Commission Implementing Regulation (EU) No 680/2014
of 16 April 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
(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, and in particular the fourth subparagraph of Article 99(5); the fourth subparagraph of Article 99(6); the third subparagraph of Article 101(4); the third subparagraph of Article 394(4); the fourth subparagraph of Article 415(3) and the third subparagraph of Article 430(2) thereof,
OJ L 176, 27.6.2013, p. 1.
Whereas:
(1) Without prejudice to the competent authorities' powers under Article 104 (1) (j) of Directive 2013/36/EU of the European Parliament and of the Council, with a view to increasing efficiency and reducing the administrative burden, a coherent reporting framework should be established on the basis of a harmonised set of standards.
Directive 2013/36/EU of the European Parliament and of the Council of 26 June 2013 on access to the activity of credit institutions and the prudential supervision of credit institutions and investment firms, amending Directive 2002/87/EC and repealing Directives 2006/48/EC and 2006/49/EC (OJ L 176, 27.6.2013, p. 338).
(2) The provisions in this Regulation are closely linked, since they deal with institutions' reporting requirements. To ensure coherence between those provisions, which should enter into force at the same time, and to facilitate a comprehensive view and compact access to them by persons subject to those obligations, it is desirable to include all related implementing technical standards required by Regulation (EU) No 575/2013 in a single Regulation.
(3) The nature and complexity of institutions' activities such as trading book or non-trading book and approaches used for credit risk determine the extent of the actual reporting obligations of institutions. In addition, and in accordance with Article 99 (5) of Regulation (EU) No 575/2013, the reporting burden to institutions should be proportionate and reduced frequencies of reporting of certain templates should be introduced. Further, in order to take into account the nature, scale and complexity of institutions, template-specific materiality thresholds, should be introduced before certain reporting requirements are triggered.
(4) Where reporting requirements are based on quantitative thresholds, in order to ensure a smooth transition to common supervisory reporting, template-specific entry and exit criteria should be introduced.
(5) Institutions applying an accounting year that is different from the calendar year should be allowed to adjust reporting reference dates and remittance dates for reporting financial information, in order to alleviate, for such institutions, the burden of preparing the accounts for two different periods.
(6) Financial information covers information on institutions' financial situation and potential systemic risks. The basic information on the financial situation is complemented with more detailed breakdowns to provide supervisors with information on risks of different activities. Institutions should therefore provide granular and uniform data especially on geographical and sectoral breakdowns and significant counterparties of exposures and funding in order to provide supervisory authorities with information on potential concentrations and build-ups of systemic risks.
(7) In order to ensure consistency and comparability of information, where competent authorities require institutions to report information on own funds by using International Financial Reporting Standards (IFRS), as applicable under Regulation (EC) No 1606/2002 of the European Parliament and of the Council, and extends this reporting requirement also to the reporting of financial information, institutions should report financial information in a manner similar to that of institutions preparing their consolidated accounts using IFRS, as applicable under Regulation (EC) No 1606/2002.
Regulation (EC) No 1606/2002 of the European Parliament and of the Council of 19 July 2002 on the application of international accounting standards (OJ L 243, 11.9.2002, p. 1).
(8) Similarly, in order to ensure consistency and comparability of information, where competent authorities require institutions using national accounting standards to report financial information by virtue of Article 99 (6), these institutions should report financial information in a manner similar to that of institutions using IFRS, as applicable under Regulation (EC) No 1606/2002, for reporting adjusted based on national accounting standards.
(9) As there is a multitude of different reporting requirements at national and Union level for purposes other than those established by Regulation (EU) No 575/2013, such as statistical data, monetary data, Pillar II data any rules on the common supervisory reporting can only be part of an overall reporting framework. Using one IT solution which applies to the overall reporting framework is more cost efficient compared to specifying different IT solutions for individual parts of that overall reporting framework. In order to avoid having to require institutions to report necessary information using one specific IT solution while applying other IT solutions for other reporting requirements, and with the view to avoiding unjustified implementation and operating costs, a Data Point Model and defined minimum precision requirements should be developed, so as to ensure that the different IT solutions in place produce harmonised data as well as reliable data quality. Further, in order to reduce the reporting burden for institutions, provided that the necessary requirements are fully met, competent authorities should be allowed to continue to define alternative presentations and data exchange formats currently also used for other reporting purposes. In that respect, competent authorities should be allowed to not require data points that can be derived from other data points included in the data point model, or data points referring to information that is already collected by the competent authority.
(10) Given the novelty of reporting requirements in some jurisdictions in relation to financial information and in relation to liquidity reporting requirements, and with the view to providing institutions with adequate time to implement those requirements in a manner that will produce data of high quality, a deferred application date should apply in relation to those reporting requirements.
(11) Given the first time application of common supervisory reporting in the Union and the need for institutions to adapt their reporting and IT systems to the common supervisory reporting requirements, institutions should have longer remittance dates for monthly reports during the first year of application of the common supervisory reporting.
(12) This Regulation is based on the draft implementing technical standards submitted by the European Banking Authority to the Commission.
(13) 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,
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).
HAS ADOPTED THIS REGULATION:

CHAPTER 1 SUBJECT MATTER AND SCOPE

Article 1 Subject matter and scope
This Regulation lays down uniform requirements in relation to supervisory reporting to competent authorities for the following areas:
(a) own funds requirements and financial information according to Article 99 of Regulation (EU) No 575/2013;
(b) losses stemming from lending collateralised by immovable property according to Article 101(4)(a) of Regulation (EU) No 575/2013;
(c) large exposures and other largest exposures according to Article 394(1) of Regulation (EU) No 575/2013;
(d) leverage ratio according to Article 430 of Regulation (EU) No 575/2013;
(e) liquidity Coverage requirements and Net Stable Funding requirements according to Article 415 of Regulation (EU) No 575/2013;
Substituted by Commission Implementing Regulation (EU) 2015/79 of 18 December 2014 amending 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 as regards asset encumbrance, single data point model and validation rules (Text with EEA relevance).
(f) asset encumbrance according to Article 100 of Regulation (EU) No 575/2013 ;
Inserted by Commission Implementing Regulation (EU) 2015/79 of 18 December 2014 amending 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 as regards asset encumbrance, single data point model and validation rules (Text with EEA relevance).
Substituted by Commission Implementing Regulation (EU) 2016/313 of 1 March 2016 amending Implementing Regulation (EU) No 680/2014 with regard to additional monitoring metrics for liquidity reporting (Text with EEA relevance).
(g) additional liquidity monitoring metrics according to Article 415(3)(b) of Regulation (EU) No 575/2013.
Inserted by Commission Implementing Regulation (EU) 2016/313 of 1 March 2016 amending Implementing Regulation (EU) No 680/2014 with regard to additional monitoring metrics for liquidity reporting (Text with EEA relevance).

CHAPTER 2 REPORTING REFERENCE AND REMITTANCE DATES AND REPORTING THRESHOLDS

Article 2 Reporting reference dates
1. Institutions shall submit information to competent authorities as it stands on the following reporting reference dates:
(a) Monthly reporting: on the last day of each month;
(b) Quarterly reporting: 31 March, 30 June, 30 September and 31 December;
(c) Semi-annual reporting: 30 June and 31 December;
(d) Annual reporting: 31 December.
2. Information submitted pursuant to the templates set out in Annex III and Annex IV according to the instructions in Annex V referring to a certain period shall be reported cumulatively from the first day of the accounting year to the reference date.
3. Where institutions are permitted by national laws to report their financial information based on their accounting year-end which deviates from the calendar year, reporting reference dates may be adjusted accordingly, so that reporting of financial information is done every three, six or twelve months from their accounting year-end, respectively.

Article 3 Reporting remittance dates
1. Institutions shall submit information to competent authorities by close of business of the following remittance dates:
(a) Monthly reporting: 15th calendar day after the reporting reference date;
(b) Quarterly reporting: 12 May, 11 August, 11 November and 11 February;
(c) Semi-annual reporting: 11 August and 11 February;
(d) Annual reporting: 11 February.
2. If the remittance day is a public holiday in the Member State of the competent authority to which the report is to be provided, or a Saturday or a Sunday, data shall be submitted on the following working day.
3. Where institutions report their financial information using adjusted reporting reference dates based on their accounting year-end as set out in Article 2 paragraph 3, the remittance dates may also be adjusted accordingly so that the same remittance period from the adjusted reporting reference date is maintained.
4. Institutions may submit unaudited figures. Where audited figures deviate from submitted unaudited figures, the revised, audited figures shall be submitted without undue delay. Unaudited figures are figures that have not received an external auditor's opinion whereas audited figures are figures audited by an external auditor expressing an audit opinion.
5. Other corrections to the submitted reports shall also be submitted to the competent authorities without undue delay.

Article 4 Reporting thresholds — entry and exit criteria
1. Institutions shall start reporting information subject to thresholds from the next reporting reference date where they have exceeded the threshold on two consecutive reporting reference dates.
2. For the first two reporting reference dates on which institutions have to comply with the requirements of this Regulation, institutions shall report the information subject to thresholds if they exceed the relevant thresholds on the same reporting reference date.
3. Institutions may stop reporting information subject to thresholds from the next reporting reference date where they have fallen below the relevant thresholds on three consecutive reporting reference dates.

CHAPTER 3 FORMAT AND FREQUENCY OF REPORTING ON OWN FUNDS, OWN FUNDS REQUIREMENTS AND FINANCIAL INFORMATION

SECTION 1 Format and frequency of reporting on own funds and own funds requirements

Article 5 Format and frequency of reporting on own funds and on own funds requirements for institutions on an individual basis, except for investment firms subject to article 95 and 96 of Regulation (EU) No 575/2013
In order to report information on own funds and on own funds requirements according to Article 99 of Regulation (EU) No 575/2013 on an individual basis, institutions shall submit all the information listed in paragraphs (a) and (b).
(a) Institutions shall submit the following information with a quarterly frequency:
(1) the information relating to own funds and own funds requirements as specified in templates 1 to 5 of Annex I, according to the instructions in Part II point 1 of Annex II;
(2) the information on credit risk and counterparty credit risk exposures treated under the Standardised Approach as specified in template 7 of Annex I, according to the instructions in Part II point 3.2 of Annex II;
(3) the information on credit risk and counterparty credit risk exposures treated under the Internal Rating Based Approach as specified in template 8 of Annex I, according to the instructions in Part II point 3.3 of Annex II;
(4) the information on the geographical distribution of exposures by country, as well as aggregated at a total level, as specified in template 9 of Annex I, according to the instructions in Part II point 3.4 of Annex II. With regard to the information specified in templates 9.1 and 9.2 in particular, information on the geographical distribution of exposures by country shall be reported where non-domestic original exposures in all ‘ non-domestic ’ countries in all exposures classes, as reported in row 850 of template 4 of Annex I, are equal or higher than 10 % of total domestic and non-domestic original exposures as reported in row 860 of template 4 of Annex I. For this purpose exposures shall be deemed to be domestic where they are exposures to counterparties located in the Member State where the institution is located. The entry and exit criteria of Article 4 shall apply;
Substituted by Commission Implementing Regulation (EU) 2018/1627 of 9 October 2018 amending Implementing Regulation (EU) No 680/2014 as regards prudent valuation for supervisory reporting (Text with EEA relevance).
(5) the information on equity exposures treated under the Internal Ratings Based Approach as specified in template 10 of Annex I, according to the instructions in Part II point 3.5 of Annex II;
(6) the information on settlement risk as specified in template 11 of Annex I, according to the instructions in Part II point 3.6 of Annex II;
(7) . . . . .
Deleted by Commission Implementing Regulation (EU) 2020/429 of 14 February 2020 amending 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 (Text with EEA relevance).
(8) the information on securitisation exposures specified in template 13.01 of Annex I, in accordance with the instructions in point 3.7 of Part II of Annex II;
Substituted by Commission Implementing Regulation (EU) 2020/429 of 14 February 2020 amending 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 (Text with EEA relevance).
(9) the information on own funds requirements and losses relating to operational risk as specified in template 16 of Annex I, according to the instructions in Part II point 4.1 of Annex II;
(10) the information on own funds requirements relating to market risk as specified in templates 18 to 24 of Annex I, according to the instructions in Part II point 5.1 to 5.7 of Annex II;
(11) the information on own funds requirements relating to credit valuation adjustment risk as specified in template 25 of Annex I, according to the instructions in Part II point 5.8 of Annex II;
(12) the information on prudent valuation specified in template 32 of Annex I in accordance with the instructions in Part II, point 6 of Annex II as follows:
(i) all institutions shall report the information specified in template 32.1 of Annex I in accordance with the instructions in Part II, point 6 of Annex II;
(ii) in addition to the reporting referred to in point (i), institutions that apply the core approach pursuant to Regulation (EU) 2016/101 shall also report the information specified in template 32.2 of Annex I in accordance with the instructions in Part II, point 6 of Annex II;
(iii) in addition to the requirements referred to in points (i) and (ii), institutions that apply the core approach pursuant to Regulation (EU) 2016/101 and which exceed the threshold referred to in Article 4(1) of that Regulation at their respective reporting level, shall also report the information specified in templates 32.3 and 32.4 of Annex I in accordance with the instructions in Part II, point 6 of Annex II.
For the purposes of point (a)(12), the entry and exit criteria of Article 4 shall not apply.
Inserted by Commission Implementing Regulation (EU) 2018/1627 of 9 October 2018 amending Implementing Regulation (EU) No 680/2014 as regards prudent valuation for supervisory reporting (Text with EEA relevance).
(b) Institutions shall submit the following information with a semi-annual frequency:
(1) the information on all securitisation exposures as specified in templates 14 and 14.01 of Annex I, in accordance with the instructions in point 3.9 of Part II of Annex II;
Institutions shall be exempted from submitting those securitisation details where they are part of a group in the same country in which they are subject to own funds requirements;
(2) 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;
Substituted by 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).
(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 7 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 7 of Part II of Annex 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 7 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.
Inserted by 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).

Article 6 Format and frequency of reporting on own funds and own funds requirements on a consolidated basis, except for groups which only consist of investment firms subject to articles 95 and 96 of Regulation (EU) No 575/2013
In order to report information on own funds and own funds requirements according to Article 99 of Regulation (EU) No 575/2013 on a consolidated basis, institutions in a member state shall submit:
(a) the information specified in Article 5 in the frequency specified therein but on a consolidated basis;
(b) the information specified in template 6 of Annex I according to the instructions provided in point 2 of Part II of Annex II regarding entities included in the scope of consolidation, with a semi-annual frequency.

Article 7 Format and frequency of reporting on own funds and own funds requirements for investment firms subject to Articles 95 and 96 Regulation (EU) No 575/2013 on an individual basis
1. In order to report information on own funds and on own funds requirements according to Article 99 of Regulation (EU) No 575/2013 on an individual basis, investment firms subject to Article 95 of Regulation (EU) No 575/2013 shall submit the information specified in templates 1 to 5 of Annex I, according to the instructions in point 1 of Part II of Annex II with a quarterly frequency.
2. In order to report information on own funds and own funds requirements according to Article 99 of Regulation (EU) No 575/2013 on an individual basis, investment firms subject to Article 96 of Regulation (EU) No 575/2013 shall submit the information specified in points (a) and (b) (1) of Article 5 of this Regulation with the frequency specified therein.

Article 8 Format and frequency of reporting on own funds and own funds requirements for groups which only consist of investment firms subject to Article 95 and 96 Regulation (EU) No 575/2013 on a consolidated basis
1. In order to report information on own funds and on own funds requirements according to Article 99 of Regulation (EU) No 575/2013 on a consolidated basis, investment firms of groups which consist only of investment firms subject to Article 95 of Regulation (EU) No 575/2013 shall submit the following information on a consolidated basis:
(a) the information on own funds and own funds requirements as specified in templates 1 to 5 of Annex I according to the instructions in point 1 of Part II of Annex II, with a quarterly frequency;
(b) the information on own funds and own funds requirements regarding entities included in the scope of consolidation as specified in template 6 of Annex I, according to the instructions in point 2 of Part II of Annex II, with a semi-annual frequency.
2. In order to report information on own funds and on own funds requirements according to Article 99 of Regulation (EU) No 575/2013 on a consolidated basis, investment firms of groups which consist of investment firms subject to both Article 95 and Article 96 as well as groups which consist only of investment firms subject to Article 96 of Regulation (EU) No 575/2013 shall submit the following information on a consolidated basis:
(a) the information specified in points (a) and (b) (1) of Article 5, with the frequency specified therein;
(b) the information regarding entities included in the scope of consolidation as specified in template 6 of Annex I, according to the instructions of point 2 of Part II of Annex II, with a semi-annual frequency.

SECTION 2 Format and frequency of reporting on financial information on a consolidated basis

Article 9 Format and frequency of reporting on financial information for institutions subject to Article 4 of Regulation (EC) No 1606/2002 and other credit institutions applying Regulation (EC) No 1606/2002 on a consolidated basis
1. In order to report financial information on a consolidated basis according to Article 99 (2) of Regulation (EU) No 575/2013, institutions established in a Member State shall submit the information specified in Annex III on a consolidated basis, according to the instructions in Annex V and the information specified in Annex VIII on a consolidated basis, according to the instructions in Annex IX.
2. The information referred to in paragraph 1 shall be submitted according to the following specifications:
(a) the information specified in Part 1 of Annex III with a quarterly frequency;
(b) the information specified in Part 3 of Annex III with a semi-annual frequency;
(c) the information specified in Part 4 of Annex III, with the exception of the information specified in template 47, with an annual frequency;
(d) the information specified in template 20 in Part 2 of Annex III with a quarterly frequency where the institution exceeds the threshold defined in the second sentence of point (4) of Article 5(a). The entry and exit criteria referred to in Article 4 shall apply;
(e) the information specified in template 21 in Part 2 of Annex III where tangible assets subject to operating leases are equal or higher than 10 % of total tangible assets as reported in template 1.1 in Part 1 of Annex III with a quarterly frequency. The entry and exit criteria referred to in Article 4 shall apply;
(f) the information specified in template 22 in Part 2 of Annex III where net fee and commission income is equal or higher than 10 % of the sum of net fee and commission income and net interest income as reported in template 2 in Part 1 of Annex III with a quarterly frequency. The entry and exit criteria referred to in Article 4 shall apply;
(g) the information specified in Annex VIII for exposures whose exposure value is larger than or equal to EUR 300 million but less than 10 % of the institution's eligible capital with a quarterly frequency;
(h) with a quarterly frequency, the information specified in templates 23 to 26 in Part 2 of Annex III where both of the following conditions are fulfilled:
(i) the institution is not a small and non-complex institution as defined in point (145) of Article 4(1) of Regulation (EU) No 575/2013;
(ii) the ratio between the institution’s gross carrying amount of non-performing loans and advances and the total gross carrying amount of loans and advances falling under the category of non-performing exposures as set out in section 17 of Part 2 of Annex V to this Regulation is equal to or higher than 5 %. For the purposes of this point, the ratio shall exclude loans and advances classified as held for sale, cash balances at central banks and other demand deposits in both the numerator and the denominator.
The entry and exit criteria referred to in Article 4 shall apply.
Inserted by Commission Implementing Regulation (EU) 2020/429 of 14 February 2020 amending 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 (Text with EEA relevance).
(i) with an annual frequency, the information specified in template 47 in Part 4 of Annex III where both of the conditions referred to in points (i) and (ii) of point (h) of this paragraph are fulfilled. The entry and exit criteria referred to in Article 4 shall apply.

Article 10 Format and frequency of reporting on financial information for credit institutions applying Regulation (EC) No 1606/2002 on a consolidated basis, by virtue of Article 99(3) Regulation (EU) No 575/2013
Where a competent authority has extended the reporting requirements of financial information on a consolidated basis to institutions in a Member State in accordance with Article 99(3) Regulation (EU) No 575/2013, institutions shall submit financial information according to Article 9.

Article 11 Format and frequency of reporting on financial information for institutions applying national accounting frameworks developed under Directive 86/635/EEC on a consolidated basis
1. Where a competent authority has extended the reporting requirements of financial information on a consolidated basis to institutions established in a Member State in accordance with Article 99(6) Regulation (EU) No 575/2013, institutions shall submit the information specified in Annex IV on a consolidated basis, according to the instructions in Annex V and the information specified in Annex VIII on a consolidated basis, according to the instructions in Annex IX.
2. The information referred to in paragraph 1 shall be submitted according to the following specifications:
(a) the information specified in Part 1 of Annex IV with a quarterly frequency;
(b) the information specified in Part 3 of Annex IV with a semi-annual frequency;
(c) the information specified in Part 4 of Annex IV, with the exception of the information specified in template 47, with an annual frequency;
(d) the information specified in template 20 in Part 2 of Annex IV with a quarterly frequency in the manner provided in point (4) of Article 5 (a). The entry and exit criteria referred to in Article 4 shall apply;
(e) the information specified in template 21 in Part 2 of Annex IV where tangible assets subject to operating leases are equal or higher than 10 % of total tangible assets as reported in template 1.1 in Part 1 of Annex IV with a quarterly frequency. The entry and exit criteria referred to in Article 4 shall apply;
(f) the information specified in template 22 in Part 2 of Annex IV where net fee and commission income is equal or higher than 10 % of the sum of net fee and commission income and net interest income as reported in template 2 in Part 1 of Annex IV with a quarterly frequency. The entry and exit criteria referred to in Article 4 shall apply;
(g) the information specified in Annex VIII for exposures whose exposure value is larger than or equal to EUR 300 million but less than 10 % of the institution's eligible capital with a quarterly frequency;
(h) with a quarterly frequency, the information specified in templates 23 to 26 in Part 2 of Annex IV where the conditions referred to in points (i) and (ii) of point (h) of Article 9(2) are fulfilled. The entry and exit criteria referred to in Article 4 shall apply;
(i) with an annual frequency, the information specified in template 47 in Part 4 of Annex IV where the conditions referred to in points (i) and (ii) of point (h) of Article 9(2) are fulfilled. The entry and exit criteria referred to in Article 4 shall apply.

CHAPTER 4 FORMAT AND FREQUENCY OF SPECIFIC REPORTING OBLIGATIONS ON LOSSES STEMMING FROM LENDING COLLATERALISED BY IMMOVABLE PROPERTY ACCORDING TO ARTICLE 101 OF REGULATION (EU) No 575/2013
Article 12 1. Institutions shall submit information as specified in Annex VI according to the instructions in Annex VII on a consolidated basis with a semi-annual frequency.
2. Institutions shall submit information as specified in Annex VI according to the instructions in Annex VII on an individual basis with a semi-annual frequency.
3. Branches in another Member State shall also submit to the competent authority of the host Member State information as specified in Annex VI according to the instructions in Annex VII related to that branch with a semi-annual frequency.

CHAPTER 5 FORMAT AND FREQUENCY OF REPORTING ON LARGE EXPOSURES ON AN INDIVIDUAL AND A CONSOLIDATED BASIS
Article 13 1. In order to report information on large exposures to clients and groups of connected clients according to Article 394(1) of Regulation (EU) No 575/2013 on an individual and a consolidated basis, institutions shall submit the information specified in Annex VIII according to the instructions in Annex IX, with a quarterly frequency.
2. In order to report information on the twenty largest exposures to clients or groups of connected clients according to the last sentence of Article 394(1) of Regulation (EU) No 575/2013 on a consolidated basis, institutions which are subject to Chapter 3 of Title II of Part Three of Regulation (EU) No 575/2013 shall submit the information specified in Annex VIII according to the instructions in Annex IX, with a quarterly frequency.
3. In order to report information on the ten largest exposures to institutions as well as on the ten largest exposures to unregulated financial entities according to Article 394(2) of Regulation (EU) No 575/2013 on a consolidated basis, institutions shall submit the information specified in Annex VIII according to the instructions in Annex IX, with a quarterly frequency.

CHAPTER 6 FORMAT AND FREQUENCY OF REPORTING ON LEVERAGE RATIO ON AN INDIVIDUAL AND A CONSOLIDATED BASIS
Article 14 1. In order to report information on the leverage ratio according to Article 430 (1) of Regulation (EU) No 575/2013 on an individual and a consolidated basis, institutions shall submit the information specified in Annex X according to the instructions in Annex XI, with a quarterly frequency.
2. The reporting of the data shall be based on the methodology used for the calculation of the leverage ratio as end of quarter leverage ratio.
Substituted by Commission Implementing Regulation (EU) 2016/428 of 23 March 2016 amending Implementing Regulation (EU) No 680/2014 laying down implementing technical standards with regard to supervisory reporting of institutions as regards the reporting of the Leverage Ratio (Text with EEA relevance).
3. Institutions are required to report the information referred to in paragraph 14 of Part II of Annex XI in the next reporting period, where any of the following conditions is met:
(a) the derivatives share referred to in paragraph 7 of Part II of Annex XI exceeds 1,5 %;
(b) the derivatives share referred to in paragraph 7 of Part II of Annex XI exceeds 2,0 %.
The entry criteria set out in Article 4 shall apply, except for point (b) of the first subparagraph of this paragraph where institutions start reporting information from the next reporting reference date where they have exceeded the relevant applicable threshold on one reporting reference date.
4. Institutions for which the total notional value of derivatives as defined in paragraph 9 of Part II of Annex XI exceeds EUR 10 billion shall report the information referred to in paragraph 14 of Part II of Annex XI, irrespective of whether their derivatives share fulfils the conditions referred to in paragraph 3.
The entry criteria set out in Article 4 shall not apply. Institutions shall start reporting information from the next reporting reference date where they have exceeded the relevant applicable threshold on one reporting reference date.
5. Institutions are required to report the information referred to in paragraph 15 of Part II of Annex XI in the next reporting period where any of the following conditions is met:
(a) the credit derivatives volume referred to in paragraph 10 of Part II of Annex XI exceeds EUR 300 million;
(b) the credit derivatives volume referred to in paragraph 10 of Part II of Annex XI exceeds EUR 500 million.
The entry criteria of Article 4 shall apply, except for point (b) where institutions shall start reporting information from the next reporting reference date where they have exceeded the relevant applicable threshold on one reporting reference date.
6. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Deleted by Commission Implementing Regulation (EU) 2016/428 of 23 March 2016 amending Implementing Regulation (EU) No 680/2014 laying down implementing technical standards with regard to supervisory reporting of institutions as regards the reporting of the Leverage Ratio (Text with EEA relevance).

CHAPTER 7 FORMAT AND FREQUENCY OF REPORTING ON LIQUIDITY AND ON STABLE FUNDING ON AN INDIVIDUAL AND A CONSOLIDATED BASIS

Article 15 Format and frequency of reporting on liquidity coverage requirement
1. In order to report information on the liquidity coverage requirement in accordance with Article 415 of Regulation (EU) No 575/2013 on an individual and consolidated basis, institutions shall apply the following:
(a) credit institutions shall submit the information specified in Annex XXIV according to the instructions in Annex XXV with a monthly frequency;
(b) all other institutions except those specified in point (a), shall submit the information specified in Annex XII according to the instructions in Annex XIII with a monthly frequency.
2. The information set out in Annexes XII and XXIV shall take into account the information submitted for the reference date and the information on the cash-flows of the institution over the following 30 calendar days.
Substituted by Commission Implementing Regulation (EU) 2016/322 of 10 February 2016 amending Implementing Regulation (EU) No 680/2014 laying down implementing technical standards with regard to supervisory reporting of institutions of the liquidity coverage requirement (Text with EEA relevance).
Substituted by Corrigendum to Commission Implementing Regulation (EU) 2016/322 of 10 February 2016 amending Implementing Regulation (EU) No 680/2014 laying down implementing technical standards with regard to supervisory reporting of institutions of the liquidity coverage requirement (Official Journal of the European Union L 64 of 10 March 2016).

Article 16 Format and frequency of reporting on stable funding
In order to report information on the stable funding according to Article 415 of Regulation (EU) No 575/2013 on an individual and consolidated basis, institutions shall submit the information specified in Annex XII according to the instructions in Annex XIII with a quarterly frequency.

CHAPTER 7a FORMAT AND FREQUENCY OF REPORTING ON ASSET ENCUMBRANCE ON AN INDIVIDUAL AND A CONSOLIDATED BASIS

Article 16a Format and frequency of reporting on asset encumbrance on an individual and a consolidated basis
1. In order to report information on asset encumbrance in accordance with Article 100 of Regulation (EU) No 575/2013 on an individual and a consolidated basis, institutions shall submit the information specified in Annex XVI to this Regulation according to the instructions set out in Annex XVII to this Regulation.
2. The information referred to in paragraph 1 shall be submitted according to the following specifications:
(a) the information specified in Parts A, B and D of Annex XVI with a quarterly frequency;
(b) the information specified in Part C of Annex XVI with an annual frequency;
(c) the information specified in Part E of Annex XVI with a semi-annual frequency.
3. Institutions shall not be required to report the information in Parts B, C or E of Annex XVI where all of the following conditions are met:
(a) the institution has total assets, as calculated in accordance with paragraph 10 of point 1.6 of Annex XVII, of less than EUR 30 billion;
(b) the asset encumbrance level of the institution, as calculated in accordance with paragraph 9 of point 1.6 of Annex XVII, is below 15 %.
4. Institutions shall only be required to report the information in Part D of Annex XVI where they issue the bonds referred to in the first subparagraph of Article 52(4) of Directive 2009/65/EC of the European Parliament and of the Council .
Directive 2009/65/EC of the European Parliament and of the Council of 13 July 2009 on the coordination of laws, regulations and administrative provisions relating to undertakings for collective investment in transferable securities (UCITS) ( OJ L 302, 17.11.2009, p. 32 ).

CHAPTER 7b FORMAT AND FREQUENCY OF REPORTING ON ADDITIONAL LIQUIDITY MONITORING METRICS ON AN INDIVIDUAL AND A CONSOLIDATED BASIS
Article 16b 1. In order to report information on additional liquidity monitoring metrics in accordance with Article 415(3)(b) of Regulation (EU) No 575/2013 on an individual and a consolidated basis, institutions shall submit all of the following information with a monthly frequency:
(a) the information specified in Annex XVIII in accordance with the instructions in Annex XIX;
(b) the information specified in Annex XX in accordance with the instructions in Annex XXI ;
(c) the information specified in Annex XXII in accordance with the instructions in Annex XXIII.
2. By way of derogation from paragraph 1, an institution may report the information on additional liquidity monitoring metrics with a quarterly frequency where all of the following conditions are met:
(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;
(b) the ratio of the individual balance sheet total of the institution to the sum of individual balance sheet totals of all institutions in the respective Member State is below 1 % for two consecutive years preceding the year of reporting;
(c) the institution has total assets, calculated in accordance with Council Directive 86/635/EEC , of less than EUR 30 billion.
Council Directive 86/635/EEC of 8 December 1986 on the annual accounts and consolidated accounts of banks and other financial institutions ( OJ L 372, 31.12.1986, p. 1 ).
For the purposes of point (b), balance sheet total figures for calculating the ratio shall be based on year-end audited figures for the year before the year preceding the reporting reference date.
3. For the purposes of the obligations set out in paragraphs 1 and 2, the first month for which information on additional liquidity monitoring metrics is to be reported shall be April 2016.

CHAPTER 8 IT SOLUTIONS FOR THE SUBMISSION OF DATA FROM INSTITUTIONS TO COMPETENT AUTHORITIES
Article 17 1. Institutions shall submit the information referred to in this Regulation in the data exchange formats and representations specified by competent authorities, respecting the data point definitions included in the single data point model referred to in Annex XIV and the validation rules referred to in Annex XV as well as the following specifications:
(a) information not required or not applicable shall not be included in a data submission;
(b) numeric values shall be submitted as facts according to the following:
(i) data points with the data type ‘ Monetary ’ shall be reported using a minimum precision equivalent to thousands of units;
(ii) data points with the data type ‘ Percentage ’ shall be expressed as per unit with a minimum precision equivalent to four decimals;
(iii) data points with the data type ‘ Integer ’ shall be reported using no decimals and a precision equivalent to units.
2. The data submitted by the institutions shall be associated with the following information:
(a) reporting reference date and reference period;
(b) reporting currency;
(c) accounting standard;
(d) identifier of the reporting institution;
(e) level of application as individual or consolidated.

CHAPTER 9 TRANSITIONAL AND FINAL PROVISIONS

Article 18 Transitional period
The remittance date for data with a quarterly reporting frequency relating to the reference date 31 March 2014 for information to be reported shall be 30 June 2014 at the latest.
For the period from 31 March 2014 to 30 April 2014 as a deviation from point (a) of Article 3(1) the reporting remittance date relating to monthly reporting shall be 30 June 2014.
For the period from 31 May 2014 to 31 December 2014 as a deviation from point (a) of Article 3(1) the reporting remittance date relating to monthly reporting shall be the thirtieth calendar day after the reporting reference date
In respect of information to be reported pursuant to Article 16a, the first reporting reference date shall be 31 December 2014 .
Without prejudice to Article 2, the first remittance date for templates 18 and 19 in Annex III shall be 31 December 2014 . Rows and columns of templates 6, 9.1, 20.4, 20.5, and 20.7 in Annex III referring to forborne exposures and to non-performing exposures shall be completed for the remittance date 31 December 2014 .
By way of derogation from Article 3(1)(a), for the months from April 2016 to October 2016 inclusive, the reporting remittance date relating to the monthly reporting of the additional liquidity monitoring metrics shall be the thirtieth calendar day after the reporting reference date.
For the period from 10 September 2016 to 10 March 2017 , as a deviation from point (a) of Article 3(1), the reporting remittance date relating to the monthly reporting of the LCR for credit institutions shall be the 30th calendar day after the reporting reference date.
Inserted by Commission Implementing Regulation (EU) 2015/227 of 9 January 2015 amending 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 (Text with EEA relevance).
Inserted by Commission Implementing Regulation (EU) 2016/322 of 10 February 2016 amending Implementing Regulation (EU) No 680/2014 laying down implementing technical standards with regard to supervisory reporting of institutions of the liquidity coverage requirement (Text with EEA relevance).

Article 19 Entry into Force
This Regulation shall enter into force on the day following that of its publication in the Official Journal of the European Union.
This Regulation shall apply from 1 January 2014.
Articles 9, 10 and 11 shall apply from 1 July 2014.
Article 15 shall apply from 1 March 2014.
Article 16a shall apply from 1 December 2014 .
This Regulation shall be binding in its entirety and directly applicable in all Member States.

ANNEX I REPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS

ANNEX I Table 1: rows 1 - 50

C 01.00 – OWN FUNDS (CA1)
ANNEX I Table 2: rows 1 - 101

C 02.00 – OWN FUNDS REQUIREMENTS (CA2)
ANNEX I Table 3: rows 1 - 78

C 03.00 – CAPITAL RATIOS AND CAPITAL LEVELS (CA3)
ANNEX I Table 4: rows 1 - 17

C 04.00 – MEMORANDUM ITEMS (CA4)
ANNEX I Table 5: rows 1 - 128

C 05.01 – TRANSITIONAL PROVISIONS (CA5.1)
ANNEX I Table 6: rows 1 - 62

C 05.02 – GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUING STATE AID (CA5.2)
ANNEX I Table 7: rows 1 - 17

C 06.01 – GROUP SOLVENCY: INFORMATION ON AFFILIATES – TOTAL (GS TOTAL)
ANNEX I Table 8: rows 1 - 6

C 06.02 – GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS)
ANNEX I Table 9: rows 1 - 7

C 07.00 – CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: STANDARDISED APPROACH TO CAPITAL REQUIREMENTS (CR SA)
SA Exposure class
ANNEX I Table 10: rows 1 - 41

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:
ANNEX I Table 11: rows 1 - 27

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:
ANNEX I Table 12: rows 1 - 6

C 09.01 – GEOGRAPHICAL BREAKDOWN OF EXPOSURES BY RESIDENCE OF THE OBLIGOR: SA EXPOSURES (CR GB 1)
Country:
ANNEX I Table 13: rows 1 - 23

C 09.02 – GEOGRAPHICAL BREAKDOWN OF EXPOSURES BY RESIDENCE OF THE OBLIGOR: IRB EXPOSURES (CR GB 2)
Country:
ANNEX I Table 14: rows 1 - 19

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:
ANNEX I Table 15: rows 1 - 23

C 10.01 – CREDIT RISK: EQUITY – IRB APPROACHES TO CAPITAL REQUIREMENTS (CR EQU IRB 1)
ANNEX I Table 16: rows 1 - 13

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)
ANNEX I Table 18: rows 1 - 14

C 13.01 – CREDIT RISK: SECURITISATIONS (CR SEC)
ANNEX I Table 19: rows 1 - 73

C 14.00 – DETAILED INFORMATION ON SECURITISATIONS (SEC Details)
ANNEX I Table 20: rows 1 - 6

C 14.01 – DETAILED INFORMATION ON SECURITISATIONS BY APPROACH (SEC Details Approach)
Approach:
ANNEX I Table 21: rows 1 - 7

C 16.00 – OPERATIONAL RISK (OPR)
ANNEX I Table 22: rows 1 - 18

C 17.01 – OPERATIONAL RISK: LOSSES AND RECOVERIES BY BUSINESS LINES AND LOSS EVENT TYPES IN THE LAST YEAR (OPR DETAILS 1)
ANNEX I Table 23: rows 1 - 95

C 17.02 – OPERATIONAL RISK: LARGE LOSS EVENTS (OPR DETAILS 2)
ANNEX I Table 24: rows 1 - 4

C 18.00 – MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS (MKR SA TDI)
Currency:
ANNEX I Table 25: rows 1 - 49

C 19.00 – MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS (MKR SA SEC)
ANNEX I Table 26: rows 1 - 17

C 20.00 – MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN THE CORRELATION TRADING PORTFOLIO (MKR SA CTP)
ANNEX I Table 27: rows 1 - 17

C 21.00 – MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES (MKR SA EQU)
National market:
ANNEX I Table 28: rows 1 - 18

C 22.00 – MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK (MKR SA FX)
ANNEX I Table 29: rows 1 - 54

C 23.00 – MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES (MKR SA COM)
ANNEX I Table 30: rows 1 - 19

C 24.00 – MARKET RISK INTERNAL MODELS (MKR IM)
ANNEX I Table 31: rows 1 - 15

C 25.00 – CREDIT VALUE ADJUSTMENT RISK (CVA)
ANNEX I Table 32: rows 1 - 7

C 32.01 – PRUDENT VALUATION: FAIR-VALUED ASSETS AND LIABILITIES (PRUVAL 1)
ANNEX I Table 33: rows 1 - 24

C 32.02 – PRUDENT VALUATION: CORE APPROACH (PRUVAL 2)
ANNEX I Table 34: rows 1 - 25

C 32.03 – PRUDENT VALUATION: MODEL RISK AVA (PRUVAL 3)
ANNEX I Table 35: rows 1 - 4

C 32.04 – PRUDENT VALUATION: CONCENTRATED POSITIONS AVA (PRUVAL 4)
RANK	RISK CATEGORY	PRODUCT	UNDERLYING	CONCENTRATED POSITION SIZE	SIZE MEASURE	MARKET VALUE	PRUDENT EXIT PERIOD	CONCENTRATED POSITIONS AVA	CONCENTRATED POSITION FAIR VALUE ADJUSTMENT	IPV DIFFERENCE
0005	0010	0020	0030	0040	0050	0060	0070	0080	0090	0100
										

C 33.00 – GENERAL GOVERNMENTS EXPOSURES BY COUNTRY OF THE COUNTERPARTY (GOV)
Country:
ANNEX I Table 37: rows 1 - 31

ANNEX II REPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS
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 this Implementing Regulation.
3. Institutions shall report only those templates that are relevant depending on the approach used for determining own funds requirements.

1.2. NUMBERING CONVENTION
4. The document follows the labelling convention set in points 5 to 8, when referring to the columns, rows and cells of the templates. Those numerical codes are extensively used in the validation rules.
5. The following general notation is followed in the instructions: {Template; Row; Column}.
6. In the case of validations inside a template, in which only data points of that template are used, notations do not refer to a template: {Row; Column}.
7. In the case of templates with only one column, only rows are referred to. {Template; Row}
8. An asterisk sign is used to express that the validation is done for the rows or columns specified before.

1.3. 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.

1.4. ABBREVIATIONS
9a. For the purposes of this Annex, Regulation (EU) No 575/2013 of the European Parliament and of the Council is referred to as ‘CRR’, Directive 2013/36/EU of the European Parliament and of the Council is referred to as ‘CRD’, Directive 2013/34/EU of the European Parliament and of the Council is referred to as ‘AD’ and Council Directive 86/635/EEC is referred to as ‘BAD’.
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 ( OJ L 176, 27.6.2013, p. 1 ).
Directive 2013/36/EU of the European Parliament and of the Council of 26 June 2013 on access to the activity of credit institutions and the prudential supervision of credit institutions and investment firms, amending Directive 2002/87/EC and repealing Directives 2006/48/EC and 2006/49/EC ( OJ L 176 27.6.2013, p. 338 ).
Directive 2013/34/EU of the European Parliament and of the Council on the annual financial statements, consolidated financial statements and related reports of certain types of undertakings, amending Directive 2006/43/EC of the European Parliament and of the Council and repealing Council Directives 78/660/EEC and 83/349/EEC ( OJ L 182, 29.6.2013, p. 19 ).
Council Directive 86/635/EEC of 8 December 1986 on the annual accounts and consolidated accounts of banks and other financial institutions ( OJ L 372, 31.12.1986, p. 1 ).
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 the application of CRR and CRD transitional provisions and is structured 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 the application of CRR and CRD transitional provisions per type of capital;
(b) CA2 template summarises the total risk exposures amounts as defined in Article 92(3) CRR;
(c) CA3 template contains the ratios for which CRR states a minimum level, and some other related data;
(d) CA4 template contains memorandums items needed, among others, for calculating items in CA1 as well as information with regard to CRD capital buffers;
(e) CA5 template contains the data needed for calculating the effect of the application of CRR transitional provisions in own funds. CA5 will cease to exist once those transitional provisions expire.
11. The templates shall be used by all reporting entities, irrespective of the accounting standards followed, although some items in the numerator are specific for entities applying IAS/IFRS-type valuation rules. Generally, the information in the denominator is linked to the final results reported in the correspondent templates for the calculation of the total risk exposure amount.
12. The total own funds consist of different types of capital: Tier 1 capital (T1), which is the sum of Common Equity Tier 1 capital (CET1) and Additional Tier 1 capital (AT1) as well as Tier 2 capital (T2).

13. The application of CRR and CRD transitional provisions is treated as follows in CA templates:
(a) The items in CA1 are generally gross of transitional adjustments. That means that figures in CA1 items are calculated in accordance with the final provisions (i.e. as if there were no transitional provisions), with the exception of items summarizing the effect of those transitional provisions. For each type of capital (i.e. CET1; AT1 and T2), there are three different items in which all the adjustments due to those transitional provisions are included.
(b) Transitional provisions may also affect the AT1 and the T2 shortfall (i.e. AT1 or T2 the excess of deduction, regulated in point (j) of Article 36(1) and point (e) of Article 56 CRR respectively), and thus the items containing those shortfalls may indirectly reflect the effect of those transitional provisions.
(c) Template CA5 is exclusively used for reporting the effect due to the application of the CRR transitional provisions.

14. The treatment of Pillar II requirements can be different within the Union (Article 104(2) CRD has to be transposed into national regulation). Only the impact of Pillar II requirements on the solvency ratio or the target ratio shall be included in the solvency reporting required under 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. That cell has no link via validation rules to the capital ratios of the CA3 template and reflects Article 104(2) CRD which explicitly mentions additional own funds requirements as one possibility for Pillar II decisions.

1.2. C 01.00 – OWN FUNDS (CA1)

1.2.1. Instructions concerning specific positions

ANNEX II Table 1: rows 1 - 101

1.3. C 02.00 – OWN FUNDS REQUIREMENTS (CA2)

1.3.1. Instructions concerning specific positions

ANNEX II Table 2: rows 1 - 78

1.4. C 03.00 – CAPITAL RATIOS AND CAPITAL LEVELS (CA3)

1.4.1. Instructions concerning specific positions
Rows	
010	1. CET1 Capital ratio Point (a) of Article 92(2) CRR The CET1 capital ratio is the CET1 capital of the institution expressed as a percentage of the total risk exposure amount.
020	2. 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 point (a) of Article 92(1) CRR ( 4,5  %), i.e. without taking into account the capital buffers and transitional provisions on the ratio.
030	3. T1 Capital ratio Point (b) of Article 92(2) CRR The T1 capital ratio is the T1 capital of the institution expressed as a percentage of the total risk exposure amount.
040	4. 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 point (b) of Article 92(1) CRR (6 %), i.e. without taking into account the capital buffers and transitional provisions on the ratio.
050	5. Total capital ratio Point (c) of Article 92(2) CRR The total capital ratio is the own funds of the institution expressed as a percentage of the total risk exposure amount.
060	6. 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 point (c) of Article 92(1) CRR (8 %), i.e. without taking into account the capital buffers and transitional provisions on the ratio.
130	13. Total SREP capital requirement (TSCR) ratio The sum of (i) and (ii) as follows: (i) the total capital ratio (8 %) as specified in point (c) of Article 92(1) CRR; (ii) the additional own funds requirements (Pillar 2 Requirements – P2R) ratio determined in accordance with the criteria specified in the EBA Guidelines on common procedures and methodologies for the supervisory review and evaluation process and supervisory stress testing (EBA SREP GL). This item shall reflect the total SREP capital requirement (TSCR) ratio as communicated to the institution by the competent authority. The TSCR is defined in Section 1.2 of the EBA SREP GL. Where no additional own funds requirements were communicated by the competent authority, only point (i) shall be reported.
140	13* TSCR: to be made up of CET1 capital The sum of (i) and (ii) as follows: (i) the CET1 capital ratio ( 4,5  %) as per point (a) of Article 92(1) CRR; (ii) the part of the P2R ratio, referred to in point (ii) of row 130, which is required by the competent authority to be held in the form of CET1 capital. Where no additional own funds requirements, to be held in the form of CET1 capital, were communicated by the competent authority, only point (i) shall be reported.
150	13** TSCR: to be made up of Tier 1 capital The sum of (i) and (ii) as follows: (i) the Tier 1 capital ratio (6 %) as per point (b) of Article 92(1) CRR; (ii) the part of P2R ratio, referred to in point (ii) of row 130, which is required by the competent authority to be held in the form of Tier 1 capital. Where no additional own funds requirements, to be held in the form of Tier 1 capital, were communicated by the competent authority, then only point (i) shall be reported.
160	14. Overall capital requirement (OCR) ratio The sum of (i) and (ii) as follows: (i) the TSCR ratio referred to in row 130; (ii) to the extent it is legally applicable, the combined buffer requirement ratio referred to in point (6) of Article 128 CRD. This item shall reflect the Overall capital requirement (OCR) ratio as defined in Section 1.2 of the EBA SREP GL. Where no buffer requirement is applicable, only point (i) shall be reported.
170	14* OCR: to be made up of CET1 capital The sum of (i) and (ii) as follows: (i) the TSCR ratio to be made up of CET1 capital referred to in row 140; (ii) to the extent it is legally applicable, the combined buffer requirement ratio referred to in point (6) of Article 128 CRD. Where no buffer requirement is applicable, only point (i) shall be reported.
180	14** OCR: to be made up of Tier 1 capital The sum of (i) and (ii) as follows: (i) the TSCR ratio to be made up of Tier 1 capital referred to in row 150; (ii) to the extent it is legally applicable, the combined buffer requirement ratio referred to in point (6) of Article 128 CRD. Where no buffer requirement is applicable, only point (i) shall be reported.
190	15. Overall capital requirement (OCR) and Pillar 2 Guidance (P2G) ratio The sum of (i) and (ii) as follows: (i) the OCR ratio referred to in row 160; (ii) where applicable, the Pillar 2 Guidance (P2G) as defined in the EBA SREP GL. P2G shall be included only if communicated to the institution by the competent authority. Where no P2G is communicated by the competent authority, only point (i) shall be reported.
200	15* OCR and P2G: to be made up of CET1 capital The sum of (i) and (ii) as follows: (i) the OCR ratio to be made up of CET1 capital referred to in row 170; (ii) where applicable, the part of P2G, referred to in point (ii) in row 190, which is required by the competent authority to be held in the form of CET1 capital. P2G shall be included only if communicated to the institution by the competent authority. Where no P2G is communicated by the competent authority, only point (i) shall be reported.
210	15** OCR and P2G: to be made up of Tier 1 capital The sum of (i) and (ii) as follows: (i) the OCR ratio to be made up of Tier 1 capital referred to in row 180; (ii) where applicable, the part of P2G, referred to in point (ii) in row 190, which is required by the competent authority to be held in the form of Tier 1 capital. P2G shall be included only if communicated to the institution by the competent authority. Where no P2G is communicated by the competent authority, only point (i) shall be reported.

1.5. C 04.00 – MEMORANDUM ITEMS (CA4)

1.5.1. Instructions concerning specific positions

ANNEX II Table 4: rows 1 - 116

1.6. TRANSITIONAL PROVISIONS AND GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUTING STATE AID (CA5)

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

16. CA5 is structured as follows:
(a) Template 5.1 summarises the total adjustments which need to be made to the different components of own funds (reported in CA1 in accordance with the final provisions) as a consequence of the application of the transitional provisions. The elements of this template are presented as ‘ adjustments ’ to the different capital components in CA1, in order to reflect in own funds components the effects of the transitional provisions.
(b) Template 5.2 provides further details on the calculation of those grandfathered instruments which do not constitute state aid.
17. Institutions shall report in the first four columns the adjustments to Common Equity Tier 1 capital, Additional Tier 1 capital and Tier 2 capital as well as the amount to be treated as risk weighted assets. Institutions are also required to report the applicable percentage in column 050 and the eligible amount without the recognition of transitional provisions in column 060.
18. Institutions shall only report elements in CA5 during the period where transitional provisions laid down in Part Ten CRR apply.
19. Some of the transitional provisions require a deduction from Tier 1. If this is the case the residual amount of a deduction or deductions is applied to Tier 1 and there is insufficient AT1 to absorb this amount then the excess shall be deducted from CET1.

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

1.6.2.1. 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) CRR due to transitional provisions. The amounts reported shall consider the application of provisions of Chapter 2 or 3 of Title II of Part Three or of Title IV of Part Three in accordance with Article 92(4) CRR. That means that transitional amounts subject to Chapter 2 or 3 of Title II of Part Three shall be reported as risk weighted exposure amounts, whereas transitional amounts subject to Title IV of Part Three shall represent the own funds requirements multiplied by 12,5 . Whereas columns 010 to 030 have a direct link to the CA1 template, the adjustments to the total risk exposure amount do not have a direct link to the relevant templates for credit risk. If there are adjustments stemming from the transitional provisions to the total risk exposure amount, those adjustments shall be included directly in the CR SA, CR IRB, CR EQU IRB, MKR SA TDI, MKR SA EQU or MKR IM. Additionally, those effects shall be reported in column 040 of CA5.1. As a consequence, those amounts shall be memorandum items only.
050	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.

ANNEX II Table 6: rows 1 - 60

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 (Articles 484 to 491 CRR).

1.6.3.1. Instructions concerning specific positions
Columns	
010	Amount of instruments plus related share premium Paragraphs 3, 4 and 5 of Article 484 CRR Instruments which are eligible for each respective row, including their related share premiums.
020	Base for calculating the limit Paragraphs 2, 3 and 4 of Article 486 CRR
030	Applicable percentage Article 486(5) CRR
040	Limit Paragraphs 2 to 5 of Article 486 CRR
050	(-) Amount that exceeds the limits for grandfathering Paragraphs 2 to 5 of Article 486 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 CA5.1.
Rows	
010	1. Instruments that qualified for point (a) of Article 57 of 2006/48/EC Article 484(3) 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 Directive 2006/48/EC, subject to the limit of Article 489 CRR Article 484(4) CRR
030	2.1. Total instruments without a call or an incentive to redeem Article 484(4) and Article 489 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 CRR
050	2.2.1. Instruments with a call exercisable after the reporting date, and which meet the conditions in Article 52 CRR after the date of effective maturity Article 489(3) and point (a) of Article 491 CRR The amount to be reported shall include the related share premium accounts.
060	2.2.2. Instruments with a call exercisable after the reporting date, and which do not meet the conditions in Article 52 CRR after the date of effective maturity Article 489(5) and point (a) of Article 491 CRR The amount to be reported shall include the related share premium accounts.
070	2.2.3. Instruments with a call exercisable prior to or on 20 July 2011 , and which do not meet the conditions in Article 52 CRR after the date of effective maturity Article 489(6) and point (c) of Article 491 CRR The amount to be reported shall include the related share premium accounts
080	2.3. Excess on the limit of CET1 grandfathered instruments Article 487(1) CRR The excess on the limit of CET1 grandfathered instruments may be treated as instruments which can be grandfathered as AT1 instruments.
090	3. Items that qualified for points (e), (f), (g) or (h) of Article 57 of Directive 2006/48/EC, subject to the limit of Article 490 CRR Article 484(5) CRR
100	3.1. Total items without an incentive to redeem Article 490 CRR
110	3.2. Grandfathered items with an incentive to redeem Article 490 CRR
120	3.2.1. Items with a call exercisable after the reporting date, and which meet the conditions in Article 63 CRR after the date of effective maturity Article 490(3) and point (a) of Article 491 CRR The amount to be reported shall include the related share premium accounts.
130	3.2.2. Items with a call exercisable after the reporting date, and which do not meet the conditions in Article 63 CRR after the date of effective maturity Article 490(5) and point (a) of Article 491 CRR The amount to be reported shall include the related share premium accounts.
140	3.2.3. Items with a call exercisable prior to or on 20 July 2011 , and which do not meet the conditions in Article 63 CRR after the date of effective maturity Article 490(6) and point (c) of Article 491 CRR The amount to be reported shall include the related share premium accounts.
150	3.3. Excess on the limit of AT1 grandfathered instruments Article 487(2) CRR The excess on the limit of AT1 grandfathered instruments may be treated as instruments which can be grandfathered as T2 instruments.

2. 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. Template C 06.02 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 that obtained a waiver in accordance with Article 7 CRR shall only report the columns 010 to 060 and 250 to 400.
28. The figures reported take into account all applicable transitional provisions CRR which are applicable at the respective reporting date.

2.2. DETAILED GROUP SOLVENCY INFORMATION
29. The second part of template C 06.02 (detailed group solvency information) in columns 070 to 210 is designed to gather information on credit and other regulated financial institutions which are effectively subject to particular solvency requirements on individual basis. It provides, for each of those entities within the scope of the reporting, the own funds requirements for each risk category and the own funds for solvency purposes.
30. In the case of proportional consolidation of participations, the figures related to own funds requirements and own funds shall reflect the respective proportional amounts.

2.3. INFORMATION ON THE CONTRIBUTIONS OF INDIVIDUAL ENTITIES TO GROUP SOLVENCY
31. The objective of the third part of template C 06.02 and template C 06.01 (information on the contributions of all entities within CRR scope of consolidation to group solvency), including those that are not subject to particular solvency requirements on an individual basis, in columns 250 to 400, is to identify which entities within the group generate the risks and raise own funds from the market, based on data that are readily available or can easily be reprocessed, without having to reconstruct the capital ratio on a solo or sub-consolidated basis. At the entity level, both risk and own fund figures are contributions to the group figures and not elements of a solvency ratio on a solo basis and as such must not be compared to each other.
32. The third part also includes the amounts of minority interests, qualifying AT1, and qualifying T2 eligible in the consolidated own funds.
33. As this third part of the template refers to ‘ contributions ’ , the figures to be reported herein shall defer, when applicable, from the figures reported in the columns referring to detailed group solvency information.
34. The principle is to delete the cross-exposures within the same groups in a homogeneous way both in terms of risks or own funds, in order to cover the amounts reported in the group’s consolidated CA template by adding the amounts reported for each entity in ‘ Group Solvency ’ template. A direct link to the CA template is not possible where the 1 % threshold is not exceeded.
35. The institutions shall define the most appropriate breakdown method between the entities to take into account the possible diversification effects for market risk and operational risk.
36. It is possible for one consolidated group to be included within another consolidated group. That means that the entities within a subgroup shall be reported entity-by-entity in the GS of the entire group, even if the sub-group itself is subject to reporting requirements. A subgroup that is subject to reporting requirements shall also report the GS template on an entity-by-entity basis, although those details are included in the GS template of a higher consolidated group.
37. An institution shall report data of the contribution of an entity when its contribution to the total risk exposure amount exceeds 1 % of the total risk exposure amount of the group or when its contribution to the total own funds exceeds 1 % of the total own funds of the group. That threshold does not apply in the case of subsidiaries or subgroups that provide own funds (in the form of minority interests or qualifying AT1 or T2 instruments included in own funds) to the group.

2.4. 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)

ANNEX II Table 11: rows 1 - 59

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 set out in point (4) of Article 5(a) of this Implementing Regulation is exceeded.

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

3.1.2. 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 in accordance with 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. In accordance with Article 112 CRR each SA exposure shall be assigned to one of the 16 SA exposure classes to calculate the own funds requirements.
49. The information in CR SA is required for the total exposure classes and individually for each of the exposure classes under the Standardised Approach. The total figures as well as the information of each exposure class are reported in a separate dimension.
50. However the following positions are not within the scope of CR SA:
(a) Exposures assigned to exposure class ‘ items representing securitisation positions ’ as referred to in point (m) of Article 112 CRR, which shall be reported in the CR SEC templates.
(b) Exposures deducted from own funds.

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

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

3.2.3. 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 referred to in Article 112 CRR the following sequential approach shall be applied:
(a) In a first step, the Original exposure pre-conversion factors shall be classified into the corresponding (original) exposure class referred to in Article 112 CRR, without prejudice to the specific treatment (risk weight) that each specific exposure shall receive within the assigned exposure class.
(b) In a second step the exposures may be redistributed to other exposure classes due to the application of credit risk mitigation (CRM) techniques with substitution effects on the exposure (e.g. guarantees, credit derivatives, financial collateral simple method) via inflows and outflows.
59. The following criteria shall apply to for the classification of the Original exposure pre-conversion factors into the different exposure classes (first step) without prejudice to the subsequent redistribution caused by the use of CRM techniques with substitution effects on the exposure or to the treatment (risk weight) that each specific exposure shall receive within the assigned exposure class.
60. For the purpose of classifying the original exposure pre-conversion factor in the first step, the CRM techniques associated to the exposure shall not be considered (note that they shall be considered explicitly in the second phase) unless a protection effect is intrinsically part of the definition of an exposure class as it is the case in the exposure class referred to in point (i) of Article 112 CRR (exposures secured by mortgages on immovable property).
61. Article 112 CRR does not provide criteria for disjoining the exposure classes. This might imply that one exposure could potentially be classified in different exposure classes if no prioritisation in the assessment criteria for the classification is provided. The most obvious case arises between exposures to institutions and corporate with a short-term credit assessment (point (n) of Article 112 CRR) and exposures to institutions (point (f) of Article 112 CRR)/exposures to corporates (point (g) of Article 112 CRR). In that case, it is clear that there is an implicit prioritisation in CRR since it shall be assessed first if a certain exposure is fit for being assigned to Short-term exposures to institutions and corporates and only afterwards assessed if it fits for being assigned to exposures to institutions or exposures to corporates. Otherwise it is obvious that the exposure class referred to in point (n) of Article 112 CRR shall never be assigned an exposure. The example provided is one of the most obvious examples but is not the only one. It is worth noting that the criteria used for establishing the exposure classes under the Standardised Approach are different (institutional categorisation, term of the exposure, past due status, etc.) which is the underlying reason for non-disjoint groupings.
62. For a homogeneous and comparable reporting it is necessary to specify prioritisation assessment criteria for the assignment of the Original exposure pre-conversion factor by exposure classes, without prejudice to the specific treatment (risk weight) that each specific exposure shall receive within the assigned exposure class. The prioritisation criteria presented below, using a decision tree scheme, are based on the assessment of the conditions explicitly laid down in CRR for an exposure to fit in a certain exposure class and, if that is the case, on any decision on the part of the reporting institutions or the supervisor on the applicability of certain exposure classes. Therefore, the outcome of the exposure assignment process for reporting purposes shall be in line with CRR provisions. That does not prohibit institutions from applying other internal assignment procedures that may also be consistent with all relevant CRR provisions and its interpretations issued by the appropriate fora.
63. An exposure class shall be given priority to others in the assessment ranking in the decision tree (i.e. it shall be first assessed if an exposure can be assigned to an exposure class, without prejudice to the outcome of that assessment) if otherwise no exposures would potentially be assigned to it. That will be the case where in the absence of prioritisation criteria one exposure class is a subset of others. Therefore, the criteria graphically depicted in the following decision tree would work on a sequential process.

64. With this background the assessment ranking in the decision tree mentioned below shall 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 (paragraphs 3, 4 and 5 of Article 132 CRR) is used, the underlying individual exposures shall be considered and classified into their corresponding risk weight line according to their treatment, but all the individual exposures shall be classified within the exposure class of Exposures in the form of units or shares in collective investment undertakings ( ‘ CIU ’ ).
66. ‘ nth ’ to default credit derivatives, as specified in Article 134(6) CRR that are rated shall be directly classified as securitisation positions. If they are not rated, they shall be considered in the ‘ Other items ’ exposure class. In that latter case, the nominal amount of the contract shall be reported as the Original exposure pre-conversion factors in the line for ‘ Other risk weights ’ (the risk weight used shall be that specified by the sum indicated under Article 134(6) CRR.
67. In a second step, as a consequence of credit risk mitigation techniques with substitution effects, exposures shall be reallocated to the exposure class of the protection provider.

DECISION TREE ON HOW TO ASSIGN THE ORIGINAL EXPOSURE PRE-CONVERSION FACTORS TO THE EXPOSURE CLASSES OF THE STANDARDISED APPROACH IN ACCORDANCE WITH THE CRR

ANNEX II Table 12: rows 1 - 18

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

3.2.4.1. Exposure Class ‘Institutions’
68. Intra-group exposures referred to in paragraphs 6 and 7 of Article 113 CRR shall be reported as follows:
69. Exposures which fulfil the requirements of Article 113(7) CRR shall be reported in the respective exposure classes where they would be reported if they were not intra-group exposures.
70. According to paragraphs 6 and 7 of Article 113 CRR an institution may, subject to the prior approval of the competent authorities, decide not to apply the requirements of paragraph 1 of that Article to the exposures of that institution to a counterparty which is its parent undertaking, its subsidiary, a subsidiary of its parent undertaking or an undertaking linked by a relationship within the meaning of Article 12(1) of Directive 83/349/EEC. That means that intra-group counterparties are not necessarily institutions but also undertakings which are assigned to other exposure classes, e.g. ancillary services undertakings or undertakings within the meaning of Article 12(1) of Council Directive 83/349/EEC . Therefore intra-group exposures shall be reported in the corresponding exposure class.
Seventh Council Directive 83/349/EEC of 13 June 1983 based on the Article 54(3)(g) of the Treaty on consolidated accounts ( OJ L 193, 18.7.1983, p. 1 ).

3.2.4.2. Exposure Class ‘Covered Bonds’
71. SA exposures shall be assigned to the exposure class ‘ covered bonds ’ as follows:
72. Bonds referred to in Article 52(4) of Directive 2009/65/EC of the European Parliament and of the Council shall fulfil the requirements of paragraphs 1 and 2 of Article 129 CRR to be classified in the exposure class ‘Covered Bonds’. The fulfilment of those requirements has to be checked in each case. Nevertheless, bonds referred to in Article 52(4) of Directive 2009/65/EC and issued before 31 December 2007 shall also be assigned to the exposure class ‘Covered Bonds’ pursuant to Article 129(6) CRR.
Directive 2009/65/EC of the European Parliament and of the Council of 13 July 2009 on the coordination of laws, regulations and administrative provisions relating to undertakings for collective investment in transferable securities (UCITS) ( OJ L 302, 17.11.2009, p. 32 ).

3.2.4.3. Exposure class ‘Collective Investment Undertakings’
73. Where the possibility referred to in Article 132(5) CRR is used, exposures in the form of units or shares in CIUs shall be reported as on balance sheet items in accordance with the first sentence in Article 111(1) CRR.

3.2.5. Instructions concerning specific positions
Columns	
010	ORIGINAL EXPOSURE PRE-CONVERSION FACTORS Exposure value calculated in accordance with Article 111 CRR without taking into account value adjustments and provisions, conversion factors and the effect of credit risk mitigation techniques with the following qualifications stemming from Article 111(2) CRR: 1. For derivative instruments, repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions subject to Chapter 6 of Title II of Part Three CRR or subject to point (f) of Article 92(3) CRR, the original exposure shall correspond to the Exposure Value for Counterparty Credit Risk calculated in accordance with the methods laid down Chapter 6 of Title II of Part Three CRR. 2. Exposure values for leases shall be subject to Article 134(7) CRR. 3. In the case of on-balance sheet netting as laid down in Article 219 CRR, the exposure values shall be reported taking into account the amount of the received cash collateral. 4. In the case of master netting agreements covering repurchase transactions, securities, commodities lending, borrowing transactions or other capital market driven transactions subject to Chapter 6 of Title II of Part Three CRR, the effect of Funded Credit Protection in the form of master netting agreements referred to in Article 220(4) CRR shall be reflected in column 010. Therefore, in the case of master netting agreements covering repurchase transactions subject to Chapter 6 of Title II of Part Three CRR, E* as calculated in accordance with Articles 220 and 221 CRR shall be reported in column 010 of the CR SA template.
030	(-) Value adjustments and provision associated with the original exposure Article 24 and 111 CRR Value adjustments and provisions for credit losses made in accordance with the accounting framework to which the reporting entity is subject
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 point (57) of Article 4(1) CRR that reduce the credit risk of an exposure or exposures via the substitution of exposures as described below in ‘ Substitution of the exposure due to CRM ’ . Collateral that has an effect on the exposure value (e.g. if used for credit risk mitigation techniques with substitution effects on the exposure) shall be capped at the exposure value. Items to be reported here: collateral, incorporated in accordance with the Financial Collateral Simple Method; eligible unfunded credit protection. Please also see instructions of point 3.1.1.
050 – 060	Unfunded credit protection: adjusted values (G A ) Article 235 CRR Article 239(3) CRR contains the formula for the calculation of the adjusted value G A of an unfunded credit protection.
050	Guarantees Article 203 CRR Unfunded Credit Protection as defined in point (59) of Article 4(1) CRR which does not include Credit Derivatives.
060	Credit derivatives Article 204 CRR
070 – 080	Funded credit protection These columns refer to funded credit protection as defined in point (58) of Article 4(1) CRR and subject to the rules laid down in Articles 196, 197 and 200 CRR. The amounts shall not include master netting agreements (already included in Original Exposure pre-conversion factors). Investments in credit linked notes as referred to in Article 218 CRR and on-balance sheet netting positions resulting from eligible on-balance sheet netting agreements as referred to in Article 219 CRR shall be treated as cash collateral.
070	Financial collateral: simple method Paragraphs 1 and 2 of Article 222 CRR.
080	Other funded credit protection Article 232 CRR.
090 – 100	SUBSTITUTION OF THE EXPOSURE DUE TO CRM Article 222(3), paragraphs 1 and 2 of Article 235 and Article 236 CRR Outflows shall correspond to the covered part of the Original Exposure pre-conversion factors that is deducted from the obligor’s exposure class and subsequently assigned to the protection provider’s exposure class. That amount shall be considered as an inflow into the protection provider’s exposure class. Inflows and outflows within the same exposure classes shall also be reported. Exposures stemming from possible in- and outflows from and to other templates shall be taken into account.
110	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 to 228 CRR. They also include credit linked notes (Article 218 CRR) Credit linked notes as referred to in Article 218 CRR and on-balance sheet netting positions resulting from eligible on-balance sheet netting agreements as referred to in Article 219 CRR shall be treated as cash collateral. The effect of the collateralization of the Financial Collateral Comprehensive Method applied to an exposure, which is secured by eligible financial collateral, shall be calculated in accordance with Articles 223 to 228 CRR.
120	Volatility adjustment to the exposure Paragraphs 2 and 3 of Article 223 CRR. The amount to be reported is the impact of the volatility adjustment to the exposure (EVA-E) = E*He
130	(-) Financial collateral adjusted value (Cvam) Article 239(2) CRR. For trading book operations, financial collateral and commodities eligible for trading book exposures in accordance with points (c) to (f) of Article 299(2) CRR shall be included. The amount to be reported corresponds to Cvam = C*(1-Hc-Hfx)*(t-t*)/(T-t*). For a definition of C, Hc, Hfx, t, T and t* see Sections 4 and 5 of Chapter 4 of Title II of Part Three CRR.
140	(-) Of which: Volatility and maturity adjustments Article 223(1) CRR and Article 239(2) CRR. The amount to be reported is the joint impact of volatility and maturity adjustments (Cvam-C) = C*[(1-Hc-Hfx)*(t-t*)/(T-t*)-1], where the impact of volatility adjustment is (Cva-C) = C*[(1-Hc-Hfx)-1] and the impact of maturity adjustments is (Cvam-Cva) = C*(1-Hc-Hfx)*[(t-t*)/(T-t*)-1]
150	Fully adjusted exposure value (E*) Article 220(4), Article 223(2) to (5) and Article 228(1) CRR.
160 – 190	Breakdown of the fully adjusted exposure value of off-balance sheet items by conversion factors Article 111(1) and point (56) of Article 4(1) CRR. See also Articles 222(3) and 228(1) CRR. The figures reported shall be the fully adjusted exposure values before application of the conversion factor.
200	Exposure value Article 111 CRR and Section 4 of Chapter 4 of Title II of Part Three CRR. Exposure value after taking into account value adjustments, all credit risk mitigants and credit conversion factors that is to be assigned to risk weights in accordance with Article 113 and Section 2 of Chapter 2 of Title II of Part Three CRR.
210	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 Chapter 6 of Title II of Part Three CRR, the exposure value for Counterparty Credit Risk calculated in accordance with the methods laid down in Sections 2 to 5 of Chapter 6 of Title II of Part Three CRR.
215	Risk weighted exposure amount pre SME-supporting factor Paragraphs 1 to 5 of Article 113CRR, without taking into account the SME-supporting factor laid down in Article 501 CRR.
220	Risk weighted exposure amount after SME-supporting factor Paragraphs 1 to 5 of Article 113CRR, taking into account the SME-supporting factor laid down in Article 501 CRR.
230	Of which: with a credit assessment by a nominated ECAI Points (a) to (d), (f), (g), (l), (n), (o) and (q) of Article 112 CRR
240	Of which: with a credit assessment derived from central government Points (b) to d), (f), (g), (l) and (o) of Article 112 CRR

ANNEX II Table 14: rows 1 - 38

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 in accordance with Articles 151 to 157 of Chapter 3 of Title II of Part Three (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 and/or CR SEC Details templates;
iii. ‘ Other non credit-obligation assets ’ , as referred to in point (g) of Article 147(2) CRR. The risk weight for this exposure class has to be set at 100 % at any time except for cash in hand, equivalent cash items and exposures that are residual values of leased assets, in accordance with Article 156 CRR. The risk weighted exposure amounts for this exposure class shall be reported directly in the CA-Template;
iv. Credit valuation adjustment risk, which is reported on the CVA Risk template;
The CR IRB template does not require a geographical breakdown of IRB exposures by residence of the counterparty. This breakdown shall be reported in the template CR GB.
77. In order to clarify whether the institution uses its own estimates for LGD or credit conversion factors, the following information shall be provided for each reported exposure class:

‘NO’
in case the supervisory estimates of LGD and credit conversion factors are used (Foundation IRB)

‘YES’
in 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 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
(point (a) of Article 147(2) CRR)
3. Institutions
(point (b) of Article 147(2) CRR)
4.1) Corporate – SME
(point (c) of Article 147(2) CRR
4.2) Corporate – Specialised lending
(Article 147(8) CRR)
4.3) Corporate – Other
(All exposures to corporates as referred to in point (c) of Article 147(2) CRR, not reported under 4.1 and 4.2).
5.1) Retail – Secured by immovable property SME
(Retail exposures as referred to in point (d) of Article 147(2) CRR in conjunction with Article 154(3) CRR which are secured by immovable property).
5.2) Retail – Secured by immovable property non-SME
(Retail exposures as referred to in point (d) of Article 147(2) CRR which are secured by immovable property and not reported under 5.1).
5.3) Retail – Qualifying revolving
(Retail exposures as referred to in point (d) of Article 147(2) CRR in conjunction with Article 154(4) CRR).
5.4) Retail – Other SME
(Retail exposures as referred to in point (d) of Article 147(2) CRR not reported under 5.1 and 5.3).
5.5) Retail – Other non – SME
(Retail exposures as referred to in point (d) of Article 147(2) CRR which were not reported under 5.2 and 5.3).

3.3.3. 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

ANNEX II Table 15: rows 1 - 35
Rows	Instructions
010	TOTAL EXPOSURES
015	of which: Exposures subject to SME-supporting factor Only exposures which meet the requirements of Article 501(2) 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 CRR shall not be included in any other category. Exposures, which are on-balance sheet items and which are included as Securities Financing Transactions, Derivatives & Long Settlement Transactions or from Contractual Cross Product Netting shall be reported in rows 040-060 and, therefore, not reported in this row. Free deliveries as referred to in Article 379(1) CRR (if not deducted) do not constitute an on-balance sheet item, but nevertheless shall be reported in this row. Exposures arising from assets posted to a CCP as defined in point (91) of Article 4(1) CRR shall be included if not reported in row 030.
030	Off balance sheet items subject to credit risk Off-balance sheet items shall comprise those items that are listed in Annex I CRR. Exposures, which are off-balance sheet items and which are included as Securities Financing Transactions, Derivatives & Long Settlement Transactions or from Contractual Cross Product Netting, shall be reported in rows 040-060 and, therefore, not in this row. Exposures arising from assets posted to a CCP as defined in point (91) of Article 4(1) CRR shall be included if they are considered as off-balance sheet items.
040-060	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 as defined in point (82) of Article 4(1) CRR as well as securities or commodities lending and borrowing transactions and (ii) margin lending transactions as defined in Article 272(3) CRR. Securities Financing Transactions, which are included in a Cross Product Netting and therefore reported in row 060, shall not be reported in this row.
050	Derivatives and Long Settlement Transactions Derivatives comprise those contracts that are listed in Annex II CRR. Derivatives and Long Settlement Transactions which are included in a Cross Product Netting and therefore reported in row 060 shall not be reported in this row.
060	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 point (6) of Article 142(1) and point (c) of Article 170(1) CRR. For retail exposures see point (b) of Article 170(3) CRR. For exposures arising from purchased receivables, see Article 166(6) CRR. Exposures for dilution risk of purchased receivables shall not be reported by obligor grades or pools and shall be reported in row 180. Where the institution uses a large number of grades or pools, a reduced number of grades or pools to be reported may be agreed with the competent authorities. A master scale is not used. Instead, institutions shall determine the scale to be used themselves.
080	SPECIALISED LENDING SLOTTING CRITERIA: TOTAL Article 153(5) CRR. This shall only apply to the exposure classes corporates, institutions and central governments and central banks.
090-150	BREAKDOWN BY RISK WEIGHTS OF TOTAL EXPOSURES UNDER SPECIALISED LENDING SLOTTING CRITERIA:
120	Of which: In category 1 Table 1 of Article 153(5) CRR
160	ALTERNATIVE TREATMENT: SECURED BY REAL ESTATE Paragraphs 1 and 2 of Article 193, paragraphs 1 to 7 of Article 194 and Article 230(3) 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 the last sentence of the first subparagraph of Article 379(2) CRR is used, or for which a 100 % risk weight is applied in accordance with the last subparagraph of Article 379(2) CRR. Unrated nth-to-default credit derivatives in accordance with Article 153(8) CRR and any other exposure subject to risk weights not included in any other row shall be reported in this row.
180	DILUTION RISK: TOTAL PURCHASED RECEIVABLES See point (53) of Article 4(1) CRR for a definition of dilution risk. For calculation of risk weight for dilution risk see Article 157(1) CRR. In accordance with Article 166(6) CRR, the exposure value of purchased receivables shall be the outstanding amount minus the risk weighted exposure amounts for dilution risk prior to credit risk mitigation.

3.3.4. 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 template. It shall follow the numerical order 1, 2, 3, etc.
010-300	Instructions for each of these columns are the same as for the corresponding numbered columns in CR IRB 1 template.
Row	Instructions
010-001 – 010-NNN	Values reported in these rows must be ordered from the lower to the higher in accordance with the PD assigned to the obligor grade or pool. PD of obligors in default shall be 100 %. Exposures subject to the alternative treatment for real estate collateral (only available when not using own estimates for the LGD) shall not be assigned in accordance with the PD of the obligor and not reported in this template.

3.4. CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: INFORMATION WITH GEOGRAPHICAL BREAKDOWN
79. All institutions shall submit information aggregated at a total level. Additionally, institutions fulfilling the threshold set in point (4) of Article 5(a) of this Implementing Regulation shall submit information broken down by country regarding the domestic country as well as any non-domestic country. The threshold shall be considered only in relation to the CR GB 1 and CR GB 2 templates. Exposures to supranational organisations shall be assigned to the geographical area ‘ other countries ’ .
80. The term ‘ residence of the obligor ’ refers to the country of incorporation of the obligor. This concept can be applied on an immediate-obligor basis and on an ultimate-risk basis. Hence, CRM techniques with substitution effects can change the allocation of an exposure to a country. Exposures to supranational organisations shall not be assigned to the country of residence of the institution but to the geographical area ‘ Other countries ’ , irrespective of the exposure class where the exposure to supranational organisations is assigned.
81. Data regarding ‘ original exposure pre-conversion factors ’ shall be reported referring to the country of residence of the immediate obligor. Data regarding ‘ exposure value ’ and ‘ Risk weighted exposure amounts ’ shall be reported as of the country of residence of the ultimate obligor.

3.4.1. 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 ’ shall provide additional information about the obligor structure of defaulted exposures. Exposures classified as ‘ exposures in default ’ as referred to in point (j) of Article 112 CRR shall be reported where the obligors would have been reported if those exposures were not assigned to the exposure classes ‘ exposures in default ’ . This information is a ‘ memorandum item ’  – hence does not affect the calculation of risk weighted exposure amounts of exposure classes ‘ exposures in default ’ , ‘ exposures associated with particularly high risk ’ or ‘ equity exposures ’ as referred to in points (j), (k) and (p) of Article 112 CRR.
040	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 as referred to in Article 110 CRR. This item shall include the general credit risk adjustments that are eligible for inclusion in T2 capital, before the application of the cap referred to in point (c) of Article 62 CRR. The amount to be reported shall be gross of tax effects.
055	Specific credit risk adjustments Credit risk adjustments as referred to in Article 110 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 Point (a) of Article 112 CRR
020	Regional governments or local authorities Point (b) of Article 112 CRR.
030	Public sector entities Point (c) of Article 112 CRR
040	Multilateral developments banks Point (d) of Article 112 CRR
050	International organisations Point (e) of Article 112 CRR
060	Institutions Point (f) of Article 112 CRR
070	Corporates Point (g) of Article 112 CRR
075	of which: SME Same definition as for row 020 of CR SA template
080	Retail Point (h) of Article 112 CRR
085	of which: SME Same definition as for row 020 of CR SA template
090	Secured by mortgages on immovable property Point (i) of Article 112 CRR
095	of which: SME Same definition as for row 020 of CR SA template
100	Exposures in default Point (j) of Article 112 CRR
110	Items associated with particularly high risk Point (k) of Article 112 CRR
120	Covered bonds Point (l) of Article 112 CRR
130	Claims on institutions and corporates with a short-term credit assessment Point (n) of Article 112 CRR
140	Collective investments undertakings (CIU) Point (o) of Article 112 CRR
150	Equity exposures Point (p) of Article 112 CRR
160	Other exposures Point (q) of Article 112 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 in accordance with Article 178 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 as referred to in Article 110 CRR.
055	Specific credit risk adjustments Credit risk adjustments as referred to in Article 110 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 columns 230 and 240 of CR IRB template: the exposure weighted average LGD (%) shall refer to all exposures, including exposures to large financial sector entities and unregulated financial entities. Point (h) of Article 181(1) CRR shall apply. Data shall not be reported for specialised lending exposures referred to in Article 153(5) CRR.
100	Of which: defaulted Exposure weighted LGD for those exposures which have been classified as defaulted exposures in accordance with Article 178 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 in accordance with Article 178(1) 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 Point (a) of Article 147(2) CRR
020	Institutions Point (b) of Article 147(2) CRR
030	Corporates All exposures to corporates as referred to in point (c) of Article 147(2) CRR
042	Of which: Specialised lending (excl. SL subject to slotting criteria) Point (a) of Article 147(8) CRR Data shall not be reported for specialized lending exposures as referred to in Article 153(5) CRR.
045	Of which: Specialised lending subject to slotting criteria Point (a) of Article 147(8) and Article 153(5) CRR
050	Of which: SME Point (c) of Article 147(2) CRR
060	Retail All retail exposures as referred to in point (d) of Article 147(2) CRR
070	Retail – Secured by real estate property Retail exposures as referred to in point (d) of Article 147(2) CRR which are secured by real estate
080	SME Retail exposures as referred to in point (d) of Article 147(2) and Article 154(3) CRR which are secured by real estate
090	non-SME Retail exposures as referred to in point (d) of Article 147(2) CRR which are secured by real estate
100	Retail – Qualifying revolving Retail exposures as referred to in point (d) of Article 147(2) in conjunction with Article 154(4) CRR
110	Other Retail Other retail exposures as referred to in point (d) of Article 147(2) CRR which are not reported in rows 070 – 100
120	SME Other retail exposures as referred to in point (d) of Article 147(2) CRR to SMEs
130	non-SME Other retail exposures as referred to in point (d) of Article 147(2) CRR to non-SMEs
140	Equity Equity exposures as referred to in point (e) of Article 147(2) 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 template aims at receiving more information regarding the elements of the institution-specific countercyclical capital buffer. The information required refers to the own funds requirements determined in accordance with Title II and Title IV of Part Three CRR and the geographical location for credit exposures, securitisation exposures and trading book exposures relevant for the calculation of the institution-specific countercyclical capital buffer (CCB) in accordance with Article 140 CRD (relevant credit exposures).
83. Information in template C 09.04 shall be reported for the ‘ Total ’ of relevant credit exposures across all jurisdictions where those exposures are located and individually for each of the jurisdictions in which relevant credit exposures are located. The total figures as well as the information of each jurisdiction shall be reported in a separate dimension.
84. The threshold set in point (4) of Article 5(a) of this Implementing Regulation shall not apply for the reporting of this breakdown.
85. In order to determine the geographical location, the exposures shall be allocated on an immediate obligor basis as provided for in Commission Delegated Regulation (EU) No 1152/2014 . Therefore, CRM techniques shall not change the allocation of an exposure to its geographical location for the purpose of reporting information set out in this template.
Commission Delegated Regulation (EU) No 1152/2014 of 4 June 2014 supplementing Directive 2013/36/EU of the European Parliament and of the Council 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 ( OJ L 309, 30.10.2014, p. 5 ).

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 as referred to in point (a) of Article 140(4) CRD.
010	Exposure value under the Standardised Approach Exposure value calculated in accordance with Article 111 CRR for relevant credit exposures as referred to in point (a) of Article 140(4) CRD. The exposure value of securitisation positions in the banking book shall be excluded from this row and reported in row 055.
020	Exposure value under the IRB Approach Exposure value calculated in accordance with Article 166 CRR for relevant credit exposures as referred to in point (a) of Article 140(4) CRD. The exposure value of securitisation positions in the banking book shall be excluded from this row and reported in row 055.
030-040	Relevant credit exposures – Market risk Relevant credit exposures as referred to in point (b) of Article 140(4) CRD.
030	Sum of long and short positions of trading book exposures for Standardised Approach Sum of net long and net short positions in accordance with Article 327 CRR of relevant credit exposures as referred to in point (b) of Article 140(4) CRD subject to own funds requirements under Chapter 2 of Title IV of Part Three CRR: exposures to debt instruments other than securitisation; exposures to securitisation positions in the trading book; exposures to correlation trading portfolios; exposures to equity securities; exposures to CIUs where capital requirements are calculated in accordance with Article 348 CRR.
040	Value of trading book exposures under internal models For relevant credit exposures as referred to in point (b) of Article 140(4) CRD subject to own funds requirements under Chapters 2 and 5 of Title IV of Part Three CRR, the sum of the following shall be reported: Fair value of non-derivative positions, that represent relevant credit exposures as referred to in point (b) of Article 140(4) CRD, determined in accordance with Article 104 CRR. Notional value of derivatives, that represent relevant credit exposures as referred to in point (b) of Article 140(4) CRD.
055	Relevant credit exposures – Securitisation positions in the banking book Exposure value calculated in accordance with Article 248 CRR for relevant credit exposures as referred to in point (c) of Article 140(4) CRD.
070-110	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 calculated in accordance with Chapters 1 to 4 and Chapter 6 of Title II of Part Three CRR for relevant credit exposures as referred to in point (a) of Article 140(4) CRD, in the country in question. Own fund requirements for securitisation positions in the banking book shall be excluded from this row and reported in row 100. The own-funds requirements are 8 % of the risk-weighted exposure amount determined in accordance with Chapters 1 to 4 and Chapter 6 of Title II of Part Three CRR.
090	Own funds requirements for relevant credit exposures – Market risk Own funds requirements calculated in accordance with Chapter 2 of Title IV of Part Three CRR for specific risk, or in accordance with Chapter 5 of Title IV of Part Three CRR for incremental default and migration risk for relevant credit exposures as referred to in point (b) of Article 140(4) CRD, in the country in question. The own funds requirements for relevant credit exposures under the market risk framework shall include, among others, the own fund requirements for securitisation positions calculated in accordance with Chapter 2 of Title IV of Part Three, CRR and the own funds requirements for exposures to Collective Investment Undertakings determined in accordance with Article 348 CRR.
100	Own funds requirements for relevant credit exposures – Securitisation positions in the banking book Own funds requirements calculated in accordance with Chapter 5 of Title II of Part Three CRR for relevant credit exposures as referred to in point (c) of Article 140(4) CRD in the country in question. The own-funds requirements are 8 % of the risk-weighted exposure amount calculated in accordance with Chapter 5 of Title II of Part Three, CRR.
110	Own funds requirements weights The weight applied to the countercyclical buffer rate in each country shall be calculated as a ratio of own fund requirements, determined as follows: 1. Numerator: The total own funds requirements that relate to the relevant credit exposures in the country in question [r070; c010; country sheet], 2. Denominator: The total own funds requirements that relate to all credit exposures relevant for the calculation of the countercyclical buffer as referred to in Article 140(4) CRD [r070; c010; ‘ Total ’ ]. Information on the Own fund requirements weights shall not be reported for the ‘ Total ’ of all countries.
120-140	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 Articles 136, 137, 139, points (a) and (c) of Article 140(2) and point (b) of Article 140(3) CRD. This row shall be left empty when no countercyclical buffer rate was set for the country in question by the Designated Authority of that country. Countercyclical capital buffer rates that were set by the Designated Authority but are not yet applicable in the country in question at the reporting reference date shall not be reported. Information on the Countercyclical capital buffer rate set by the Designated Authority shall not be reported for the ‘ Total ’ of all countries.
130	Countercyclical capital buffer rate applicable for the country 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 Articles 137, 138, 139 and point (b) of Article 140(2) and point (a) of Article 140(3) CRD. Countercyclical capital buffer rates that are not yet applicable at the reporting reference date shall not be reported. Information on the Countercyclical capital buffer rate applicable in the country of the institution shall not be reported for the ‘ Total ’ of all countries.
140	Institution-specific countercyclical capital buffer rate Institution-specific countercyclical capital buffer rate, calculated in accordance with Article 140(1) CRD. The institution-specific countercyclical capital buffer rate shall be calculated as the weighted average of the countercyclical buffer rates that apply in the jurisdictions where the relevant credit exposures of the institution are located or are applied for the purposes of Article 140 by virtue of paragraphs 2 or 3 of Article 139 CRD. The relevant countercyclical buffer rate shall reported in [r120; c020; country sheet], or [r130; c020; country sheet], as applicable. The weight applied to the countercyclical buffer rate in each country shall be the share of own funds requirements in total own funds requirements, and shall be reported in [r110; c020; country sheet]. Information on the institution-specific countercyclical capital buffer rate shall only be reported for the ‘ Total ’ of all countries and not for each country separately.
150 – 160	Use of the 2 % threshold
150	Use of 2 % threshold for general credit exposure In accordance with point (b) of Article 2(5) of Commission Delegated Regulation (EU) No 1152/2014, foreign general credit risk exposures, the aggregate of which does not exceed 2 % of the aggregate of the general credit, trading book and securitisation exposures of that institution, may be allocated to the institutions’ home Member State. The aggregate of the general credit, trading book and securitisation exposures shall be calculated by excluding the general credit exposures located in accordance with point (a) of Article 2(5) and Article 2(4) of Commission Delegated Regulation (EU) No 1152/2014. If the institution makes use of this derogation, it shall indicate ‘ y ’ in the template for the jurisdiction corresponding to its home Member State and for the ‘ Total ’ of all countries. If an institution does not make use of this derogation, it shall indicate ‘ n ’ in the respective cell.
160	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 where the total trading book exposures do not exceed 2 % of their total general credit, trading book and securitisation exposures. If the institution makes use of this derogation, it shall indicate ‘ y ’ in the template for the jurisdiction corresponding to its home Member State and for the ‘ Total ’ of all countries. If an institution does not make use of this derogation, it shall indicate ‘ n ’ in the respective cell.

3.5. 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 (point (a) of Article 92(3) CRR) in accordance with Chapter 3 of Title II of Part Three CRR for equity exposures as referred to in point (e) of Article 147(2) CRR.

88. In accordance with Article 147(6) 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;
(b) debt exposures and other securities, partnerships, derivatives, or other vehicles, the economic substance of which is similar to the exposures specified in point (a).
89. Collective investment undertakings treated in accordance with the simple risk weight approach as referred to in Article 152 CRR shall also be reported in the CR EQU IRB template.

90. In accordance with Article 151(1) CRR, institutions shall provide the CR EQU IRB template when applying one of the three approaches referred to in Article 155 CRR:
the Simple Risk Weight approach;
the PD/LGD approach;
the Internal Models approach.
Moreover, institutions applying the IRB Approach shall also report in the CR EQU IRB template risk-weighted exposure amounts for those equity exposures which attract a fixed risk-weight treatment (without however being explicitly treated in accordance with the Simple Risk Weight approach or the (temporary or permanent) partial use of the Standardised Approach for credit risk), e.g. equity exposures attracting a risk-weight of 250 % in accordance with Article 48(4) CRR, respectively a risk-weight of 370 % in accordance with Article 471(2) CRR.

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

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

92. In accordance with Article 155 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 in accordance with 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) CRR) shall report the required 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 APPROACH BY RISK WEIGHTS: Institutions applying the Simple Risk Weight approach (Article 155(2) CRR) shall report the required information in accordance with the characteristics of the underlying exposures in rows 050 to 090.
CR EQU IRB 1 – row 100	INTERNAL MODELS APPROACH Institutions applying the Internal Models approach (Article 155(4) CRR) shall report the required 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 in accordance with the Simple Risk Weight approach or the (temporary or permanent) partial use of the credit risk Standardised Approach). As an example: the risk weighted exposure amount of equity positions in financial sector entities treated in accordance with Article 48(4) CRR, as well as equity positions risk-weighted with 370 % in accordance with Article 471(2) CRR shall be reported in row 110.
CR EQU IRB 2	BREAKDOWN OF TOTAL EXPOSURES UNDER THE PD/LGD APRROACH BY OBLIGOR GRADES: Institutions applying the PD/LGD approach (Article 155(3) CRR) shall report the required information in the CR EQU IRB 2 template. Institutions using the PD/LGD approach that apply a unique rating system or that are able to report in accordance with an internal master scale shall report in CR EQU IRB 2 the rating grades or pools associated to this unique rating system/master scale. In any other case, the different rating systems shall be merged and ordered in accordance with the following criteria: Obligor grades or pools of the different rating systems shall be pooled together and ordered from the lower PD assigned to each obligor grade or pool to the higher.

3.6. 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 as referred to in point (c)(ii) of Article 92(3) and Article 378 CRR.
94. Institutions shall report in the CR SETT template information on the settlement/delivery risk in connection with debt instruments, equities, foreign currencies and commodities held in their trading or non-trading book.
95. In accordance with Article 378 CRR, repurchase transactions, securities or commodities lending and securities or commodities borrowing in connection with debt instruments, equities, foreign currencies and commodities are not subject to own funds requirements for settlement/delivery risk. Note however that, derivatives and long settlement transactions unsettled after their due delivery dates shall nevertheless be subject to own funds requirements for settlement/delivery risk as determined in Article 378 CRR.
96. In case of unsettled transactions after the due delivery date, institutions shall calculate the price difference to which they are exposed. That is the difference between the agreed settlement price for the debt instrument, equity, foreign currency or commodity in question and its current market value, where the difference could involve a loss for the institution.
97. Institutions shall multiply that difference by the appropriate factor of Table 1 of Article 378 CRR to determine the corresponding own funds requirements.
98. In accordance with point (b) of Article 92(4) CRR, the own funds requirements for settlement/delivery risk shall be multiplied by 12,5 to calculate the risk exposure amount.
99. Note that own funds requirements for free deliveries as laid down in Article 379 CRR are not within the scope of the CR SETT template. Those own funds requirements shall be reported in the credit risk templates (CR SA, CR IRB).

3.6.2. Instructions concerning specific positions
Columns	
010	UNSETTLED TRANSACTIONS AT SETTLEMENT PRICE Institutions shall report the unsettled transactions after their due delivery date at the respective agreed settlement prices as referred to in Article 378 CRR. All unsettled transactions shall be included in this column, irrespective of whether or not they are at a gain or at a loss after the due settlement date.
020	PRICE DIFFERENCE EXPOSURE DUE TO UNSETTLED TRANSACTIONS Institutions shall report the price difference between the agreed settlement price and its current market value for the debt instrument, equity, foreign currency or commodity in question, where the difference could involve a loss for the institution, as referred to in Article 378 CRR. Only unsettled transactions at a loss after the due settlement date shall be reported in this column.
030	OWN FUNDS REQUIREMENTS Institutions shall report the own funds requirements calculated in accordance with Article 378 CRR.
040	TOTAL SETTLEMENT RISK EXPOSURE AMOUNT In accordance with point (b) of Article 92(4) CRR, institutions shall multiply their own funds requirements reported in column 030 by 12,5 in order to obtain the settlement risk exposure amount.
Rows	
010	Total unsettled transactions in the Non-trading Book Institutions shall report aggregated information about settlement/delivery risk for non-trading book positions (as referred to in point (c)(ii) of Article 92(3) and Article 378 CRR). Institutions shall report in {r010;c010} the aggregated sum of unsettled transactions after their due delivery dates at the respective agreed settlement prices. Institutions shall report in {r010;c020} the aggregated information for price difference exposure due to unsettled transactions at a loss. Institutions shall report in {r010;c030] the aggregated own funds requirements derived from summing the own funds requirements for unsettled transactions by multiplying the ‘ price difference ’ reported in column 020 by the appropriate factor based on the number of working days after due settlement date (categories referred to in Table 1 of Article 378 CRR).
020 to 060	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 shall report in rows 020 to 060 the information about settlement/delivery risk for non-trading book positions in accordance with the categories referred to in Table 1 of Article 378 CRR. No own funds requirements for settlement/delivery risk are required for transactions unsettled less than 5 working days after the due settlement date.
070	Total unsettled transactions in the Trading Book Institutions shall report aggregated information about settlement/delivery risk for trading book positions (as referred to in point (c)(ii) of Article 92(3) and Article 378 CRR). Institutions shall report in {r070;c010} the aggregated sum of unsettled transactions after their due delivery dates at the respective agreed settlement prices. Institutions shall report in {r070;c020} the aggregated information for price difference exposure due to unsettled transactions at a loss. Institutions shall report in {r070;c030} the aggregated own funds requirements derived from summing the own funds requirements for unsettled transactions by multiplying the ‘ price difference ’ reported in column 020 by an appropriate factor based on the number of working days after due settlement date (categories referred to in Table 1 of Article 378 CRR).
080 to 120	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 shall report in rows 080 to 120 the information about settlement/delivery risk for trading book positions in accordance with the categories referred to in Table 1 of Article 378 CRR. No own funds requirements for settlement/delivery risk are required for transactions unsettled less than 5 working days after the due settlement date.

3.7. C 13.01 – CREDIT RISK – SECURITISATIONS (CR SEC)

3.7.1. General remarks
100. Where institution acts as originator, the information in this template shall be required for all securitisations for which a significant risk transfer is recognised. Where the institution acts as investor, all exposures shall be reported.
101. The information to be reported shall be contingent on the role of the institution in the securitisation process. As such, specific reporting items shall be applicable for originators, sponsors and investors.
102. This template shall gather joint information on both traditional and synthetic securitisations held in the banking book.

3.7.2. Instructions concerning specific positions

ANNEX II Table 29: rows 1 - 51
103. The template is divided into three major blocks of rows which gather data on the originated/sponsored/retained or purchased exposures by originators, investors and sponsors. For each of them, the information shall be broken down by on-balance sheet items and off-balance sheet items and derivatives, as well as if it is subject to differentiated capital treatment or not.

104. Positions treated in accordance with the SEC-ERBA and unrated positions (exposures at reporting date) shall be broken down in accordance with the credit quality steps applied at inception (last block of rows). Originators, sponsors as well as investors shall report this information.
Rows	
0010	TOTAL EXPOSURES Total exposures refer to the total amount of outstanding securitisations and re-securitisations. This row summarises all the information reported by originators, sponsors and investors in subsequent rows.
0020	SECURITISATION POSITIONS Total amount of outstanding securitisation positions, as defined in point (62) of Article 4(1) CRR, which are not re-securitisations as defined in point (63) of Article 4(1) CRR.
0030	QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT Total amount of securitisation positions which fulfil the criteria of Article 243 or 270 CRR and therefore qualify for differentiated capital treatment.
0040	STS EXPOSURES Total amount of STS securitisation positions that meet the requirements set out in Article 243 CRR.
0050	SENIOR POSITION IN SMEs SECURITISATIONS Total amount of senior securitisation positions in SMEs which meet the conditions set out in Article 270 CRR.
0060, 0120, 0170, 0240, 0290, 0360 and 0410	NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT Paragraphs 1, 4, 5 and 6 of Article 254 and Articles 259, 261, 263, 265, 266 and 269 CRR Total amount of securitisation positions which do not qualify for differentiated capital treatment.
0070, 0190, 0310 and 0430	RE-SECURITISATION POSITIONS Total amount of outstanding re-securitisations positions as defined in point (64) of Article 4(1) CRR.
0080	ORIGINATOR: TOTAL EXPOSURES This row summarises information on on-balance items and off-balance sheet items and derivatives of those securitisation and re-securitisation positions for which the institution plays the role of originator, as defined in point (13) of Article 4(1) CRR.
0090-0130, 0210-0250 and 0330-0370	SECURITISATION POSITIONS: ON-BALANCE SHEET ITEMS In accordance with point (a) of Article 248(1) CRR, the exposure value of an on-balance sheet securitisation position shall be its accounting value remaining after any relevant specific credit risk adjustments on the securitisation position have been applied in accordance with Article 110 CRR. On-balance sheet items shall be broken down to capture information regarding application of differentiated capital treatment, as referred to in Article 243 CRR, in rows 0100 and 0120 and on the total amount of senior securitisation positions, as defined in Article 242(6) CRR, in rows 0110 and 0130.
0100, 0220 and 0340	QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT Total amount of securitisation positions which fulfil the criteria of Article 243 CRR and therefore qualify for differentiated capital treatment.
0110, 0130, 0160, 0180, 0230, 0250, 0280, 0300, 0350, 0370, 400 and 420	OF WHICH: SENIOR EXPOSURES Total amount of senior securitisation positions as defined in Article 242(6) CRR.
0140-0180, 0260-0300 and 0380-0420	SECURITISATION POSITIONS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES These rows shall gather information on off-balance sheet items and derivatives securitisation positions subject to a conversion factor under the securitisation framework. The exposure value of an off-balance sheet securitisation position shall be its nominal value, less any specific credit risk adjustment of that securitisation position, multiplied by a 100 % conversion factor unless otherwise specified. Off-balance sheet securitisation positions arising from a derivative instrument listed in Annex II to the CRR, shall be determined in accordance with Chapter 6 of Title II of Part Three CRR. The exposure value for the counterparty credit risk of a derivative instrument listed in Annex II to the CRR shall be determined in accordance with Chapter 6 of Title II of Part Three CRR. For liquidity facilities, credit facilities and servicer cash advances, institutions shall provide the undrawn amount. For interest rate and currency swaps, the exposure value (calculated in accordance with Article 248(1) CRR) shall be provided. Off-balance sheet items and derivatives shall be broken down to capture information regarding the application of differentiated capital treatment, as referred to in Article 270 CRR, in rows 0150 and 0170 and on the total amount of senior securitisation positions, as defined in Article 242(6) CRR, in rows 0160 and 0180. The same legal references as for rows 0100 to 0130 shall apply.
0150, 0270 and 0390	QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT Total amount of securitisation positions which fulfil the criteria of Article 243 or Article 270 CRR and therefore qualify for differentiated capital treatment.
0200	INVESTOR: TOTAL EXPOSURES This row summarises information on on-balance and off-balance sheet items and derivatives of those securitisation and re-securitisation positions for which the institution plays the role of an investor. For the purposes of this template, an investor shall be understood as an institution that holds a securitisation position in a securitisation transaction for which it is neither originator nor sponsor.
0320	SPONSOR: TOTAL EXPOSURES This row summarises information on on-balance and off-balance sheet items and derivatives of those securitisation and re-securitisation positions for which the institution plays the role of a sponsor, as defined in point (14) of Article 4(1) CRR. If a sponsor is also securitising its own assets, it shall fill in the originator’s rows with the information regarding its own securitised assets.
0440-0670	BREAKDOWN OF OUTSTANDING POSITIONS BY CQS AT INCEPTION These rows gather information on outstanding positions (at reporting date) for which a credit quality step (as laid down in Tables 1 and 2 of Article 263 and Tables 3 and 4 of Article 264 CRR) was determined at origination date (inception). For securitisations positions treated under IAA, the CQS shall be the one at the time an IAA rating was first assigned. In the absence of this information, the earliest CQS-equivalent data available shall be reported. These rows are only to be reported for columns 0180-0210, 0280, 0350-0640, 0700-0720, 0740, 0760-0830 and 0850.

3.9. DETAILED INFORMATION ON SECURITISATIONS (SEC DETAILS)

3.9.1. Scope of the SEC DETAILS template
109. These templates gather information on a transaction basis (versus the aggregate information reported in CR SEC, MKR SA SEC, MKR SA CTP, CA1 and CA2 templates) on all securitisations the reporting institution is involved in. The main features of each securitisation, such as the nature of the underlying pool and the own funds requirements shall be reported.

110. These template are to be reported for:
a. Securitisations originated/sponsored by the reporting institution, including where it holds no position in the securitisation. In cases where institutions hold at least one position in the securitisation, regardless of whether there has been a significant risk transfer or not, institutions shall report information on all the positions they hold (either in the banking book or trading book). Positions held include those positions retained due to Article 6 of Regulation (EU) 2017/2402 and, where Article 43(6) of that Regulation applies, Article 405 CRR in the version applicable on 31 December 2018 .
b. Securitisations, the ultimate underlying of which are financial liabilities originally issued by the reporting institution and (partially) acquired by a securitisation vehicle. That underlying could include covered bonds or other liabilities and shall be identified as such in column 160.
c. Positions held in securitisations where the reporting institution is neither originator nor sponsor (i.e. investors and original lenders).
111. These templates shall be reported by consolidated groups and stand-alone institutions located in the same country where they are subject to own funds requirements. In case of securitisations involving more than one entity of the same consolidated group, the entity-by-entity detail breakdown shall be provided.
‘ Stand alone institutions ’ are neither part of a group, nor consolidate themselves in the same country where they are subject to own funds requirements.
112. Because of Article 5 of Regulation (EU) 2017/2402, which establishes that institutions investing in securitisation positions shall acquire a great deal of information on them in order to comply with due diligence requirements, the reporting scope of the template shall be applied to investors to a limited extent. In particular, they shall report columns 010-040; 070-110; 161; 190; 290-300; 310-470.
113. Institutions playing the role of original lenders (not performing also the role of originators or sponsors in the same securitisation) shall generally report the template to the same extent as investors.

3.9.2. Breakdown of the SEC DETAILS template
113a. The SEC DETAILS consists of two templates. SEC DETAILS provides a general overview of the securitisations and SEC DETAILS 2 provides a breakdown of the same securitisations by approach applied.
113b. Securitisation positions in the trading book shall only be reported in columns 005-020, 420, 430, 431, 432, 440 and 450-470. For columns 420, 430 and 440, institutions shall take into account the RW corresponding to the own funds requirement of the net position.

3.9.3. C 14.00 – Detailed information on securitisations (SEC DETAILS)

ANNEX II Table 31: rows 1 - 62

3.9.4. C 14.01 – Detailed information on securitisations (SEC DETAILS 2)

113c. The template SEC DETAILS 2 shall be reported separately for the following approaches:
1) SEC-IRBA;
2) SEC-SA;
3) SEC-ERBA;
4) 1 250  %.
Columns	
005	ROW NUMBER The row number is a row identifier and shall be unique for each row in the template. It shall follow the numerical order 1, 2, 3, etc.
010	INTERNAL 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 transaction.
020	IDENTIFIER OF THE SECURITISATION (Code/Name) Code used for the legal registration of the securitisation position, or transaction in case of several positions that can be reported in the same row, or, if not available, the name by which the securitisation position or transaction is known in the market, or within the institution in the case of an internal or private securitisation. Where the International Securities Identification Number -ISIN- is available (i.e. for public transactions), the characters that are common to all tranches of the securitisation shall be reported in this column.
310-400	SECURITISATION POSITIONS: ORIGINAL EXPOSURE PRE-CONVERSION FACTORS This block of columns gathers information on the securitisation positions broken down by on/off balance sheet positions and the tranches (senior/mezzanine/first loss) at reporting date.
310-330	ON-BALANCE SHEET ITEMS The same criteria of classification among tranches used for columns 230, 240 and 250 shall be applied here.
340-361	OFF-BALANCE SHEET ITEMS AND DERIVATIVES The same criteria of classification among tranches used for columns 260 to 280 shall be applied here.
351 and 361	RW CORRESPONDING TO PROTECTION PROVIDER/INSTRUMENT % RW of the eligible guarantor or % RW of the corresponding instrument that provides credit protection in accordance with Article 249 CRR.
370-400	MEMORANDUM ITEMS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES PRE-CONVERSION FACTORS This block of columns gathers additional information on the total off-balance sheet items and derivatives (which are already reported under a different breakdown in columns 340-361).
370	DIRECT CREDIT SUBSTITUTES (DCS) This column applies to those securitisation positions held by the originator and guaranteed with direct credit substitutes (DCS). In accordance with Annex I to CRR, the following full risk off-balance sheet items shall be regarded as DCS: Guarantees having the character of credit substitutes. Irrevocable standby letters of credit having the character of credit substitutes.
380	IRS/CRS IRS stands for Interest Rate Swaps, whereas CRS stands for Currency Rate Swaps. Those derivatives are listed in Annex II to the CRR.
390	LIQUIDITY FACILITIES Liquidity facilities (LF) as defined in Article 242(3) CRR.
400	OTHER Remaining off-balance sheet items.
411	EXPOSURE VALUE This information is closely related to column 0180 in the CR SEC template.
420	(-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS This information is closely related to column 0190 in the CR SEC 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. for securitisation schemes with significant risk transfer). For securitisation schemes without significant risk transfer (i.e. risk weighted exposure amount determined on the basis of securitised exposures), no data shall be reported in this column. In the case of securitisations of liabilities, this column shall not be reported. In the case of securitisations in the trading book, the RWEA concerning the specific risk shall be reported. See column 570 of MKR SA SEC, or columns 410 and 420 (the relevant for the own funds requirement) of MKR SA CTP, respectively.
431	(-) REDUCTION DUE TO RISK WEIGHT CAP Article 267 CRR
432	(-) REDUCTION DUE TO OVERALL CAP Article 268 CRR
440	TOTAL RISK WEIGHTED EXPOSURE AMOUNT AFTER CAP This column gathers information on the risk weighted exposure amount after caps applicable to the securitisation positions (i.e. for securitisation schemes with significant risk transfer). For securitisation schemes without significant risk transfer (i.e. own funds requirements determined on the basis of securitised exposures) no data shall be reported in this column. In the case of securitisations of liabilities, this column shall not be reported. In the case of securitisations in the trading book, the RWEA concerning the specific risk shall be reported. See column 600 of MKR SA SEC, or column 450 of MKR SA CTP, respectively.
447-448	MEMORANDUM ITEMS
447	RISK WEIGHTED EXPOSURE AMOUNT UNDER SEC-ERBA Articles 263 and 264 CRR. This column shall only be reported for rated transactions before cap and it shall not be reported for transactions under SEC-ERBA.
448	RISK WEIGHTED EXPOSURE AMOUNT UNDER SEC-SA Articles 261 and 262 CRR. This column shall be reported before cap and it shall not be reported for transactions under SEC-SA.
450-470	SECURITISATION POSITIONS – TRADING BOOK
450	CTP OR NON-CTP? Institutions shall 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.

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

4.1.2. 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) shall report the relevant indicator for the respective years in columns 010 to 030. Moreover, in case of a combined use of different approaches as referred in Article 314 CRR, institutions shall also report, for information purposes, relevant the indicator for the activities subject to AMA. The same shall apply for all other AMA banks. Hereafter, the term ‘ relevant indicator ’ refers to ‘ the sum of the elements ’ at the end of the financial year as referred to in point 1 in Table 1 of Article 316 CRR. Where the institution has less than 3 years of data on ‘ relevant indicator ’ available, the available historical data (audited figures) shall be assigned by priority to the corresponding columns in the template. Where, for instance, historical data for only one year is available, those data shall be reported in column 030. Where it seems reasonable, the forward looking estimates shall be included in column 020 (estimate of next year) and column 010 (estimate of year +2). Furthermore, where there are no historical data on ‘ relevant indicator ’ available, the institution may use forward-looking business estimates.
040-060	LOANS AND ADVANCES (IN THE CASE OF ASA APPLICATION) These columns shall be used to report the amounts of the loans and advances, as referred to in point (b) of Article 319(1) CRR, for business lines ‘ commercial banking ’ and ‘ retail banking ’ . Those amounts shall be used to calculate the alternative relevant indicator that leads to the own funds requirements corresponding to the activities subject to the alternative standard approach (point (a) of Article 319(1) CRR). For the ‘ commercial banking ’ business line, securities held in the non-trading book shall also be included.
070	OWN FUND REQUIREMENT The own fund requirement shall be calculated in accordance with the approaches used and in accordance withArticles 312 to 324 CRR The resulting amount shall be reported in column 070.
071	TOTAL OPERATIONAL RISK EXPOSURE AMOUNT Article 92(4) CRR Own funds requirements in column 070 multiplied by 12,5 .
080	OF WHICH: DUE TO AN ALLOCATION MECHANISM Where a permission to use the AMA at consolidated level (Article 18(1) CRR) has been granted in accordance with Article 312(2) CRR, operational risk capital shall be allocated between the different entities of the group on the basis of the methodology applied by the institutions to consider diversification effects in the risk measurement system used by a EU parent credit institution and its subsidiaries or jointly by the subsidiaries of an EU parent financial holding company or an EU parent mixed financial holding company. The result of that allocation shall be reported in this column.
090-120	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 point (a) of Article 322(2) CRR) shall reported.
110	(-) ALLEVIATION OF OWN FUNDS REQUIREMENTS DUE TO DIVERSIFICATION The diversification effect in column 110 shall be the difference between the sum of own funds requirements calculated separately for each operational risk class (i.e. a ‘ perfect dependence ’ situation) and the diversified own funds requirement calculated by taking into account correlations and dependencies (i.e. assuming less than ‘ perfect dependence ’ between the risk classes). The ‘ perfect dependence ’ situation occurs in the ‘ default case ’ , that is where the institution does not use explicit correlations structure between the risk classes, hence the AMA capital is calculated as the sum of the individual operational risk measures of the chosen risk classes. In that case, the correlation between the risk classes is assumed to be 100 % and the value in the column has to be set to zero. Conversely, where the institution calculates an explicit correlations structure between risk classes, it has to include in this column the difference between the AMA capital as stemming from the ‘ default case ’ and the AMA capital obtained after applying the correlations structure between the risk classes. The value reflects the ‘ diversification capacity ’ of the AMA model, that is the ability of the model to capture the not simultaneous occurrence of severe operational risk loss events. In column 110, the amount by which the assumed correlation structure decreases the AMA capital relative to the assumption of 100 % correlation has to be reported.
120	(-) 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 as referred to in Article 323 CRR shall be 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 CRR).
020	BANKING ACTIVITIES SUBJECT TO STANDARISED (TSA)/ALTERNATIVE STANDARDISED (ASA) APPROACHES The own funds requirement calculated in accordance with the TSA and ASA (Articles 317, 318 and 319 CRR) shall be reported.
030-100	SUBJECT TO TSA Where the TSA is used, the relevant indicator for each respective year shall be distributed in rows 030 to 100 amongst the business lines referred to in Table 2 of Article 317 CRR. The mapping of activities into business lines shall follow the principles described in Article 318 CRR.
110-120	SUBJECT TO ASA Institutions using the ASA (Article 319 CRR) shall report for the respective years the relevant indicator separately for each business line in rows 030 to 050 and 080 to 100 and in rows 110 and 120 for business lines ‘ commercial banking ’ and ‘ retail banking ’ . Rows 110 and 120 shall present the amount of the relevant indicator of activities subject to ASA, distinguishing between the amount corresponding to the business line ‘ commercial banking ’ and the amounts corresponding to the business line ‘ retail banking ’ (Article 319 CRR). There can be amounts for the rows corresponding to ‘ commercial banking ’ and ‘ retail banking ’ under the TSA (rows 060 and 070) as well as under the ASA rows 110 and 120 (e.g. if a subsidiary is subject to TSA whereas the parent entity is subject to ASA).
130	BANKING ACTIVITIES SUBJECT TO ADVANCED MEASUREMENT APPROACHES AMA The relevant data for AMA institutions (Article 312(2) and Articles 321, 322 and 323 CRR) shall be reported. Where different approaches are combined as indicated in Article 314 CRR, information on relevant indicator for activities subject to AMA shall be reported. The same shall apply for all other AMA banks.

4.2. 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 by event types and business lines. Template C 17.02 (OPR DETAILS 2) provides detailed information on the largest loss events in the most recent year.
121. Operational risk losses that are related to credit risk and are subject to own funds requirements for credit risk (boundary credit-related operational risk events) are neither considered in template C 17.01 nor template C 17.02.
122. In case of a combined use of different approaches for the calculation of own funds requirements for operational risk in accordance with Article 314 CRR, losses and recoveries registered by an institution shall be reported in C 17.01 and C 17.02, irrespective of the approach applied to calculate own funds requirements.
123. ‘ Gross loss ’ means a loss – as referred to in point (b) of Article 322(3) CRR – stemming from an operational risk event or loss event type before recoveries of any kind, without prejudice to ‘ rapidly recovered loss events ’ as defined below.
124. ‘ Recovery ’ means an independent occurrence related to the original operational risk loss that is separate in time, in which funds or inflows of economic benefits are received from first or third parties, such as insurers or other parties. Recoveries are broken down into recoveries from insurance and other risk transfer mechanisms and direct recoveries.
125. ‘ Rapidly recovered loss events ’ means operational risk events that lead to losses that are partly or fully recovered within five working days. In case of a rapidly recovered loss event, only the part of the loss that is not fully recovered (i.e. the loss net of the partial rapid recovery) shall be included into the gross loss definition. As a consequence, loss events that lead to losses that are fully recovered within five working days shall not be included into the gross loss definition, and neither into the OPR DETAILS reporting.
126. ‘ Date of accounting ’ means the date when a loss or reserve/provision was first recognised in the Profit and Loss statement, against an operational risk loss. Those date logically follow the ‘ Date of occurrence ’ (i.e. the date when the operational risk event happened or first began) and the ‘ Date of discovery ’ (i.e. the date on which the institution became aware of the operational risk event).
127. Losses caused by a common operational risk event or by multiple events linked to an initial operational risk event generating events or losses ( ‘ root-event ’ ) are grouped. The grouped events shall be considered and reported as one event, and thus the related gross loss amounts, respectively amounts of loss adjustments, shall be summed up.
128. The figures reported in June of the respective year shall be interim figures, while the final figures shall be reported in December. Therefore, the figures in June shall have a six-month reference period (i.e. from 1 January to 30 June of the calendar year) while the figures in December shall have a twelve-month reference period (i.e. from 1 January to 31 December of the calendar year). Both for data reported in June and December, ‘ previous reporting reference periods ’ shall mean all reporting reference periods until and including the one ending at the preceding calendar year end.
129. In order to verify compliance with the criterion laid down in point (i) of Article 5(b)(2)(b) of this Implementing Regulation, an institution shall use the latest statistics as available in the Supervisory Disclosure webpage of EBA to get ‘the sum of individual balance sheet totals of all institutions within the same Member State’. In order to verify the criterion laid down in point (iii) of Article 5(b)2(b) of this Implementing Regulation, the gross domestic product at market prices as defined in point 8.89 of Annex A to Regulation (EU) No 549/2013 of the European Parliament and of the Council (ESA 2010) and published by Eurostat for the previous calendar year shall be used.
Regulation (EU) No 549/2013 of the European Parliament and of the Council of 21 May 2013 on the European system of national and regional accounts in the European Union ( OJ L 174 26.6.2013, p. 1 ).

4.2.2. C 17.01: Operational risk losses and recoveries by business lines and loss event types in the last year (OPR DETAILS 1)

4.2.2.1. General Remarks
130. In template C 17.01, the information shall be presented by distributing the losses and recoveries above internal thresholds amongst business lines (as listed in Table 2 of Article 317 CRR, including the additional business line ‘ corporate items ’ referred to in point (b) of Article 322(3) CRR) and loss event types (as referred to in in Article 324 CRR). It is possible that the losses corresponding to one loss event are distributed amongst several business lines.
131. Columns present the different loss event types and the totals for each business line, together with a memorandum item that shows the lowest internal threshold applied in the data collection of losses, revealing within each business line the lowest and the highest threshold where there is more than one threshold.
132. Rows present the business lines, and within each business line, information on the number of loss events (new loss events), the gross loss amount (new loss events), the number of loss events subject to loss adjustments, the loss adjustments relating to previous reporting periods, the maximum single loss, the sum of the five largest losses and the total loss recoveries (direct loss recoveries as well as recoveries from insurance and other risk transfer mechanisms).
133. For the total business lines, data on the number of loss events and the gross loss amount shall also be reported for certain ranges based on set thresholds, that is 10 000 , 20 000 , 100 000 , and 1 000 000 . The thresholds are set in EUR and are included for comparability purposes of the reported losses among institutions. Those thresholds do therefore not necessarily relate to the minimum loss thresholds used for the internal loss data collection, to be reported in another section of the template.

4.2.2.2. Instructions concerning specific positions
Columns	
0010-0070	EVENT TYPES Institutions shall report the losses in the respective columns 010 to 070 in accordance with the loss event types referred to in Article 324 CRR. Institutions that calculate their own funds requirement in accordance with the BIA may report those losses for which the loss event type is not identified in column 080 only.
0080	TOTAL LOSS EVENT TYPES In column 080, for each business line, institutions shall report the total ‘ number of loss events (new loss events) ’ , the total of ‘ gross loss amount (new loss events) ’ , the total ‘ number of loss events subject to loss adjustments ’ , the total of ‘ loss adjustments relating to previous reporting periods ’ , the ‘ maximum single loss ’ , the ‘ sum of the five largest losses ’ , the total of ‘ total direct loss recovery ’ and the total of ‘ total recovery from insurance and other risk transfer mechanisms ’ . Provided that the institution has identified the loss event types for all losses, column 080 shall show the simple aggregation of the number of loss events, the total gross loss amounts, the total loss recovery amounts and the ‘ loss adjustments relating to previous reporting periods ’ reported in columns 010 to 070. The ‘ maximum single loss ’ reported in column 080 shall be the maximum single loss within a business line and identical to the maximum of the ‘ maximum single losses ’ reported in columns 010 to 070, provided that the institution has identified the loss event types for all losses. For the sum of the five largest losses, in column 080 the sum of the five largest losses within one business line shall be reported.
0090-0100	MEMORANDUM ITEM: THRESHOLD APPLIED IN DATA COLLECTION Institutions shall report in columns 090 and 100 the minimum loss thresholds they are using for the internal loss data collection in accordance with the last sentence of point (c) of Article 322(3) CRR. Where the institution applies only one threshold for in each business line, only column 090 shall be filled in. Where there are different thresholds applied within the same regulatory business line, the highest applicable threshold (column 100) shall be filled in as well.
Rows	
0010-0880	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 referred to in Table 2 of Article 317(4) CRR, including the additional business line ‘ Corporate items ’ as referred to in point (b) of Article 322(3) CRR, and for each loss event type, the institution shall report, in accordance with the internal thresholds, the following information: number of loss events (new loss events), gross loss amount (new loss events), the number of loss events subject to loss adjustments, loss adjustments relating to previous reporting periods, maximum single loss, sum of the five largest losses, total direct loss recovery and the total recovery from insurance and other risk transfer mechanisms. For a loss event that affects more than one business line the ‘ gross loss amount ’ shall be distributed amongst all the affected business lines. Institutions that calculate their own funds requirement in accordance with the BIA can report those losses for which the business line is not identified in rows 910-980 only.
0010, 0110, 0210, 0310, 0410, 0510, 0610, 0710, 0810	Number of loss events (new loss events) The number of loss events is the number of loss events for which gross losses were accounted for within the reporting reference period. The number of loss events shall refer to ‘ new events ’ , i.e. operational risk events: (i) ‘ accounted for the first time ’ within the reporting reference period; or (ii) ‘ accounted for the first time ’ within a previous reporting reference period, where the loss event was not included in any previous supervisory report, e.g. because it was identified as operational risk loss event only in the current reporting reference period or because the accumulated loss attributable to that loss event (i.e. the original loss plus/minus all loss adjustments made in previous reporting reference periods) exceeded the internal data collection threshold only in the current reporting reference period. ‘ New loss events ’ do not include loss events ‘ accounted for the first time ’ within a previous reporting reference period, which were already included in previous supervisory reports.
0020, 0120, 0220, 0320, 0420, 0520, 0620, 0720, 0820	Gross loss amount (new loss events) The gross loss amount shall be the gross loss amounts pertinent to operational risk loss events (e.g. direct charges, provisions, settlements). All losses related to a single loss event which are accounted for within the reporting reference period shall be summed up and considered as the gross loss for that loss event for that reporting reference period. The reported gross loss amount shall refer to ‘ new loss events ’ as referred to in the row above of this table. For loss events ‘ accounted for the first time ’ within a previous reporting reference period which were not included in any previous supervisory report, the total loss accumulated until the reporting reference date (i.e. the original loss plus/minus all loss adjustments made in previous reporting reference periods) shall be reported as the gross loss at the reporting reference date. The amounts to be reported shall not take into account obtained recoveries.
0030, 0130, 0230, 0330, 0430, 0530, 0630, 0730, 0830	Number of loss events subject to loss adjustments The number of loss events subject to loss adjustments shall be the number of operational risk loss events ‘ accounted for the first time ’ in previous reporting reference periods and already included in previous reports, for which loss adjustments were made in the current reporting reference period. Where more than one loss adjustment was made for a loss event within the reporting reference period, the sum of those loss adjustments shall be counted as one adjustment in the period.
0040, 0140, 0240, 0340, 0440, 0540, 0640, 0740, 0840	Loss adjustments relating to previous reporting periods Loss adjustments relating to previous reporting reference periods shall the sum of the following elements (positive or negative): (i) the gross loss amounts pertinent to positive loss adjustments made within the reporting reference period (e.g. increase of provisions, linked loss events, additional settlements) of operational risk events ‘ accounted for the first time ’ and reported in previous reporting reference periods; (ii) the gross loss amounts pertinent to negative loss adjustments made within the reporting reference period (e.g. due to decrease of provisions) of operational risk loss events ‘ accounted for the first time ’ and reported in previous reporting reference periods.
	Where more than one loss adjustment was made for a loss event within the reporting reference period, the amounts of all those loss adjustments shall be summed up, taking into account the sign of the adjustments (positive, negative). That sum shall be considered as the loss adjustment for that loss event for that reporting reference period. Where, due to a negative loss adjustment, the adjusted loss amount attributable to a loss event falls below the internal data collection threshold of the institution, the institution shall report the total loss amount for that loss event accumulated until the last time when the event was reported for a December reference date (i.e. the original loss plus/minus all loss adjustments made in previous reporting reference periods) with a negative sign instead of the amount of the negative loss adjustment itself. The amounts to be reported shall not take into account obtained recoveries.
0050, 0150, 0250, 0350, 0450, 0550, 0650, 0750, 0850	Maximum single loss The maximum single loss is the larger of: (i) the largest gross loss amount related to a loss event reported for the first time within the reporting reference period; and (ii) the largest positive loss adjustment amount (as referred to in rows 0040, 0140, …, 0840 above) related to a loss event reported for the first time within a previous reporting reference period. The amounts to be reported shall not take into account obtained recoveries.
0060, 0160, 0260, 0360, 0460, 0560, 0660, 0760, 0860	Sum of the five largest losses The sum of the five largest losses shall be the sum of the five largest amounts amongst: (i) the gross loss amounts for loss events reported for the first time within the reporting reference period; and (ii) the positive loss adjustment amounts (as defined for rows 0040, 0140, …, 0840 above) relating to loss events reported for the first time within a previous reporting reference period. The amount which can qualify as one of the five largest ones shall be the amount of the loss adjustment itself, not the total loss associated with the respective loss event before or after the loss adjustment. The amounts to be reported shall not take into account obtained recoveries.
0070, 0170, 0270, 0370, 0470, 0570, 0670, 0770, 0870	Total direct loss recovery Direct loss recoveries shall be all loss recoveries obtained, except those which are subject to Article 323 CRR as referred to in the row of this table below. The total direct loss recovery shall be the sum of all the direct recoveries and adjustments to direct recoveries accounted for within the reporting period and pertinent to operational risk loss events accounted for the first time within the reporting reference period or in previous reporting reference periods.
0080, 0180, 0280, 0380, 0480, 0580, 0680, 0780, 0880	Total recovery from insurance and other risk transfer mechanisms Recoveries from insurance and other risk transfer mechanisms shall be those recoveries which are subject to Article 323 CRR. The total recovery from insurance and other risk transfer mechanisms shall be the sum of all recoveries from insurance and other risk transfer mechanisms and adjustments to such recoveries accounted for within the reporting reference period and pertinent to operational risk loss events accounted for the first time within the reporting reference period or in previous reporting reference periods.
0910-0980	TOTAL BUSINESS LINES For each loss event type (column 0010 to 0080), the information on total business lines has to be reported.
0910-0914	Number of loss events In row 0910, the number of loss events above the internal threshold by loss event types for the total business lines shall be reported. This figure may be lower than the aggregation of the number of loss events by business lines since the loss events with multiple impacts (impacts in different business lines) shall be considered as one. It may be higher, where an institution calculating its own funds requirements in accordance with the BIA cannot identify the business line(s) affected by the loss in every case. In rows 0911 – 0914, the number of loss events with a gross loss amount within the ranges defined in the pertinent rows of the template shall be reported. Provided that the institution has assigned all its losses to a business line listed in Table 2 of Article 317(4) CRR or the business line ‘ corporate items ’ as referred to in point (b) of Article 322(3) CRR or that it has identified the loss event types for all losses, the following shall apply for column 080, as appropriate: The total number of loss events reported in rows 0910 to 0914 shall be equal to the horizontal aggregation of the number of loss events in the corresponding row, because in those figures the loss events with impacts in different business lines shall already have been considered as one loss event. The figure reported in column 0080, row 0910 shall not necessarily be equal to the vertical aggregation of the number of loss events which are included in column 080, because one loss event can have an impact in different business lines simultaneously.
0920-0924	Gross loss amount (new loss events) Provided that the institution has assigned all its losses either to a business line listed in Table 2 of Article 317(4) CRR or the business line ‘ corporate items ’ referred to in point (b) of Article 322(3) CRR, the gross loss amount (new loss events) reported in row 0920 shall be the simple aggregation of the gross loss amounts of new loss events for each business line. In rows 0921 – 0924, the gross loss amount for loss events with a gross loss amount within the ranges defined in the pertinent rows shall be reported.
0930, 0935, 0936	Number of loss events subject to loss adjustments In row 0930, the total of the numbers of loss events subject to loss adjustments as reported in rows 0030, 0130, …, 0830 shall be reported. That figure may be lower than the aggregation of the number of loss events subject to loss adjustments by business lines since loss events with multiple impacts (impacts in different business lines) shall be considered as one. It may be higher, where an institution calculating its own funds requirements in accordance with the BIA cannot identify the business line(s) affected by the loss in every case. The number of loss events subject to loss adjustments shall be broken down into the number of loss events for which a positive loss adjustment was made within the reporting reference period and the number of loss events for which a negative loss adjustment was made within the reporting period (all reported with a positive sign).
0940, 0945, 0946	Loss adjustments relating to previous reporting periods In row 0940, the total of the loss adjustment amounts relating to previous reporting periods per business lines (as reported in rows 0040, 0140, …, 0840) shall be reported. Provided that the institution has assigned all its losses either to a business line listed in Table 2 of Article 317(4) CRR or the business line ‘ corporate items ’ referred to in point (b) of Article 322(3) CRR, the amount reported in row 0940 shall be the simple aggregation of the loss adjustments relating to previous reporting periods reported for the different business lines. The amount of loss adjustments shall be broken down into the amount related to loss events for which a positive loss adjustment was made in the reporting reference period (row 0945, reported with as positive figure) and the amount related to loss events for which a negative loss adjustment was made within the reporting period (row 0946, reported as negative figure). Where, due to a negative loss adjustment, the adjusted loss amount attributable to a loss event falls below the internal data collection threshold of the institution, the institution shall report the total loss amount for that loss event accumulated until the last time when the loss event was reported for a December reference date (i.e. the original loss plus/minus all loss adjustments made in previous reporting reference periods) with a negative sign in row 946 instead of the amount of the negative loss adjustment itself.
0950	Maximum single loss Provided that the institution has assigned all its losses either to a business line listed in Table 2 of Article 317(4) CRR or the business line ‘ corporate items ’ referred to in point (b) of Article 322(3) CRR, the maximum single loss shall be the maximum loss over the internal threshold for each loss event type and amongst all business lines. Those figures may be higher than the highest single loss recorded in each business line where a loss event impacts different business lines. Provided that the institution has assigned all its losses either to a business line listed in Table 2 of Article 317(4) CRR or the business line ‘ corporate items ’ referred to in point (b) of Article 322(3) CRR respectively that it has identified the loss event types for all losses, the following shall apply for column 0080: The maximum single loss reported shall be equal to the highest of the values reported in columns 0010 – 0070 of this row. Where there are loss events having an impact in different business lines, the amount reported in {r950, c080} may be higher than the amounts of ‘ Maximum single loss ’ per business line reported in other rows of column 080.
0960	Sum of the five largest losses The sum of the five largest gross losses for each loss event type and amongst all business lines shall be reported. That sum may be higher than the highest sum of the five largest losses recorded in each business line. That sum has to be reported regardless of the number of losses. Provided that the institution has assigned all its losses either to a business line listed in Table 2 of Article 317(4) CRR or the business line ‘ corporate items ’ referred to in point (b) of Article 322(3) CRR and that it has identified the loss event types for all losses, for column 0080, the sum of the five largest losses shall be the sum of the five largest losses in the whole matrix, which means that it is not necessarily equal to either the maximum value of ‘ sum of the five largest losses ’ in row 0960 or the maximum value of ‘ sum of the five largest losses ’ in column 0080.
0970	Total direct loss recovery Provided that the institution has assigned all its losses either to a business line listed in Table 2 of Article 317(4) CRR or the business line ‘ corporate items ’ referred to in point (b) of Article 322(3) CRR, the total direct loss recovery shall be the simple aggregation of the total direct loss recovery for each business line.
0980	Total recovery from insurance and other risk transfer mechanisms Provided that the institution has assigned all its losses either to a business line listed in Table 2 of Article 317(4) CRR or the business line ‘ corporate items ’ referred to in point (b) of Article 322(3) CRR, the total recovery from insurance and other risk transfer mechanisms shall be the simple aggregation of the total loss recovery from insurance and other risk transfer mechanisms for each business line.

4.2.3. C 17.02: Operational risk: Detailed information on the largest loss events in the last year (OPR DETAILS 2)

4.2.3.1. General Remarks
134. In template C 17.02, information on individual loss events shall be provided (one row per loss event).

135. The information reported in this template shall refer to ‘new loss events’, i.e. operational risk events:
(a) ‘ accounted for the first time ’ within the reporting reference period; or
(b) ‘ accounted for the first time ’ within a previous reporting reference period, where the loss event was not included in any previous supervisory report, e.g. because it was identified as operational risk loss event only in the current reporting reference period or because the accumulated loss attributable to that loss event (i.e. the original loss plus/minus all loss adjustments made in previous reporting reference periods) exceeded the internal data collection threshold only in the current reporting reference period.

136. Only loss events entailing a gross loss amount of 100 000 € or more shall be reported.
Subject to that threshold:
(a) the largest event for each event type, provided that the institution has identified the event types for losses; and
(b) at least the ten largest of the remaining events with or without identified event type by gross loss amount shall be included in the template.
(c) Loss events shall be ranked based on the gross loss attributed to them.
(d) A loss event shall only be considered once.

4.2.3.2. Instructions concerning specific positions
Columns	
0010	Event ID The event ID is a row identifier and shall be unique for each row in the template. Where an internal ID is available, institutions shall provide the internal ID. Otherwise, the reported ID shall follow the numerical order 1, 2, 3, etc.
0020	Date of Accounting Date of accounting means the date where a loss or reserve/provision against an operational risk loss was first recognised in the Profit and Loss statement.
0030	Date of occurrence Date of occurrence shall be the date when the operational risk loss event happened or first began.
0040	Date of discovery Date of discovery shall be the date on which the institution became aware of the operational risk loss event.
0050	Loss event type Loss event types as referred to in Article 324 CRR.
0060	Gross loss Gross loss related to the loss event reported in rows 0020, 0120 etc. of template C 17.01
0070	Gross loss net of direct recoveries Gross loss related to the loss event reported in rows 0020, 0120 etc. of template C 17.01, net of direct recoveries pertinent to that loss event
0080 – 0160	Gross loss by business line The gross loss as reported in column 0060 shall be allocated to the relevant business lines as referred to in Table 2 of Article 317(4) CRR and point (b) of Article 322(3) CRR.
0170	Legal Entity name Name of the legal entity as reported in column 010 of C 06.02 where the loss – or the greatest share of the loss, if several entities were affected – occurred.
0180	Legal Entity ID LEI code of the legal entity as reported in column 025 of C 06.02 where the loss – or the greatest share of the loss, if several entities were affected – occurred.
0190	Business Unit Business unit or corporate division of the institution where the loss – or the greatest share of the loss if several business units or corporate divisions were affected – occurred.
0200	Description Narrative description of the loss event, where necessary in a generalised or anonymised manner, which shall comprise at least information about the event itself and information about the drivers or causes of the loss event, where known.

5. MARKET RISK TEMPLATES
137. These instructions refer to the templates for the reporting of the calculation of own funds requirements in accordance with the Standardised Approach for foreign exchange risk (MKR SA FX), commodities risk (MKR SA COM), interest rate risk (MKR SA TDI, MKR SA SEC, MKR SA CTP) and equity risk (MKR SA EQU). Additionally, instructions for the template for the reporting of the calculation of own funds requirements in accordance with the internal models approach (MKR IM) are included in this part.
138. The position risk on a traded debt instrument or equity (or debt or equity derivative) shall be divided into two components in order to calculate the capital required against it. The first shall be its specific-risk component – that is the risk of a price change in the instrument concerned due to factors related to its issuer or, in the case of a derivative, the issuer of the underlying instrument. The second component shall cover its general risk – that is the risk of a price change in the instrument due (in the case of a traded debt instrument or debt derivative) to a change in the level of interest rates or (in the case of an equity or equity derivative) to a broad equity- market movement unrelated to any specific attributes of individual securities. The general treatment of specific instruments and netting procedures can be found in Articles 326 to 333 CRR.

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

5.1.1. General Remarks
139. This template captures the positions and the related own funds requirements for position risks on traded debt instruments under the Standardised Approach (Article 102 and Article 105(1) CRR). The different risks and methods available under CRR are considered by rows. The specific risk associated with exposures included in MKR SA SEC and MKR SA CTP has only to be reported in the Total template of the MKR SA TDI. The own funds requirements reported in those templates shall be transferred to cell {325;060} (securitisations) and {330;060} (CTP) respectively.
140. The template has to be filled out separately for the ‘ Total ’ , plus a pre-defined list of following currencies: EUR, ALL, BGN, CZK, DKK, EGP, GBP, HRK, HUF, ISK, JPY, MKD, NOK, PLN, RON, RUB, RSD, SEK, CHF, TRY, UAH, USD and one residual template for all other currencies.

5.1.2. Instructions concerning specific positions
Columns	
010-020	ALL POSITIONS (LONG AND SHORT) Article 102 and Article 105(1) CRR. These are gross positions not netted by instruments but excluding underwriting positions subscribed or sub-underwritten by third parties in accordance with the second sentence of the first subparagraph of Article 345(1) CRR. Regarding the distinction between Long and Short positions, also applicable to these gross positions, see Article 328(2) CRR.
030-040	NET POSITIONS (LONG AND SHORT) Articles 327 to 329 and Article 334 CRR. Regarding the distinction between Long and Short positions, see Article 328(2) CRR.
050	POSITIONS SUBJECT TO CAPITAL CHARGE Those net positions that, in accordance with the different approaches considered in Chapter 2 of Title IV of Part Three CRR, receive a capital charge.
060	OWN FUNDS REQUIREMENTS The capital charge for any relevant position in accordance with Chapter 2 of Title IV of Part Three CRR.
070	TOTAL RISK EXPOSURE AMOUNT Point (b) of Article 92(4) CRR. Result of the multiplication of the own funds requirements by 12,5 .
Rows	
010-350	TRADED DEBT INSTRUMENTS IN TRADING BOOK Positions in traded debt instruments in Trading Book and their correspondent own funds requirements for position risk in accordance with point (b)(i) of Article 92(3) CRR and Chapter 2 of Title IV of Part Three CRR shall be reported depending on risk category, maturity and approach used.
011	GENERAL RISK.
012	Derivatives Derivatives included in the calculation of interest rate risk of trading book positions, taking into account Articles 328 to 331 CRR, where applicable.
013	Other assets and liabilities Instruments other than derivatives included in the calculation of interest rate risk of trading book positions.
020-200	MATURITY BASED APPROACH Positions in traded debt instruments subject to the maturity-based approach referred to in paragraphs 1 to 8 of Article 339 CRR and the corresponding own funds requirements calculated in accordance with Article 339(9) CRR. The position shall be split by zones 1, 2 and 3 and those zones shall be split by the maturity of the instruments.
210-240	GENERAL RISK. DURATION BASED APPROACH Positions in traded debt instruments subject to the duration-based approach referred to in paragraphs 1 to 6 of Article 340 CRR and the corresponding own funds requirements calculated in accordance with Article 340(7) CRR. The position shall be split by zones 1, 2 and 3.
250	SPECIFIC RISK Sum of amounts reported in rows 251, 325 and 330. Positions in traded debt instruments subject to the specific risk capital requirements and their corresponding capital requirements in accordance with point (b) of Article 92(3) and Article 335, paragraphs 1, 2 and 3 of Article 336 and Articles 337 and 338 CRR. Be also aware of the last sentence in Article 327(1) CRR.
251-321	Own funds requirement for non-securitisation debt instruments Sum of the amounts reported in rows 260 to 321. The own funds requirement of the n-th to default credit derivatives which are not rated externally shall be calculated by summing up the risk weights of the reference entities (point (e) of Article 332(1) CRR and the second subparagraph of Article 332(1) CRR – ‘ look-through ’ ). N-th-to-default credit derivatives which are rated externally (the third subparagraph of Article 332(1) CRR) shall be reported separately in line 321. Reporting of positions subject to Article 336(3) CRR: There is a special treatment for bonds which qualify for a 10 % risk weight in the banking book in accordance with Article 129(3) CRR (covered bonds). The specific own funds requirements shall be half of the percentage of the second category referred to in Table 1 of Article 336 CRR. Those positions have to be assigned to rows 280-300 in accordance with the residual term to final maturity. Where the general risk of interest rate positions is hedged by a credit derivative, Articles 346 and 347 CRR shall be applied.
325	Own funds requirement for securitisation instruments Total own funds requirements reported in column 610 of template MKR SA SEC. Those total own funds requirements shall only be reported on Total level of the MKR SA TDI.
330	Own funds requirement for the correlation trading portfolio Total own funds requirements reported in column 450 of template MKR SA CTP. Those total own funds requirements shall only be reported on Total level of the MKR SA TDI.
350-390	ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS) Article 329(3) CRR. The additional requirements for options related to non-delta risks shall be reported broken down by the method used for their calculation.

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

5.2.1. General Remarks
141. This template requests information on positions (all/net and long/short) and the related own funds requirements for the specific risk component of position risk in securitisations/re-securitisations held in the trading book (not eligible for correlation trading portfolio) under the Standardised Approach.
142. The MKR SA SEC template presents the own funds requirement only for the specific risk of securitisation positions in accordance with Article 335 CRR in connection with 337 CRR. Where securitisation positions of the trading book are hedged by credit derivatives, Articles 346 and 347 CRR apply. There is only one template for all positions of the trading book, irrespective of the approach institutions apply to determine the risk weight for each of the positions in accordance with Chapter 5 of Title II of Part Three CRR. The own funds requirements of the general risk of those positions shall be reported in the MKR SA TDI or the MKR IM template.
143. Positions which receive a risk weight of 1 250  % can alternatively be deducted from CET1 (see point (b) of Article 244(1), point (b) of Article 245(1) and Article 253 CRR). Where this is the case, those positions have to be reported in row 460 of CA1.

5.2.2. Instructions concerning specific positions
Columns	
010-020	ALL POSITIONS (LONG AND SHORT) Article 102 and Article 105(1) CRR in conjunction with Article 337 CRR (securitisation positions). Regarding the distinction between Long and Short positions, also applicable to those gross positions, see Article 328(2) CRR.
030-040	(-) POSITIONS DEDUCTED FROM OWN FUNDS (LONG AND SHORT) Point (b) of Article 244(1), point (b) of Article 245(1) and Article 253 CRR
050-060	NET POSITIONS (LONG AND SHORT) Articles 327, 328, 329 and 334 CRR. Regarding the distinction between long and short positions, see Article 328(2) CRR.
061-104	BREAKDOWN OF THE NET POSITIONS BY RISK WEIGHTS Articles 259 to 262, Tables 1 and 2 of Article 263, Tables 3 and 4 of Article 264 and Article 266 CRR. The breakdown shall be done separately for long and short positions.
402-406	BREAKDOWN OF THE NET POSITIONS BY APPROACHES Article 254 CRR
402	SEC-IRBA Article 259 and 260 CRR
403	SEC-SA Article 261 and 262 CRR
404	SEC-ERBA Article 263 and 264 CRR
405	INTERNAL ASSESSMENT APPROACH Articles 254 and 265 CRR and Article 266(5) CRR.
406	OTHER (RW = 1 250  %) Article 254(7) CRR
530-540	OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF CHAPTER 2 OF REGULATION (EU) 2017/2402 Article 270a CRR
570	BEFORE CAP Article 337 CRR, without taking into account the discretion of Article 335 CRR which allows an institution to cap the product of the weight and the net position at the maximum possible default-risk related loss.
601	AFTER CAP/TOTAL OWN FUND REQUIREMENTS Article 337 CRR, taking into account the discretion of Article 335 CRR.
Rows	
010	TOTAL EXPOSURES Total amount of outstanding securitisations and re-securitisations (held in the trading book) reported by the institution playing the role/s of originator or investor or sponsor.
040, 070 and 100	SECURITISATION POSITIONS Point 62 of Article 4(1) CRR.
020, 050, 080 and110	RE-SECURITISATIONS POSITIONS Point 64 of Article 4(1) CRR
041, 071 and 101	OF WHICH: QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT Total amount of securitisation positions which fulfil the criteria of Article 243 CRR or Article 270 CRR and therefore qualify for differentiated capital treatment.
030-050	ORIGINATOR Point (13) of Article 4(1) CRR
060-080	INVESTOR Credit institution that holds a securitisation positions in a securitisation transaction for which it is neither originator, sponsor nor original lender.
090-110	SPONSOR Point (14) of Article 4(1) CRR. A sponsor that also securitises its own assets shall fill in the originator’s rows with the information regarding its own securitised assets.

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

5.3.1. General Remarks
144. This template requests information on positions of the Correlation Trading Portfolio (CTP) (comprising securitisations, nth-to-default credit derivatives and other CTP positions included in accordance with Article 338(3) CRR) and the corresponding own funds requirements under the Standardised Approach.
145. The MKR SA CTP template presents the own funds requirement only for the specific risk of positions assigned to the CTP in accordance with Article 335 CRR in conjunction with paragraphs 2 and 3 of Article 338 CRR. If CTP-positions of the trading book are hedged by credit derivatives, Articles 346 and 347 CRR apply. There is only one template for all CTP-positions of the trading book, irrespective of the approach institutions apply to determine the risk weight for each of the positions in accordance with Chapter 5 of Title II of Part Three CRR. The own funds requirements for the general risk of these positions are reported in the MKR SA TDI or the MKR IM template.
146. The template separates securitisation positions, n-th to default credit derivatives and other CTP-positions. Securitisation positions shall always be reported in rows 030, 060 or 090 (depending on the role of the institution in the securitisation). N-th to default credit derivatives shall always be reported in row 110. The ‘ other CTP-positions ’ are positions that are neither securitisation positions nor n-th to default credit derivatives (see Article 338(3) CRR), but they are explicitly ‘ linked ’ to one of those two positions (because of the hedging intent).
147. Positions which receive a risk weight of 1 250  % can alternatively be deducted from CET1 (see point (b) of Article 244(1), point (b) of Article 245(1) and Article 253 CRR). Where this is the case, those positions have to be reported in row 460 of CA1.

5.3.2. Instructions concerning specific positions
Columns	
010-020	ALL POSITIONS (LONG AND SHORT) Article 102 and Article 105(1) CRR in conjunction paragraphs 2 and 3 of Article 338 CRR (positions assigned to the Correlation Trading Portfolio) Regarding the distinction between long and short positions, also applicable to those gross positions, see Article 328(2) CRR.
030-040	(-) POSITIONS DEDUCTED FROM OWN FUNDS (LONG AND SHORT) Article 253 CRR
050-060	NET POSITIONS (LONG AND SHORT) Articles 327, 328, 329 and 334 CRR Regarding the distinction between long and short positions, see Article 328(2) CRR.
071-097	BREAKDOWN OF THE NET POSITIONS BY RISK WEIGHTS Articles 259 to 262, Tables 1 and 2 of Article 263, Tables 3 and 4 of Article 264 and Article 266 CRR
402-406	BREAKDOWN OF THE NET POSITIONS BY APPROACHES Article 254 CRR
402	SEC-IRBA Articles 259 and 260 CRR
403	SEC-SA Articles 261 and 262 CRR
404	SEC-ERBA Articles 263 and 264 CRR
405	INTERNAL ASSESSMENT APPROACH Articles 254 and 265 and Article 266(5) CRR.
406	OTHER (RW = 1 250  %) Article 254(7) CRR
410-420	BEFORE CAP – WEIGHTED NET LONG/SHORT POSITIONS Article 338 CRR, without taking into account the discretion of Article 335 CRR
430-440	AFTER CAP – WEIGHTED NET LONG/SHORT POSITIONS Article 338 CRR, taking into account the discretion of Article 335 CRR
450	TOTAL OWN FUNDS REQUIREMENTS The own funds requirement is determined as the larger of either (i) the specific risk charge that would apply just to the net long positions (column 430) or (ii) the specific risk charge that would apply just to the net short positions (column 440).
Rows	
010	TOTAL EXPOSURES Total amount of outstanding positions (held in the correlation trading portfolio) reported by the institution playing the role/s of originator, investor or sponsor.
020-040	ORIGINATOR Point (13) of Article 4(1) CRR
050-070	INVESTOR Credit institution that holds a securitisation positions in a securitisation transaction for which it is neither originator, sponsor nor original lender
080-100	SPONSOR Point (14) of Article 4(1) CRR A sponsor that also securitises its own assets shall fill in the originator’s rows with the information regarding its own securitised assets.
030, 060 and 090	SECURITISATION POSITIONS The correlation trading portfolio shall comprise securitisations, n-th-to-default credit derivatives and possibly other hedging positions that meet the criteria set out in paragraphs 2 and 3 of Article 338 CRR. Derivatives of securitisation exposures that provide a pro-rata share as well as positions hedging CTP positions shall be included in row ‘ Other CTP positions ’ .
110	N-TH-TO-DEFAULT CREDIT DERIVATIVES N-th to default credit derivatives that are hedged by n-th-to-default credit derivatives in accordance with Article 347 CRR shall both be reported here. The positions originator, investor and sponsor do not fit for n-th to default credit derivatives. As a consequence, the breakdown as for securitisation positions cannot be provided for n-th to default credit derivatives.
040, 070, 100 and 120	OTHER CTP POSITIONS The following positions are included: Derivatives of securitisation exposures that provide a pro-rata share, as well as positions hedging CTP positions; CTP positions hedged by credit derivatives in accordance with Article 346 CRR; Other positions that satisfy Article 338(3) CRR.

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

5.4.1. General Remarks
148. This template requests information on the positions and the corresponding own funds requirements for position risk in equities held in the trading book and treated under the Standardised Approach.
149. The template has to be filled out separately for the ‘Total’, plus a static, pre-defined list of the following markets: Bulgaria, Croatia, Czech Republic, Denmark, Egypt, Hungary, Iceland, Liechtenstein, Norway, Poland, Romania, Sweden, United Kingdom, Albania, Japan, Former Yugoslav Republic of Macedonia, Russian Federation, Serbia, Switzerland, Turkey, Ukraine, USA, Euro Area plus one residual template for all other markets. For the purpose of this reporting requirement, the term ‘market’ shall be read as ‘country’ (except for countries belonging to the Euro Area, see Commission Delegated Regulation (EU) No 525/2014 .
Commission Delegated Regulation (EU) No 525/2014 of 12 March 2014 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards for the definition of market ( OJ L 148, 20.5.2014, p. 15 ).

5.4.2. Instructions concerning specific positions
Columns	
010-020	ALL POSITIONS (LONG AND SHORT) Article 102 and Article 105(1) CRR. These are gross positions not netted by instruments but excluding underwriting positions subscribed or sub-underwritten by third parties as referred to in the second sentence of the first subparagraph of Article 345(1) CRR.
030-040	NET POSITIONS (LONG AND SHORT) Articles 327, 329, 332, 341 and 345 CRR.
050	POSITIONS SUBJECT TO CAPITAL CHARGE Those net positions that, in accordance with the different approaches considered in Chapter 2 of Title IV of Part Three CRR receive a capital charge. The capital charge has to be calculated for each national market separately. Positions in stock-index futures as referred to in the second sentence of Article 344(4) CRR shall not be included in this column.
060	OWN FUNDS REQUIREMENTS The own funds requirement in accordance with Chapter 2 of Title IV of Part Three CRR for any relevant position
070	TOTAL RISK EXPOSURE AMOUNT Point (b) of Article 92(4) CRR. Result of the multiplication of the own funds requirements by 12,5 .
Rows	
010-130	EQUITIES IN TRADING BOOK Own funds requirements for position risk as referred to in point (b)(i) of Article 92(3) CRR and Section 3 of Chapter 2 of Title IV of Part Three CRR.
020-040	GENERAL RISK Positions in equities subject to general risk (Article 343 CRR) and their correspondent own funds requirement in accordance with Section 3 of Chapter 2 of Title IV of Part Three CRR Both breakdowns (021/022 as well as 030/040) are a breakdown related to all positions subject to general risk. Rows 021 and 022 request information on the breakdown by instruments. Only the breakdown in rows 030 and 040 shall be used as a basis for the calculation of own funds requirements.
021	Derivatives Derivatives included in the calculation of equity risk of trading book positions taking into account Articles 329 and 332 CRR, where applicable
022	Other assets and liabilities Instruments other than derivatives included in the calculation of equity risk of trading book positions.
030	Exchange traded stock-index futures broadly diversified and subject to a particular approach Exchange traded stock-index futures broadly diversified and subject to a particular approach in accordance with Commission Implementing Regulation (EU) No 945/2014 Commission Implementing Regulation (EU) No 945/2014 of 4 September 2014 laying down implementing technical standards with regard to relevant appropriately diversified indices according to Regulation (EU) No 575/2013 of the European Parliament and of the Council Those positions shall be only subject to general risk and, accordingly, must not be reported in row 050.
040	Other equities than exchange traded stock-index futures broadly diversified Other positions in equities subject to specific risk as well as the correspondent own funds requirements in accordance with Article 343 CRR, including positions in stock index futures treated in accordance with Article 344(3) CRR
050	SPECIFIC RISK Positions in equities subject to specific risk and the correspondent own funds requirement in accordance with Article 342 CRR, excluding positions in stock-index futures treated in accordance with the second sentence of Article 344(4) CRR
090-130	ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS) Paragraphs 2 and 3 of Article 329 CRR The additional requirements for options related to non-delta risks shall be reported in the method used for its calculation.

5.5. C 22.00 – MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK (MKR SA FX)

5.5.1. General Remarks
150. Institutions shall report information on the positions in each currency (reporting currency included) and the corresponding own funds requirements for foreign exchange risk treated under the Standardised Approach. The position shall be calculated for each currency (including EUR), gold, and positions to CIUs.
151. Rows 100 to 480 of this template shall be reported even where institutions are not required to calculate own funds requirements for foreign exchange risk in accordance with Article 351 CRR. In those memorandum items, all the positions in the reporting currency are included, irrespective of whether they are considered for the purposes of Article 354 CRR. Rows 130 to 480 of the memorandum items of the template shall be filled out separately for all currencies of the Member States of the Union, the currencies: USD, CHF, JPY, RUB, TRY, AUD, CAD, RSD, ALL, UAH, MKD, EGP, ARS, BRL, MXN, HKD, ICK, TWD, NZD, NOK, SGD, KRW, CNY and all other currencies.

5.5.2. Instructions concerning specific positions
Columns	
020-030	ALL POSITIONS (LONG AND SHORT) Gross positions due to assets, amounts to be received and similar items referred to in Article 352(1) CRR In accordance with Article 352(2) CRR and subject to permission from competent authorities, positions taken to hedge against the adverse effect of the exchange rate on their ratios in accordance with Article 92(1) CRR and positions related to items that are already deducted in the calculation of own funds shall not be reported.
040-050	NET POSITIONS (LONG AND SHORT) Article 352(3), the first two sentences of Article 352(4), and Article 353 CRR The net positions are calculated by each currency in accordance with Article 352(1) CRR. Consequently, both long and short positions may be reported at the same time.
060-080	POSITIONS SUBJECT TO CAPITAL CHARGE The third sentence of Article 352(4) and Articles 353 and 354 CRR
060-070	POSITIONS SUBJECT TO CAPITAL CHARGE (LONG AND SHORT) The long and short net positions for each currency shall be calculated by deducting the total of short positions from the total of long positions. Long net positions for each operation in a currency shall be added to obtain the long net position in that currency. Short net positions for each operation in a currency shall be added to obtain the short net position in that currency. Unmatched positions in non-reporting currencies shall be added to positions subject to capital charges for other currencies (row 030) in column 060 or 070, depending on their short or long arrangement.
080	POSITIONS SUBJECT TO CAPITAL CHARGE (MATCHED) Matched positions for closely correlated currencies.
090	OWN FUNDS REQUIREMENTS The capital charge for any relevant position in accordance with Chapter 3 of Title IV of Part Three CRR
100	TOTAL RISK EXPOSURE AMOUNT Point (b) of Article 92(4) CRR. Result of the multiplication of the own funds requirements by 12,5 .
Rows	
010	TOTAL POSITIONS All positions in non-reporting currencies and those positions in the reporting currency that are considered for the purposes of Article 354 CRR as well as their correspondent own funds requirements for the foreign-exchange risk referred to in point (c)(i) of Article 92(3), taking into account paragraphs 2 and 4 of Article 352 CRR (for conversion into the reporting currency).
020	CURRENCIES CLOSELY CORRELATED Positions and their correspondent own funds requirements for closely correlated currencies as referred to in Article 354 CRR.
025	Currencies closely correlated: of which : reporting currency Positions in the reporting currency which contribute to the calculation of the capital requirements in accordance with Article 354 CRR.
030	ALL OTHER CURRENCIES (including CIU’s treated as different currencies) Positions and their correspondent own funds requirements for currencies subject to the general procedure referred to in Article 351 and paragraphs 2 and 4 of Article 352 CRR. Reporting of CIU’s treated as separate currencies in accordance with Article 353 CRR: There are two different treatments of CIUs treated as separate currencies for calculating the capital requirements: 1. The modified gold method, where the direction of the CIUs investment is not available (those CIUs shall be added to an institution’s overall net foreign-exchange position); 2. Where the direction of the CIU’s investment is available, those CIUs shall be added to the total open foreign exchange position (long or short, depending on the direction of the CIU). The reporting of those CIU’s shall follow the calculation of the capital requirements.
040	GOLD Positions and their correspondent own funds requirements for currencies subject to the general procedure referred to in Article 351 and paragraphs 2 and 4 of Article 352 CRR
050 – 090	ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS) Paragraphs 5 and 6 of Article 352 CRR The additional requirements for options related to non-delta risks shall be reported broken down by the method used for their calculation.
100-120	Breakdown of total positions (reporting currency included) by exposure types Total positions shall be broken down into derivatives, other assets and liabilities, and off-balance sheet items.
100	Other assets and liabilities other than off-balance sheet items and derivatives Positions not included in row 110 or 120 shall be included here.
110	Off-balance sheet items Items within the scope of Article 352 CRR, irrespective of the currency of denomination, which are included in Annex I to CRR, except those included as Securities Financing Transactions & Long Settlement Transactions or from Contractual Cross Product Netting.
120	Derivatives Positions valued in accordance with Article 352 CRR.
130-480	MEMORANDUM ITEMS: CURRENCY POSITIONS The memorandum items of the template shall be filled in separately for all currencies of the Member States of the Union, USD, CHF, JPY, RUB, TRY, AUD, CAD, RSD, ALL, UAH, MKD, EGP, ARS, BRL, MXN, HKD, ICK, TWD, NZD, NOK, SGD, KRW, CNY and all other currencies.

5.6. C 23.00 – MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES (MKR SA COM)

5.6.1. General Remarks
152. This template request information on the positions in commodities and the corresponding own funds requirements treated under the Standardised Approach.

5.6.2. Instructions concerning specific positions
Columns	
010-020	All POSITIONS (LONG AND SHORT) Gross long/short positions considered positions in the same commodity in accordance with Article 357(4) CRR (see also Article 359(1) CRR)
030-040	NET POSITIONS (LONG AND SHORT) As defined in Article 357(3) CRR
050	POSITIONS SUBJECT TO CAPITAL CHARGE Those net positions that, in accordance with the different approaches considered in Chapter 4 of Title IV of Part Three CRR receive a capital charge
060	OWN FUNDS REQUIREMENTS The own funds requirement calculated in accordance with Chapter 4 of Title IV of Part Three CRR for any relevant position
070	TOTAL RISK EXPOSURE AMOUNT Point (b) of Article 92(4) CRR. Result of the multiplication of the own funds requirements by 12,5
Rows	
010	TOTAL POSITIONS IN COMMODITIES Positions in commodities and their correspondent own funds requirements for market risk calculated in accordance with point (c)(iii) of Article 92(3) CRR and Chapter 4 of Title IV of Part Three CRR
020-060	POSITIONS BY CATEGORY OF COMMODITY For reporting purposes, commodities shall be grouped in the four groups of commodities referred to in Table 2 of Article 361 CRR.
070	MATURITY LADDER APPROACH Positions in commodities subject to the maturity ladder approach referred to in Article 359 CRR
080	EXTENDED MATURITY LADDER APPROACH Positions in commodities subject to the extended maturity ladder approach referred to in Article 361 CRR
090	SIMPLIFIED APPROACH Positions in commodities subject to the simplified approach referred to in Article 360 CRR
100-140	ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS) Article 358(4) CRR The additional requirements for options related to non-delta risks shall be reported in the method used for its calculation.

5.7. C 24.00 – MARKET RISK INTERNAL MODEL (MKR IM)

5.7.1. General Remarks
153. This template provides a breakdown of VaR and stressed VaR (sVaR) figures by the different market risks (debt, equity, FX, commodities) and other information relevant for the calculation of the own funds requirements.
154. Generally, it depends on the structure of the model of the institutions whether the figures for general and specific risk can be determined and reported separately or only as a total. The same holds true for the decomposition of the VaR/Stress-VaR into the risk categories (interest rate risk, equity risk, commodities risk and foreign exchange risk). An institution can refrain from reporting those decompositions if it proves that reporting those figures would be unduly burdensome.

5.7.2. Instructions concerning specific positions
Columns	
030-040	Value at Risk (VaR) VaR means the maximum potential loss that would result from a price change with a given probability over a specific time horizon.
030	Multiplication factor (mc) x Average of previous 60 working days VaR (VaRavg) Point (a)(ii) of Article 364(1) and Article 365(1) CRR
040	Previous day VaR (VaRt-1) Point (a)(i) of Article 364(1) and Article 365(1) CRR
050-060	Stressed VaR Stressed VaR means the maximum potential loss that would result from a price change with a given probability over a specific time horizon obtained by using input calibrated to historical data from a continuous 12-months period of financial stress relevant to the institution’s portfolio.
050	Multiplication factor (ms) x Average of previous 60 working days (SVaRavg) Point (b)(ii) of Article 364(1) and Article 365(1) CRR
060	Latest available (SVaRt-1) Point (b)(i) of Article 364(1) and Article 365(1) CRR
070-080	INCREMENTAL DEFAULT AND MIGRATION RISK CAPITAL CHARGE Incremental default and migration risk capital charge means the maximum potential loss that would result from a price change linked to default and migration risks calculated in accordance with point (b) of Article 364(2) in conjunction with Section 4 of Chapter 5 of Title IV of Part Three CRR.
070	12 weeks average measure Point (b)(ii) of Article 364(2) in conjunction with Section 4 of Chapter 5 of Title IV of Part Three CRR
080	Last Measure Point (b)(i) of Article 364(2) in conjunction with Section 4 of Chapter 5 of Title IV of Part Three CRR
090-110	ALL PRICE RISKS CAPITAL CHARGE FOR CTP
090	FLOOR Point (c) of Article 364(3) CRR = 8 % of the capital charge that would be calculated in accordance with Article 338(1) CRR for all positions in the ‘ all price risks ’ capital charge.
100-110	12 WEEKS AVERAGE MEASURE AND LAST MEASURE Point (b) of Article 364(3) CRR
110	LAST MEASURE Point (a) of Article 364(3) CRR
120	OWN FUNDS REQUIREMENTS Own funds requirements as referred to in Article 364 CRR of all risk factors, taking into account correlation effects, where applicable, plus incremental default and migration risk and all price of risks for CTP, but excluding the Securitization capital charges for Securitization and nth-to-default credit derivative according to Article 364(2) CRR
130	TOTAL RISK EXPOSURE AMOUNT Point (b) of Article 92(4) CRR. Result of the multiplication of the own funds requirements by 12,5
140	Number of overshootings (during previous 250 working days) Referred to in Article 366 CRR The number of overshootings based on which the addend is determined shall be reported.
150-160	VaR Multiplication Factor (mc) and SVaR Multiplication Factor (ms) As referred to in Article 366 CRR
170-180	ASSUMED CHARGE FOR CTP FLOOR – WEIGHTED NET LONG/SHORT POSITIONS AFTER CAP The amount reported and serving as the basis to calculate the floor capital charge for all price risks in accordance with point (c) of Article 364(3) CRR, taking into account the discretion of Article 335 CRR which stipulates that the institution may cap the product of the weight and the net position at the maximum possible default-risk related loss.
Rows	
010	TOTAL POSITIONS Corresponds to the part of position, foreign exchange and commodities risk referred to in Article 363(1) CRR linked to the risk factors specified in Article 367(2) CRR. Concerning the columns 030 to 060 (VAR and Stress-VAR), the figures in the total row are not equal to the decomposition of the figures for the VaR/Stress-VaR of the relevant risk components.
020	TRADED DEBT INSTRUMENTS Corresponds to the part of position risk referred to in Article 363(1) CRR, linked to the interest rates risk factors specified in point (a) of Article 367(2) CRR.
030	TDI – GENERAL RISK General risk component as referred to in Article 362 CRR
040	TDI – SPECIFIC RISK Specific risk component as referred to in Article 362 CRR
050	EQUITIES Corresponds to the part of position risk referred to in Article 363(1) CRR linked to the equity risk factors as specified in point (c) of Article 367(2) CRR.
060	EQUITIES – GENERAL RISK General risk component as referred to in Article 362 CRR
070	EQUITIES – SPECIFIC RISK Specific risk component as referred to in Article 362 CRR
080	FOREIGN EXCHANGE RISK Articles 363(1) and point (b) of Article 367(2) CRR
090	COMMODITY RISK Articles 363(1) and point (d) of Article 367(2) CRR
100	TOTAL AMOUNT FOR GENERAL RISK Market risk caused by general market movements of traded debt instruments, equities, foreign exchange and commodities. VaR for general risk of all risk factors (taking into account correlation effects where applicable)
110	TOTAL AMOUNT FOR SPECIFIC RISK Specific risk component of traded debt instruments and equities. VaR for specific risk of equities and traded debt instruments of trading book (taking into account correlation effects where applicable)

5.8. C 25.00 – CREDIT VALUATION ADJUSTMENT RISK (CVA)

5.8.1. Instructions concerning specific positions
Columns	
010	Exposure value Article 271 CRR in conjunction with Article 382 CRR. Total EAD from all transactions subject to CVA charge.
020	Of which: OTC derivatives Article 271 CRR in conjunction with Article 382(1) CRR. The part of the total counterparty credit risk exposure solely due to OTC derivatives. The information is not required from IMM institutions holding OTC derivatives and SFTs in the same netting set.
030	Of which: SFT Article 271 CRR in conjunction with Article 382(2) CRR The part of the total counterparty credit risk exposure solely due to SFT derivatives. The information is not required from IMM institutions holding OTC derivatives and SFTs in the same netting set.
040	MULTIPLICATION FACTOR (mc) x AVERAGE OF PREVIOUS 60 WORKING DAYS (VaRavg) Article 383 CRR in conjunction with point (d) of Article 363(1) CRR. VaR calculation based on internal models for market risk
050	PREVIOUS DAY (VaRt-1) See instructions for column 040.
060	MULTIPLICATION FACTOR (ms) x AVERAGE OF PREVIOUS 60 WORKING DAYS (SVaRavg) See instructions for column 040
070	LATEST AVAILABLE (SVaRt-1) See instructions for column 040
080	OWN FUNDS REQUIREMENTS Point (d) of Article 92(3) CRR. Own funds requirements for CVA Risk calculated via the chosen method.
090	TOTAL RISK EXPOSURE AMOUNT Point (b) of Article 92(4) CRR. Own funds requirements multiplied by 12,5 .
	Memorandum items
100	Number of counterparties Article 382 CRR Number of counterparties included in calculation of own funds for CVA risk. Counterparties are a subset of obligors. They only exist in case of derivatives transactions or SFTs where they are the other contracting party.
110	Of which: proxy was used to determine credit spread Number of counterparties where the credit spread was determined using a proxy instead of directly observed market data.
120	INCURRED CVA Accounting provisions due to decreased credit worthiness of derivatives counterparties.
130	SINGLE NAME CDS Point (a) of Article 386(1) CRR Total notional amounts of single name CDS used as hedge for CVA risk.
140	INDEX CDS Point (b) of Article 386(1) CRR Total notional amounts of index CDS used as hedge for CVA risk.
Rows	
010	CVA risk total Sum of rows 020-040
020	Advanced method Advanced CVA risk method as prescribed by Article 383 CRR
030	Standardised method Standardised CVA risk method as prescribed by Article 384 CRR
040	Based on OEM Amounts subject to the application of Article 385 CRR

6. PRUDENT VALUATION (PRUVAL)

6.1. C 32.01 – PRUDENT VALUATION: FAIR-VALUED ASSETS AND LIABILITIES (PRUVAL 1)

6.1.1. General remarks
154a. This template shall be completed by all institutions, irrespective of whether they have adopted the simplified approach for the determination of Additional Valuation Adjustments (‘AVAs’). This template is dedicated to the absolute value of fair-valued assets and liabilities used to determine whether the conditions set out in Article 4 of Commission Delegated Regulation (EU) 2016/101 for using the simplified approach for the determination of AVAs are met.
Commission Delegated Regulation (EU) 2016/101 of 26 October 2015 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards for prudent valuation under Article 105(14) ( OJ L 21, 28.1.2016, p. 54 ).
154b. With regard to institutions using the simplified approach, this template shall provide the total AVA to be deducted from own funds pursuant to Articles 34 and 105 CRR as set out in Article 5 of the Delegated Regulation (EU) 2016/101, which shall be reported accordingly in row 290 of C 01.00.

6.1.2. Instructions concerning specific positions
Columns	
0010	FAIR-VALUED ASSETS AND LIABILITIES Absolute value of fair-valued assets and liabilities, as stated in the financial statements under the applicable accounting framework, as referred to in Article 4(1) of Delegated Regulation (EU) 2016/101, before any exclusion in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101.
0020	OF WHICH: trading book Absolute value of fair-valued assets and liabilities, as reported in 010, corresponding to positions held in the trading book.
0030-0070	FAIR-VALUED ASSETS AND LIABILITIES EXCLUDED BECAUSE OF PARTIAL IMPACT ON CET1 Absolute value of fair-valued assets and liabilities excluded in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101.
0030	Exactly matching Exactly matching, offsetting fair-valued assets and liabilities excluded in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101.
0040	Hedge accounting For positions subject to hedge accounting under the applicable accounting framework, absolute value of fair-valued assets and liabilities excluded in proportion to the impact of the relevant valuation change on CET1 capital in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101.
0050	PRUDENTIAL Filters Absolute value of fair-valued assets and liabilities excluded in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101 due to the transitional application of the prudential filters referred to in Articles 467 and 468 CRR.
0060	Other Any other positions excluded in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101 due to adjustments to their accounting value having only a proportional effect on CET1 capital. This row shall only be populated in rare cases where elements excluded in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101 cannot be assigned to columns 0030, 0040 or 0050 of this template.
0070	Comment for other The main reasons why the positions reported in column 0060 were excluded shall be provided.
0080	FAIR-VALUED Assets and Liabilities included in ARTICLE 4(1) threshold Absolute value of fair-valued assets and liabilities actually included in the threshold computation in accordance with Article 4(1) of Delegated Regulation (EU) 2016/101.
0090	OF WHICH: trading book Absolute value of fair-valued assets and liabilities, as reported in column 0080, corresponding to positions held in the trading book.
Rows	
0010 – 0210	The definitions of these categories shall match those of the corresponding rows of FINREP templates 1.1 and 1.2.
0010	1. TOTAL FAIR-VALUED ASSETS AND LIABILITIES Total of fair-valued assets and liabilities reported in rows 20 to 210.
0020	1.1. TOTAL FAIR-VALUED ASSETS Total of fair-valued assets reported in rows 0030 to 0140. Relevant cells of rows 0030 to 0130 shall be reported in line with FINREP template F 01.01 of Annexes III and IV to this Implementing Regulation, depending on the institution’s applicable standards: IFRS as endorsed by the Union in application of Regulation (EC) No 1606/2002 of the European Parliament and of the Council (‘EU IFRS’) Regulation (EC) No 1606/2002 of the European Parliament and of the Council of 19 July 2002 on the application of international accounting standards ( OJ L 243, 11.9.2002, p. 1 ). ; National accounting standards compatible with EU IFRS ( ‘ National GAAP compatible IFRS ’ ); or National GAAP based on BAD (FINREP ‘ National GAAP based on BAD ’ ).
0030	1.1.1. FINANCIAL ASSETS HELD FOR TRADING IFRS 9.Appendix A. The information reported in this row shall correspond to row 050 of template F 01.01 of Annexes III and IV to this Implementing Regulation.
0040	1.1.2. TRADING FINANCIAL ASSETS Articles 32 and 33 BAD; Part 1.17 of Annex V to this Implementing Regulation The information reported in this row shall correspond to row 091 of template F 01.01 of Annexes III and IV to this Implementing Regulation.
0050	1.1.3. NON-TRADING FINANCIAL ASSETS MANDATORILY AT FAIR VALUE THROUGH PROFIT OR LOSS IFRS 7.8(a)(ii); IFRS 9.4.1.4. The information reported in this row shall correspond to row 096 of template F 01.01 of Annexes III and IV to this Implementing Regulation.
0060	1.1.4. FINANCIAL ASSETS DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS IFRS 7.8(a)(i); IFRS 9.4.1.5; point (a) of Article 8(1) and Article 8(6) AD The information reported in this row shall correspond to row 100 of template F 01.01 of Annexes III and IV to this Implementing Regulation.
0070	1.1.5. FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME IFRS 7.8(h); IFRS 9.4.1.2 A. The information reported in this row shall correspond to row 141 of template F 01.01 of Annexes III and IV to this Implementing Regulation.
0080	1.1.6. NON-TRADING NON-DERIVATIVE FINANCIAL ASSETS MEASURED AT FAIR VALUE THROUGH PROFIT OR LOSS Article 36(2) BAD. The information reported in this row shall correspond to row 171 of template F 01.01 of Annexes III and IV to this Implementing Regulation.
0090	1.1.7. NON-TRADING NON-DERIVATIVE FINANCIAL ASSETS MEASURED AT FAIR VALUE TO EQUITY Point (a) of Article 8(1) and Article 8(8) AD The information reported in this row shall correspond to row 175 of template F 01.01 of Annexes III and IV to this Implementing Regulation.
0100	1.1.8. OTHER NON-TRADING NON-DERIVATIVE FINANCIAL ASSETS Article 37 BAD; Article 12(7) AD; Part 1.20 of Annex V to this Implementing Regulation The information reported in this row shall correspond to row 234 of template F 01.01 of Annexes III and IV to this Implementing Regulation.
0110	1.1.9. DERIVATIVES – HEDGE ACCOUNTING IFRS 9.6.2.1; Part 1.22 of Annex V to this Implementing Regulation; point (a) of Article 8(1) and paragraphs 6 and 8 of Article 8 AD; IAS 39.9 The information reported in this row shall correspond to row 240 of template F 01.01 of Annexes III and IV to this Implementing Regulation.
0120	1.1.10. FAIR VALUE CHANGES OF THE HEDGED ITEMS IN PORTFOLIO HEDGE OF INTEREST RATE RISK IAS 39.89 A(a); IFRS 9.6.5.8; Paragraphs 5 and 6 of Article 8 AD. The information reported in this row shall correspond to row 250 of template F 01.01 of Annexes III and IV to this Implementing Regulation.
0130	1.1.11. INVESTMENTS IN SUBSIDIARIES, JOINT VENTURES AND ASSOCIATES IAS 1.54(e); Parts 1.21 and 2.4 of Annex V to this Implementing Regulation; points (7) and (8) of Article 4 BAD; Article 2(2) AD The information reported in this row shall correspond to row 260 of template F 01.01 of Annexes III and IV to this Implementing Regulation.
0140	1.1.12. (-) HAIRCUTS FOR TRADING ASSETS AT FAIR VALUE Part 1.29 of Annex V to this Implementing Regulation The information reported in this row shall correspond to row 375 of template F 01.01 of Annexes III and IV to this Implementing Regulation.
0150	1.2. TOTAL FAIR-VALUED LIABILITIES Total of fair-valued liabilities reported in rows 0160 to 0210. Relevant cells of rows 0150 to 0190 shall be reported in line with FINREP template F 01.02 of Annexes III and IV to this Implementing Regulation depending on the institution’s applicable standards: IFRS as endorsed by the Union in application of Regulation (EC) No 1606/2002 ( ‘ EU IFRS ’ ) National accounting standards compatible with EU IFRS ( ‘ National GAAP compatible IFRS ’ ) or National GAAP based on BAD (FINREP ‘ National GAAP based on BAD ’ ).
0160	1.2.1. FINANCIAL LIABILITIES HELD FOR TRADING IFRS 7.8 (e) (ii); IFRS 9.BA.6. The information reported in this row shall correspond to row 010 of template F 01.02 of Annexes III and IV to this Implementing Regulation.
0170	1.2.2. TRADING FINANCIAL LIABILITIES Point (a) of Article 8(1) and paragraphs 3 and 6 of Article 8 AD The information reported in this row shall correspond to row 061 of template F 01.02 of Annexes III and IV to this Implementing Regulation.
0180	1.2.3. FINANCIAL LIABILITIES DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS IFRS 7.8 (e)(i); IFRS 9.4.2.2; point (a) of Article 8(1) and Article 8(6) AD; IAS 39.9. The information reported in this row shall correspond to row 070 of template F 01.02 of Annexes III and IV to this Implementing Regulation.
0190	1.2.4. DERIVATIVES – HEDGE ACCOUNTING IFRS 9.6.2.1; Part 1.26 of Annex V to this Implementing Regulation; point (a) of Article 8(1), Article 8(6) and point (a) of Article 8(8) AD The information reported in this row shall correspond to row 150 of template F 01.02 of Annexes III and IV to this Implementing Regulation.
0200	1.2.5. FAIR VALUE CHANGES OF THE HEDGED ITEMS IN PORTFOLIO HEDGE OF INTEREST RATE RISK IAS 39.89 A(b), IFRS 9.6.5.8; Paragraphs 5 and 6 of Article 8 AD; Part 2.8 of Annex V to this Implementing Regulation The information reported in this row shall correspond to row 160 of template F 01.02 of Annexes III and IV to this Implementing Regulation.
0210	1.2.6. HAIRCUTS FOR TRADING LIABILITIES AT FAIR VALUE Part 1.29 of Annex V to this Implementing Regulation The information reported in this row shall correspond to row 295 of template F 01.02 of Annexes III and IV to this Implementing Regulation.

6.2. C 32.02 – PRUDENT VALUATION: CORE APPROACH (PRUVAL 2)

6.2.1. General remarks
154c. The purpose of this template is to provide information on the composition of the total AVA to be deducted from own funds under Articles 34 and 105 CRR alongside relevant information about the accounting valuation of the positions that give rise to the determination of AVAs.
154d. This template shall be completed by all institutions that:
(a) are required to use the core approach because they exceed the threshold referred to in Article 4(1) of Delegated Regulation (EU) 2016/101, either on an individual basis or on a consolidated basis as set out in Article 4(3) of that Regulation; or
(b) have chosen to apply the core approach despite not exceeding the threshold.
154e. For the purposes of this template, ‘ upside uncertainty ’ shall mean the following: As determined by Article 8(2) of Delegated Regulation (EU) 2016/101, AVAs are calculated as the difference between the fair value and a prudent valuation that is determined on the basis of a 90 % confidence that institutions can exit the exposure at that point or better within the notional range of plausible values. The upside value or ‘ upside uncertainty ’ is the opposing point in the distribution of plausible values at which institutions are only 10 % confident that they can exit the position at that point or better. The upside uncertainty shall be calculated and aggregated on the same basis as the total AVA but substituting a 10 % level of certainty for the 90 % used when determining the total AVA.

6.2.2. Instructions concerning specific positions

ANNEX II Table 56: rows 1 - 32
Rows	
0010	1. TOTAL CORE APPROACH Article 7(2) of Delegated Regulation (EU) 2016/101. For each relevant category of AVAs referred to in columns 0010 to 0110, total AVAs computed under the core approach as set out in Chapter 3 of Delegated Regulation (EU) 2016/101 o for fair-valued assets and liabilities included in the threshold computation in accordance with Article 4(1) of that Regulation. That includes the diversification benefits reported in row 0140 in accordance with Articles 9(6), 10(7) and 11(7) of Delegated Regulation (EU) 2016/101.
0020	OF WHICH: TRADING BOOK Article 7(2) of Delegated Regulation (EU) 2016/101. For each relevant category of AVAs referred to in columns 0010 to 0110, share of total AVAs reported in row 0010 stemming from trading book positions (absolute value).
0030	1.1. PORTFOLIOS UNDER ARTICLES 9 TO 17 OF COMMISSION DELEGATED REGULATION (EU) 2016/101- TOTAL CATEGORY LEVEL POST-DIVERSIFICATION Point (a) of Article 7(2) of Delegated Regulation (EU) 2016/101. For each relevant category of AVAs referred to in columns 0010 to 0110, total AVAs computed in accordance with Articles 9 to 17 of Delegated Regulation (EU) 2016/101 for fair-valued assets and liabilities included in the threshold computation in accordance with Article 4(1) of that Regulation, except fair-valued assets and liabilities subject to the treatment described in point (b) of Article 7(2) of Delegated Regulation (EU) 2016/101. That includes the AVAs computed in accordance with Articles 12 and 13 of Delegated Regulation (EU) 2016/101 that are reported in rows 0050 and 0060 and are included in market price uncertainty AVAs, close-out costs AVAs and model risk AVAs as set out in Articles 12(2) and 13(2) of that Regulation. That includes the diversification benefits reported in row 0140 in accordance with Articles 9(6), 10(7) and 11(7) of Delegated Regulation (EU) 2016/101. Row 0030 shall be the difference between rows 0040 and 0140.
0040 – 0130	1.1.1. TOTAL CATEGORY LEVEL PRE-DIVERSIFICATION For rows 0090 to 0130, institutions shall allocate their fair-valued assets and liabilities included in the threshold computation in accordance with Article 4(1) of Delegated Regulation (EU) 2016/101 (trading book and non-trading book) to the following risk categories: interest rates, foreign exchange, credit, equities, commodities. To that end, institutions shall rely on their internal risk management structure and, following a mapping developed based on expert judgement, allocate their business lines or trading desks to the most appropriate risk category. AVAs, Fair Value Adjustments and other required information which correspond to the allocated business lines or trading desks, shall be allocated to the same relevant risk category to provide at row level for each risk category a consistent overview of the adjustments performed both for prudential purposes and accounting purposes, as well as an indication of the size of the positions concerned (in terms of fair-valued assets and liabilities). Where AVAs or other adjustments are computed at a different level of aggregation, in particular at firm level, institutions shall develop an allocation methodology of the AVAs to the relevant sets of positions. The allocation methodology shall lead to row 0040 being the sum of rows 0050 to 0130 for columns 0010 to 0100. Regardless of the approach applied, the information reported shall, as much as possible, be consistent at row level, since the information provided will be compared at this level (AVA amounts, upside uncertainty, fair-value amounts and potential fair-value adjustments). The breakdown in rows 0090 to 0130 excludes the AVAs computed in accordance with Articles 12 and 13 of Delegated Regulation (EU) 2016/101 that are reported in rows 0050 and 0060 and are included in market price uncertainty AVAs, close-out costs AVAs and model risk AVAs as set out in Articles 12(2) and 13(2) of that Regulation. Diversification benefits are reported in row 0140 in accordance with Articles 9(6), 10(7) and 11(7) of Delegated Regulation (EU) 2016/101 and are therefore excluded from rows 0040 to 0130.
0050	OF WHICH: UNEARNED CREDIT SPREADS AVA Article 105(10) CRR, Article 12 of Delegated Regulation (EU) 2016/101. The total AVA calculated for unearned credit spreads ( ‘ AVA on CVA ’ ) and its allocation between market price uncertainty, close-out cost or model risk AVAs under Article 12 of Delegated Regulation (EU) 2016/101. Column 0110: The total AVA is given for information only as its allocation between market price uncertainty, close-out cost or model risk AVAs leads to its inclusion – after taking into account diversification benefits – under the respective category level AVAs. Columns 0130 and 0140: Absolute value of fair-valued assets and liabilities included in the scope of the computation of unearned credit spread AVAs. For the purpose of the computation of this AVA, exactly matching, offsetting fair-valued assets and liabilities, excluded from the threshold computation in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101 shall not be considered exactly matching, offsetting anymore.
0060	OF WHICH: INVESTMENT AND FUNDING COSTS AVA Article 105(10) CRR, Article 17 of Delegated Regulation (EU) 2016/101. The total AVA calculated for investing and funding costs and its allocation between market price uncertainty, close-out cost or model risk AVAs under Article 13 of Delegated Regulation (EU) 2016/101. Column 0110: The total AVA is given for information only as its allocation between market price uncertainty, close-out cost or model risk AVAs leads to its inclusion – after taking into account diversification benefits – under the respective category level AVAs. Columns 0130 and 0140: Absolute value of fair-valued assets and liabilities included in the scope of the computation of investment and funding costs AVA. For the purpose of the computation of this AVA, exactly matching, offsetting fair-valued assets and liabilities, excluded from the threshold computation in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101 shall not be considered exactly matching, offsetting anymore.
0070	OF WHICH: AVA ASSESSED TO HAVE ZERO VALUE UNDER ARTICLE 9(2) OF Delegated Regulation (EU) 2016/101 Absolute value of fair-valued assets and liabilities corresponding to the valuation exposures assessed to have zero AVA value under Article 9(2) of Delegated Regulation (EU) 2016/101.
0080	OF WHICH: AVA ASSESSED TO HAVE ZERO VALUE UNDER PARAGRAPHS 2 AND 3 OF ARTICLE 10 OF Delegated Regulation (EU) 2016/101 Absolute value of fair-valued assets and liabilities corresponding to the valuation exposures assessed to have zero AVA value under Article 10(2) or 10(3) of Delegated Regulation (EU) 2016/101.
0090	1.1.1.1. INTEREST RATES
0100	1.1.1.2. FOREIGN EXCHANGE
0110	1.1.1.3. CREDIT
0120	1.1.1.4. EQUITIES
0130	1.1.1.5. COMMODITIES
0140	1.1.2. (-) Diversification BenefitS Total diversification benefit. Sum of rows 0150 and 0160.
0150	1.1.2.1. (-) Diversification Benefit calculated using Method 1 For those categories of AVA aggregated under Method 1 in accordance with Articles 9(6), 10(7) and 11(6) of Delegated Regulation (EU) 2016/101, the difference between the sum of the individual AVAs and the total category level AVA after adjusting for aggregation.
0160	1.1.2.2. (-) Diversification Benefit calculated using Method 2 For those categories of AVA aggregated under Method 2 in accordance with Articles 9(6), 10(7) and 11(6) of Delegated Regulation (EU) 2016/101, the difference between the sum of the individual AVAs and the total category level AVA after adjusting for aggregation.
0170	1.1.2.2* Memorandum item: pre-diversification AVAs reduced by more than 90 % by diversification under Method 2 In the terminology of Method 2, the sum of FV – PV for all valuation exposures for which APVA < 10 % (FV – PV).
0180	1.2. Portfolios calculated under the fall-back approach Point (b) of Article 7(2) of Delegated Regulation (EU) 2016/101. For portfolios subject to the fall-back approach under point (b) of Article 7(2) of Delegated Regulation (EU) 2016/101, the total AVA shall be computed as a sum of rows 0190, 0200 and 0210. Relevant balance sheet and other contextual information shall be provided in columns 0130 – 0260. A description of the positions and the reason why it was not possible to apply Articles 9 to 17 of Delegated Regulation (EU) 2016/101 shall be provided in column 0270.
0190	1.2.1. Fall-back approach; 100 % unrealised profit Point (b)(i) of Article 7(2) of Delegated Regulation (EU) 2016/101.
0200	1.2.2. Fall-back approach; 10 % notional value Point (b)(ii) of Article 7(2) of Delegated Regulation (EU) 2016/101.
0210	1.2.3. Fall-back approach; 25 % of inception value Point (b)(iii) of Article 7(2) of Delegated Regulation (EU) 2016/101.

6.3. C 32.03 – PRUDENT VALUATION: MODEL RISK AVA (PRUVAL 3)

6.3.1. General remarks
154f. This template is to be completed only by institutions that exceed the threshold referred to in Article 4(1) of Delegated Regulation (EU) 2016/101 at their level. Institutions that are part of a group breaching the threshold on a consolidated basis are required to report this template only where they also exceed the threshold at their level.
154g. This template shall be used to report details of the top 20 individual model risk AVAs in terms of AVA amount that contribute to the total category level model risk AVA computed in accordance with Article 11 of Delegated Regulation (EU) 2016/101. That information corresponds to the information reported in column 0050 of template C 32.02.
154h. The top 20 individual model risk AVAs, and corresponding product information, shall be reported in decreasing order starting from the largest individual model risk AVAs.
154i. Products corresponding to those top individual model risk AVAs shall be reported using the product inventory required by point (a) of Article 19(3) of Delegated Regulation (EU) 2016/101.
154j. Where products are sufficiently homogenous with respect to the valuation model and the model risk AVA, they shall be merged and shown on one line for the purpose of maximising coverage of this template in respect of the total category level Model Risk AVA of the institution.

6.3.2. Instructions concerning specific positions
Columns	
0005	RANK The rank is a row identifier and shall be unique for each row in the template. It shall follow the numerical order 1, 2, 3, etc., with 1 being assigned to the highest individual model risk AVAs, 2 to the second highest and so on.
0010	MODEL Internal name (alpha-numerical) of the model used by the institution to identify the model.
0020	RISK CATEGORY The risk category (interest rates, FX, credit, equities, commodities) that most appropriately characterises the product or group of products that give rise to the model risk valuation adjustment. Institutions shall report the following codes: IR – interest rates FX – foreign exchange CR – credit EQ – equities CO – commodities
0030	PRODUCT Internal name (alpha-numerical) for the product or group of products, in line with the product inventory required by point (a) of Article 19(3) of Delegated Regulation (EU) 2016/101, that is valued using the model.
0040	OBSERVABILITY Number of price observations for the product or group of products in the last 12 months that meet either of the following criteria: The price observation is a price at which the institution has conducted a transaction; It is a verifiable price for an actual transaction between third parties; The price is obtained from a committed quote. Institutions shall report one of the following values: ‘ none ’ , ‘ 1-6 ’ , ‘ 6-24 ’ , ‘ 24-100 ’ , ‘ 100+ ’ .
0050	MODEL RISK AVA Article 11(1) of Delegated Regulation (EU) 2016/101. Individual model risk AVA before diversification benefit, but after portfolio netting where relevant.
0060	OF WHICH: USING EXPERT-BASED APPROACH Amounts in column 0050 that have been calculated under the expert-based approach referred to in Article 11(4) of Delegated Regulation (EU) 2016/101.
0070	OF WHICH: AGGREGATED USING METHOD 2 Amounts in column 0050 that have been aggregated under Method 2 of the Annex to Delegated Regulation (EU) 2016/101. These amounts correspond to FV – PV in the terminology of that Annex.
0080	AGGREGATED AVA CALCULATED UNDER METHOD 2 The contribution towards the total category level AVA for model risk, as computed in accordance with Article 11(7) of the Delegated Regulation (EU) 2016/101 of individual model risk AVAs that are aggregated using Method 2 of the Annex to that Regulation (EU). That amount corresponds to APVA in the terminology of the Annex.
0090 -0100	FAIR-VALUED ASSETS AND LIABILITIES Absolute value of fair-valued assets and liabilities valued using the model reported in column 0010 as stated in the financial statements under the applicable framework.
0090	FAIR-VALUED ASSETS Absolute value of fair-valued assets valued using the model reported in column 0010 as stated in the financial statements under the applicable framework.
0100	FAIR-VALUED LIABILITIES Absolute value of fair-valued liabilities valued using the model reported in column 0010 as stated in the financial statements under the applicable framework.
0110	IPV DIFFERENCE (OUTPUT TESTING) The sum of unadjusted difference amounts ( ‘ IPV difference ’ ) calculated at the month end closest to the reporting date under the independent price verification process performed in accordance with Article 105(8) CRR, with respect to the best available independent data for the corresponding product or group of products. Unadjusted difference amounts refer to unadjusted differences between the trading system generated valuations and the valuations assessed during the monthly IPV process. No adjusted difference amounts in the books and records of the institution for the relevant month end date shall be included in the calculation of IPV difference. Only results that have been calibrated from prices of instruments that would be mapped to the same product (output testing) shall be included here. Input testing results from market data inputs that are tested against levels that have been calibrated from different products shall not be included.
0120	IPV COVERAGE (OUTPUT TESTING) The percentage of those positions mapped to the model weighted by model risk AVA that is covered by the output IPV testing results given in column 0110.
0130 – 0140	FAIR VALUE ADJUSTMENTS Fair Value adjustments as referred to in columns 0190 and 0240 of template C 32.02 that have been applied to the positions mapped to the model in column 0010.
0150	DAY 1 P&L Adjustments as defined in column 0260 of template C 32.02 that have been applied to the positions mapped to the model in column 0010.

6.4. C 32.04 – PRUDENT VALUATION: CONCENTRATED POSITIONS AVA (PRUVAL 4)

6.4.1. General remarks
154k. This template shall be completed only by institutions that exceed the threshold referred to in Article 4(1) of Delegated Regulation (EU) 2016/101. Institutions that are part of a group breaching the threshold on a consolidated basis shall report this template only where they also exceed the threshold at their level.
154l. This template shall be used to report details of the top 20 individual concentrated positions AVAs in terms of AVA amount that contribute to the total category level concentrated positions AVA computed in accordance with Article 14 of Delegated Regulation (EU) 2016/101. This information shall correspond to the information reported in column 0070 of template C 32.02.
154m. The top 20 concentrated positions AVAs, and corresponding product information, shall be reported in decreasing order starting from the largest individual concentrated positions AVAs.
154n. Products corresponding to these top individual concentrated positions AVAs shall be reported using the product inventory required by point (a) of Article 19(3) of Delegated Regulation (EU) 2016/101.
154o. Positions that are homogenous in terms of AVA calculation methodology shall be aggregated where this is possible to maximise the coverage of this template.

6.4.2. Instructions concerning specific positions
Columns	
0005	RANK The rank is a row identifier and shall be unique for each row in the template. It shall follow the numerical order 1, 2, 3, etc., with 1 being assigned to the highest concentrated positions AVAs, 2 to the second highest and so on.
0010	RISK CATEGORY The risk category (interest rates, FX, credit, equities, commodities) that most appropriately characterises the position. Institutions shall report the following codes: IR – Interest Rates FX – Foreign exchange CR – Credit EQ – Equities CO – Commodities
0020	PRODUCT Internal name for the product or group of products in line with the product inventory required by point (a) of Article 19(3) of Delegated Regulation (EU) 2016/101.
0030	UNDERLYING Internal name of the underlying, or underlyings, in the case of derivatives or of the instruments in the case of non-derivatives.
0040	CONCENTRATED POSITION SIZE Size of the individual concentrated valuation position identified in accordance with point (a) of Article 14(1) of Delegated Regulation (EU) 2016/101, expressed in the unit described in column 0050.
0050	SIZE MEASURE Unit of size measure used internally as part of the identification of the concentrated valuation position to compute the concentrated position size referred in column 0040. In the case of positions in bonds or equity, please report the unit used for internal risk management, such as ‘ number of bonds ’ , ‘ number of shares ’ or ‘ market value ’ . In the case of position in derivatives, please report the unit used for internal risk management, such as ‘ PV01; EUR per 1 basis point parallel yield curve shift ’ .
0060	MARKET VALUE Market value of the position.
0070	PRUDENT EXIT PERIOD The prudent exit period in number of days estimated in accordance with point (b) of Article 14(1) of Delegated Regulation (EU) 2016/101.
0080	CONCENTRATED POSITIONS AVA The concentrated positions AVA amount calculated in accordance with Article 14(1) of Delegated Regulation (EU) 2016/101 for the individual concentrated valuation position concerned.
0090	CONCENTRATED POSITION FAIR VALUE ADJUSTMENT The amount of any fair value adjustments taken to reflect the fact that the aggregate position held by the institution is larger than the normal traded volume or larger than position sizes and on which quotes or trades, which are used to calibrate the price or inputs used by the valuation model, are based. The amount reported shall correspond to the amount that has been applied to the individual concentrated valuation position concerned.
0100	IPV DIFFERENCE The sum of unadjusted difference amounts ( ‘ IPV difference ’ ) calculated at the month end closest to the reporting date under the independent price verification process performed in accordance with Article 105(8) CRR, with respect to the best available independent data for the individual concentrated valuation position concerned. Unadjusted difference amounts shall refer to unadjusted differences between the valuations generated by the trading system and the valuations assessed during the monthly IPV process. No adjusted difference amounts in the books and records of the institution for the relevant month end date shall be included in the calculation of IPV difference.

7. C 33.00 – EXPOSURES TO GENERAL GOVERNMENTS (GOV)

7.1. GENERAL REMARKS
155. The information for the purpose of template C 33.00 shall cover all exposures to ‘ General governments ’ as referred to in point (b) of paragraph 42 of Annex V to this Implementing Regulation.
156. Exposures to ‘ General governments ’ are included in different exposure classes in accordance with Article 112 and Article 147 CRR, as specified by the instructions for the completion of template C 07.00, C 08.01 and C 08.02.
157. Table 2 (Standardised Approach) and Table 3 (IRB Approach), included in Part 3 of Annex V to this Implementing Regulation, shall be observed for the mapping of exposure classes used to calculate capital requirements under CRR to counterparty sector ‘ General governments ’ .
158. Information shall be reported for the total aggregate exposures (meaning the sum of all countries in which the bank has sovereign exposures) and for each country on the basis of the residence of the counterparty on an immediate borrower basis.
159. The allocation of exposures to exposure classes or jurisdictions shall be made without considering credit mitigation techniques and in particular without considering substitution effects. However, the calculation of exposure values and risk weighted exposure amounts for each exposure class and each jurisdiction shall include the incidence of credit risk mitigation techniques, including substitution effects.
160. The reporting of information on exposures to ‘ General governments ’ by jurisdiction of residence of the immediate counterparty other than the domestic jurisdiction of the reporting institution is subject to the thresholds laid down in point (3) of Article 5(b) of this Implementing Regulation.

7.2. SCOPE OF THE TEMPLATE ON EXPOSURES TO ‘GENERAL GOVERNMENTS’
161. The scope of the GOV template covers on, off-balance sheet and derivatives direct exposures to ‘ General governments ’ in the banking and trading book. In addition, a memorandum item on indirect exposures in the form of credit derivatives sold on general government exposures is also requested.
162. An exposure is a direct exposure when the immediate counterparty is an entity that is a ‘ General government ’ as referred to in point (b) of paragraph 42 of Annex V to this Implementing Regulation.
163. The template is divided in two sections. The first one is based on a breakdown of exposures by risk, regulatory approach and exposure classes whereas a second one is based on a breakdown by residual maturity

7.3. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

ANNEX II Table 60: rows 1 - 39
Rows	Instructions
BREAKDOWN OF EXPOSURES BY REGULATORY APPROACH	
010	Total exposures Aggregate of exposures to General governments, as defined in paragraphs 155 to 160 of this Annex.
020-155	Exposures under the credit risk framework Aggregate of exposures to General governments that shall be risk-weighted in accordance with Title II of Part Three CRR. Exposures under the credit risk framework include exposures from both the non-trading book and the trading book subject to a capital charge for counterparty credit risk. Direct exposures within the scope of Article 271 CRR subject to own funds requirements for both counterparty credit risk and market risk shall be reported both in the credit risk rows (020 to 155) and the market risk row (row 160): the exposures due to counterparty credit risk shall be reported in the credit risk rows, while the exposures due to market risk shall be reported in the market risk row.
030	Standardised Approach Exposures to General governments that shall be risk-weighted in accordance with Chapter 2 of Title II of Part Three CRR, including exposures from the non-trading book for which the risk-weighting in accordance with that Chapter addresses counterparty credit risk.
040	Central governments Exposures to General governments that are central governments. These exposures are allocated to the ‘ Central governments or central banks ’ exposure class in accordance with Articles 112 and 114 CRR, as specified by the instructions for template C 07.00, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply.
050	Regional governments or local authorities Exposures to General governments that are regional governments or local authorities. These exposures are allocated to the ‘ Regional governments or local authorities ’ exposure class in accordance with Articles 112 and 115 CRR, as specified by the instructions for template C 07.00, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply.
060	Public sector entities Exposures to General governments that are public sector entities. These exposures are allocated to the ‘ Public sector entities ’ exposure class in accordance with Articles 112 and 116 CRR, as specified by the instructions for template C 07.00, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply.
070	International Organisations Exposures to General governments that are international organisations. These exposures are allocated to the ‘ International Organisations ’ exposure classes in accordance with Articles 112 and 118 CRR, as specified by the instructions for template C 07.00, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply.
075	Other general government exposures subject to Standardised Approach Exposures to General governments other than those included in rows 040 to 070 above, which are allocated to SA exposure classes in accordance with Article 112 CRR for the purposes of calculating own funds requirements.
080	IRB Approach Exposures to General governments that shall be risk-weighted in accordance with Chapter 3 of Title II of Part Three CRR, including exposures from the non-trading book for which the risk-weighting in accordance with that Chapter addresses counterparty credit risk.
090	Central governments Exposures to General governments that are central governments and that are allocated to the ‘ Central governments and central banks ’ exposure class in accordance with point (a) of Article 147(3) CRR, as specified by the instructions for template C 08.01 and C 08.02, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply..
100	Regional governments or local authorities [Central governments and central banks] Exposures to General governments that are regional governments or local authorities and that are allocated to the ‘ Central governments and central banks ’ exposure class in accordance with point (a) of Article 147(3) CRR, as specified by the instructions for template C 08.01 and C 08.02, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply.
110	Regional governments or local authorities [Institutions] Exposures to General governments that are regional governments or local authorities and that are allocated to the ‘ Institutions ’ exposure class in accordance with point (a) of Article 147(4) CRR, as specified by the instructions for template C 08.01 and C 08.02, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply.
120	Public sector entities [Central governments and central banks] Exposures to General governments that are public sector entities in accordance with Article 4(8) CRR and that are allocated to the ‘ Central governments and central banks ’ exposure class in accordance with point (a) of Article 147(3) CRR, as specified by the instructions for template C 08.01 and C 08.02, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply.
130	Public sector entities [Institutions] Exposures to General governments that are public sector entities in accordance with Article 4(8) CRR and that are allocated to the ‘ Institutions ’ exposure class in accordance with point (b) of Article 147(4) CRR, as specified by the instructions for template C 08.01 and C 08.02, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply.
140	International Organisations [Central governments and central banks] Exposures to General governments that are International Organisations and that are allocated to the ‘ Central governments and central banks ’ exposure class in accordance with point (c) of Article 147(3) CRR, as specified by the instructions for template C 08.01 and C 08.02, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply.
155	Other general government exposures subject to IRB Approach Exposures to General governments other than those included in rows 090 to 140 above which are allocated to IRB exposure classes in accordance with Article 147 CRR for the purposes of calculating own funds requirements.
160	Exposures subject to market risk Market risk exposures cover positions for which own funds requirements are calculated in accordance with Title IV of Part Three CRR. Direct exposures within the scope of Article 271 CRR subject to own funds requirements for both counterparty credit risk and market risk shall be reported both in the credit risk rows (020 to 155) and the market risk row (row 160): the exposure due to counterparty credit risk shall be reported in the credit risk rows, while the exposure due to market risk shall be reported in the market risk row.
170-230	BREAKDOWN OF EXPOSURES BY RESIDUAL MATURITY Residual maturity shall be computed in days between the contractual date of maturity and the reporting reference date for all positions. Exposures to General governments shall be broken-down by residual maturity and allocated to the buckets provided as follows: [0 – 3M [ : Less than 90 days [3M – 1Y [ : Equal or greater than 90 days and less than 365 days [1Y – 2Y [ : Equal or greater than 365 days and less than 730 days [2Y – 3Y [ : Equal or greater than 730 days and less than 1 095 days [3Y – 5Y [ : Equal or greater than 1 095 days and less than 1 825 days [5Y – 10Y [ : Equal or greater than 1 825 days and less than 3 650 days [10Y – more : Equal or greater than 3 650 days

ANNEX III REPLACES ANNEX III – REPORTING FINANCIAL INFORMATION ACCORDING TO IFRS

ANNEX III Table 1: rows 1 - 115

1. Balance Sheet Statement [Statement of Financial Position]

1.1 Assets

ANNEX III Table 2: rows 1 - 41

1.2 Liabilities

ANNEX III Table 3: rows 1 - 33

1.3 Equity

ANNEX III Table 4: rows 1 - 43

2. Statement of profit or loss

ANNEX III Table 5: rows 1 - 77

3. Statement of comprehensive income

ANNEX III Table 6: rows 1 - 47

4. Breakdown of financial assets by instrument and by counterparty sector

4.1 Financial assets held for trading

ANNEX III Table 7: rows 1 - 22

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

ANNEX III Table 8: rows 1 - 21

4.2.2 Financial assets designated at fair value through profit or loss

ANNEX III Table 9: rows 1 - 17

4.3.1. Financial assets at fair value through other comprehensive income

ANNEX III Table 10: rows 1 - 25

4.4.1 Financial assets at amortised cost

ANNEX III Table 11: rows 1 - 21

4.5 Subordinated financial assets
		References	Carrying amount
			Annex V.Part 1.27
			010
010	Loans and advances	Annex V.Part 1.32	
020	Debt securities	Annex V.Part 1.31	
030	SUBORDINATED [FOR THE ISSUER] FINANCIAL ASSETS	Annex V.Part 2.78, 100	

5. Breakdown of non-trading loans and advances by product

5.1 Loans and advances other than held for trading and trading assets by product

ANNEX III Table 13: rows 1 - 17

6. Breakdown of non-trading loans and advances to non-financial corporations by NACE codes

6.1 Breakdown of loans and advances other than held for trading to non-financial corporations by NACE codes

ANNEX III Table 14: rows 1 - 26

7. Financial assets subject to impairment that are past due

7.1 Financial assets subject to impairment that are past due

ANNEX III Table 15: rows 1 - 32

8. Breakdown of financial liabilities

8.1 Breakdown of financial liabilities by product and by counterparty sector

ANNEX III Table 16: rows 1 - 50

8.2 Subordinated financial liabilities
		References	Carriyng amount	
			Designated at fair value through profit or loss	At amortized cost
			IFRS 7.8(e)(i); IFRS 9.4.2.2, IFRS 9.4.3.5	IFRS 7.8(g); IFRS 9.4.2.1
			010	020
010	Deposits	ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36		
020	Debt securities issued	Annex V.Part 1.37		
030	SUBORDINATED FINANCIAL LIABILITIES	Annex V.Part 2.99-100		

9. Loan commitments, financial guarantees and other commitments

9.1.1 Off-balance sheet exposures: Loan commitments, financial guarantees and other commitments given

ANNEX III Table 18: rows 1 - 28

9.2 Loan commitments, financial guarantees and other commitments received

ANNEX III Table 19: rows 1 - 24

10. Derivatives – Trading and economic hedges

ANNEX III Table 20: rows 1 - 37

11. Hedge accounting

11.1 Derivatives – Hedge accounting: Breakdown by type of risk and type of hedge

ANNEX III Table 21: rows 1 - 57

11.3 Non-derivative hedging instruments: Breakdown by accounting portfolio and type of hedge

ANNEX III Table 22: rows 1 - 12

11.4 Hedged items in fair value hedges

ANNEX III Table 23: rows 1 - 27

12. Movements in allowances and provisions for credit losses

12.1 Movements in allowances and provisions for credit losses

ANNEX III Table 24: rows 1 - 58

12.2 Transfers between impairment stages (gross basis presentation)

ANNEX III Table 25: rows 1 - 20

13. Collateral and guarantees received

13.1 Breakdown of collateral and guarantees by loans and advances other than held for trading

ANNEX III Table 26: rows 1 - 14

13.2.1 Collateral obtained by taking possession during the period [held at the reference date]

ANNEX III Table 27: rows 1 - 13

13.3.1 Collateral obtained by taking possession accumulated

ANNEX III Table 28: rows 1 - 13

14. Fair value hierachy: financial instruments at fair value

ANNEX III Table 29: rows 1 - 34

15. Derecognition and financial liabilities associated with transferred financial assets

ANNEX III Table 30: rows 1 - 24

16. Breakdown of selected statement of profit or loss items

16.1 Interest income and expenses by instrument and counterparty sector

ANNEX III Table 31: rows 1 - 36

16.2 Gains or losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss by instrument
		References	Current period
			Annex V. Part 2.195-196
			010
020	Debt securities	Annex V.Part 1.31	
030	Loans and advances	Annex V.Part 1.32	
040	Deposits	ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36	
050	Debt securities issued	Annex V.Part 1.37	
060	Other financial liabilities	Annex V.Part 1.38-41	
070	GAINS OR (-) LOSSES ON DERECOGNITION OF FINANCIAL ASSETS AND LIABILITIES NOT MEASURED AT FAIR VALUE THROUGH PROFIT OR LOSS, NET	Annex V.Part 2.45	

16.3 Gains or losses on financial assets and liabilities held for trading and trading financial assets and trading financial liabilities by instrument
		References	Current period
			Annex V. Part 2.197-198
			010
010	Derivatives	IFRS 9.Appendix A, .BA.1, .BA.7(a)	
015	of which: Economic hedges with use of the fair value option	IFRS 9.6.7.1; IFRS 7.9(d); Annex V.Part 2.199	
020	Equity instruments	IAS 32.11	
030	Debt securities	Annex V.Part 1.31	
040	Loans and advances	Annex V.Part 1.32	
050	Short positions	IFRS 9.BA.7(b)	
060	Deposits	ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36	
070	Debt securities issued	Annex V.Part 1.37	
080	Other financial liabilities	Annex V.Part 1.38-41	
090	GAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES HELD FOR TRADING, NET	IFRS 9.Appendix A, .BA.6;IFRS 7.20(a)(i)	
095	of which: gains and losses due to the reclassification of assets at amortised cost	IFRS 9.5.6.2; annex V.Part 2.199	

16.4 Gains or losses on financial assets and liabilities held for trading and trading financial assets and trading financial liabilities by risk
		References	Current period
			010
010	Interest rate instruments and related derivatives	Annex V.Part 2.200(a)	
020	Equity instruments and related derivatives	Annex V.Part 2.200(b)	
030	Foreign exchange trading and derivatives related with foreign exchange and gold	Annex V.Part 2.200(c)	
040	Credit risk instruments and related derivatives	Annex V.Part 2.200(d)	
050	Derivatives related with commodities	Annex V.Part 2.200(e)	
060	Other	Annex V.Part 2.200(f)	
070	GAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES HELD FOR TRADING, NET	IFRS 7.20(a)(i)	

16.4.1 Gains or losses on non-trading financial assets mandatorily at fair value through profit or loss by instrument
		References	Current period
			Annex V.Part 2.201
			010
020	Equity instruments	IAS 32.11	
030	Debt securities	Annex V.Part 1.31	
040	Loans and advances	Annex V.Part 1.32	
090	GAINS OR (-) LOSSES ON NON-TRADING FINANCIAL ASSETS MANDATORILY AT FAIR VALUE THROUGH PROFIT AND LOSS, NET	IFRS 7.20(a)(i)	
100	of which: gains and losses due to the reclassification of assets at amortised cost	IFRS 9.6.5.2; Annex V.Part 2.202	

16.5 Gains or losses on financial assets and liabilities designated at fair value through profit or loss by instrument
		References	Current period	Changes in fair value due to credit risk
			Annex V.Part 2.203	Annex V.Part 2.203
			010	020
020	Debt securities	Annex V.Part 1.31		
030	Loans and advances	Annex V.Part 1.32		
040	Deposits	ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36		
050	Debt securities issued	Annex V.Part 1.37		
060	Other financial liabilities	Annex V.Part 1.38-41		
070	GAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS, NET	IFRS 7.20(a)(i)		
071	of which: gains or (-) losses upon designation of financial assets and liabilities designated at fair value through profit or loss for hedging purposes, net	IFRS 9.6.7;IFRS 7.24G(b); Annex V.Part 2.204		
072	of which: gains or (-) losses after designation on financial assets and liabilities designated at fair value through profit or loss for hedging purposes, net	IFRS 9.6.7; IFRS 7.20(a)(i); Annex V.Part 2.204		

16.6 Gains or losses from hedge accounting
		References	Current period
			Annex V.Part 2.205
			010
010	Fair value changes of the hedging instrument [including discontinuation]	IFRS 7.24A(c);IFRS 7.24C(b)(vi)	
020	Fair value changes of the hedged item attributable to the hedged risk	IFRS 9.6.3.7; .6.5.8; .B6.4.1; IFRS 7.24B(a)(iv); IFRS 7.24C(b)(vi); Annex V.Part 2.206	
030	Ineffectiveness in profit or loss from cash flow hedges	IFRS 7.24C(b)ii; IFRS 7.24C(b)(vi)	
040	Ineffectiveness in profit or loss from hedges of net investments in foreign operations	IFRS 7.24C(b)(ii); IFRS 7.24C(b)(vi)	
050	GAINS OR (-) LOSSES FROM HEDGE ACCOUNTING, NET		

16.7 Impairment on non-financial assets

ANNEX III Table 38: rows 1 - 15

16.8 Other administrative expenses

ANNEX III Table 39: rows 1 - 15

17. Reconciliation between Accounting and CRR scope of consolidation: Balance Sheet

17.1 Assets

ANNEX III Table 40: rows 1 - 40

17.2 Off-balance sheet exposures: Loan commitments, financial guarantees and other commitments given
		References	Accounting scope of consolidation [Nominal amount]
			Annex V.Part 2.118, 209
			010
010	Loan commitments given	CRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 113, 116	
020	Financial guarantees given	IFRS 4 Annex A; CRR Annex I; Annex V.Part 1.44(f), Part 2.102-105, 114, 116	
030	Other Commitments given	CRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 115, 116	
040	OFF-BALANCE SHEET EXPOSURES		

17.3 Liabilities and equity

ANNEX III Table 42: rows 1 - 42

18. Information on performing and non-performing exposures

18.0 Information on performing and non-performing exposures

ANNEX III Table 43: rows 1 - 85

18.1 Inflows and outflows of non-performing exposures – loans and advances by counterparty sector

ANNEX III Table 44: rows 1 - 19

18.2 Commercial Real Estate (CRE) loans and additional information on loans secured by immovable property

ANNEX III Table 45: rows 1 - 16

19. Information forborne exposures

ANNEX III Table 46: rows 1 - 64

20. Geographical breakdown

20.1 Geographical breakdown of assets by location of the activities

ANNEX III Table 47: rows 1 - 36

20.2 Geographical breakdown of liabilities by location of the activities

ANNEX III Table 48: rows 1 - 26

20.3 Geographical breakdown of statement of profit or loss items by location of the activities

ANNEX III Table 49: rows 1 - 35

20.4 Geographical breakdown of assets by residence of the counterparty
z-axis
Country of residence of the counterparty

ANNEX III Table 50: rows 1 - 29

20.5 Geographical breakdown of off-balance sheet exposures by residence of the counterparty
z-axis
Country of residence of the counterparty
		References	Nominal amount				Provisions for commitments and guarantees given
				Of which: forborne	Of which: non-perfoming		
						of which: defaulted	
			Annex V.Part 2.118, 271	Annex V.Part 2.240-258	Annex V.Part 2.275	CRR art 178; Annex V.Part 2.237(b)	Annex V.Part 2.276
			010	022	025	026	030
010	Loan commitments given	CRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 113, 116					
020	Financial guarantees given	IFRS 4 Annex A; CRR Annex I; Annex V.Part 1.44(f), Part 2.102-105, 114, 116					
030	Other Commitments given	CRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 115, 116					

20.6 Geographical breakdown of liabilities by residence of the counterparty
z-axis
Country of residence of the counterparty

ANNEX III Table 52: rows 1 - 16

20.7.1 Geographical breakdown by residence of the counterparty of loans and advances other than held for trading to non-financial corporations by NACE codes
z-axis
Country of residence of the counterparty

ANNEX III Table 53: rows 1 - 25

21. Tangible and intangible assets: assets subject to operating lease
		References	Carrying amount
			Annex V.Part 2.278-279
			010
010	Property plant and equipment	IAS 16.6; IAS 1.54(a)	
020	Revaluation model	IAS 17.49; IAS 16.31, 73(a)(d)	
030	Cost model	IAS 17.49; IAS 16.30, 73(a)(d)	
040	Investment property	IAS 40.IN5; IAS 1.54(b)	
050	Fair value model	IAS 17.49; IAS 40.33-55, 76	
060	Cost model	IAS 17.49; IAS 40.56,79(c)	
070	Other intangible assets	IAS 38.8, 118	
080	Revaluation model	IAS 17.49; IAS 38.75-87, 124(a)(ii)	
090	Cost model	IAS 17.49; IAS 38.74	

22. Asset management, custody and other service functions

22.1 Fee and commission income and expenses by activity

ANNEX III Table 55: rows 1 - 51

22.2 Assets involved in the services provided

ANNEX III Table 56: rows 1 - 19

23. Loans and advances: additional information

23.1 Loans and advances: Number of instruments

ANNEX III Table 57: rows 1 - 27

23.2 Loans and advances: Additional information on gross carrying amounts

ANNEX III Table 58: rows 1 - 47

23.3 Loans and advances collateralised by immovable property: Breakdown by LTV ratios

ANNEX III Table 59: rows 1 - 26

23.4 Loans and advances: Additional information on accumulated impairments and accumulated negative changes in fair value due to credit risk

ANNEX III Table 60: rows 1 - 26

23.5 Loans and advances: Collateral received and financial guarantees received

ANNEX III Table 61: rows 1 - 29

23.6 Loans and advances: Accumulated partial write-offs

ANNEX III Table 62: rows 1 - 13

24. Loans and advances: Flows of non performing exposures, impairment & write offs since the end of the last financial year

24.1 Loans and advances: Inflows and outflows of non-performing exposures

ANNEX III Table 63: rows 1 - 39

24.2 Loans and advances: Flow of impairments and accumulated negative changes in fair value due to credit risk on non-performing exposures

ANNEX III Table 64: rows 1 - 14

24.3 Loans and advances: Write-offs of non-performing exposures during the period

ANNEX III Table 65: rows 1 - 9

25. Collateral obtained by taking possession and execution processes

25.1 Collateral obtained by taking possession other than collateral classified as Property Plant and Equipment (PP&E): Inflows and outflows

ANNEX III Table 66: rows 1 - 18

25.2 Collateral obtained by taking possession other than collateral classified as Property Plant and Equipment (PP&E): Type of collateral obtained

ANNEX III Table 67: rows 1 - 18

25.3 Collateral obtained by taking possession classified as Property Plant and Equipment (PP&E)
		References	Debt balance reduction		Collateral obtained by taking possession classified as Property Plant and Equipment (PP&E)		
			Gross carrying amount	Accumulated impairment, accumulated negative changes in fair value due to credit risk	Value at initial recognition	Carrying amount	Accumulated negative changes
			Annex V.Part 1.34, Part 2.343	Annex V.Part 2.69-71, 343	IAS 16.6, Annex V.Part 2.175, 175i	IAS 16.6, Annex V.Part 1.27, Part 2.175	IAS 16.6, Annex V.Part 2.175, 175ii
			0010	0020	0030	0040	0050
0010	Total	Annex V.Part 2.341, 357-358					
0020	Inflows due to new collateral obtained by taking possession	Annex V.Part 2.341, 345, 357-358					

26. Forbearance management and quality of forbearance

ANNEX III Table 69: rows 1 - 20

30. Off-balance sheet activities: Interests in unconsolidated structured entities

30.1 Interests in unconsolidated structured entities
		References	Carrying amount of financial assets recognised in the balance sheet	Of which: liquidity support drawn	Fair value of liquidity support drawn	Carrying amount of financial liabilities recognised in the balance sheet	Nominal amount of off-balance sheet exposures given by the reporting institution	Of which: Nominal amount of loan commitments given	Losses incurred by the reporting institution in the current period
			IFRS 12.29(a)	IFRS 12.29(a); Annex V.Part 2.286		IFRS 12.29(a)	IFRS 12.B26(e)		IFRS 12 B26(b); Annex V.Part 2.287
			010	020	030	040	050	060	080
010	Total								

30.2 Breakdown of interests in unconsolidated structured entities by nature of the activities

ANNEX III Table 71: rows 1 - 18

31. Related parties

31.1 Related parties: amounts payable to and amounts receivable from

ANNEX III Table 72: rows 1 - 18

31.2 Related parties: expenses and income generated by transactions with

ANNEX III Table 73: rows 1 - 13

40. Group structure

40.1 Group structure: ‘ entity-by-entity ’

ANNEX III Table 74: rows 1 - 4

40.2 Group structure: ‘ instrument-by-instrument ’
Security code	Entity code	Holding company LEI code	Holding company code	Holding company name	Accumulated equity interest (%)	Carrying amount	Acquisition cost
Annex V.Part 2.297(a)	Annex V.Part 2.296(b), 297(c)	Annex V.Part 2.297(b)	Annex V.Part 2.297(b)		Annex V.Part 2.296(j), 297(c)	Annex V.Part 2.296(o), 297(c)	Annex V.Part 2.296(p), 297(c)
010	020	030	040	050	060	070	080
							

41. Fair value

41.1 Fair value hierarchy: financial instruments at amortised cost

ANNEX III Table 76: rows 1 - 12

41.2 Use of the Fair Value Option

ANNEX III Table 77: rows 1 - 13

42. Tangible and intangible assets: carrying amount by measurement method

ANNEX III Table 78: rows 1 - 13

43. Provisions

ANNEX III Table 79: rows 1 - 11

44. Defined benefit plans and employee benefits

44.1 Components of net defined benefit plan assets and liabilities
		References	Amount
			Annex V.Part 2.306-307
			010
010	Fair value of defined benefit plan assets	IAS 19.140(a)(i), 142	
020	Of which: Financial instruments issued by the institution	IAS 19.143	
030	Equity instruments	IAS 19.142(b)	
040	Debt instruments	IAS 19.142(c)	
050	Real estate	IAS 19.142(d)	
060	Other defined benefit plan assets		
070	Present value of defined benefit obligations	IAS 19.140(a)(ii)	
080	Effect of the asset ceiling	IAS 19.140(a)(iii)	
090	Net defined benefit assets [Carrying amount]	IAS 19.63; Annex V.Part 2.308	
100	Provisions for pensions and other post-employment defined benefit obligations [Carrying amount]	IAS 19.63, IAS 1.78(d); Annex V.Part 2.9	
110	Fair value of any right to reimbursement recognised as an asset	IAS 19.140(b)	

44.2 Movements in defined benefit obligations

ANNEX III Table 81: rows 1 - 15

44.3 Staff expenses by type of benefits
		References	Current period
			010
010	Pension and similar expenses	Annex V.Part 2.311(a)	
020	Share based payments	IFRS 2.44; Annex V.Part 2.311(b)	
030	Wages and salaries	Annex V.Part 2.311(c)	
040	Social security contributions	Annex V.Part 2.311(d)	
050	Severance payments	IAS 19.8, Annex V.Part 2.311(e)	
060	Other types of staff expenses	Annex V.Part 2.311(f)	
070	STAFF EXPENSES		

44.4 Staff expenses by category of remuneration and category of staff

ANNEX III Table 83: rows 1 - 11

45. Breakdown of selected items of statement of profit or loss

45.1 Gains or losses on financial assets and liabilities designated at fair value through profit or loss by accounting portfolio
		References	Current period	Changes in fair value due to credit risk
				Annex V.Part 2.312
			010	020
010	Financial assets designated at fair value through profit or loss	IFRS 7.20(a)(i); IFRS 9.4.1.5		
020	Financial liabilities designated at fair value through profit or loss	IFRS 7.20(a)(i); IFRS 9.4.2.2		
030	GAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS	IFRS 7.20(a)(i)		

45.2 Gains or losses on derecognition of non-financial assets
		References	Current period
			Annex V.Part 2.313
			010
010	Property, Plant and Equipment	IAS 16.68, 71	
020	Investment property	IAS 40.69; IAS 1.34(a), 98(d)	
030	Intangible assets	IAS 38.113-115A; IAS 1.34(a)	
040	Other assets	IAS 1.34 (a)	
050	GAINS OR (-) LOSSES ON DERECOGNITION OF NON-FINANCIAL ASSETS	IAS 1.34	

45.3 Other operating income and expenses
		References	Income	Expenses
			010	020
010	Changes in fair value in tangible assets measured using the fair value model	IAS 40.76(d); Annex V.Part 2.314		
020	Investment property	IAS 40.75(f); Annex V.Part 2.314		
030	Operating Leases other than investment property	IFRS 16.81,82; Annex V.Part 2.315		
040	Other	Annex V.Part 2.316		
050	OTHER OPERATING INCOME OR EXPENSES	Annex V.Part 2.314-316		

46. Statement of changes in equity

ANNEX III Table 87: rows 1 - 25

47. Loans and advances: Average duration and recovery periods

ANNEX III Table 88: rows 1 - 10

ANNEX IV REPORTING FINANCIAL INFORMATION ACCORDING TO NATIONAL ACCOUNTING FRAMEWORKS

ANNEX IV Table 1: rows 1 - 128

1. Balance Sheet Statement [Statement of Financial Position]

1.1 Assets

ANNEX IV Table 2: rows 1 - 64

1.2 Liabilities

ANNEX IV Table 3: rows 1 - 45

1.3 Equity

ANNEX IV Table 4: rows 1 - 54

2. Statement of profit or loss

ANNEX IV Table 5: rows 1 - 85

3. Statement of comprehensive income

ANNEX IV Table 6: rows 1 - 47

4. Breakdown of financial assets by instrument and by counterparty sector

4.1 Financial assets held for trading

ANNEX IV Table 7: rows 1 - 22

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

ANNEX IV Table 8: rows 1 - 21

4.2.2 Financial assets designated at fair value through profit or loss

ANNEX IV Table 9: rows 1 - 22

4.3.1 Financial assets at fair value through other comprehensive income

ANNEX IV Table 10: rows 1 - 25

4.4.1 Financial assets at amortised cost

ANNEX IV Table 11: rows 1 - 21

4.5 Subordinated financial assets
		References National GAAP based on BAD	References National GAAP compatible IFRS	Carrying amount
				Annex V.Part 1.27-28
				010
010	Loans and advances	Annex V.Part 1.32	Annex V.Part 1.32	
020	Debt securities	Annex V.Part 1.31	Annex V.Part 1.31	
030	SUBORDINATED [FOR THE ISSUER] FINANCIAL ASSETS	Accounting Directive art 8(1)(a); Annex V.Part 2.78, 100	Annex V.Part 2.78, 100	

4.6 Trading Financial assets

ANNEX IV Table 13: rows 1 - 23

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

ANNEX IV Table 14: rows 1 - 22

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

ANNEX IV Table 15: rows 1 - 25

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

ANNEX IV Table 16: rows 1 - 25

4.10 Other non-trading non-derivative financial assets

ANNEX IV Table 17: rows 1 - 25

5. Breakdown of non-trading loans and advances by product

5.1 Loans and advances other than held for trading and trading assets by product

ANNEX IV Table 18: rows 1 - 17

6. Breakdown of non-trading loans and advances to non-financial corporations by NACE codes

6.1 Breakdown of loans and advances other than held for trading to non-financial corporations by NACE codes

ANNEX IV Table 19: rows 1 - 26

7. Financial assets subject to impairment that are past due

7.1 Financial assets subject to impairment that are past due

ANNEX IV Table 20: rows 1 - 32

7.2 Financial assets subject to impairment that are past due under national GAAP

ANNEX IV Table 21: rows 1 - 32

8. Breakdown of financial liabilities

8.1 Breakdown of financial liabilities by product and by counterparty sector

ANNEX IV Table 22: rows 1 - 51

8.2 Subordinated financial liabilities
				Carriyng amount		
				Designated at fair value through profit or loss	At amortized cost	At a cost-based method
			References National GAAP compatible IFRS	IFRS 7.8(e)(i); IFRS 9.4.2.2, IFRS 9.4.3.5	IFRS 7.8(g); IFRS 9.4.2.1	
		References National GAAP		Accounting Directive art 8(1)(a), (6); IAS 39.9	Accounting Directive art 8(3), (6); IAS 39.47	Accounting Directive art 8(3)
				010	020	030
010	Deposits	ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36	ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36			
020	Debt securities issued	Annex V.Part 1.37	Annex V.Part 1.37			
030	SUBORDINATED FINANCIAL LIABILITIES	Annex V.Part 2.99-100	Annex V.Part 2.99-100			

9. Loan commitments, financial guarantees and other commitments

9.1.1 Off-balance sheet exposures: Loan commitments, financial guarantees and other commitments given

ANNEX IV Table 24: rows 1 - 28

9.1 Off-balance sheet exposures under national GAAP: Loan commitments, financial guarantees and other commitments given

ANNEX IV Table 25: rows 1 - 27

9.2 Loan commitments, financial guarantees and other commitments received

ANNEX IV Table 26: rows 1 - 25

10. Derivatives – Trading and economic hedges

ANNEX IV Table 27: rows 1 - 39

11. Hedge accounting

11.1 Derivatives – Hedge accounting: Breakdown by type of risk and type of hedge

ANNEX IV Table 28: rows 1 - 57

11.2 Derivatives – Hedge accounting under National GAAP: Breakdown by type of risk

ANNEX IV Table 29: rows 1 - 37

11.3 Non-derivative hedging instruments: Breakdown by accounting portfolio and type of hedge

ANNEX IV Table 30: rows 1 - 12

11.3.1 Non-derivative hedging instruments under national GAAP: breakdown by accounting portfolio
		References National GAAP based on BAD	Carrying amount
			Annex V.Part 2.145
010	Non-derivative financial assets		
020	of which: Trading financial assets	BAD Article 32-33; Annex V.Part 1.17	
030	of which: Non-trading non-derivative financial assets measured at fair value through profit or loss	BAD art 36(2)	
040	of which: Non-trading non-derivative financial assets measured at fair value to equity	Accounting Directive art 8(1)(a), (8)	
050	of which: Other non-trading non-derivative financial assets	BAD art 37; Accounting Directive Article 12(7); Annex V.Part 1.20	
060	Non-derivative financial liabilities		
070	of which: Trading financial liabilities	Accounting Directive art 8(1)(a),(3),(6)	
080	of which: Non-trading non-derivative financial liabilities measured at a cost-based method	Accounting Directive art 8(3)	

11.4 Hedged items in fair value hedges

ANNEX IV Table 32: rows 1 - 27

12. Movements in allowances and provisions for credit losses

12.0 Movements in allowances for credit losses and impairment of equity instruments under national GAAP

ANNEX IV Table 33: rows 1 - 25

12.1 Movements in allowances and provisions for credit losses

ANNEX IV Table 34: rows 1 - 58

12.2 Transfers between impairment stages (gross basis presentation)

ANNEX IV Table 35: rows 1 - 20

13. Collateral and guarantees received

13.1 Breakdown of collateral and guarantees by loans and advances other than held for trading

ANNEX IV Table 36: rows 1 - 14

13.2.1 Collateral obtained by taking possession during the period [held at the reference date]

ANNEX IV Table 37: rows 1 - 13

13.3.1 Collateral obtained by taking possession accumulated

ANNEX IV Table 38: rows 1 - 13

14. Fair value hierachy: financial instruments at fair value

ANNEX IV Table 39: rows 1 - 54

15. Derecognition and financial liabilities associated with transferred financial assets

ANNEX IV Table 40: rows 1 - 46

16. Breakdown of selected statement of profit or loss items

16.1 Interest income and expenses by instrument and counterparty sector

ANNEX IV Table 41: rows 1 - 36

16.2 Gains or losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss by instrument
		References National GAAP based on BAD	References National GAAP compatible IFRS	Current period
				Annex V. Part 2.195-196
				010
010	Equity instruments	ECB/2013/33 Annex 2.Part 2.4-5	Annex V.Part 1.28	
020	Debt securities	Annex V.Part 1.31	Annex V.Part 1.31	
030	Loans and advances	Annex V.Part 1.32	Annex V.Part 1.32	
040	Deposits	ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36	ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36	
050	Debt securities issued	Annex V.Part 1.37	Annex V.Part 1.37	
060	Other financial liabilities	Annex V.Part 1.38-41	Annex V.Part 1.38-41	
070	GAINS OR (-) LOSSES ON DERECOGNITION OF FINANCIAL ASSETS AND LIABILITIES NOT MEASURED AT FAIR VALUE THROUGH PROFIT OR LOSS, NET	BAD art 27.Vertical layout(6); Annex V.Part 2.45	Annex V.Part 2.45	

16.3 Gains or losses on financial assets and liabilities held for trading and trading financial assets and trading financial liabilities by instrument

ANNEX IV Table 43: rows 1 - 23

16.4 Gains or losses on financial assets and liabilities held for trading and trading financial assets and trading financial liabilities by risk

ANNEX IV Table 44: rows 1 - 16

16.4.1 Gains or losses on non-trading financial assets mandatorily at fair value through profit or loss by instrument
		References National GAAP based on BAD	References National GAAP compatible IFRS	Current period
				Annex V.Part 2.201
				010
020	Equity instruments		IAS 32.11	
030	Debt securities		Annex V.Part 1.31	
040	Loans and advances		Annex V.Part 1.32	
090	GAINS OR (-) LOSSES ON NON-TRADING FINANCIAL ASSETS MANDATORILY AT FAIR VALUE THROUGH PROFIT AND LOSS, NET		IFRS 7.20(a)(i)	
100	of which: gains and losses due to the reclassification of assets at amortised cost		IFRS 9.6.5.2; Annex V.Part 2.202	

16.5 Gains or losses on financial assets and liabilities designated at fair value through profit or loss by instrument

ANNEX IV Table 46: rows 1 - 19

16.6 Gains or losses from hedge accounting
		References National GAAP based on BAD Annex V.Part 2.207	References National GAAP compatible IFRS	Current period
				Annex V.Part 2.205
				010
010	Fair value changes of the hedging instrument [including discontinuation]	Accounting Directive art 8(1)(a), (6), (8)(a)	IFRS 7.24A(c);IFRS 7.24C(b)(vi)	
020	Fair value changes of the hedged item attributable to the hedged risk	Accounting Directive art 8(1)(a), (6), (8)(a)	IFRS 9.6.3.7; .6.5.8; .B6.4.1; IFRS 7.24B(a)(iv); IFRS 7.24C(b)(vi); Annex V.Part 2.206	
030	Ineffectiveness in profit or loss from cash flow hedges	Accounting Directive art 8(1)(a), (6), (8)(a)	IFRS 7.24C(b)ii; IFRS 7.24C(b)(vi)	
040	Ineffectiveness in profit or loss from hedges of net investments in foreign operations	Accounting Directive art 8(1)(a)	IFRS 7.24C(b)(ii); IFRS 7.24C(b)(vi)	
050	GAINS OR (-) LOSSES FROM HEDGE ACCOUNTING, NET	Accounting Directive art 8(1)(a), (6), (8)(a)		

16.7 Impairment on non-financial assets

ANNEX IV Table 48: rows 1 - 15

16.8 Other administrative expenses

ANNEX IV Table 49: rows 1 - 15

17. Reconciliation between Accounting and CRR scope of consolidation: Balance Sheet

17.1 Assets

ANNEX IV Table 50: rows 1 - 63

17.2 Off-balance sheet exposures: Loan commitments, financial guarantees and other commitments given
		References National GAAP based on BAD	References National GAAP compatible IFRS	Accounting scope of consolidation [Nominal amount]
				Annex V.Part 2.118, 209
				010
010	Loan commitments given	CRR Annex I; Annex V.Part 1.44(g), Part 2.112, 113	CRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 113, 116	
020	Financial guarantees given	CRR Annex I; Annex V.Part 1.44(f), Part 2.112, 114	IFRS 4 Annex A; CRR Annex I; Annex V.Part 1.44(f), Part 2.102-105, 114, 116	
030	Other Commitments given	CRR Annex I; Annex V.Part 1.44(g), Part 2.112, 115	CRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 115, 116	
040	OFF-BALANCE SHEET EXPOSURES			

17.3 Liabilities and equity

ANNEX IV Table 52: rows 1 - 55

18 Information on performing and non-performing exposures

18.0 Information on performing and non-performing exposures

ANNEX IV Table 53: rows 1 - 86

18.1 Inflows and outflows of non-performing exposures – loans and advances by counterparty sector

ANNEX IV Table 54: rows 1 - 22

18.2 Commercial Real Estate (CRE) loans and additional information on loans secured by immovable property

ANNEX IV Table 55: rows 1 - 17

19. Information forborne exposures

ANNEX IV Table 56: rows 1 - 65

20. Geographical breakdown

20.1 Geographical breakdown of assets by location of the activities

ANNEX IV Table 57: rows 1 - 59

20.2 Geographical breakdown of liabilities by location of the activities

ANNEX IV Table 58: rows 1 - 37

20.3 Geographical breakdown of statement of profit or loss items by location of the activities

ANNEX IV Table 59: rows 1 - 40

20.4 Geographical breakdown of assets by residence of the counterparty
Country of residence of the counterparty:

ANNEX IV Table 60: rows 1 - 29

20.5 Geographical breakdown of off-balance sheet exposures by residence of the counterparty
Country of residence of the counterparty:

ANNEX IV Table 61: rows 1 - 8

20.6 Geographical breakdown of liabilities by residence of the counterparty
Country of residence of the counterparty:

ANNEX IV Table 62: rows 1 - 16

20.7.1 Geographical breakdown by residence of the counterparty of loans and advances other than held for trading to non-financial corporations by NACE codes
Country of residence of the counterparty:

ANNEX IV Table 63: rows 1 - 25

21. Tangible and intangible assets: assets subject to operating lease

ANNEX IV Table 64: rows 1 - 12

22. Asset management, custody and other service functions

22.1 Fee and commission income and expenses by activity

ANNEX IV Table 65: rows 1 - 51

22.2 Assets involved in the services provided

ANNEX IV Table 66: rows 1 - 19

23. Loans and advances: additional information

23.1 Loans and advances: Number of instruments

ANNEX IV Table 67: rows 1 - 28

23.2 Loans and advances: Additional information on gross carrying amounts

ANNEX IV Table 68: rows 1 - 48

23.3 Loans and advances collateralised by immovable property: Breakdown by LTV ratios

ANNEX IV Table 69: rows 1 - 27

23.4 Loans and advances: Additional information on accumulated impairments and accumulated negative changes in fair value due to credit risk

ANNEX IV Table 70: rows 1 - 27

23.5 Loans and advances: Collateral received and financial guarantees received

ANNEX IV Table 71: rows 1 - 30

23.6 Loans and advances: Accumulated partial write-offs

ANNEX IV Table 72: rows 1 - 14

24. Loans and advances: Flows of non performing exposures, impairment & write offs since the end of the last financial year

24.1 Loans and advances: Inflows and outflows of non-performing exposures

ANNEX IV Table 73: rows 1 - 40

24.2 Loans and advances: Flow of impairments and accumulated negative changes in fair value due to credit risk on non-performing exposures

ANNEX IV Table 74: rows 1 - 15

24.3 Loans and advances: Write-offs of non-performing exposures during the period

ANNEX IV Table 75: rows 1 - 10

25. Collateral obtained by taking possession and execution processes

25.1 Collateral obtained by taking possession other than collateral classified as Property Plant and Equipment (PP&E): Inflows and outflows

ANNEX IV Table 76: rows 1 - 19

25.2 Collateral obtained by taking possession other than collateral classified as Property Plant and Equipment (PP&E): Type of collateral obtained

ANNEX IV Table 77: rows 1 - 19

25.3 Collateral obtained by taking possession classified as Property Plant and Equipment (PP&E)

ANNEX IV Table 78: rows 1 - 7

26. Forbearance management and quality of forbearance

ANNEX IV Table 79: rows 1 - 20

30. Off-balance sheet activities: Interests in unconsolidated structured entities

30.1 Interests in unconsolidated structured entities
		References National GAAP based on BAD	References National GAAP compatible IFRS	Carrying amount of financial assets recognised in the balance sheet	Of which: liquidity support drawn	Fair value of liquidity support drawn	Carrying amount of financial liabilities recognised in the balance sheet	Nominal amount of off-balance sheet exposures given by the reporting institution	Of which: Nominal amount of loan commitments given	Losses incurred by the reporting institution in the current period
				IFRS 12.29(a)	IFRS 12.29(a); Annex V.Part 2.286		IFRS 12.29(a)	IFRS 12.B26(e)		IFRS 12 B26(b); Annex V.Part 2.287
				010	020	030	040	050	060	080
010	Total									

30.2 Breakdown of interests in unconsolidated structured entities by nature of the activities

ANNEX IV Table 81: rows 1 - 18

31. Related parties

31.1 Related parties: amounts payable to and amounts receivable from

ANNEX IV Table 82: rows 1 - 19

31.2 Related parties: expenses and income generated by transactions with

ANNEX IV Table 83: rows 1 - 14

40. Group structure

40.1 Group structure: ‘ entity-by-entity ’

ANNEX IV Table 84: rows 1 - 5

40.2. Group structure: ‘ instrument-by-instrument ’
Security code	Entity code	Holding company LEI code	Holding company code	Holding company name	Accumulated equity interest (%)	Carrying amount	Acquisition cost
Annex V.Part 2.297(a)	Annex V.Part 2.296(b), 297(c)	Annex V.Part 2.297(b)	Annex V.Part 2.297(b)		Annex V.Part 2.296(j), 297(c)	Annex V.Part 2.296(o), 297(c)	Annex V.Part 2.296(p), 297(c)
Annex V.Part 2.297(a)	Annex V.Part 2.296(b), 297(c)	Annex V.Part 2.297(b)	Annex V.Part 2.297(b)		Annex V.Part 2.296(j), 297(c)	Annex V.Part 2.296(o), 297(c)	Annex V.Part 2.296(p), 297(c)
010	020	030	040	050	060	070	080
							

41. Fair value

41.1 Fair value hierarchy: financial instruments at amortised cost

ANNEX IV Table 86: rows 1 - 24

41.2 Use of the Fair Value Option

ANNEX IV Table 87: rows 1 - 13

42. Tangible and intangible assets: carrying amount by measurement method

ANNEX IV Table 88: rows 1 - 13

43. Provisions

ANNEX IV Table 89: rows 1 - 12

44 Defined benefit plans and employee benefits

44.1 Components of net defined benefit plan assets and liabilities
		References National GAAP compatible IFRS	Amount
			Annex V.Part 2.306-307
			010
010	Fair value of defined benefit plan assets	IAS 19.140(a)(i), 142	
020	Of which: Financial instruments issued by the institution	IAS 19.143	
030	Equity instruments	IAS 19.142(b)	
040	Debt instruments	IAS 19.142(c)	
050	Real estate	IAS 19.142(d)	
060	Other defined benefit plan assets		
070	Present value of defined benefit obligations	IAS 19.140(a)(ii)	
080	Effect of the asset ceiling	IAS 19.140(a)(iii)	
090	Net defined benefit assets [Carrying amount]	IAS 19.63; Annex V.Part 2.308	
100	Provisions for pensions and other post-employment defined benefit obligations [Carrying amount]	IAS 19.63, IAS 1.78(d); Annex V.Part 2.9	
110	Fair value of any right to reimbursement recognised as an asset	IAS 19.140(b)	

44.2 Movements in defined benefit obligations

ANNEX IV Table 91: rows 1 - 15

44.3 Staff expenses by type of benefits
		References National GAAP based on BAD	References National GAAP compatible IFRS	Current period
				010
010	Pension and similar expenses	Annex V.Part 2.311(a)	Annex V.Part 2.311(a)	
020	Share based payments	Annex V.Part 2.311(b)	IFRS 2.44; Annex V.Part 2.311(b)	
030	Wages and salaries	Annex V.Part 2.311(c)	Annex V.Part 2.311(c)	
040	Social security contributions	Annex V.Part 2.311(d)	Annex V.Part 2.311(d)	
050	Severance payments	Annex V.Part 2.311(e)	IAS 19.8, Annex V.Part 2.311(e)	
060	Other types of staff expenses	Annex V.Part 2.311(f)	Annex V.Part 2.311(f)	
070	STAFF EXPENSES			

44.4 Staff expenses by category of remuneration and category of staff

ANNEX IV Table 93: rows 1 - 11

45 Breakdown of selected items of statement of profit or loss

45.1 Gains or losses on financial assets and liabilities designated at fair value through profit or loss by accounting portfolio
		References National GAAP based on BAD	References National GAAP compatible IFRS	Current period	Changes in fair value due to credit risk
					Annex V.Part 2.312
				010	020
010	Financial assets designated at fair value through profit or loss		IFRS 7.20(a)(i); IFRS 9.4.1.5		
020	Financial liabilities designated at fair value through profit or loss		IFRS 7.20(a)(i); IFRS 9.4.2.2		
030	GAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS	BAD art 27.Vertical layout(6)	IFRS 7.20(a)(i)		

45.2 Gains or losses on derecognition of non-financial assets
		References National GAAP based on BAD	References National GAAP compatible IFRS	Current period
				Annex V.Part 2.313
				010
010	Property, Plant and Equipment		IAS 16.68, 71	
020	Investment property		IAS 40.69; IAS 1.34(a), 98(d)	
030	Intangible assets		IAS 38.113-115A; IAS 1.34(a)	
040	Other assets		IAS 1.34 (a)	
050	GAINS OR (-) LOSSES ON DERECOGNITION OF NON-FINANCIAL ASSETS		IAS 1.34	

45.3 Other operating income and expenses
		References National GAAP based on BAD	References National GAAP compatible IFRS	Income	Expenses
				010	020
010	Changes in fair value in tangible assets measured using the fair value model	Annex V.Part 2.314	IAS 40.76(d); Annex V.Part 2.314		
020	Investment property	Annex V.Part 2.314	IAS 40.75(f); Annex V.Part 2.314		
030	Operating Leases other than investment property	Annex V.Part 2.315	IFRS 16.81,82; Annex V.Part 2.315		
040	Other	Annex V.Part 2.316	Annex V.Part 2.316		
050	OTHER OPERATING INCOME OR EXPENSES	Annex V.Part 2.314-316	Annex V.Part 2.314-316		

46. Statement of changes in equity

ANNEX IV Table 97: rows 1 - 26

47. Loans and advances: Average duration and recovery periods

ANNEX IV Table 98: rows 1 - 10

ANNEX V REPORTING ON FINANCIAL INFORMATION

PART 1 GENERAL INSTRUCTIONS

1. REFERENCES
1. This Annex contains additional instructions for the financial information templates ( ‘ FINREP ’ ) in Annexes III and IV to this Regulation. This Annex complements the instructions included in the form of references in the templates in Annexes III and IV.
2. Institutions that use national accounting standards compatible with IFRS ( ‘ compatible national GAAP ’ ) shall apply the common and IFRS instructions in this Annex, unless otherwise provided. This is without prejudice to the compliance of the compatible national GAAP requirements with the requirements of BAD. Institutions that use national GAAP requirements that are non-compatible with IFRS or that have not yet been made compatible with the requirements in IFRS 9 shall apply the common and BAD instructions in this Annex, unless provided otherwise.
3. The data points identified in the templates shall be drawn up in accordance with the recognition, offsetting and valuation rules of the relevant accounting framework, as defined in point (77) of Article 4(1) of Regulation (EU) No 575/2013.
4. An institution shall only submit those parts of the templates relating to:
(a) assets, liabilities, equity, income and expenses that are recognised by the institution;
(b) off-balance sheet exposures and activities in which the institution is involved;
(c) transactions performed by the institution;
(d) valuation rules, including methods for the estimation of allowances for credit risk, applied by the institution.
5. For the purposes of Annexes III and IV as well as this Annex, the following abbreviations shall apply:
(a) ‘ CRR ’ : Regulation (EU) No 575/2013;
(b) ‘IAS’ or ‘IFRS’: ‘International Accounting Standards’, as defined in Article 2 of Regulation (EC) No 1606/2002 of the European Parliament and of the Council , which have been adopted by the Commission;
Regulation (EC) No 1606/2002 of the European Parliament and of the Council of 19 July 2002 on the application of international accounting standards ( OJ L 243, 11.9.2002, p. 1 ).
(c) ‘ECB BSI Regulation’ or ‘ECB/2013/33’: Regulation (EU) No 1071/2013 of the European Central Bank ;
Regulation (EU) No 1071/2013 of the European Central Bank of 24 September 2013 concerning the balance sheet of monetary financial institutions sector (ECB/2013/33) ( OJ L 297, 7.11.2013, p. 1 ).
(d) ‘NACE Regulation’: Regulation (EC) No 1893/2006 of the European Parliament and of the Council ;
Regulation (EC) No 1893/2006 of the European Parliament and of the Council of 20 December 2006 establishing the statistical classification of economic activities NACE Revision 2 and amending Council Regulation (EEC) No 3037/90 as well as certain EC Regulations on specific statistical domains ( OJ L 393, 30.12.2006, p. 1 ).
(e) ‘ NACE codes ’ : codes in NACE Regulation;
(f) ‘BAD’: Council Directive 86/635/EEC ;
Council Directive 86/635/EEC of 8 December 1986 on the annual accounts and consolidated accounts of banks and other financial institutions ( OJ L 372, 31.12.1986, p. 1 ).
(g) ‘Accounting Directive’: Directive 2013/34/EU of the European Parliament and of the Council ;
Directive 2013/34/EU of the European Parliament and of the Council of 26 June 2013 on the annual financial statements, consolidated financial statements and related reports of certain types of undertakings, amending Directive 2006/43/EC of the European Parliament and of the Council and repealing Council Directives 78/660/EEC and 83/349/EEC ( OJ L 182, 29.6.2013, p. 19 ).
(h) ‘ National GAAP ’ : national generally accepted accounting principles developed under BAD;
(i) ‘SME’: micro, small and medium-sized enterprises as defined in Commission Recommendation C(2003)1422 ;
Commission Recommendation of 6 May 2003 concerning the definition of micro, small and medium-sized enterprises (C(2003)1422) ( OJ L 124, 20.5.2003, p. 36 ).
(j) ‘ ISIN code ’ : the International Securities Identification Number assigned to securities, composed of 12 alphanumeric characters, which uniquely identifies a securities issue;
(k) ‘ LEI code ’ : the global Legal Entity Identifier assigned to entities, which uniquely identifies a party to a financial transaction;
(l) ‘ Impairment stages ’ : categories of impairment as defined in IFRS 9.5.5. ‘ Stage 1 ’ refers to impairment measured in accordance with IFRS 9.5.5.5. ‘ Stage 2 ’ refers to impairment measured in accordance with IFRS 9.5.5.3. ‘ Stage 3 ’ refers to impairment on credit-impaired assets as defined in Appendix A of IFRS 9;
(m) ‘ESRB recommendation on closing real estate data gaps’ refers to the Recommendation of the European Systemic Risk Board of 31 October 2016 on closing real estate data gaps (ESRB/2016/14) .
Recommendation of the European Systemic Risk Board of 31 October 2016 on closing real estate data gaps (ESRB/2016/14) ( OJ C 31, 31.1.2017, p. 1 ).

2. CONVENTIONS
6. For the purposes of Annexes III and IV, a data point shadowed in grey shall mean that that data point is not requested or that it is not possible to report it. In Annex IV, a row or a column with references shadowed in black shall mean that the related data points shall not be submitted by those institutions that follow those references in that row or column.
7. Templates in Annexes III and IV include implicit validation rules which are laid down in the templates themselves through the use of conventions.
8. The use of brackets in the label of an item in a template means that this item is to be subtracted to obtain a total, but it does not mean that it shall be reported as negative.
9. Items that shall be reported in negative are identified in the compiling templates by including ‘ (-) ’ at the beginning of their label such as in ‘ (-) Treasury shares ’ .
10. In the ‘ Data Point Model ’ ( ‘ DPM ’ ) for financial information reporting templates of Annexes III and IV, every data point (cell) has a ‘ base item ’ to which the ‘ credit/debit ’ attribute is allocated. That allocation ensures that all entities that report data points follow the ‘ sign convention ’ and allows to know the ‘ credit/debit ’ attribute that corresponds to each data point.
11. Schematically, this convention works as in Table 1.

Table 1
Credit/debit convention, positive and negative signs
ANNEX V Table 1: rows 1 - 21

3. CONSOLIDATION
12. Unless specified otherwise in this Annex, FINREP templates shall be prepared using the prudential scope of consolidation in accordance with Section 2 of Chapter 2 of Title II of Part 1 CRR. Institutions shall account for their subsidiaries, joint ventures and associates using the same methods as for prudential consolidation:
(a) institutions may be permitted or required to apply the equity method to investments in insurance and non-financial subsidiaries in accordance with Article 18(5)CRR;
(b) institutions may be permitted to use the proportional consolidation method for financial subsidiaries in accordance with Article 18(2) CRR;
(c) institutions may be required to use the proportional consolidation method for investment in joint ventures in accordance with Article 18(4) CRR.

4. ACCOUNTING PORTFOLIOS OF FINANCIAL INSTRUMENTS
13. For the purposes of Annexes III and IV as well as this Annex, ‘ accounting portfolios ’ means financial instruments aggregated by valuation rules. Those aggregations shall not include investments in subsidiaries, joint ventures and associates, balances receivable on demand classified as ‘ Cash, cash balances at central banks and other demand deposits ’ , nor financial instruments classified as ‘ Held for sale ’ presented in the items ‘ Non-current assets and disposal groups classified as held for sale ’ and ‘ Liabilities included in disposal groups classified as held for sale ’ .
14. Under national GAAP, institutions that are permitted or required to apply certain valuation rules for financial instruments in accordance with IFRS shall submit, to the extent that those rules are applied, the relevant IFRS accounting portfolios. Where the valuation rules for financial instruments that institutions are permitted or required to use under national GAAP based on BAD do refer to the valuation rules in IAS 39, institutions shall submit the accounting portfolios based on BAD for all their financial instruments until the valuation rules they apply refer to the valuation rules in IFRS 9.

4.1. Financial assets
15. The following accounting portfolios based on IFRS shall be used for financial assets:
(a) ‘ Financial assets held for trading ’ ;
(b) ‘ Non-trading financial assets mandatorily at fair value through profit or loss ’ ;
(c) ‘ Financial assets designated at fair value through profit or loss ’ ;
(d) ‘ Financial assets at fair value through other comprehensive income ’ ;
(e) ‘ Financial assets at amortised cost ’ .
16. The following accounting portfolios based on national GAAP shall be used for financial assets:
(a) ‘ Trading financial assets ’ ;
(b) ‘ Non-trading non-derivative financial assets measured at fair value through profit or loss ’ ;
(c) ‘ Non-trading non-derivative financial assets measured at fair value to equity ’ ;
(d) ‘ Non-trading non-derivative financial assets measured at a cost-based method ’ ;
(e) ‘ Other non-trading non-derivative financial assets ’ .
17. ‘ Trading financial assets ’ includes all financial assets classified as trading under the relevant national GAAP based on BAD. Irrespective of the measurement methodology applied under the relevant national GAAP based on BAD, all derivatives with a positive balance for the reporting institution that are not classified as hedge accounting in accordance with paragraph 22 of this Part shall be reported as trading financial assets. That classification shall also apply to derivatives which according to national GAAP based on BAD are not recognised on the balance-sheet, or have only the changes in their fair value recognised on-balance sheet or which are used as economic hedges as defined in paragraph 137 of Part 2 of this Annex.
18. Under national GAAP based on BAD, for financial assets, ‘ cost-based methods ’ shall include those valuation rules by which the debt instrument is measured at cost plus interest accrued less impairment losses.
19. Under national GAAP based on BAD, ‘ Non-trading non-derivative financial assets measured at a cost-based method ’ includes financial instruments measured at cost-based methods as well as instruments measured at the lower of cost or market ( ‘ LOCOM ’ ) under a non-continuous basis (moderate LOCOM), regardless of their actual measurement as of the reporting reference date. Assets measured at moderate LOCOM are assets for which LOCOM is applied only in specific circumstances. The applicable accounting framework provides for those circumstances, such as impairment, a prolonged decline in fair value compared to cost or change in the management intent.
20. Under national GAAP based on BAD, ‘ Other non-trading non-derivative financial assets ’ shall include financial assets that do not qualify for inclusion in other accounting portfolios. That accounting portfolio includes, among others, financial assets that are measured at LOCOM on a continuous basis ( ‘ strict LOCOM ’ ). Assets measured at strict LOCOM are assets for which the applicable accounting framework either provides for the initial and subsequent measurement at LOCOM, or the initial measurement at cost and the subsequent measurement at LOCOM.
21. Regardless of their measurement method, investments in subsidiaries, joint ventures and associates that are not fully or proportionally consolidated under the regulatory scope of consolidation are reported in ‘ Investments in subsidiaries, joint ventures and associates ’ , except where they are classified as held for sale in accordance with IFRS 5.
22. ‘ Derivatives – Hedge accounting ’ shall include derivatives with a positive balance for the reporting institution held for hedge accounting under IFRS. Under national GAAP based on BAD, banking book derivatives shall be classified as derivatives held for hedge accounting only where there are special accounting rules for banking book derivatives under the relevant national GAAP based on BAD and the derivatives reduce risk of another position in the banking book.

4.2. Financial liabilities
23. The following accounting portfolios based on IFRS shall be used for financial liabilities:
(a) ‘ Financial liabilities held for trading ’ ;
(b) ‘ Financial liabilities designated at fair value through profit or loss ’ ;
(c) ‘ Financial liabilities measured at amortised cost ’ .
24. The following accounting portfolios based on national GAAP shall be used for financial liabilities:
(a) ‘ Trading financial liabilities ’ ;
(b) ‘ Non-trading non-derivative financial liabilities measured at a cost-based method ’ .
25. ‘ Trading financial liabilities ’ includes all financial liabilities classified as trading under the relevant national GAAP based on BAD. Irrespective of the measurement methodology applied under the relevant national GAAP based on BAD, all derivatives with a negative balance for the reporting institution that are not classified as hedge accounting in accordance with paragraph 26 of this Part shall be reported as trading financial liabilities. That classification shall also apply to derivatives which according to national GAAP based on BAD are not recognised on the balance-sheet, or have only the changes in their fair value recognised on-balance sheet or which are used as economic hedges as defined in paragraph 137 of Part 2 of this Annex.
26. ‘ Derivatives – Hedge accounting ’ shall include derivatives with a negative balance for the reporting institution held for hedge accounting under IFRS. Under national GAAP based on BAD, banking book derivatives shall be classified as hedge accounting only if there are special accounting rules for banking book derivatives under the relevant national GAAP based on BAD and the derivatives reduce risk of another position in the banking book.

5. FINANCIAL INSTRUMENTS
27. For the purposes of Annexes III and IV as well as this Annex, ‘ the carrying amount ’ means the amount to be reported in the balance sheet. The carrying amount of financial instruments shall include accrued interest. Under the relevant national GAAP based on BAD, the carrying amount of derivatives either shall be the carrying amount under national GAAP including accruals, premium values and provisions if applicable, or it shall be equal to zero where derivatives are not recognised on-balance sheet.
28. If recognised under the relevant national GAAP based on BAD, accruals and deferrals of financial instruments including interest accrual, premiums and discounts or transaction costs shall be reported together with the instrument and not as other assets or other liabilities.
29. Where applicable under national GAAP based on BAD, ‘ Haircuts for trading positions valued at fair value ’ shall be reported. The haircuts decrease the value of trading assets and increase the value of trading liabilities.

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

5.2. Gross carrying amount
34. Gross carrying amount of debt instruments shall have the following meaning:
(a) under IFRS and national GAAP based on BAD for debt instruments measured at fair value through profit or loss without being included in the held for trading or trading portfolio, the gross carrying amount shall depend on whether those debt instruments are classified as performing or non-performing. For performing debt instruments, the gross carrying amount shall be the fair value. For non-performing debt instruments, the gross carrying amount shall be the fair value after adding back any accumulated negative changes in fair value due to credit risk, as defined in paragraph 69 of Part 2 of this Annex. For the purposes of the measurement of the gross carrying amount, the valuation of the debt instruments shall be performed on the level of single financial instruments;
(b) under IFRS for debt instruments at amortised cost or at fair value through other comprehensive income, the gross carrying amount shall be the carrying amount before adjusting for any loss allowance;
(c) under national GAAP based on BAD, for debt instruments classified as ‘ non-trading non-derivative financial assets measured at a cost-based method ’ , the gross carrying amount of impaired assets shall be equal to the carrying amount before adjusting for specific allowances for credit risk. The gross carrying amount of unimpaired assets shall be the carrying amount before adjusting for general allowances for credit risk and general allowances for banking risk, where affecting the carrying amount;
(d) under national GAAP based on BAD, the gross carrying amount of debt instruments classified as ‘ Non-trading non-derivative financial assets measured at fair value to equity ’ shall depend on whether those financial assets are subject to impairment requirements. Where they are subject to impairment requirements, the gross carrying amount shall be the carrying amount before adjusting for any accumulated impairment, following the requirements in point (c) above for impaired and unimpaired assets, or any accumulated amount of fair value adjustment that is considered as impairment loss. When those financial assets are not subject to impairment requirements, the gross carrying amount of those financial assets shall be the fair value for performing exposures, and for non-performing exposures the fair value after adding back any accumulated negative fair value adjustment due to credit risk;
(e) under national GAAP based on BAD, the gross carrying amount of debt instruments measured at strict or moderate LOCOM shall be the cost where measured at cost during the reporting reference period. Where those debt instruments are measured at market value, the gross carrying amount shall be the market value before adjusting for credit-risk induced value adjustments;
(f) under national GAAP based on BAD, for debt instruments reported under ‘ Other non-trading non-derivative financial assets ’ under measurement methods other than LOCOM, the gross carrying amount shall be the carrying amount before taking into account any valuation adjustment that qualifies as impairment;
(g) for trading financial assets under GAAP based on BAD or held for trading financial assets under IFRS, the gross carrying amount shall be the fair value. Where GAAP based on BAD require haircuts on trading and fair valued instruments, the carrying amount of the financial instruments shall be the fair value before those haircuts.

5.3. Financial liabilities
35. Financial liabilities shall be distributed among the following classes of instruments: ‘ Derivatives ’ , ‘ Short positions ’ , ‘ Deposits ’ , ‘ Debt securities issued ’ and ‘ Other financial liabilities ’ .
36. For the purposes of Annexes III and IV as well as this Annex, ‘ deposits ’ shall be deposits as defined in the Table of Part 2 of Annex II to the ECB BSI Regulation.
37. ‘ Debt securities issued ’ shall be debt instruments issued as securities by the institution that are not deposits, as defined in the Table of Part 2 of Annex II to the ECB BSI Regulation.
38. ‘ Other financial liabilities ’ shall include all financial liabilities other than derivatives, short positions, deposits and debt securities issued.
39. Under IFRS, ‘ Other financial liabilities ’ shall include financial guarantees given where they are measured either at fair value through profit or loss (IFRS 9.4.2.1(a)) or at the amount initially recognised less cumulative amortization (IFRS 9.4.2.1(c)(ii)). Loan commitments given shall be reported as ‘ Other financial liabilities ’ where they are designated as financial liabilities at fair value through profit or loss (IFRS 9.4.2.1(a)) or they are commitments to provide a loan at a below-market interest rate (IFRS 9.2.3(c), IFRS 9.4.2.1(d)).
40. Where loan commitments, financial guarantees and other commitments given are measured at fair value through profit or loss, any change in the fair value, including changes due to credit risk, shall be reported as ‘ other financial liabilities ’ and not as provisions for ‘ Commitments and guarantees given ’ .
41. ‘ Other financial liabilities ’ shall also include dividends to be paid, amounts payable in respect of suspense and transit items, and amounts payable in respect of future settlements of transactions in securities or foreign exchange transactions where payables for transactions are recognised before the payment date.

6. COUNTERPARTY BREAKDOWN
42. Where a breakdown by counterparty is required the following counterparty sectors shall be used:
(a) central banks;
(b) general governments: central governments, state or regional governments, and local governments, including administrative bodies and non-commercial undertakings, but excluding public companies and private companies held by these administrations that have a commercial activity (which shall be reported under ‘ credit institutions ’ , ‘ other financial corporations ’ or ‘ non-financial corporations ’ depending on their activity); social security funds; and international organisations, such as institutions of the European Union, the International Monetary Fund and the Bank for International Settlements;
(c) credit institutions: any institution covered by the definition in point (1) of Article 4(1) CRR ( ‘ undertaking the business of which is to take deposits or other repayable funds from the public and to grant credits for its own account ’ ) and multilateral development banks (MDBs);
(d) other financial corporations: all financial corporations and quasi-corporations, other than credit institutions, such as investment firms, investment funds, insurance companies, pension funds, collective investment undertakings, and clearing houses as well as remaining financial intermediaries, financial auxiliaries and captive financial institutions and money lenders;
(e) non-financial corporations (NFCs): corporations and quasi-corporations not engaged in financial intermediation but principally in the production of market goods and non-financial services, as defined in the Table of Part 3 of Annex II to the ECB BSI Regulation;
(f) households: individuals or groups of individuals as consumers and producers of goods and non-financial services exclusively for their own final consumption, and as producers of market goods and non-financial and financial services provided that their activities are not those of quasi-corporations. Non-profit institutions which serve households ( ‘ NPISH ’ ) and which are principally engaged in the production of non-market goods and services intended for particular groups of households shall be included.
43. The counterparty sector allocation shall be based exclusively on the nature of the immediate counterparty. The classification of the exposures incurred jointly by more than one obligor shall be done on the basis of the characteristics of the obligor that was the more relevant, or determinant, for the institution to grant the exposure. Among other classifications, the distribution of jointly incurred exposures by counterparty sector, country of residence and NACE codes shall be driven by the characteristics of the more relevant or determinant obligor.
44. The immediate counterparties in the following transactions shall be:
(a) for loans and advances, the immediate borrower. For trade receivables, the immediate borrower shall be the counterparty obliged to pay the receivables, except in transactions with recourse, where the immediate borrower shall be the transferor of receivables where the reporting institution does not acquire substantially all the risks and rewards of ownership of the transferred receivables;
(b) for debt securities and equity instruments, the issuer of the securities;
(c) for deposits, the depositor;
(d) for short positions, the counterparty of the securities borrowing transaction or reverse repurchase agreement;
(e) for derivatives, the direct counterparty of the derivative contract. For centrally cleared OTC derivatives, the direct counterparty shall be the clearing house acting as a central counterparty. Counterparty breakdown for credit risk derivatives refers to the sector where the counterparty of the contract (buyer or seller of protection) belongs;
(f) for financial guarantees given, the counterparty shall be the direct counterparty of the guaranteed debt instrument;
(g) for loan commitments and other commitments given, the counterparty whose credit risk is assumed by the reporting institution;
(h) for loan commitments, financial guarantees and other commitments received, the guarantor or the counterparty that has provided the commitment to the reporting institution.

PART 2 TEMPLATE RELATED INSTRUCTIONS

1. BALANCE SHEET

1.1. Assets (1.1)
1. ‘ Cash on hand ’ shall include holdings of national and foreign banknotes and coins in circulation that are commonly used to make payments.
2. ‘ Cash balances at central banks ’ shall include balances receivable on demand at central banks.
3. ‘ Other demand deposits ’ shall include balances receivable on demand with credit institutions.
4. ‘ Investments in subsidiaries, joint ventures and associates ’ shall include the investments in associates, joint ventures and subsidiaries which are not fully or proportionally consolidated under the regulatory scope of consolidation, except where they shall be classified as held for sale in accordance with IFRS 5, irrespective of how they are measured, including where the accounting standards allow for them to be included in the different accounting portfolios used for financial instruments. The carrying amount of investments accounted for using the equity method shall include related goodwill.
5. Assets that are not financial assets and that due to their nature could not be classified in specific balance sheet items shall be reported in ‘ Other assets ’ . Other assets shall include, among others, gold, silver and other commodities, even where they are held with trading intent.
6. Under the relevant national GAAP based on BAD, the carrying amount of repurchased own shares shall be reported as ‘ other assets ’ where presentation as asset is allowed under the relevant national GAAP.
7. ‘ Non-current assets and disposal groups classified as held for sale ’ shall have the same meaning as under IFRS 5.

1.2. Liabilities (1.2)
8. Under national GAAP based on BAD, provisions for contingent losses arising from the ineffective part of portfolio hedge relationship shall be reported in row ‘ Derivatives – Hedge accounting ’ where the loss arises from the valuation of the hedging derivative, or in row ‘ Fair value changes of the hedged items in portfolio hedge of interest rate risk ’ where the loss arises from the valuation of the hedged position. Where no distinction between losses arising from the valuation of the hedging derivative and loss arising from the valuation of the hedged position is possible, all provisions for contingent losses arising from the ineffective part of the portfolio hedge relationship shall be reported in row ‘ Derivatives – Hedge accounting ’ .
9. Provisions for ‘ Pensions and other post-employment defined benefit obligations ’ shall include the amount of net defined benefit liabilities.
10. Under IFRS, provisions for ‘ Other long-term employee benefits ’ shall include the amount of the deficits in the long-term employment benefit plans listed in IAS 19.153. The accrued expense from short-term employee benefits (IAS 19.11(a)), defined contribution plans (IAS 19.51(a)) and termination benefits (IAS 19.169(a)) shall be included in ‘ Other liabilities ’ .
11. Under IFRS, provisions for ‘ Commitments and guarantees given ’ shall include provisions related to all commitments and guarantees, irrespective of whether their impairment is determined in accordance with IFRS 9 or their provisioning follows IAS 37 or whether they are treated as insurance contracts under IFRS 4. Liabilities arising from commitments and financial guarantees measured at fair value through profit or loss shall not be reported as provisions although they are due to credit risk, but as ‘ other financial liabilities ’ in accordance with paragraph 40 of Part 1 of this Annex. Under national GAAP based on BAD, provisions for ‘ Commitments and guarantees given ’ shall include provisions related to all commitments and guarantees.
12. ‘ Share capital repayable on demand ’ shall include the capital instruments issued by the institution that do not meet the criteria to be classified in equity. Institutions shall include in this item the cooperative shares that do not meet the criteria to be classified in equity.
13. Liabilities that are not financial liabilities and that due to their nature could not be classified in specific balance sheet items shall be reported in ‘ Other liabilities ’ .
14. ‘ Liabilities included in disposal groups classified as held for sale ’ shall have the same meaning as under IFRS 5.
15. Under national GAAP based on BAD ‘ Funds for general banking risks ’ are amounts that have been assigned in accordance with Article 38 of BAD. Where recognised, they shall appear separately either as liabilities under ‘ provisions ’ or within equity under ‘ other reserves ’ in accordance with the relevant national GAAP.

1.3. Equity (1.3)
16. Under IFRS, equity instruments that are financial instruments shall include those contracts under the scope of IAS 32.
17. Under the relevant national GAAP based on BAD, ‘ Unpaid capital which has been called up ’ shall include the carrying amount of capital issued by the institution that has been called-up to the subscribers but not paid at the reference date. If capital increase, not yet paid, is recorded as an increase of share capital, unpaid capital which has been called up shall be reported in ‘ Unpaid capital which has been called up ’ in template 1.3 as well as in ‘ other assets ’ in template 1.1. Under the relevant national GAAP based on BAD, where capital increase can be recorded only following the receipt of the payment from shareholders, unpaid capital shall not be reported in template 1.3.
18. ‘ Equity component of compound financial instruments ’ shall include the equity component of compound financial instruments (that is, financial instruments that contain both a liability and an equity component) issued by the institution, where segregated in accordance with the relevant accounting framework (including compound financial instruments with multiple embedded derivatives the values of which are interdependent).
19. ‘ Other equity instruments issued ’ shall include equity instruments that are financial instruments other than ‘ Capital ’ and ‘ Equity component of compound financial instruments ’ .
20. ‘ Other equity ’ shall comprise all equity instruments that are not financial instruments including, among others, equity-settled share-based payment transactions (IFRS 2.10).
21. ‘ Fair value changes of equity instruments measured at fair value through other comprehensive income ’ shall include accumulated gains and losses due to changes in fair value on investments in equity instruments for which the reporting entity has made the irrevocable election to present changes in fair value in other comprehensive income.
22. ‘ Hedge ineffectiveness of fair value hedges for equity instruments measured at fair value through other comprehensive income ’ shall comprise the accumulated hedge ineffectiveness arising in fair value hedges in which the hedged item is an equity instrument measured at fair value through other comprehensive income. Hedge ineffectiveness reported in this row shall be the difference between the accumulated variation of the fair value of the equity instrument reported in ‘ Fair value changes of equity instruments measured at fair value through other comprehensive income (hedged item) ’ and the accumulated variations of the fair value of the hedging derivative reported in ‘ Fair value changes of equity instruments measured at fair value through other comprehensive income (hedging instrument) ’ (IFRS 9.6.5.3 and IFRS 9.6.5.8).
23. ‘ Fair value changes of financial liabilities at fair value through profit or loss attributable to changes in the credit risk ’ shall include accumulated gains and losses recognised in other comprehensive income and related to own credit risk for liabilities designated at fair value through profit or loss, regardless of whether the designation takes place at initial recognition or subsequently.
24. ‘ Hedge of net investments in foreign operations (effective portion) ’ shall include the foreign currency translation reserve for the effective portion of both on-going hedges of net investments in foreign operations and hedges of net investments in foreign operations that no longer apply while the foreign operations remain recognised in the balance sheet.
25. ‘ Hedging derivatives. Cash flow hedges reserve (effective portion) ’ shall include the cash flow hedge reserve for the effective portion of the variation in fair value of hedging derivatives in a cash flow hedge, both for on-going cash flow hedges and cash flow hedges that no longer apply.
26. ‘ Fair value changes of debt instruments measured at fair value through other comprehensive income ’ shall include accumulated gains or losses on debt instruments measured at fair value through other comprehensive income, net of the loss allowance that is measured at the reporting date in accordance with IFRS 9.5.5.
27. ‘ Hedging instruments (not designated elements) ’ shall include the accumulated changes in fair value of all of the following:
(a) the time value of an option where the changes in the time value and the intrinsic value of that option are separated and only the change in the intrinsic value is designated as a hedging instrument (IFRS 9.6.5.15);
(b) the forward element of a forward contract where the forward element and the spot element of that forward contract are separated and only the change in the spot element of the forward contract is designated as hedging instrument;
(c) the foreign currency basis spread from a financial instrument where this spread is excluded from the designation of that financial instrument as the hedging instrument (IFRS 9.6.5.15, IFRS 9.6.5.16).
28. Under IFRS, ‘ Revaluation reserves ’ shall include the amount of reserves resulting from first-time adoption to IAS that have not been released to other type of reserves.
29. ‘ Other reserves ’ shall be split between ‘ Reserves or accumulated losses of investments in subsidiaries, joint ventures and associates accounted for using the equity method ’ and ‘ Other ’ . ‘ Reserves or accumulated losses of investments in subsidiaries, joint ventures and associates accounted for using the equity method ’ shall include the accumulated amount of income and expenses generated by the aforementioned investments through profit or loss in past years where they are accounted for using the equity method. ‘ Other ’ shall include reserves different from those separately disclosed in other items and may include legal reserve and statutory reserve.
30. ‘ Treasury shares ’ shall cover all financial instruments that have the characteristics of own equity instruments which have been reacquired by the institution while they are not sold or amortised, except where under the relevant national GAAP based on BAD they shall be reported in ‘ other assets ’ .

2. STATEMENT OF PROFIT OR LOSS (2)
31. Interest income and interest expense from financial instruments measured at fair value through profit or loss and from hedging derivatives classified in the category ‘ hedge accounting ’ shall be reported either separately from other gains and losses under items ‘ interest income ’ and ‘ interest expense ’ ( ‘ clean price ’ ) or as part of gains or losses from these categories of instruments ( ‘ dirty price ’ ). The clean or dirty price approach shall be applied consistently for all financial instruments measured at fair value through profit or loss and for hedging derivatives classified in the category ‘ hedge accounting ’ .
32. Institutions shall report the following items, which include income and expense in relation to related parties not fully or proportionally consolidated under the regulatory scope of consolidation, broken down by accounting portfolios:
(a) ‘ Interest income ’ ;
(b) ‘ Interest expense ’ ;
(c) ‘ Dividend income ’ ;
(d) ‘ Gains or losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss, net ’ ;
(e) ‘ Modification gains or losses, net ’ ;
(f) ‘ Impairment or (-) reversal of impairment on financial assets not measured at fair value through profit or loss ’ .
33. ‘ Interest income. Financial assets held for trading ’ and ‘ Interest expenses. Financial liabilities held for trading ’ shall include, where the clean price is used, the amounts related to those derivatives classified in the category ‘ held for trading ’ which are hedging instruments from an economic but not accounting point of view to present correct interest income and expenses from the financial instruments that are hedged.
34. Where the clean price is used, ‘ Interest income. Financial assets held for trading ’ and ‘ Interest expenses. Financial liabilities held for trading ’ shall also include time-apportioned fees and balancing payments in relation to credit derivatives measured at fair value and used to manage the credit risk of part or all of a financial instrument that is designated at fair value at that occasion (IFRS 9.6.7).
35. ‘ Interest income. Derivatives – Hedge accounting, interest rate risk ’ and ‘ Interest expenses. Derivatives – Hedge accounting, interest rate risk ’ shall include, where the clean price is used, the amounts related to those derivatives classified in the category ‘ hedge accounting ’ which cover interest rate risk, including hedges of a group of items with offsetting risk positions (hedges of a net position) whose hedged risk affect different line items in the statement of profit or loss. Where the clean price is used, those amounts shall be reported as interest income and expenses on a gross basis to present correct interest income and expenses from the hedged items to which they are linked. With clean price, where the hedged item generates interest income (expense), those amounts shall be reported as an interest income (expense) even where it is a negative (positive) amount.
36. ‘ Interest income – other assets ’ shall include amounts of interest income not included in the other items, like interest income related to cash, cash balances at central banks and other demand deposits and to non-current assets and disposal groups classified as held for sale as well as net interest income from net defined benefit asset.
37. Under IFRS and where not provided otherwise in national GAAP, interest in relation to financial liabilities with a negative effective interest rate shall be reported in ‘ Interest income on liabilities ’ . These liabilities and their interests give rise to a positive yield for an institution.
38. ‘ Interest expenses – other liabilities ’ shall include amounts of interest expenses not included in the other items, like interest expenses related to liabilities included in disposal groups classified as held for sale, expenses derived from increases in the carrying amount of a provision reflecting the passage of time or net interest expenses from net defined benefit liabilities.
39. Under IFRS and where not provided otherwise in national GAAP, interest in relation to financial assets with a negative effective interest rate shall be reported in ‘ Interest expense on assets ’ . Those assets and their interests give rise to a negative yield for an institution.
40. Dividend income on equity instruments measured at fair value through profit or loss shall be reported either as ‘ dividend income ’ separately from other gains and losses from those classes of instruments where the clean price is used, or as part of gains or losses from those classes of instruments where the dirty price is used.
41. Dividend income on equity instruments designated at fair value through other comprehensive income shall encompass dividends related to instruments derecognised during the reporting reference period and dividends related to instruments held at the end of the reporting reference period.
42. Dividend income from investments in subsidiaries, joint ventures and associates shall include the dividends of those investments where they are accounted for using other than the equity method.
43. ‘ Gains or (-) losses on financial assets and liabilities held for trading, net ’ shall include gains and losses in the remeasurement and derecognition of financial instruments classified as held for trading. This item shall also include gains and losses on credit derivatives measured at fair value through profit or loss used to manage the credit risk of all, or part of, a financial instrument that is designated as measured at fair value through profit or loss, as well as dividend and interest income and expense on financial assets and liabilities held for trading where the dirty price is used.
44. ‘ Gains or losses on financial assets and liabilities designated at fair value through profit or loss ’ shall include also the amount recognised in the statement of profit or loss for the own credit risk of liabilities designated at fair value where recognising own credit risk changes in other comprehensive income creates or enlarges an accounting mismatch (IFRS 9.5.7.8). This item shall include also gains and losses on the hedged instruments that are designated as measured at fair value through profit or loss where the designation is used to manage credit risk, as well as interest income and expense on financial assets and liabilities designated at fair value through profit or loss where the dirty price is used.
45. ‘ Gains or (-) losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss ’ shall not include gains on equity instruments that a reporting entity choses to measure at fair value through other comprehensive income (IFRS 9.5.7.1(b)).
46. Where a change in business model leads to the reclassification of a financial asset into a different accounting portfolio, the gains or losses from the reclassification shall be reported in the relevant rows of the accounting portfolio in which the financial asset is reclassified, in accordance with the following:
(a) where a financial asset is reclassified out of the amortised cost measurement category and into the fair value through profit or loss accounting portfolio (IFRS 9.5.6.2), gains or losses due to the reclassification shall be reported in ‘ Gains or (-) losses on financial assets and liabilities held for trading, net ’ or ‘ Gains or (-) losses on non-trading financial assets mandatorily at fair value through profit or loss, net ’ , as applicable;
(b) where a financial asset is reclassified out of the fair value through other comprehensive income measurement category and into the fair value through profit or loss measurement category (IFRS 9.5.6.7), the cumulative gains or losses previously recognised in other comprehensive income reclassified to profit or loss shall be reported in ‘ Gains or (-) losses on financial assets and liabilities held for trading, net ’ or ‘ Gains or (-) losses on non-trading financial assets mandatorily at fair value through profit or loss, net ’ , as applicable.
47. ‘ Gains or (-) losses from hedge accounting, net ’ shall include gains and losses on hedging instruments and on hedged items, including those on hedged items measured at fair value through other comprehensive income other than equity instruments, in a fair value hedge in accordance with IFRS 9.6.5.8. It shall also include the ineffective part of the variation of the fair value of the hedging instruments in a cash flow hedge. The reclassifications of the cash flow hedges reserve or of the reserve for hedges of net investment in a foreign operation shall be recognised in the same rows of the ‘ Statement of profit or loss ’ as those impacted by the cash flows from the hedged items. ‘ Gains or (-) losses from hedge accounting, net ’ shall include also the gains and losses from hedges of net investment in foreign operations. This item shall also include gains on hedges of net positions.
48. ‘ Gains or losses on derecognition of non-financial assets ’ shall include the gains and losses on derecognition of non-financial assets, except where classified as held for sale or as investments in subsidiaries, joint ventures and associates.
48i. ‘ Cash contributions to resolution funds and deposit guarantee schemes ’ shall include the amounts of contributions to resolution funds and deposit guarantee schemes where they are paid in the form of cash. Where the contribution is made in the form of a payment commitment, this payment commitment shall be included in ‘ provisions or (-) reversal of provisions ’ , if the payment commitment gives rise to a liability in accordance with the applicable accounting standard.
49. ‘ Modification gains or (-) losses, net ’ shall include the amounts arising from adjusting the gross carrying amounts of financial assets to reflect the renegotiated or modified contractual cash flows (IFRS 9.5.4.3 and Appendix A). The modification gains or losses shall not include the impact of modifications on the amount of expected credit losses, which shall be reported in ‘ Impairment or (-) reversal of impairment on financial assets not measured at fair value through profit or loss ’ .
50. ‘ Provisions or (-) reversal of provisions. Commitments and guarantees given ’ shall include the net charges in the ‘ Statement of profit or loss ’ for provisions on all commitments and guarantees in the scope of IFRS 9, IAS 37 or IFRS 4 in accordance with paragraph 11 of this Part, or under national GAAP based on BAD. Under IFRS, any change in the fair value of commitments and financial guarantees measured at fair value shall be reported in ‘ Gains or (-) losses on financial assets and liabilities designated at fair value through profit or loss, net ’ . Provisions therefore include the impairment amount for commitments and guarantees for which impairment is determined in accordance with IFRS 9 or their provisioning follows IAS 37 or they are treated as insurance contracts under IFRS 4.
51. Under IFRS, ‘ Impairment or (-) reversal of impairment on financial assets not measured at fair value through profit or loss ’ shall include all impairment gains or losses for debt instruments arising from the application of the impairment rules in IFRS 9.5.5, regardless of whether the expected credit losses in accordance with IFRS 9.5.5 are estimated over a 12-month or a lifetime period, and including the impairment gains or losses for trade receivables, contract assets and lease receivables (IFRS 9.5.5.15).
52. Under national GAAP based on BAD ‘ Impairment or (-) reversal of impairment on financial assets not measured at fair value through profit and loss ’ shall include all allowances and reversal of allowances of financial instruments measured at cost based methods due to the change in creditworthiness of the debtor or issuer, as well as, depending on the specifications of the national GAAP, the allowances due to the impairment of financial instruments measured at fair value through equity and other measurement methods, including LOCOM.
53. ‘ Impairment or (-) reversal of impairment on financial assets not measured at fair value through profit or loss ’ shall also include the amounts written off – as defined in paragraph 72, 74 and 165(b) of this Part of this Annex- that exceed the amount of the loss allowance at the date of write-off and are therefore recognised as a loss directly in profit or loss, as well as recoveries of previously written-off amounts recorded directly to the statement of profit or loss.
54. The share of profit or loss from subsidiaries, associates and joint ventures which are accounted for under the equity method in the regulatory scope of consolidation shall be reported within ‘ Share of the profit or (-) loss of investments in subsidiaries, joint ventures and associates accounted for using the equity method ’ . According to IAS 28.10, the carrying amount of the investment shall be reduced by the amount of dividends paid by those entities. The impairment on those investments shall be reported in ‘ (Impairment or (-) reversal of impairment of investments in subsidiaries, joint ventures and associates) ’ . Gains or losses on derecognition of these investments shall be reported in accordance with paragraph 55 and 56of this Part.
55. ‘ Profit or loss from non-current assets and disposal groups classified as held for sale not qualifying as discontinued operations ’ shall include profit or loss generated by non-current assets and disposal groups classified as held for sale not qualifying as discontinued operations.
56. Under IFRS, the gains or losses on derecognition of investments in subsidiaries, joint ventures and associates shall be reported within ‘ Profit or (-) loss before tax from discontinued operations ’ where they are considered discontinued operations under IFRS 5. Under national GAAP based on BAD, those gains and losses shall be reported in ‘ Gains or (-) losses on derecognition of investments in subsidiaries, joint ventures and associates, net ’ .

3. STATEMENT OF COMPREHENSIVE INCOME (3)
57. ‘ Gains or (-) losses from hedge accounting of equity instruments at fair value through other comprehensive income ’ shall include the change in the accumulated hedge ineffectiveness in fair value hedges in which the hedged item is an equity instrument measured at fair value through other comprehensive income. The change in accumulated hedge ineffectiveness reported in this row shall be the difference between the changes in the variation of the fair value of the equity instrument reported in ‘ Fair value changes of equity instruments measured at fair value through other comprehensive income (hedged item) ’ and the changes in the variation of the fair value of the hedging derivative reported in ‘ Fair value changes of equity instruments measured at fair value through other comprehensive income (hedging instrument) ’ .
58. ‘ Hedge of net investments in foreign operations (effective portion) ’ shall include the change in the accumulated foreign currency translation reserve for the effective portion of both on-going and discontinued hedges of net investments in foreign operations.
59. For hedges of net investment in foreign operations and cash flow hedges, the respective amounts reported in ‘ Transferred to profit or loss ’ shall include amounts transferred because the hedged flows have occurred and are no longer expected to occur.
60. ‘ Hedging instruments (not designated elements) ’ shall include changes in the accumulated changes in fair value of all of the following where they are not designated as a hedging component:
(a) time value of options;
(b) forward elements of forward contracts;
(c) foreign exchange basis spread of financial instruments.
61. For options, the amounts reclassified to profit or loss and reported in ‘ Transferred to profit or loss ’ shall include reclassifications due to options that hedge a transaction-related hedged item and options that hedge a time-period related hedge item.
62. ‘ Debt instruments at fair value through other comprehensive income ’ shall include gains or losses on debt instruments measured at fair value through other comprehensive income other than impairment gains or losses and foreign exchange gains and losses, that shall respectively be reported in ‘ (Impairment or (-) reversal of impairment on financial assets not measured at fair value through profit or loss) ’ and in ‘ Exchange differences (gain or (-) loss), net ’ in template 2. ‘ Transferred to profit or loss ’ in particular shall include the transfer to profit or loss due to derecognition or reclassification into the fair value through profit or loss measurement category.
63. Where a financial asset is reclassified out of the amortised cost measurement category and into the fair value through other comprehensive income measurement category (IFRS 9.5.6.4), the gains or losses arising due to the reclassification shall be reported in ‘ Debt instruments at fair value through other comprehensive income ’ .
64. Where a financial asset is reclassified out of the fair value through other comprehensive income measurement category and into the fair value through profit or loss measurement category (IFRS 9.5.6.7) or into the amortised cost measurement category (IFRS 9.5.6.5), the reclassified cumulative gains and losses previously recognised in other comprehensive income shall be respectively reported in ‘ Transferred to profit or loss ’ and in ‘ Other reclassifications ’ , adjusting in the latter case the carrying amount of the financial asset.
65. For all components of the other comprehensive income, ‘ Other reclassifications ’ shall include transfers other than the reclassifications from the other comprehensive income to the profit or loss or to the initial carrying amount of hedged items in the case of cash flow hedges.
66. Under IFRS ‘ Income tax relating to items that will not be reclassified ’ and ‘ Income tax relating to items that may be reclassified to profit or (-) loss ’ (IAS 1.91 (b), IG6) shall be reported as separate line items.

4. BREAKDOWN OF FINANCIAL ASSETS BY INSTRUMENT AND BY COUNTERPARTY SECTOR (4)
67. Financial assets shall be broken down by accounting portfolio and instrument and – where required – by counterparty. For debt instruments measured at fair value through other comprehensive income and at amortised cost, the gross carrying amount of assets and accumulated impairments shall be broken down by impairment stages.
68. Derivatives reported as trading financial assets under GAAP based on BAD include instruments measured at fair value as well as instruments measured at cost-based methods or LOCOM.
69. For the purposes of Annexes III and IV as well as this Annex, ‘ accumulated negative changes in fair value due to credit risk ’ means, for non-performing exposures, accumulated changes in fair value due to credit risk where the accumulated net change is negative. The accumulated net change in fair value due to credit risk shall be calculated by adding all negative and positive changes in fair value due to credit risk that have occurred since recognition of the debt instrument. That amount shall only be reported where the addition of positive and negative changes in fair value due to credit risk results in a negative amount. The valuation of the debt instruments shall be performed on the level of single financial instruments. For each debt instrument, ‘ Accumulated negative changes in fair value due to credit risk ’ shall be reported until the derecognition of the instrument.
70. For the purposes of Annexes III and IV as well as this Annex, ‘ accumulated impairment ’ shall have the following meaning:
(a) for debt instruments measured at amortised cost or at a cost-based method, accumulated impairment is the cumulative amount of impairment losses, net of use and reversals that has been recognised, where appropriate for each of the impairment stages. Accumulated impairment reduces the carrying amount of the debt instrument through the use of an allowance account under IFRS and national GAAP based on BAD, or via direct reductions that do not constitute a derecognition event under national GAAP based on BAD;
(b) for debt instruments measured at fair value through other comprehensive income under IFRS, accumulated impairment is the sum of expected credit losses and their variations recognised as a reduction of fair value on a given instrument since initial recognition;
(c) for debt instruments at fair value through equity under national GAAP based on BAD subject to impairment, accumulated impairment is the cumulative amount of impairment losses, net of use and reversals that has been recognised. The reduction in the carrying amount is either made through use of an allowance account or via direct reductions that do not constitute a derecognition event.
71. Under IFRS, accumulated impairment shall include the allowance for expected credit losses for financial assets under each of the impairment stages specified by IFRS 9. Under national GAAP based on BAD, it shall include specific and general allowance for credit risk, as well as the general allowance for banking risk where it reduces the carrying amount of debt instruments. Accumulated impairment shall also include the credit risk-induced value adjustments on financial assets under LOCOM.
72. ‘ Accumulated partial write-offs ’ and ‘ Accumulated total write-offs ’ shall include, respectively, the accumulated partial and total amount as at the reference date of principal and accrued past due interest and fees of any debt instrument that has been de-recognised to date using either of the methods described in paragraph 74 because the institution has no reasonable expectations of recovering the contractual cash flows. Those amounts shall be reported until the total extinguishment of all the reporting institution’s rights by expiry of the statute-of-limitations period, forgiveness or other causes, or until recovery. Therefore, where the written-off amounts are not recovered, they shall be reported while they are subject to enforcement activities.
73. Where a debt instrument is eventually totally written-off because of successive partial write-offs, the cumulative amount written-off shall be reclassified from the ‘ Accumulated partial write-offs ’ into the ‘ Accumulated total write-offs ’ column.
74. Write-offs shall constitute a derecognition event and relate to a financial asset in its entirety or to a portion of it, including where the modification of an asset leads the institution to give up its right of collecting cash flows on a portion or the entirety of this asset as further explained in paragraph 72. Write-offs shall include amounts caused by both reductions of the carrying amount of financial assets recognised directly in profit or loss and reductions in the amounts of the allowance accounts for credit losses taken against the carrying amount of financial assets.
75. The column ‘ of which: Instruments with low credit risk ’ shall include instruments that are determined to have low credit risk at the reporting date and for which the institution assumes that the credit risk has not increased significantly since initial recognition in accordance with IFRS 9.5.5.10.
76. Trade receivables within the meaning of IAS 1.54(h), contract assets and lease receivables for which the simplified approach of IFRS 9.5.5.15 for the estimation of loss allowances has been applied, shall be reported within loans and advances in template 4.4.1. The corresponding loss allowance for those assets shall be reported in either ‘ Accumulated impairment on assets with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2) ’ or ‘ Accumulated impairment on credit-impaired assets (Stage 3) ’ , depending on whether trade receivables, contract assets or lease receivables under the simplified approach are considered as credit-impaired assets.
77. Purchased or originated financial assets that are credit-impaired at initial recognition as defined in IFRS 9 Appendix A shall be separately reported in templates 4.3.1 and 4.4.1. For those assets, the accumulated impairment shall only include the cumulative changes in lifetime expected credit losses since initial recognition (IFRS 9.5.5.13). The corresponding gross carrying amount and accumulated impairment for those assets shall be reported in ‘ Credit-impaired assets (Stage 3) ’ at initial recognition and as long as they are considered as credit-impaired assets in accordance with the definition of ‘ credit-impaired financial assets ’ of Appendix to IFRS 9 A. Where those assets are no long considered to be credit-impaired assets after initial recognition, they shall be reported in ‘ Assets with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2) ’ .
78. In template 4.5, institutions shall report the carrying amount of ‘ Loans and advances ’ and ‘ Debt securities ’ that fall within the definition of ‘ subordinated debt ’ in paragraph 100 of this Part.
79. In template 4.8, information to be reported depends on whether Non-trading non-derivative financial assets measured at fair value to equity can be subject to impairment requirements in application of the national GAAP based on BAD. Where those financial assets are subject to impairment, institutions shall report information in this template that relates to the carrying amount, the gross carrying amount of unimpaired assets and impaired assets, accumulated impairment and accumulated write-offs. Where those financial assets are not subject to impairment, institutions shall report the accumulated negative changes in fair value due to credit risk for non-performing exposures.
80. In template 4.9, financial assets measured under moderate LOCOM and their associated value adjustments shall be identified separately from other financial assets measured at a cost-based method and their associated impairment. Financial assets under a cost-based method, including financial assets under moderate LOCOM, shall be reported as unimpaired assets where they have no value adjustments or impairment associated with them, and as impaired assets in case they have value adjustments that qualify as impairment or impairment associated with them. Value adjustments that qualify as impairment shall be credit risk-induced value adjustments reflecting the deterioration of the creditworthiness of the counterparty. Financial assets under moderate LOCOM with market-risk induced value adjustments reflecting the impact of changes in the market conditions on the value of the asset shall not be considered as impaired. Accumulated credit-risk induced and market-risk induced value adjustments shall be reported separately.
81. In template 4.10, assets measured at strict LOCOM as well as their associated value adjustments shall be reported separately from assets under other measurement methods. Financial assets under strict LOCOM and financial assets under other measurement methods shall be reported as impaired assets in case they have credit-risk induced value adjustments as defined in paragraph 80 or impairment associated with them. Financial assets under strict LOCOM with market risk induced value adjustments as defined in paragraph 80 shall not be considered as impaired. Accumulated credit-risk induced and market-risk induced value adjustments shall be reported separately.
82. Under national GAAP based on BAD, the amount of general allowances for banking risk to be reported in the applicable templates shall only be the part that affects the carrying amount of debt instruments (BAD Article 37.2).

5. BREAKDOWN OF NON-TRADING LOANS AND ADVANCES BY PRODUCT (5)
83. Loans and advances other than those held for trading or trading assets shall be broken down by type of product and by counterparty sector for the carrying amount and by type of products only for the gross carrying amount.
84. Balances receivable on demand classified as ‘ Cash, cash balances at central banks and other demand deposits ’ shall also be reported in this template independently of how they are measured.
85. Loans and advances shall be allocated to the following products:
(a) ‘ on demand (call) and short notice (current account) ’ shall include balances receivable on demand (call), at short notice (by close of business on the day following that on which the demand was made), current accounts and similar balances including loans that are overnight deposits for the borrower (loans to be repaid by close of business on the day following that in which it was granted), regardless of their legal form. It shall also include ‘ overdrafts ’ that are debit balances on current account balances and compulsory reserves held at the central bank;
(b) ‘ Credit card debt ’ shall include credit granted either via delayed debit cards or via credit cards as defined in the Table of Part 2 of Annex II to the ECB BSI Regulation;
(c) ‘ Trade receivables ’ shall include loans to other debtors granted on the basis of bills or other documents that give the right to receive the proceeds of transactions for the sale of goods or provision of services. That item shall include all factoring and similar transactions, like acceptances, outright purchase of trade receivables, forfaiting, discounting of invoice, bills of exchange, commercial papers and other claims where the reporting institution buys the trade receivables (both with and without recourse);
(d) ‘ Finance leases ’ shall include the carrying amount of finance lease receivables. Under IFRS, ‘ finance lease receivables ’ are as defined in IAS 17;
(e) ‘ Reverse repurchase loans ’ shall include finance granted in exchange for securities or gold bought under repurchase agreements or borrowed under securities lending agreements as defined in paragraphs 183 and 184 of this Part;
(f) ‘ Other term loans ’ shall include debit balances with contractually fixed maturities or terms that are not included in other items;
(g) ‘ Advances that are not loans ’ shall include advances that cannot be classified as loans in accordance with the Table of Part 2 of Annex II to the ECB BSI Regulation. That item shall include, among others, gross amounts receivable in respect of suspense items (such as funds that are awaiting investment, transfer, or settlement) and transit items (such as cheques and other forms of payment that have been sent for collection).
86. Loans and advances shall be classified on the basis of the collateral received as follows:
(a) ‘ Loans collateralized by immovable property ’ shall include loans and advances formally secured by residential or commercial immovable property collateral, regardless of their loan/collateral ratio (commonly referred as ‘ loan-to-value ’ ) and the legal form of the collateral;
(b) ‘ Other collateralized loans ’ shall include loans and advances formally secured by collateral, regardless of their loan/collateral ratio (commonly referred to as ‘ loan-to-value ’ (LTV) ratio) and the legal form of the collateral, other than ‘ Loans collateralised by immovable property ’ . That collateral shall include pledges of securities, cash, and other collateral, regardless of the legal form of the collateral.
87. Loans and advances shall be classified based on the collateral and irrespective of the purpose of the loan. The carrying amount of loans and advances secured by more than one type of collateral shall be classified and reported as collateralised by immovable property where those loans and advances are secured by immovable property regardless of whether they are also secured by other types of collateral.
88. Loans and advances shall be classified on the basis of their purpose as:
(a) ‘ Credit for consumption ’ shall include loans granted mainly for the personal consumption of goods and services, as defined in the Table of Part 2 of Annex II to the ECB BSI Regulation;
(b) ‘ Lending for house purchase ’ shall include credit extended to households for the purpose of investing in houses for own use or rental, including building and refurbishments, as defined in the Table of Part 2 of Annex II to the ECB BSI Regulation.
89. Loans shall be classified on the basis of how they can be recovered. ‘ Project finance loans ’ shall include loans that meet the characteristics of specialised lending exposures as referred to in Article 147(8) CRR.

6. BREAKDOWN OF NON-TRADING LOANS AND ADVANCES TO NON-FINANCIAL CORPORATIONS BY NACE CODES (6)
90. Gross carrying amount of loans and advances to non-financial corporations other than those included in the held for trading or trading assets portfolios shall be classified by sector of economic activities using NACE Codes on the basis of the principal activity of the counterparty.
91. The classification of the exposures incurred jointly by more than one obligor shall be done in accordance with paragraph 43 of Part 1 of this Annex.
92. Reporting of NACE codes shall be done with the first level of disaggregation (by ‘ section ’ ). Institutions shall report loans and advances to non-financial corporations which engage in financial or insurance activities in ‘ K – Financial and insurance activities ’ .
93. Under IFRS, financial assets subject to impairment shall include (i) financial assets at amortised cost, and (ii) financial assets at fair value through other comprehensive income. Under national GAAP based on BAD, financial assets subject to impairment shall include financial assets measured at a cost-based method, including under LOCOM. Depending on the specifications in each national GAAP, they may include (i) financial assets measured at fair value through equity, and (ii) financial assets under other measurement methods.

7. FINANCIAL ASSETS SUBJECT TO IMPAIRMENT THAT ARE PAST DUE (7)
94. The carrying amount of debt instruments that are included in the accounting portfolios subject to impairment shall be reported in template 7.1 only where they are past due. Past-due instruments shall be allocated to the corresponding past-due buckets on the basis of their individual situation.
95. Accounting portfolios subject to impairment shall be financial assets subject to impairment, as defined as in paragraph 93 of this Part.
96. Financial assets shall qualify as past due where any amount of principal, interest or fee has not been paid at the date it was due. Past due exposures shall be reported for their entire carrying amount. The carrying amounts of such assets shall be reported by impairment stages or impairment status in accordance with the applicable accounting standards and broken down according to the number of days of the oldest past due amount unpaid at the reference date.

8. BREAKDOWN OF FINANCIAL LIABILITIES (8)
97. ‘ Deposits ’ and the product breakdown shall be defined in accordance with the Table of Part 2 of Annex II to the ECB BSI Regulation. Regulated savings deposits shall be classified in accordance with the ECB BSI Regulation and distributed according to the counterparty. In particular, non-transferable sight savings deposits, which although legally redeemable at demand are subject to significant penalties and restrictions and have features that are very similar to overnight deposits, shall be classified as deposits redeemable at notice.
98. ‘ Debt securities issued ’ shall be disaggregated into the following type of products:
(a) ‘ Certificates of deposits ’ shall be securities that enable the holders to withdraw funds from an account;
(b) ‘ Asset backed securities ’ shall be securities derived from securitisation transactions as defined in point (61) of Article 4(1) CRR;
(c) ‘ Covered Bonds ’ as referred to in Article 129(1) CRR;
(d) ‘ Hybrid contracts ’ shall comprise contracts with embedded derivatives;
(e) ‘ Other debt securities issued ’ shall be debt securities that are not included in the products referred to in points (a) to (d) and shall distinguish between convertible compound financial instruments and non-convertible instruments.
99. ‘ Subordinated financial liabilities ’ issued shall be treated in the same way as other financial liabilities incurred. Subordinated liabilities issued in the form of securities shall be classified as ‘ Debt securities issued ’ and subordinated liabilities in the form of deposits are classified as ‘ Deposits ’ .
100. Template 8.2 shall include the carrying amount of ‘ Deposits ’ and ‘ Debt securities issued ’ that shall be subordinated debt, as determined in Table of Part 2 of Annex II to the ECB BSI Regulation, classified by accounting portfolios. ‘ Subordinated debt ’ instruments provide a subsidiary claim on the issuing institution that can only be exercised after all claims with a higher status have been satisfied.
101. ‘ Accumulated changes in fair value due to changes in own credit risk ’ shall include all the said accumulative changes in fair value, regardless of whether they are recognised in profit or loss or in the other comprehensive income.

9. LOAN COMMITMENTS, FINANCIAL GUARANTEES AND OTHER COMMITMENTS (9)
102. Off-balance sheet exposures shall include the off-balance sheet items listed in Annex I to CRR. In templates 9.1, 9.1.1 and 9.2, all off-balance sheet exposures listed in Annex I to CRR shall be broken down in loan commitments, financial guarantees, and other commitments.
103. Information on loan commitments, financial guarantees and other commitments given and received shall include both revocable and irrevocable commitments.
104. Loan commitments, financial guarantees and other commitments given listed in Annex I to CRR may be instruments that are in the scope of IFRS 9 where they are measured at fair value through profit or loss, or where they are subject to the impairment requirements of IFRS 9, as well as instruments that are within the scope of IAS 37 or IFRS 4.
105. Under IFRS, loan commitments, financial guarantees and other commitments given shall be reported in template 9.1.1 where any of the following conditions are met:
(a) they are subject to impairment requirements of IFRS 9;
(b) they are designated at fair value through profit or loss under IFRS 9;
(c) they are within the scope of IAS 37 or IFRS 4.
106. Liabilities that shall be recognised as credit losses for the financial guarantees and commitments given referred to under points (a) and (c) of paragraph 105 of this Part of this Annex shall be reported as provisions regardless of the measurement criteria applied.
107. Institutions under IFRS shall report the nominal amount and provisions of instruments that are subject to the impairment requirements of IFRS 9, including those measured at initial cost less cumulative income recognised, broken down by impairment stages.
108. Only the nominal amount of the commitment shall be reported in template 9.1.1 where a debt instrument includes both an on-balance sheet instrument and an off-balance sheet component. Where the reporting entity is unable to identify separately the expected credit losses on the on-balance sheet and off-balance components, the expected credit losses on the commitment shall be reported together with the accumulated impairment on the on-balance sheet component. Where the combined expected credit losses exceed the gross carrying amount of the debt instrument, the remaining balance of the expected credit losses shall be reported as a provision in the appropriate impairment stage in template 9.1.1 (IFRS 9.5.5.20 and IFRS 7.B8E).
109. A financial guarantee or a commitment to provide a loan at a below-market rate that is measured in accordance with IFRS 9.4.2.1(d) and for which its loss allowance is determined in accordance with IFRS 9.5.5 shall be reported in the appropriate impairment stage.
110. Where loan commitments, financial guarantees and other commitments are measured at fair value in accordance with IFRS 9, institutions shall report in template 9.1.1 the nominal amount and accumulated negative changes in fair value due to credit risk of those financial guarantees and commitments in dedicated columns. ‘ Accumulated negative changes in fair value due to credit risk ’ shall be reported applying the criteria of paragraph 69of this Part.
111. The nominal amount and provisions of other commitments or guarantees that are within the scope of IAS 37 or IFRS 4 shall be reported in dedicated columns.
112. Institutions under national GAAP based on BAD shall report in template 9.1 the nominal amount of commitments and financial guarantees referred to in paragraphs 102 and 103, as well as the amount of provisions required to be held against those off-balance sheet exposures.
113. ‘ Loan commitments ’ shall be firm commitments to provide credit under pre-specified terms and conditions, except those that are derivatives because they can be settled net in cash or by delivering or issuing another financial instrument. The following items of Annex I to CRR shall be classified as ‘ Loan commitments ’ :
(a) ‘ Forward deposits ’ ;
(b) ‘ Undrawn credit facilities ’ , which comprise agreements to ‘ lend ’ or provide ‘ acceptance facilities ’ under pre-specified terms and conditions.
114. ‘ Financial guarantees ’ shall be contracts that require the issuer to make specified payments to reimburse the holder of a loss it incurs, because a specified debtor fails to make payment where due in accordance with the original or modified terms of a debt instrument, including guarantees provided for other financial guarantees. Under IFRS, those contracts shall meet the definition of financial guarantee contracts in IFRS 9.2.1(e) and IFRS 4.A. The following items of Annex I to CRR shall be classified as ‘ financial guarantees ’ :
(a) ‘ Guarantees having the character of credit substitute ’ ;
(b) ‘ Credit derivatives ’ that meet the definition of financial guarantee;
(c) ‘ Irrevocable standby letters of credit having the character of credit substitutes ’ .
115. ‘ Other commitments ’ shall include the following items of Annex I to CRR:
(a) ‘ Unpaid portion of partly-paid shares and securities ’ ;
(b) ‘ Documentary credits issued or confirmed ’ ;
(c) ‘ Trade finance off-balance sheet items ’ ;
(d) ‘ Documentary credits in which underlying shipment acts as collateral and other self-liquidating transactions ’ ;
(e) ‘ Warranties and indemnities ’ (including tender and performance bonds) and ‘ guarantees not having the character of credit substitutes ’ ;
(f) ‘ Shipping guarantees, customs and tax bonds ’ ;
(g) ‘ Note issuance facilities ’ (NIFs) and ‘ Revolving underwritings facilities ’ (RUFs);
(h) ‘ Undrawn credit facilities ’ which comprise agreements to ‘ lend ’ or provide ‘ acceptance facilities ’ where the terms and conditions are not pre-specified;
(i) ‘ Undrawn credit facilities ’ which comprise agreements to ‘ purchase securities ’ or ‘ provide guarantees ’ ;
(j) ‘ Undrawn credit facilities for tender and performance guarantees ’ ;
(k) ‘ Other off-balance sheet items ’ in Annex I to CRR.
116. Under IFRS, the following items are recognised in the balance sheet and, consequently, shall not be reported as off-balance sheet exposures:
(a) ‘ Credit derivatives ’ that do not meet the definition of financial guarantees are ‘ derivatives ’ under IFRS 9;
(b) ‘ Acceptances ’ are obligations by an institution to pay on maturity the face value of a bill of exchange, normally covering the sale of goods. Consequently, they are classified as ‘ trade receivables ’ on the balance sheet;
(c) ‘ Endorsements on bills ’ that do not meet the criteria for derecognition under IFRS 9;
(d) ‘ Transactions with recourse ’ that do not meet the criteria for derecognition under IFRS 9;
(e) ‘ Assets purchased under outright forward purchase agreements ’ are ‘ derivatives ’ under IFRS 9;
(f) ‘ Asset sale and repurchase agreements as referred to in paragraphs 3 and 5 of Article 12 of Directive 86/635/EEC ’ . In those contracts, the transferee has the option, but not the obligation, to return the assets at a price agreed in advance on a date specified or on a date to be specified. Therefore, those contracts meet the definition of derivatives in Appendix A to IFRS 9.
117. The item ‘ of which: non-performing ’ shall include the nominal amount of those loan commitments, financial guarantees and other commitments given that are considered as non-performing in accordance with paragraphs 213 to 239 of this Part.
118. For financial guarantees, loan commitments and other commitments given, the ‘ Nominal amount ’ shall be the amount that best represents the institution’s maximum exposure to credit risk without taking account of any collateral held or other credit enhancements. In particular, for financial guarantees given, the nominal amount shall be the maximum amount the entity would have to pay if the guarantee is called on. For loan commitments, the nominal amount shall be the undrawn amount that the institution has committed to lend. Nominal amounts shall be the exposure values before applying conversion factors and credit risk mitigation techniques.
119. In template 9.2, for loan commitments received, the nominal amount shall be the total undrawn amount that the counterparty has committed to lend to the institution. For other commitments received, the nominal amount shall be the total amount committed by the other party in the transaction. For financial guarantees received, the ‘ maximum amount of the guarantee that can be considered ’ shall be the maximum amount the counterparty would have to pay if the guarantee is called on. Where a financial guarantee received has been issued by more than one guarantor, the guaranteed amount shall be reported only once in this template; the guaranteed amount shall be allocated to guarantor that is more relevant for the mitigation of credit risk.

10. DERIVATIVES AND HEDGE ACCOUNTING (10 AND 11)
120. For the purpose of templates 10 and 11, derivatives shall be considered either as hedging derivatives where they are used in a qualifying hedging relationship in accordance with IFRS or with the applicable national GAAP under BAD, or as held for trading in other cases.
121. The carrying amount and the notional amount of the derivatives held for trading, including economic hedges, as well as the derivatives held for hedge accounting shall be reported broken down by type of underlying risk, type of market and type of product in templates 10 and 11. Institutions shall report the derivatives held for hedge accounting also broken down by type of hedge. Information on non-derivative hedging instruments shall be reported separately and broken down by types of hedges.
122. Under the relevant national GAAP based on BAD, all derivatives shall be reported in these templates irrespective of whether they are or are not recognised on the balance sheet under the relevant national GAAP.
123. The breakdown of the carrying amount, fair value and notional amount of trading and hedging derivatives by accounting portfolios and types of hedges shall be implemented taking into consideration the accounting portfolios and types of hedges that are applicable in IFRS or national GAAP under BAD, whichever framework applies to the reporting entity.
124. Trading derivatives and hedging derivatives which, in accordance with national GAAP based on BAD, are measured at cost or LOCOM shall be identified separately.
125. Template 11 shall include hedging instruments and hedged items irrespective of the accounting standard used to recognise a qualifying hedge relationship, including where that qualifying hedge relationship concerns a net position. Where an institution has elected to keep applying IAS 39 for hedge accounting (IFRS 9.7.2.21), the references and names for the types of hedges and accounting portfolios shall be read as the relevant references and names in IAS 39.9: ‘ Financial assets measured at fair value through other comprehensive income ’ shall refer to ‘ Available for sale assets ’ , and ‘Assets at amortised cost shall gather ‘ Held to maturity ’ as well as ‘ Loans and receivables ’ .
126. Derivatives included in hybrid instruments, which have been separated from the host contract, shall be reported in templates 10 and 11 according to the nature of the derivative. The amount of the host contract is not included in those templates. However, where the hybrid instrument is measured at fair value through profit or loss, the contract shall be reported as a whole and the embedded derivatives shall not be reported in templates 10 and 11.
127. Commitments considered as derivatives (IFRS 9.2.3(b)) and credit derivatives that do not meet the definition of a financial guarantee in paragraph 114 of this Part of this Annex shall be reported in template 10 and template 11 following the same breakdowns as the other derivative instruments, but not be reported in template 9.
128. The carrying amount of non-derivative financial assets or non-derivative financial liabilities that are recognised as hedging instrument in application of IFRS or the relevant national GAAP under BAD shall be reported separately in template 11.3.

10.1. Classification of derivatives by type of risk
129. All derivatives shall be classified into one of the following risk categories:
(a) interest rate: Interest rate derivatives shall be contracts related to an interest-bearing financial instrument the cash flows of which are determined by referencing interest rates or another interest rate contract such as an option on a futures contract to purchase a treasury bill. That category shall be restricted to those deals where all the legs are exposed to only one currency’s interest rate. It shall thus exclude contracts involving the exchange of one or more foreign currencies such as cross-currency swaps and currency options, and other contracts the predominant risk characteristic of which is foreign exchange risk, which are to be reported as foreign exchange contracts. The only exception is where cross-currency swaps are used as part of a portfolio hedge of interest rate risk, where they shall be reported in the dedicated rows for those types of hedges. Interest rate contracts shall include forward rate agreements, single-currency interest rate swaps, interest rate futures, interest rate options (including caps, floors, collars and corridors), interest rate swaps and interest rate warrants;
(b) equity: Equity derivatives shall be contracts that have a return, or a portion of their return, linked to the price of a particular equity or to an index of equity prices;
(c) foreign exchange and gold: These derivatives shall include contracts involving the exchange of currencies in the forward market and the exposure to gold. They shall therefore cover outright forwards, foreign exchange swaps, currency swaps (including cross-currency interest rate swaps), currency futures, currency options, currency swaps and currency warrants. Foreign exchange derivatives shall include all deals involving exposure to more than one currency, whether in exchange rates or in interest rates, except where cross-currency swaps are used as part of a portfolio hedge of interest rate risk. Gold contracts shall include all deals involving exposure to that commodity;
(d) credit: Credit derivatives shall be contracts in which the payout is linked primarily to some measure of the creditworthiness of a particular reference credit and that do not meet the definition of financial guarantees (IFRS 9.4.2.1 (c)). The contracts shall specify an exchange of payments in which at least one of the two legs is determined by the performance of the reference credit. Payouts can be triggered by a number of events, including a default, a rating downgrade or a stipulated change in the credit spread of the reference asset. Credit derivatives that meet the definition of a financial guarantee in paragraph 114 of this Part of this Annex shall be reported only in template 9;
(e) commodity: These derivatives shall be contracts that have a return, or a portion of their return, linked to the price of, or to a price index of, a commodity such as a precious metal (other than gold), petroleum, lumber or agricultural products;
(f) other: those derivatives shall be any other derivative contracts, which do not involve an exposure to foreign exchange, interest rate, equity, commodity or credit risk such as climatic derivatives or insurance derivatives.
130. Where a derivative is influenced by more than one type of underlying risk, the instrument shall be allocated to the most sensitive type of risk. For multi-exposure derivatives, in cases of uncertainty, the deals shall be allocated according to the following order of precedence:
(a) commodities: All derivatives transactions involving a commodity or commodity index exposure, whether or not they involve a joint exposure in commodities and any other risk category which may include foreign exchange, interest rate or equity, shall be reported in this category;
(b) equities: With the exception of contracts with a joint exposure to commodities and equities, which are to be reported as commodities, all derivatives transactions with a link to the performance of equities or equity indices shall be reported in the equity category. Equity deals with exposure to foreign exchange or interest rates shall be included in this category;
(c) foreign exchange and gold: This category shall include all derivatives transactions (with the exception of those already reported in the commodity or equity categories) with exposure to more than one currency, be it pertaining to either interest-bearing financial instruments or exchange rates, except where cross-currency swaps are used as part of a portfolio hedge of interest rate risk.

10.2. Amounts to be reported for derivatives
131. Under IFRS, the ‘ carrying amount ’ for all derivatives (hedging or trading) shall be the fair value. Derivatives with a positive fair value (above zero) shall be ‘ financial assets ’ and derivatives with a negative fair value (below zero) shall be ‘ financial liabilities ’ . The ‘ carrying amount ’ shall be reported separately for derivatives with a positive fair value ( ‘ financial assets ’ ) and for those with a negative fair value ( ‘ financial liabilities ’ ). At the date of initial recognition, a derivative shall be classified as ‘ financial asset ’ or ‘ financial liability ’ according to its initial fair value. After initial recognition, as the fair value of a derivative increases or decreases, the terms of the exchange may become either favourable to the institution (and the derivative is classified as ‘ financial asset ’ ) or unfavourable (and the derivative is classified as ‘ financial liability ’ ). The carrying amount of hedging derivatives shall be their entire fair value, including, where applicable, the components of this fair value that are not designated as hedging instruments.
132. In addition to carrying amounts as defined in paragraph 27 of Part 1 of this Annex, fair values shall be reported by reporting institutions under national GAAP based on BAD for all derivative instruments, whether required to be booked on-balance sheet or off-balance sheet by the national GAAP based on BAD.
133. The ‘ Notional amount ’ shall be the gross nominal of all deals concluded and not yet settled at the reference date, regardless of whether those deals lead to derivative exposures being booked on-balance sheet. In particular, the following shall be taken into account to determine the notional amount:
(a) for contracts with variable nominal or notional principal amounts, the basis for reporting shall be the nominal or notional principal amounts at the reference date;
(b) the notional amount value to be reported for a derivative contract with a multiplier component shall be the contract effective notional amount or par value;
(c) swaps: The notional amount of a swap shall be the underlying principal amount upon which the exchange of interest, foreign exchange or other income or expense is based;
(d) equity and commodity-linked contracts: The notional amount to be reported for an equity or commodity contract shall be the quantity of the commodity or equity product contracted for purchase or sale multiplied by the contract price of a unit. The notional amount to be reported for commodity contracts with multiple exchanges of principal shall be the contractual amount multiplied by the number of remaining exchanges of principal in the contract;
(e) credit derivatives: The contract amount to be reported for credit derivatives shall be the nominal value of the relevant reference credit;
(f) digital options have a predefined payoff, which can be either a monetary amount or a number of contracts of an underlying. The notional amount for digital options shall be either the predefined monetary amount or the fair value of the underlying at the reference date.
134. The column ‘ Notional amount ’ of derivatives shall include, for each line item, the sum of the notional amounts of all contracts in which the institution is counterparty, irrespective of whether the derivatives are considered assets or liabilities on the face of the balance sheet or are not booked on-balance sheet. All notional amounts shall be reported, regardless of whether the fair value of derivatives is positive, negative or equal to zero. Netting among the notional amounts shall not be allowed.
135. The ‘ Notional amount ’ shall be reported by ‘ total ’ and by ‘ of which: sold ’ for the line items: ‘ OTC options ’ , ‘ Organised market options ’ , ‘ Credit ’ , ‘ Commodity ’ and ‘ Other ’ . The item ‘ of which sold ’ shall include the notional amounts (strike price) of the contracts in which the counterparties (option holders) of the institution (option writer) have the right to exercise the option, and for the items related to credit risk derivatives, the notional amounts of the contracts in which the institution (protection seller) has sold (gives) protection to its counterparties (protection buyers).
136. The allocation of a transaction as ‘ OTC ’ or ‘ Organized market ’ shall be based on the nature of the market where the transaction takes place and not on whether there is a mandatory clearing obligation for that transaction. An ‘ Organised market ’ is a regulated market in the meaning of point (92) of Article 4(1) CRR. Therefore, where a reporting entity enters into a derivative contract in an OTC market where central clearing is compulsory, it shall classify that derivative as ‘ OTC ’ and not as ‘ Organised market ’ .

10.3. Derivatives classified as ‘ economic hedges ’
137. Derivatives that are held for hedging purposes but which do not meet the criteria to be effective hedging instruments in accordance with IFRS 9, with IAS 39 where IAS 39 is applied for hedge accounting purposes or with the accounting framework under national GAAP based on BAD, shall be reported in template 10 as ‘ economic hedges ’ . This shall apply also to all of the following cases:
(a) derivatives hedging unquoted equity instruments for which cost may be an appropriate estimate of fair value;
(b) credit derivatives measured at fair value through profit or loss used to manage the credit risk of all, or part of, a financial instrument that is designated as measured at fair value through profit or loss at, or subsequent to, initial recognition, or while it is unrecognised in accordance with IFRS 9.6.7.;
(c) derivatives that are classified as ‘ held for trading ’ in accordance with Appendix A to IFRS 9 or classified as trading assets in accordance with the national GAAP based on BAD but are not part of the trading book as defined in point (86) of Article 4(1) CRR.
138. ‘ Economic hedges ’ shall not include derivatives for proprietary trading.
139. Derivatives that meet the definition of ‘ economic hedges ’ shall be reported separately in template 10 for each type of risk.
140. Credit derivatives used to manage the credit risk of all, or part of, a financial instrument that is designated as measured at fair value through profit or loss at, or subsequent to, initial recognition, or while it is unrecognised in accordance with IFRS 9.6.7, shall be reported in a dedicated row in template 10 within credit risk. Other economic hedges of credit risk for which the reporting entity does not apply IFRS 9.6.7 shall be reported separately.

10.4. Breakdown of derivatives by counterparty sector
141. The carrying amount and the total notional amount of derivatives held for trading, and also of derivatives held for hedge accounting, which are traded in the OTC market, shall be reported by counterparties using the following categories:
(a) ‘ credit institutions ’ ;
(b) ‘ other financial corporations ’ ;
(c) ‘ rest ’ comprising all other counterparties.
142. All OTC derivatives, irrespective of the type of risk to which they are related, shall be broken down by those counterparties.

10.5. Hedge accounting under national GAAP (11.2)
143. Where national GAAP under BAD require the allocation of hedging derivatives across categories of hedges, the hedging derivatives shall be separately reported for each of the applicable categories: ‘ fair-value hedges ’ , ‘ cash flow hedges ’ , ‘ cost-price hedges ’ , ‘ hedge in net investments in a foreign operation ’ , ‘ portfolio fair value hedges of interest rate risk ’ and ‘ portfolio cash flow hedges of interest rate risk ’ .
144. Where applicable in accordance with national GAAP based on BAD, ‘ Cost price hedges ’ shall refer to a hedging category in which the hedging derivative is generally measured at cost.

10.6. Amount to be reported for non-derivative hedging instruments (11.3 and 11.3.1)
145. For non-derivative hedging instruments, the amount to be reported shall be the carrying amount of those non-derivative hedging instruments according to the applicable measurement rules in IFRS or in GAAP based on BAD for the accounting portfolios to which they belong. No ‘ notional amount ’ shall be reported for non-derivative hedging instruments.

10.7. Hedged items in fair value hedges (11.4)
146. The carrying amount of hedged items in a fair value hedge recognised on the statement of financial position shall be broken down by accounting portfolio and type of hedged risk for hedged financial assets and hedged financial liabilities. Where a financial instrument is hedged for more than one risk, it shall be reported in the type of risk in which the hedging instrument shall be reported in accordance with paragraph 129.
147. ‘ Micro-hedges ’ shall be hedges other than portfolio hedge of interest rate risk in accordance with IAS 39.89 A. Micro-hedges shall include hedges of nil net positions as referred to in accordance with IFRS 9.6.6.6.
148. ‘ Hedge adjustments on micro-hedges ’ shall include all hedge adjustments for all the micro-hedges as defined in paragraph 147.
149. ‘ Hedge adjustments included in the carrying amount of assets/liabilities ’ shall be the accumulated amount of the gains and losses on the hedged items that have adjusted the carrying amount of those items and been recognised in profit or loss. Hedge adjustments for the hedged items that are equities measured at fair value through other comprehensive income shall be reported in template 1.3. Hedge adjustments for unrecognised firm commitments or a component thereof shall not be reported.
150. ‘ Remaining adjustments for discontinued micro-hedges including hedges of net positions ’ shall include those hedge adjustments which, following the discontinuation of the hedge relationship and the end of the adjustment of hedged items for hedging gains and losses, remain to be amortised to the profit or loss via a recalculated effective interest rate for hedged items measured at amortised cost, or to the amount that represents the previously recognised cumulative hedging gain or loss for hedged assets measured at fair value through other comprehensive income.
151. Where a group of financial assets or financial liabilities, including a group of financial assets or financial liabilities that constitute a net position, is eligible as a hedged item, financial assets and financial liabilities constituting that group shall be reported at their carrying amount on a gross basis, before netting between instruments within the group, in ‘ Assets or liabilities included in hedge of a net position (before netting) ’ .
152. ‘ Hedged items in portfolio hedge of interest rate risk ’ shall include financial assets and financial liabilities included in a fair value hedge of the interest rate exposure of a portfolio of financial assets or financial liabilities. Those financial instruments shall be reported at their carrying amount on a gross basis, before netting between instruments within the portfolio.

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

11.1. Movements in allowances for credit losses and impairment of equity instruments under national GAAP based on BAD (12.0)
153. Template 12.0 contains a reconciliation of the opening and closing balances of the allowance account for financial assets measured under cost-based methods, as well as for financial assets under other measurement methods or measured at fair value through equity where the national GAAP under BAD require those assets to be subject to impairment. Value adjustments on assets measured at the lower of cost or market shall not be reported in template 12.0.
154. ‘ Increases due to amounts set aside for estimated loan losses during the period ’ shall be reported where, for the main category of assets or the counterparty, the estimation of the impairment for the period results in the recognition of net expenses; that is, for the given category or counterparty, the increases in the impairment for the period exceed the decreases. ‘ Decreases due to amounts reversed for estimated loan losses during the period ’ shall be reported where, for the main category of assets or counterparty, the estimation of the impairment for the period result in the recognition of net income; that is, for the given category or counterparty, the decreases in the impairment for the period exceed the increases.
155. Changes in the allowance amounts due to repayment and disposals of financial assets shall be reported in ‘ Other adjustments ’ . Write-offs shall be reported in accordance with paragraphs 72 to 74.

11.2. Movements in allowances and provisions for credit losses under IFRS (12.1)
156. Template 12.1 contains a reconciliation of the opening and closing balances of the allowance account for financial assets measured at amortised cost and at fair value through other comprehensive income broken down by impairment stages, by instrument and by counterparty.
157. The provisions for off-balance sheet exposures that are subject to the impairment requirements of IFRS 9 shall be reported by impairment stages. Impairment for loan commitments shall be reported as provisions only where they are not considered together with the impairment of on-balance sheet assets in accordance with IFRS 9.7.B8E and paragraph 108 of this part. Movements in provisions for commitments and financial guarantees measured under IAS 37 and financial guarantees treated as insurance contracts under IFRS 4 shall not be reported in this template but in template 43. Changes in the fair value due to credit risk of commitments and financial guarantees measured at fair value through profit or loss in accordance with IFRS 9 shall not be reported in this template but in item ‘ Gains or (-) losses on financial assets and liabilities designated at fair value through profit or loss, net ’ in accordance with paragraph 50 of this Part.
158. The items ‘ of which: collectively measured allowances ’ and ‘ of which: individually measured allowances ’ shall include the movements in the cumulative amount of impairment related to financial assets which have been measured on a collective or individual basis.
159. ‘ Increases due to origination and acquisition ’ shall include the amount of increases in expected losses accounted for on the initial recognition of financial assets originated or acquired. That increase of the allowance shall be reported at the first reporting reference date following the origination or acquisition of those financial assets. Increases or decreases in the expected losses on those financial assets after their initial recognition shall be reported in other columns. Originated or acquired assets shall include assets resulting from the drawdown of off-balance sheet commitments given.
160. ‘ Decreases due to derecognition ’ shall include the amount of changes in allowances due to financial assets de-recognised totally in the reporting reference period for reasons other than write-offs, which include transfers to third parties or the expiry of the contractual rights due to full repayment, disposal of those financial assets or their transfer in another accounting portfolio. The change in allowance shall be recognised in this column at the first reporting reference date following the repayment, disposal or transfer. For off-balance sheet exposures, this item shall also include the decreases in the impairment due to the off-balance sheet item becoming an on-balance sheet asset.
161. ‘ Changes due to change in credit risk (net) ’ shall include the net amount of changes in expected losses at the end of the reporting reference period due to an increase or decrease in credit risk since initial recognition, irrespective of whether those changes led to a transfer of the financial asset to another stage. The impact on the allowance due to the increase or decrease of the amount of financial assets as a consequence of the interest income accrued and paid shall be reported in this column. This item shall also include the impact of the passing of time on the expected losses calculated in accordance with IFRS 9.5.4.1(a) and (b). The changes in estimates due to updates or review of risk parameters as well as changes in forward-looking economic data shall also be reported in this column. Changes in expected losses due to partial repayment of exposures via instalments shall be reported in this column with the exception of the last instalment, which shall be reported in the column ‘ Decreases due to derecognition ’ .
162. All changes in expected credit losses related to revolving exposures shall be reported in ‘ Changes due to change in credit risk (net) ’ , except for those changes related to write-offs and updates in the institution’s methodology for estimation of credit losses. Revolving exposures shall be those for which customers’ outstanding balances are permitted to fluctuate based on their decisions to borrow and repay up to a limit established by the institution.
163. ‘ Changes due to an update in the institution’s methodology for estimation (net) ’ shall include changes due to updates in the institution’s methodology for estimation of expected losses due to changes in the existing models or establishment of new models used to estimate impairment. Methodological updates shall also encompass the impact of the adoption of new standards. Changes in methodology that trigger an asset to change impairment stage shall be considered for a model change in its entirety. The changes in estimates due to updates or review of risk parameters as well as changes in forward-looking economic data shall not be reported in this column.
164. The reporting of the changes in the expected losses related to modified assets (IFRS 9.5.4.3 and Appendix A) shall depend on the feature of the modification in accordance with the following:
(a) where the modification results in the partial or total derecognition of an asset due to a write-off as defined in paragraph 74, the impact on expected losses due to this derecognition shall be reported in ‘ Decrease in allowance account due to write-offs ’ , and any other impact from modification on expected credit losses in other appropriate columns;
(b) where the modification results in the complete derecognition of an asset for reasons other than a write-off as defined in paragraph 74 and its substitution by a new asset, the impact of modification on expected credit losses shall be reported in ‘ Changes due to derecognition ’ for the changes due to the asset derecognised, and in ‘ Increases due to origination and acquisition ’ for the changes due to the newly recognised modified asset. Derecognition for reasons other than write-offs shall include derecognition where the terms of the modified assets have been subject to substantial changes;
(c) where the modification does not result in derecognition of all or part of the modified asset, its impact on expected losses shall be reported in ‘ Changes due to modifications without derecognition ’ .
165. Write-offs shall be reported in accordance with paragraphs 72 to 74 of this Part of this Annex and in accordance with the following:
(a) where the debt instrument is partially or totally derecognised because there is no reasonable expectation of recovery, the decrease in the loss allowance reported due to the amounts written off shall be reported in: ‘ Decrease in allowance account due to write-offs ’ ;
(b) ‘ Amounts written-off directly to the statement of profit or loss ’ shall be the amounts of financial assets written-off during the reporting reference period that exceed any allowance account of the respective financial assets at the derecognition date. They shall include all amounts written-off during the reporting reference period and not only those which are still subject to enforcement activity.
166. ‘ Other adjustments ’ shall include any amount not reported in the previous columns, including the adjustments on expected losses due to foreign exchange differences where it is consistent with the reporting of the impact of foreign exchange in template 2.
166i. ‘ Gains or losses on derecognition of debt instruments ’ shall include the difference between the carrying amount of financial assets measured at the date of derecognition and the consideration received.

11.3. Transfers between impairment stages (gross basis presentation) (12.2)
167. For financial assets, the gross carrying amount and for off-balance exposures that are subject to the impairment requirements of IFRS 9, the nominal amount that has been transferred between impairment stages during the reporting reference period shall be reported in template 12.2.
168. Only the gross carrying amount or the nominal amount of those financial assets or off-balance exposures which are in a different impairment stage at the reporting reference date than they were at the beginning of the financial year or their initial recognition shall be reported. For on-balance exposures for which the impairment reported in template 12.1 includes an off-balance sheet component (IFRS 9.5.5.20 and IFRS 7.B8E), the change in stage of the on-balance sheet and off-balance sheet component shall be considered.
169. For the reporting of the transfers that have taken place during the financial year, financial assets or off-balance exposures that have changed multiple times the impairment stage since the beginning of the financial year or their initial recognition shall be reported as having been transferred from their impairment stage at the opening of the financial year or initial recognition to the impairment stage in which they are included at the reporting reference date.
170. The gross carrying amount or the nominal amount to be reported in template 12.2 shall be the gross carrying amount or the nominal value at the reporting date, regardless of whether that amount was higher or lower at the date of the transfer.

12. COLLATERAL AND GUARANTEES RECEIVED (13)

12.1. Breakdown of collateral and guarantees by loans and advances other than held for trading (13.1)
171. The collateral and guarantees backing the loans and advances, independently of their legal form, shall be reported by type of pledges: loans collateralised by immovable property and other collateralised loans, and by financial guarantees received. The loans and advances shall be broken down by counterparties and purpose.
172. In template 13.1, the ‘ maximum amount of the collateral or guarantee that can be considered ’ shall be reported. The sum of the amounts of the financial guarantee and/or collateral shown in the related columns of template 13.1 shall not exceed the carrying amount of the related loan.
173. For reporting loans and advances according to the type of pledge, the following definitions shall be used:
(a) within ‘ Loans collateralised by immovable property ’ , ‘ Residential ’ shall include loans secured by residential immovable property and ‘ Commercial ’ loans secured by pledges of immovable property other than residential, including offices and commercial premises and other types of commercial immovable property. The determination of whether immovable property collateral shall be residential or commercial shall be made in accordance with point (75) of Article 4(1) CRR;
(b) within ‘ Other collateralised loans ’ :
(i) ‘ Cash, deposits, (Debt securities issued) ’ shall include (a) deposits in the reporting institution that have been pledged as collateral for a loan and (b) debt securities issued by the reporting institution which have been pledged as collateral for a loan;
(ii) ‘ Movable property ’ shall comprise pledges of physical collateral other than immovable property and include cars, airplanes, ships, industrial and mechanical equipment (machinery, mechanical and technical equipment), inventories and commodities (merchandise, finished and semi-finished products, raw materials) and other forms of movable property;
(iii) ‘ Equities and debt securities ’ shall include collateral in the form of equity instruments, including investments in subsidiaries, joint ventures and associates, as well as in the form of debt securities issued by third parties;
(iv) ‘ Rest ’ shall include pledges of assets;
(c) ‘ Financial guarantees received ’ shall include contracts that in accordance with paragraph 114 of this Part of this Annex require the issuer to make specified payments to reimburse the institution for a loss it incurs because a specified debtor failed to make a payment where due in accordance with the original or modified terms of a debt instrument.
174. For loans and advances that have simultaneously several types of collateral or guarantee, the amount of the ‘ Maximum collateral/guarantee that can be considered ’ shall be allocated according to its quality, starting from the one with the best quality. For loans collateralised by immovable property, immovable property collateral shall always be reported first, irrespective of its quality compared to other collateral. Where the ‘ Maximum collateral/guarantee that can be considered ’ exceeds the value of immovable property collateral, its remaining value shall be allocated to other collateral types and guarantees according to its quality, starting from the one with best quality.

12.2. Collateral obtained by taking possession during the period (held at the reference date) (13.2.1)
175. This template shall be used to report information on collateral that has been obtained between the beginning and the end of the reference period and that remains recognised in the balance sheet at the reference date. Collateral obtained by taking possession shall include assets that were not pledged by the debtor as collateral, but were obtained in exchange for the cancellation of debt, whether on a voluntary basis or as part of legal proceedings. The types of collateral shall be the ones referred to in paragraph 173, with the exception of those in point (b) (i) of that paragraph.
175i. ‘ Value at initial recognition ’ shall mean the gross carrying amount of the collateral obtained by taking possession at the point in time of the initial recognition in the balance sheet of the reporting institution.
175ii. ‘ Accumulated negative changes ’ shall be the difference, at the level of the individual collateral item, between the value at initial recognition of the collateral and the carrying amount at the reporting reference date, where that difference is negative.

12.3. Collateral obtained by taking possession accumulated (13.3.1)
176. Collateral obtained by taking possession that remains recognised in the balance sheet at the reference date, irrespective of the point in time when it was obtained, shall be reported in template 13.3.1. Both collateral obtained by taking possession classified as ‘ Property, plant and equipment ’ and other collateral obtained by taking possession shall be included. Collateral obtained by taking possession shall include assets that were not pledged by the debtor as collateral, but were obtained in exchange for the cancellation of debt, whether on a voluntary basis or as part of legal proceedings.

13. FAIR VALUE HIERARCHY: FINANCIAL INSTRUMENTS AT FAIR VALUE (14)
177. Institutions shall report the value of financial instruments measured at fair value according to the hierarchy provided by IFRS 13.72. Where national GAAP under BAD require the allocation of assets measured at fair value between different levels of fair value, institutions under national GAAP shall also report this template.
178. ‘ Change in fair value for the period ’ shall include gains or losses from re-measurements made in accordance with IFRS 9, IFRS 13 or national GAAP, where applicable, in the period of the instruments that continue to exist at the reporting date. Those gains and losses shall be reported as for inclusion in the statement of profit or loss, or where applicable, in the statement of comprehensive income; thus, the amounts to be reported are before taxes.
179. ‘ Accumulated change in fair value before taxes ’ shall include the amount of gains or losses from re-measurements of the instruments accumulated from the initial recognition to the reference date.

14. DERECOGNITION AND FINANCIAL LIABILITIES ASSOCIATED WITH TRANSFERRED FINANCIAL ASSETS (15)
180. Template 15 shall include information on transferred financial assets of which part or all do not qualify for derecognition, and financial assets entirely derecognised for which the institution retains servicing rights.
181. The associated liabilities shall be reported according to the portfolio in which the related transferred financial assets were included in the assets side and not according to the portfolio in which they were included in the liability side.
182. The column ‘ Amounts derecognised for capital purposes ’ shall include the carrying amount of the financial assets recognised for accounting purposes but de-recognised for prudential purposes because the institution is treating them as securitisation positions for capital purposes in accordance with Articles 109, 243 and 244 CRR.
183. ‘ Repurchase agreements ’ ( ‘ repos ’ ) shall be transactions in which the institution receives cash in exchange for financial assets sold at a given price under a commitment to repurchase the same (or identical) assets at a fixed price on a specified future date. Transactions involving the temporary transfer of gold against cash collateral shall also be considered ‘ Repurchase agreements ’ ( ‘ repos ’ ). Amounts received by the institution in exchange for financial assets transferred to a third party ( ‘ temporary acquirer ’ ) shall be classified under ‘ repurchase agreements ’ where there is a commitment to reverse the operation and not merely an option to do so. Repurchase agreements shall also include repo-type operations which may include:
(a) amounts received in exchange for securities temporarily transferred to a third party in the form of securities lending against cash collateral;
(b) amounts received in exchange for securities temporarily transferred to a third party in the form of sale/buy-back agreement.
184. ‘ Repurchase agreements ’ ( ‘ repos ’ ) and ‘ reverse repurchase loans ’ ( ‘ reverse repos ’ ) shall involve cash received or loaned out by the institution.
185. In a securitisation transaction, where the transferred financial assets are derecognized, institutions shall declare the gains (losses) generated by the item within the income statement corresponding to the ‘ accounting portfolios ’ in which the financial assets were included prior to their derecognition.

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

15.1. Interest income and expenses by instrument and counterparty sector (16.1)
187. Interest income shall be broken down in accordance with both of the following:
(a) interest income on financial and other assets;
(b) interest income on financial liabilities with negative effective interest rate.
188. Interest expenses shall be broken down in accordance with both of the following:
(a) interest expenses on financial and other liabilities;
(b) interest expenses on financial assets with negative effective interest rate.
189. Interest income on financial assets and on financial liabilities with a negative effective interest rate shall include interest income on derivatives held for trading, debt securities, and loans and advances, as well as on deposits, debt securities issued and other financial liabilities with a negative effective interest rate.
190. Interest expenses on financial liabilities and on financial assets with a negative effective interest rate shall include interest expenses on derivatives held for trading, deposits, debt securities issued and other financial liabilities, as well as on debt securities and loans and advances with a negative effective interest rate.
191. For the purpose of template 16.1, short positions shall be considered within other financial liabilities. All instruments in the various portfolios shall be taken into account except those included in the items ‘ Derivatives – Hedge accounting ’ not used to hedge interest rate risk.
192. ‘ Derivatives – Hedge accounting, interest rate risk ’ shall include the interest income and expenses on hedging instruments where the hedged items generate interest.
193. Where the clean price is used, interest on derivatives held for trading shall include the amounts related to those derivatives held for trading which qualify as ‘ economic hedges ’ that are included as interest income or expenses to correct the income and expense of the hedged financial instruments from an economic but not accounting point of view. In such case, interest income on economic hedge derivatives shall be reported separately within interest income from trading derivatives. Time-apportioned fees or balancing payments in relation to credit derivatives measured at fair value and used to manage the credit risk of part or all of a financial instrument that is designated at fair value at that occasion shall also be reported within interest on derivatives held for trading.
194. Under IFRS, ‘ Of which: interest-income on impaired financial assets ’ means interest income on credit-impaired financial assets, including purchased or originated credit-impaired financial assets. Under national GAAP under BAD, it shall include interest income on assets impaired with a specific impairment allowance for credit risk.
194i. ‘ Of which: credit for consumption ’ and ‘ of which: lending for house purchase ’ shall reflect the income and expenses on loans and advances as described in paragraph 88of this Part.
194ii. ‘ Of which: interest from leases ’ shall reflect the lessor’s interest income on the lease receivable (finance leases) and the lessee’s interest expenses on the lease liability respectively.

15.2. Gains or losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss by instrument (16.2)
195. Gains and losses on derecognition of financial assets and financial liabilities not measured at fair value through profit or loss shall be broken down by type of financial instrument and by accounting portfolio. For each item, the net realised gain or loss stemming from the derecognised transaction shall be reported. The net amount represents the difference between realised gains and realised losses.
196. Template 16.2 shall apply under IFRS to financial assets and liabilities at amortised cost, and debt instruments measured at fair value through other comprehensive income. Under national GAAP based on BAD, template 16.2 shall apply to financial assets measured at cost-based method, at fair value through equity, and in accordance with measurement methods such as the lower of cost or market. Gains and losses of financial instruments classified as trading under the relevant national GAAP based on BAD shall not be reported in this template regardless of the valuation rules applicable for those instruments.

15.3. Gains or losses on financial assets and liabilities held for trading and trading financial assets and trading financial liabilities by instrument (16.3)
197. Gains and losses on financial assets and liabilities held for trading shall be broken down by type of instrument; each item of the breakdown shall be the net realised and unrealised amount (gains minus losses) of the financial instrument.
198. Gains and losses from foreign currency trading on the spot market, excluding exchange of foreign notes and coins, shall be included as trading gains and losses. Gains and losses from precious metal trading or derecognition and re-measurement shall not be included in trading gains and losses but in ‘ Other operating income ’ or ‘ Other operating expense ’ in accordance with paragraph 316 of this Part.
199. The item ‘ Of which: economic hedges with use of the fair value option ’ shall include only gains and losses on credit derivatives measured at fair value through profit or loss and used to manage the credit risk of all or part of a financial instrument that is designated at fair value through profit or loss at that occasion in accordance with IFRS 9.6.7. Gains or losses due to the reclassification of financial assets out of the amortised cost accounting portfolio and into the fair value through profit or loss accounting portfolio or into the held for trading portfolio (IFRS 9.5.6.2) shall be reported in ‘ Of which: gains and losses due to the reclassification of assets at amortised cost ’ .

15.4. Gains or losses on financial assets and liabilities held for trading and trading financial assets and trading financial liabilities by risk (16.4)
200. Gains and losses on financial assets and financial liabilities held for trading shall also be broken down by type of risk. Each item of the breakdown shall be the net realised and unrealised amount (gains minus losses) of the underlying risk (interest rate, equity, foreign exchange, credit, commodity and other) associated with the exposure, including related derivatives. Gains and losses from exchange differences shall be included in the item in which the rest of gains and losses arising from the converted instrument are included. Gains and losses on financial assets and financial liabilities other than derivatives shall be included in the risk categories as follows:
(a) interest rate: including trading of loans and advances, deposits and debt securities (held or issued);
(b) equity: including trading of shares, quotas of UCITS and other equity instruments;
(c) foreign exchange trading: including exclusively trading on foreign exchanges;
(d) credit risk: including trading of credit link notes;
(e) commodities: this item shall include only derivatives because gains and losses on commodities held with trading intent shall be reported under ‘ Other operating income ’ or ‘ Other operating expense ’ in accordance with paragraph 316of this Part;
(f) other: including trading of financial instruments, which cannot be classified in other breakdowns.

15.5. Gains or losses on non-trading financial assets mandatorily at fair value through profit or loss by instrument (16.4.1)
201. Gains and losses on non-trading financial assets mandatorily at fair value through profit or loss shall be broken down by type of instrument. Each item of the breakdown shall be the net realised and unrealised amount (gains minus losses) of the financial instrument.
202. Gains or losses due to the reclassification of financial assets out of the amortised cost accounting portfolio and into the non-trading financial assets mandatorily at fair value through profit or loss accounting portfolio (IFRS 9.5.6.2) shall be reported in ‘ Of which: gains and losses due to the reclassification of assets at amortised cost ’ .

15.6. Gains or losses on financial assets and liabilities designated at fair value to profit or loss by instrument (16.5)
203. Gains and losses on financial assets and liabilities designated at fair value through profit or loss shall be broken down by type of instrument. Institutions shall report the net realised and unrealised gains or losses and the amount of change in fair value of financial liabilities in the period due to changes in the credit risk (own credit risk of the borrower or issuer) where own credit risk is not reported within other comprehensive income.
204. Where a credit derivative measured at fair value is used to manage the credit risk of all or part of a financial instrument that is designated at fair value through profit or loss at that occasion, the gains or losses of the financial instrument upon that designation shall be reported in ‘ Of which: gains or (-) losses upon designation of financial assets and liabilities designated at fair value through profit or loss for hedging purposes, net ’ . Subsequent fair value gains or losses on those financial instruments shall be reported in ‘ Of which: gains or (-) losses after the designation of financial assets and liabilities designated at fair value through profit or loss for hedging purposes, net ’ .

15.7. Gains or losses from hedge accounting (16.6)
205. All gains and losses from hedge accounting, except interest income or expense where the clean price is used, shall be broken down by type of hedge accounting: fair value hedge, cash flow hedge and hedge of net investments in foreign operations. Gains and losses related to fair value hedge shall be broken down between the hedging instrument and the hedged item. Gains and losses on hedging instruments shall not include gains and losses related to elements of the hedging instruments that are not designated as hedging instruments in accordance with IFRS 9.6.2.4. Those hedging instruments that are not designated shall be reported in accordance with paragraph 60of this Part. Gains and losses from hedge accounting shall also include gains and losses on hedges of a group of items with offsetting risk positions (hedges of a net position).
206. ‘ Fair value changes of the hedged item attributable to the hedged risk ’ shall include gains and losses on hedged items where the items are debt instruments measured at fair value through other comprehensive income in accordance with IFRS 9.4.1.2 A (IFRS 9.6.5.8).
207. Under national GAAP based on BAD, the breakdown by type of hedges as provided for in this template shall be reported to the extent the breakdown is compatible with the applicable accounting requirements.

15.8. Impairment on non-financial assets (16.7)
208. ‘ Additions ’ shall be reported where, for the accounting portfolio or main category of assets, the estimation of the impairment for the period results in recognition of net expenses. ‘ Reversals ’ shall be reported where, for the accounting portfolio or main category of assets, the estimation of the impairment for the period results in the recognition of net income.

15.9. Other Administrative Expenses (16.8)
208i. ‘ Information Technology expenses ’ shall be the expenses made to deliver IT-enabled business processes, application services and infrastructure solutions for business outcomes, including costs related to the creation and maintenance of IT systems and excluding compensation for IT specialists on the institution’s payroll which shall be reported under staff expenses.
208ii. Among the Information Technology expenses, ‘ IT outsourcing ’ shall mean IT expenses related to the use of external service providers. It shall not include expenses related to (i) pure staff services (agency staff) to the extent that the institution just hires staff temporarily and keeps full control of the delivered services and (ii) purely standardised operational hardware/software maintenance contracts on merely purchased assets.
208iii. ‘ Taxes and duties (other) ’ shall include taxes and duties other than (i) taxes related to profit or loss taxes and (ii) taxes and duties from discontinued operations. This item includes taxes and duties such as taxes levied on goods and services and the duties paid by the institution.
208iv. ‘ Consulting and professional services ’ shall mean expenses made to get expert or strategic advice.
208v. ‘ Advertising, marketing and communication ’ shall include expenses related to marketing communications activities such as advertising, direct or online marketing, and events.
208vi. ‘ Expenses related to credit risk ’ shall mean administrative expenses in the context of credit events, such as expenses incurred in respect of taking possession of collateral or legal proceedings.
208vii. ‘ Litigation expenses not covered by provisions ’ shall mean litigation expenses not related to credit risk that were not covered by an associated provision.
208viii. ‘ Real estate expenses ’ shall mean expenses for repairs and maintenance that do not improve the use or prolong the useful life of the real estate, as well as utility expenses (water, electricity and heating).
208ix. Under IFRS, ‘ leasing expenses ’ shall comprise expenses of the lessee due to short-term leases and leases of assets of low value as referred to IFRS 16.5 and 16.6. Under national GAAP, leasing expenses shall comprise expenses of the lessee, where the accounting standard envisages the treatment of lease payments as expenses.
208x. ‘ Other administrative expenses – Rest ’ shall include all the remaining components of ‘ other administrative expenses ’ , such as administrative and logistic services, postage and transport of documents, surveillance and security services, money counting services and transport. Cash contributions to resolution funds and deposit guarantee schemes shall not be reported in this category since they are reported in a separate row of template 2.

16. RECONCILIATION BETWEEN ACCOUNTING AND CRR SCOPE OF CONSOLIDATION (17)
209. ‘ Accounting scope of consolidation ’ shall include the carrying amount of assets, liabilities and equity as well as the nominal amounts of the off-balance sheet exposures prepared using the accounting scope of consolidation, that is, including in the consolidation subsidiaries that are insurance undertakings and non-financial corporations. Institutions shall account for the subsidiaries, joint ventures and associates using the same method as in their financial statements.
210. In this template, the item ‘ Investments in subsidiaries, joint ventures and associates ’ shall not include subsidiaries as all subsidiaries are fully consolidated under the scope of accounting consolidation.
211. ‘ Assets under reinsurance and insurance contracts ’ shall include assets under reinsurance ceded as well as, if any, assets related to insurance and reinsurance contracts issued.
212. ‘ Liabilities under insurance and reinsurance contracts ’ shall include liabilities under insurance and reinsurance contracts issued.

17. NON-PERFORMING EXPOSURES (18)

17.1. Information on performing and non-performing exposures (18.0)
213. For the purposes of template 18, non-performing exposures shall be exposures that satisfy any of the following criteria:
(a) material exposures which are more than 90 days past due;
(b) the debtor is assessed as unlikely to pay his or her credit obligations in full without realisation of collateral, regardless of the existence of any past due amount or of the number of days past due.
214. The categorisation as non-performing exposures shall apply notwithstanding the classification of an exposure as defaulted for regulatory purposes in accordance with Article 178 CRR or as impaired for accounting purposes in accordance with the applicable accounting framework.
215. Exposures in respect of which a default is considered to have occurred in accordance with Article 178 CRR and exposures that have been found impaired in accordance with the applicable accounting framework shall always be considered as non-performing exposures. Under IFRS, for the purpose of template 18, impaired exposures shall be those that have been found credit-impaired (Stage 3), including purchased or originated credit-impaired assets reported in this stage in accordance with paragraph 77of this Part. Exposures included in impairment stages other than Stage 3 shall be considered as non-performing where they meet the criteria to be considered as non-performing.
216. Exposures shall be categorised for their entire amount and without taking into account the existence of any collateral. Materiality shall be assessed in accordance with Article 178 CRR.
217. For the purpose of template 18, ‘ exposures ’ shall include all debt instruments (debt securities and loans and advances, including cash balances at central banks and other demand deposits) and off-balance sheet exposures, except those held for trading exposures.
218. Debt instruments shall be included in the following accounting portfolios: (a) debt instruments at cost or amortised cost; (b) debt instruments at fair value through other comprehensive income or through equity subject to impairment; and (c) debt instruments at strict LOCOM or fair value through profit or loss or through equity not subject to impairment, in accordance with the criteria of paragraph 233 of this Part. Each category shall be broken down by instrument and by counterparty.
219. Under IFRS and relevant national GAAP based on BAD, off-balance sheet exposures shall comprise the following revocable and irrevocable items:
(a) loan commitments given;
(b) financial guarantees given;
(c) other commitments given.
220. Debt instruments classified as held for sale in accordance with IFRS 5 shall be reported separately.
221. In template 18 for debt instruments, ‘ gross carrying amount ’ as defined in paragraph 34of Part 1 of this Annex shall be reported. For off-balance sheet exposures, the nominal amount as defined in paragraph 118 of this Annex shall be reported.
222. For the purpose of template 18, an exposure is ‘ past-due ’ where it meets the criteria of paragraph 96 of this Part.
223. For the purpose of template 18, ‘ debtor ’ shall mean an obligor within the meaning of Article 178 CRR.
224. A commitment shall be considered as a non-performing exposure for its nominal amount where, drawn down or otherwise used, it would lead to exposures that present a risk of not being paid back in full without realisation of collateral.
225. Financial guarantees given shall be considered as non-performing exposures for their nominal amount where the financial guarantee is at risk of being called by the guaranteed party, including, in particular, where the underlying guaranteed exposure meets the criteria to be considered as non-performing, referred to in paragraph 213. Where the guaranteed party is past-due on the amount due under the financial guarantee contract, the reporting institution shall assess whether the resulting receivable meets the non-performing criteria.
226. Exposures classified as non-performing in accordance with paragraph 213 shall be categorised as either non-performing on an individual basis ( ‘ transaction based ’ ) or as non-performing for the overall exposure to a given debtor ( ‘ debtor based ’ ). For the categorisation of non-performing exposures on an individual basis or to a given debtor, the following categorisation approaches shall be used for the different types of non-performing exposures:
(a) for non-performing exposures classified as defaulted in accordance with Article 178 CRR, the categorisation approach of that Article shall be applied;
(b) for exposures that are classified as non-performing due to impairment under the applicable accounting framework, the recognition criteria for impairment under the applicable accounting framework shall be applied;
(c) for other non-performing exposures that are neither classified as defaulted nor as impaired, the provisions of Article 178 CRR for defaulted exposures shall be applied.
227. Where an institution has on-balance sheet exposures to a debtor that are past due by more than 90 days and the gross carrying amount of the past due exposures represents more than 20 % of the gross carrying amount of all on-balance sheet exposures to that debtor, all on- and off-balance sheet exposures to that debtor shall be considered as non-performing. Where a debtor belongs to a group, the need to consider also exposures to other entities of the group as non-performing shall be assessed, where those exposures are not already considered as impaired or defaulted in accordance with Article 178 CRR, except for exposures affected by isolated disputes that are unrelated to the solvency of the counterparty.
228. Exposures shall be considered to have ceased being non-performing where all of the following conditions are met:
(a) the exposure meets the exit criteria applied by the reporting institution for the discontinuation of the impairment and default classification according to the applicable accounting framework and Article 178 of the CRR respectively;
(b) the situation of the debtor has improved to the extent that full repayment is likely to be made, either according to the original or to the modified conditions;
(c) the debtor does not have any amount past-due by more than 90 days.
229. An exposure shall remain classified as non-performing as long as the conditions in points (a), (b) and (c) of paragraph 228 are not met, even where the exposure has already met the discontinuation criteria applied by the reporting institution for the impairment and default classification in accordance with the applicable accounting framework and Article 178 CRR respectively.
230. The classification of a non-performing exposure as non-current asset held for sale in accordance with IFRS 5 shall not discontinue their classification as non-performing exposure.
231. Granting forbearance measures to a non-performing exposure shall not discontinue the non-performing status of this exposure. Where exposures are non-performing with forbearance measures, as referred to in paragraph 262, those exposures shall be considered to have ceased being non-performing where all the following conditions are met:
(a) exposures are not considered to be impaired or defaulted by the reporting institution according to the applicable accounting framework and Article 178 of the CRR, respectively;
(b) at least one year has passed since the date on which the forbearance measures were granted and the date on which the exposures were classified as non-performing, whichever is later;;
(c) there is not, following the forbearance measures, any past-due amount or concern regarding the full repayment of the exposure according to the post-forbearance conditions. The absence of concerns shall be determined after an analysis of the debtor’s financial situation by the institution. Concerns may be considered as no longer existing where the debtor has paid, via its regular payments in accordance with the post-forbearance conditions, a total equal to the amount that was previously past-due (where there were past-due amounts) or that has been written-off (where there were no past-due amounts) under the forbearance measures or the debtor has otherwise demonstrated its ability to comply with the post-forbearance conditions.
The specific exit conditions referred to in points (a), (b) and (c) shall apply in addition to the criteria applied by reporting institutions for impaired and defaulted exposures according to the applicable accounting framework and Article 178 CRR, respectively.
232. Where the conditions referred to in paragraph 231 of this Part of this Annex are not met at the end of the one year period specified in point (b) of that paragraph, the exposure shall continue to be identified as non-performing forborne exposure until all conditions are met. The conditions shall be assessed at least on a quarterly basis.
233. The accounting portfolios under IFRS listed in paragraph 15 of Part 1 of this Annex and under relevant national GAAP based on BAD listed in paragraph 16 of Part 1 of this Annex shall be reported as follows in template 18:
(a) ‘ Debt instruments at cost or at amortised cost ’ shall encompass debt instruments included in any of the following:
(i) ‘ Financial assets at amortised cost ’ (IFRS);
(ii) ‘ Non-trading non-derivative financial assets at a cost based method ’ , including debt instruments under moderate LOCOM (national GAAP based on BAD);
(iii) ‘ Other non-trading non-derivative financial assets ’ , except debt instruments measured at strict LOCOM (national GAAP based on BAD);
(b) ‘ Debt instruments at fair value through other comprehensive income or through equity subject to impairment ’ shall encompass debt instruments included in any of the following:
(i) ‘ Financial assets at fair value through other comprehensive income ’ (IFRS);
(ii) ‘ Non-trading non-derivative financial assets measured at fair value to equity ’ , where instruments in that measurement category can be subject to impairment in accordance with the applicable accounting framework under national GAAP based on BAD;
(c) ‘ Debt instruments at strict LOCOM, or at fair value through profit or loss or through equity not subject to impairment ’ shall encompass debt instruments included in any of the following:
(i) ‘ Non-trading financial assets mandatorily at fair value through profit or loss ’ (IFRS);
(ii) ‘ Financial assets designated at fair value through profit or loss ’ (IFRS);
(iii) ‘ Non-trading non-derivative financial assets measured at fair value through profit or loss ’ (national GAAP based on BAD);
(iv) ‘ Other non-trading non-derivative financial assets ’ where debt instruments are measured under strict LOCOM (national GAAP based on BAD);
(v) ‘ Non-trading non-derivative financial assets measured at fair value through equity ’ , where debt instruments in that measurement category are not subject to impairment in accordance with the applicable accounting framework under GAAP based on BAD.
234. Where IFRS or the relevant national GAAP based on BAD provide for the designation of commitments at fair value through profit and loss, the carrying amount of any asset resulting from that designation and measurement at fair value shall be reported in ‘ Financial assets designated at fair value through profit or loss ’ (IFRS) or ‘ Non-trading non-derivative financial assets measured at fair value through profit or loss ’ (national GAAP based on BAD). The carrying amount of any liability resulting from that designation shall not be reported in template 18. The notional amount of all commitments designated at fair value through profit or loss shall be reported in template 9.
234i. The following exposures shall be identified in separate rows:
(a) Loans collateralised by immovable property as defined in paragraphs 86(a) and 87of this Part;
(b) Credit for consumption as defined in paragraph 88(a) of this Part.
235. Past due exposures shall be reported separately within the performing and non-performing categories for their entire amount as defined in paragraph 96 of this Part. Exposures past due by more than 90 days but that are not material in accordance with Article 178 CRR shall be reported within performing exposures in ‘ Past due > 30 days <= 90 days ’ .
236. Non-performing exposures shall be reported broken down by past due time bands. Exposures that are not past due or are past due by 90 days or less, but are nevertheless identified as non-performing due to the likelihood of non-full repayment, shall be reported in a dedicated column. Exposures that present both past due amounts and a likelihood of non-full repayment shall be allocated by past-due time bands consistent with the number of days that they are past due.
237. The following exposures shall be identified in separate columns:
(a) exposures which are considered to be impaired in accordance with the applicable accounting framework; under IFRS, the amount of credit-impaired assets (Stage 3), including purchased or originated credit-impaired assets, shall be reported; under national GAAP, the amount of impaired assets shall be reported;
(b) exposures in respect of which a default is considered to have occurred in accordance with Article 178 CRR.
(c) under IFRS, assets with significant increase in credit risk since initial recognition, but not credit-impaired (Stage 2), including purchased or originated credit-impaired assets that no longer meet the definition of ‘ credit-impaired ’ assets after the initial recognition;
(d) under IFRS, for performing exposures, assets without significant increase in credit risk since initial recognition (Stage 1).
238. Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions shall be reported in accordance with paragraphs 11, 69 to 71, 106 and 110of this Part.
239. Information on collateral held and guarantees received on performing and non-performing exposures shall be reported separately. Amounts reported for collateral received and guarantees received shall be calculated in accordance with paragraphs 172 and 174of this Part. The sum of the amounts reported for both collateral and guarantees shall be capped at the carrying amount or nominal amount after deduction of provisions of the related exposure.

17.2. Inflows and outflows of non-performing exposures – loans and advances by counterparty sector (18.1)
239i. Template 18.1 shall provide the inflows and outflows of loans and advances, excluding loans and advances classified as trading financial assets or held for trading, that were classified into or out of the category of non-performing exposures as defined in paragraphs 213 to 239 or 260of this Part. Inflows and outflows of non-performing loans and advances shall be broken down by counterparty sector.
239ii. Inflows to the non-performing exposures category shall be reported on a cumulative basis since the beginning of the financial year. The inflow shall reflect the gross carrying amount of exposures that have become non-performing as defined in paragraphs 213 to 239 or 260 of this Part during the period, including purchased non-performing exposures. An increase in the gross carrying amount of a non-performing exposure due to accrued interest or due to an increase in the accumulated negative changes in fair value due to credit risk shall be reported as an inflow as well.
239iii. For an exposure that during the period has been reclassified multiple times from non-performing to performing or vice versa, the amount of inflows and outflows shall be identified based on a comparison between the status of the exposure (performing or non-performing) at the beginning of the financial year or at initial recognition and its status at the reporting reference date.
239iv. Outflows from the non-performing exposures category shall be reported on a cumulative basis since the beginning of the financial year. The outflow shall reflect the sum of the gross carrying amounts of exposures that cease to be non-performing during the period, and, where applicable, shall include the amount of write-offs made in the context of the partial or full derecognition of the exposure. A decrease in the gross carrying amount of a non-performing exposure due to interest paid or a decrease in the accumulated negative changes in fair value due to credit risk shall be reported as an outflow as well.
239v. An outflow shall be reported in the following cases:
(a) a non-performing exposure meets the criteria for ceasing to be classified as non-performing as laid out in paragraphs 228 – 232 of this Part and is reclassified as performing not forborne or performing forborne;
(b) a non-performing exposure is partially or totally repaid; in case of partial repayment, only the repaid amount shall be classified as outflow;
(c) collateral is liquidated, including outflows due to other liquidation or legal procedures, such as the liquidation of assets other than collateral obtained via legal procedures, and the voluntary sale of the collateral;
(d) the institution takes possession of the collateral as referred in paragraph 175 of this Part including cases of debt asset swaps, voluntary surrenders and debt equity swaps;
(e) a non-performing exposure is sold;
(f) the risk pertaining to a non-performing exposure is transferred and the exposure meets the criteria to be derecognised;
(g) a non-performing exposure is written-off partially or totally; in case of partial write-offs, only the written-off amount shall be classified as outflow;
(h) a non-performing exposure, or parts of a non-performing exposure, ceases to be non-performing for other reasons.
239vi. The reclassification of a non-performing exposure from one accounting portfolio to another shall be reported neither as inflow nor as outflow. As an exception, the reclassification of a non-performing exposure from any accounting portfolio to ‘ held for sale ’ shall be reported as outflow from the original accounting portfolio and inflow to ‘ held for sale ’ .
239vii. The following exposures shall be identified in separate rows:
(a) commercial real estate (CRE) loans as defined in paragraph 239ix, broken down into CRE loans to SMEs and CRE loans to non-financial corporations other than SMEs;
(b) loans collateralised by immovable property as defined in paragraphs 86(a) and 87of this Part;
(c) credit for consumption as defined in paragraph 88(a) of this Part.

17.3. Commercial Real Estate (CRE) loans and additional information on loans secured by immovable property (18.2)
239viii. Template 18.2 shall present information on commercial real estate loans to non-financial corporations and on loans collateralised by commercial or residential immovable property to non-financial corporations and households respectively, broken down by loan to value ratio (LTV ratio). Loans and advances classified as held for trading, trading financial assets and debt instruments held for sale shall be excluded.
239ix. ‘Commercial real estate (CRE) loans’ shall comprise exposures as defined in section 2, chapter 1, paragraph 1 of the ESRB Recommendation on closing real estate data gaps .
Recommendation of the European Systemic Risk Board of 31 October 2016 on closing real estate data gaps (ESRB/2016/14), OJ C 31, 31.1.2017, p. 1 .
239x. The LTV ratio shall be calculated in accordance with the method for the calculation of the ‘ current loan-to-value ratio ’ (LTV-C) laid down in section 2, chapter 1, paragraph 1 of the ESRB Recommendation on closing real estate data gaps.
239xi. Information on collateral received and financial guarantees received on loans shall be reported in accordance with paragraph 239of this Part. Consequently, the sum of the amounts reported for both collateral and guarantees shall be capped at the carrying amount of the related exposure.

18. FORBORNE EXPOSURES (19)
240. For the purpose of template 19, forborne exposures shall be debt contracts in respect of which forbearance measures have been applied. Forbearance measures consist of concessions towards a debtor that is experiencing or about to experience difficulties in meeting its financial commitments ( ‘ financial difficulties ’ ).
241. For the purpose of template 19, a concession may entail a loss for the lender and shall refer to either of the following actions:
(a) a modification of the terms and conditions of a contract that the debtor is considered unable to comply with due to his or her financial difficulties ( ‘ troubled debt ’ ) resulting in insufficient debt service ability, and where that modification would not have been granted had the debtor not been experiencing financial difficulties;
(b) a total or partial refinancing of a troubled debt contract, where that refinancing would not have been granted had the debtor not been experiencing financial difficulties.
242. Evidence of a concession shall include at least any of the following:
(a) a difference in favour of the debtor between the modified terms of the contract and the pre-modified terms of the contract;
(b) inclusion in a modified contract of more favourable terms than other debtors with a similar risk profile could have obtained from the same institution at the time of inclusion of those more favourable terms.
243. The exercise of clauses which, where used at the discretion of the debtor, enable the debtor to change the terms of the contract ( ‘ embedded forbearance clauses ’ ) shall be treated as a concession where the institution approves executing those clauses and concludes that the debtor is experiencing financial difficulties.
244. For the purposes of Annexes III and IV as well as this Annex, ‘ refinancing ’ shall mean the use of debt contracts to ensure the total or partial payment of other debt contracts the terms of which the debtor is unable to comply with.
245. For the purpose of template 19, ‘ debtor ’ shall include all the legal entities in the debtor’s group which are within the accounting scope of consolidation and natural persons who control that group.
246. For the purpose of template 19, ‘ debt ’ shall include loans and advances (including also cash balances at central banks and other demand deposits), debt securities and revocable and irrevocable loan commitments given, including those loan commitments that are designated at fair value through profit and loss that are assets at the reporting date. ‘ Debt ’ shall exclude exposures held for trading.
247. ‘ Debt ’ shall also include loans and advances and debt securities classified as non-current assets and disposal groups classified as held for sale in accordance with IFRS 5.
248. For the purposes of template 19, ‘ exposure ’ shall have the same meaning as ‘ debt ’ in paragraphs 246 and 247of this Part.
249. The accounting portfolios under IFRS listed in paragraph 15 of Part 1 of this Annex and under relevant national GAAP based on BAD listed in paragraph 16 of Part 1 of this Annex shall be reported in template 19 in accordance with paragraph 233 of this Part.
250. For the purposes of template 19, ‘ institution ’ shall mean the institution, which applied the forbearance measures.
251. In template 19 for ‘ debt ’ , the ‘ gross carrying amount ’ shall be reported in accordance with paragraph 34 of Part 1 of this Annex. For loan commitments given which are off-balance sheet exposures, the nominal amount as defined in paragraph 118 of this Part of this Annex shall be reported.
252. Exposures shall be regarded as forborne where a concession has been made, irrespective of whether any amount is past due or of the classification of the exposures as impaired in accordance with the applicable accounting framework or as defaulted in accordance with Article 178 CRR. Exposures shall not be treated as forborne where the debtor is not in financial difficulties. Under IFRS, modified financial assets (IFRS 9.5.4.3 and Appendix A) shall be treated as forborne where a concession as defined in paragraphs 240 and 241 of this Part of this Annex has been made, regardless of the incidence of the modification on the change in the credit risk of the financial asset since initial recognition. Any of the following shall be treated as forbearance measures:
(a) a modified contract that has been classified as non-performing before the modification or would in the absence of modification be classified as non-performing;
(b) the modification that has been made to a contract involves a total or partial cancellation by write-offs of the debt;
(c) the institution approves the use of embedded forbearance clauses for a debtor who is non-performing or who would be considered as non-performing without the use of those clauses;
(d) simultaneously with or close in time to the concession of additional debt by the institution, the debtor made payments of principal or interest on another contract with the institution that was non-performing or would in the absence of refinancing be classified as non-performing.
253. A modification involving repayments made by taking possession of collateral shall be treated as a forbearance measure where that modification constitutes a concession.
254. There is a rebuttable presumption that forbearance has taken place in any of the following circumstances:
(a) the modified contract was totally or partially past due more than 30 days (without being non-performing) at least once during the three months prior to its modification or would be more than 30 days past due, totally or partially, without modification;
(b) simultaneously with or close in time to the concession of additional debt by the institution, the debtor made payments of principal or interest on another contract with the institution that was totally or partially past due by 30 days at least once during the three months prior to its refinancing;
(c) the institution approves the use of embedded forbearance clauses for 30 days past due debtors or debtors who would be 30 days past due without the exercise of those clauses.
255. Financial difficulties shall be assessed at debtor level as referred to in paragraph 245. Only exposures to which forbearance measures have been applied shall be identified as forborne exposures.
256. Forborne exposures shall be included in the non-performing exposures category or the performing exposures category in accordance with paragraphs 213 to 239 and 260 of this Part. The classification as forborne exposure shall be discontinued where all of the following conditions are met:
(a) the forborne exposure is considered to be performing, including where the exposure has been reclassified from the non-performing exposures category after an analysis of the financial condition of the debtor showed that it no longer met the conditions to be considered as non-performing;
(b) a minimum two year period has passed from the date the forborne exposure was considered to be performing ( ‘ probation period ’ );
(c) regular payments of more than an insignificant aggregate amount of principal or interest have been made during at least half of the probation period;
(d) none of the exposures to the debtor is more than 30 days past due at the end of the probation period.
257. Where the conditions referred to in paragraph 256 are not met at the end of the probation period, the exposure shall continue to be identified as performing forborne under probation until all the conditions are met. The conditions shall be assessed at least on a quarterly basis.
258. Forborne exposures, which are classified as non-current assets held for sale in accordance with IFRS 5, shall continue to be classified as forborne exposures.
259. A forborne exposure may be considered as performing from the date the forbearance measures were applied where both of the following conditions are met:
(a) that extension has not led the exposure to be classified as non-performing;
(b) the exposure was not considered to be a non-performing exposure at the date the forbearance measures were extended.
260. Where additional forbearance measures are applied to a performing forborne exposure under probation that has been reclassified out of non-performing category or the forborne exposure under probation reclassified out of non-performing category becomes more than 30 days past due, the exposure shall be classified as non-performing.
261. ‘ Performing exposures with forbearance measures ’ (performing forborne exposures) shall comprise forborne exposures that do not meet the criteria to be considered as non-performing and that are included in the performing exposures category. Performing forborne exposures shall be under probation until the criteria laid down in paragraphs 256 and 259 of this Part are not met. Performing forborne exposures under probation that have been reclassified out of the non-performing exposures category shall be reported separately within the performing exposures with forbearance measures in the column ‘ of which: Performing forborne exposures under probation reclassified from non-performing ’ .
262. ‘ Non-performing exposures with forbearance measures ’ (non-performing forborne exposures) shall comprise forborne exposures that meet the criteria to be considered as non-performing and that are included in the non-performing exposures category. Those non-performing forborne exposures shall include the following:
(a) exposures which have become non-performing due to the application of forbearance measures;
(b) exposures which were non-performing prior to the extension of forbearance measures;
(c) forborne exposures which have been reclassified from the performing category, including exposures reclassified in application of paragraph 260.
263. Where forbearance measures are extended to exposures which were non-performing prior to the extension of forbearance measures, the amount of those forborne exposures shall be separately identified in the column ‘ of which: forbearance of exposures non-performing prior to forbearance measures ’ .
264. The following non-performing exposures with forbearance measures shall be identified in separate columns:
(a) exposures which are considered, in accordance with the applicable accounting framework, to be impaired. Under IFRS, the amount of credit-impaired assets (Stage 3), including purchased or originated credit-impaired assets reported in this stage in accordance with paragraph 77 of this Part shall be reported in this column;
(b) exposures in respect of which a default is considered to have occurred in accordance with Article 178 CRR.
265. The column ‘ Refinancing ’ shall comprise the gross carrying amount of the new contract ( ‘ refinancing debt ’ ) granted as part of a refinancing transaction which qualifies as a forbearance measure, as well as the gross carrying amount of the old re-paid contract that is still outstanding.
266. Forborne exposures combining modifications and refinancing shall be allocated to the column ‘ Instruments with modifications of the terms and conditions ’ or the column ‘ Refinancing ’ , depending on the measure that has the most impact on cash flows. Refinancing by a pool of banks shall be reported in the column ‘ Refinancing ’ for the total amount of refinancing debt provided by or refinanced debt still outstanding at the reporting institution. Repackaging of several debts into a new debt shall be reported as a modification, unless there is also a refinancing transaction that has a larger impact on cash flows. Where forbearance through modification of the terms and conditions of a troubled exposure leads to that exposure’s derecognition and to the recognition of a new exposure, that new exposure shall be treated as forborne debt.
267. Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions shall be reported in accordance with paragraphs 11, 69 to 71, 106 and 110 of this Part.
268. Collateral and guarantees received on exposures with forbearance measures shall be reported for all exposures with forbearance measures, regardless of their performing or non-performing status. In addition, collateral and financial guarantees received on non-performing exposures with forbearance measures shall be shown separately. Amounts reported for collateral received and guarantees received shall be calculated in accordance with paragraphs 172 and 174 of this Part. The sum of the amounts reported for both collateral and guarantees shall be capped at the carrying amount of the related on-balance sheet exposure or nominal amount after deduction of provisions of the related off-balance sheet exposure.

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

19.1. Geographical breakdown by location of activities (20.1-20.3)
270. The geographical breakdown by location of the activities in templates 20.1 to 20.3 distinguishes between ‘ domestic activities ’ and ‘ non-domestic activities ’ . For the purposes of this Part, ‘ location ’ shall mean the jurisdiction of incorporation of the legal entity which has recognised the corresponding asset or liability. For branches, it shall mean the jurisdiction of its residence. ‘ Domestic ’ shall include the activities recognised in the Member State where the reporting institution is located.

19.2. Geographical breakdown by residence of the counterparty (20.4-20.7)
271. Templates 20.4 to 20.7 contain information ‘ country-by-country ’ on the basis of the residence of the immediate counterparty as defined in paragraph 43of Part 1 of this Annex. The breakdown provided shall include exposures or liabilities with residents in each foreign country in which the institution has exposures. Exposures or liabilities with international organisations and multilateral development banks shall not be assigned to the country of residence of the institution but to the geographical area ‘ Other countries ’ .
272. ‘ Derivatives ’ shall include both trading derivatives, including economic hedges, and hedging derivatives under IFRS and under GAAP, reported in templates 10 and 11.
273. Assets held for trading under IFRS and trading assets under GAAP shall be identified separately. Financial assets subject to impairment shall have the same meaning as in paragraph 93 of this Part. Assets measured under LOCOM that have credit risk induced value adjustments shall be considered as impaired.
274. In templates 20.4 and 20.7, ‘ Accumulated impairment ’ and ‘ Accumulated negative changes in fair value due to credit risk on non-performing exposures ’ , as determined in accordance with paragraphs 69 to 71 of this Part shall be reported.
275. In template 20.4 for debt instruments, ‘ gross carrying amount ’ , as determined in accordance with paragraph 34 of Part 1 of this Annex, shall be reported. For derivatives and equity instruments, the amount to be reported shall be the carrying amount. In column ‘ Of which: Non-performing ’ debt instruments, as determined in accordance with paragraphs 213 to 239 or 260of this Part shall be reported. Debt forbearance shall comprise all ‘ debt ’ contracts for the purpose of template 19 to which forbearance measures, as defined in paragraphs 240 to 268of this Part, are extended.
276. In template 20.5, ‘ Provisions for commitments and guarantees given ’ shall include provisions measured under IAS 37, the credit losses of financial guarantees treated as insurance contracts under IFRS 4, and the provisions on loan commitments and financial guarantees under the impairment requirements of IFRS 9 and provisions for commitments and guarantees under national GAAP based on BAD in accordance with paragraph 11 of this Part.
277. In template 20.7, loans and advances not held for trading shall be reported with the classification by NACE Codes on a ‘ country-by-country ’ basis. NACE Codes shall be reported with the first level of disaggregation (by ‘ section ’ ). Loans and advances subject to impairment shall refer to the same portfolios as referred to in paragraph 93 of this Part.

20. TANGIBLE AND INTANGIBLE ASSETS: ASSETS SUBJECT TO OPERATING LEASE (21)
278. For the purposes of the calculation of the threshold in Article 9(e) of this Regulation, tangible assets that have been leased by the institution (lessor) to third parties in agreements that qualify as operating leases under the relevant accounting framework shall be divided by the total of tangible assets.
279. Under IFRS, assets that have been leased by the institution (as lessor) to third parties in operating leases shall be broken down by measurement method.

21. ASSET MANAGEMENT, CUSTODY AND OTHER SERVICE FUNCTIONS (22)
280. For the purposes of the calculation of the threshold in Article 9(f) of this Regulation, the amount of ‘ net fee and commission income ’ shall be the absolute value of the difference between ‘ fee and commission income ’ and ‘ fee and commission expense ’ . For the same purposes, the amount of ‘ net interest ’ shall be the absolute value of the difference between ‘ interest income ’ and ‘ interest expenses ’ .

21.1. Fee and commission income and expenses by activity (22.1)
281. The fee and commission income and expenses shall be reported by type of activity. Under IFRS, this template shall include fee and commission income and expenses other than both of the following:
(a) amounts considered for the calculation of the effective interest of financial instruments (IFRS 7.20.(c));
(b) amounts arising from financial instruments that are measured at fair value through profit or loss (IFRS 7.20.(c).(i)).
282. Transaction costs directly attributable to the acquisition or issue of financial instruments not measured at fair value through profit or loss shall not be included. Those transaction costs shall form part of the initial acquisition/issue value of those instruments and shall be amortised to profit or loss over their residual life using the effective interest rate (IFRS 9.5.1.1).
283. Under IFRS, transaction costs directly attributable to the acquisition or issue of financial instruments measured at fair value through profit or loss shall be included as a part of ‘ Gains or losses on financial assets and liabilities held for trading, net ’ , ‘ Gain or losses on non-trading financial assets mandatorily at fair value through profit or loss, net ’ and ‘ Gains or losses on financial assets and liabilities designated at fair value through profit or loss, net ’ , depending on the accounting portfolio in which those transaction costs are classified. Those transaction costs shall not be part of the initial acquisition or issuance value of those instruments and shall be immediately recognized in profit or loss.
284. Institutions shall report fee and commission income and expenses in accordance with the following criteria:
(a) ‘ Securities. Issuances ’ shall include fees and commissions received for the involvement in the origination or issuance of securities not originated or issued by the institution;
(b) ‘ Securities. Transfer orders ’ shall include fees and commissions generated by the reception, transmission and execution on behalf of customers of orders to buy or sell securities;
(c) ‘ Securities. Other fee and commission income in relation to securities ’ shall include fees and commissions generated by the institution providing other services related with securities not originated or issued by the institution;
(d) Under fee and commission expenses, ‘ securities ’ shall include fees and commissions charged to the institution where it is receiving services related with securities regardless of whether they are originated or issued by the institution or not;
(e) ‘ Corporate Finance. M&A advisory ’ shall include fees and commissions for advisory services surrounding corporate clients’ mergers and acquisitions activities;
(f) ‘ Corporate Finance. Treasury services ’ shall include fees and commissions for corporate finance services related to capital market advisory for corporate clients;
(g) ‘ Corporate Finance. Other fee and commission income in relation to corporate finance activities ’ shall include all other corporate finance related fees and commissions;
(h) ‘ Fee based advice ’ shall include fees and commissions charged for advisory services to clients that are not directly linked to asset management, such as private banking related fees. M&A advisory fees shall not be included here, but under ‘ Corporate Finance. M&A advisory ’ ;
(i) ‘ Clearing and settlement ’ shall include fees and commission income (expenses) generated by (charged to) the institution where that institution participates in counterparty, clearing and settlement facilities;
(j) ‘ Asset management ’ , ‘ Custody ’ , ‘ Central administrative services for collective investment undertakings ’ and ‘ Fiduciary transactions ’ shall include fees and commission income (expenses) generated by (charged to) the institution that provides those services;
(k) ‘Payment services’ shall include fees and commission income (expenses) generated by (charged to) the institution that provides (receives) payment services as referred to in Annex I to Directive (EU) 2015/2366 of the European Parliament and of the Council . Information on the fee and commission income shall be reported separately for current accounts, credit cards, debit cards and other card payments, transfers and other payment orders as well as other fee and commission income in relation to payment services. ‘Other fee and commissions income in relation to payment services’ shall include charges for the use of the institution’s ATM network by cards not issued by the institution. Information on fee and commission expenses on credit, debit and other cards shall be reported separately;
Directive (EU) 2015/2366 of the European Parliament and of the Council of 25 November 2015 on payment services in the internal market, amending Directives 2002/65/EC, 2009/110/EC and 2013/36/EU and Regulation (EU) No 1093/2010, and repealing Directive 2007/64/EC ( OJ L 337, 23.12.2015, p. 35 ).
(l) ‘ Customer resources distributed but not managed (by type of product) ’ shall comprise fee and commission income for distribution of products issued by entities outside the prudential group to its current customers. This information shall be reported by type of product;
(m) Under fee and commission expenses, ‘ Externally provided distribution of products ’ shall comprise the expenses for distribution of the institution’s products and services via an external agent network/distribution arrangement with external providers such as mortgage brokers, online loan platforms or Fintech frontends;
(n) ‘ Structured finance ’ shall include fees and commissions received for the involvement in the origination or issuance of financial instruments other than securities originated or issued by the institution;
(o) Fees from ‘ Loan servicing activities ’ shall include, on the income side, the fee and commission income generated by the institution providing loan servicing services and on the expense side, the fee and commission expense charged to the institution by loan service providers;
(p) ‘ Loan commitments given ’ and ‘ Financial guarantees given ’ shall include the amount, recognized as income during the period, of the amortization of the fees and commission for those activities initially recognised as ‘ other liabilities ’ ;
(q) ‘ Loan commitments received ’ and ‘ Financial guarantees received ’ shall include the fee and commission recognised as expense by the institution during the period as a consequence of the charge made to the counterparty that has given the loan commitment or the financial guarantee that is initially recognised as ‘ other assets ’ ;
(r) Under ‘ loans granted ’ , fees and commissions shall be reported which are charged in the process of granting loans, but are not part of the effective interest rate calculation;
(s) ‘ Foreign exchange ’ includes fee and commission income (expenses) for foreign exchange services (including exchange of foreign banknotes or coins, fees on international currency cheques, bid-ask-spread) and fee income from/expenses on international transactions. Where the income (expenses) attributable to foreign exchange transactions can be separated from the other credit/debit card related fee income, this item shall also include foreign-exchange related fees and commissions generated via credit or debit cards;
(t) ‘ Commodities ’ include fee and commission income related to the commodity business, except for income related to commodity trading which shall be reported as other operating income;
(u) ‘ Other fee and commission income (expenses) ’ shall include the fee and commission income (expenses) generated by (charged to) the institution that cannot be allocated to any of the other listed items.

21.2. Assets involved in the services provided (22.2)
285. Business related to asset management, custody functions, and other services provided by the institution shall be reported using the following definitions:
(a) ‘ Asset management ’ shall refer to assets belonging directly to the customers, for which the institution is providing management. ‘ Asset management ’ shall be reported by type of customer: collective investment undertakings, pension funds, customer portfolios managed on a discretionary basis, and other investment vehicles;
(b) ‘ Custody assets ’ shall refer to the services of safekeeping and administration of financial instruments for the account of clients provided by the institution and services related to custodianship such as cash and collateral management. ‘ Custody assets ’ shall be reported by type of customers for which the institution is holding the assets distinguishing between collective investment undertakings and others. The item ‘ of which: entrusted to other entities ’ shall refer to the amount of assets included in custody assets for which the institution has given the effective custody to other entities;
(c) ‘ Central administrative services for collective investment ’ shall refer to the administrative services provided by the institution to collective investment undertakings. It shall include, among others, the services of transfer agent, of compiling accounting documents, of preparing the prospectus, financial reports and all other documents intended for investors, of carrying out the correspondence by distributing financial reports and all other documents intended for investors, of carrying out issues and redemptions and keeping the register of investors, as well as of calculating the net asset value;
(d) ‘ Fiduciary transactions ’ shall refer to the activities where the institution acts in its own name but for the account and at the risk of its customers. Frequently, in fiduciary transactions, the institution provides services, such as custody, asset management services, to a structured entity or managing portfolios on a discretionary basis. All fiduciary transactions shall be reported exclusively in this item irrespective of whether the institution provides other services;
(e) ‘ Payment services ’ shall refer to the payment services listed in Annex I of Directive (EU) 2015/2366;
(f) ‘ Customer resources distributed but not managed ’ shall refer to products issued by entities outside the prudential group that the institution has distributed to its current customers. This item shall be reported by type of product;
(g) ‘ Amount of the assets involved in the services provided ’ shall include the amount of assets in relation to which the institution is acting, using the fair value. Other measurement bases including nominal value may be used where the fair value is not available. Where the institution provides services to entities such as collective investment undertakings or pension funds, the assets concerned may be shown at the value at which those entities report the assets in their own balance sheet. Reported amounts shall include accrued interest, where applicable.

22. INTERESTS IN UNCONSOLIDATED STRUCTURED ENTITIES (30)
286. For the purposes of Annexes III and IV as well as this Annex, ‘ liquidity support drawn ’ shall mean the sum of the carrying amount of the loan and advances granted to unconsolidated structured entities and the carrying amount of debt securities held that have been issued by unconsolidated structured entities.
287. ‘ Losses incurred by the reporting institution in the current period ’ shall include losses due to impairment and any other losses which are incurred by a reporting institution during the reporting reference period and concern the reporting institution’s interests in unconsolidated structured entities.

23. RELATED PARTIES (31)
288. Institutions shall report amounts or transactions related to the balance sheet and the off-balance sheet exposures where the counterparty is a related party as referred to in IAS 24.
289. Intra-group transactions and intra-group outstanding balances of the prudential group shall be eliminated. Under ‘ Subsidiaries and other entities of the same group ’ , institutions shall include balances and transactions with subsidiaries that have not been eliminated either because the subsidiaries are not fully consolidated within the scope of the prudential consolidation or because the subsidiaries are excluded from the scope of prudential consolidation in accordance with Article 19 CRR for being immaterial or because, for institutions that are part of a wider group, the subsidiaries are of the ultimate parent, not of the institution. Under ‘ Associates and joint ventures ’ , institutions shall include the portions of balances and transactions with joint ventures and associates of the group to which the entity belongs that have not been eliminated where proportional consolidation is applied.

23.1. Related parties: amounts payable to and amounts receivable from (31.1)
290. For ‘ Loan commitments, financial guarantees and other commitments received ’ , the amounts that shall be reported shall be the sum of the ‘ nominal ’ of loan and other commitments received and the ‘ maximum amount of the guarantee that can be considered ’ of financial guarantees received as defined in paragraph 119.
291. ‘ Accumulated impairment and accumulated negative changes in fair value due to credit risk on non-performing exposures ’ , as determined in paragraphs 69 to 71, in this Part shall be reported for non-performing exposures only. ‘ Provisions on non-performing off-balance sheet exposures ’ shall include provisions in accordance with paragraphs 11, 106 and 111 of this Part for exposures which are non-performing, as determined in accordance with paragraphs 213 to 239of this Part.

23.2. Related parties: expenses and income generated by transactions with (31.2)
292. ‘ Gains or losses on derecognition of other than financial assets ’ shall include all the gains and losses on derecognition of non-financial assets generated by transactions with related parties. This item shall include the gains and losses on derecognition of non-financial assets, which have been generated by transactions with related parties and that are part of any of the following line items of the ‘ Statement of profit or loss ’ :
(a) ‘ Gains or losses on derecognition of investments in subsidiaries, joint ventures and associates ’ , where reporting under national GAAP based on BAD;
(b) ‘ Gains or losses on derecognition of non-financial assets ’ ;
(c) ‘ Profit or loss from non-current assets and disposal groups classified as held for sale not qualifying as discontinued operations ’ ;
(d) ‘ Profit or loss after tax from discontinued operations ’ .
293. ‘ Impairment or (-) reversal of impairment on non-performing exposures ’ shall include impairment losses as defined in paragraphs 51 to 53 of this Part for exposures which are non-performing in accordance with paragraphs 213 to 239 of this Part. ‘ Provisions or (-) reversal of provisions on non-performing exposures ’ shall include provisions as defined in paragraph 50 of this Part for off-balance sheet exposures which are non-performing as referred in paragraphs 213 to 239 of this Part.

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

24.1. Group structure: ‘ entity-by-entity ’ (40.1)
296. The following information shall be reported on a ‘ entity-by-entity ’ basis and the following requirements shall apply for the purposes of Annexes III and IV as well as this Annex:
(a) ‘ LEI code ’ shall include the LEI code of the investee. Where a LEI code exists for the investee, it shall be reported;
(b) ‘ Entity code ’ shall include the identification code of the investee. The entity code is a row identifier and shall be unique for each row in template 40.1;
(c) ‘ Entity name ’ shall include the name of the investee;
(d) ‘ Entry date ’ shall mean the date on which the investee entered within the ‘ scope of the group ’ ;
(e) ‘ Share capital of investee ’ shall mean the total amount of capital issued by the investee as of the reference date;
(f) ‘ Equity of investee ’ , ‘ Total assets of the Investee ’ and ‘ Profit or (loss) of the Investee ’ shall include the amounts of those items in the last financial statements of the investee;
(g) ‘ Residence of investee ’ shall mean the country of residence of the investee;
(h) ‘ Sector of investee ’ shall mean the sector of counterparty referred to in paragraph 42 of Part 1 of this Annex;
(i) the ‘ NACE code ’ shall be provided on the basis of the principal activity of the investee. For non-financial corporations, NACE codes shall be reported with the first level of disaggregation (by ‘ section ’ ). For financial corporations, NACE codes shall be reported with a two level detail (by ‘ division ’ );
(j) ‘ Accumulated equity interest (%) ’ shall be the percentage of ownership instruments held by the institution as of the reference date;
(k) ‘ Voting rights (%) ’ shall mean the percentage of voting rights associated to the ownership instruments held by the institution as of the reference date;
(l) ‘ Group structure (relationship) ’ shall indicate the relationship between the ultimate parent and the investee (parent or entity with joint control of the reporting institution, subsidiary, joint venture or associate);
(m) ‘ Accounting treatment (Accounting Group) ’ shall indicate the relationship between the accounting treatment with the accounting scope of consolidation (full consolidation, proportional consolidation, equity method or other);
(n) ‘ Accounting treatment (CRR Group) ’ shall indicate the relationship between the accounting treatment and the CRR scope of consolidation (full consolidation, proportional consolidation, equity method or other);
(o) ‘ Carrying amount ’ shall mean the amounts reported on the balance sheet of the institution for investees that are neither fully nor proportionally consolidated;
(p) ‘ Acquisition cost ’ shall mean the amount paid by investors;
(q) ‘ Goodwill link to the investee ’ shall mean the amount of goodwill reported on the consolidated balance sheet of the reporting institution for the investee in the items ‘ goodwill ’ or ‘ investments in subsidiaries, joint ventures and associated ’ ;
(r) ‘ Fair value of the investments for which there are published price quotations ’ shall mean the price at the reference date. It shall be provided only where the instruments are quoted.

24.2. Group structure: ‘ instrument-by-instrument ’ (40.2)
297. The following information shall be reported on an ‘ instrument-by-instrument ’ basis:
(a) ‘ Security code ’ shall include the ISIN code of the security. For securities without ISIN code, it shall include another code that uniquely identifies the security. ‘ Security code ’ and ‘ Holding company code ’ shall be a composite row identifier, and together shall be unique for each row in template 40.2;
(b) ‘ Holding company code ’ shall be the identification code of the entity within the group that holds the investment. ‘ Holding company LEI code ’ shall include the LEI code for the company holding the security. Where a LEI code exists for the holding company, it shall be reported;
(c) ‘ Entity code ’ , ‘ Accumulated equity interest (%) ’ , ‘ Carrying amount ’ and ‘ Acquisition cost ’ are defined in paragraph 296 of this Part. The amounts shall correspond to the security held by the related holding company.

25. FAIR VALUE (41)

25.1. Fair value hierarchy: financial instruments at amortised cost (41.1)
298. Information on the fair value of financial instruments measured at amortised cost, using the hierarchy in IFRS 13.72, 76, 81, and 86, shall be reported in this template. Where national GAAP under BAD also requires the allocation of assets measured at fair value between different levels of fair value, institutions under national GAAP shall also report this template.

25.2. Use of fair value option (41.2)
299. Information on the use of fair value option for financial assets and liabilities designated at fair value through profit or loss shall be reported in this template.
300. ‘ Hybrid contracts ’ shall, for liabilities, include the carrying amount of hybrid financial instruments classified, as a whole, in the accounting portfolio of financial liabilities designated at fair value through profit or loss It shall thus include non-separated hybrid instruments in their entirety.
301. ‘ Managed for credit risk ’ shall include the carrying amount of instruments that are designated at fair value through profit or loss at the occasion of their hedging against credit risk by credit derivatives measured at fair value through profit or loss in accordance with IFRS 9.6.7.

26. TANGIBLE AND INTANGIBLE ASSETS: CARRYING AMOUNT BY MEASUREMENT METHOD (42)
302. ‘ Property, plant and equipment ’ , ‘ Investment property ’ and ‘ Other intangible assets ’ shall be reported by the criteria used in their measurement.
303. ‘ Other intangible assets ’ shall include all intangible assets other than goodwill.
303i. Where the institution assumes the role of a lessee, it shall provide separate information on lease assets (right-of-use assets).

27. PROVISIONS (43)
304. This template shall include reconciliation between the carrying amount of the item ‘ Provisions ’ at the beginning and end of the period by the nature of the movements, except provisions measured under IFRS 9 that shall instead be reported in template 12.
305. ‘ Other commitments and guarantees given measured under IAS 37 and guarantees given measured under IFRS 4 ’ shall include provisions measured under IAS 37 and the credit losses of financial guarantees treated as insurance contracts under IFRS 4.

28. DEFINED BENEFIT PLANS AND EMPLOYEE BENEFITS (44)
306. These templates shall include accumulated information of all defined benefit plans of the institution. Where there is more than one defined benefit plan, aggregated amount of all plans shall be reported.

28.1. Components of net defined benefit plan assets and liabilities (44.1)
307. The template on components of net defined benefit plan assets and liabilities shall show the reconciliation of the accumulated present value of all net defined benefit liabilities (assets) as well as reimbursement rights (IAS 19.140 (a), (b)).
308. ‘ Net defined benefit assets ’ shall include, in the event of a surplus, the surplus amounts that shall be recognised in the balance sheet as they are not affected by the limits set up in IAS 19.63. The amount of this item and the amount recognised in the memo item ‘ Fair value of any right to reimbursement recognized as asset ’ shall be included in the item ‘ Other assets ’ of the balance sheet.

28.2. Movements in defined benefit obligations (44.2)
309. The template on movements in defined benefit obligations shall show the reconciliation of opening and closing balances of the accumulated present value of all defined benefit obligations of the institution. The effects of the different elements listed in IAS 19.141 during the period shall be presented separately.
310. The amount of ‘ Closing balance (present value) ’ in the template for movements in defined benefit obligations shall be equal to ‘ Present value defined benefit obligations ’ .

28.3. Staff expenses by type of benefits (44.3)
311. For reporting of staff expenses by type of benefits, the following definitions shall be used:
(a) ‘ Pension and similar expenses ’ shall include the amount recognised in the period as staff expenses for any post-employment benefit obligations (both defined contribution plans and defined benefit plans), including post-employment-related contributions to social security funds (pension funds) maintained by the government or social security entities;
(b) ‘ Share based payments ’ shall include the amount recognised in the reference period as staff expenses for share based payments;
(c) ‘ Wages and salaries ’ shall include the remuneration of the institution’s employees for their labour or services, but shall exclude severance payments and remuneration in the form of share-based items which shall be reported in separate items;
(d) ‘ Social security contributions ’ shall include contributions to social security funds, amounts paid to the government or to social security entities in order to receive a future social benefit, but shall exclude post-employment-related contributions to social security funds in terms of pensions (contributions to pension funds);
(e) ‘ Severance payments ’ shall mean payments relating to the early termination of a contract and shall include termination benefits as defined in IAS 19.8;
(f) ‘ Other types of staff expenses ’ shall include staff expenses that cannot be allocated to any of the categories above.

28.4. Staff expenses by category of remuneration and category of staff (44.4)
311i. For reporting of staff expenses by category of remuneration and category of staff, the following definitions shall be used:
(a) ‘ Fixed remuneration ’ , ‘ variable remuneration ’ , ‘ identified staff ’ and ‘ management body in its management function ’ shall have the same meaning as in the EBA Guidelines ‘ on sound remuneration policies under Articles 74(3) and 75(2) of Directive 2013/36/EU and disclosures under Article 450 of Regulation (EU) No 575/2013 ’ (EBA/GL/2015/22);
(b) ‘ Management body ’ , ‘ management body in its supervisory function ’ and ‘ senior management ’ shall comprise staff as defined in points (7), (8) and (9) of Article 3(1) CRD.
311ii. ‘ Number of staff ’ shall include, as of the reporting reference date, the number of staff, expressed in full time equivalents (FTEs), plus the number of members in the management body expressed in terms of headcount for prudential (CRR) scope of consolidation. Of those, the number of identified staff, and the number of representatives in the management body in its management function and in senior management, as well as the number of representatives in the management body in its supervisory function shall be reported separately.

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

29.1. Gains or losses on financial assets and liabilities designated at fair value through profit or loss by accounting portfolio (45.1)
312. ‘ Financial liabilities designated at fair value through profit or loss ’ shall only include the gains and losses due to the change in the own credit risk of issuers of liabilities designated at fair value through profit or loss where the reporting institution has chosen to recognise them in profit or loss because a recognition in other comprehensive income would create or enlarge an accounting mismatch.

29.2. Gains or losses on derecognition of non-financial assets (45.2)
313. ‘ Gains or losses on derecognition of non-financial assets ’ shall be broken down by type of asset. Each line item shall include the gain or the loss on the asset that has been derecognised. ‘ Other assets ’ shall include other tangible assets, intangible assets and investments not reported elsewhere.

29.3. Other operating income and expenses (45.3)
314. Other operating income and expenses shall be broken down according to the following items: fair value adjustments on tangible assets measured using the fair value model; rental income and direct operating expenses from investment property; income and expenses on operating leases other than investment property and the rest of operating income and expenses.
315. ‘ Operating leases other than investment property ’ shall include, for the column ‘ income ’ the returns obtained, and for the column ‘ expenses ’ the costs incurred, by the institution as lessor in its operating leasing activities other than those with assets classified as investment property. The costs for the institution as lessee shall be included in the item ‘ Other administrative expenses ’ .
316. Gains or losses from derecognition and re-measurements of holdings of gold, other precious metals and other commodities measured at fair value, less costs to sell, shall be reported among the items included in ‘ Other operating income. Other ’ or ‘ Other operating expenses. Other ’

30. STATEMENT OF CHANGES IN EQUITY (46)
317. The statement of changes in equity shall disclose the reconciliation between the carrying amount at the beginning of the period (opening balance) and the end of the period (closing balance) for each component of equity.
318. ‘ Transfers among components of equity ’ shall include all amounts transferred within equity, including both gains and losses due to own-credit risk of liabilities designated at fair value through profit or loss and the accumulated fair value changes of equity instruments measured at fair value through other comprehensive income that are transferred to other components of equity upon derecognition.

31. LOANS AND ADVANCES: ADDITIONAL INFORMATION (23)
319. Template 23 presents additional information on loans and advances, excluding loans and advances classified as held for trading, trading financial assets and debt instruments held for sale.
320. For the purposes of determining the ‘ number of instruments ’ , an instrument shall be understood as a banking product with an outstanding balance and, where applicable, a credit limit, typically being associated with an account. An exposure towards a specific counterparty can consist of multiple instruments. The number of instruments shall be determined based on the way the institution manages the exposure. The number of instruments shall be indicated separately for exposures in pre-litigation status and exposures in litigation status as defined in paragraphs 321 and 322 of this Part.
321. An exposure shall be ‘ in pre-litigation status ’ where the debtor has been formally notified that the institution will take legal action against the debtor within a defined time period, unless certain contractual or other payment obligations are met. That shall also include cases where the contract has been terminated by the reporting institution because the debtor is in formal breach of the terms and conditions of the contract and the debtor has been notified accordingly, but no legal action against the debtor has formally been taken by the institution yet. Exposures classified as ‘ in pre-litigation status ’ can exit this classification if the outstanding amounts are paid or if they enter into litigation status as defined in the following paragraph.
322. An exposure shall be ‘ in litigation status ’ where legal action against the debtor has formally been taken. This comprises cases where a court of law confirmed that formal judiciary proceedings have occurred or the judiciary system has been notified of the intention to commence legal proceedings.
323. ‘ Unsecured loans and advances without guarantees ’ refers to exposures for which neither collateral was pledged nor financial guarantees were received; the unsecured part of a partially secured or partially guaranteed exposure shall not be included.
324. Loans and advances with an accumulated coverage ratio of more than 90 % shall be reported separately. For that purpose, the ‘ accumulated coverage ratio ’ shall be the ratio between the accumulated impairments, respectively the accumulated negative changes in fair value due to credit risk related to a loan or advance as numerator, and the gross carrying amount of that loan or advance as denominator.
325. Loans collateralised by immovable property as defined in paragraphs 86(a) and 87 of this Part as well as commercial real estate loans as defined in paragraph 239ix of this Part shall be reported broken down by loan/collateral ratio ( ‘ loan-to-value ’ (LTV) ratio) as defined in paragraph 239x of this Part.
326. Information on collateral held and guarantees received on the loans and advances shall be reported in accordance with paragraph 239 of this Part. Consequently, the sum of the amounts reported for both collateral and guarantees shall be capped at the carrying amount of the related exposure. Immovable property pledged as collateral shall be reported separately in addition.
327. By way of derogation from the previous paragraph, ‘ collateral received on loans and advances – uncapped amounts ’ shall reflect the full value of the collateral received without a cap at the carrying amount of the related exposure.

32. LOANS AND ADVANCES: FLOWS OF NON PERFORMING EXPOSURES, IMPAIRMENTS AND WRITE OFFS SINCE THE END OF THE LAST FINANCIAL YEAR (24)

32.1. Loans and advances: Inflows and outflows of non-performing exposures (24.1)
328. Template 24.1 shall provide a reconciliation of the opening and closing balances of the stock of loans and advances, excluding loans and advances classified as trading financial assets, held for trading or as held for sale, that are classified as non-performing in accordance with paragraphs 213 to 239 or 260 of this Part and reported in template 18. Inflows and outflows of non-performing loans and advances shall be broken down by type of inflow or outflow.
329. Inflows to the category of non-performing exposures shall be reported in accordance with paragraphs 239ii to 239iii and 239vi of this Part, with the exception of inflows to the category ‘ held for sale ’ , which are outside the scope of this template. Inflows shall be broken down by type (source) of inflow. In this context:
(a) ‘ Inflow due to accrued interest ’ shall represent interest accrued on non-performing loans and advances that have not been included in any of the other categories of the breakdown by type (source); in this regard, this inflow captures the interest accrued on non-performing loans and advances that were classified as non-performing at the end of the preceding financial year and have been continuously classified as such ever since; interest accrued on exposures that were classified as non-performing in accordance with paragraphs 213 to 239 or 260 of this Part only during the period shall be reported together with the inflow itself in the corresponding type (source) category;
(b) ‘ of which: reclassified from performing forborne exposures under probation previously reclassified from non-performing ’ shall include ‘ performing forborne exposures under probation reclassified from non-performing ’ , as defined in paragraph 261 of this Part, that were reclassified again as non-performing in accordance with paragraphs 213 to 239 or 260 of this Part during the period;
(c) ‘ Inflow due to other reasons ’ shall capture inflows that cannot be linked to any of the other, specified sources of inflows and shall include, among others, increases in the gross carrying amount of non-performing exposures due to additional amounts disbursed during the period, the capitalisation of past due amounts including capitalised fees and expenses and changes in exchange rates related to non-performing loans and advances that were classified as non-performing at the end of the preceding financial year and have been continuously classified as such ever since.
330. The following exposures shall be reported in separate rows:
(a) ‘ Inflow more than once ’ shall comprise loans and advances that were reclassified multiple times from non-performing to performing or vice versa during the period;
(b) ‘ Inflow of exposures granted in the past 24 months ’ shall represent loans and advances that were granted in the 24 months prior to the reference date and that were classified as non-performing in accordance paragraphs 213 to 239 or 260 of this Part during the period. Of these exposures, those granted during the period shall be reported separately in addition.
331. Outflows from the category of non-performing exposures shall be reported in accordance with paragraphs 239iii to 239vi of this Part, and be broken down by type (reason) of the outflow. In this context, ‘ outflow due to write-offs ’ shall reflect the amount of write-offs made during the period that cannot be linked to any of the other specified outflow types and shall include also write-offs related to the total extinguishment of all the reporting institution’s rights by expiry of the statue-of-limitations period, forgiveness or other causes occurred during the period.
332. In those cases where an exposure is partially derecognised and the remaining part is reclassified as performing, the outflow pertaining to the reclassification and the outflow pertaining to the derecognition shall be reported as separate outflows. For outflows due to collateral liquidations, sale of exposures, risk transfers and taking possession of collateral, the net cumulated recoveries obtained shall be reported. If, at the moment of collateral liquidations, sale of exposures, risk transfers and taking possession of collateral, a write-off was made, that amount shall be reported as a part of the related outflow type.
333. ‘ Net cumulated recoveries ’ shall mean (i) the amount of cash or cash equivalents collected, net of related costs, in the context of collateral liquidations, of the sale of exposures and of risk transfers, respectively (ii) the value at initial recognition as defined in paragraph 175i of this Part of the collateral obtained in the context of outflows due to taking possession of collateral.
334. The outflow pertaining to loans and advances that became non-performing during the period and afterwards ceased to meet the criteria for being classified as non-performing shall be reported separately.

32.2. Loans and advances: Flow of impairments and accumulated negative changes in fair value due to credit risk on non-performing exposures (24.2)
335. Template 24.2 shall contain a reconciliation of the opening and closing balances of the allowance accounts and the stock of accumulated negative changes in fair value due to credit risk pertaining to loans and advances that are or were classified as non-performing in accordance with paragraphs 213 to 239 or 260 of this Part.
336. ‘ Increases during the period ’ shall comprise:
(a) the stock, as of the reference date, of accumulated impairments and accumulated negative changes in fair value due to credit risk pertaining to loans and advances that became non-performing during the period and are still classified as non-performing at the reporting reference date;
(b) the stock, as of the derecognition date, of accumulated impairments and accumulated negative changes in fair value due to credit risk pertaining to loans and advances that became non-performing during the period and were derecognised during the period; and
(c) the increase of accumulated impairments and accumulated negative changes in fair value due to credit risk pertaining to loans and advances that were classified as non-performing at the end of the preceding financial year and are either still classified as such at the reporting reference date or were derecognised during the period.
337. The part of the increase attributable to impairments and accumulated negative changes in fair value booked against interest accrued shall be reported separately in addition.
338. ‘ Decreases during the period ’ shall comprise:
(a) the stock, as of the end of derecognition date, of accumulated impairments and accumulated negative changes in fair value due to credit risk pertaining to loans and advances that ceased to be non-performing during the period and exited the institution’s portfolio during the period;
(b) the stock, as of the reference date, of accumulated impairments and accumulated negative changes in fair value due to credit risk pertaining to loans and advances that ceased to be non-performing during the period and are still not classified as non-performing at the reference date;
(c) the stock, as of the reference date, of accumulated impairments and accumulated negative changes in fair value due to credit risk pertaining to loans and advances that were reclassified as ‘ held for sale ’ during the period; and
(d) the decrease of accumulated impairments and accumulated negative changes in fair value due to credit risk pertaining to loans and advances that were classified as non-performing at the end of the preceding financial year and are still classified as such at the reporting reference date.
339. The following items shall be reported separately:
(a) the decrease attributable to the reversal of allowances and the reversal of negative changes in fair value due to credit risk;
(b) the decrease attributable to the ‘ unwinding ’ of discounts in the context of application of effective interest rate’s accounting method.

32.3. Loans and advances: Write-offs of non-performing exposures during the period (24.3)
340. Template 24.3 shall be used to report the write-offs as defined in paragraph 74 of this Part to the extent that they (i) were made during the period (inflows) and (ii) refer to loans and advances classified as non-performing in accordance with paragraphs 213 to 239 or 260 of this Part during the period, excluding loans and advances classified as held for trading, trading financial assets or held for sale. Both partial and total write-offs shall be reported. Of these write-offs, those attributable to the forfeiture of the right to legally recover an exposure, or part of it, shall be reported separately.

33. COLLATERAL OBTAINED BY TAKING POSSESSION AND EXECUTION PROCESSES (25)
341. ‘ Collateral obtained by taking possession ’ shall include both assets that were pledged by the debtor as collateral and assets that were not pledged by the debtor as collateral, but were obtained in exchange for the cancellation of debt, whether on a voluntary basis or as part of legal proceedings.

33.1. Collateral obtained by taking possession other than collateral classified as Property Plant and Equipment (PP&E): inflows and outflows (25.1)
342. Template 25.1 shall be used to present the reconciliation of the opening balance, as of the beginning of the financial year, and the closing balance of the stock of collateral obtained by taking possession, other than collateral classified as property, plant and equipment (PP&E). In addition, the template shall provide information on the related ‘ debt balance reduction ’ and the value at initial recognition of collateral obtained by taking possession.
343. ‘ Debt balance reduction ’ shall mean the gross carrying amount of the exposure that was derecognised from the balance sheet in exchange for the collateral obtained by taking possession, at the exact moment of the exchange, and the related impairments and negative changes in fair value due to credit risk accumulated at that point in time. Where, at the moment of exchange, a write-off was made, that amount shall be considered part of the debt balance reduction as well. Derecognitions from the balance sheet due to other reasons, such as cash collections, shall not be reported.
344. ‘ Value at initial recognition ’ shall have the same meaning as described in paragraph 175i of this Part.
345. With regard to the ‘ inflows during the period ’ :
a) the collateral obtained by taking possession shall include: (i) new collateral obtained by taking possession during the period (since the beginning of the financial year), irrespective of whether the collateral is still recognised in the institution’s balance sheet (held) at the reference date or not and (ii) positive changes in valuation of collateral during the period due to different reasons (such as positive changes in fair value, appreciation, reversal of impairment, changes of accounting policies). These types of inflows shall be reported separately in addition.
b) the ‘ debt balance reduction ’ shall reflect the debt balance reduction of the exposure derecognised related to the collateral that was obtained during the period.
346. With regard to the ‘ outflows during the period ’ :
a) the collateral obtained by taking possession shall include: (i) collateral sold for cash during the period; (ii) collateral sold with replacement by financial instruments during the period; and (iii) negative changes in valuation of collateral during the period due to different reasons (such as negative changes in fair value, depreciation, impairment, write-off, changes of accounting policies). Those types of outflows shall be reported separately. Where collateral is derecognised in exchange for both cash and financial instruments, the relevant amounts shall be split and allocated to the two outflow types. ‘ Collateral sold with replacement by financial instruments ’ shall describe cases where the collateral is sold to a counterparty, and the acquisition by that counterparty is financed by the reporting institution.
b) the ‘ debt balance reduction ’ shall reflect the debt balance reduction of the exposure related to cases where the collateral was sold for cash or replaced by financial instruments during the period.
347. In case of a sale of collateral for cash, the ‘ Outflow for which cash was collected ’ shall be equal to the sum of ‘ Cash collected net of costs ’ and ‘ Profits/(-) losses from sale of collateral obtained by taking possession ’ . ‘ Cash collected net of costs ’ shall mean the amount of cash received net of transaction costs, such as fees and commissions paid to agents, transfer taxes and duties. ‘ Profits/(-) losses from sale of collateral obtained by taking possession ’ shall mean the difference between the carrying amount of the collateral measured at the date of derecognition and the amount of cash received net of transaction costs. In case of replacement of collateral with financial instruments as described in paragraph 346 of this Part, the carrying amount of the financing granted shall be reported.
348. Collateral obtained by taking possession shall be reported broken down by ‘ vintage ’ of the collateral, i.e. based on the period of time from which the collateral has been recognised in the institution’s balance sheet.
349. In the context of the presentation of collateral obtained by vintage, the ‘ ageing ’ of collateral on the balance sheet, i.e. the migration between the predefined vintage buckets, shall be reported neither as inflow nor as outflow.

33.2. Collateral obtained by taking possession other than collateral classified as Property Plant and Equipment (PP&E) – Type of collateral obtained (25.2)
350. Template 25.2 shall include a breakdown of the collateral obtained by taking possession as defined in paragraphs 341 of this Part, by type of collateral obtained. The template reflects collateral recognised in the balance sheet at the reference date, irrespective of the point in time when it was obtained. In addition, the template provides information on the related ‘ debt balance reduction ’ and ‘ value at initial recognition ’ as defined in paragraphs 343 and 344 of this Part and on the number of collateral obtained by taking possession and recognised in the balance sheet at the reference date.
351. The type of collateral shall be the ones referred to in paragraph 173 of this Part with the exception of those in point (b) (i) of that paragraph.
352. With regard to collateral in the form of immovable property, the following information shall be reported in separate rows:
(a) immovable property that is under construction or development;
(b) with regard to commercial immovable property, collateral in the form of land related to commercial real estate corporations, excluding agricultural land. Separate information on land with and without a planning permission shall be reported in addition.

33.3. Collateral obtained by taking possession classified as Property Plant and Equipment (PP&E) (25.3)
353. In template 25.3, information on collateral obtained by taking possession classified as Property Plant and Equipment (PP&E) shall be reported. In addition, the template shall provide information on the related ‘ debt balance reduction ’ and ‘ value at initial recognition ’ as defined in paragraphs 343 and 344 of this Part.
354. Information shall be provided on the stock of collateral as of the reference date, irrespective of the point in time it was obtained, and the inflows due to new collateral obtained by taking possession during the period between the beginning and the end of the reference period and that remains recognised in the balance sheet at the reference date. With regard to the ‘ debt balance reduction ’ , the ‘ total ’ shall reflect the debt balance reduction related to the collateral as of the reference date and the ‘ inflows due to new collateral obtained by taking possession ’ shall reflect the debt balance reduction related to the collateral that was obtained during the period.

34. FORBEARANCE MANAGEMENT AND QUALITY OF FORBEARANCE (26)
355. Template 26 shall include detailed information on loans and advances classified as forborne in accordance with paragraphs 240 to 268 of this Part, excluding instruments classified as held for sale. Forborne exposures referring to either a modification of the previous terms and conditions or a total or partial refinancing of a troubled debt contract as defined in paragraph 241 of this Part shall be broken-down in more specific types of forbearance measures.
356. The ‘ Number of instruments ’ shall be determined as defined in paragraph 320of this Part.
357. The gross carrying amount of exposures with forbearance measures shall be allocated to a category reflecting the type of forbearance measure. Where multiple forbearance measures have been applied to an exposure, the gross carrying amount of exposures with forbearance measures shall be allocated to the most relevant type of forbearance measure. The latter shall be identified based on the type of forbearance measure which has the highest impact on the Net Present Value (NPV) of the forborne exposure or by using any other methods considered applicable.
358. The types of forbearance measures shall be the following:
(a) grace period/payment moratorium: temporary suspension of repayment obligations with regard to the principal or the interest, with repayments to be resumed at a later point in time;
(b) interest rate reduction: permanent or temporary reduction of the interest rate (fixed or variable) to a fair and sustainable rate;
(c) extension of maturity/term: extension of the maturity of the exposure, entailing a reduction in instalment amounts by spreading the repayments over a longer period;
(d) rescheduled payments: adjustment of the contractual repayment schedule with or without changes to instalment amounts, other than grace periods/payment moratorium, extension of maturity/term and debt forgiveness. That category shall include, among others, capitalisation of arrears and/or accrued interest arrears to the outstanding principal balance for repayment under a sustainable, rescheduled programme; decrease of the amount of principal repayment instalments over a defined period, regardless of whether interests remain to be paid in full or whether they are capitalised or forfeited;
(e) debt forgiveness: partial cancellation of the exposure by the reporting institution through forfeiture of right to legally recover it;
(f) debt asset swaps: partial replacement of exposures in the form of debt instruments with assets or equity;
(g) other forbearance measures, including among others, total or partial refinancing of a troubled debt contract.
359. Where the forbearance measure affects the gross carrying amount of an exposure, the gross carrying amount at the reference date, i.e. after application of the forbearance measure, shall be reported. In the case of refinancing, the gross carrying amount of the new contract ( ‘ refinancing debt ’ ) granted which qualifies as a forbearance measure, as well as the gross carrying amount of the old re-paid contract that is still outstanding shall be reported.
360. The following items shall be reported in separate rows:
(a) Instruments that were subject to forbearance measures at multiple points in time, where:
(i) ‘Loans and advances having been forborne ‘ twice ’ and ‘ more than twice ’ shall mean exposures classified as forborne in accordance with paragraphs 240 to 268 of this Part at the reporting reference date, to which forbearance measures have been applied at two, respectively more than two different points in time. That includes, among others, originally forborne exposures that exited the forborne status (cured forborne exposures), but were granted new forbearance measures after that;
(ii) ‘ Loans and advances to which forbearance measures were granted in addition to already existing forbearance measures ’ shall mean forborne exposures under probation to which forbearance measures were applied in addition to forbearance measures granted at an earlier point in time, without the exposure having cured in between.
(b) Non-performing forborne exposures that failed to meet the non-performing exit criteria. That shall comprise non-performing forborne exposures that failed to meet the conditions for ceasing to be non-performing as described in paragraph 232 of this Part at the end of the probation period of 1 year specified in paragraph 231 (b) of this Part.
361. Exposures to which forbearance measures have been granted since the end of the last financial year shall be reported in separate columns.

35. LOANS AND ADVANCES: AVERAGE DURATION AND RECOVERY PERIODS (47)
362. The information provided in template 47 shall refer to loans and advances, excluding loans and advances classified as held for trading, trading financial assets or held for sale.
363. The ‘ weighted average time since past due date (in years) ’ shall be calculated as the weighted average of the number of days past due of exposures classified as non-performing in accordance with paragraphs 213 to 239 or 260 of this Part at the reference date. Non-performing exposures that are not past due shall be considered as being zero days past due in this calculation. Exposures shall be weighted by the gross carrying amount measured at the reference date. The weighted average time since past due date shall be expressed in years (with decimals).
364. The following information on the results of litigation procedures on non-performing loans and advances concluded during the period shall be reported:
(a) Net cumulated recoveries: This item shall include recoveries resulting from in-court procedures. Recoveries stemming from voluntary agreements shall not be included.
(b) Gross carrying amount reduction: This item shall include the gross-carrying amount of non-performing loans and advances derecognised in response to the conclusion of a litigation procedure. This includes related write-offs.
(c) Average duration of litigation procedures concluded in the period: shall be calculated as the average of the elapsed time between the date of classification of the instrument as ‘ in litigation status ’ in accordance with paragraph 322 of this Part and the date of the finalisation of legal proceedings; it shall be expressed in years (with decimals).

PART 3 MAPPING OF EXPOSURE CLASSES AND COUNTERPARTY SECTORS
1. Tables 2 and 3 map exposure classes to be used to calculate capital requirements in accordance with CRR to counterparty sectors used in FINREP tables.

Table 2
Standardised Approach
ANNEX V Table 2: rows 1 - 18

Table 3
Internal Ratings Based Approach
IRBA exposure classes(CRR Article 147)	FINREP counterparty sectors	Comments
(a) Central governments and central banks	(1) Central banks (2) General governments (3) Credit institutions	These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty
(b) Institutions (i.e. credit institution and investment firms as well as some general governments and multilateral banks)	(2) General governments (3) Credit institutions (4) Other financial corporations	These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty
(c) Corporates	(2) General governments (4) Other financial corporations (5) Non-financial corporations (6) Households	These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty
(d) Retail	(4) Other financial corporations (5) Non-financial corporations (6) Households	These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty
(e) Equity	Equity instruments	In FINREP, equities shall be separated as instruments under different categories of financial assets
(f) Securitisation positions	(2) General governments (3) Credit institutions (4) Other financial corporations (5) Non-financial corporations (6) Households	These exposures shall be assigned to FINREP counterparty sectors according to the underlying risk of the securitisation positions. In FINREP, where securitized positions remain recognised in the balance sheet, the counterparty sectors shall be the sectors of the immediate counterparties of these positions
(g) Other non credit obligations	Various items of the balance sheet	In FINREP, other items may be included under different asset categories.

ANNEX VI REPORTING ON LOSSES STEMMING FROM LENDING COLLATERALISED BY IMMOVABLE PROPERTY
IP LOSSES TEMPLATES			
Template number	Template code	Name of the template /group of templates	Short name
		IP LOSSES	LE
15	C 15.00	Exposures and losses from lending collateralised by immovable property	CR IP LOSSES

C 15.00 — EXPOSURES AND LOSSES FROM LENDING COLLATERALISED BY IMMOVABLE PROPERTY (CR IP LOSSES)
Country:
		Losses				Exposures
		Sum of losses stemming from lending up to the reference percentages		Sum of overall losses		Sum of the exposures
			of which: immovable property valued with mortgage lending value		of which: immovable property valued with mortgage lending value	
Row	column	010	020	030	040	050
	collateralised by:					
010	Residential property					
020	Commercial immovable property					

ANNEX VII INSTRUCTIONS FOR THE REPORTING ON LOSSES STEMMING FROM LENDING COLLATERALISED BY IMMOVABLE PROPERTY
1. This Annex contains additional instructions in relation to the tables included in Annex VI of this Regulation. This Annex complements the instructions in format of references included in the tables in Annex VI.
2. All the general instructions included in Part I of Annex II of this regulation shall also apply.

1. Reporting scope
3. Data specified in Article 101(1) of CRR is subject to reporting by all institutions using immovable property for the purposes of Part Three, Title II of CRR.
4. The template covers all national markets an institution/group of institution is exposed to (see Article 101(1) CRR). According to Article 101(2) sentence 3 the data shall be reported for each property market within the Union separately.

2. Definitions
5. Definition of loss: ‘ Loss ’ means ‘ economic loss ’ as defined in Article 5(2) CRR, including losses stemming from leased property. The recovery flows stemming from other sources (e.g. bank guarantees, life insurance, etc.) shall not be recognised when calculating losses stemming from immovable property. Losses of one position shall not be netted with the profit of a successful recovery of another position.
6. According to the definition of Article 5(2) CRR, for exposures secured by residential and commercial property the calculation of economic loss should start from outstanding exposure value at reporting date and should include at least: (i) proceeds from collateral realisation; (ii) direct costs (including interest rates payments and workouts costs linked to the liquidation of the collateral); and (iii) indirect costs (including operating costs of the workout unit). All components need to be discounted to the reporting reference date.
7. Exposure value: The exposure value follows the rules stipulated in Part Three, Title II of CRR (see Chapter 2 for institutions using the standardised approach, and Chapter 3 for institutions using the IRB approach).
8. Property value: The property value follows the rules stipulated in Part Three, Title II of CRR
9. F/X effect: The reporting currency shall be used with the exchange rate at the reporting date. Moreover, the estimates of the economic losses should consider the F/X effect if the exposure or collateral is denominated in different currency.

3. Geographical breakdown

10. Following the reporting scope, the CR IP Losses reporting shall consist of the following templates:
a) one total template
b) one template for each national market in the Union where the institution is exposed to, and
c) one template aggregating the data for all national markets outside the Union where the institution is exposed to.

4. Reporting of exposures and losses
11. Exposures: All exposures that are treated according to Part Three, Title II of CRR and where the collateral is used to reduce the risk-weighted exposure amount are reported in CR IP Losses. This also means that in case the risk mitigation effect of immovable property is only used for internal purposes (i.e. under Pillar 2) or for large exposures (see Part Four CRR), the exposures and losses concerned must not reported.
12. Losses: The institution which has the exposure by the end of the reporting period shall report the losses. Losses shall be reported as soon as provisions are to be booked according to accounting rules. Also estimated losses should be reported. Loss data shall be collected on a loan-by-loan basis, i.e. aggregation of individual loss data stemming from exposures collateralised by immovable property.

13. Reference date: The exposure value at default should be used for reporting of losses.
a) Losses should be reported for all defaults on loans secured by real estate property that occur during the respective reporting period and irrespective of whether the work out is completed during the period or not. Loss data reported as of 30 June shall refer to the period 1 January until 30 June and loss data reported as of 31 December shall refer to the whole calendar year. Since there may be a long time lag between default and loss realisation, loss estimates (which includes incomplete workout process) shall be reported in cases where the workout has not been completed within the reporting period.
b) For all defaults observed within the reporting period, there are three scenarios: (i.) defaulted loan can be restructured so that it is no longer treated as in default (no loss observed); (ii.) realization of all collateral is completed (completed workout, actual loss known); or (iii.) incomplete workout (loss estimates to be used). Loss reporting shall include only losses stemming from scenario (ii.) realisation of collateral (observed losses) and scenario (iii.) incomplete workout (estimates of losses).
c) As losses shall be reported only for exposures having defaulted during the reporting period, changes to losses of exposures having defaulted during previous reporting periods will not be reflected in the reported data. I.e. proceeds from the realisation of the collateral at a later reporting period or lower realised costs than previously estimated shall not be reported.
14. Role of the valuation of the property: The latest valuation of the property before the default date of the exposure is needed as reference date for reporting the part of exposure secured by mortgages on immovable property. After default, the property might be re-valued. This new value should however not be relevant for identifying the part of the exposure which was originally fully (and completely) secured by the mortgages on immovable property. However the new value of the property shall be considered in economic loss reporting (a reduced property value is part of economic costs). In other words, the latest valuation of the property before the default date shall be used to determine which part of the loss shall be reported in cell 010 (identification of exposure values which is fully and completely secured) and the re-valued property value for the amount to be reported (estimation a possible workout from collateral) in cells 010 and 030.
15. Treatment of loan sales during the reporting period: The institution which has the exposure by the end of the reporting period shall report losses, but only if a default for that exposure was identified.

5. Instructions concerning specific positions
Columns	
010	Sum of losses stemming from lending up to the reference percentages Article 101(1) points a) and point (d) of CRR respectively, Market value and mortgage lending value according to Article 4(74) and (76) of CRR This column collects all losses stemming from lending collateralised by residential property or by commercial immovable property up to the part of exposure treated as fully and completely secured according to Article 124 paragraph 1 of CRR.
020	Of which: immovable property valued with mortgage lending value Reporting of those losses, where the value of the collateral has been calculated as mortgage lending value.
030	Sum of overall losses Article 101(1) point (b) and point (e) CRR respectively Market value and mortgage lending value according to Article 4(74) and (76) of CRR This column collects all losses stemming from lending collateralised by residential property or by commercial immovable property up to the part of exposure treated as fully secured according to Article 124 paragraph 1 of CRR.
040	Of which: immovable property valued with mortgage lending value Reporting of those losses, where the value of the collateral has been calculated as mortgage lending value
050	Sum of the exposures Article 101(1) point (c) and point (f) CRR respectively The value to be reported is only that part of the exposure value which is treated as fully secured by immovable property, i.e. the part that is treated as unsecured is not relevant for the loss reporting. In the event of default, the exposure value reported equals the exposure value directly before default.
Rows	
010	Residential property
020	Commercial immovable property

ANNEX VIII TEMPLATES FOR REPORTING LARGE EXPOSURES AND CONCENTRATION RISK

LARGE EXPOSURES TEMPLATES
Template number	Template code	Name of the template/group of templates	Short name
		LARGE EXPOSURES	LE
26	C 26.00	Large Exposures limits	LE LIMITS
27	C 27.00	Identification of the counterparty	LE 1
28	C 28.00	Exposures in the non-trading and trading book	LE 2
29	C 29.00	Detail of the exposures to individual clients within groups of connected clients	LE 3
30	C 30.00	Maturity buckets of the exposures in the non-trading and trading book	LE 4
31	C 31.00	Maturity buckets of exposures to individual clients within groups of connected clients	LE 5

C 26.00 — Large Exposures limits (LE Limits)
		Applicable limit
		column
		010
row		
010	Non institutions	
020	Institutions	
030	Institutions in %	

C 27.00 — Identification of the counterparty (LE 1)
COUNTERPARTY IDENTIFICATION						
Code	Name	LEI code	Residence of the counterparty	Sector of the counterparty	NACE code	Type of counterparty
010	020	030	040	050	060	070
						

C 28.00 — Exposures in the non-trading and trading book (LE 2)
ANNEX VIII Table 4: rows 1 - 7

C 29.00 — Detail of the exposures to individual clients within groups of connected clients (LE 3)
ANNEX VIII Table 5: rows 1 - 7

C 30.00 — Maturity buckets of the exposures in the non-trading and trading book (LE 4)
ANNEX VIII Table 6: rows 1 - 4

C 31.00 — Maturity buckets of the exposures to individual clients within groups of connected clients (LE 5)
ANNEX VIII Table 7: rows 1 - 4

ANNEX IX INSTRUCTIONS FOR REPORTING LARGE EXPOSURES AND CONCENTRATION RISK
PART I: GENERAL INSTRUCTIONS

1. Structure and conventions

1. The reporting framework on large exposures (‘LE’) shall consist of six templates which include the following information:
(a) large exposures limits;
(b) identification of the counterparty (template LE1);
(c) exposures in the non-trading and trading book (template LE2);
(d) detail of the exposures to individual clients within groups of connected clients (template LE3);
(e) maturity buckets of the ten largest exposures to institutions and the ten largest exposures to unregulated financial sector entities (template LE4);
(f) maturity buckets of the ten largest exposures to institutions and the ten largest exposures to unregulated financial sector entities: detail of the exposures to individual clients within groups of connected clients (template LE5).
2. The instructions include legal references as well as detailed information regarding the data that shall be reported in each template.
3. The instructions and the validation rules follow the labelling convention set in the following paragraphs, when referring to the columns, rows and cells of the templates.
4. The following convention is generally used in the instructions and validation rules: {Template;Row;Column}. An asterisk sign shall be used to express that the validation is done for all the rows reported.
5. In the case of validations within a template, in which only data points of that template are used, notations do not refer to a template: {Row;Column}.
6. ABS(Value): the absolute value without sign. Any amount that increases the exposures shall be reported as a positive figure. On the contrary, any amount that reduces the exposures shall be reported as a negative figure. Where there is a negative sign (-) preceding the label of an item, no positive figure shall be reported for that item.

2. Abbreviations
7. For the purposes of this Annex, Regulation (EU) No 575/2013 is referred to as ‘ CRR ’ .
PART II: TEMPLATE RELATED INSTRUCTIONS In this Annex, instructions relating to the reporting of Large Exposures shall also apply to the reporting of significant exposures required by Articles 9 and 11, in accordance with the scope defined in those Articles.

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

2. Structure of the LE template
8. The columns of the template LE1 shall present the information related to the identification of individual clients or groups of connected clients to which an institution has an exposure.

9. The columns of the templates LE2 and LE3 shall present the following blocks of information:
(a) the exposure value before application of exemptions and before taking into account the effect of the credit risk mitigation, including the direct, indirect exposure and additional exposures arising from transactions where there is an exposure to underlying assets;
(b) the effect of the exemptions and of the credit risk mitigation techniques;
(c) the exposure value after application of exemptions and after taking into account the effect of the credit risk mitigation calculated for the purpose of Article 395(1) of CRR.
10. The columns of the templates LE4 and LE5 shall present the information regarding the maturity buckets to which the expected maturing amounts of the ten largest exposures to institutions as well as the ten largest exposures to unregulated financial sector entities shall be allocated.

3. Definitions and general instructions for the purposes of the LE reporting
11. ‘ Group of connected clients ’ is defined in Article 4(1)(39) of CRR.
12. ‘ Unregulated financial sector entities ’ are defined in Article 142(1)(5) of CRR.
13. ‘ Institutions ’ is defined in Article 4(1)(3) of CRR
14. Exposures to ‘ civil-law associations ’ shall be reported. In addition, institutions shall add the credit amounts of the civil-law association to the indebtedness of each partner. Exposures towards civil law associations featuring quotas shall be divided or allocated to the partners according to their respective quotas. Certain constructions (e.g. joint accounts, communities of heirs, straw-man loans) working in fact civil law associations have to be reported just like them.
15. Assets and off balance sheet items shall be used without risk weights or degrees of risk in accordance to Article 389 of CRR. Specifically, credit conversion factors shall not be applied to off balance sheet items.

16. ‘Exposures’ are defined in Article 389 of CRR.
(a) any asset or off-balance sheet items in the non-trading and trading book including items set out in Article 400 of CRR, but excluding items which fall under effect of points (a) to (d) of Article 390(6) of CRR.
(b) ‘indirect exposures’ are those exposures allocated to the guarantor or to the issuer of the collateral rather than to the immediate borrower in accordance with Article 403 of CRR. The definitions here may not differ in any possible respect from the definitions provided in the basic act. ]
17. The exposures to groups of connected clients shall be calculated in accordance with Article 390(5).
18. The ‘ netting agreements ’ shall be allowed to be taken into account to the effects of large exposures exposure value as laid down in Article 390(1), (2) and (3) of CRR. The exposure value of a derivative instrument listed in Annex II of CRR shall be determined in accordance with Part Three, Title II, Chapter 6, of CRR with the effects of contracts of novation and other netting agreements taken into account for the purposes of those methods in accordance with Part Three, Title II, Chapter 6, of CRR. The exposure value of repurchase transaction, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions may be determined either in accordance with Part Three, Title II, Chapter 4 or Chapter 6, of CRR. In accordance with Article 296 of CRR, the exposure value of a single legal obligation arising from the contractual cross-product netting agreement with a counterparty of the reporting institution shall be reported as ‘ other commitments ’ in the LE templates.
19. The ‘ value of an exposure ’ shall be calculated according to Article 390 of CRR.
20. The effect of the full or partial application of exemptions and eligible credit risk mitigation (CRM) techniques for the purposes of calculating of exposures for the purpose of Article 395(1) CRR is described in Articles 399 to 403 of CRR.
21. Reverse repurchase agreements which fall under the reporting for large exposures shall be reported according to Article 402(3) of CRR. Provided that the criteria in Article 402(3) of CRR are met the institution shall report the large exposures to each third party for the amount of the claim that the counterparty to the transaction has on this third party and not for the amount of the exposure to the counterparty.

4. C 26.00 — LE Limits template

4.1. Instructions concerning specific rows
Rows	Legal references and instructions
010	Non institutions Articles 395(1), 458(2)(d)(ii), 458(10) and 459(b) of CRR. The amount of the applicable limit for counterparties other than institutions shall be reported. This amount is 25 % of the eligible capital, which is reported in row 226 of template 4 of Annex I, unless a more restrictive percentage applies due to the application of national measures in accordance with Article 458 of CRR or the delegated acts adopted in accordance with Article 459(b) of CRR.
020	Institutions Articles 395(1), 458(2)(d)(ii), 458(10) and 459(b) of CRR. The amount of the applicable limit for counterparties which are institutions shall be reported. According to Article 395(1) of CRR, this amount shall be the following: if the 25 % of the eligible capital is greater than EUR 150 million (or a lower limit than EUR 150 million set out by the competent authority in accordance with the third paragraph of Article 395(1) of CRR, 25 % of the eligible capital shall be reported; if EUR 150 million (or a lower limit set out by the competent authority in accordance with the third paragraph of Article 395(1) of CRR is greater than 25 % of the institution’s eligible capital, EUR 150 million (or the lower limit if set out by the competent authority) shall be reported. If the institution has determined a lower limit in terms of its eligible capital, required by the second subparagraph of Article 395(1) of CRR, that limit shall be reported. These limits may be stricter in case of application of national measures in accordance with Article 395(6) or Article 458 of CRR or the delegated acts adopted in accordance with Article 459(b) of CRR.
030	Institutions in % Articles 395(1) and 459(a) of CRR. The amount that shall be reported is the absolute limit (reported in row 020) expressed as a percentage of the eligible capital.

5. C 27.00 — Identification of the counterparty (LE1)

5.1. Instructions concerning specific columns
Column	Legal references and instructions
010-070	Counterparty Identification: Institutions shall report the identification of any counterparty for which information is being submitted in any of the templates C 28.00 to C 31.00. The identification of the group of connected clients shall not be reported, unless the national reporting system provides a unique code for the group of connected clients. According to Article 394(1)(a) of CRR, institutions shall report the identification of the counterparty to which they have a large exposure as defined in Article 392 of CRR. According to Article 394(2)(a) of CRR, institutions shall report the identification of the counterparty to which they have the largest exposures (in the cases where the counterparty is an institution or an unregulated financial sector entity).
010	Code The code is a row identifier, and must be unique for each row in the table. The code shall be used to identify the individual counterparty. However, the purpose of this column is to link counterparty details in C 27.00 with exposures reported in C 28.00 – C 31.00. The code of the group of connected clients shall not be reported, unless the national reporting system provides a unique code for the group of connected clients. The codes shall be used in a consistent way across time. The composition of the code depends on the national reporting system, unless a uniform codification is available in the Union.
020	Name The name shall correspond to the name of the group whenever a group of connected clients is reported. In any other case, the name shall correspond to the individual counterparty. For a group of connected clients, the name that shall be reported shall be the name of the parent company or, when the group of connected clients does not have a parent, it shall be the group’s commercial name.
030	LEI Code The legal entity identifier code of the counterparty.
040	Residence of the counterparty The ISO code 3166-1-alpha-2 of the country of incorporation of the counterparty shall be used (including pseudo-ISO codes for international organisations, available in the last edition of the Eurostat’s ‘ Balance of Payments Vademecum ’ ) For groups of connected clients, no residence shall be reported.
050	Sector of the counterparty One sector shall be allocated to every counterparty on the basis of FINREP economic sector classes: (i) Central Banks; (ii) General Governments; (iii) Credit institutions; (iv) investment firms as defined in Article 4(1)(2) CRR; (v) Other financial corporations (excluding investment firms); (vi) Non-financial corporations; (vii) Households. For groups of connected clients, no sector shall be reported.
060	NACE code For the economic sector, the NACE codes (Nomenclature statistique des activités économiques dans l’Union européenne = Statistical Classification of Economic Activities in the European Union) shall be used. This column shall apply only for the counterparties ‘ Other financial corporations ’ and ‘ Non-financial corporations ’ . NACE codes shall be used for ‘ Non-financial corporations ’ with one level detail (e.g. ‘ F – Construction ’ ) and for ‘ Other financial corporations ’ with a two level detail, which provides separate information on insurance activities (e.g. ‘ K65 — Insurance, reinsurance and pension funding, except compulsory social security ’ ).’ The ‘ Other financial corporations ’ and ‘ Non-financial corporations ’ economic sectors shall be classified on the basis of FINREP counterparty breakdown. For groups of connected clients, no NACE code shall be reported.
070	Type of counterparty Article 394(2) of CRR The type of the counterparty of the ten largest exposures to institutions and the ten largest exposures to unregulated financial sector entities shall be specified by using ‘ I ’ for institutions or ‘ U ’ for unregulated financial sector entities.

6. C 28.00 — Exposures in the non-trading and trading book (LE2)

6.1. Instructions concerning specific columns

ANNEX IX Table 3: rows 1 - 46

7. C 29.00 — Details of the exposures to individual clients within groups of connected clients (LE3)

7.1. Instructions concerning specific columns
Column	Legal references and instructions
010-360	The institution shall report in template LE3 the data of the individual clients belonging to the groups of connected clients included in the rows of template LE2.
010	Code Columns 010 and 020 are a composite row identifier, and together must be unique for each row in the table. The code of the individual counterparty belonging to the groups of connected clients shall be reported.
020	Group code Columns 010 and 020 are a composite row identifier, and together must be unique for each row in the table. If a unique code for a group of connected clients is available at national level, this code shall be reported. Where there is no unique code at the national level, the code that shall be reported shall be the code used for reporting exposures to the Group of Connected clients in C 28.00 (LE2). Where a client belongs to several groups of connected clients, it shall be reported as a member of all the groups of connected clients.
030	Transactions where there is an exposure to underlying assets See column 030 of template LE2.
040	Type of connection The type of connection between the individual entity and the group of connected clients shall be specified by using either: ‘ a ’ within the meaning of Article 4(1)(39)(a) of CRR (control); or ‘ b ’ within the meaning of Article 4(1)(39)(b) of CRR (interconnectedness).
050-360	When financial instruments in template LE2 are provided to the whole group of connected clients they shall be allocated to the individual counterparties in template LE3 in accordance with the business criteria of the institution. The remaining instructions are the same as for template LE2.

8. C 30.00 — Maturity buckets of the ten largest exposures to institutions and the ten largest exposures to unregulated financial sector entities (template LE 4)

8.1. Instructions concerning specific columns
Column	Legal references and instructions
010	Code The code is a row identifier and must be unique for each row in the table. See column 010 of template LE1.
020-250	Maturity buckets of the exposure Article 394(2)(e) of CRR The institution shall report this information for the ten largest exposures to institutions and the ten largest exposures to unregulated financial sector entities. The maturity buckets are defined with a monthly interval up to one year, with a quarterly interval from one year up to three years and with larger intervals from three years onwards. Each exposure value before application of exemptions and CRM (column 210 of LE2 template) shall be reported with the whole outstanding amount in the respective maturity bucket of its expected residual maturity. In case of several separate relationships constituting an exposure to a client, each of these parts of the exposure shall be reported with the whole outstanding amount in the respective maturity bucket of its expected residual maturity. Instruments which do not have a fixed maturity, like equity, shall be included in the column ‘ undefined maturity ’ . The expected maturity of the exposure shall be reported for both direct and indirect exposures. For direct exposures, when allocating expected amounts of debt instruments and derivatives into the different maturity buckets of this template, the instructions of the maturity ladder template of the additional metrics on liquidity shall be used (see Annex XXIII to this Regulation). In the case of off-balance sheet items, the maturity of the underlying risk shall be used in the allocation of expected amounts to maturity buckets. More specifically, for forward deposits that means the maturity structure of the deposit; for financial guarantees, the maturity structure of the underlying financial asset; for undrawn facilities of loan commitments, the maturity structure of the loan; and for other commitments, the maturing structure of the commitment. In the case of indirect exposures, the allocation into maturity buckets shall be based on the maturity of the guaranteed operations which generate the direct exposure. In case an exposure or a part of an exposure is to be regarded as defaulted and is reported as such in template C 28.00 (LE 2, column 050) and C 29.00 (LE 3, column 060), the expected run-off of the defaulted exposure must be allocated to the respective maturity buckets as follows: When the reporting entity, in spite of the default, has a clear calendar of expected repayments of the exposure, it shall allocate them into the respective buckets accordingly. When the reporting entity does not have a reasoned view of when defaulted amounts will be repaid (if ever), it shall allocate them into the category ‘ undefined maturity ’ .

9. C 31.00 — Maturity buckets of the ten largest exposures to institutions and the ten largest exposures to unregulated financial sector entities: detail of the exposures to individual clients within groups of connected clients (template LE5)

9.1. Instructions concerning specific columns
Column	Legal references and instructions
010-260	The institution shall report in template LE5 the data of the individual counterparties belonging to the groups of connected clients included in the rows of template LE4.
010	Code Columns 010 and 020 are a composite row identifier and together must be unique for each row in the table. See column 010 of template LE3.
020	Group code Columns 010 and 020 are a composite row identifier and together must be unique for each row in the table. See column 020 of template LE3.
030-260	Maturity buckets of the exposures See columns 020-250 of template LE4.

ANNEX X REPORTING ON LEVERAGE
LEVERAGE RATIO REPORTING TEMPLATES			
Template code	Template code	Name of the template	Short name
47	C 47.00	Leverage ratio calculation	LRCalc
40	C 40.00	Alternative treatment of the exposure measure	LR1
41	C 41.00	On- and Off-Balance Sheet items — Additional breakdown of exposures	LR2
42	C 42.00	Alternative definition of capital	LR3
43	C 43.00	Alternative breakdown of leverage ratio exposure measure components	LR4
44	C 44.00	General information	LR5

C 40.00 — ALTERNATIVE TREATMENT OF THE EXPOSURE MEASURE (LR1)
ANNEX X Table 2: rows 1 - 28

C 41.00 — ON- AND OFF-BALANCE SHEET ITEMS — ADDITIONAL BREAKDOWN OF EXPOSURES (LR2)
ANNEX X Table 3: rows 1 - 14

C 42.00 — ALTERNATIVE DEFINITION OF CAPITAL (LR3)
Row		Column
		010
010	Common Equity Tier 1 capital — fully phased-in definition	
020	Common Equity Tier 1 capital — transitional definition	
030	Total own funds — fully phased-in definition	
040	Total own funds — transitional definition	
055	Asset amount deducted — from CET1 items — fully phased-in definition	
065	Asset amount deducted — from CET1 items — transitional definition	
075	Asset amount deducted — from own funds items — fully phased-in definition	
085	Asset amount deducted — from own funds items — transitional definition	

C 43.00 — ALTERNATIVE BREAKDOWN OF LEVERAGE RATIO EXPOSURE MEASURE COMPONENTS (LR4)
ANNEX X Table 5: rows 1 - 40

C 44.00 — GENERAL INFORMATION (LR5)
Row		Column
		010
010	Institution's company structure	
020	Derivatives treatment	
040	Institution type	

C 47.00 — LEVERAGE RATIO CALCULATION (LRCalc)
ANNEX X Table 7: rows 1 - 39

ANNEX XI REPORTING ON LEVERAGE
PART I: GENERAL INSTRUCTIONS

1. Template labelling and other conventions

1.1. Template labelling
1. This Annex contains additional instructions for the templates (hereinafter ‘ LR ’ ) included in Annex X of this Regulation.

2. Overall, the framework consists of six templates:
C47.00: Leverage Ratio Calculation (LRCalc): Leverage ratio calculation;
C40.00: Leverage Ratio Template 1 (LR1): Alternative treatment of the exposure measure;
C41.00: Leverage Ratio Template 2 (LR2): On and off-balance sheet items – additional breakdown of exposures;
C42.00: Leverage Ratio Template 3 (LR3): Alternative definition of capital;
C43.00: Leverage Ratio Template 4 (LR4): Breakdown of leverage ratio exposure measure components; and
C44.00: Leverage Ratio Template 5 (LR5): General information.
3. For each template legal references are provided as well as further detailed information regarding more general aspects of the reporting.

1.2. Numbering convention
4. The document will follow the labelling convention set in the following paragraphs, 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}. An asterisk sign will be used to refer to the whole row or column.
6. In the case of validations within a template, where only data points from that template are used, notations will not refer to a template: {Row;Column}.
7. For the purpose of the reporting on leverage, ‘ of which ’ refers to an item that is a subset of a higher level exposure category whereas ‘ memo item ’ refers to a separate item that is not a subset of an exposure class. Reporting of both types of cells is mandatory unless otherwise specified.

1.3. Abbreviations

8. For the purposes of this annex and related templates the following abbreviations are used:
a. CRR, which is an abbreviation of Capital Requirements Regulation and shall mean Regulation (EU) No 575/2013;
b. SFT, which is an abbreviation of Securities Financing Transaction and shall mean ‘ repurchase transaction, securities or commodities lending or borrowing transaction, long settlement transaction and margin lending transaction ’ as referred to in Regulation (EU) No 575/2013;
c. CRM, which is an abbreviation for Credit Risk Mitigation.

1.4. Sign convention
9. All amounts shall be reported as positive figures. An exception are the amounts reported in {LRCalc;050;010}, {LRCalc;070;010}, {LRCalc;080;010}, {LRCalc;100;010}, {LRCalc;120;010}, {LRCalc;140;010}, {LRCalc;210;010}, {LRCalc;220;010}, {LRCalc;240;010}, {LRCalc;250;010}, {LRCalc;260;010}, {LRCalc;310;010}, {LRCalc;320;010}, {LRCalc;270;010}, {LRCalc;280;010}, {LRCalc;330;010}, {LRCalc;340;010}, {LR3;010;010}, {LR3;020;010}, {LR3;030;010}, {LR3;040;010}, {LR3;055;010}, {LR3;065;010}, {LR3;075;010} and {LR3;085;010}. Thereby note that {LRCalc;050;010}, {LRCalc;070;010}, {LRCalc;080;010}, {LRCalc;100;010}, {LRCalc;120;010}, {LRCalc;140;010}, {LRCalc;210;010}, {LRCalc;220;010}, {LRCalc;240;010}, {LRCalc;250;010}, {LRCalc;260;010}, {LRCalc;270;010}, {LRCalc;280;010}, {LR3;055;010}, {LR3;065;010}, {LR3;075;010} and {LR3;085;010} only take negative values. Also note that, apart from extreme cases, {LRCalc;310;010}, {LRCalc;320;010}, {LRCalc;330;010}, {LRCalc;340;010}, {LR3;010;010}, {LR3;020;010}, {LR3;030;010} and {LR3;040;010} only take positive values.
PART II: TEMPLATE RELATED INSTRUCTIONS

1. Structure and frequency
1. The leverage ratio template is divided into two parts. Part A comprises all the data items that enter into the calculation of the leverage ratio that institutions shall submit to competent authorities in accordance with the first subparagraph of Article 430(1) of the CRR, while Part B comprises all the data items that institutions shall submit in accordance with the second subparagraph of Article 430(1) of the CRR (i.e. for the purposes of the report referred to in Article 511 of the CRR).
2. When compiling the data for this ITS, institutions shall consider the treatment of fiduciary assets in accordance with Article 429(13) of the CRR.

2. Formulas for leverage ratio calculation
3. The leverage ratio is based on a capital measure and a total exposure measure, which can be calculated with cells from Part A.
4. Leverage Ratio – fully phased-in definition = {LRCalc;310;010}/{LRCalc;290;010}.
5. Leverage Ratio – transitional definition = {LRCalc;320;010}/{LRCalc;300;010}.

3. Materiality thresholds for derivatives
6. In order to reduce the reporting burden for institutions with limited exposures in derivatives, the following measures are used to gauge the relative importance of derivatives exposures to the total exposure of the leverage ratio. Institutions shall calculate these measures as follows:
7. Derivatives share=LRCalc;060;010+LRCalc;070;010+LRCalc;080;010+LRCalc;090;010+LRCalc;100;010+LRCalc;110;010+LRCalc;120;010+LRCalc;130;010+LRCalc;140;010Total exposure measure
.
8. Where total exposure measure is equal to: {LRCalc;290;010}.
9. Total notional value referenced by derivatives = {LR1; 010;070}. This is a cell that institutions shall always report.
10. Credit derivatives volume = {LR1;020;070} + {LR1;050;070}. These are cells that institutions shall always report.

11. Institutions are required to report the cells referred to in paragraph 14 in the next reporting period, if any of the following conditions is met:
the derivatives share referred to in paragraph 7 is more than 1,5 % on two consecutive reporting reference dates;
the derivatives share referred to in paragraph 7 exceeds 2,0 %.
12. Institutions for which the total notional value referenced by derivatives as defined in paragraph 9 exceeds 10 billion EUR shall report the cells referred to in paragraph 14, even though their derivatives share does not fulfil the conditions described in paragraph 11.

13. Institutions are required to report the cells referred to in paragraph 15 if any of the following conditions is met:
the credit derivatives volume referred to in paragraph 10 is more than 300 million EUR on two consecutive reporting reference dates;
the credit derivatives volume referred to in paragraph 10 exceeds 500 million EUR.
14. The cells which are required to be reported by institutions in accordance with paragraph 11 are the following: {LR1;010;010}, {LR1;010;020}, {LR1;010;050}, {LR1;020;010}, {LR1;020;020}, {LR1;020;050}, {LR1;030;050}, {LR1;030;070}, {LR1;040;050}, {LR1;040;070}, {LR1;050;010}, {LR1;050;020}, {LR1;050;050}, {LR1;060;010}, {LR1;060;020}, {LR1;060;050} and {LR1;060;070}.
15. The cells which are required to be reported by institutions in accordance with paragraph 13 are the following: {LR1;020;075}, {LR1;050;075} and {LR1;050;085}.

4. C 47.00 – Leverage ratio calculation (LRCalc)
16. This part of the reporting template collects the data that are needed to calculate the leverage ratio as defined in Articles 429, 429a and 429b of the CRR.
17. Institutions shall perform the reporting of the leverage ratio quarterly. In each quarter, the value ‘ at reporting reference date ’ shall be the value at the last calendar day of the third month of the respective quarter.
18. Institutions shall report {010;010} to {030;010}, {060;010}, {090;010}, {110;010}, and {150;010} to {190;010} as if the exemptions referred to in {050;010}, {080;010}, {100;010}, {120;010}, and {220;010} did not apply.
19. Institutions shall report {010;010} to {240;010} as if the exemptions referred to in {250;010} and {260;010} did not apply.

20. Any amount that increases the own funds or the leverage ratio exposure shall be reported as a positive figure. On the contrary, any amount that reduces the total own funds or the leverage ratio exposure 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.

ANNEX XI Table 1: rows 1 - 38

5. C 40.00 – Alternative treatment of the Exposure Measure (LR1)
21. This part of the reporting collects data on an alternative treatment of derivatives, SFTs and off-balance sheet items.
22. Institutions shall determine the ‘ accounting balance sheet values ’ in LR1 based on the applicable accounting framework in accordance with Article 4(1)(77) of the CRR. ‘ Accounting value assuming no netting or other CRM ’ refers to the accounting balance sheet value not taking into account any effects of netting or other credit risk mitigation.

23. Apart from {250;120} and {260;120}, institutions shall report LR1 as if the exemptions referred to in LRCalc cells {050;010}, {080;010}, {100;010}, {120;010}, {220;010}, {250;010} and {260;010} did not apply.

ANNEX XI Table 2: rows 1 - 48

6. C 41.00 – On- and off-balance sheet items – additional breakdown of exposures (LR2)
24. Template LR2 provides information on additional breakdown items of all on- and off-balance sheet exposures belonging to the non-trading book and of all exposures of the trading book subject to counterparty credit risk. The breakdown is in accordance with the risk weights applied under the credit risk section of the CRR. The information is derived differently for exposures under respectively the Standardised and the IRB Approach.
This includes securitisations and equity exposures subject to credit risk
25. For exposures supported by CRM techniques implying the substitution of the risk weighting of the counterparty with the risk weighting of the guarantee, institutions shall refer to the risk weight after the substitution effect. Under the IRB Approach, institutions shall proceed with the following calculation: for exposures (other than those for which specific regulatory risk weights are provided for) belonging to each obligor grade, the risk weight shall be derived by dividing the risk weighted exposure obtained from the risk weight formula or the supervisory formula (for credit risk and securitisations exposures, respectively) by the exposure value after taking into account inflows and outflows due to CRM techniques with substitution effect on the exposure. Under the IRB Approach, exposures classified as in default shall be excluded from {020;010} to {090;010} and included in {100;010}. Under the Standardised Approach, exposures falling under Article 112(j) of the CRR shall be excluded from {020;020} to {090;020} and included in {100;020}.

26. Under both approaches, institutions shall consider exposures deducted from the regulatory capital as being applied a 1 250 % risk weight.
Row	Legal references and instructions
010	Total on- and off-balance sheet exposures belonging to the non-trading book as well as exposures of the trading book subject to counterparty credit risk (breakdown in accordance with the risk weight): This is the sum of {020:*} to {100;*}.
020	= 0 % Exposures with a 0 % risk weight.
030	> 0 % and ≤ 12 % Exposures with a risk weight included within a range of risk weights strictly greater than 0 % and smaller than or equal to 12 %.
040	> 12 % and ≤ 20 % Exposures with a risk weight included within a range of risk weights strictly greater than 12 % and smaller than or equal to 20 %.
050	> 20 % and ≤ 50 % Exposures with a risk weight included within a range of risk weights strictly greater than 20 % and smaller than or equal to 50 %.
060	> 50 % and ≤ 75 % Exposures with a risk weight included within a range of risk weights strictly greater than 50 % and smaller than or equal to 75 %.
070	> 75 % and ≤ 100 % Exposures with a risk weight included within a range of risk weights strictly greater than 75 % and smaller than or equal to 100 %.
080	> 100 % and ≤ 425 % Exposures with a risk weight included within a range of risk weights strictly greater than 100 % and smaller than or equal to 425 %.
090	> 425 % and ≤  1250  % Exposures with a risk weight included within a range of risk weights strictly greater than 425 % and smaller than or equal to 1250  %.
100	Exposures in default Under the Standardised Approach, exposures falling under Article 112(j) of the CRR. Under the IRB approach, all exposures with a PD of 100 % are exposures in default.
110	(memo item) Low-risk off-balance sheet items or off-balance sheet items attracting a 0 % conversion factor under the solvency ratio Low risk off-balance sheet items in accordance with Article 111 of the CRR and off-balance sheet items attracting a 0 % conversion factor in accordance with Article 166 of the CRR.
Column	Legal references and instructions
010	On- and off-balance sheet exposures (SA exposures) On- and off-balance sheet exposure values after taking into account value adjustments, all CRM and credit conversion factors, as calculated under Title II, Chapter 2, Part Three of the CRR.
020	On and off-balance sheet exposures (IRB exposures) On- and off-balance sheet exposures values in accordance with Article 166 of the CRR and the first sentence of the second subparagraph of Article 230(1) of the CRR, after taking into account outflows and inflows due to CRM techniques with substitution effects on the exposure. For off-balance sheet items, institutions shall apply the conversion factors as defined in Article 166(8) to (10) of the CRR.
030	Nominal value Exposure values of off-balance sheet items as defined in Articles 111 and 166 of the CRR without the application of conversion factors.

7. C 42.00 – Alternative definition of capital (LR3)

27. Template LR3 provides information on the capital measures needed for the review of Article 511 of the CRR.
Rowand column	Legal references and instructions
{010;010}	Common Equity Tier 1 capital – fully phased-in definition Article 50 of the CRR This is the amount of CET1 capital as defined in Article 50 of the CRR, without taking into account the derogation laid down in Chapters 1 and 2 of Part Ten of the CRR.
{020;010}	Common Equity Tier 1 capital – transitional definition Article 50 of the CRR This is the amount of CET1 capital as calculated defined in Article 50 of the CRR, after taking into account the derogation laid down in Chapters 1 and 2 of Part Ten of the CRR.
{030;010}	Total own funds – fully phased-in definition Article 72 of the CRR This is the amount of own funds as defined in Article 72 of the CRR, without taking into account the derogation laid down in Chapters 1 and 2 of Part Ten of the CRR.
{040;010}	Total own funds – transitional definition Article 72 of the CRR This is the amount of own fund as defined in Article 72 of the CRR, after taking into account the derogation laid down in Chapters 1 and 2 of Part Ten of the CRR.
{055;010}	Asset amount deducted – from CET1 items – fully phased-in definition It includes the amount of regulatory adjustments to CET1 items that adjust the value of an asset and which are required by: Articles 32 to 35 of the CRR, or Articles 36 to 47 of the CRR, as applicable Institutions shall take into account the exemptions, alternatives and waivers to such deductions laid down in Articles 48, 49 and 79 of the CRR, without taking into account the derogation laid down in Chapters 1 and 2 of Part Ten of the CRR. To avoid double counting, institutions shall not report adjustments already applied pursuant to Article 111 of the CRR when calculating the exposure value in {LRCalc;10;10} to {LRCalc;260;10}, nor shall they report any adjustment that does not deduct the value of a specific asset. As these adjustments reduce the total own funds, they shall be reported as a negative figure.
{065;010}	Asset amount deducted – from CET1 items – transitional definition It includes the amount of regulatory adjustments from CET1 that adjust the value of an asset and which are required by: Articles 32 to 35 of the CRR, or Articles 36 to 47 of the CRR, as applicable. Institutions shall take into account the exemptions, alternatives and waivers to such deductions laid down in Articles 48, 49 and 79 of the CRR, in addition taking into account the derogation laid down in Chapters 1 and 2 of Part Ten of the CRR. To avoid double counting, institutions shall not report adjustments already applied pursuant to Article 111 of the CRR when calculating the exposure value in {LRCalc;10;10} to {LRCalc;260;10}, nor shall they report any adjustment that does not deduct the value of a specific asset. As these adjustments reduce the total own funds, they shall be reported as a negative figure.
{075;010}	Asset amount deducted – from own funds items – fully phased-in definition It includes the amount of regulatory adjustments from own funds items that adjust the value of an asset and which are required by: Articles 32 to 35 of the CRR, or Articles 36 to 47 of the CRR, or Articles 56 to 60 of the CRR, or Articles 66 to 70 of the CRR, as applicable. Institutions shall take into account the exemptions, alternatives and waivers to such deductions laid down in Articles 48, 49 and 79 of the CRR, without taking into account the derogation laid down in Chapters 1 and 2 of Part Ten of the CRR. To avoid double counting, institutions shall not report adjustments already applied pursuant to Article 111 of the CRR when calculating the exposure value in rows {LRCalc;10;10} to {LRCalc;260;10}, nor shall they report any adjustment that does not deduct the value of a specific asset. As these adjustments reduce the total own funds, they shall be reported as a negative figure.
{085,010}	Asset amount deducted – from own funds items – transitional definition It includes the amount of regulatory adjustments from own funds items that adjust the value of an asset and which are required by: Articles 32 to 35 of the CRR, or Articles 36 to 47 of the CRR, or Articles 56 to 60 of the CRR, or Articles 66 to 70 of the CRR, as applicable. Institutions shall take into account the exemptions, alternatives and waivers to such deductions laid down in Articles 48, 49 and 79 of the CRR, in addition taking into account the derogation laid down in Chapters 1 and 2 of Part Ten of the CRR. To avoid double counting, institutions shall not report adjustments already applied pursuant to Article 111 of the CRR when calculating the exposure value in {LRCalc;10;10} to {LRCalc;260;10}, nor shall they report any adjustment that does not deduct the value of a specific asset. As these adjustments reduce the total own funds, they shall be reported as a negative figure.

8. C 43.00 – Alternative breakdown of leverage ratio exposure measure components (LR4)
28. Institutions shall report the leverage ratio exposure values in LR4 after the application of exemptions, as applicable, referred to in the following LRCalc cells: {050;010}, {080;010}, {100;010}, {120;010}, {220; 010}, {250;010} and {260;010}.
29. In order to avoid double-counting, institutions shall uphold the equation referred to in the following paragraph:

30. The equation that institutions shall uphold according to paragraph 29 is: [{LRCalc;010;010} + {LRCalc;020;010} + {LRCalc;030;010} + {LRCalc;040;010} + {LRCalc;050;010} + {LRCalc;060;010} + {LRCalc;070;010} + {LRCalc;080;010} + {LRCalc;090;010} + {LRCalc;100;010} + {LRCalc;110;010} + {LRCalc;120;010} + {LRCalc;130;010} + {LRCalc;140;010} + {LRCalc;150;010} + {LRCalc;160;010} + {LRCalc;170;010} + {LRCalc;180;010} + {LRCalc;190;010} + {LRCalc;200;010} + {LRCalc;210;010} + {LRCalc;220;010} + {LRCalc;230;010} + {LRCalc;240;010} + {LRCalc;250;010} + {LRCalc;260;010}] = [{LR4;010;010} + {LR4;040;010} + {LR4;050;010} + {LR4;060;010} + {LR4;065;010} + {LR4;070;010} + {LR4;080;010} + {LR4;080;020} + {LR4;090;010} + {LR4;090;020} + {LR4;140;010} + {LR4;140;020} + {LR4;180;010} + {LR4;180;020} + {LR4;190;010} + {LR4;190;020} + {LR4;210;010} + {LR4;210;020} + {LR4;230;010} + {LR4;230;020} + {LR4;280;010} + {LR4;280;020} + {LR4;290;010} + {LR4;290;020}].

ANNEX XI Table 5: rows 1 - 116

9. C 44.00 – General information (LR5)

31. Additional information is collected here for the purpose of categorising the institution activities and the regulatory options chosen by the institution.
Rowand column	Instructions
{010;010}	Institution’s company structure The institution shall classify its company structure in accordance with the categories given below: Joint stock company; Mutual/cooperative; Other non-joint stock company.
{020;010}	Derivatives treatment The institution shall specify the regulatory derivatives treatment in accordance with the categories given below: Original exposure method; Mark-to-market method.
{040;010}	Institution type The institution shall classify its institution type in accordance with the categories given below: Universal banking (retail/commercial and investment banking); Retail/commercial banking; Investment banking; Specialised lender Other business model.

ANNEX XII REPORTING ON LIQUIDITY
LIQUIDITY TEMPLATES		
Template number	Template code	Name of the template/group of templates
LIQUIDITY COVERAGE TEMPLATES		
		PART I — LIQUID ASSETS
51	C 51.00	LIQUIDITY COVERAGE — LIQUID ASSETS
		PART II — OUTFLOWS
52	C 52.00	LIQUIDITY COVERAGE — OUTFLOWS
		PART III — INFLOWS
53	C 53.00	LIQUIDITY COVERAGE — INFLOWS
		PART IV — COLLATERAL SWAPS
54	C 54.00	LIQUIDITY COVERAGE — COLLATERAL SWAPS
STABLE FUNDING TEMPLATES		
		PART V — STABLE FUNDING
60	C 60.00	STABLE FUNDING — ITEMS REQUIRING STABLE FUNDING
61	C 61.00	STABLE FUNDING — ITEMS PROVIDING STABLE FUNDING

C 51.00 — LIQUIDITY COVERAGE — LIQUID ASSETS
ANNEX XII Table 2: rows 1 - 123

C 52.00 — LIQUIDITY COVERAGE — OUTFLOWS
ANNEX XII Table 3: rows 1 - 188

C 53.00 — LIQUIDITY COVERAGE — INFLOWS
ANNEX XII Table 4: rows 1 - 140

C 54.00 — LIQUIDITY COVERAGE — COLLATERAL SWAPS
ANNEX XII Table 5: rows 1 - 12

C 60.00 — STABLE FUNDING — ITEMS REQUIRING STABLE FUNDING
ANNEX XII Table 6: rows 1 - 183

C 61.00 — STABLE FUNDING — ITEMS PROVIDING STABLE FUNDING
ANNEX XII Table 7: rows 1 - 38
ANNEX XIII

REPORTING ON LIQUIDITY (PART 1 of 5: LIQUID ASSETS)

1. Liquid assets

1.1. General remarks
1. This is a summary template which contains information about assets for the purpose of monitoring the liquidity coverage requirement as specified in Article 412 REGULATION (EU) NO 575/2013. Items which do not need to be completed by institutions are colored grey.
2. Assets shall be reported in one of six sections in this template:
3. Assets which meet the requirements of Article 416 and Article 417: assets identified as liquid for reporting purposes in the REGULATION (EU) NO 575/2013, which meet the operational requirements for holdings of liquid assets.
4. Assets which meet the requirements of Article 416 (1) (b) and (d) but do not meet the requirements of Article 417 (b) and (c) REGULATION (EU) NO 575/2013.
5. Items subject to supplementary reporting of liquid assets according to Annex III REGULATION (EU) NO 575/2013
6. Assets which do not meet the requirements of Article 416 REGULATION (EU) NO 575/2013 but meet the requirements of Article 417(b) and (c) REGULATION (EU) NO 575/2013.
7. Treatment for jurisdictions with insufficient liquid assets
8. Reporting of Shar'iah compliant assets as alternative assets under Article 509(2)(i).

1.2. Specific remarks
9. For items 1.1 to 1.2 institutions shall report the relevant amounts in column 030.
10. For items 1.3 to 1.4 institutions shall report the market value of assets in column 010 and the value according to Article 418 in column 020 for each category of assets.
11. For item 1.5 institutions shall report the relevant undrawn amount in column 040.
12. For item 1.6.1/1.6.2 institutions shall report the relevant amounts in column 030/040.
13. For items 1.7 to 2.2, in accordance with the last paragraph of Article 416(1) REGULATION (EU) NO 575/2013 and pending a uniform definition in accordance with Article 460 of high and extremely high liquidity and credit quality, institutions shall identify themselves in a given currency transferable assets that are of extremely high and high liquidity and credit quality and report their market value in columns 010 and 030 and the value according to Article 418 in columns 020 and 040.
14. For items 1.3 to 1.4 and 1.7 to 1.14, institutions shall only report assets that fulfill all the operational requirements referred to in Article 417 REGULATION (EU) NO 575/2013.
15. For items 2.1 to 2.2, institutions shall report assets which would otherwise qualify to be reported in section 1.1 to 1.14 but do not meet the operational requirements referred to in Article 417 (b) and (c) REGULATION (EU) NO 575/2013.
16. For items 1.1 to 2.2, with the exception of item 1.5, institutions shall only report assets which fulfill all the conditions referred to in Article 416(3) REGULATION (EU) NO 575/2013.
17. For items 3.1 to 3.12, institutions shall only report assets subject to supplementary reporting of liquid assets in accordance with Annex III REGULATION (EU) NO 575/2013. All items, with the exception of those referred to in sections 3.1, 3.2 and 3.9, must satisfy the conditions as set out in the last paragraph of that Annex.
18. For items 4.1 to 4.12.3, institutions shall only report assets which do not meet the requirements of Article 416 REGULATION (EU) NO 575/2013 but still meet the requirements of Article 417(b) and (c) REGULATION (EU) NO 575/2013
19. For items 5.1 to 5.2, institutions shall only report items related to the derogations as referred to in Article 419(2) REGULATION (EU) NO 575/2013 for currencies with constraints on the availability of liquid assets
20. For items 6.1 to 6.1.3, only Shar'iah compliant banks shall report items that are Shar'iah compliant financial products as an alternative to assets that would qualify as liquid assets for the purposes of Article 416 REGULATION (EU) NO 575/2013
21. The value of the liquid assets of all items in the template, with the exception of 1.1 to 1.2.1, 1.5 to 1.6.2, 3.1 to 3.2, 3.9 to 3.10 and 5.2 shall be the market value and the value after the application of the relevant haircuts. For items 1.1 to 1.2.1, 1.6 to 1.6.2, 3.1 to 3.2, 3.10 and 5.2 the amount of the item shall be reported. For item 1.5 and 3.9 the undrawn amount of the line shall be reported.

Liquid assets sub template

1.2.1. Instructions concerning specific rows

ANNEX XIII Table 1: rows 1 - 119

REPORTING ON LIQUIDITY (PART 2 of 5: OUTFLOWS)

1. Outflows

1.1. General remarks
1. This is a summary template which contains information about liquidity outflows measured over the next 30 days, for the purpose of monitoring the liquidity coverage requirement as specified in Article 412 of the REGULATION (EU) NO 575/2013. Items which do not need to be completed by institutions are coloured grey.
2. In accordance with Article 420 REGULATION (EU) NO 575/2013, this section covers reporting requirements on retail deposits (Article 421), other deposits and liabilities (Article 422), additional outflows (Article 423) and outflows from credit and liquidity facilities (Article 424).
3. In accordance with Article 421(5) of the REGULATION (EU) NO 575/2013, institutions may exclude from the calculation of outflows certain clearly circumscribed categories of retail deposits. For completeness, the reporting of these deposits is requested in item 1.1.6 of the template.

1.2. Outflows sub template

1.2.1. Instructions concerning specific rows

ANNEX XIII Table 2: rows 1 - 179

REPORTING ON LIQUIDITY (PART 3 of 5: INFLOWS)

1. Inflows

1.1. General remarks
1. This is a summary template which contains information about liquidity inflows measured over the next 30 days, for the purpose of monitoring the liquidity coverage requirement as specified in Article 412 of the REGULATION (EU) NO 575/2013. Items which do not need to be completed by institutions are coloured grey.

2. In accordance with Article 425(2) REGULATION (EU) NO 575/2013, liquidity inflows shall:
(i) comprise only contractual inflows from exposures that are not passed due and for which the bank has no reason to expect non-performance within the 30-day time horizon.
(ii) be reported in full,.
3. In accordance with Article 425(7) REGULATION (EU) NO 575/2013, institutions shall not report inflows from any of the liquid assets reported in accordance with Article 416 other than payments due on the assets that are not reflected in the market value of the asset.
4. In accordance with Article 425(8) REGULATION (EU) NO 575/2013, institutions shall not report inflows from any new obligations entered into.

1.2. Inflows sub template

1.2.1. Instructions concerning specific rows

ANNEX XIII Table 3: rows 1 - 136

REPORTING ON LIQUIDITY (PART 4 of 5: COLLATERAL SWAPS)

General remarks

1. This is a summary template which contains information that will allow EBA to assess whether secured lending and collateral swap transactions have been properly unwound, where liquid assets referred to in points (a), (b) and (c) of Article 416(1) have been obtained against collateral that does not qualify under points (a), (b) and (c) of Article 416(1).
(a) Collateral swaps sub template
i. Instructions concerning specific rows
Row	Legal references and instructions
1. Collateral Swaps Article 415(1) paragraph 2 of REGULATION (EU) NO 575/2013. Institutions shall report any collateral swap where liquid assets referred to in points (a), (b) or (c) of Article 416 have been obtained against collateral that does not qualify under points (a), (b) and(c) of Article 416(1). Assets that do not qualify under points (a), (b) and(c) of Article 416(1) of REGULATION (EU) NO 575/2013 are referred to as ‘other assets’ in this template. Collateral swaps maturating in less than or equal to 30 days shall be reported in columns 010 and 020. In column 010 the notional amount shall be reported. In column 020 the market value shall be reported. Collateral swaps maturating in greater than 30 days shall be reported in columns 030 and 040. In column 030 the notional amount shall be reported. In column 040 the market value shall be reported.	
010-060	1.0 Assets
010	1.1 cash and exposures to central banks Article 416(1)(a) REGULATION (EU) NO 575/2013
020	1.2 other transferable assets according to Article 416(1)(b) Article 416(1)(b) REGULATION (EU) NO 575/2013
030-060	1.3 other transferable assets representing claims on or guaranteed by Article 416(1)(c) of REGULATION (EU) NO 575/2013 The following subcategories shall be reported:
030	1.3.1 transferable assets representing claims on or guaranteed by the central government of a Member State, on a region with fiscal autonomy to raise and collect taxes, or of a third country in the domestic currency of the central or regional government, if the institution incurs a liquidity risk in that Member State or third country that it covers by holding those liquid assets Article 416(1)(c)(i) of REGULATION (EU) NO 575/2013
040	1.3.2 transferable assets representing claims on or guaranteed by central banks and non-central government public sector entities in the domestic currency of the central bank and public sector entity Article 416(1)(c)(ii) of REGULATION (EU) NO 575/2013
050	1.3.3 transferable assets representing claims on or guaranteed by the Bank for International Settlements, the International Monetary Fund, the Commission and multilateral development banks Article 416(1)(c)(iii) of REGULATION (EU) NO 575/2013
060	1.3.4 transferable assets representing claims on or guaranteed by the European Financial Stability Facility and the European Stability Mechanism Article 416(1)(c)(iv) of REGULATION (EU) NO 575/2013

REPORTING ON LIQUIDITY (PART 5 of 5: STABLE FUNDING)

1. Items providing stable funding

1.1. General remarks
1. This is a summary template which contains information about items providing stable funding. Items which do not need to be completed by institutions are coloured grey.
2. All own funds and liabilities reported on an institution's balance sheet shall be reported here. The total amount of these two categories shall therefore reflect the size of the institutions' total assets.

3. In accordance with Article 427(2) REGULATION (EU) NO 575/2013, liabilities shall be reported in five buckets as follows:
(a) liabilities for which the closer of their maturity date and the earliest date at which they can contractually be called is within three months of the reporting date, shall be reported in column F of the relevant category. All sight deposits shall be reported here.
(b) liabilities for which the closer of their maturity date and the earliest date at which they can contractually be called is between three and six months from the reporting date, shall be reported in column G of the relevant category.
(c) liabilities for which the closer of their maturity date and the earliest date at which they can contractually be called is between 6 and 9 months from the reporting date, shall be reported in column H of the relevant category.
(d) liabilities for which the closer of their maturity date and the earliest date at which they can contractually be called is between 9 and 12 months from the reporting date, shall be reported in column I of the relevant category.
(e) liabilities for which the closer of their maturity date and the earliest date at which they can contractually be called is beyond one year of the reporting date and own funds shall be reported in column J of the relevant category.
4. Institutions shall assume that investors redeem a call option at the earliest possible date. For funding with options exercisable at the institution's discretion, reputational factors that may limit the institution's ability to exercise the option shall be taken into account. In particular, where the market expects certain liabilities to be redeemed before their legal final maturity date, institutions shall assume such behaviour.
5. For retail deposits reported in section 1.2, the same assumptions with regard to maturity for the Liquidity Coverage template shall be used in the Available Stable Funding template.

1.2. Items providing stable funding

1.2.1. Instructions concerning specific rows

ANNEX XIII Table 5: rows 1 - 36

2. Items requiring stable funding

2.1. General remarks
1. This is a summary template which contains information about items requiring stable funding. Items which do not need to be completed by institutions are coloured grey.
2. All assets reported on an institutions balance sheet shall be reported here. The total amount reported shall therefore reflect the size of total own funds and liabilities together.

3. Treatment of maturity:
(i) In accordance with Article 428(2) of the REGULATION (EU) NO 575/2013, items shall be presented in five buckets as follows:
(a) assets for which the closer of their maturity date and the earliest date at which they can contractually be called is within three months of the reporting date, shall be reported in column 010, 060 or 110 depending on the relevant category.
(b) assets for which the closer of their maturity date and the earliest date at which they can contractually be called is between three and six months from the reporting date, shall be reported in column 020, 070, or 120 depending on the relevant category.
(c) assets for which the closer of their maturity date and the earliest date at which they can contractually be called is between 6 and 9 months from the reporting date, shall be reported in column 030, 080, or 130 depending on the relevant category.
(d) assets for which the closer of their maturity date and the earliest date at which they can contractually be called is between 9 and 12 months from the reporting date, shall be reported in column 040, 090, or 140 depending on the relevant category.
(e) assets for which the closer of their maturity date and the earliest date at which they can contractually be called is beyond one year of the reporting date and own funds shall be reported in column 050, 100, or 150 depending on the relevant category.
(ii) For options exercisable at the institution's discretion, institutions shall take into account reputational factors that may limit the ability not to exercise the option. In particular, if third parties expect that an option will not be exercised, the institution shall assume such behaviour for the purpose of reporting assets in this template.
(iii) Assets shall be reported according to their residual contract maturity and not behavioural assumptions.

4. In accordance with Article 510 of the REGULATION (EU) NO 575/2013, for the purpose of monitoring Stable Funding, for each category of assets reported in the required stable funding template, institutions shall provide a separate break down of the assets encumbrance as follows:
(i) The amount of assets reported which are unencumbered shall be reported in the first sub-category.
(ii) The amount of assets which are encumbered shall be reported in the relevant sub-line depending on the period of encumbrance, as follows:
i. for a period within three months
ii. for a period between three and 6 months
iii. for a period between 6 and 9 months
iv. for a period between 9 and 12 months
v. for a period greater than 12 months

5. Treatment of assets received or lent in secured lending and capital market driven transactions in accordance with Article 192 of REGULATION (EU) NO 575/2013:
(i) Institutions shall exclude assets which they have borrowed in secured lending and capital market driven transactions in accordance with Article 192 or REGULATION (EU) NO 575/2013 (such as reverse repurchase transactions and collateral swaps) of which they do not have beneficial ownership.
(ii) Institutions shall report those assets they have lent in secured lending and capital market driven transactions in accordance with Article 192 or REGULATION (EU) NO 575/2013 (such as repurchase transactions or collateral swaps) of which they retain beneficial ownership.
(iii) Where an institution has encumbered securities in repurchase transactions lent in secured lending and capital market driven transactions in accordance with Article 192 or REGULATION (EU) NO 575/2013 but retained beneficial ownership and they remain on their balance sheet, they shall allocate such securities to the appropriate RSF category.

6. Treatment of derivatives payables and receivables:
(i) An institution will usually have both net derivatives liabilities (i.e. payables) and net derivative assets (i.e. receivables) on its balance sheet. Institutions shall calculate these according to regulatory netting rules, not accounting rules, and report the amounts in both template 1.1. ‘Required funding’ and template 1.2 ‘Stable funding’ accordingly.

2.2. Items requiring stable funding

2.2.1. Instructions concerning specific rows

ANNEX XIII Table 6: rows 1 - 180

ANNEX XIV Single Data Point Model
All data items set out in the Annexes to this Regulation shall be transformed into a single data point model which is the basis for uniform IT systems of institutions and competent authorities.
The single data point model shall meet the following criteria:
(a) provide a structured representation of all data items set out in Annexes I, III, IV, VI, VIII, X, XII and XVI;
(b) identify all the business concepts set out in Annexes I to XIII, XVI and XVII;
(c) provide a data dictionary identifying table labels, ordinate labels, axis labels, domain labels, dimension labels and member labels;
(d) provide metrics which define the property or amount of data points;
(e) provide data point definitions that are expressed as a composition of characteristics that univocally identify the financial concept;
(f) contain all the relevant technical specifications necessary for developing IT reporting solutions producing uniform supervisory data.

ANNEX XV Validation Rules
The data items set out in the Annexes to this Regulation shall be subject to validation rules ensuring data quality and consistency.
The validation rules shall meet the following criteria:
(a) define the logical relationships between relevant data points;
(b) include filters and preconditions that define a set of data to which a validation rule applies;
(c) check the consistency of the reported data;
(d) check the accuracy of the reported data;
(e) set default values which shall be applied where the relevant information has not been reported.

ANNEX XVI REPORTING TEMPLATES ON ASSET ENCUMBRANCE

ANNEX XVI Table 1: rows 1 - 16

F 32.01 - ASSETS OF THE REPORTING INSTITUTION (AE-ASS)
ANNEX XVI Table 2: rows 1 - 15

F 32.02 - COLLATERAL RECEIVED (AE-COL)
ANNEX XVI Table 3: rows 1 - 17

F 32.03 - OWN COVERED BONDS AND ABSs ISSUED AND NOT YET PLEDGED (AE-NPL)
		Non-encumbered			
		Carrying amount of the underlying pool of assets	Fair value of debt securities issued available for encumbrance		Nominal of own debt securities issued non available for encumbrance
				of which: central bank's eligible	
		010	020	030	040
010	Own covered bonds and asset-backed securities issued and not yet pledged				
020	Retained covered bonds issued				
030	Retained asset-backed securities issued				
040	Senior				
050	Mezzanine				
060	First Loss				

F 32.04 - SOURCES OF ENCUMBRANCE (AE-SOU)
ANNEX XVI Table 5: rows 1 - 23

F 33.00 - MATURITY DATA (AE-MAT)
ANNEX XVI Table 6: rows 1 - 5

F 34.00 - CONTINGENT ENCUMBRANCE (AE-CONT)
ANNEX XVI Table 7: rows 1 - 18

F 35.00 - COVERED BONDS ISSUANCE (AE-CB)
z-axis
Cover pool identifier (open)
ANNEX XVI Table 8: rows 1 - 9

F 36.01 - ADVANCE DATA. PART I (AE-ADV-1)
ANNEX XVI Table 9: rows 1 - 28

F 36.02 - ADVANCE DATA. PART II (AE-ADV-2)
ANNEX XVI Table 10: rows 1 - 28

ANNEX XVII REPORTING ON ASSET ENCUMBRANCE

GENERAL INSTRUCTIONS

1. STRUCTURE AND CONVENTIONS

1.1. Structure

1. The framework consists of five sets of templates which comprise a total of nine templates according to the following scheme:
(a) Part A: Encumbrance overview:
AE-ASS template. Assets of the reporting institution
AE-COL template. Collateral received by the reporting institution
AE-NPL. Own covered bonds and asset-backed securities (hereinafter ‘ ABS ’ ) issued and not yet pledged
AE-SOU. Sources of encumbrance
(b) Part B: Maturity data:
AE-MAT template. Maturity data
(c) Part C: Contingent encumbrance
AE-CONT template. Contingent encumbrance
(d) Part D: Covered bonds
AE-CB template. Covered bonds issuance
(e) Part E: Advanced data:
AE-ADV-1 template. Advanced template for assets of the reporting institution
AE-ADV-2 template. Advanced template for collateral received by the reporting institution
2. For each template legal references are provided as well as further detailed information regarding more general aspects of the reporting.

1.2. Accounting standard
3. Institutions shall report carrying amounts under the accounting framework they use for the reporting of financial information in accordance with Articles 9 to 11. Institutions that are not required to report financial information shall use their respective accounting framework.
4. For the purposes of this Annex, ‘ IAS ’ and ‘ IFRS ’ refer to the international accounting standards as defined in Article 2 of Regulation (EC) No 1606/2002. For institutions which report under IFRS standards, references have been inserted to the relevant IFRS standards.

1.3. Numbering convention
5. The following general notation is used in these instructions to refer to the columns, rows and cells of a template: {Template; Row; Column}. An asterisk sign is used to indicate that the validation is applied to the whole row or column. For example {AE-ASS; *; 2} refers to the data point of any row for column 2 of the AE-ASS template.
6. In the case of validations within a template the following notation is used to refer to data points from that template: {Row; Column}.

1.4. Sign convention
7. Templates in Annex XVI shall follow the sign convention described in paragraphs 9 and 10 of Part I of Annex V.

1.5. Level of application
8. The level of application of the reporting on asset encumbrance follows that of the reporting requirements on own funds under the first subparagraph of Article 99(1) of Regulation (EU) No 575/2013 (CRR). Consequently, institutions that are not subject to prudential requirements in accordance with Article 7 of CRR are not required to report information on asset encumbrance.

1.6. Proportionality

9. For the purpose of Article 16a(2)(b), the asset encumbrance level shall be calculated as follows:
Carrying amount of encumbered assets and collateral = {AE-ASS;010;010} + {AE-COL;130;010}.
Total assets and collateral = {AE-ASS;010;010} + {AE-ASS;010;060} + {AE-COL;130;010} + {AE-COL;130;040}.
Asset encumbrance ratio = (Carrying amount of encumbered assets and collateral)/(Total assets and collateral)

10. For the purpose of Article 16a(2)(a), the sum of total assets shall be calculated as follows:
Total assets = {AE-ASS;010;010} + {AE-ASS;010;060}

1.7. Definition of encumbrance

11. For the purpose of this Annex and Annex XVI, an asset shall be treated as encumbered if it has been pledged or if it is subject to any form of arrangement to secure, collateralise or credit enhance any transaction from which it cannot be freely withdrawn.
It is important to note, that assets pledged that are subject to any restrictions in withdrawal, such as for instance assets that require prior approval before withdrawal or replacement by other assets, should be considered encumbered. The definition is not based on an explicit legal definition, such as title transfer, but rather on economic principles, as the legal frameworks may differ in this respect across countries. The definition is however closely linked to contractual conditions. The EBA sees the following types of contracts being well covered by the definition (this is a non-exhaustive list):
secured financing transactions, including repurchase contracts and agreements, securities lending and other forms of secured lending;
various collateral agreements, for instance collateral placed for the market value of derivatives transactions;
financial guarantees that are collateralised. It should be noted, that if there is no impediment to withdrawal of collateral, such as prior approval, for the unused part of guarantee, then only the used amount should be allocated (on a pro-rata allocation);
collateral placed at clearing systems, CCPs and other infrastructure institutions as a condition for access to service. This includes default funds and initial margins;
central bank facilities. Pre-positioned assets should not be considered encumbered, unless the central bank does not allow withdrawal of any assets placed without prior approval. As for unused financial guarantees, the unused part, i.e. above the minimum amount required by the central bank, should be allocated on a pro-rata basis among the assets placed at the central bank;
underlying assets from securitisation structures, where the financial assets have not been de-recognised from the institution's financial assets. The assets that are underlying retained securities do not count as encumbered, unless these securities are pledged or provided as collateral in any way to secure a transaction;
assets in cover pools used for covered bond issuance. The assets that are underlying covered bonds count as encumbered, except in certain situations where the institution holds the corresponding covered bonds ( ‘ own-issued bonds ’ );
as a general principle, assets which are being placed at facilities that are not used and can be freely withdrawn should not be considered encumbered.

TEMPLATE-RELATED INSTRUCTIONS

2. PART A: ENCUMBRANCE OVERVIEW
12. The encumbrance overview templates differentiate assets which are used to support funding or collateral needs at the balance sheet date ( ‘ point-in time encumbrance ’ ) from those assets which are available for potential funding needs.
13. The overview template shows the amount of encumbered and non-encumbered assets of the reporting institution in a tabular format by products. The same breakdown also applies to collateral received and own debt securities issued other than covered bonds and securitisations.

2.1. Template: AE-ASS. Assets of the reporting institution

2.1.1. General remarks

14. This paragraph sets out instructions that apply to the main types of transaction that are relevant when completing the AE templates:
All transactions that increase the level of encumbrance of an institution have two aspects that shall be reported independently throughout the AE templates. Such transactions shall be reported both as a source of encumbrance and as an encumbered asset or collateral.
The following examples describe how to report a type of transaction of this Part but the same rules apply to the other AE templates.

(a) Collateralised deposit
A collateralised deposit is reported as follows:
(i) the carrying amount of the deposit is registered as a source of encumbrance in {AE-SOU; r070; c010};
(ii) where the collateral is an asset of the reporting institution: its carrying amount is reported in {AE-ASS; *; c010} and {AE-SOU; r070; c030}; its fair value is reported in {AE-ASS; *; c040};
(iii) where the collateral has been received by the reporting institution, its fair value is reported in {AE-COL; *; c010}, {AE-SOU; r070; c030} and {AE-SOU; r070; c040}.

(b) Repo/matching repos
A repurchase agreement (hereinafter ‘ repo ’ ) is reported as follows:
(i) the carrying amount of the repo is reported as a source of encumbrance in {AE-SOU; r050; c010};
(ii) the collateral of the repo should be shown:
(iii) where the collateral is an asset of the reporting institution: its carrying amount is reported in {AE-ASS; *; c010} and {AE-SOU; r050; c030}; its fair value is reported in {AE-ASS; *; c040};
(iv) where the collateral has been received by the reporting institution through a previous reverse repurchase agreement (matching repo), its fair value is reported in {AE-COL; *; c010}, {AE-SOU; r050; c030} and in {AE-SOU; r050; c040}.

(c) Central bank funding
As collateralised central bank funding is only a specific case of a collateralised deposit or a repo transaction in which the counterparty is a central bank, the rules in i) and ii) above apply.
For operations where it is not possible to identify the specific collateral to each operation, as collateral is pooled together, the collateral breakdown must be done on a proportional basis, based on the composition of the pool of collateral.
Assets that have been pre-positioned with central banks are not encumbered assets unless the central bank does not allow withdrawal of any assets placed without prior approval. For unused financial guarantees, the unused part, i.e. the amount above the minimum required by the central bank, is allocated on a pro-rata basis among the assets placed at the central bank.

(d) Securities lending
For securities lending with cash collateral the rules for repos/matching repos apply.
Securities lending without cash collateral is reported as follows:
(i) the fair value of the securities borrowed is reported as a source of encumbrance in {AE-SOU; r150; c010}. When the lender does not receive any securities in return for the securities lent but receives a fee instead, {AE-SOU; r150; c010} is reported as zero;
(ii) where the securities lent as collateral are an asset of the reporting institution: their carrying amount is reported in {AE-ASS; *; c010} and {AE-SOU; r150; c030}; their fair value is reported in {AE-ASS; *; c040};
(iii) where the securities lent as collateral are received by the reporting institution, their fair value is reported in {AE-COL; *; c010}, {AE-SOU; r150; c030} and {AE-SOU; r150; c040}.

(e) Derivatives (liabilities)
Collateralised derivatives with a negative fair value are reported as follows:
(i) the carrying amount of the derivative is reported as a source of encumbrance in {AE-SOU; r020; c010};
(ii) the collateral (initial margins required to open the position and any collateral placed for the market value of derivatives transactions) are reported as follows:
(i) where it is an asset of the reporting institution: its carrying amount is reported in {AE-ASS; *; c010} and {AE-SOU; r020; c030}; its fair value is reported in {AE-ASS; *; c040};
(ii) where it is collateral received by the reporting institution, its fair value is reported in {AE-COL; *; c010}, {AE-SOU; r020; c030} and {AE-SOU; r020; c040}.

(f) Covered bonds
Covered bonds for the entire asset encumbrance reporting are instruments referred to in the first subparagraph of Article 52(4) of the Directive 2009/65/EU, irrespective of whether these instruments take the legal form of a security or not.
No specific rules apply to covered bonds where there is no retention of part of the securities issued by the reporting institution.
In case of retention of part of the issuance and in order to avoid double counting, the proposed treatment below shall apply:
(i) where the own covered bonds are not pledged, the amount of the cover pool that is backing those securities retained and not yet pledged is reported in the AE-ASS templates as non-encumbered assets. Additional information about the retained covered bonds not yet pledged (underlying assets, fair value and eligibility of those available for encumbrance and nominal of those non-available for encumbrance) is reported in the AE-NPL template;
(ii) where the own covered bonds are pledged, then the amount of the cover pool that is backing those securities retained and pledged is included in the AE-ASS template as encumbered assets.
The following table sets out how to report covered bond issuance of EUR 100 of which 15 % is retained and not pledged and 10 % is retained and pledged as collateral in a EUR 11 repo transaction with a central bank, where the cover pool comprises unsecured loans and the carrying amount of the loans is EUR 150.
SOURCES OF ENCUMBRANCE				
Type	Amount	Cells	Loans encumbered	Cells
Covered bonds	75 % (100) = 75	{AE-Sources, r110, c010}	75 % (150) = 112,5	{AE-Assets, r100, c10} {AE-Sources, r110, c030}
Central bank funding	11	{AE-Sources, r060, c010}	10 % (150) = 15	{AE-Assets, r100, c10} {AE-Sources, r060, c030}
NON ENCUMBRANCE				
Type	Amount	Cells	Non-encumbered loans	Cells
Own covered bonds retained	15 % 100 = 15	{AE-Not pledged, r010, c040}	15 % (150) = 22,5	{AE-Assets, r100, c60} {AE-Not pledged, r020, c010}

(g) Securitisations
Securitisations mean debt securities held by the reporting institution originated in a securitisation transaction as defined in Article 4(61) of CRR.
For securitisations that remain in the balance sheet (non-derecognised), the rules for covered bonds apply.
For derecognised securitisations, there is no encumbrance where the institution holds some securities. Those securities will appear in the trading book or in the banking book of the reporting institutions as any other security issued by a third party.

2.1.2. Instructions concerning specific rows
Rows	Legal references and instructions
010	Assets of the reporting institution IAS 1.9 (a), Implementation Guidance (IG) 6 Total assets of the reporting institution registered in its balance sheet.
020	Loans on demand IAS 1.54 (i) It includes the balances receivable on demand at central banks and other institutions. Cash on hand, that is, the holding of national and foreign banknotes and coins in circulation that are commonly used to make payments are included in the row ‘ other assets ’ .
030	Equity instruments Equity instruments held by the reporting institution as defined in IAS 32.1.
040	Debt securities Annex V, Part 1, paragraph 26. Debt instruments held by the reporting institution issued as securities that are not loans in accordance with the ECB BSI Regulation.
050	of which: covered bonds Debt securities held by the reporting institution that are bonds referred to in the first subparagraph of Article 52(4) of Directive 2009/65/EC.
060	of which: securitisations Debt securities held by the reporting institution that are securitisations as defined in Article 4(61) of CRR.
070	of which: issued by general governments Debt securities held by the reporting institution which are issued by general governments.
080	of which: issued by financial corporations Debt securities held by the reporting institution issued by financial corporations as defined in Annex V, Part I, paragraph 35, points (c) and (d).
090	of which: issued by non-financial corporations Debt securities held by the reporting institution issued by non-financial corporations as defined in Annex V, Part I, paragraph 35, point (e).
100	Loans and advances other than loans on demand Loans and advances, that is, debt instruments held by the reporting institutions that are not securities, other than balances receivable on demand.
110	of which: mortgage loans Loans and advances other than loans on demand that are mortgage loans according to Annex V, part 2, paragraph 41(h).
120	Other assets Other assets of the reporting institution registered in the balance sheet other than those mentioned in the above rows and different from own debt securities and own debt equity instruments that may not be derecognised from the balance sheet by a non-IFRS institution. In this case, own debt instruments shall be included in row 240 of the AE-COL template and own equity instruments excluded from the asset encumbrance reporting.

2.1.3. Instructions concerning specific columns
Columns	Legal references and instructions
010	Carrying amount of encumbered assets Carrying amount of the assets held by the reporting institution that are encumbered according to the definition provided of asset encumbrance. Carrying amount means the amount reported in the asset side of the balance sheet.
020	of which: issued by other entities of the group Carrying amount of encumbered assets held by the reporting institution that are issued by any entity within the prudential scope of consolidation.
030	of which: central bank eligible Carrying amount of encumbered assets held by the reporting institution which are eligible for operations with those central banks to which the reporting institution has access. Reporting institutions that cannot positively establish central bank eligibility for an item, for instance jurisdictions that operate without a clear definition of central bank repo eligible assets or do not have access to continuously functioning central bank repo market, may abstain from reporting the associated amount for that item, i.e. leave the reporting field blank.
040	Fair value of encumbered assets IFRS 13 and Article 8 of Directive 2013/34/EU of the European Parliament and of the Council Directive 2013/34/EU of the European Parliament and of the Council of 26 June 2013 on the annual financial statements, consolidated financial statements and related reports of certain types of undertakings, amending Directive 2006/43/EC of the European Parliament and of the Council and repealing Council Directives 78/660/EEC and 83/349/EEC ( OJ L 182, 29.6.2013, p. 19 ). for non-IFRS institutions. Fair value of the debt securities held by the reporting institution that are encumbered according to the definition provided of asset encumbrance. Fair value of a financial instrument, is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. (See IFRS 13 Fair Value Measurement.)
050	of which: central bank eligible Fair value of the encumbered debt securities held by the reporting institution which are eligible for operations with those central banks to which the reporting institution has access. Reporting institutions that cannot positively establish central bank eligibility for an item, for instance jurisdictions that operate without a clear definition of central bank repo eligible assets or do not have access to continuously functioning central bank repo market, may abstain from reporting the associated amount for that item, i.e. leave the reporting field blank.
060	Carrying amount of non-encumbered assets Carrying amount of the assets held by the reporting institution that are non-encumbered according to the definition provided of asset encumbrance. Carrying amount means the amount reported in the asset side of the balance sheet.
070	of which: issued by other entities of the group Carrying amount of non-encumbered assets held by the reporting institution that are issued by any entity within the prudential scope of consolidation.
080	of which: central bank eligible Carrying amount of non-encumbered assets held by the reporting institution which are eligible for operations with those central banks to which the reporting institution has access. Reporting institutions that cannot positively establish central bank eligibility for an item, for instance jurisdictions that operate without a clear definition of central bank repo eligible assets or do not have access to continuously functioning central bank repo market, may abstain from reporting the associated amount for that item, i.e. leave the reporting field blank.
090	Fair value of non-encumbered assets IFRS 13 and Article 8 of Directive 2013/34/EU for non-IFRS institutions. Fair value of the debt securities held by the reporting institution that are non-encumbered according to the definition provided of asset encumbrance. Fair value of a financial instrument is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. (See IFRS 13 Fair Value Measurement.)
100	of which: central bank eligible Fair value of the non-encumbered debt securities held by the reporting institution which are eligible for operations with those central banks to which the reporting institution has access. Reporting institutions that cannot positively establish central bank eligibility for an item, for instance jurisdictions that operate without a clear definition of central bank repo eligible assets or do not have access to continuously functioning central bank repo market, may abstain from reporting the associated amount for that item, i.e. leave the reporting field blank.

2.2. Template: AE-COL. Collateral received by the reporting institution

2.2.1. General remarks
15. For the collateral received by the reporting institution and the own debt securities issued other than own covered bonds or ABSs, the category of ‘ non-encumbered ’ assets is split between those ‘ available for encumbrance ’ or potentially eligible to be encumbered and those ‘ non-available for encumbrance ’ .
16. Assets are ‘ non-available for encumbrance ’ when they have been received as collateral and the reporting institution is not permitted to sell or re-pledge the collateral, except in the case of a default by the owner of the collateral. Own debt securities issued other than own covered bonds or securitisations are non-available for encumbrance when there is any restriction in the terms of the issuance to sell or re-pledge the securities held.
17. For the purpose of the asset encumbrance reporting, securities borrowed in exchange for a fee without providing cash-collateral or non-cash collateral are reported as collateral received.

2.2.2. Instructions concerning specific rows
Rows	Legal references and instructions
130	Collateral received by the reporting institution All classes of collateral received by the reporting institution.
140	Loans on demand Collateral received by the reporting institution that comprises loans on demand. (See legal references and instructions regarding row 020 of the AE-ASS template.)
150	Equity instruments Collateral received by the reporting institution that comprises equity instruments. (See legal references and instructions regarding row 030 of the AE-ASS template.)
160	Debt securities Collateral received by the reporting institution that comprises debt securities. (See legal references and instructions regarding row 040 of the AE-ASS template.)
170	of which: covered bonds Collateral received by the reporting institution that comprises covered bonds. (See legal references and instructions regarding row 050 of the AE-ASS template.)
180	of which: securitisations Collateral received by the reporting institution that comprises securitisations. (See legal references and instructions regarding row 060 of the AE-ASS template.)
190	of which: issued by general governments Collateral received by the reporting institution that comprises debt securities issued by general governments. (See legal references and instructions regarding row 070 of the AE-ASS template.)
200	of which: issued by financial corporations Collateral received by the reporting institution that comprises debt securities issued by financial corporations. (See legal references and instructions regarding row 080 of the AE-ASS template.)
210	of which: issued by non-financial corporations Collateral received by the reporting institution that comprises debt securities issued by non-financial corporations. (See legal references and instructions regarding row 090 of the AE-ASS template.)
220	Loans and advances other than loans on demand Collateral received by the reporting institution that comprises loans and advances other than loans on demand. (See legal references and instructions regarding row 100 of the AE-ASS template.)
230	Other collateral received Collateral received by the reporting institution that comprises other assets. (See legal references and instructions regarding row 120 of the AE-ASS template.)
240	Own debt securities issued other than own covered bonds or ABSs Own debt securities issued retained by the reporting institution that are not own covered bonds issued or own securitisations issued. As the retained or repurchased own debt securities issued, according to IAS 39.42, decrease the relating financial liabilities, these securities are not included in the category of assets of the reporting institution (row 010 of the AE-ASS template). Own debt securities that may not be derecognised from the balance sheet by a non-IFRS institution shall be included in this row. Own covered bonds issued or own securitisations issued are not reported in this category since different rules apply to those cases to avoid double counting: (a) where the own debt securities are pledged, the amount of the cover pool/underlying assets that are backing those securities retained and pledged is reported in the AE-ASS template as encumbered assets; (b) where the own debt securities are not yet pledged, the amount of the cover pool/underlying assets that are backing those securities retained and not yet pledged is reported in the AE-ASS templates as non-encumbered assets. Additional information about this second type of own debt securities not yet pledged (underlying assets, fair value and eligibility of those available for encumbrance and nominal of those non-available for encumbrance) is reported in the AE-NPL template.
250	TOTAL ASSETS, COLLATERAL RECEIVED AND OWN DEBT SECURITIES ISSUED All assets of the reporting institution registered in its balance sheet, all classes of collateral received by the reporting institution and own debt securities issued retained by the reporting institution that are not own covered bonds issued or own securitisations issued.

2.2.3. Instructions concerning specific columns
Columns	Legal references and instructions
010	Fair value of encumbered collateral received or own debt securities issued Fair value of the collateral received or own debt securities issued held/retained by the reporting institution that are encumbered according to the definition provided of asset encumbrance. Fair value of a financial instrument is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. (See IFRS 13 Fair Value Measurement.)
020	of which: issued by other entities of the group Fair value of the encumbered collateral received or own debt securities issued held/retained by the reporting institution that are issued by any entity within the prudential scope of consolidation.
030	of which: central bank eligible Fair value of the encumbered collateral received or own debt securities issued held/retained by the reporting institution which are eligible for operations with those central banks to which the reporting institution has access. Reporting institutions that cannot positively establish central bank eligibility for an item, for instance jurisdictions that operate without a clear definition of central bank repo eligible assets or do not have access to continuously functioning central bank repo market, may abstain from reporting the associated amount for that item, i.e. leave the reporting field blank.
040	Fair value of collateral received or own debt securities issued available for encumbrance Fair value of the collateral received by the reporting institution that are non-encumbered but are available for encumbrance since the reporting institution is permitted to sell or re-pledge it in absence of default by the owner of the collateral. It also includes the fair value of own debt securities issued, other than own covered bonds or securitisations that are non-encumbered but available for encumbrance.
050	of which: issued by other entities of the group Fair value of collateral received or own debt securities issued other than own covered bonds or asset-backed securities available for encumbrance that are issued by any entity within the prudential scope of consolidation.
060	of which: central bank eligible Fair value of collateral received or own debt securities issued other than own covered bonds or securitisations available for encumbrance which are eligible for operations with those central banks to which the reporting institution has access. Reporting institutions that cannot positively establish central bank eligibility for an item, for instance jurisdictions that operate without a clear definition of central bank repo eligible assets or do not have access to continuously functioning central bank repo market, may abstain from reporting the associated amount for that item, i.e. leave the reporting field blank.
070	Nominal of collateral received or own debt securities issued non available for encumbrance Nominal amount of the collateral received held by the reporting institution that are non-encumbered and non-available for encumbrance. It also includes the nominal amount of the own debt securities issued other than own covered bonds or securitisations retained by the reporting institution that are non-encumbered and also non-available for encumbrance.

2.3. Template: AE-NPL. Own covered bonds and ABSs issued and not yet pledged

2.3.1. General remarks

18. To avoid double counting, the following rule applies in relation to own covered bonds and securitisations issued and retained by the reporting institution:
(a) where those securities are pledged, the amount of the cover pool/underlying assets that are backing them shall be reported in the AE-ASS template as encumbered assets. The source of funding in the event of pledging own covered bonds and securitisations is the new transaction in which the securities are being pledged (central bank funding or other type of secured funding) and not the original issuance of covered bonds or securitisations;
(b) where those securities are not yet pledged, the amount of the cover pool/underlying assets that are backing those securities shall be reported in the AE-ASS template as non-encumbered assets.

2.3.2. Instructions concerning specific rows
Rows	Legal references and instructions
010	Own covered bonds and ABSs issued and not yet pledged Own covered bonds and securitisations issued that are retained by the reporting institution and not encumbered.
020	Retained covered bonds issued Own covered bonds issued that are retained by the reporting institution and not encumbered.
030	Retained securitisations issued Own securitisations issued that are retained by the reporting institution and not encumbered.
040	Senior Senior tranches of the own securitisations issued that are retained by the reporting institution and not encumbered. See Article 4(67) of CRR.
050	Mezzanine Mezzanine tranches of the own securitisations issued that are retained by the reporting institution and not encumbered. All tranches that are not senior tranches, i.e. the last to absorb the loss or first loss tranches, shall be considered mezzanine tranches. See Article 4(67) of CRR.
060	First loss First loss tranches of the own securitisations issued that are retained by the reporting institution and not encumbered. See Article 4(67) of CRR.

2.3.3. Instructions concerning specific columns
Columns	Legal references and instructions
010	Carrying amount of the underlying pool of assets Carrying amount of the cover pool/underlying assets that back the own covered bonds and own securitisations retained and are not yet pledged.
020	Fair value of debt securities issued available for encumbrance Fair value of the own covered bonds and own securitisations retained that are non-encumbered but available for encumbrance.
030	Of which: central bank eligible Fair value of the own covered bonds and own securitisations retained that meet each of the following conditions: (i) they are non-encumbered; (ii) they are available for encumbrance; (iii) they are eligible for operations with those central banks to which the reporting institution has access. Reporting institutions that cannot positively establish central bank eligibility for an item, for instance jurisdictions that operate without a clear definition of central bank repo eligible assets or do not have access to continuously functioning central bank repo market, may abstain from reporting the associated amount for that item, i.e. leave the reporting field blank.
040	Nominal of own debt securities issued non-available for encumbrance Nominal amount of the own covered bonds and own securitisations retained that are non-encumbered and also non-available for encumbrance.

2.4. Template: AE-SOU. Sources of encumbrance

2.4.1. General remarks
19. This template provides information on the importance for the reporting institution of the different sources of encumbrance, including those with no associated funding as loans commitments or financial guarantees received and securities lending with non-cash collateral.
20. The total amounts of assets and collateral received in the AE-ASS and the AE-COL templates meet the following validation rule: {AE-SOU; r170; c030} = {AE-ASS; r010; c010} + {AE-COL; r130; c010} + {AE-COL; r240; c010}.

2.4.2. Instructions concerning specific rows
Rows	Legal references and instructions
010	Carrying amount of selected financial liabilities Carrying amount of selected collateralised financial liabilities of the reporting institution insofar as these liabilities entail asset encumbrance for that institution.
020	Derivatives Carrying amount of the collateralised derivatives of the reporting institution that are financial liabilities, that is, with a negative fair value, insofar as these derivatives entail asset encumbrance for that institution.
030	of which: over-the-counter Carrying amount of the collateralised derivatives of the reporting institution that are financial liabilities which are traded over-the-counter, insofar as these derivatives entail asset encumbrance.
040	Deposits Carrying amount of the collateralised deposits of the reporting institution insofar as these deposits entail asset encumbrance for that institution.
050	Repurchase agreements Carrying amount of the repurchase agreements of the reporting institution insofar as these transactions entail asset encumbrance for that institution. Repurchase agreements (repos) are transactions in which the reporting institution receives cash in exchange for financial assets sold at a given price under a commitment to repurchase the same (or identical) assets at a fixed price on a specified future date. The following variants of repo-type operations are all required to be reported as repurchase agreements: — amounts received in exchange for securities temporarily transferred to a third party in the form of securities lending against cash collateral and — amounts received in exchange for securities temporarily transferred to a third party in the form of a sale/buy-back agreement.
060	of which: central banks Carrying amount of the repurchase agreements of the reporting institution with central banks insofar as these transactions entail asset encumbrance.
070	Collateralised deposits other than repurchased agreements Carrying amount of the of the collateralised deposits other than repurchase agreements of the reporting institution insofar as these deposits entail asset encumbrance for that institution.
080	of which: central banks Carrying amount of the collateralised deposits other than repurchase agreements of the reporting institution with central banks insofar as these deposits entail asset encumbrance for that institution.
090	Debt securities issued Carrying amount of the debt securities issued by the reporting institution insofar as these securities issued entail asset encumbrance for that institution. The retained part of any issuance shall follow the specific treatment set out in point (vi) of paragraph 15 of Part A so that only the percentage of debt securities placed outside the entities of the group are to be included under this category.
100	of which: covered bonds issued Carrying amount of covered bonds the assets of which are originated by the reporting institution insofar as these securities issued entail asset encumbrance for that institution.
110	of which: securitisations issued Carrying amount of the securitisations issued by the reporting institution insofar as these securities issued entail asset encumbrance for that institution.
120	Other sources of encumbrance Amount of collateralised transactions of the reporting institution other than financial liabilities, insofar as these transactions entail asset encumbrance for that institution.
130	Nominal of loan commitments received Nominal amount of the loan commitments received by the reporting institution, insofar as these commitments received entail asset encumbrance for that institution.
140	Nominal of financial guarantees received Nominal amount of the financial guarantees received by the reporting institution, insofar as these guarantees received entail asset encumbrance for that institution.
150	Fair value of securities borrowed with non-cash collateral Fair value of the securities borrowed by the reporting institution without cash collateral, insofar as these transactions entail asset encumbrance for that institution.
160	Other Amount of collateralised transactions of the reporting institution other than financial liabilities, not covered by the above items, insofar as these transactions entail asset encumbrance for that institution.
170	TOTAL SOURCES OF ENCUMBRANCE Amount of all collateralised transactions of the reporting institution insofar as these transactions entail asset encumbrance for that institution.

2.4.3. Instructions concerning specific columns
Columns	Legal references and instructions
010	Matching liabilities, contingent liabilities or securities lent Amount of the matching financial liabilities, contingent liabilities (loan commitments received and financial guarantees received) and of the securities lent with non-cash collateral, insofar as these transactions entail asset encumbrance for that institution. Financial liabilities are reported at their carrying amount; contingent liabilities are reported at their nominal value; and securities lent with non-cash collateral are reported at their fair value.
020	of which: from other entities of the group Amount of the matching financial liabilities, contingent liabilities (loan commitments received and financial guarantees received) and of the securities lent with non-cash collateral, insofar as the counterparty is any other entity within the prudential scope of consolidation and the transaction entail for the reporting institution asset encumbrance. For rules applying to amount types, see instructions for column 010.
030	Assets, collateral received and own securities issued other than covered bonds and ABSs encumbered Amount of the assets, collateral received and own securities issued other than covered bonds and securitisations that are encumbered as a result of the different type of transactions specified in the rows. To ensure consistency with the criteria in the templates AE-ASS and AE-COL, assets of the reporting institution registered in the balance sheet are reported at their carrying amount, re-used collateral received and encumbered own securities issued other than covered bonds and securitisations are reported at their fair value.
040	of which: collateral received re-used Fair value of the collateral received that are re-used/encumbered as a result of the different type of transactions specified in the rows.
050	Of which: own debt securities encumbered Fair value of the own securities issued other than covered bonds and securitisations that are encumbered as a result of the different type of transactions specified in the rows.

3. PART B: MATURITY DATA

3.1. General remarks
21. The template included in Part B shows a general overview of the amount of encumbered assets and collateral received re-used that fall under the defined intervals of the matching liabilities' residual maturity.

3.2. Template: AE-MAT. Maturity data

3.2.1. Instructions concerning specific rows
Rows	Legal references and instructions
010	Encumbered assets For the purpose of this template, encumbered assets include all of the following: (a) the assets of the reporting institution (see instruction for row 010 of the AE-ASS template), which are reported at their carrying amount; (b) own debt securities issued other than covered bonds or securitisations (see instruction for row 240 of the AE-COL template), which are reported at fair value. These amounts are distributed among the set of residual maturity buckets specified in the columns according to the residual maturity of the source of its encumbrance (matching liability, contingent liability or securities lending transaction).
020	Collateral received re-used (receiving leg) See instructions for row 130 of the AE-COL template and column 040 of the AE-SOU template. The amounts are reported at fair value and distributed among the set of residual maturity buckets specified in the columns according to the residual maturity of the transaction that generated for the entity the reception of the collateral that is being re-used (receiving leg).
030	Collateral received re-used (re-using leg) See instructions for row 130 of the AE-COL template and column 040 of the AE-SOU template. The amounts are reported at fair value and distributed among the set of residual maturity buckets specified in the columns according to the residual maturity of the source of its encumbrance (re-using leg): matching liability, contingent liability or securities lending transaction.

3.2.2. Instructions concerning specific columns
Columns	Legal references and instructions
010	Open maturity On demand, without a specific maturity date
020	Overnight Due date earlier or equal to 1 day
030	> 1 day<=1wk Due date later than 1 day and earlier than or equal to 1 week
040	> 1 wk<=2wks Due date later than 1 week and earlier than or equal to 2 weeks
050	> 2wks <=1mth Due date later than 2 weeks and earlier than or equal to 1 month
060	> 1mth <=3mths Due date later than 1 month and earlier than or equal to 3 months
070	> 3mths <=6mths Due date later than 3 months and earlier than or equal to 6 months
080	> 6mths<=1yr Due date later than 6 months and earlier than or equal to 1 year
090	> 1yr <=2yrs Due date later than 1 year and earlier than or equal to 2 years
100	> 2yrs <=3yrs Due date later than 2 years and earlier than or equal to 3 years
110	> 3yrs <=5yrs Due date later than 3 years and earlier than or equal to 5 years
120	> 5yrs <=10yrs Due date later than 5 years and earlier than or equal to 10 years
130	> 10yrs Due date later than 10 years

4. PART C: CONTINGENT ENCUMBRANCE

4.1. General remarks
22. This template requires institutions to calculate the level of asset encumbrance in a number of stressed scenarios.
23. Contingent encumbrance refers to the additional assets which may need to be encumbered when the reporting institutions faces adverse developments triggered by an external event over which the reporting institution has no control (including a downgrade, decrease of the fair value of the encumbered assets or a general loss of confidence). In these cases, the reporting institution will need to encumber additional assets as a consequence of already existing transactions. The additional amount of encumbered assets shall be net of the impact of the institution's hedge transactions against the events described under the aforementioned stressed scenarios.

24. This template includes the following two scenarios for reporting contingent encumbrance which are set out in more detail in points 4.1.1. and 4.1.2. The information reported shall be the institution's reasonable estimate based on the best available information.
(a) Decrease of the fair value of the encumbered assets by 30 %. This scenario only covers a change in the underlying fair value of the assets, and not any other change which may affect its carrying amount such as foreign exchange gains or losses or potential impairment. The reporting institution may then be forced to post more collateral in order to keep the value of the collateral constant.
(b) A 10 % depreciation in each currency in which the institution has aggregate liabilities amounting to or exceeding 5 % of the institution's total liabilities.
25. The scenarios shall be reported independently of each other, and significant currency depreciations shall also be reported independently of depreciations of other significant currencies. Consequently institutions shall not take correlations between the scenarios into account.

4.1.1. Scenario A: Decrease of 30 % of encumbered assets
26. It shall be assumed that all encumbered assets decrease 30 % in value. The need of additional collateral arising from such a decrease shall take into account existing levels of over-collateralisation, such that only the minimum collateralisation level is maintained. The need of additional collateral shall also take into account the contractual requirements of the contracts and agreements impacted, including threshold triggers.
27. Only contracts and agreements, where there is a legal obligation to supply additional collateral shall be included. This includes covered bond issues where there is a legal requirement to uphold minimum levels of over collateralisation but no requirement to maintain existing rating levels on the covered bond.

4.1.2. Scenario B: Depreciation of 10 % in significant currencies
28. A currency is a significant currency if the reporting institution has aggregate liabilities in that currency amounting to or exceeding 5 % of the institution's total liabilities
29. The calculation of a 10 % depreciation shall take into account both changes on the asset and liability side, i.e. focus the asset-liability mismatches. For instance a repo transactions in USD based on USD assets does not cause additional encumbrance, whereas a repo transaction in USD based on a EUR asset causes additional encumbrance.
30. All transactions which have a cross-currency element shall be covered by this calculation.

4.2. Template: AE-CONT. Contingent encumbrance

4.2.1. Instructions concerning specific rows
31. See instructions concerning specific columns of the AE-SOU template in point 1.5.1. The content of the columns in AE-CONT template does not differ from the AE-SOU template.

4.2.2. Instructions concerning specific columns
Columns	Legal references and instructions
010	Matching liabilities, contingent liabilities or securities lent Same instructions and data as for column 010 of the AE-SOU template. Amount of the matching financial liabilities, contingent liabilities (loan commitments received and financial guarantees received) and of the securities lent with non–cash collateral, insofar as these transactions entail asset encumbrance for that institution. As referred for each row in the template, financial liabilities are reported at their carrying amount, contingent liabilities at their nominal and securities lent with non-cash collateral at their fair value.
020	A. Additional amount of encumbered assets Additional amount of assets that would become encumbered due to a legal, regulatory or contractual provision that could be triggered in the event of occurrence of scenario A. Following the instructions laid down in Part A of this Annex, these amounts are reported at their carrying amount if the amount is related to assets of the reporting institution or at their fair value if related to collateral received. Amounts exceeding the non-encumbered assets and collateral of the institution are reported at fair value.
030	B. Additional amount of encumbered assets. Significant currency 1 Additional amount of assets that would become encumbered due to a legal, regulatory or contractual provision that could be triggered in the event of a depreciation of significant currency number 1 in scenario B. See rules for amount types in row 020.
040	B. Additional amount of encumbered assets. Significant currency 2 Additional amount of assets that would become encumbered due to a legal, regulatory or contractual provision that could be triggered in the event of a depreciation of significant currency number 2 in scenario B. See rules for amount types in row 020.

5. PART D: COVERED BONDS

5.1. General remarks
32. The information in this template is reported for all UCITS-compliant covered bonds issued by the reporting institution. UCITS-compliant covered bonds are the bonds referred to in the first subparagraph of Article 52(4) of Directive 2009/65/EC. These are covered bonds issued by the reporting institution if the reporting institution is in relation to the covered bond subject by law to special public supervision designed to protect bond-holders and if for such covered bond it is required that sums deriving from the issue of those bonds shall be invested in accordance with the law in assets which, during the whole period of validity of the bonds, are capable of covering claims attaching to the bonds and which, in the event of failure of the issuer, would be used on a priority basis for the reimbursement of the principal and payment of the accrued interest.
33. Covered bonds issued by or on behalf of the reporting institution that are not UCITS-compliant covered bonds shall not be reported within the AE-CB templates.
34. The reporting shall be based on the statutory covered bond regime, i.e. the legal framework which applies the to the covered bond programme.

5.2. Template: AE-CB. Covered bonds issuance

5.2.1. Instructions concerning z-axis
z-axis	Legal references and instructions
010	Cover pool identifier (open) The cover pool identifier consists of the name or unambiguous abbreviation of the cover pool issuing entity and the designation of the cover pool that individually is subject to the relevant covered bond protective measures.

5.2.2. Instructions concerning specific rows
Rows	Legal references and instructions
010	Nominal amount Nominal amount is the sum of claims to payment of principal, determined in accordance with the respective statutory covered bond regime's rules that apply for determining sufficient coverage.
020	Present value (swap)/Market value Present value (swap) is the sum of claims to payment of principal and interest, as discounted by a foreign exchange-specific risk-free yield curve, determined in accordance with the relevant statutory covered bond regime's rules that apply for determining sufficient coverage. For columns 080 and 210 referring to cover pool derivative positions, the amount to be reported is its market value.
030	Asset-specific value The asset-specific value is the economic value of the cover pool assets, as may be described by a fair value according to IFRS 13, a market value observable from executed transactions in liquid markets, or a present value that would discount future cash flows of an asset by an asset-specific interest rate curve.
040	Carrying amount Carrying amount of a covered bond liability or a cover pool asset is the accounting value at the covered bond issuer.

5.2.3. Instructions concerning specific columns
Columns	Legal references and instructions
010	Compliance with Article 129 of CRR? [YES/NO] Institutions shall specify whether the cover pool meets the requirements set out in Article 129 of CRR in order to be eligible for the preferential treatment set out in Article 129(4) and (5) of that Regulation.
012	If YES, indicate primary asset class of the cover pool If the cover pool is eligible for the preferential treatment set out in Article 129(4) and (5) of CRR (answer YES in column 011), the primary asset class of the cover pool shall be indicated in this cell. The classification in Article 129(1) of that Regulation shall be used for this purpose and codes ‘ a ’ , ‘ b ’ , ‘ c ’ , ‘ d ’ , ‘ e ’ , ‘ f ’ and ‘ g ’ shall be indicated accordingly. Code ‘ h ’ will be applied when the primary asset class of the cover pool does not fall under any of the previous categories.
020-140	Covered bond liabilities Covered bond liabilities are the liabilities of the issuing entity incurred by issuing covered bonds and extends to all positions as defined by the respective statutory covered bond regime that are subject to the relevant covered bond protective measures (this may, for instance, include securities in circulation as well as the position of counterparts of the covered bond issuer in derivative positions with, from the perspective of the covered bond issuer, a negative market value attributed to the cover pool and treated as covered bond liabilities in accordance with the relevant statutory covered bond regime).
020	Reporting date Amounts of covered bond liabilities, excluding cover pool derivative positions, according to the different future date ranges.
030	+ 6 months The date ‘ + 6 months ’ is the point in time 6 months after the reporting reference date. Amounts shall be provided assuming no change in covered bond liabilities compared to the reporting reference date except for amortization. In the absence of a fixed payment schedule, for amounts outstanding at future dates the expected maturity is to be used in a consistent manner.
040-070	+ 12 months — + 10 years As for ‘ + 6 months ’ (column 030) for the respective point in time from the reporting reference date.
080	Cover pool derivative positions with net negative market value The net negative market value of cover pool derivative positions which from the perspective of the covered bond issuer have a net negative market value. Cover pool derivative positions are such net derivative positions that in accordance with the relevant statutory covered bond regime have been included in the cover pool and are subject to the respective covered bond protective measures in that such derivative positions with a negative market value require coverage by eligible cover pool assets. The net negative market value is to be reported for the reporting reference date only.
090-140	External credit rating on covered bond Information on external credit ratings on the respective covered bond, as existing on the reporting date, is to be provided.
090	Credit rating agency 1 If a credit rating of at least one credit rating agency exists as of the reporting date, the name of one of these credit rating agencies shall be provided here. If credit ratings by more than three credit rating agencies exist as of the reporting date, the three credit rating agencies to whom information is provided shall be selected based on their respective market prevalence.
100	Credit rating 1 The credit rating issued by the credit rating agency reported in column 090 on the covered bond as of the reporting reference date. If long- and short-term credit ratings by the same credit rating agency exist, the long-term credit rating is to be reported. The credit rating to be reported shall include any modifiers.
110, 130	Credit rating agency 2 and credit rating agency 3 As for credit rating agency 1 (column 090) for further credit rating agencies that have issued credit ratings on the covered bond as of the reporting reference date.
120, 140	Credit rating 2 and credit rating 3 As for credit rating 1 (column 100) for further credit ratings issued by credit rating agencies 2 and 3 on the covered bond existing as of the reporting reference date.
150-250	Cover pool The cover pool consist of all positions, including cover pool derivative positions, from the perspective of the covered bond issuer, with a net positive market value, that are subject to the respective covered bond protective measures.
150	Reporting date Amounts of assets in the cover pool, excluding cover pool derivative positions. This amount includes minimum over-collateralisation requirements plus any additional over-collateralisation in excess of the minimum, to the extent subject to the respective covered bond protective measures.
160	+ 6 months The reporting date ‘ + 6 months ’ is the point in time 6 months after the reporting reference date. Amounts shall be provided assuming no change in cover pool compared to the reporting date except for amortization. In the absence of a fixed payment schedule, for amounts outstanding at future dates expected maturity is to be used in a consistent manner.
170-200	+ 12 months — + 10 years As for ‘ + 6 months ’ (column 160) for the respective point in time from the reporting reference date.
210	Cover pool derivative positions with net positive market value The net positive market value of cover pool derivative positions which, from the perspective of the covered bond issuer, have a net positive market value. Cover pool derivative positions are such net derivative positions that in accordance with the relevant statutory covered bond regime have been included in the cover pool and are subject to the respective covered bond protective measures in that such derivative positions with a positive market value would not form part of the covered bond issuer's general insolvency estate. The net positive market value is to be reported for the reporting date only.
220-250	Cover pool amounts in excess of minimum coverage requirements Amounts of cover pool, including cover pool derivative positions with net positive market values, in excess of requirements of minimum coverage (over-collateralisation).
220	As per the relevant statutory covered bond regime Amounts of over-collateralisation compared with the minimum coverage required by the relevant statutory covered bond regime.
230-250	As per credit rating agencies' methodology to maintain current external credit rating on covered bond Amounts of over-collateralisation compared with the level that, according to information on the respective credit rating agency's methodology available to the covered bond issuer, would at a minimum be required to support the existing credit rating issued by the respective credit rating agency.
230	Credit rating agency 1 Amounts of over-collateralisation compared with the level that, according to information on the methodology of credit rating agency 1 (column 090) available to the covered bond issuer, would at a minimum be required to support credit rating 1 (column 100).
240-250	Credit rating agency 2 and credit rating agency 3 The instructions for credit rating agency 1 (column 230) also apply to credit rating agency 2 (column 110) and credit rating agency 3 (column 130).

6. PART E: ADVANCED DATA

6.1. General remarks
35. Part E follows the same structure as in the encumbrance overview templates in Part A with different templates for the encumbrance of the assets of the reporting institution and for the collateral received: AE-ADV1 and AE-ADV2 respectively. Consequently, matching liabilities correspond to the liabilities that are secured by the encumbered assets and no one-to-one relation has to exist.

6.2. Template: AE-ADV1. Advanced template for assets of the reporting institution

6.2.1. Instructions concerning specific rows
Rows	Legal references and instructions
010-020	Central bank funding (of all types, including repos) All types of liabilities of the reporting institution in which the counterparty of the transaction is a central bank. Assets that have been pre-positioned with central banks shall not be treated as encumbered assets unless the central bank does not allow withdrawal of any asset placed without prior approval. For unused financial guarantees, the unused part, i.e., the amount above the minimum required by the central bank, shall be allocated on a pro-rata basis among the assets placed at the central bank.
030-040	Exchanged traded derivatives Carrying amount of the collateralised derivatives of the reporting institution that are financial liabilities, insofar as these derivatives are listed or traded on a recognised or designated investment exchange and they entail asset encumbrance for that institution.
050-060	Over-the counter derivatives Carrying amount of the collateralised derivatives of the reporting institution that are financial liabilities, insofar as these derivatives are traded over-the-counter and they entail asset encumbrance for that institution. (Same instruction in row 030 of the AE-SOU template)
070-080	Repurchase agreements Carrying amount of the repurchase agreements of the reporting institution in which the counterparty of the transaction is not a central bank, insofar as these transactions entail asset encumbrance for that institution. For tri-party repurchase agreements, the same treatment should be followed as for the repurchase agreements insofar as these transactions entail asset encumbrance for the reporting institution.
090-100	Collateralised deposits other than repurchase agreements Carrying amount of the collateralised deposits other than repurchase agreements of the reporting institution in which the counterparty of the transaction is not a central bank, insofar as these deposits entail asset encumbrance for that institution.
110-120	Covered bonds securities issued See instructions in row 100 of the AE-SOU template.
130-140	Securitisations issued See instructions in row 110 of the AE-SOU template.
150-160	Debt securities issued other than covered bonds and ABSs Carrying amount of the debt securities issued by the reporting institution other than covered bonds and securitisations insofar as these securities issued entail asset encumbrance for that institution. In the event that the reporting institution had retained some of the debt securities issued, either from the issuance date or thereafter as a result of a repurchase, these retained securities should not be included under this item. Additionally, the collateral assigned to them should be classified as non-encumbered for the purpose of this template.
170-180	Other sources of encumbrance See instructions in row 120 of the AE-SOU template.
190	Total encumbered assets For each type of asset specified in the rows of the AE-ADV1 template, the carrying amount of the assets held by the reporting institution that are encumbered.
200	of which: central bank eligible For each type of asset specified in the rows of the AE-ADV1 template, carrying amount of the assets held by the reporting institution that are encumbered and which are eligible for operations with those central banks to which the reporting institution has access. Reporting institutions that cannot positively establish central bank eligibility for an item, for instance jurisdictions that operate without a clear definition of central bank repo eligible assets or do not have access to continuously functioning central bank repo market, may abstain from reporting the associated amount for that item, i.e. leave the reporting field blank.
210	Total non-encumbered assets For each type of asset specified in the rows of the AE-ADV1 template, the carrying amount of the assets held by the reporting institution that are non-encumbered. Carrying amount means the amount reported in the asset side of the balance sheet.
220	of which: central bank eligible For each type of asset specified in the rows of the AE-ADV1 template, carrying amount of the assets held by the reporting institution that are non-encumbered and which are eligible for operations with those central banks to which the reporting institution has access. Reporting institutions that cannot positively establish central bank eligibility for an item, for instance jurisdictions that operate without a clear definition of central bank repo eligible assets or do not have access to continuously functioning central bank repo market, may abstain from reporting the associated amount for that item, i.e. leave the reporting field blank.
230	Encumbered + non-encumbered assets For each type of asset specified in the rows of the AE-ADV1 template, the carrying amount of the assets held by the reporting institution.

6.2.2. Instructions concerning specific columns
Columns	Legal references and instructions
010	Loans on demand See instructions for row 020 of the AE-ASS template.
020	Equity instruments See instructions for row 030 of the AE-ASS template.
030	Total See instructions for row 040 of the AE-ASS template.
040	of which: covered bonds See description instructions for row 050 of the AE-ASS template.
050	of which: issued by other entities of the group Covered bonds as described in the instructions for row 050 of the AE-ASS template that are issued by any entity within the prudential scope of consolidation.
060	of which: securitisations See instructions for row 060 of the AE-ASS template.
070	of which: issued by other entities of the group Securitisations as described in the instructions for row 060 of the AE-ASS template that are issued by any entity within the prudential scope of consolidation.
080	of which: issued by general governments See instructions for row 070 of the AE-ASS template.
090	of which: issued by financial corporations See instructions for row 080 of the AE-ASS template.
100	of which: issued by non-financial corporations See instructions for row 090 of the AE-ASS template.
110	Central banks and general governments Loans and advances other than loans on demand to a central bank or a general government.
120	Financial corporations Loans and advances other than loans on demand to financial corporations.
130	Non-financial corporations Loans and advances other than loans on demand to non-financial corporations.
140	of which: mortgages loans Loans and advances other than loans on demand guaranteed with a mortgage given to non-financial corporations.
150	Households Loans and advances other than loans on demand given to households.
160	of which: mortgage loans Loans and advances other than loans on demand guaranteed with a mortgage given to households.
170	Other assets See instruction for row 120 of the AE-ASS template.
180	Total See instruction for row 010 of the AE-ASS template.

6.3. Template: AE-ADV2. Advanced template for collateral received by the reporting institution

6.3.1. Instructions concerning specific rows
36. See point 6.2.1 as instructions are similar for both templates.

6.3.2. Instructions concerning specific columns
Columns	Legal references and instructions
010	Loans on demand See instructions for row 140 of the AE-COL template.
020	Equity instruments See instructions for row 150 of the AE-COL template.
030	Total See instructions for row 160 of the AE-COL template.
040	of which: covered bonds See instructions in row 170 of the AE-COL template.
050	of which: issued by other entities of the group Collateral received by the reporting institution that are covered bonds issued by any entity within the prudential scope of consolidation.
060	of which: securitisations See instructions for row 180 of the AE-COL template.
070	of which: issued by other entities of the group Collateral received by the reporting institution that are securitisations issued by any entity within the prudential scope of consolidation.
080	of which: issued by general governments See instructions for row 190 of the AE-COL template.
090	of which: issued by financial corporations See instructions for row 200 of the AE-COL template.
100	of which: issued by non-financial corporations See instructions for row 210 of the AE-COL template.
110	Central banks and general governments. Collateral received by the reporting institution that are loans and advances other than loans on demand to a central bank or a general government.
120	Financial corporations Collateral received by the reporting institution that are loans and advances other than loans on demand to financial corporations.
130	Non-financial corporations Collateral received by the reporting institution that are loans and advances other than loans on demand to non-financial corporations.
140	of which: mortgages loans Collateral received by the reporting institution that are loans and advances other than loans on demand guaranteed with a mortgage given to non-financial corporations.
150	Households Collateral received by the reporting institution that are loans and advances other than loans on demand given to households.
160	of which: mortgage loans Collateral received by the reporting institution that are loans and advances other than loans on demand guaranteed with a mortgage given to households.
170	Other assets See instructions for row 230 of the AE-COL template.
180	Own debt securities issued other than own covered bonds or ABSs See instructions for row 240 of the AE-COL template.
190	Total See instructions for rows 130 and 140 of the AE-COL template.
Substituted by Commission Implementing Regulation (EU) 2015/1278 of 9 July 2015 amending Implementing Regulation (EU) No 680/2014 laying down implementing technical standards with regard to supervisory reporting of institutions as regards instructions, templates and definitions (Text with EEA relevance).
ANNEX XVIII
AMM TEMPLATES		
Template number	Template code	Name of the template /group of templates
		ADDITIONAL MONITORING TOOLS TEMPLATES
67	C 67.00	CONCENTRATION OF FUNDING BY COUNTERPARTY
68	C 68.00	CONCENTRATION OF FUNDING BY PRODUCT TYPE
69	C 69.00	PRICES FOR VARIOUS LENGTHS OF FUNDING
70	C 70.00	ROLL-OVER OF FUNDING

C 67.00 – CONCENTRATION OF FUNDING BY COUNTERPARTY
Total and significant currencies
ANNEX XVIII Table 2: rows 1 - 15

C 68.00 – CONCENTRATION OF FUNDING BY PRODUCT TYPE
Total and significant currencies
ANNEX XVIII Table 3: rows 1 - 21

C 69.00 – PRICES FOR VARIOUS LENGTHS OF FUNDING
Total and significant currencies
ANNEX XVIII Table 4: rows 1 - 11

C 70.00 – ROLL-OVER OF FUNDING
Total and significant currencies
ANNEX XVIII Table 5: rows 1 - 128

ANNEX XIX INSTRUCTIONS FOR COMPLETING THE ADDITIONAL MONITORING TOOLS TEMPLATE OF ANNEX XVIII

1. Additional Monitoring Tools

1.1. General
1. In order to monitor an institution’s liquidity risk that falls outside of the scope of the reports on Liquidity Coverage and Stable Funding, institutions shall complete the template in Annex XVIII in accordance with the instructions in this Annex.
2. Total funding shall be all financial liabilities other than derivatives and short positions;
3. Funding with open maturity including on sight deposits shall be considered as maturing overnight.
4. Original maturity shall represent the time between the date of origination and the date of maturity of funding. The date of the maturity of the funding shall be determined in accordance with paragraph 12 of Annex XXIII. This means that in case of optionality such as in the case of paragraph 12 of Annex XXIII, the original maturity of a funding item can be shorter than the time elapsed since its origination.
5. Residual maturity shall represent the time between the end of the reporting period and the date of maturity of funding. The date of the maturity of the funding shall be determined in accordance with paragraph 12 of Annex XXIII.
6. For the purposes of calculating the original or residual weighted average maturity, deposits maturing overnight shall be considered to have a one day maturity.
7. For the purposes of calculating the original and residual maturity, where there is funding with a notice period or a cancellation or early withdrawal clause for the institution’s counterparty, a withdrawal at the first possible date shall be assumed.
8. For perpetual liabilities, except where subject to optionality as referred to in paragraph 12 of Annex XXIII, a fixed 20 years original and residual maturity shall be assumed.
9. For calculating the percentage threshold referred to in templates C 67.00 and C 68.00 by significant currency, institutions shall use a threshold of 1 % of total liabilities in all currencies.

1.2. Concentration of funding by counterparty (C 67.00)
1. In order to collect information about the reporting institutions’ concentration of funding by counterparty in template C 67.00, institutions shall apply the instructions contained in this section.
2. Institutions shall report the top ten largest counterparties or a group of connected clients that is defined in point (39) of Article 4(1) of Regulation (EU) No 575/2013, where the funding obtained from each counterparty or group of connected clients exceeds a threshold of 1 % of total liabilities in rows 020 to 110 of section 1 of the template. The counterparty reported in item 1.01 shall be the largest amount of funding received from one counterparty or group of connected clients which is above the 1 % threshold as at the reporting date. Item 1.02 shall be the second largest above the 1 % threshold, and similarly with the remaining items.
3. Where a counterparty belongs to several groups of connected clients, it shall be reported only once in the group with the highest amount of funding.
4. Institutions shall report the total of all other remaining funding in section 2.
5. The totals of section 1 and section 2 shall equal an institution’s total funding as per its balance sheet reported under the financial reporting framework (FINREP).
6. For each counterparty, institutions shall report all of the columns 010 to 080.
7. Where funding is obtained in more than one product type, the type reported shall be the product in which the largest proportion of funding was obtained. Identification of the underlying holder of securities may be undertaken on a best efforts basis. Where an institution has information concerning the holder of securities by virtue of its role as the custodian bank, it shall consider that amount for reporting the concentration of counterparties. Where there is no information available on the holder of the securities, the corresponding amount does not have to be reported.

8. Instructions concerning specific columns:
Column	Legal references and instructions
010	Counterparty Name The name of each counterparty from which funding obtained exceeds 1 % of total liabilities shall be recorded in column 010 in descending order, that is, in the order of the size of funding obtained. The name of the counterparty, whether a legal entity or a natural person, shall be reported. Where the counterparty is a legal entity, the counterparty name recorded shall be the full name of the legal entity from which the funding is derived including any references to the company type in accordance with the national company law.
015	Code This code is a row identifier and shall be unique for each row in the table.
020	LEI Code The legal entity identifier code of the counterparty. Where a Legal Entity Identification code (LEI code) exists for a given counterparty, it shall be used to identify that counterparty.
030	Counterparty Sector One sector shall be allocated to each counterparty on the basis of FINREP economic sector classes: (i) Central Banks; (ii) General Governments; (iii) Credit institutions; (iv) Other financial corporations; (v) Non-financial corporations; (vi) Households. For groups of connected clients, no sector shall be reported.
040	Residence of Counterparty ISO code 3166-1-alpha-2 of the country of incorporation of the counterparty shall be used, including pseudo-ISO codes for international organisations , available in the most recent edition of the Eurostat’s ‘ Balance of Payments Vademecum ’ . For groups of connected clients, no country shall be reported.
050	Product Type Counterparties reported in column 010 shall be assigned a product type, corresponding to the product issued in which the funding was received or in which the largest proportion of funding was received for mixed product types, using the following codes indicated in bold: UWF (unsecured wholesale funding obtained from financial customers including interbank money).
	UWNF (unsecured wholesale funding obtained from non-financial customers) SFT (funding obtained from repurchase agreements as defined in point (82) of Article 4(1) of Regulation (EU) No 575/2013) CB (funding obtained from covered bond issuance as defined in Article 129(4) or (5) of Regulation (EU) No 575/2013or Article 52(4) of Directive 2009/65/EC) ABS (funding obtained from asset backed security issuance including asset backed commercial paper) IGCP (funding obtained from intragroup counterparties) OSWF (other secured wholesale funding) OFP (other funding products, e.g. retail funding)
060	Amount Received The total amount of funding received from counterparties reported in column 010 shall be recorded in column 060 and institutions shall report carrying amounts therein.
070	Weighted average original maturity For the amount of funding received reported in column 060, from the counterparty reported in column 010, a weighted average original maturity (in days) for that funding shall be recorded in column 070. The weighted average original maturity shall be calculated as the average original maturity (in days) of the funding received from that counterparty. The average shall be size weighted, based on the size of different amounts of funding received in proportion to the total funding received from that counterparty.
080	Weighted average residual maturity For the amount of funding received reported in column 060, from the counterparty reported in column 010, a weighted average residual maturity, in days, for that funding shall be recorded in column 080. The weighted average residual maturity shall be calculated as the average maturity, in remaining days, of the funding received from that counterparty. The average shall be size weighted, based on the size of different amounts of funding received in proportion to the total funding received from that counterparty.

1.3. Concentration of funding by product type (C 68.00)

1. This template seeks to collect information about the reporting institutions’ concentration of funding by product type, broken down into the funding types as specified in the following instructions regarding rows:
Row	Legal references and instructions
010	1. Retail funding Retail deposits as defined in Article 3(8) of Delegated Regulation (EC) No 2015/61
020	1.1. of which sight deposits; Of the retail funding of row 010 those that are sight deposits.
031	1.2. of which term deposits not withdrawable within the following 30 days; Of the retail funding of row 010 those that are term deposits not withdrawable within the following 30 days
041	1.3. of which term deposits withdrawable within the following 30 days; Of the retail funding of row 010 those that are term deposits withdrawable within the following 30 days
070	1.4. of which savings accounts with either of the following characteristics: Of the retail funding of row 010 those that are savings accounts with either of the following characteristics: with a notice period for withdrawal greater than 30 days without a notice period for withdrawal which is greater than 30 days. This row shall not be reported.
080	1.4.1. with a notice period for withdrawal greater than 30 days; Of the retail funding of row 010 those that are savings accounts with a notice period for withdrawal greater than 30 days
090	1.4.2. without a notice period for withdrawal which is greater than 30 days Of the retail funding of row 010 those that are savings accounts without a notice period for withdrawal which is greater than 30 days.
100	2. Wholesale funding shall be considered to consist of any of the following: All counterparties other than those of retail deposits as defined in Article 3(8) of Delegated Regulation (EC) No 2015/61. This row shall not be reported.
110	2.1. unsecured wholesale funding; All counterparties other than those of retail deposits as defined in Article 3(8) of Delegated Regulation (EC) No 2015/61 where the funding is unsecured.
120	2.1.1. of which loans and deposits from financial customers; Of the funding in row 110, those that consist of loans and deposits from financial customers. Funding from central banks shall be excluded from this row.
130	2.1.2. of which loans and deposits from non-financial customers; Of the funding in row 110, those that consist of loans and deposits from non-financial customers. Funding from central banks shall be excluded from this row.
140	2.1.3. of which loans and deposits from intra-group entities; Of the funding in row 110, those that consist of loans and deposits from intra-group entities. Wholesale funding from intra-group entities shall only be reported on a solo or subconsolidated basis.
150	2.2. secured wholesale funding; All counterparties other than those of retail deposits as defined in Article 3(8) of Delegated Regulation (EC) No 2015/61 where the funding is secured.
160	2.2.1. of which Securities Financing Transactions; Of the funding in row 150, that which is funding obtained from repurchase agreements as defined in point (82) of Article 4(1) of Regulation (EU) No 575/2013.
170	2.2.2. of which covered bond issuances; Of the funding in row 150, that which is funding obtained from covered bond issuance as defined in Article 129(4) or (5) of Regulation (EU) No 575/2013 or Article 52(4) of Directive 2009/65/EC.
180	2.2.3. of which asset backed security issuances; Of the funding in row 150, that which is funding obtained from asset backed security issuance including asset backed commercial paper.
190	2.2.4. of which loans and deposits from intra-group entities. Of the funding in row 150, that which is funding obtained from intra-group entities. Wholesale funding from intra-group entities shall only be reported on a solo or subconsolidated basis.
2. For the purpose of completing this template, institutions shall report the total amount of funding received from each product type which exceeds a threshold of 1 % of total liabilities.
3. For each product type, institutions shall report all of the columns 010 to 050.
4. The 1 % of total liabilities threshold shall be used to determine those product types from which funding has been obtained in accordance with the following:
(a) the 1 % of total liabilities threshold shall be applied for the product types referred to in all of the following rows: 1.1 ‘ Sight deposit ’ ; 1.2 ‘ Term deposits not withdrawable within the following 30 days ’ ; 1.3 ‘ Term deposits within the following 30 days ’ ; 1.4 ‘ Saving accounts ’ ; 2.1 ‘ Unsecured wholesale funding ’ ; 2.2 ‘ Secured wholesale funding ’ ;
(b) with regard to the calculation of the 1 % of total liabilities threshold for row 1.4 ‘ Saving accounts ’ the threshold shall apply on the sum of 1.4.1 and 1.4.2;
(c) for rows 1. ‘ Retail Funding ’ and 2. ‘ Wholesale Funding ’ the 1 % of total liabilities threshold applies on aggregated level only.
5. The figures reported in rows 1. ‘ Retail ’ , 2.1 ‘ Unsecured wholesale funding ’ , 2.2 ‘ Secured wholesale funding ’ can include broader product types than the underlying ‘ of which ’ items.

6. Instructions concerning specific columns:
Column	Legal references and instructions
010	Carrying amount received Carrying amount of funding received for each of the product categories listed in the ‘ Product name ’ column shall be reported in column 010 of the template
020	Amount covered by a Deposit Guarantee Scheme according to Directive 2014/49/EU or an equivalent deposit guarantee scheme in a third country Of the total amount of funding received for each of the product categories listed in the ‘ Product name ’ column reported in column 010, the amount which is covered by a Deposit Guarantee Scheme in accordance with Directive 2014/49/EU or an equivalent deposit guarantee scheme in a third country. Note: the amounts reported in column 020 and column 030, for each of the product categories listed in the ‘ Product name ’ column, shall be equal to the total amount received reported in column 010.
030	Amount not covered by a Deposit Guarantee Scheme according to Directive 2014/49/EU or an equivalent deposit guarantee scheme in a third country Of the total amount of funding received for each of the product categories listed in the ‘Product name’ column reported in column 010, the amount which is not covered by a Deposit Guarantee Scheme in accordance with Directive 2014/49/EU or an equivalent deposit guarantee scheme in a third country. Note: the amounts reported in column 020 and column 030, for each of the product categories listed in the ‘ Product name ’ column, shall be equal to the total amount received reported in column 010.
040	Weighted average original maturity For the amount of funding received reported in column 010, from the product categories listed in the ‘ Product name ’ column, a weighted average original maturity (in days) for that funding shall be recorded in column 040. The weighted average original maturity shall be calculated as the average original maturity (in days) of the funding received for that product type. The average shall be size weighted, based on the size of different amounts of funding received in proportion to the total funding received from all issuances of that product type.
050	Weighted average residual maturity For the amount of funding received reported in column 010, from the product categories listed in the ‘ Product name ’ column, a weighted average residual maturity (in days) for that funding shall be recorded in column 050. The weighted average residual maturity shall be calculated as the average maturity (in days) left on the funding received for that product type. The average shall be size weighted, based on the size of different amounts of funding received in proportion, to the total funding received from all issuances of that product type.

1.4. Prices for Various Lengths of Funding (C 69.00)
1. Institutions shall report the information about the transaction volume and prices paid by institutions for funding obtained during the reporting period and still present at the end of the reporting period in template C 69.00 in accordance with the following original maturities:
(a) overnight in columns 010 and 020;
(b) greater than overnight and less than or equal to 1 week (columns 030 and 040)
(c) greater than 1 week and less than or equal to 1 month in columns 050 and 060;
(d) greater than 1 month and less than or equal to 3 months in columns 070 and 080;
(e) greater than 3 months and less than or equal to 6 months in columns 090 and 100;
(f) greater than 6 months and less than or equal to 1 year in columns 110 and 120;
(g) greater than 1 year and less than or equal to 2 years in columns 130 and 140;
(h) greater than 2 years and less than or equal to 5 years in columns 150 and 160;
(i) greater than 5 years and less than or equal to 10 years in columns 170 and 180.
2. For the purposes of determining the maturity of the funding obtained, institutions shall ignore the period between trade date and settlement date, e.g. a three-month liability settling in two weeks’ time shall be reported in the 3 months maturity (columns 070 and 080).
3. The spread reported in the left hand column of each time bucket shall be one of the following:
(a) the spread payable by the institution for liabilities less than or equal to one year, if they were to have been swapped to the benchmark overnight index for the appropriate currency no later than close of business on the day of the transaction;
(b) the spread payable by the firm at issuance for liabilities with an original maturity greater than one year, were they to be swapped to the relevant benchmark index for the appropriate currency which is three month EURIBOR for EUR or LIBOR for GBP and USD, no later than close of business on the day of the transaction.
Solely for the purposes of spread calculation under points a) and b) above, on the basis of historical experience, the institution may determine the original maturity with or without taking into account optionality, as appropriate.
4. Spreads shall be reported in basis points with a negative sign in case the new funding is cheaper than under the relevant benchmark rate. They shall be calculated on a weighted average basis.
5. For the purposes of calculating the average spread payable across multiple issuances/deposits/loans, institutions shall calculate the total cost in the currency of issue ignoring any FX swap, but they shall include any premium or discount and fees payable or receivable, taking as a basis the term of any theoretical or actual interest rate swap matching the term of the liability. The spread shall be the liability rate minus the swap rate.
6. The amount of funding obtained for the funding categories listed in the ‘ Item ’ column shall be reported in the ‘ volume ’ column of the applicable time bucket.
7. In the column ‘ volume ’ , institutions shall provide the amounts representing the carrying amount of the new funding obtained in the applicable time bucket according to original maturity.
8. As for all items, also for off-balance sheet commitments, institutions shall only report the related amounts reflected in the balance sheet. An off-balance sheet commitment provided to the institution shall only be reported in C69.00 after a drawdown. In the case of a drawdown, the volume and spread to be reported shall be the amount drawn and applicable spread at the end of the reporting period. Where the drawdown cannot be rolled-over at the discretion of the institution, the actual maturity of the drawdown shall be reported. Where the institution has already drawn on the facility at the end of the previous reporting period, and where the institution subsequently increases the usage of the facility, only the additional amount drawn shall be reported.
9. Deposits placed by retail customers shall consist of deposits as defined in Article 3(8) of Delegated Regulation (EC) No 2015/61.
10. For funding that has rolled-over during the reporting period that is still outstanding at the end of the reporting period the average of spreads applying at that time (i.e. end of reporting period) shall be reported. For the purposes of C69.00, funding that rolled-over and is still there at the end of the reporting period shall be considered to represent new funding.
11. By way of deviation from the rest of Section 1.4, the volume and spread of sight deposits shall only be reported where the depositor did not have a sight deposit in the preceding reporting period or where there is an increase in the deposit amount compared to the previous reference date, in which case the increment shall be treated as new funding. The spread shall be that of the end of the period.
12. Where there is nothing to report, cells relating to spreads shall be left empty.

13. Instructions concerning specific rows:
Row	Legal references and instructions
010	1. Total Funding Total volume and weighted average spread of all funding shall be obtained for all of the following lengths of time in accordance as follows: (a) overnight in columns 010 and 020; (b) greater than overnight and less than or equal to 1 week in columns 030 and 040; (c) greater than 1 week and less than or equal to 1 month in columns 050 and 060; (d) greater than 1 month and less than or equal to 3 months in columns 070 and 080; (e) greater than 3 months and less than or equal to 6 months in columns 090 and 100; (f) greater than 6 months and less than or equal to 1 year in columns 110 and 120; (g) greater than 1 year and less than or equal to 2 years in columns 130 and 140; (h) greater than 2 years and less than or equal to 5 years in columns 150 and 160; (i) greater than 5 years and less than or equal to 10 years in columns 170 and 180.
020	1.1. of which: Retail funding Of the total funding reported in item 1, the total volume and weighted average spread of retail funding obtained.
030	1.2. of which: Unsecured wholesale funding Of the total funding in item 1, the total volume and weighted average spread of unsecured wholesale funding obtained.
040	1.3. of which: Secured funding Of the total funding reported in item 1, the total volume and weighted average spread of secured funding obtained.
050	1.4. of which: Senior unsecured securities Of the total funding reported in item 1, the total volume and weighted average spread of senior unsecured securities obtained.
060	1.5. of which: Covered bonds Of the total funding reported in item 1, the total volume and weighted average spread of all covered bond issuance encumbering the institutions own assets.
070	1.6. of which: Asset backed securities including ABCP Of the total funding reported in item 1, the total volume and weighted average spread of asset backed securities issued including asset backed commercial paper.

1.5. Roll-over of funding (C 70.00)
1. This template seeks to collect information about the volume of funds maturing and new funding obtained i.e. ‘ roll-over of funding ’ on a daily basis over the month preceding the reporting date.
2. Institutions shall report, in calendar days, the funding they have maturing in accordance with the following time buckets according to the original maturity:
(a) overnight in columns 010 to 040);
(b) between 1 and 7 days in columns 050 to 080);
(c) between 7 and 14 days in columns 090 to 120);
(d) between 14 and 1 month in columns 130 to 160);
(e) between 1 and 3 months in columns 170 to 200);
(f) between 3 and 6 months in columns 210 to 240);
(g) in more than 6 months in columns 250 to 280).
3. For each time bucket described in paragraph 2, the amount maturing shall be reported in the left-hand column, the amount funds rolled over shall be reported in the ‘ Roll over ’ column, new funds obtained shall be reported in the ‘ New Funds ’ column and the net difference between new funds on the one hand and roll-over minus maturing funds on the other shall be reported in the right-hand column.
4. Total net cash flows shall be reported in column 290 and shall equal the sum of all ‘ Net ’ columns numbered 040, 080, 120, 160, 200, 240 and 280.
5. The average term of funding, in days, for maturing term funds shall be reported in column 300.
6. The average term of funding, in days, of funds rolled over shall be reported in column 310
7. The average term of funding, in days, for new term funds shall be reported in column 320.
8. The ‘ Maturing ’ amount shall comprise all liabilities that were contractually withdrawable by the provider of the funding or due on the relevant day in the reporting period. It shall always be reported with a positive sign.
9. The ‘ Roll-over ’ amount shall comprise the maturing amount as defined in paragraphs 2 and 3 that remains with the institution on the relevant day of the reporting period. It shall always be reported with a positive sign. Where the maturity of the funding has changed due to the roll-over event, the ‘ roll-over ’ amount shall be reported in a time bucket according to the new maturity.
10. The ‘ New funds ’ amount shall comprise actual inflows of funding on the relevant day in the reporting period. It shall always be reported with a positive sign.
11. The ‘ Net ’ amount shall be considered as a change of funding within a particular original maturity time band on the relevant day of the reporting period, and shall be calculated by adding in the ‘ net ’ column the new funds plus the roll over funds minus the maturing funds.

12. Instructions concerning specific columns:
Column	Legal references and instructions
010 to 040	Overnight The total amount of funding maturing on the relevant day of the reporting period with an overnight original maturity shall be reported in column 010 of line item 1.1-1.31. For months with less than 31 days as well as for weekends, irrelevant lines shall be left empty. The total amount of funding rolled-over on the relevant day of the reporting period with an overnight original maturity shall be reported in column 020 of line item 1.1-1.31. The total amount of new funding obtained on the relevant day of the reporting period with an overnight original maturity shall be reported in column 030 of line item 1.1-1.31. The net difference between, on the one hand, maturing daily funding and, on the other hand, roll-overs plus new daily funding obtained shall be reported in column 040 of line item 1.1-1.31.
050 to 080	> 1 day ≤ 7 days The total amount of funding maturing on the relevant day of the reporting period with an original maturity between one day and one week shall be reported in column 050 of line item 1.1-1.31. For months with less than 31 days as well as for weekends, irrelevant lines shall be left empty. The total amount of funding rolled-over on the relevant day of the reporting period with an original maturity between one day and one week shall be reported in column 060 of line item 1.1-1.31. The total amount of new funding obtained on the relevant day of the reporting period with an original maturity between one day and one week shall be reported in column 70 of line item 1.1-1.31. The net difference between, on the one hand, maturing funding and, on the other hand, roll-overs plus new funding obtained shall be reported in column 080 of line item 1.1-1.31.
090 to 120	> 7days ≤ 14 days The total amount of funding maturing on the relevant day of the reporting period with an original maturity between one week and two weeks shall be reported in column 090 of line item 1.1-1.31. For months with less than 31 days as well as for weekends, irrelevant lines shall be left empty. The total amount of funding rolled-over on the relevant day of the reporting period with an original maturity between one week and two weeks shall be reported in column 100 of line item 1.1-1.31. The total amount of new funding obtained on the relevant day of the reporting period with an original maturity between one week and two weeks shall be reported in column 110 of line item 1.1-1.31. The net difference between, on the one hand, maturing funding and, on the other hand, roll-overs plus new funding obtained, shall be reported in column 120 of line item 1.1-1.31.
130 to 160	> 14 days ≤ 1 month The total amount of funding maturing on the relevant day of the reporting period with an original maturity between two weeks and one month shall be reported in column 130 of line item 1.1-1.31. For months with less than 31 days as well as for weekends, irrelevant lines shall be left empty. The total amount of funding rolled-over on the relevant day of the reporting period with an original maturity between two weeks and one month shall be reported in column 140 of line item 1.1-1.31. The total amount of new funding obtained on the relevant day of the reporting period with an original maturity between two weeks and one month shall be reported in column 150 of line item 1.1-1.31. The net difference between, on the one hand, maturing funding and, on the other hand, roll-overs plus new funding obtained shall be reported in column 160 of line item 1.1-1.31.
170 to 200	> 1 Month ≤ 3 Months The total amount of funding maturing on the relevant day of the reporting period with an original maturity between one month and three months shall be reported in column 170 of line item 1.1-1.31. For months with less than 31 days as well as for weekends, irrelevant lines shall be left empty. The total amount of funding rolled-over on the relevant day of the reporting period with an original maturity between one month and three months shall be reported in column 180 of line item 1.1-1.31. The total amount of new funding obtained on the relevant day of the reporting period with an original maturity between one month and three months shall be reported in column 190 of line item 1.1-1.31. The net difference between, on the one hand, maturing funding and, on the other hand, roll-overs plus new funding obtained, shall be reported in column 200 of line item 1.1-1.31.
210 to 240	> 3 Months ≤ 6 Months The total amount of funding maturing on the relevant day of the reporting period with an original maturity between three months and six months shall be reported in column 210 of line item 1.1-1.31. For months with less than 31 days as well as for weekends, irrelevant lines shall be left empty. The total amount of funding rolled-over on the relevant day of the reporting period with an original maturity between three months and six months shall be reported in column 220 of line item 1.1-1.31. The total amount of new funding obtained on the relevant day of the reporting period with an original maturity between three months and six months shall be reported in column 230 of line item 1.1-1.31. The net difference between, on the one hand, maturing funding and, on the other hand, roll-overs plus new funding obtained, shall be reported in column 240 of line item 1.1-1.31.
250 to 280	> 6 Months The total amount of funding maturing on the relevant day of the reporting period with an original maturity beyond six months shall be reported in column 250 of line item 1.1-1.31. For months with less than 31 days as well as for weekends, irrelevant lines shall be left empty. The total amount of funding rolled-over on the relevant day of the reporting period with an original maturity beyond six months shall be reported in column 260 of line item 1.1-1.31. The total amount of new funding obtained on the relevant day of the reporting period with an original maturity beyond six months shall be reported in column 270 of line item 1.1-1.31. The net difference between, on the one hand, maturing funding and, on the other hand, roll-overs plus new funding obtained, shall be reported in column 280 of line item 1.1-1.31.
290	Total net cash flows The total net cash flows equal to the sum of all ‘ Net ’ columns numbered 040, 080, 120, 160, 200, 240, 280, shall be reported in column 290.
300 to 320	Average Term (days) The weighted average term, in days, of all funds maturing shall be reported in column 300. The weighted average term, in days, of all funds rolled over shall be reported in column 310, the weighted average term, in days, of all new funds shall be reported in column 320.

ANNEX XX REPORTING ON COUNTERBALANCING CAPACITY
AMM TEMPLATES		
Template number	Template code	Name of the template/group of templates
		CONCENTRATION OF COUNTERBALANCING CAPACITY TEMPLATES
71	C 71.00	CONCENTRATION OF COUNTERBALANCING CAPACITY BY ISSUER

C 71.00 — CONCENTRATION OF COUNTERBALANCING CAPACITY BY ISSUER
Total and significant currencies
ANNEX XX Table 2: rows 1 - 15

ANNEX XXI INSTRUCTIONS FOR COMPLETING THE CONCENTRATION OF COUNTERBALANCING CAPACITY TEMPLATE (C 71.00) OF ANNEX XX

Concentration of Counterbalancing Capacity by issuer/counterparty (CCC) (C 71.00)
1. In order to collect information about the reporting institutions’ concentration of counterbalancing capacity by the ten largest holdings of assets or liquidity lines granted to the institution for this purpose under template C 71.00, institutions shall apply the instructions contained in this Annex.
2. Where an issuer or counterparty is assigned to more than one product type, currency or credit quality step, the total amount shall be reported. The product type, currency or credit quality step to be reported shall be the ones that are relevant to the largest proportion of the counterbalancing capacity concentration.
3. The counterbalancing capacity in C 71.00 shall be the same as that in C 66.01 with the qualification that the assets reported as counterbalancing capacity for the purposes of C 71.00 shall be unencumbered to be available for the institution to convert into cash on the reporting reference date.
4. For calculating the concentrations for the purpose of reporting template C 71.00 by significant currency, institutions shall use the concentrations in all currencies.
5. When an issuer or counterparty belongs to several groups of connected clients, it shall be reported only once in the group with the higher counterbalancing capacity concentration.

6. Except for row 120, concentrations of counterbalancing capacity with a central bank as issuer or counterparty shall not be reported in this template. In the event that an institution has pre-positioned assets at a central bank for standard liquidity operations and to the extent that these assets fall under the top ten issuers or counterparties of unencumbered counterbalancing capacity, the institution shall report the original issuer and the original product type.
Column	Legal references and instructions
010	Issuer Name The name of the top ten issuers of unencumbered assets or counterparties of undrawn committed liquidity lines granted to the institution shall be recorded in column 010 in a descending fashion. The largest item will be recorded in 1.01, the second in line item 1.02, and so on. Issuers and counterparties forming a group of connected clients shall be reported as one single concentration The issuer or counterparty name recorded shall be the full name of the legal entity which issued the assets or granted the liquidity lines, including any references to the company type in accordance with the national company law.
020	LEI code The legal entity identifier code of the counterparty.
030	Issuer Sector One sector shall be allocated to each issuer or counterparty on the basis of FINREP economic sector classes: (i) General Governments; (ii) Credit institutions; (iii) Other financial corporations; (iv) Non-financial corporations; (v) Households. For groups of connected clients, no sector shall be reported.
040	Residence of Issuer ISO code 3166-1-alpha-2 of the country of incorporation of the issuer or counterparty shall be used, including pseudo-ISO codes for international organisations, available in the last edition of the Eurostat’s ‘ Balance of Payments Vademecum ’ . For groups of connected clients, no country shall be reported.
050	Product Type Issuers/Counterparties recorded in column 010 shall be assigned a product type corresponding to the product in which the asset is held or the liquidity stand-by facility has been received, using the following codes indicated in bold: SrB (Senior Bond) SubB (Subordinated Bond) CP (Commercial Paper) CB (Covered Bonds) US (UCITS-security, i.e. financial instruments representing a share in or asecurity issued by an Undertaking for Collective Investments of transferable securities) ABS (Asset Backed Security) CrCl (Credit Claim) Eq (Equity) Gold (if physical gold, which can be treated as a single counterparty) LiqL (Undrawn committed liquidity line granted to the institution) OPT (Other product type)
060	Currency Issuer or counterparties recorded in column 010 shall be assigned a currency ISO code in column 060 corresponding to the denomination of the asset received or undrawn committed liquidity lines granted to the institution. The three-letter currency unit code according to ISO 4217 shall be reported. Where a multicurrency line is part of a concentration in counterbalancing capacity, the line shall be counted in the currency that is the predominant one in the rest of the concentration. With regard to the separate reporting in significant currencies as specified under Article 415(2) of Regulation (EU) No 575/2013, institutions shall make an assessment of the currency in which the flow is likely to occur and shall report the item only in that significant currency, in line with the instructions for the separate reporting of significant currencies in the LCR, in accordance with Regulation (EU) 2016/322.
070	Credit quality step The appropriate credit quality step shall be assigned in accordance with Regulation (EU) No 575/2013, which shall be the same as that of the items reported in the maturity ladder. Where there is no rating, the step of ‘ non-rated ’ shall be assigned.
080	MtM value/nominal The market value or fair value of the assets, or, where applicable, the nominal value of the undrawn liquidity line granted to the institution.
090	Collateral value CB-eligible The collateral value according to the central bank rules for standing facilities for the specific assets. For assets denominated in a currency included in Regulation (EU) 2015/233 as a currency with extremely narrow central bank eligibility, institutions shall leave this field blank.
ANNEX XXII

REPORTING ON AMM MATURITY LADDER
AMM TEMPLATES		
Template number	Template code	Name of the template /group of templates
		MATURITY LADDER TEMPLATE
66	C 66.01	MATURITY LADDER TEMPLATE

C 66.01 - MATURITY LADDER
Total and significant currencies
ANNEX XXII Table 2: rows 1 - 129

ANNEX XXIII INSTRUCTIONS FOR COMPLETING THE MATURITY LADDER TEMPLATE OF ANNEX XXII
PART I: GENERAL INSTRUCTIONS 1. In order to capture the maturity mismatch of an institution’s activities ( ‘ maturity ladder ’ ) in the template of Annex XXII, institutions shall apply the instructions contained in this Annex.
2. The maturity ladder monitoring tool shall cover contractual flows and contingent outflows. The contractual flows resulting from legally binding agreements and the residual maturity from the reporting date shall be reported according to the provisions of those legal agreements.
3. Institutions shall not double count inflows.
4. In the column ‘ initial stock ’ , the stock of items at the reporting date shall be reported.
5. Only the blank white cells of the template in Annex XXII shall be completed.
6. The section of the maturity ladder template entitled ‘ Outflows and inflows ’ shall cover future contractual cash flows from all on- and off- balance sheet items. Only outflows and inflows pursuant to contracts valid at the reporting date shall be reported.
7. The section of the maturity ladder template entitled ‘ Counterbalancing capacity ’ shall represent the stock of unencumbered assets or other funding sources which are legally and practically available to the institution at the reporting date to cover potential contractual gaps. Only outflows and inflows pursuant to contracts existing at the reporting date shall be reported.
8. Cash outflows and inflows in the respective sections ‘ outflows ’ and ‘ inflows ’ shall be reported on a gross basis with a positive sign. Amounts due to be paid and received shall be reported respectively in the outflow and inflow sections.
9. For the section of the maturity ladder template entitled ‘ counterbalancing capacity ’ outflows and inflows shall be reported on a net basis with a positive sign if they represent inflows and with a negative sign if they represent outflows. For cash flows, amounts due shall be reported. Securities flows shall be reported at current market value. Flows arising on credit and liquidity lines shall be reported at the contractual available amounts.
10. Contractual flows shall be allocated across the twenty-two time buckets according to their residual maturity, with days referring to calendar days.
11. All contractual flows shall be reported, including all material cash-flows from non-financial activities such as taxes, bonuses, dividends and rents.

12. In order for institutions to apply a conservative approach in determining contractual maturities of flows, they shall ensure all of the following:
(a) where an option to defer payment or receive an advance payment exists, the option shall be presumed to be exercised where it would advance outflows from the institution or defer inflows to the institution;
(b) where the option to advance outflows from the institution is solely at the discretion of the institution, the option shall be presumed to be exercised only where there is a market expectation that the institution will do so. The option shall be presumed not to be exercised where it would advance inflows to the institution or defer outflows from the institution. Any cash outflow that would be contractually triggered by this inflow – as in pass-through financing – shall be reported at the same date as this inflow;
(c) all sight and non-maturing deposits shall be reported as overnight in column 020;
(d) open repos or reverse repos and similar transactions which can be terminated by either party on any day shall be considered to mature overnight unless the notice period is longer than one day in which case they shall be reported in the relevant time bucket according to the notice period;
(e) retail term deposits with an early withdrawal option shall be considered to mature in the time period during which the early withdrawal of the deposit would not incur a penalty according to Article 25(4)(b) of Regulation (EU) 2015/61.
(f) where the institution is not able to establish a minimum contractual payment schedule for a particular item or part thereof following the rules set out in this paragraph, it shall report the item or part thereof as greater than 5 years in column 220.
13. Interest outflows and inflows from all on and off balance sheet instruments shall be included in all relevant items of the ‘ outflows ’ and ‘ inflows ’ sections.
14. Foreign Exchange ( ‘ FX ’ ) swaps maturing shall reflect the maturing notional value of cross-currency swaps, FX forward transactions and unsettled FX spot agreements in the applicable time buckets of the template.
15. Cash flows from unsettled transactions shall be reported, in the short period before settlement, in the appropriate rows and buckets.
16. Items where the institution has no underlying business, such as where it has no deposits of a certain category, shall be left blank.
17. Past due items and items for which the institution has a reason to expect non- performance shall not be reported.
18. Where the collateral received is re-hypothecated in a transaction that matures beyond the transaction in which the institution received the collateral, a securities outflow in the amount of the fair value of the collateral received shall be reported in the counterbalancing capacity section in the relevant bucket according to the maturity of the transaction that generated the reception of the collateral.
19. Intragroup items shall not affect the reporting on a consolidated basis
PART II: INSTRUCTIONS CONCERNING SPECIFIC ROWS

ANNEX XXIII Table 1: rows 1 - 128

ANNEX XXIV REPORTING ON LIQUIDITY
LIQUIDITY TEMPLATES		
Template number	Template code	Name of the template /group of templates
LIQUIDITY COVERAGE TEMPLATES		
		PART I – LIQUID ASSETS
72	C 72.00	LIQUIDITY COVERAGE – LIQUID ASSETS
		PART II – OUTFLOWS
73	C 73.00	LIQUIDITY COVERAGE – OUTFLOWS
		PART III – INFLOWS
74	C 74.00	LIQUIDITY COVERAGE – INFLOWS
		PART IV – COLLATERAL SWAPS
75	C 75.01	LIQUIDITY COVERAGE – COLLATERAL SWAPS
		PART V – CALCULATIONS
76	C 76.00	LIQUIDITY COVERAGE – CALCULATIONS
		PART VI – PERIMETER OF CONSOLIDATION
77	C 77.00	LIQUIDITY COVERAGE – PERIMETER

C 72.00 – LIQUIDITY COVERAGE – LIQUID ASSETS
Currency
ANNEX XXIV Table 2: rows 1 - 53

C 73.00 – LIQUIDITY COVERAGE – OUTFLOWS
Currency
ANNEX XXIV Table 3: rows 1 - 154

C 74.00 – LIQUIDITY COVERAGE – INFLOWS
Currency
ANNEX XXIV Table 4: rows 1 - 87

C 75.01 – LIQUIDITY COVERAGE – COLLATERAL SWAPS
Currency
ANNEX XXIV Table 5: rows 1 - 200
ANNEX XXIV Table 5: rows 201 - 286

C 76.00 – LIQUIDITY COVERAGE – CALCULATIONS
Currency
ANNEX XXIV Table 6: rows 1 - 39

C 77.00 – LIQUIDITY COVERAGE – PERIMETER
Parent or subsidiary	Name	Code	LEI code	Country code	Type of entity
005	010	020	030	040	050
					
ANNEX XXV

REPORTING ON LIQUIDITY (PART 1: LIQUID ASSETS)

1. Liquid assets

1.1. General remarks
1. This is a summary template which contains information about assets for the purpose of reporting the liquidity coverage requirement as specified in Commission Delegated Regulation (EU) 2015/61 . Items which do not need to be completed by credit institutions are coloured grey.
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 ).
2. Assets reported shall comply with the requirements set out in Title II of Delegated Regulation (EU) 2015/61.
3. By way of derogation from point 2, credit institutions shall not apply currency restrictions in accordance with Article 8(6), point (d) of Article 10(1) and point (c) of Article 12(1) of Delegated Regulation (EU) 2015/61 when completing the template in a separate currency in accordance with Article 415(2) of Regulation (EU) No 575/2013. Credit institutions shall still apply jurisdiction restrictions.
4. Credit institutions shall report the template in the corresponding currencies in accordance with Article 415(2) of Regulation (EU) 575/2013.
5. In accordance with Article 9 of Delegated Regulation (EU) 2015/61, credit institutions shall report, where relevant, the amount/market value of liquid assets by taking into account the net liquidity outflows and inflows resulting from an early close-out of hedges referred to in point (b) of Article 8(5) and in accordance with the appropriate haircuts specified in Chapter 2 of that Delegated Regulation.
6. Delegated Regulation (EU) 2015/61 only refers to rates and haircuts. In these instructions the word ‘ weighted ’ is used as general term for indicating the amount obtained after the application of the respective haircuts, rates and any other relevant additional instructions (in the case of e.g. secured lending and funding). The word ‘ weight ’ in the context of these instructions refers to a number between 0 and 1, which multiplied by the amount yields the weighted amount or the value referred to in Article 9 of Delegated Regulation (EU) 2015/61, respectively.
7. Credit institutions shall not double report items within and across sections 1.1.1., 1.1.2., 1.2.1., and 1.2.2 of the template.

1.2. Specific remarks

1.2.1. Specific requirements regarding CIUs
8. For items 1.1.1.10., 1.1.1.11., 1.2.1.6., 1.1.2.2., 1.2.2.10., 1.2.2.11., 1.2.2.12., 1.2.2.13. of the template, credit institutions shall report the appropriate proportion of the market value of the CIUs corresponding to the liquid assets underlying the undertaking, in accordance with Article 15(4) of Delegated Regulation (EU) 2015/61.

1.2.2. Specific requirements regarding grandfathering and transitional provisions
9. Credit institutions shall report items as referred to in Articles 35 to 37 of Delegated Regulation (EU) 2015/61 in the appropriate asset rows. A total of all asset amounts reported based on these Articles shall also be reported in the ‘ Memorandum ’ section for reference.

1.2.3. Specific requirements for reporting by Central Institutions
10. Central institutions, when reporting liquid assets corresponding to deposits from credit institutions placed at the central institution that are considered as liquid assets for the depositing credit institution, shall ensure that the reported amount of these liquid assets after haircut does not exceed the outflow from the corresponding deposits in accordance with Article 27(3) of Delegated Regulation (EU) 2015/61.

1.2.4. Specific requirements regarding settlement and forward starting transactions
11. All assets complying with Articles 7, 8 and 9 of Delegated Regulation (EU) 2015/61 and which are in the stock of the credit institution on the reference date, shall be reported in the relevant row in template C72, even if they are sold or used in secured forward transactions. Consistently, no liquid assets from forward starting transactions referring to contractually agreed but not yet settled purchases of liquid assets and forward purchases of liquid assets shall be reported in this template.

1.2.5. Liquid assets sub template

1.2.5.1. Instructions concerning specific columns
Column	Legal references and instructions
010	Amount/Market value Credit institutions shall report in Column 010 the market value or the amount where applicable, of the liquid assets in accordance with Title II of Delegated Regulation (EU) 2015/61. The amount/market value reported in Column 010: shall take into account net outflows and net inflows due to early close-out of hedges defined in Article 8(5) of the same Regulation; shall not take into account haircuts specified in Title II of the same Regulation; shall include the proportion of deposits referred to in point (a) of Article 16(1) of the same Regulation that are holding differing specific assets in the corresponding asset rows; shall be reduced, where applicable, by the amount of deposits defined in Article 16 placed at the central credit institution as referred to in Article 27(3) of the same Regulation. When referring to Article 8(5) of Delegated Regulation (EU) 2015/61, credit institutions shall take into account the net cash flow, either outflow or inflow, that would arise if the hedge was to be closed out at the reporting reference date. Credit institutions shall not take into account potential future value changes in the asset.
020	Standard weight Column 020 contains weights reflecting the amount obtained after the application of the respective haircuts specified in Title II of Delegated Regulation (EU) 2015/61. Weights are intended to reflect the reduction in value of the liquid assets after applying the appropriate haircuts.
030	Applicable weight Credit institutions shall report in Column 030 the applicable weight applied to liquid assets set out in Title II of Delegated Regulation (EU) 2015/61. Applicable weights may result in weighted average values and shall be reported in decimal terms (i.e. 1,0 for an applicable weight of 100 per cent, or 0,5 for an applicable weight of 50 per cent). Applicable weights may reflect, but are not limited to, firm-specific and national discretions. The figure reported in Column 030 shall not exceed the figure in Column 020.
040	Value in accordance with Article 9 Credit institutions shall report in Column 040 the value of the liquid asset determined in accordance with Article 9 of Delegated Regulation (EU) 2015/61, which shall be the amount/market value, taking into account net liquidity outflows and inflows due to early close-out of hedges, multiplied by the applicable weight.

1.2.5.2. Instructions concerning specific rows

ANNEX XXV Table 2: rows 1 - 52

REPORTING ON LIQUIDITY (PART 2 OUTFLOWS)

1. Outflows

1.1. General remarks
1. This is a summary template which contains information about liquidity outflows measured over the next 30 days, for the purpose of reporting the liquidity coverage requirement as specified in Delegated Regulation (EU) 2015/61. Items which do not need to be completed by credit institutions are coloured grey.
2. Credit institutions shall report the template in the corresponding currencies in accordance with Article 415(2) of Regulation (EU) 575/2013.
3. Some memorandum items are included in the associated template to these instructions. While not strictly necessary for the calculation of the ratio itself, they are required to be completed. Those items provide necessary information to allow the competent authorities complete an adequate assessment of credit institutions’ compliance with the liquidity requirements. In some cases, they represent a more granular breakdown of the items included in the main sections of the templates while in other cases they reflect additional liquidity resources credit institutions may have access to.
4. In accordance with Article 22(1) of Delegated Regulation (EU) 2015/61, liquidity outflows shall:
i. include the categories referred to in Article 22(2) of Delegated Regulation (EU) 2015/61
ii. be calculated by multiplying the outstanding balances of various categories of liabilities and off-balance sheet commitments by the rates at which they are expected to run off or be drawn down as indicated in Delegated Regulation (EU) 2015/61.
5. Delegated Regulation (EU) 2015/61 only refers to rates and haircuts, and the word ‘ weight ’ just refers to these. In these instructions the word ‘ weighted ’ is used as general term for indicating the amount obtained after the application of the respective haircuts, rates and any other relevant additional instructions (in the case of e.g. secured lending and funding).
6. Outflows within a group or an institutional protection scheme (except for outflows from undrawn credit or liquidity facilities provided by members of a group or an institutional protection scheme where the competent authority has granted permission to apply a preferential outflow rate and outflows from operational deposits maintained in the context of an institutional Protection Scheme or a cooperative network) shall be reported in the relevant categories. Those outflows shall also be separately reported as memorandum items.
7. The liquidity outflows shall be reported only once in the template unless additional outflows in accordance with Article 30 of Delegated Regulation (EU) 2015/61 are applicable or where the item is an ‘ of which ’ item or a memorandum item.
8. In the case of separate reporting as referred to in Article 415(2) of Regulation (EU) 575/2013, the following shall always apply:
only items and flows denominated in that currency shall be reported;
in case of currency mismatch between legs of a transaction, only the leg in that currency shall be reported;
where Delegated Regulation (EU) 2015/61 allows netting, it may only be applied to flows in that currency;
where a flow has multicurrency optionality, the credit institution shall make an assessment of the currency in which the flow is likely to occur and shall report the item only in that separate currency.
9. The standard weights in column 040 of template C 73.00 of Annex XXIV are those specified in Delegated Regulation (EU) 2015/61 by default and are provided here for information.
10. The template contains information about collateralised liquidity flows, referred to as ‘ secured lending and capital-market driven transactions ’ in Delegated Regulation (EU) 2015/61, and for the purpose of calculating LCR as defined in that Regulation. Where those transactions are made against a collateral pool, the identification of the specific assets pledged for the purposes of reporting in this template will be made, according to the liquid assets categories specified in Title II, Chapter 2 of Delegated Regulation (EU) 2015/61, starting from the least liquid assets. Simultaneously, in case of transactions with different residual maturities made against a collateral pool, less liquid assets are assigned to the transactions with the longest residual maturities first.
11. A separate template is provided for collateral swaps, C 75.01 of Annex XXIV. Collateral swaps, which are collateral-versus-collateral transactions shall not be reported on the outflow template C 73.00 of Annex XXIV, which only covers cash-versus-collateral transactions.

1.2. Specific remarks regarding settlement and forward starting transactions

12. Credit institutions shall report outflows stemming from forward starting repos, reverse repos and collateral swaps that start within the 30-day horizon and mature beyond the 30-day horizon where the initial leg produces an outflow. In the case of a reverse repo, the amount to be lent to the counterparty shall be considered as an outflow and reported in item 1.1.8.6. net of the market value of the asset to be received as collateral and after the application of the related LCR haircut if the asset qualifies as liquid asset. If the amount to be lent is lower than the market value of the asset (after LCR haircut) to be received as collateral, the difference shall be reported as an inflow. If the collateral to be received does not qualify as liquid asset, the outflow shall be reported in full. In the case of a repo, where the market value of the asset to be lent as collateral after the application of the related LCR haircut (if the asset qualifies as liquid asset) is larger than the cash amount to be received, the difference is to be reported as an outflow in the above mentioned row. If the amount to be received is larger than the market value of the asset (after LCR haircut) to be lent as collateral, the difference shall be reported as an inflow. For collateral swaps, where the net effect of the initial swap of liquid assets (taking into account LCR haircuts) gives rise to an outflow this outflow shall be reported in the above mentioned row.
Forward repos, forward reverse repos and forward collateral swaps that start and mature within the LCR’s 30-day horizon do not have any impact on a bank’s LCR and can be ignored.

13. Decision tree for sections 1 of C 73.00 of Annex XXIV, the decision tree is without prejudice to the memorandum items reporting. The decision tree is part of the instructions to specify prioritization assessment criteria for the assignment of each reported item in order to secure homogenous and comparable reporting. Going through the decision tree alone is not sufficient, credit institutions shall always comply with the rest of the instructions. For the sake of simplicity, the decision tree ignores totals and subtotals; this however does not mean that they shall not be reported as well. DA refers to Delegated Regulation (EU) 2015/61.

ANNEX XXV Table 3: rows 1 - 105

1.3. Instructions concerning specific columns
Column	Legal references and instructions
010	Amount 1.1. Unsecured transactions/deposits specific instructions: Credit institutions shall report here the outstanding balance of various categories of liabilities and off-balance sheet commitments as specified in Articles 22 to 31 of Delegated Regulation (EU) 2015/61. Subject to prior approval of the competent authority within each category of outflows, the amount of each item reported in Column 010 of template C 73.00 of Annex XXIV shall be netted by subtracting the relevant amount of interdependent inflow in accordance with Article 26. 1.2. Secured lending and capital market-driven transactions specific instructions: Credit institutions shall report here the outstanding balance of the liabilities which represent the cash leg of the secured transaction in accordance with Article 22(2) of Delegated Regulation (EU) 2015/61,.
020	Market value of collateral extended Secured lending and capital market-driven transactions specific instructions: Credit institutions shall report here the market value of extended collateral which is calculated as the current market value gross of haircut and net of flows resulting from unwinding associated hedges in accordance with Article 8(5) of Delegated Regulation (EU) 2015/61) and subject to the following conditions: Where a credit institution may only recognise part of their foreign currency shares, or foreign currency central government or bank assets, or domestic currency central government or central bank assets within their HQLA, only the recognizable part shall be reported within the rows on Level 1, Level 2A and Level 2B asssets in accordance with point (ii) of point (c) of Article 12(1) and point (d) of Article 10(1) of Delegated Regulation (EU) 2015/61. Where the particular asset is used as collateral but in an amount which is surplus to the portion which can be recognised within liquid assets, the surplus amount shall be reported in the non-liquid section; Level 2A assets shall be reported in the corresponding L2A asset row, even if the Alternative Liquidity Approach is being followed (i.e. do not move L2A to L1 in the secured transaction reporting).
030	Value of collateral extended in accordance with Article 9 Secured lending and capital market-driven transactions specific instructions: Credit institutions shall report here the value of extended collateral in accordance with Article 9 of Delegated Regulation (EU) 2015/61. This is calculated by multiplying Column 020 of template C 73.00 of Annex XXIV by the applicable weight/haircut from template C 72.00 of Annex XXIV corresponding to asset type. Column 030 of template C 73.00 of Annex XXIV is used in the calculation of the adjusted amount of liquid assets in template C 76.00 of Annex XXIV.
040	Standard Weight Articles 24 to 31a of Delegated Regulation (EU) 2015/61 The standard weights in Column 040 are those specified in Delegated Regulation (EU) 2015/61 by default and are provided for information only.
050	Applicable Weight Both unsecured and secured: Credit institutions shall report here applicable weights. These weights are those specified in Articles 22 to 31a of Delegated Regulation (EU) 2015/61. Applicable weights may result in weighted average values and shall be reported in decimal terms (i.e. 1,0 for an applicable weight of 100 per cent, or 0,5 for an applicable weight of 50 per cent). Applicable weights may reflect, but are not limited to, firm-specific and national discretions.
060	Outflow Both unsecured and secured: Credit institutions shall report here the outflows. Those outflows are calculated by multiplying Column 010 C 73.00 of Annex XXIV by Column 050 C 73.00 of Annex XXIV.

1.4. Instructions concerning specific rows

ANNEX XXV Table 5: rows 1 - 153

REPORTING ON LIQUIDITY (PART 3: INFLOWS)

1. Inflows

1.1. General remarks
1. This is a summary template which contains information about liquidity inflows measured over the next 30 days, for the purpose of reporting the liquidity coverage requirement as specified in Delegated Regulation (EU) 2015/61. Items which do not need to be completed by credit institutions are coloured in grey.
2. Credit institutions shall submit the template in the corresponding currencies in accordance with Article 415(2) of Regulation (EU) 575/2013 .
3. In accordance with Article 32 of Delegated Regulation (EU) 2015/61, liquidity inflows shall:
i. comprise only contractual inflows from exposures that are not past due and for which the credit institution has no reason to expect non-performance within the 30-day time horizon.
ii. be calculated by multiplying the outstanding balances of various categories of contractual receivables by the rates specified in Delegated Regulation (EU) 2015/61.
4. Inflows within a group or an institutional protection scheme (except for inflows from undrawn credit or liquidity facilities provided by members of a group or an institutional protection scheme where the competent authority has granted permission to apply a preferential inflow rate) shall be assigned to the relevant categories. Unweighted amounts shall additionally be reported as memorandum items under section 3 of the template (rows 460-510).
5. In accordance with Article 32(6) of Delegated Regulation (EU) 2015/61, credit institutions shall not report inflows from any of the liquid assets reported in accordance with Title II of that Regulation other than payments due on the assets that are not reflected in the market value of the asset.
6. Inflows which are to be received in third countries where there are transfer restrictions or which are denominated in non-convertible currencies shall be reported in the relevant rows of sections 1.1., 1.2. or 1.3. The inflows shall be reported in full, regardless of the amount of outflows in the third country or currency.
7. Monies due from securities issued by the credit institution itself or by a SSPE with which the credit institution has close links shall be taken into account on a net basis with an inflow rate applied on the basis of the inflow rate applicable to the underlying assets pursuant to point (h) of Article 32(3) of Delegated Regulation (EU) 2015/61.
8. In accordance with Article 32(7) of Delegated Regulation (EU) 2015/61, credit institutions shall not report inflows from any new obligations entered into. This refers to contractual commitments which have not been contractually established at the reporting date, but will or may be entered into within the 30 day horizon.
9. In the case of a separate reporting in accordance with Article 415(2) of Regulation (EU) 575/2013, the reported balances shall comprise only those which are denominated in the relevant currency to ensure that currency gaps are correctly reflected. This may mean that only one side of the transaction is reported in the relevant currency template. For instance, in case of FX derivatives, credit institutions may only net inflows and outflows in accordance with Article 21 of Delegated Regulation (EU) 2015/61 where they are denominated in the same currency.
10. The Column structure of this template is built to accommodate the different caps on inflows applicable pursuant to Article 33 of Delegated Regulation (EU) 2015/61. In this regard, the template is based on three sets of Columns, one set for each cap treatment (75 % cap, 90 % cap, and exempted from the cap). Credit institutions reporting on a consolidated basis may use more than one such set of Columns if different entities under the same consolidation qualify for different cap treatments.
11. In accordance with point (c) of Article 2(3) of Delegated Regulation (EU) 2015/61 regarding consolidation, liquidity inflows in a subsidiary undertaking in a third country which are subject under the national law of that third country to lower rates than those specified in Title III of the regulation shall be subject to consolidation in accordance with the lower rates specified in the national law of the third country.
12. Delegated Regulation (EU) 2015/61 only refers to rates and haircuts, and the word ‘ weight ’ in the template just refers to these in the appropriate context. The word ‘ weighted ’ in this Annex shall be understood as a general term for indicating the amount calculated after the application of the respective haircuts, rates and any other relevant additional instructions (e.g. in the case of secured lending and funding).
13. Some ‘ memorandum items ’ are included in the associated templates to these instructions. Among others, these items provide necessary information to allow the competent authority to complete an adequate assessment of credit institutions’ compliance with the liquidity requirements.

1.2. Specific remarks regarding secured lending and capital market-driven transactions
14. The template categories collateralizsed flows by the quality of the underlying asset or HQLA eligibility. A separate template is provided for collateral swaps — C 75.01 of ANNEX XXIV. Collateral swaps, which are collateral-versus-collateral transactions shall not be reported on the inflow template (C 74.00 of ANNEX XXIV) which only covers cash-versus-collateral transactions.
15. Where secured lending and capital market-driven transactions are secured by shares or units in CIUs, these transactions shall be reported as if they would be collateralised by the assets underlying the CIU. For instance, in case a secured lending transaction is collateralised by shares or units in a CIU that exclusively invests into Level 2A assets, the secured lending transaction shall be reported as if directly collateralised by Level 2A collateral. The potentially higher inflow rate for secured lending transactions backed by shares or units in CIUs shall be reflected in the relevant inflow rate to be reported.
16. In the case of a separate reporting in accordance with Article 415(2) of Regulation (EU) 575/2013 , the reported balances shall comprise only those which are denominated in the relevant currency to ensure that currency gaps are correctly reflected. This may mean that only one side of the transaction is reported in the relevant currency template. Hence a reverse repo transaction can result in a negative inflow. Reverse repo transactions reported in the same item shall be summed (positives and negatives). If the total is positive then this shall be reported on the inflow template. If the total is negative then this shall be reported on the outflow template. This approach shall be followed vice-versa for repos.
17. For the calculation of inflows, secured lending and capital market-driven transactions shall be reported irrespective of whether the underlying collateral received meets the operational requirements as provided under Article 8 of Delegated Regulation (EU) 2015/61. Furthermore, in order to allow for the calculation of the adjusted stock of liquid assets in accordance with Article 17(2) of Delegated Regulation (EU) 2015/61, credit institutions shall also report separately those transactions where the underlying collateral received additionally meets the operational requirements as provided under Article 8 of Delegated Regulation (EU) 2015/61.
18. Where a credit institution may only recognise part of their foreign currency shares, or foreign currency central government or bank assets, or domestic currency central government or central bank assets within their HQLA, only the recognisable part shall be reported within the rows on Level 1, Level 2A and Level 2B assets in accordance with point (ii) of point (c) of Article 12(1) and point (d) of Article 10(1) of Delegated Regulation (EU) 2015/61. Where the particular asset is used as collateral but for an amount which is surplus to the portion which can be recognised as liquid assets, the surplus amount shall be reported in the non-liquid section. Level 2A assets shall be reported in the corresponding Level 2A asset row, even if the Alternative Liquidity Approach under Article 19 of Delegated Regulation (EU) 2015/61 is being followed.

1.3. Specific remarks regarding settlement and forward starting transactions
19. Credit institutions shall report inflows stemming from forward starting repos that start within the 30 day horizon and mature beyond the 30 day horizon. The inflow to be received shall be reported in {C 74.00; r260} ( ‘ other inflows ’ ), net of the market value of the asset to be delivered to the counterparty after the application of the related LCR haircut. If the asset is not a ‘ liquid asset ’ , the inflow to be received shall be reported in full. The asset to be pledged as collateral shall be reported in C 72.00 if the institution holds the asset in its book at the reference date and it fulfils the related conditions.
20. Credit institutions shall report inflows stemming from forward starting repos, reverse repos and collateral swaps that start within the 30 day horizon and mature beyond the 30 day horizon where the initial leg produces an inflow. In the case of a repo, the inflow to be received shall be reported in {C 74.00; r260} ( ‘ other inflows ’ ), net of the market value of the asset to be delivered to the counterparty after the application of the related LCR haircut. If the amount to be received is lower than the market value of the asset (after LCR haircut) to be lent as collateral, the difference shall be reported as an outflow in C.73.00. If the asset is not a ‘ liquid asset ’ , the inflow to be received shall be reported in full. The asset to be pledged as collateral shall be reported in C 72.00 where the institution holds the asset in its book at the reference date and it fulfils the related conditions. In the case of a reverse repo, where the market value of the asset to be received as collateral after the application of the related LCR haircut (if the asset qualifies as liquid asset) is larger than the cash amount to be lent, the difference is to be reported as an inflow in {C 74.00; r260} ( ‘ other inflows ’ ). For collateral swaps, where the net effect of the initial swap of assets (taking into account LCR haircuts) gives rise to an inflow this inflow shall be reported {C 74.00; r260} ( ‘ other inflows ’ ).
21. Forward repos, forward reverse repos and forward collateral swaps that start and mature within the LCR’s 30 day horizon do not have any impact on a bank’s LCR and can be ignored.

1.4. Decision tree on LCR inflows in accordance with Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61
22. The decision tree is without prejudice to the reporting of the memorandum items. The decision tree is part of the instructions to specify prioritisation assessment criteria for the assignment of each reported item in order to secure homogenous and comparable reporting. Going through the decision tree alone is not sufficient — credit institutions shall comply with the rest of the instructions at all times.
23. For the sake of simplicity, the decision tree ignores totals and subtotals; this however does not necessarily imply that they shall not also be reported.

1.4.1. Decision tree on rows in template C 74.00 of ANNEX XXIV

ANNEX XXV Table 6: rows 1 - 119

1.4.2. Decision tree on columns in template C 74.00 of ANNEX XXIV

ANNEX XXV Table 7: rows 1 - 51

1.5. Inflows sub template

1.5.1. Instructions concerning specific columns
Column	Legal references and instructions
010	Amount — Subject to the 75 % cap on inflows Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61 For rows {040}, {060}-{090}, {120}-{130}, {150}-{260}, {269}-{297}, {301}-{303}, {309-337}, {341}-{345}, {450} and {470}-{510}, credit institutions shall report in Column 010 the total amount of assets/monies due/maximum amounts that can be drawn that are subject to the 75 % cap on inflows as specified in Article 33(1) of Delegated Regulation (EU) 2015/61 and following the relevant instructions included here. Where a competent authority has approved a partial exemption from the cap on inflows in accordance with Article 33(2) of Delegated Regulation (EU) 2015/61, the part of the amount subject to the exemption shall be reported in Column 020 or 030 and the part of the amount not subject to the exemption shall be reported in Column 010.
020	Amount — Subject to the 90 % cap on inflows Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61 For rows {040}, {060}-{090}, {120}-{130}, {150}-{260}, {269}-{297}, {301}-{303}, {309-337}, {341}-{345}, {450} and {470}-{510}, credit institutions shall report in Column 020 the total amount of assets/monies due/maximum amounts that can be drawn that are subject to the 90 % cap on inflows as specified in Article 33(4) and Article 33(5) of Delegated Regulation (EU) 2015/61 and following the relevant instructions included here. Where a competent authority has approved a partial exemption from the cap on inflows in accordance with Article 33(2) of Delegated Regulation (EU) 2015/61, the part of the amount subject to the exemption shall be reported in Column 020 or 030 and the part of the amount not subject to the exemption shall be reported in Column 010.
030	Amount – Exempted from the cap on inflows Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61 For rows {040}, {060}-{090}, {120}-{130}, {150}-{260}, {269}-{297}, {301}-{303}, {309-337}, {341}-{345}, {450} and {470}-{510}, credit institutions shall report in Column 030 the total amount of assets/monies due/maximum amounts that can be drawn that are fully exempted from the cap on inflows as specified in Article 33(2), Article 33(3) and Article 33(5) of Delegated Regulation (EU) 2015/61 and following the relevant instructions included here. Where a competent authority has approved a partial exemption from the cap on inflows in accordance with Article 33(2) of Delegated Regulation (EU) 2015/61, the part of the amount subject to the exemption shall be reported in Column 020 or 030 and the part of the amount not subject to the exemption shall be reported in Column 010.
040	Market value of collateral received — Subject to the 75 % cap on inflows Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61 For rows {269}-{295}, {309-335} and for row {490}, credit institutions shall report in Column 040 the market value of collateral received in secured lending and capital market-driven transactions that are subject to the 75 % cap on inflows as specified in Article 33(1) of Delegated Regulation (EU) 2015/61. Where a competent authority has approved a partial exemption from the cap on inflows in accordance with Article 33(2) of Delegated Regulation (EU) 2015/61, the market value of collateral received in secured lending and capital market-driven transactions subject to the exemption shall be reported in Column 050 or 060 and the market value of collateral received in secured lending and capital market-driven transactions not subject to the exemption shall be reported in Column 040.
050	Market value of collateral received — Subject to the 90 % cap on inflows Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61 For rows {269}-{295}, {309-335} and for row {490}, credit institutions shall report in Column 050 the market value of collateral received in secured lending and capital market-driven transactions that are subject to the 90 % cap on inflows as specified in Article 33(4) and Article 33(5) of Delegated Regulation (EU) 2015/61. Where a competent authority has approved a partial exemption from the cap on inflows in accordance with Article 33(2) of Delegated Regulation (EU) 2015/61, the market value of collateral received in secured lending and capital market-driven transactions subject to the exemption shall be reported in Column 050 or 060 and the market value of collateral received in secured lending and capital market-driven transactions not subject to the exemption shall be reported in Column 040.
060	Market value of collateral received — Exempted from the cap on inflows Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61 For rows {269}-{295}, {309-335} and for row {490}, credit institutions shall report in Column 060 the market value of collateral received in secured lending and capital market-driven transactions that are fully exempted from the cap on inflows as specified in Article 33(2), Article 33(3) and Article 33(5) of Delegated Regulation (EU) 2015/61. Where a competent authority has approved a partial exemption from the cap on inflows in accordance with Article 33(2) of Delegated Regulation (EU) 2015/61, the market value of collateral received in secured lending and capital market-driven transactions subject to the exemption shall be reported in Column 050 or 060 and the market value of collateral received in secured lending and capital market-driven transactions not subject to the exemption shall be reported in Column 040.
070	Standard Weight Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61 The standard weights in Column 070 are those specified in Delegated Regulation (EU) 2015/61 by default and are provided for information only.
080	Applicable Weight- Subject to the 75 % cap on inflows Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61 The Applicable Weight is the one specified in Articles 32 to 34 of Delegated Regulation (EU) 2015/61. Applicable weights may result in weighted average values and shall be reported in decimal terms (i.e. 1,0 for an applicable weight of 100 per cent, or 0,5 for an applicable weight of 50 per cent). Applicable weights may reflect, but are not limited to, firm-specific and national discretions. For rows {040}, {060}-{090}, {120}-{130}, {150}-{260}, {269}, {273}, {277}, {281}, {285}, {289}, {293}, {301}-{303}, {309}, {313}, {317}, {321}, {325}, {329}, {333}, {341}-{345}, {450} and {470} –{510}, credit institutions shall report in Column 080 the average weight applied to assets/monies due/maximum amounts that can be drawn that are subject to the 75 % cap on inflows as specified in Article 33(1) of Delegated Regulation (EU) 2015/61.
090	Applicable Weight- Subject to the 90 % cap on inflows Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61 The Applicable Weight are those specified in Articles 32 to 34 of Delegated Regulation (EU) 2015/61. Applicable weights may result in weighted average values and shall be reported in decimal terms (i.e. 1,0 for an applicable weight of 100 per cent, or 0,5 for an applicable weight of 50 per cent). Applicable weights may reflect, but are not limited to, firm-specific and national discretions. For rows {040}, {060}-{090}, {120}-{130}, {150}-{260}, {269}, {273}, {277}, {281}, {285}, {289}, {293}, {301}-{303}, {309}, {313}, {317}, {321}, {325}, {329}, {333}, {341}-{345}, {450} and {470} –{510}, credit institutions shall report in Column 090 the average weight applied to assets/monies due/maximum amounts that can be drawn that are subject to the 90 % cap on inflows as specified in Article 33(4) and Article 33(5) of Delegated Regulation (EU) 2015/61.
100	Applicable Weight — Exempted from the cap on inflows Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61 The Applicable Weight are those specified in Articles 32 to 34 of Delegated Regulation (EU) 2015/61. Applicable weights may result in weighted average values and shall be reported in decimal terms (i.e. 1,0 for an applicable weight of 100 per cent, or 0,5 for an applicable weight of 50 per cent). Applicable weights may reflect, but are not limited to, firm-specific and national discretions. For rows {040}, {060}-{090}, {120}-{130}, {150}-{260}, {269}, {273}, {277}, {281}, {285}, {289}, {293}, {301}-{303}, {309}, {313}, {317}, {321}, {325}, {329}, {333}, {341}-{345}, {450} and {470} –{510}, credit institutions shall report in Column 100 the average weight applied to assets/monies due/maximum amounts that can be drawn that are exempted from the cap on inflows as specified in Article 33(2), Article 33(3) and Article 33(5) of Delegated Regulation (EU) 2015/61.
110	Value of collateral received in accordance with Article 9 — Subject to the 75 % cap on inflows Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61 For rows {271}, {275}, {279}, {283}, {287}, {291}, {295}, {311}, {315}, {319}, {323}, {327}, {331} and {335}, credit institutions shall report in Column 110 the value of collateral received in accordance with Article 9 of Delegated Regulation (EU) 2015/61 in secured lending and capital market-driven transactions that are subject to the 75 % cap on inflows as specified in Article 33(1) of Delegated Regulation (EU) 2015/61. Where a competent authority has approved a partial exemption from the cap on inflows in accordance with Article 33(2) of Delegated Regulation (EU) 2015/61, the value of collateral received in accordance with Article 9 of Delegated Regulation (EU) 2015/61 in secured lending and capital market-driven transactions subject to the exemption shall be reported in Column 120 or 130 and the value of collateral received in accordance with Article 9 of Delegated Regulation (EU) 2015/61 in secured lending and capital market-driven transactions not subject to the exemption shall be reported in Column 110.
120	Value of collateral received in accordance with Article 9 — Subject to the 90 % cap on inflows Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61 For rows {271}, {275}, {279}, {283}, {287}, {291}, {295}, {311}, {315}, {319}, {323}, {327}, {331} and {335}, credit institutions shall report in Column 120 the value of collateral received in accordance with Article 9 of Delegated Regulation (EU) 2015/61 in secured lending and capital market-driven transactions that are subject to the 90 % cap on inflows as specified in Article 33(4) and Article 33(5) of Delegated Regulation (EU) 2015/61. Where a competent authority has approved a partial exemption from the cap on inflows in accordance with Article 33(2) of Delegated Regulation (EU) 2015/61, the value of collateral received in accordance with Article 9 of Delegated Regulation (EU) 2015/61 in secured lending and capital market-driven transactions subject to the exemption shall be reported in Column 120 or 130 and the value of collateral received in accordance with Article 9 of Delegated Regulation (EU) 2015/61 in secured lending and capital market-driven transactions not subject to the exemption shall be reported in Column 110.
130	Value of collateral received in accordance with Article 9 — Exempted from the cap on inflows Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61 For rows {271}, {275}, {279}, {283}, {287}, {291}, {295}, {311}, {315}, {319}, {323}, {327}, {331} and {335}, credit institutions shall report in Column 130 the value of collateral received in accordance with Article 9 of Delegated Regulation (EU) 2015/61 in secured lending and capital market-driven transactions that are fully exempted from the cap on inflows as specified in Article 33(2), Article 33(3) and Article 33(5) of Delegated Regulation (EU) 2015/61. Where a competent authority has approved a partial exemption from the cap on inflows in accordance with Article 33(2) of Delegated Regulation (EU) 2015/61, the value of collateral received in accordance with Article 9 of Delegated Regulation (EU) 2015/61 in secured lending and capital market-driven transactions subject to the exemption shall be reported in Column 120 or 130 and the value of collateral received in accordance with Article 9 of Delegated Regulation (EU) 2015/61 in secured lending and capital market-driven transactions not subject to the exemption shall be reported in Column 110.
140	Inflow — Subject to the 75 % cap on inflows Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61 For rows {040}, {060}-{090}, {120}-{130}, {150}-{260}, {269}, {273}, {277}, {281}, {285}, {289}, {293}, {301}-{303}, {309}, {313}, {317}, {321}, {325}, {329}, {333}, {341}-{345}, {450} and {470}-{510}, credit institutions shall report in Column 140 total inflows that are subject to the 75 % cap on inflows as specified in Article 33(1) of Delegated Regulation (EU) 2015/61 which shall be calculated by multiplying the total amount/maximum amount that can be drawn from Column 010 with the relevant weight from Column 080. For row {170}, credit institutions shall report in Column 140 total inflows that are subject to the 75 % cap on inflows as specified in Article 33(1) of Delegated Regulation (EU) 2015/61 only if the credit institution received this commitment in order for them to disburse a promotional loan to a final recipient, or have received a similar commitment from a multilateral development bank or a public sector entity.
150	Inflow — Subject to the 90 % cap on inflows Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61 For rows {040}, {060}-{090}, {120}-{130}, {150}-{260}, {269}, {273}, {277}, {281}, {285}, {289}, {293}, {301}-{303}, {309}, {313}, {317}, {321}, {325}, {329}, {333}, {341}-{345}, {450} and {470}-{510}, credit institutions shall report in Column 150 total inflows that are subject to the 90 % cap on inflows as specified in Article 33(4) and Article 33(5) of Delegated Regulation (EU) 2015/61 which shall be calculated by multiplying the total amount/maximum amount that can be drawn from Column 020 with the relevant weight from Column 090.For row {170}, credit institutions shall report in Column 150 total inflows that are subject to the 90 % cap on inflows as specified in Article 33(4) and Article 33(5) of Delegated Regulation (EU) 2015/61 only if the credit institution received this commitment in order for them to disburse a promotional loan to a final recipient, or have received a similar commitment from a multilateral development bank or a public sector entity.
160	Inflow — Exempted from the cap on inflows Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61 For rows {040}, {060}-{090}, {120}-{130}, {150}-{260}, {269}, {273}, {277}, {281}, {285}, {289}, {293}, {301}-{303}, {309}, {313}, {317}, {321}, {325}, {329}, {333}, {341}-{345}, {450} and {470}-{510}, credit institutions shall report in Column 160 total inflows that are fully exempted from the cap on inflows as specified in Article 33(2), Article 33(3) and Article 33(5) of Delegated Regulation (EU) 2015/61 which shall be calculated by multiplying the total amount/maximum amount that can be drawn from Column 030 with the relevant weight from Column 100. For row {170}, credit institutions shall report in Column 160 total inflows that fully exempted from the cap on inflows as specified in Article 33(2), Article 33(3) and Article 33(5) of Delegated Regulation (EU) 2015/61 only if the credit institution received this commitment in order for them to disburse a promotional loan to a final recipient, or have received a similar commitment from a multilateral development bank or a public sector entity.

1.5.2. Instructions concerning specific rows

ANNEX XXV Table 9: rows 1 - 87

REPORTING ON LIQUIDITY (PART 4: COLLATERAL SWAPS)

1. Collateral swaps

1.1. General remarks
1. Any transaction maturing within the next 30 calendar days in which non-cash assets are swapped for other non-cash assets, shall be reported in this template. Items which do not need to be completed by institutions are coloured grey.
2. Collateral swap transactions that mature within the next 30 calendar days shall lead to an outflow if the asset borrowed is subject to a lower haircut under Chapter 2 of Delegated Regulation (EU) 2015/61 than the asset lent. The outflow shall be calculated by multiplying the market value of the asset borrowed by the difference between the outflow rate applicable to the asset lent and the outflow rate applicable to the asset borrowed in secured funding transactions maturing within the next 30 calendar days. In the case that the counterparty is the credit institution’s domestic central bank, the outflow rate to be applied to the market value of the asset borrowed shall be 0%. The meaning of the credit institution’s domestic central bank follows the definition provided under Article 28(8) of Delegated Regulation (EU) 2015/61.
3. Collateral swaps that mature within the next 30 calendar days shall lead to an inflow where, under Chapter 2 of Delegated Regulation (EU) 2015/61, the asset lent is subject to a lower haircut than the asset borrowed. The inflow shall be calculated by multiplying the market value of the asset lent by the difference between the inflow rate applicable to the asset borrowed and the inflow rate applicable to the asset lent in secured lending transactions maturing within the next 30 calendar days. If the collateral obtained is used to cover short positions that can be extended beyond 30 calendar days no inflow shall be recognised.
4. For liquid assets the liquidity value is calculated in accordance with Article 9 of Delegated Regulation (EU) 2015/61.
5. Each collateral swap transaction shall be assessed individually and the flow reported as either an outflow or an inflow (per transaction) in the corresponding row. If one trade contains multiple categories of collateral type (e.g. a basket of collateral) then for reporting it shall be split into parts corresponding with the template rows and assessed in parts. In the context of swap transactions of collateral baskets or pools that are maturing within the next 30 calendar days, non-cash assets lent shall be assigned individually to non-cash assets borrowed, in accordance with the liquid assets categories as defined in Title II, Chapter 2 of Delegated Regulation (EU) 2015/61, starting from the least liquid combination (i.e. non-liquid non-cash assets lent, non-liquid non-cash assets borrowed). Any excess collateral within one combination is moved to the higher category, so that up to the most liquid combination, the relevant combinations are fully matched. Any overall excess collateral is then captured in the most liquid combination.
6. Collateral swap transactions involving shares or units in CIUs shall be reported as if the transactions would involve the assets underlying the CIU. The different haircuts applied to shares or units in CIUs shall be reflected in the relevant outflow or inflow rate to be reported.
7. Credit institutions shall report the template in the corresponding currencies in accordance with Article 415 (2) of Regulation (EU) 575/2013. In this case, the reported balances shall comprise only those which are denominated in the relevant currency to ensure that currency gaps are correctly reflected. This may mean that only one side of the transaction is reported in the relevant currency template, with corresponding impact on the excess liquidity value.

1.2. Specific remarks
8. For the calculation of inflows or outflows, collateral swap transactions shall be reported irrespective of whether the underlying collateral involved meets, or would meet if not already being used to secure this transaction, the operational requirements as provided under Article 8 of Delegated Regulation (EU) 2015/61. Furthermore, in order to allow for the calculation of the adjusted stock of liquid assets in accordance with Article 17(2) of Delegated Regulation (EU) 2015/61, credit institutions shall also report separately those transactions where at least one collateral leg meets the operational requirements as provided under Article 8 of Delegated Regulation (EU) 2015/61.
9. Where an institution may only recognise part of their foreign currency shares, or foreign currency central government or bank assets, or domestic currency central government or central bank assets within their HQLA, only the recognizable part shall be reported within rows on the Level 1, Level 2A and Level 2B assets in accordance with point (ii) of point (c) of Article 12(1) and point (d) of Article 10(1) of Delegated Regulation (EU) 2015/61. Where the particular asset is used as collateral but in an amount which is surplus to the portion which can be recognised within liquid assets, the surplus amount shall be reported in the non-liquid section.
10. Collateral Swaps involving Level 2A assets shall be reported in the corresponding L2A asset row, even if the Alternative Liquidity Approach is being followed (i.e. do not move L2A to L1 in the collateral swaps reporting).

1.3. Collateral swaps sub template

1.3.1. Instructions concerning specific columns
Column	Legal references and instructions
0010	Market value of collateral lent The market value of the collateral lent shall be reported in Column 0010. The market value shall reflect current market value, be gross of haircut and be net of flows resulting from unwinding associated hedges in accordance with Article 8(5) of Delegated Regulation (EU) 2015/61.
0020	Liquidity value of collateral lent The liquidity value of the collateral lent shall be reported in Column 0020. For liquid assets, the liquidity value shall reflect the value of the asset net of haircut.
0030	Market value of collateral borrowed The market value of the collateral borrowed shall be reported in Column 0030. The market value shall reflect current market value, be gross of haircut and be net of flows resulting from unwinding associated hedges in accordance with Article 8(5) of Delegated Regulation (EU) 2015/61.
0040	Liquidity value of collateral borrowed The liquidity value of the collateral borrowed shall be reported in Column 0040. For liquid assets, the liquidity value shall reflect the value of the asset net of haircut.
0050	Standard weight Articles 28 and 32 of Delegated Regulation (EU) 2015/61, The standard weights in column 0050 are those specified in Delegated Regulation (EU) 2015/61 by default and are provided for information only.
0060	Applicable weight Articles 28 and 32 of Delegated Regulation (EU) 2015/61, The applicable weights are those specified in Articles 28 and 32 of Delegated Regulation (EU) 2015/61. Applicable weights may result in weighted average values and shall be reported in decimal terms (i.e. 1,0 for an applicable weight of 100 per cent, or 0,5 for an applicable weight of 50 per cent). Applicable weights may reflect, but are not limited to, firm-specific and national discretions.
0070	Outflows Credit institutions shall report here the outflows. This is calculated by multiplying column 0060 by column 0030, both from C75.01 of Annex XXIV
0080	Inflows subject to the 75 % cap on inflows Credit institutions shall report here the inflows of transactions subject to the 75% cap on inflows. The inflows are calculated by multiplying column 0060 by column 0010, both from C 75.01 of Annex XXIV.
0090	Inflows subject to the 90 % cap on inflows Credit institutions shall report here the inflows of transactions subject to the 90% cap on inflows. The inflows are calculated by multiplying column 0060 by column 0010, both from C 75.01 of Annex XXIV.
0100	Inflows exempted from the cap on inflows Credit institutions shall report here the inflows of transactions exempt from the cap on inflows. The inflows are calculated by multiplying column 0060 by column 0010, both from C 75.01 of Annex XXIV.

1.3.2. Instructions concerning specific rows

ANNEX XXV Table 11: rows 1 - 200
ANNEX XXV Table 11: rows 201 - 285

REPORTING ON LIQUIDITY (PART 5: CALCULATIONS)

1. Calculations

1.1. General remarks
1. This is a summary template which contains information about calculations for the purpose of reporting the liquidity coverage requirement as specified in Delegated Regulation (EU) 2015/61. Items which do not need to be completed by institutions are coloured grey.

1.2. Specific remarks
2. Cell references are given in the format: template; row; column. For example, {C 72.00; r130; c040} refers to Liquid Assets template; row 130; column 040.

1.3. Calculations sub template – Instructions concerning specific rows

ANNEX XXV Table 12: rows 1 - 38

REPORTING ON LIQUIDITY (PART 6: PERIMETER OF CONSOLIDATION)

1. Perimeter of consolidation

1.1. General remarks
1. This is a template that, for the only purposes of LCR at a consolidated level, identifies the entities to which the information reported in templates C 72.00, C 73.00, C 74.00, C 75.01 and C 76.00 refers. This template identifies all the entities that form part of the perimeter of consolidation of the LCR in accordance with Articles 8 and 10, Article 11(3) and (5) of Regulation (EU) 575/2013, as applicable. This template shall have as many rows as entities are in the perimeter of consolidation.

1.2. Instructions concerning specific columns
Column	Legal references and instructions
0005	Parent or subsidiary ‘ Parent ’ will be reported in the case the entity in the row is: the EU parent institution, EU parent financial holding company or EU parent mixed financial holding company as envisaged in Article 11(3) of Regulation (EU) 575/2013; the parent institution or subsidiary institution that need to comply with the LCR on a consolidated basis or in a sub-consolidated basis, respectively, in the context of a single liquidity subgroup as per Article 8 of Regulation (EU) 575/2013; the relevant institution required to comply with the LCR on a sub-consolidated basis as per Article 11(5) of Regulation (EU) 575/2013; the EU central institution. ‘ Subsidiary ’ will be reported in the rest of the rows.
010	Name The name of each entity in the perimeter of consolidation shall be reported in Column 010.
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.
030	LEI code The Legal Entity Identifier code of each entity in the perimeter of consolidation shall be reported in Column 020. Where a Legal Entity Identification code (LEI code) exists for a given entity, it shall be used to identify that entity.
040	Country code ISO code 3166-1-alpha-2 of the country of incorporation of each entity in the perimeter of consolidation shall be reported in Column 030.
050	Type of entity Entities reported in column 010 shall be assigned an entity type corresponding to its legal form as per the following list: ‘ Credit institution ’ ‘ Investment firm ’ ‘ Other ’ x

The “appropriate regulator” has power to make such provision as they consider appropriate by means of an instrument in writing to prevent, remedy or mitigate any failure of the provisions of this Regulation to operate effectively or any other deficiency arising from the withdrawal of the United Kingdom from the EU, see The Financial Regulators’ Powers (Technical Standards etc.) (Amendment etc.) (EU Exit) Regulations 2018 (S.I. 2018/1115), regs. 2, 3, Sch. Pt. 4 (with saving on IP completion day by S.I. 2019/680, regs. 1(2), 11; 2020 c. 1, Sch. 5 para. 1(1))
Regulation: power to modify conferred (11.7.2023) by Financial Services and Markets Act 2023 (c. 29), ss. 3, 86(3), Sch. 1 Pts. 1, 3; S.I. 2023/779, reg. 2(d)