURITY VALUE (DAYS)

                           The value reported reflects Article 162 of CRR. The exposure value (Column 110) shall be used for the calculation of the exposure-weighted averages. The average maturity is reported in days.
                           This data shall not be reported for the exposure values for which the maturity is not an element in the calculation of risk weighted exposure amounts. This means that this column shall not be filled in for the exposure class ‘retail’.

                           255

                              RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR

                           For Central governments and Central Banks, Corporate and Institutions see Article 153(1) and (3) of CRR. For Retail see Article 154(1) of CRR.
                           The SME-supporting factor according to Article 501 of CRR shall not be taken into account.

                           260

                              RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR

                           For Central governments and Central Banks, Corporate and Institutions see Article 153(1) and (3) of CRR. For Retail see Article 154(1) of CRR.
                           The SME-supporting factor according to Article 501 of CRR shall be taken into account.

                           270

                              OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

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

                           280

                              EXPECTED LOSS AMOUNT

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

                           290

                              (-) VALUE ADJUSTMENTS AND PROVISIONS

                           Value Adjustments as well as specific and general provisions under Article 159 CRR are reported. General provisions shall be reported by assigning the amount pro rata — according to the expected loss of the different obligor grades.

                           300

                              NUMBER OF OBLIGORS

                           Articles 172(1) and (2) of CRR.
                           For all exposure classes with the exception of the exposure class retail and the cases mentioned in Article 172(1) lit. e, second sentence CRR, the institution shall report the number of legal entities/obligors which were separately rated, regardless of the number of different loans or exposures granted.
                           Within the exposure class retail or if separate exposures to the same obligor are assigned to different obligor grades in accordance with Article 172(1) lit. e, second sentence CRR in other exposure classes, the institution shall report the number of exposures which were separately assigned to a certain rating grade or pool. In case Article 172(2) of CRR applies, an obligor may be considered in more than one grade.
                           As this column deals with an element of the structure of the rating systems, it relates to the original exposures pre conversion factor assigned to each obligor grade or pool without taking into account the effect of CRM techniques (in particular redistribution effects).

                           Rows

                           Instructions

                           010

                              TOTAL EXPOSURES

                           015

                              of which: Exposures subject to SME-supporting factor

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

                           020-060

                              BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:

                           020

                              On balance sheet items subject to credit risk

                           Assets referred to in Article 24 of CRR not included in any other category.
                           Exposures, which are on-balance sheet items and which are included as Securities Financing Transactions, Derivatives & Long Settlement Transactions or from Contractual Cross Product Netting shall be reported in rows 040-060 and, therefore, not reported in this row.
                           Free deliveries according to Article 379(1) of CRR (if not deducted) do not constitute an on-balance sheet item, but nevertheless shall be reported in this row.
                           Exposures arising from assets posted to a CCP according to Article 4(91) of CRR and default fund exposures according to Article 4(89) of CRR shall be included if not reported in row 030.

                           030

                              Off balance sheet items subject to credit risk

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

                           040-060

                              Exposures/Transactions subject to counterparty credit risk

                           040

                              Securities Financing Transactions

                           Securities Financing Transactions (SFT), as defined in paragraph 17 of the Basel Committee document ‘The Application of Basel II to Trading Activities and the Treatment of Double Default Effects’, includes: (i) Repurchase and reverse repurchase agreements defined in Article 4(82) of CRR as well as securities or commodities lending and borrowing transactions and (ii) margin lending transactions as defined in Article 272(3) of CRR.
                           Securities Financing Transactions, which are included in a Cross Product Netting and therefore reported in row 060, shall not be reported in this row.

                           050

                              Derivatives and Long Settlement Transactions

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

                           060

                              From Contractual Cross Product Netting

                           See CR SA instructions

                           070

                              EXPOSURES ASSIGNED TO OBLIGOR GRADES OR POOLS: TOTAL

                           For exposures to corporates, institutions and Central governments and Central Banks see Article 142(1) point (6) and Article 170(1) point (c) of CRR.
                           For retail exposures see Article 170(3) point (b) of CRR. For Exposures arising from purchased receivables see Article 166(6) of CRR.
                           Exposures for dilution risk of purchased receivables shall not be reported by obligor grades or pools and shall be reported in row 180.
                           Where the institution uses a large number of grades or pools, a reduced number of grades or pools to be reported may be agreed with the competent authorities.
                           A master scale is not used. Instead, institutions shall determine the scale to be used themselves.

                           080

                              SPECIALIZED LENDING SLOTTING CRITERIA: TOTAL

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

                           090-150

                              BREAKDOWN BY RISK WEIGHTS OF TOTAL EXPOSURES UNDER SPECIALIZED LENDING SLOTTING CRITERIA:

                           120

                              Of which: In category 1

                           Article 153(5) table 1 of CRR.

                           160

                              ALTERNATIVE TREATMENT: SECURED BY REAL ESTATE

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

                           170

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

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

                           180

                              DILUTION RISK: TOTAL PURCHASED RECEIVABLES

                           See Article 4(53) of CRR for a definition of dilution risk. For calculation of risk weight for dilution risk see Article 157(1) of CRR.
                           According to Article 166(6) of CRR the exposure value of purchased receivables shall be the outstanding amount minus the risk weighted exposure amounts for dilution risk prior to credit risk mitigation.

                     3.3.4.   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)

                           Column

                           Instructions

                           005

                              Obligor grade (row identifier)

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

                           010-300

                           Instructions for each of these columns are the same as for the corresponding numbered columns in table CR IRB 1.

                           Row

                           Instructions

                           010-001 – 010-NNN

                           Values reported in these rows must be in ordered from the lower to the higher according to the PD assigned to the obligor grade or pool. PD of obligors in default shall be 100 %. Exposures subject to the alternative treatment for real estate collateral (only available when not using own estimates for the LGD) shall not be assigned according to the PD of the obligor and not reported in this template.

                     3.4.   CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: INFORMATION WITH GEOGRAPHICAL BREAKDOWN

                           79.

                           Institutions fulfilling the threshold set in Article 5 (a) (4) of this Regulation 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. Exposures to supranational organisations shall be assigned to the geographical area ‘other countries’.

                           80.

                           The term ‘residence of the obligor’ refers to the country of incorporation of the obligor. This concept can be applied on an immediate-obligor basis and on an ultimate-risk basis. Hence, CRM techniques with substitution effects can change the allocation of an exposure to a country. Exposures to supranational organisations shall not be assigned to the country of residence of the institution but to the geographical area ‘Other countries’ irrespective of the exposure class where the exposure to supranational organisations is assigned.

                           81.

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

                     3.4.1.   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

                              Defaulted exposures

                           Original exposure pre conversion factors for those exposures which have been classified as ‘exposures in default’ and for defaulted exposures assigned to the exposure classes ‘exposures associated with particularly high risk’ or ‘equity exposures’.
                           This ‘memorandum item’ provides additional information about the obligor structure of defaulted exposures. Exposures classified as ‘exposures in default’ in accordance with Article 112 point (j) CRR shall be reported where the obligors would have been reported if those exposures were not assigned to the exposure classes ‘exposures in default’.
                           This information is a ‘memorandum item’ – hence does not affect the calculation of risk weighted exposure amounts of exposure classes ‘exposures in default’, ‘exposures associated with particularly high risk’ or ‘equity exposures’ according to Article 112 points (j), (k) respectively (p) 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.

                           170

                              Total exposures

                     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 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.

                           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).)

                           042

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

                           (Article 147(8) a CRR)
                           Data shall not be reported for specialized lending exposures referred to in Article 153(5).

                           045

                              Of which: Specialized lending subject to slotting criteria

                           Articles 147(8) lit. a and 153(5) CRR

                           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.

                           150

                              Total exposures

                     3.4.3.   C 09.04 – Breakdown of credit exposures relevant for the calculation of the countercyclical buffer by country and institution-specific countercyclical buffer rate (CCB)
               3.4.3.1.   General remarks

                           82.

                           This table is implemented in order to receive more information regarding the elements of the institution specific countercyclical capital buffer. The information requested refers to the own funds requirements determined in accordance with Part Three, Title II and Title IV of the CRR and the geographical location for credit exposures, securitisation exposures and trading book exposures relevant for the calculation of the institution specific counter-cyclical capital buffer (CCB) in accordance with Article 140 CRD (relevant credit exposures).

                           83.

                           Information in template C 09.04 is requested for the ‘Total’ of relevant credit exposures across all jurisdictions where these exposures are located and individually for each of the jurisdictions in which relevant credit exposures are located. The total figures as well as the information of each jurisdiction are reported in a separate dimension.

                           84.

                           The threshold set in Article 5 (a) (4) of this Regulation is not relevant for the reporting of this breakdown.

                           85.

                           In order to determine the geographical location, the exposures are allocated on an immediate obligor basis as provided for in Commission Delegated Regulation (EU) No 1152/2014 of 4 June 2014 with regard to regulatory technical standards on the identification of the geographical location of the relevant credit exposures for calculating institution-specific countercyclical capital buffer rates. Therefore CRM techniques do not change the allocation of an exposure to its geographical location for the purpose of reporting information set out in this template.

                     3.4.3.2.   Instructions concerning specific positions

                           Columns

                           010

                              Amount

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

                           020

                              Percentage

                           030

                              Qualitative Information

                           This information shall only be reported for the country of residence of the institution (the jurisdiction corresponding to its home Member State) and the ‘Total’ of all countries.
                           Institutions shall report either {y} or {n} in accordance with the instructions for the relevant row.

                           Rows

                           010-020

                              Relevant credit exposures – Credit risk

                           Relevant credit exposures defined in accordance with Article 140(4)(a) CRD.

                           010

                              Exposure value under the Standardised Approach

                           Exposure value determined in accordance with Article 111 CRR for relevant credit exposures defined in accordance with Article 140(4)(a) CRD.
                           The exposure value of securitisation positions in the banking book under the Standardised Approach shall be excluded from this row and reported in row 050.

                           020

                              Exposure value under the IRB Approach

                           Exposure value determined in accordance with Article 166 CRR for relevant credit exposures defined in accordance with Article 140(4)(a) CRD.
                           The exposure value of securitisation positions in the banking book under the IRB Approach shall be excluded from this row and reported in row 060

                           030-040

                              Relevant credit exposures – Market risk

                           Relevant credit exposures defined in accordance with Article 140(4)(b) CRD.

                           030

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

                           Sum of net long and net short positions according to Article 327 CRR of relevant credit exposures defined in accordance with Article 140(4)(b) CRD under Part Three, Title IV, Chapter 2 CRR:

                                       —

                                       exposures to debt instruments other than securitisation,

                                       —

                                       exposures to securitisation positions in the trading book,

                                       —

                                       exposures to correlation trading portfolios,

                                       —

                                       exposures to equity securities, and

                                       —

                                       exposures to CIUs if capital requirements are calculated according to Article 348 CRR.

                           040

                              Value of trading book exposures under internal model approaches

                           For relevant credit exposures defined in accordance with Article 140(4)(b) CRD under Part Three, Title IV, Chapter 2 and Chapter 5 CRR, the sum of the following shall be reported:

                                       —

                                       Fair value of non-derivative positions, that represent relevant credit exposures as defined in Article 140(4)(b) CRD, determined in accordance with Article 104 CRR.

                                       —

                                       Notional value of derivatives, that represent relevant credit exposures as defined in accordance with Article 140(4)(b) CRD.

                           050-060

                              Relevant credit exposures – Securitisation positions in the banking book

                           Relevant credit exposures defined in accordance with Article 140(4)(c) CRD.

                           050

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

                           Exposure value determined in accordance with Article 246 CRR for relevant credit exposures defined in accordance with Article 140(4)(c) CRD.

                           060

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

                           Exposure value determined in accordance with Article 246 CRR for relevant credit exposures defined in accordance with Article 140(4)(c) CRD.

                           070-110

                              Own funds requirements and weights

                           070

                              Total own funds requirements for CCB

                           The sum of rows 080, 090 and 100.

                           080

                              Own funds requirements for relevant credit exposures – Credit risk

                           Own funds requirements determined in accordance with Part Three, Title II, Chapter 1 to 4 and Chapter 6 CRR for relevant credit exposures, defined in accordance with Article 140(4)(a) of CRD, in the country in question.
                           Own fund requirements for securitisation positions in the banking book shall be excluded from this row and reported in row 100.
                           The own-funds requirements are 8 % of the risk-weighted exposure amount determined according to the provisions of Part Three, Title II, Chapter 1 to 4 and Chapter 6 of the CRR.

                           090

                              Own funds requirements for relevant credit exposures – Market risk

                           Own funds requirements determined in accordance with Part Three, Title IV, Chapter 2 of CRR for specific risk, or in accordance with Part Three, Title IV, Chapter 5 of CRR for incremental default and migration risk for relevant credit exposures, defined in accordance with Article 140(4)(b) of CRD, in the country in question.
                           The own funds requirements for relevant credit exposures under the market risk framework include, among others, the own fund requirements for securitisation positions under Part Three, Title IV, Chapter 2 CRR and the own funds requirements for exposures to Collective Investment Undertakings determined in accordance with Article 348 CRR.

                           100

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

                           Own funds requirements determined in accordance with Part Three, Title II, Chapter 5 CRR for relevant credit exposures defined in accordance with Article 140(4)(c) CRD in the country in question.
                           The own-funds requirements are 8 % of the risk-weighted exposure amount determined according to the provisions of Part Three, Title II, Chapter 5 CRR.

                           110

                              Own funds requirements weights

                           The weight applied to the countercyclical buffer rate in each country is calculated as a ratio of own fund requirements, determined as follows:

                                       1.

                                       Numerator: The total own funds requirements that relates to the relevant credit exposures in the country in question [r070; c010 country sheet],

                                       2.

                                       Denominator: The total own funds requirements that relate to all credit exposures relevant for the calculation of the countercyclical buffer in accordance with Article 140(4) of CRD [r070; c010; ‘Total’].

                                 Information on the Own fund requirements weights shall not be reported for the ‘Total’ of all countries.

                           120-140

                              Countercyclical buffer rates

                           120

                              Countercyclical capital buffer rate set by the Designated Authority

                           Countercyclical capital buffer rate set for the country in question by the Designated Authority of that country in accordance with Article 136, 137, 138 and 139 CRD.
                           This row should be left empty when no countercyclical buffer rate was set for the country in question by the Designated Authority of that country.
                           Countercyclical capital buffer rates that were set by the Designated Authority, but are not yet applicable in the country in question at the reporting reference date shall not be reported.
                           Information on the Countercyclical capital buffer rate set by the Designated Authority shall not be reported for the ‘Total’ of all countries.

                           130

                              Countercyclical capital buffer rate applicable for the country of the institution

                           Countercyclical capital buffer rate applicable for the country in question which was set by the Designated Authority of the country of residence of the institution, in accordance with Article 137, 138, 139 and Article 140(1), (2) and (3) CRD. Countercyclical capital buffer rates that are not yet applicable at the reporting reference date shall not be reported.
                           Information on the Countercyclical capital buffer rate applicable in the country of the institution shall not be reported for the ‘Total’ of all countries.

                           140

                              Institution-specific countercyclical capital buffer rate

                           Institution-specific countercyclical capital buffer rate, determined in accordance with Article 140(1) CRD.
                           The institution-specific countercyclical capital buffer rate is calculated as the weighted average of the countercyclical buffer rates that apply in the jurisdictions where the relevant credit exposures of the institution are located or are applied for the purposes of Article 140 by virtue of Article 139(2) or (3) CRD. The relevant countercyclical buffer rate is reported in [r120; c020; country sheet], or [r130; c020; country sheet] as applicable.
                           The weight applied to the countercyclical buffer rate in each country is the share of own funds requirements in total own funds requirements, and is reported in [r110; c020; country sheet].
                           Information on the institution-specific countercyclical capital buffer rate shall only be reported for the ‘Total’ of all countries and not for each country separately.

                           150 - 160

                              Use of the 2 % threshold

                           150

                              Use of 2 % threshold for general credit exposure

                           In accordance with Article 2(5)(b) of Commission Delegated Regulation (EU) No 1152/2014, foreign general credit risk exposures, whose aggregate does not exceed 2 % of the aggregate of the general credit, trading book and securitisation exposures of that institution, may be allocated to the institutions' home Member State. The aggregate of the general credit, trading book and securitisation exposures is calculated by excluding the general credit exposures located in accordance with Article 2(5) point (a) and Article 2(4) of Commission Delegated Regulation (EU) No 1152/2014.
                           If the institution makes use of this derogation, it shall indicate ‘y’ in the table for the jurisdiction corresponding to its home Member State and for the ‘Total’ of all countries.
                           If an institution does not make use of this derogation, it shall indicate ‘n’ in the respective cell.

                           160

                              Use of 2 % threshold for trading book exposure

                           In accordance with Article 3(3) of Commission Delegated Regulation (EU) No 1152/2014, institutions may allocate trading book exposures to their home Member State, if the total trading book exposures do not exceed 2 % of their total general credit, trading book and securitisation exposures.
                           If the institution makes use of this derogation, it shall indicate ‘y’ in the table for the jurisdiction corresponding to its home Member State and for the ‘Total’ of all countries.
                           If an institution does not make use of this derogation, it shall indicate ‘n’ in the respective cell.

                     3.5.   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

                           86.

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

                           87.

                           The CR EQU IRB template provides information on the calculation of risk weighted exposure amounts for credit risk (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.

                           88.

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

                                       (a)

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

                                       (b)

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

                           89.

                           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.

                           90.

                           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 risk-weighted exposure amounts for those equity exposures which attract a fixed risk-weight treatment (without however being explicitly treated according to the Simple Risk Weight approach or the (temporary or permanent) partial use of the credit risk standardised approach (e.g. equity exposures attracting a risk-weight of 250 % in accordance with Article 48(4) of CRR, respectively a risk-weight of 370 % in accordance with Article 471(2) of CRR))).

                           91.

                           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

                           005

                              OBLIGOR GRADE (ROW IDENTIFIER)

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

                           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.

                           92.

                           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 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).

                           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 informaton 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

                           93.

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

                           94.

                           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.

                           95.

                           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.

                           96.

                           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.

                           97.

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

                           98.

                           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.

                           99.

                           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

                           Columns

                           010

                              UNSETTLED TRANSACTIONS AT SETTLEMENT PRICE

                           In accordance with Article 378 of CRR, institutions report in this column 010 the unsettled transactions after their due delivery date at the respective agreed settlement prices.

                              All unsettled transactions shall be included in this column 010, irrespective of whether or not they are at a gain or at a loss after the due settlement date.

                           020

                              PRICE DIFFERENCE EXPOSURE DUE TO UNSETTLED TRANSACTIONS

                           In accordance with Article 378 of CRR, institutions report in column 020 the price difference between the agreed settlement price and its current market value for the debt instrument, equity, foreign currency or commodity in question, where the difference could involve a loss for the institution.
                           Only unsettled transactions at a loss after the due settlement date shall be reported in column 020

                           030

                              OWN FUNDS REQUIREMENTS

                           Institutions report in column 030 the own funds requirements calculated in accordance with Article 378 of CRR.

                           040

                              TOTAL SETTLEMENT RISK EXPOSURE AMOUNT

                           In accordance with Article 92(4) point (b) of CRR, institutions multiply their own funds requirements reported in column 030 by 12.5 in order to obtain the settlement risk exposure amount.

                           Rows

                           010

                              Total unsettled transactions in the Non-trading Book

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

                           020 to 060

                              Transactions unsettled up to 4 days (Factor 0 %)

                              Transactions unsettled between 5 and 15 days (Factor 8 %)

                              Transactions unsettled between 16 and 30 days (Factor 50 %)

                              Transactions unsettled between 31 and 45 days (Factor 75 %)

                              Transactions unsettled for 46 days or more (Factor 100 %)

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

                           070

                              Total unsettled transactions in the Trading Book

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

                           080 to 120

                              Transactions unsettled up to 4 days (Factor 0 %)

                              Transactions unsettled between 5 and 15 days (Factor 8 %)

                              Transactions unsettled between 16 and 30 days (Factor 50 %)

                              Transactions unsettled between 31 and 45 days (Factor 75 %)

                              Transactions unsettled for 46 days or more (Factor 100 %)

                           Institutions report the information in relation with settlement/delivery risk for trading book positions according to the categories referred to in Table 1 of Article 378 of CRR in rows 080 to 120.
                           No own funds requirements for settlement/delivery risk are required for transactions unsettled less than 5 working days after the due settlement date.

                     3.7.   C 12.00 – CREDIT RISK: SECURITISATION — STANDARDISED APPROACH TO OWN FUNDS REQUIREMENTS (CR SEC SA)
               3.7.1.   General remarks

                           100.

                           The information in this template is requested for all securitisations for which a significant risk transfer is recognised and in which the reporting institution is involved in a securitisation treated under the 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.

                           101.

                           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.

                           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)(a), (c) and (e), 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 1 250  % 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

                              1 250  % (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 require that whenever certain requirements in Articles 405, 406 or 409 of CRR 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 1 250  %) which would apply to the relevant securitisation positions under Part Three, Title II, Chapter 5, Section 3 of CRR. Such an additional risk weight may not only be imposed to investor institutions, but also to originators, sponsors and original lenders.

                           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 1 250  % 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 (column 370)/after (column 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.

                           102.

                           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.

                           103.

                           Positions treated according to the ratings based method and unrated positions (exposures at reporting date) are also broken down according to the credit quality steps applied at inception (last block of rows). Originators, sponsors as well as investors shall report this information.

                           Rows

                           010

                              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 treated according to the ratings based method and unrated 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, 210 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

                           104.

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

                           105.

                           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.

                           106.

                           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)(b), (d) and (e), 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 1 250  % risk weight applies, institutions may, as an alternative to including the position in their calculation of risk-weighted exposure amounts, deduct from own funds the exposure value of the position.

                           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

                           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.

                           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 1 250  %) 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 1 250  % 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.

                           107.

                           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.

                           108.

                           Positions treated according to the ratings based method and unrated positions (exposures at reporting date) are also broken down according to the credit quality steps applied at inception (last block of rows). Originators, sponsors as well as investors shall report this information.

                           Rows

                           010

                              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 treated according to the ratings based method and unrated 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, 190 to 320 and columns 400 to 410.

                     3.9.   C 14.00 – DETAILED INFORMATION ON SECURITISATIONS (SEC DETAILS)
               3.9.1.   General remarks

                           109.

                           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.

                           110.

                           This template is to be reported for:

                                       a.

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

                                       b.

                                       Securitisations originated/sponsored by the reporting institution during the year of report (1), in case it holds no position.

                                       c.

                                       Securitisations, the ultimate underlying of which are financial liabilities originally issued by the reporting institution and (partially) acquired by a securitisation vehicle. This underlying could include covered bonds or other liabilities and shall be identified as such in column 160.

                                       d.

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

                           111.

                           This template shall be reported by consolidated groups and stand-alone institutions (2) located in the same country where they are subject to own funds requirements. In case of securitisations involving more than one entity of the same consolidated group, the entity-by-entity detail breakdown shall be provided.

                           112.

                           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.

                           113.

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

                     3.9.2.   Instructions concerning specific positions

                           Columns

                           005

                              ROW NUMBER

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

                           010

                              INTERNAL CODE

                           Internal (alpha-numerical) code used by the institution to identify the securitisation. The internal code shall be associated to the identifier of the securitisation.

                           020

                              IDENTIFIER OF THE SECURITISATION (Code/Name)

                           Code used for the legal registration of the securitisation or, if not available, the name by which the securitisation is known in the market. When the International Securities Identification Number -ISIN- is available (i.e. for public transactions) the characters that are common to all tranches of the securitisation shall be reported in this column.

                           030

                              IDENTIFIER OF THE ORIGINATOR (Code/Name)

                           The code given by the supervisory authority to the originator or, if not available, the name of the institution itself shall be reported for this column.
                           In the case of multi-seller securitisations the reporting entity shall provide the identifier of all the entities within its consolidated group that are involved (as originator, sponsor or original lender) in the transaction. Whenever the code is not available or is not known by the reporting entity, the name of the institution shall be reported.

                           040

                              SECURITISATION TYPE: (TRADITIONAL/SYNTHETIC)

                           Report the following abbreviations:

                                       —

                                       ‘T’ for Traditional;

                                       —

                                       ‘S’ for Synthetic.

                                 The definitions of ‘traditional securitisation’ and ‘synthetic securitisation’ is provided in Article 242(10) and (11) of CRR.

                           050

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

                           Originators, sponsors and original lenders shall report one of the following abbreviations:

                                       —

                                       ‘K’ if entirely recognised

                                       —

                                       ‘P’ if partially derecognised

                                       —

                                       ‘R’ if entirely derecognised

                                       —

                                       ‘N’ if not applicable.

                                 This column summarises the accounting treatment of the transaction.
                           In case of synthetic securitisations, originators shall report that securitised exposures are removed from the balance sheet.
                           In case of the securitisations of liabilities originators shall not report this column.
                           Option ‘P’ (partially removed) shall be reported when the securitised assets are recognized in the balance sheet to the extent of the reporting entity' continuing involvement as regulated in IAS 39.30-35.

                           060

                              SOLVENCY TREATMENT: SECURITISATION POSITIONS SUBJECT TO OWN FUNDS REQUIREMENTS?

                           Originators, only, shall report the following abbreviations:

                                       —

                                       ‘N’ not subject to own funds requirements;

                                       —

                                       ‘B’ banking book;

                                       —

                                       ‘T’ trading book;

                                       —

                                       ‘A’ partly in both books.

                                 Articles 109, 243 and 244 of CRR.
                           This column summarises the solvency treatment of the securitisation scheme by the originator. It indicates whether own funds requirements are computed according to securitised exposures or securitisation positions (banking book/trading book).
                           If own funds requirements are based on securitised exposures (for not being significant risk transfer) the computation of own funds requirements for credit risk shall be reported in the CR SA template, in case the Standardised Approach is used, or in the CR IRB template, in case the Internal Ratings Based Approach is used by the institution.
                           Conversely, if own funds requirements are based on securitisation positions held in the banking book (for being significant risk transfer) the computation of own funds requirements for credit risk shall be reported in the CR SEC SA template or in the CR SEC IRB template. In the case of securitisation positions held in the trading book the computation of own funds requirements for market risk shall be reported in the MKR SA TDI (standardised general position risk) and in the MKR SA SEC or MKR SA CTP (standardised specific position risk) or in the MKR IM (internal models) templates.
                           In the case of the securitisations of liabilities originators shall not report this column.

                           070

                              SECURITISATION OR RE-SECURITISATION?

                           According to definitions of ‘securitisation’ and ‘re-securitisation’ are provided in Article 4(1)(61) and (62) to (64) of CRR, report the type of underlying using the following abbreviations:

                                       —

                                       ‘S’ for securitisation;

                                       —

                                       ‘R’ for re-securitisation.

                           080-100

                              RETENTION

                           Articles 404 to 410 of CRR.

                           080

                              TYPE OF RETENTION APPLIED

                           For each securitisation scheme originated, it shall be reported the relevant type of retention of net economic interest, as envisaged in Article 405 of CRR:

                                       A — Vertical slice (securitisation positions): ‘retention of no less than 5 % of the nominal value of each of the tranches sold or transferred to the investors’.

                                       V — Vertical slice (securitised exposures): retention of no less than 5 % of the credit risk of each of the securitised exposures, if the credit risk thus retained with respect to such securitised exposures always ranks pari passu with, or is subordinated to, the credit risk that has been securitised with respect to those same exposures.

                                       B — Revolving exposures: ‘in the case of securitisations of revolving exposures, retention of the originator's interest of no less than 5 % of the nominal value of the securitised exposures’.

                                       C — On-balance sheet: ‘retention of randomly selected exposures, equivalent to no less than 5 % of the nominal amount of the securitised exposures, where such exposures would otherwise have been securitised in the securitisation, provided that the number of potentially securitised exposures is no less than 100 at origination’.

                                       D — First loss: ‘retention of the first loss tranche and, if necessary, other tranches having the same or a more severe risk profile than those transferred or sold to investors and not maturing any earlier than those transferred or sold to investors, so that the retention equals in total no less than 5 % of the nominal value of the securitised exposures’.

                                       E — Exempted. This code shall be reported for those securitisations affected by provisions in Article 405(3) of CRR.

                                       N — Not applicable. This code shall be reported for those securitisations affected by provisions in Article 404 of CRR.

                                       U — In breach or unknown. This code shall be reported when the reporting does not know with certain which type of retention is being applied or in case of non-compliance.

                           090

                              % OF RETENTION AT REPORTING DATE

                           The retention of material net economic interest by the originator, sponsor or original lender of the securitisation shall be no less than 5 % (at origination date).
                           Notwithstanding Article 405(1) of CRR, measurement of retention at origination can typically be interpreted as being when the exposures were first securitised, and not when the exposures were first created (for instance, not when the underlying loans were first extended). Measurement of retention at origination means that 5 % is the retention percentage that is required at the point in time when such retention level was measured and the requirement fulfilled (for instance, when the exposures were first securitised); dynamic re-measurement and readjustment of the retained percentage throughout the life of the transaction is not required.
                           This column shall not be reported in case codes ‘E’ (exempted) or ‘N’ (not applicable) are reported under column 080 (Type of retention applied).

                           100

                              COMPLIANCE WITH THE RETENTION REQUIREMENT?

                           Article 405(1) of CRR.
                           Report the following abbreviations:

                                       Y-Yes;

                                       N-No.

                                 This column shall not be reported in case codes ‘E’ (exempted) or ‘N’ (not applicable) are reported under column 080 (Type of retention applied).

                           110

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

                           Report the following abbreviations:

                                       —

                                       ‘O’ for Originator;

                                       —

                                       ‘S’ for Sponsor;

                                       —

                                       ‘L’ for Original Lender;

                                       —

                                       ‘I’ for Investor.

                                 See definitions in Article 4(1)(13) (Originator) and Article 4(1)(14) (Sponsor) of CRR. Investors are assumed to be those institutions to which provisions in Articles 406 and 407of CRR apply.

                           120-130

                              NON ABCP PROGRAMS

                           Because of their special character because they comprise of several single securitisation positions, ABCP programs (defined in Article 242(9) of CRR) are exempted from reporting in columns 120 and 130.

                           120

                              ORIGINATION DATE (mm/yyyy)

                           The month and year of the origination date (i.e. cut-off or closing date of the pool) of the securitisation shall be reported according to the following format: ‘mm/yyyy’.
                           For each securitisation scheme the origination date cannot change between reporting dates. In the particular case of securitisation schemes backed by open pools, the origination date shall be the date of the first issuance of securities.
                           This piece of information shall be reported even when the reporting entity does not hold any positions in the securitisation.

                           130

                              TOTAL AMOUNT OF SECURITISED EXPOSURES AT ORIGINATION DATE

                           This column gathers the amount (according to original exposures pre conversion factors) of the securitised portfolio at the origination date.
                           In case of securitisation schemes backed by open pools the amount referring to the origination date of the first issuance of securities shall be reported. In the case of traditional securitisations no other assets of the securitisation pool shall be included. In the case of multi-seller securitisation schemes (i.e. with more than one originator) only the amount corresponding to the reporting entity's contribution in the securitised portfolio shall be reported. In the case of the securitisation of liabilities only the amounts issued by the reporting entity shall be reported.
                           This piece of information shall be reported even when the reporting entity does not hold any positions in the securitisation.

                           140-220

                              SECURITISED EXPOSURES

                           Columns 140 to 220 request information on several features of the securitised portfolio by the reporting entity.

                           140

                              TOTAL AMOUNT

                           Institutions shall report the value of the securitised portfolio at reporting date, i.e. the outstanding amount of the securitised exposures. In the case of traditional securitisations no other assets of the securitisation pool shall be included. In the case of multi-seller securitisation schemes (i.e. with more than one originator) only the amount corresponding to the reporting entity's contribution in the securitised portfolio shall be reported. In the case of securitisation schemes backed by closed pools (i.e. the portfolio of securitised assets cannot be enlarged after the origination date) the amount will progressively be reduced.
                           This piece of information shall be reported even when the reporting entity does not hold any positions in the securitisation.

                           150

                              INSTITUTION'S SHARE (%)

                           It shall be reported the institution's share (percentage with two decimals) at reporting date in the securitised portfolio. The figure to be reported in this column is, by default, 100 % except for multi-seller securitisation schemes. In that case the reporting entity shall report its current contribution to the securitised portfolio (equivalent to column 140 in relative terms).
                           This piece of information shall be reported even when the reporting entity does not hold any positions in the securitisation.

                           160

                              TYPE

                           This column gathers information on the type of assets (‘1’ to ‘8’) or liabilities (‘9’ and ‘10’) of the securitised portfolio. The institution must report one of the following number codes:

                                       1 — Residential mortgages;

                                       2 — Commercial mortgages;

                                       3 — Credit card receivables;

                                       4 — Leasing;

                                       5 — Loans to corporates or SMEs (treated as corporates);

                                       6 — Consumer loans;

                                       7 — Trade receivables;

                                       8 — Other assets;

                                       9 — Covered bonds;

                                       10 — Other liabilities.

                                 In case the pool of securitised exposures is a mix of the previous types, the institution shall indicate the most important type. In case of re-securitisations, the institution shall refer to the ultimate underlying pool of assets. Type ‘10’ (Other liabilities) includes treasury bonds and credit linked notes.
                           For securitisation schemes backed by closed pools the type cannot change between reporting dates.

                           170

                              APPROACH APPLIED (SA/IRB/MIX)

                           This column gathers information on the approach that at reporting date the institution would apply to the securitised exposures.
                           Report the following abbreviations:

                                       —

                                       ‘S’ for Standardised Approach;

                                       —

                                       ‘I’ for Internal Ratings Based Approach;

                                       —

                                       ‘M’ for a combination of both approaches (SA/IRB).

                                 If under SA, ‘P’ is reported in column 050 then the computation of own funds requirements shall be reported in the CR SEC SA template.
                           If under IRB, ‘P’ is reported in column 050 then the computation of own funds requirements shall be reported in the CR SEC IRB template.
                           If under combination of SA and IRB, ‘P’ is reported in column 050 then the computation of own funds requirements shall be reported in both the CR SEC SA and CR SEC IRB templates.
                           This piece of information shall be reported even when the reporting entity does not hold any positions in the securitisation. Nevertheless, this column does not apply to securitisations of liabilities. Sponsors shall not report this column.

                           180

                              NUMBER OF EXPOSURES

                           Article 261(1) of CRR.
                           This column is only compulsory for those institutions using the IRB approach to the securitisation positions (and, therefore, reporting ‘I’ in column 170). The institution shall report the effective number of exposures.
                           This column shall not be reported in case of securitisation of liabilities or when the own funds requirements are based on the securitised exposures (in case of securitisation of assets). This column shall not be fulfilled when the reporting entity does not hold any positions in the securitisation. This column shall not be fulfilled by investors.

                           190

                              COUNTRY

                           Report the code (ISO 3166-1 alpha-2) of the country of origin of the ultimate underlying of the transaction, i.e. the country of the immediate obligor of the original securitised exposures (look through). In case the pool of the securitisation consists of different countries, the institution shall indicate the most important country. If no country exceeds a 20 % threshold based on the amount of assets/liabilities, then ‘OT’ (other) shall be reported.

                           200

                              ELGD (%)

                           The exposure-weighted average loss-given-default (ELGD) shall only be reported by those institutions applying the Supervisory Formula Method (and, therefore, reporting ‘I’ in column 170). The ELGD is to be calculated as indicated in Article 262(1) of CRR.
                           This column shall not be reported in case of securitisation of liabilities or when the own funds requirements are based on the securitised exposures (in case of securitisation of assets). This column shall not be fulfilled either when the reporting entity does not hold any positions in the securitisation. Sponsors shall not report this column.

                           210

                              (-) 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.
                           This column gathers information on the value adjustments and provisions applied to the securitised exposures. This column shall not be reported in case of securitisation of liabilities.
                           This piece of information shall be reported even when the reporting entity does not hold any positions in the securitisation.
                           Sponsors shall not report this column.

                           220

                              OWN FUNDS REQUIREMENTS BEFORE SECURITISATION (%)

                           This column gathers information on the own funds requirements of the securitised portfolio in case there had been no securitisation plus the expected losses related to those risks (Kirb), as a percentage (with two decimals) on the total of securitised exposures at origination date. Kirb is defined in Article 242(4) of CRR.
                           This column shall not be reported in case of securitisation of liabilities. In case of the securitisation of assets, this piece of information shall be reported even when the reporting entity does not hold any positions in the securitisation.
                           Sponsors shall not report this column.

                           230-300

                              SECURITISATION STRUCTURE

                           This block of six columns gathers information on the structure of the securitisation according to on/off balance sheet positions, tranches (senior/mezzanine/first loss) and maturity.
                           In the case of multi-seller securitisations, for the first loss tranche only the amount corresponding or attributed to the reporting institution shall be reported.

                           230-250

                              ON-BALANCE SHEET ITEMS

                           This block of columns gathers information on on-balance sheet items broken down by tranches (senior/mezzanine/first loss).

                           230

                              SENIOR

                           All tranches that do not qualify as mezzanine or first loss shall be included in this category.

                           240

                              MEZZANINE

                           See Articles 243(3) (traditional securitisations) and 244 (3) (synthetic securitisations) of CRR.

                           250

                              FIRST LOSS

                           First loss tranche is defined in Article 242(15) of CRR.

                           260-280

                              OFF-BALANCE SHEET ITEMS AND DERIVATIVES

                           This block of columns gathers information on off-balance sheet items and derivatives broken down by tranches (senior/mezzanine/first loss).
                           The same criteria of classification among tranches used for on-balance sheet items shall be applied here.

                           290

                              FIRST FORESEEABLE TERMINATION DATE

                           The likely termination date of the whole securitisation in the light of its contractual clauses and the currently expected financial conditions. Generally, it would be the earliest of the following dates:

                                       (i)

                                       the date when a clean-up call (defined in Article 242(2) of CRR) might first be exercised taking into account the maturity of the underlying exposure(s) as well as their expected pre-payment rate or potential re-negotiation activities;

                                       (ii)

                                       the date on which the originator may first exercise any other call option embedded in the contractual clauses of the securitisation which would result in the total redemption of the securitisation.

                                 The day, month and year of the first foreseeable termination date shall be reported. The exact day shall be reported if this data is available, otherwise the first day of the month shall be reported.

                           300

                              LEGAL FINAL MATURITY DATE

                           The date upon which all principal and interest of the securitisation must be legally repaid (based on the transaction documentation).
                           The day, month and year of the legal final maturity date shall be reported. The exact day shall be reported if this data is available, otherwise the first day of the month shall be reported.

                           310-400

                              SECURITISATION POSITIONS: ORIGINAL EXPOSURE PRE CONVERSION FACTORS

                           This block of columns gathers information on the securitisation positions according to on/off balance sheet positions and the tranches (senior/mezzanine/first loss) at reporting date.

                           310-330

                              ON-BALANCE SHEET ITEMS

                           The same criteria of classification among tranches used for on-balance sheet items shall be applied here.

                           340-360

                              OFF-BALANCE SHEET ITEMS AND DERIVATIVES

                           The same criteria of classification among tranches used for off-balance sheet items shall be applied here.

                           370-400

                              MEMORANDUM ITEMS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES

                           This block of columns gathers additional information on the total off-balance sheet items and derivatives (which are already reported under a different breakdown in columns 340-360).

                           370

                              DIRECT CREDIT SUBSTITUTES (DCS)

                           This column applies to those securitisation positions held by the originator and guaranteed with direct credit substitutes (DCS).
                           According to Annex I of CRR the following full risk off-balance sheet items are regarded as DCS:

                                       —

                                          Guarantees having the character of credit substitutes.

                                       —

                                          Irrevocable standby letters of credit having the character of credit substitutes.

                           380

                              IRS/CRS

                           IRS stands for Interest Rate Swaps, whereas CRS stands for Currency Rate Swaps. These derivatives are listed in Annex II of CRR.

                           390

                              ELIGIBLE LIQUIDITY FACILITIES

                           Liquidity facilities (LF), defined in Article 242(3) of CRR must satisfy a list of six conditions established in Article 255(1) of CRR to be considered as eligible (regardless of the method applied by the institution -SA or IRB-).

                           400

                              OTHER (INCLUDING NON-ELIGIBLE LF)

                           This column is devoted to remaining off-balance sheet items such as non-eligible liquidity facilities (i.e. those LF that do not meet the conditions listed in Article 255(1) of CRR).

                           410

                              EARLY AMORTISATION: CONVERSION FACTOR APPLIED

                           Articles 242(12) and 256(5) (SA) and Article 265(1) (IRB) of CRR envisage a set of conversion factors to be applied to amount of the investors' interest (in order to calculate risk-weighted exposure amounts).
                           This column applies to securitisation schemes with early amortisation clauses (i.e. revolving securitisations).
                           According to Article 256(6) of CRR, the conversion figure to be applied shall be determined by the level of the actual three month average excess spread.
                           In the case of the securitisations of liabilities this column shall not be reported. This piece of information is related to row 100 in CR SEC SA and row 160 in the CR SEC IRB template.

                           420

                              (-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS

                           This piece of information is closely related to column 200 in the CR SEC SA template and column 180 in the CR SEC IRB template.
                           A negative figure shall be reported in this column.

                           430

                              TOTAL RISK WEIGHTED EXPOSURE AMOUNT BEFORE CAP

                           This column gathers information on the risk weighted exposure amount before cap applicable to the securitisation positions (i.e. in case of securitisation schemes with significant risk transfer). In case of securitisation schemes without significant risk transfer (i.e. risk weighted exposure amount computed according securitised exposures) no data shall be reported in this column.
                           In the case of the securitisations of liabilities this column shall not be reported.

                           440

                              TOTAL RISK WEIGHTED EXPOSURE AMOUNT AFTER CAP

                           This column gathers information on the risk weighted exposure amount after cap applicable to the securitisation positions (i.e. in case of securitisation schemes with significant risk transfer). In case of securitisation schemes without significant risk transfer (i.e. own funds requirements computed according securitised exposures) no data shall be reported in this column.
                           In the case of the securitisations of liabilities this column shall not be reported.

                           450-510

                              SECURITISATION POSITIONS — TRADING BOOK

                           450

                              CTP OR NON-CTP?

                           Report the following abbreviations:

                                       C — Correlation Trading Portfolio (CTP);

                                       N — Non-CTP

                           460-470

                              NET POSITIONS — LONG/SHORT

                           See columns 050/060 of MKR SA SEC or MKR SA CTP, respectively.

                           480

                              TOTAL OWN FUNDS REQUIREMENTS (SA) - SPECIFIC RISK

                           See column 610 of MKR SA SEC, or column 450 of MKR SA CTP, respectively.

                     4.   OPERATIONAL RISK TEMPLATES
               4.1.   C 16.00 – OPERATIONAL RISK (OPR)
               4.1.1.   General Remarks

                           114.

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

                           115.

                           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.

                           116.

                           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.

                           117.

                           By columns, this template presents information, for the three most recent years, on the amount of the relevant indicator of the banking activities subject to operational risk and on the amount of loans and advances (the latter only applicable in the case of ASA). Next, information on the amount of own funds requirement for operational risk is reported. 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.

                           118.

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

                           119.

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

                     4.1.2.   Instructions concerning specific positions

                           Columns

                           010-030

                              RELEVANT INDICATOR

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

                           040-060

                              LOANS AND ADVANCES (IN THE CASE OF ASA APPLICATION)

                           These columns shall be used to report the amounts of the loans and advances for business lines ‘Commercial banking’ and ‘Retail banking’, as referred to in Article 319(1) point (b) of CRR. These amounts shall be used to calculate the alternative relevant indicator that leads to the own funds requirements corresponding to the activities subject to ASA (Article 319(1) point (a) of CRR).
                           For the ‘commercial banking’ business line, securities held in the non-trading book shall also be included.

                           070

                              OWN FUND REQUIREMENT

                           The own fund requirement is calculated according to the approach used, following Articles 312 to 324 of CRR The resulting amount is reported in column 070.

                           071

                              TOTAL OPERATIONAL RISK EXPOSURE AMOUNT

                           Article 92(4) of CRR. Own funds requirements in column 070 multiplied by 12.5.

                           080

                              OF WHICH: DUE TO AN ALLOCATION MECHANISM

                           Article 18(1) of CRR (related to the inclusion, in the application referred to in Article 312(2) of CRR) of the methodology used for allocating operational risk capital between the different entities of the group and of whether and how diversification effects are intended to be factored in the risk measurement system used by a EU parent credit institution and its subsidiaries or jointly by the subsidiaries of an EU parent financial holding company or EU parent mixed financial holding company.

                           090-120

                              AMA MEMORANDUM ITEMS TO BE REPORTED IF APPLICABLE

                           090

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

                           The own funds requirement reported in column 090 is the one of column 070 but calculated before taking into account the alleviation effects due to expected loss, diversification and risk mitigation techniques (see below).

                           100

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

                           In column 100 the alleviation of own funds requirements due to expected loss captured in internal business practices (as referred to in Article 322(2) point (a) of CRR) is reported.

                           110

                              (-) ALLEVIATION OF OWN FUNDS REQUIREMENTS DUE TO DIVERSIFICATION

                           The diversification effect in column 110 is the difference between the sum of own funds requirements calculated separately for each operational risk class (i.e. a ‘perfect dependence’ situation) and the diversified own funds requirement calculated by taking into account correlations and dependencies (i.e. assuming less than ‘perfect dependence’ between the risk classes). The ‘perfect dependence’ situation occurs in the ‘default case’, that is when the institution does not use explicit correlations structure between the risk classes, hence the AMA capital is computed as the sum of the individual operational risk measures of the chosen risk classes. In this case the correlation between the risk classes is assumed of 100 % and the value in the column has to be set to zero. Conversely, when the institution computes an explicit correlations structure between risk classes, it has to include in this column the difference between the AMA capital as stemming from the ‘default case’ and that obtained after applying the correlations structure between the risk classes. The value reflects the ‘diversification capacity’ of the AMA model, that is the ability of the model to capture the not simultaneous occurrence of severe operational risk loss events. In the column 110 the amount by which the assumed correlation structure decreases the AMA capital relative to the assumption of 100 % correlation has to be reported.

                           120

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

                           In column 120 the impact of insurance and other risk transfer mechanisms according to Article 323(1) to (5) of CRR is reported.

                           Rows

                           010

                              BANKING ACTIVITIES SUBJECT TO BASIC INDICATOR APPROACH (BIA)

                           This row shall present the amounts corresponding to activities subject to the BIA to calculate the own funds requirement for operational risk (Articles 315 and 316 of CRR).

                           020

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

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

                           030-100

                              SUBJECT TO TSA

                           In the case of using the TSA, relevant indicator for each respective year shall be distributed in rows 030 to 100 amongst the business lines defined in Article 317, Table 2 of CRR. The mapping of activities into business lines shall follow the principles described in Article 318 of CRR.

                           110-120

                              SUBJECT TO ASA

                           Institutions using the ASA (Article 319 of CRR) shall report for the respective years the relevant indicator separately for each business line in the rows 030 to 050 and 080 to 100 and in the rows 110 and 120 for business lines ‘Commercial banking’ and ‘Retail banking’.
                           Rows 110 and 120 shall present the amount of relevant indicator of activities subject to ASA distinguishing between those corresponding to the business line ‘Commercial banking’ and those corresponding to the business line ‘Retail banking’ (Article 319 of CRR). There can be amounts for the rows corresponding to ‘Commercial banking’ and ‘Retail banking’ under the TSA (rows 060 and 070) as well as under the ASA rows 110 and 120 (e.g. if a subsidiary is subject to TSA whereas the parent entity is subject to ASA).

                           130

                              BANKING ACTIVITIES SUBJECT TO ADVANCED MEASUREMENT APPROACHES AMA

                           The relevant data for AMA institutions (Article 312 point 2 and Article 321 to 323 of CRR) shall be reported.
                           In the case of combined use of different approaches as indicated in Article 314 of CRR, information on relevant indicator for activities subject to AMA shall be reported. It is also the case for all other AMA banks.

                     4.2.   OPERATIONAL RISK: DETAILED INFORMATION ON LOSSES IN THE LAST YEAR (OPR DETAILS)
               4.2.1.   General Remarks

                           120.

                           Template C 17.01 (OPR DETAILS 1) summarises the information on the gross losses and loss recoveries registered by an institution in the last year according to event types and business lines. Template C 17.02 (OPR DETAILS 2) provides detailed information on the largest loss events in the last year.

                           121.

                           Operational risk losses that are related to credit risk and are subject to own funds requirements for credit risk (boundary credit-related operational risk events) are neither considered in template C 17.01 nor template C 17.02.

                           122.

                           In case of a combined use of different approaches for the calculation of own funds requirements for operational risk according to Article 314 CRR, losses and recoveries registered by an institution shall be reported in C 17.01 and C 17.02 irrespective of the approach applied to calculate own funds requirements.

                           123.

                           ‘Gross loss’ means a loss stemming from an operational risk event or event type — as referred to in Article 322(3)(b) of Regulation (EU) No 575/2013 — before recoveries of any type, without prejudice to ‘rapidly recovered loss events’ as defined below.

                           124.

                           ‘Recovery’ means an independent occurrence related to the original operational risk loss that is separate in time, in which funds or inflows of economic benefits are received from first or third parties, such as insurers or other parties. Recoveries are broken down into recoveries from insurance and other risk transfer mechanisms and direct recoveries.

                           125.

                           ‘Rapidly recovered loss events’ means operational risk events that lead to losses that are partly or fully recovered within five working days. In case of a rapidly recovered loss event, only the part of the loss that is not fully recovered (i.e. the loss net of the partial rapid recovery) shall be included into the gross loss definition. As a consequence, loss events that lead to losses that are fully recovered within five working days shall not be included into the gross loss definition, as well as into the OPR DETAILS reporting at all.

                           126.

                           ‘Date of accounting’ means the date when a loss or reserve/provision was first recognized in the Profit and Loss statement, against an operational risk loss. This date logically follows the ‘Date of occurrence’ (i.e. the date when the operational risk event happened or first began) and the ‘Date of discovery’ (i.e. the date on which the institution became aware of the operational risk event).

                           127.

                           Losses caused by a common operational risk event or by multiple events linked to an initial operational risk event generating events or losses (‘root-event’) are grouped. The grouped events shall be considered and reported as one event, and thus the related gross loss amounts respectively amounts of loss adjustments shall be summed up.

                           128.

                           The figures reported in June of the respective year are interim figures, while the final figures are reported in December. Therefore the figures in June have a six-month reference period (i.e. from 1 January to 30 June of the calendar year) while the figures in December have a twelve-month reference period (i.e. from 1 January to 31 December of the calendar year). Both for data reported as of June and December, ‘previous reporting reference periods’ means all reporting reference periods until and including the one ending at the preceding calendar year end.

                           129.

                           In order to verify the conditions envisaged by Article 5 (b) (2) (b) (i) of this Regulation, the institutions shall use the latest statistics as available in the Supervisory Disclosure webpage of the EBA to get ‘the sum of individual balance sheet totals of all institutions within the same Member State’. In order to verify the conditions envisaged by Article 5 (b) 2 (b) (iii), the gross domestic product at market prices as defined in point 8.89 of Annex A to Regulation (EU) No 549/2013 of the European Parliament and of the Council (ESA 2010) and published by Eurostat for the previous calendar year shall be used.

                     4.2.2.   C 17.01: Operational risk losses and recoveries by business lines and event types in the last year (OPR DETAILS 1)
               4.2.2.1.   General Remarks

                           130.

                           In template C 17.01, the information is presented by distributing the losses and recoveries above internal thresholds amongst business lines (as defined in Article 317, Table 2 of CRR including the additional business line ‘Corporate items’ as referred to in Article 322(3) point (b) CRR) and event types (as defined in Article 324 CRR), being possible that the losses corresponding to one event are distributed amongst several business lines.

                           131.

                           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.

                           132.

                           Rows present the business lines, and within each business line, information on the number of events (new events), the gross loss amount (new events), the number of events subject to loss adjustments, the loss adjustments relating to previous reporting periods, the maximum single loss, the sum of the five largest losses and the total loss recoveries (direct loss recoveries as well as recoveries from insurance and other risk transfer mechanisms).

                           133.

                           For the total business lines, data on the number of events and the gross loss amount is also requested for certain ranges based on set thresholds, 10 000, 20 000, 100 000, and 1 000 000. The thresholds are set in Euro amounts and are included for comparability purposes of the reported losses among institutions; therefore they do not necessarily relate with the minimum loss thresholds used for the internal loss data collection, to be reported in another section of the template.

                     4.2.2.2.   Instructions concerning specific positions

                           Columns

                           010-070

                              EVENT TYPES

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

                           080

                              TOTAL EVENT TYPES

                           In column 080, for each business line, institutions report the total ‘number of events (new events)’, the total of ‘gross loss amount (new events)’, the total ‘number of events subject to loss adjustments’, the total of ‘loss adjustments relating to previous reporting periods’, the ‘maximum single loss’, the ‘sum of the five largest losses’, the total of ‘total direct loss recovery’ and the total of ‘total recovery from insurance and other risk transfer mechanisms’.
                           Provided that the institution has identified the event types for all losses, column 080 shows the simple aggregation of the number of loss events, the total gross loss amounts, the total loss recovery amounts and the ‘loss adjustments relating to previous reporting periods’ reported in columns 010 to 070.
                           The ‘maximum single loss’ reported in column 080 is the maximum single loss within a business line and identical to the maximum of the ‘maximum single losses’ reported in columns 010 to 070, provided that the institution has identified the event types for all losses.
                           For the sum of the five largest losses, in column 080 the sum of the five largest losses within one business line is reported.

                           090-100

                              MEMORANDUM ITEM: THRESHOLD APPLIED IN DATA COLLECTION

                           Institutions report in the columns 090 and 100 the minimum loss thresholds they are using for the internal loss data collection in accordance with Article 322(3) point (c), last sentence CRR.
                           If the institution applies only one threshold for in each business line, only the column 090 shall be filled in.
                           In the case where there are different thresholds applied within the same regulatory business line, then the highest applicable threshold (column 100) shall be filled in as well.

                           Rows

                           010-880

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

                           For each business line as defined in Article 317(4), table 2 CRR, including the additional business line ‘Corporate items’ as referred to in Article 322(3) point (b) CRR, and for each event type, the institution shall report, according to the internal thresholds the following information: number of events (new events), gross loss amount (new events), the number of events subject to loss adjustments, loss adjustments relating to previous reporting periods, maximum single loss, sum of the five largest losses, total direct loss recovery and the total recovery from insurance and other risk transfer mechanisms.
                           For a loss event that affects more than one business line the ‘gross loss amount’ is distributed among all the affected business lines.
                           Institutions that calculate their own funds requirement according to BIA can report those losses for which the business line is not identified in rows 910-980 only.

                           010, 110, 210, 310, 410, 510, 610, 710, 810

                              Number of events (new events)

                           The number of events is the number of operational risk events for which gross losses were accounted for within the reporting reference period.
                           The number of events shall refer to ‘new events’, i.e. operational risk events

                                       (i)

                                       ‘accounted for the first time’ within the reporting reference period or

                                       (ii)

                                       ‘accounted for the first time’ within a previous reporting reference period, if the event had not been included in any previous supervisory report, e.g. because it was identified as operational risk event only in the current reporting reference period or because the accumulated loss attributable to that event (i.e. the original loss plus/minus all loss adjustments made in previous reporting reference periods) exceeded the internal data collection threshold only in the current reporting reference period.

                                 ‘New events’ do not include operational risk events ‘accounted for the first time’ within a previous reporting reference period, which had been included already in previous supervisory reports.

                           020, 120, 220, 320, 420, 520, 620, 720, 820

                              Gross loss amount (new events)

                           The gross loss amount is the gross loss amounts pertinent to operational risk events (e.g. direct charges, provisions, settlements). All losses related to a single event which are accounted for within the reporting reference period are summed up and considered as the gross loss for that event for that reporting reference period.
                           The reported gross loss amount shall refer to ‘new events’ as defined in the row above. For events ‘accounted for the first time’ within a previous reporting reference period which had not been included in any previous supervisory report, the total loss accumulated until the reporting reference date (i.e. the original loss plus/minus all loss adjustments made in previous reporting reference periods) shall be reported as the gross loss at the reporting reference date.
                           The amounts to be reported do not take into account obtained recoveries.

                           030, 130, 230, 330, 430, 530, 630, 730, 830

                              Number of loss events subject to loss adjustments

                           The number of loss events subject to loss adjustments is the number of operational risk events ‘accounted for the first time’ in previous reporting reference periods and already included in previous reports, for which loss adjustments were made in the current reporting reference period.
                           If more than one loss adjustment was made for an event within the reporting reference period, the sum of those loss adjustments shall be counted as one adjustment in the period.

                           040, 140, 240, 340, 440, 540, 640, 740, 840

                              Loss adjustments relating to previous reporting periods

                           Loss adjustments relating to previous reporting reference periods is the sum of the following elements (positive or negative):

                                       (i)

                                       the gross loss amounts pertinent to positive loss adjustments made within the reporting reference period (e.g. increase of provisions, linked loss events, additional settlements) of operational risk events ‘accounted for the first time’ and reported in previous reporting reference periods;

                                       (ii)

                                       the gross loss amounts pertinent to negative loss adjustments made within the reporting reference period (e.g. due to decrease of provisions) of operational risk events ‘accounted for the first time’ and reported in previous reporting reference periods.

                                 If more than one loss adjustment was made for an event within the reporting reference period, the amounts of all those loss adjustments are summed up, taking into account the sign of the adjustments (positive, negative). This sum is considered as the loss adjustment for that event for that reporting reference period.
                           If, due to a negative loss adjustment, the adjusted loss amount attributable to an event falls below the internal data collection threshold of the institution, the institution shall report the total loss amount for that event accumulated until the last time when the event was reported for a December reference date (i.e. the original loss plus/minus all loss adjustments made in previous reporting reference periods) with a negative sign instead of the amount of the negative loss adjustment itself.
                           The amounts to be reported do not take into account obtained recoveries.

                           050, 150, 250, 350, 450, 550, 650, 750, 850

                              Maximum single loss

                           The Maximum single loss is the larger of

                                       (i)

                                       the largest gross loss amount related to an event reported for the first time within the reporting reference period and

                                       (ii)

                                       the largest positive loss adjustment amount (as defined above) related to an event reported for the first time within a previous reporting reference period.

                                 The amounts to be reported do not take into account obtained recoveries.

                           060, 160, 260, 360, 460, 560, 660, 760, 860

                              Sum of the five largest losses

                           The sum of the five largest losses is the sum of the five largest amounts among

                                       (i)

                                       the gross loss amounts for events reported for the first time within the reporting reference period and

                                       (ii)

                                       the positive loss adjustment amounts (as defined for rows 040, 140, …, 840 above) relating to events reported for the first time within a previous reporting reference period. The amount which can qualify as one of the five largest ones is the amount of the loss adjustment itself, not the total loss associated with the respective event before or after the loss adjustment.

                                 The amounts to be reported do not take into account obtained recoveries.

                           070, 170, 270, 370, 470, 570, 670, 770, 870

                              Total direct loss recovery

                           Direct recoveries are all recoveries obtained except those which are subject to Article 323 CRR as reported in the row below.
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