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)
THE EUROPEAN COMMISSION,
Having regard to the Treaty on the Functioning of the European Union,
Having regard to Regulation (EU) No 575/2013 of 26 June 2013 of the European Parliament and of the Council on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012(1) 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,
Whereas:
(1) Commission Implementing Regulation (EU) No 680/2014(2) specifies the requirements according to which institutions are required to report information relevant to their compliance with Regulation (EU) No 575/2013. Given that the regulatory framework established by Regulation (EU) No 575/2013 is gradually being supplemented and amended in its non-essential elements by the adoption of regulatory technical standards, then Implementing Regulation (EU) No 680/2014 needs to be updated accordingly to reflect those rules; to provide further precision in the instructions and definitions used for the purposes of institutions' supervisory reporting.
(2) In order to ensure a correct and uniform application of the requirements laid down in Implementing Regulation (EU) No 680/2014, further precision should be provided to the templates, instructions and definitions used for the purposes of supervisory reporting. Therefore, for reasons of legal clarity, it is appropriate to replace several templates of Annexes I, III and IV and to amend some of the instructions laid down in Annexes II, V, IX and XVII.
(3) To provide institutions and competent authorities with adequate time to implement the amendments set out in this Regulation, it should apply from 1 June 2015.
(4) This Regulation is based on the draft implementing technical standards submitted by the European Banking Authority (EBA) to the Commission.
(5) Given that the necessary amendments to Implementing Regulation (EU) No 680/2014 do not involve significant changes in substantive terms, in accordance with the second subparagraph of Article 15(1) of Regulation (EU) No 1093/2010 of the European Parliament and of the Council(3), the EBA has not conducted any open public consultation, considering that it would be disproportionate in relation to the scope and impact of the draft implementing technical standards concerned.
(6) Implementing Regulation (EU) No 680/2014 should be amended accordingly,
HAS ADOPTED THIS REGULATION:
Article 1U.K.
Implementing Regulation (EU) No 680/2014 is amended as follows:
The templates numbered 1, 4, 6.2, 7, 8.1, 9.1, 9.2, 9.3, 17, 21 and 22 of Annex I are replaced by the respectively numbered templates set out in Annex I to this Regulation.
Annex II is replaced by the text set out in Annex II to this Regulation.
The templates numbered 1.3, 16, 20 and 46 of Annex III are replaced by the respectively numbered templates set out in Annex III to this Regulation.
The templates numbered 1.3, 16, 20 and 46 of Annex IV are replaced by the respectively numbered templates set out in Annex IV to this Regulation.
Annex V is replaced by the text set out in Annex V to this Regulation.
Annex IX is replaced by the text set out in Annex VI to this Regulation.
Annex XVII is replaced by the text set out in Annex VII to this Regulation.
Article 2U.K.
This Regulation shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union.
It shall apply from 1 June 2015.
This Regulation shall be binding in its entirety and directly applicable in all Member States.
Done at Brussels, 9 July 2015.
For the Commission
The President
Jean-Claude Juncker
ANNEX IU.K.
C 01.00 — OWN FUNDS (CA1)
| Rows | ID | Item | Amount |
|---|---|---|---|
| 010 | 1 | OWN FUNDS | |
| 015 | 1.1 | TIER 1 CAPITAL | |
| 020 | 1.1.1 | COMMON EQUITY TIER 1 CAPITAL | |
| 030 | 1.1.1.1 | Capital instruments eligible as CET1 Capital | |
| 040 | 1.1.1.1.1 | Paid up capital instruments | |
| 045 | 1.1.1.1.1* | Of which: Capital instruments subscribed by public authorities in emergency situations | |
| 050 | 1.1.1.1.2* | Memorandum item: Capital instruments not eligible | |
| 060 | 1.1.1.1.3 | Share premium | |
| 070 | 1.1.1.1.4 | (-) Own CET1 instruments | |
| 080 | 1.1.1.1.4.1 | (-) Direct holdings of CET1 instruments | |
| 090 | 1.1.1.1.4.2 | (-) Indirect holdings of CET1 instruments | |
| 091 | 1.1.1.1.4.3 | (-) Synthetic holdings of CET1 instruments | |
| 092 | 1.1.1.1.5 | (-) Actual or contingent obligations to purchase own CET1 instruments | |
| 130 | 1.1.1.2 | Retained earnings | |
| 140 | 1.1.1.2.1 | Previous years retained earnings | |
| 150 | 1.1.1.2.2 | Profit or loss eligible | |
| 160 | 1.1.1.2.2.1 | Profit or loss attributable to owners of the parent | |
| 170 | 1.1.1.2.2.2 | (-) Part of interim or year-end profit not eligible | |
| 180 | 1.1.1.3 | Accumulated other comprehensive income | |
| 200 | 1.1.1.4 | Other reserves | |
| 210 | 1.1.1.5 | Funds for general banking risk | |
| 220 | 1.1.1.6 | Transitional adjustments due to grandfathered CET1 Capital instruments | |
| 230 | 1.1.1.7 | Minority interest given recognition in CET1 capital | |
| 240 | 1.1.1.8 | Transitional adjustments due to additional minority interests | |
| 250 | 1.1.1.9 | Adjustments to CET1 due to prudential filters | |
| 260 | 1.1.1.9.1 | (-) Increases in equity resulting from securitised assets | |
| 270 | 1.1.1.9.2 | Cash flow hedge reserve | |
| 280 | 1.1.1.9.3 | Cumulative gains and losses due to changes in own credit risk on fair valued liabilities | |
| 285 | 1.1.1.9.4 | Fair value gains and losses arising from the institution's own credit risk related to derivative liabilities | |
| 290 | 1.1.1.9.5 | (-) Value adjustments due to the requirements for prudent valuation | |
| 300 | 1.1.1.10 | (-) Goodwill | |
| 310 | 1.1.1.10.1 | (-) Goodwill accounted for as intangible asset | |
| 320 | 1.1.1.10.2 | (-) Goodwill included in the valuation of significant investments | |
| 330 | 1.1.1.10.3 | Deferred tax liabilities associated to goodwill | |
| 340 | 1.1.1.11 | (-) Other intangible assets | |
| 350 | 1.1.1.11.1 | (-) Other intangible assets before deduction of deferred tax liabilities | |
| 360 | 1.1.1.11.2 | Deferred tax liabilities associated to other intangible assets | |
| 370 | 1.1.1.12 | (-) Deferred tax assets that rely on future profitability and do not arise from temporary differences net of associated tax liabilities | |
| 380 | 1.1.1.13 | (-) IRB shortfall of credit risk adjustments to expected losses | |
| 390 | 1.1.1.14 | (-) Defined benefit pension fund assets | |
| 400 | 1.1.1.14.1 | (-) Defined benefit pension fund assets | |
| 410 | 1.1.1.14.2 | Deferred tax liabilities associated to defined benefit pension fund assets | |
| 420 | 1.1.1.14.3 | Defined benefit pension fund assets which the institution has an unrestricted ability to use | |
| 430 | 1.1.1.15 | (-) Reciprocal cross holdings in CET1 Capital | |
| 440 | 1.1.1.16 | (-) Excess of deduction from AT1 items over AT1 Capital | |
| 450 | 1.1.1.17 | (-) Qualifying holdings outside the financial sector which can alternatively be subject to a 1 250 % risk weight | |
| 460 | 1.1.1.18 | (-) Securitisation positions which can alternatively be subject to a 1 250 % risk weight | |
| 470 | 1.1.1.19 | (-) Free deliveries which can alternatively be subject to a 1 250 % risk weight | |
| 471 | 1.1.1.20 | (-) Positions in a basket for which an institution cannot determine the risk weight under the IRB approach, and can alternatively be subject to a 1 250 % risk weight | |
| 472 | 1.1.1.21 | (-) Equity exposures under an internal models approach which can alternatively be subject to a 1 250 % risk weight | |
| 480 | 1.1.1.22 | (-) CET1 instruments of financial sector entites where the institution does not have a significant investment | |
| 490 | 1.1.1.23 | (-) Deductible deferred tax assets that rely on future profitability and arise from temporary differences | |
| 500 | 1.1.1.24 | (-) CET1 instruments of financial sector entities where the institution has a significant investment | |
| 510 | 1.1.1.25 | (-) Amount exceeding the 17,65 % threshold | |
| 520 | 1.1.1.26 | Other transitional adjustments to CET1 Capital | |
| 524 | 1.1.1.27 | (-) Additional deductions of CET1 Capital due to Article 3 CRR | |
| 529 | 1.1.1.28 | CET1 capital elements or deductions — other | |
| 530 | 1.1.2 | ADDITIONAL TIER 1 CAPITAL | |
| 540 | 1.1.2.1 | Capital instruments eligible as AT1 Capital | |
| 550 | 1.1.2.1.1 | Paid up capital instruments | |
| 560 | 1.1.2.1.2* | Memorandum item: Capital instruments not eligible | |
| 570 | 1.1.2.1.3 | Share premium | |
| 580 | 1.1.2.1.4 | (-) Own AT1 instruments | |
| 590 | 1.1.2.1.4.1 | (-) Direct holdings of AT1 instruments | |
| 620 | 1.1.2.1.4.2 | (-) Indirect holdings of AT1 instruments | |
| 621 | 1.1.2.1.4.3 | (-) Synthetic holdings of AT1 instruments | |
| 622 | 1.1.2.1.5 | (-) Actual or contingent obligations to purchase own AT1 instruments | |
| 660 | 1.1.2.2 | Transitional adjustments due to grandfathered AT1 Capital instruments | |
| 670 | 1.1.2.3 | Instruments issued by subsidiaries that are given recognition in AT1 Capital | |
| 680 | 1.1.2.4 | Transitional adjustments due to additional recognition in AT1 Capital of instruments issued by subsidiaries | |
| 690 | 1.1.2.5 | (-) Reciprocal cross holdings in AT1 Capital | |
| 700 | 1.1.2.6 | (-) AT1 instruments of financial sector entities where the institution does not have a significant investment | |
| 710 | 1.1.2.7 | (-) AT1 instruments of financial sector entities where the institution has a significant investment | |
| 720 | 1.1.2.8 | (-) Excess of deduction from T2 items over T2 Capital | |
| 730 | 1.1.2.9 | Other transitional adjustments to AT1 Capital | |
| 740 | 1.1.2.10 | Excess of deduction from AT1 items over AT1 Capital (deducted in CET1) | |
| 744 | 1.1.2.11 | (-) Additional deductions of AT1 Capital due to Article 3 CRR | |
| 748 | 1.1.2.12 | AT1 capital elements or deductions — other | |
| 750 | 1.2 | TIER 2 CAPITAL | |
| 760 | 1.2.1 | Capital instruments and subordinated loans eligible as T2 Capital | |
| 770 | 1.2.1.1 | Paid up capital instruments and subordinated loans | |
| 780 | 1.2.1.2* | Memorandum item: Capital instruments and subordinated loans not eligible | |
| 790 | 1.2.1.3 | Share premium | |
| 800 | 1.2.1.4 | (-) Own T2 instruments | |
| 810 | 1.2.1.4.1 | (-) Direct holdings of T2 instruments | |
| 840 | 1.2.1.4.2 | (-) Indirect holdings of T2 instruments | |
| 841 | 1.2.1.4.3 | (-) Synthetic holdings of T2 instruments | |
| 842 | 1.2.1.5 | (-) Actual or contingent obligations to purchase own T2 instruments | |
| 880 | 1.2.2 | Transitional adjustments due to grandfathered T2 Capital instruments and subordinated loans | |
| 890 | 1.2.3 | Instruments issued by subsidiaries that are given recognition in T2 Capital | |
| 900 | 1.2.4 | Transitional adjustments due to additional recognition in T2 Capital of instruments issued by subsidiaries | |
| 910 | 1.2.5 | IRB Excess of provisions over expected losses eligible | |
| 920 | 1.2.6 | SA General credit risk adjustments | |
| 930 | 1.2.7 | (-) Reciprocal cross holdings in T2 Capital | |
| 940 | 1.2.8 | (-) T2 instruments of financial sector entities where the institution does not have a significant investment | |
| 950 | 1.2.9 | (-) T2 instruments of financial sector entities where the institution has a significant investment | |
| 960 | 1.2.10 | Other transitional adjustments to T2 Capital | |
| 970 | 1.2.11 | Excess of deduction from T2 items over T2 Capital (deducted in AT1) | |
| 974 | 1.2.12 | (-) Additional deductions of T2 Capital due to Article 3 CRR | |
| 978 | 1.2.13 | T2 capital elements or deductions — other |
C 04.00 — MEMORANDUM ITEMS (CA4)
| Row | ID | Item | Column |
|---|---|---|---|
| Deferred tax assest and liabilities | 010 | ||
| 010 | 1 | Total deferred tax assets | |
| 020 | 1.1 | Deferred tax assets that do not rely on future profitability | |
| 030 | 1.2 | Deferred tax assets that rely on future profitability and do not arise from temporary differences | |
| 040 | 1.3 | Deferred tax assets that rely on future profitability and arise from temporary differences | |
| 050 | 2 | Total deferred tax liabilities | |
| 060 | 2.1 | Deferred tax liabilities non deductible from deferred tax assets that rely on future profitability | |
| 070 | 2.2 | Deferred tax liabilities deductible from deferred tax assets that rely on future profitability | |
| 080 | 2.2.1 | Deductible deferred tax liabilities associated with deferred tax assets that rely on future profitability and do not arise from temporary differences | |
| 090 | 2.2.2 | Deductible deferred tax liabilities associated with deferred tax assets that rely on future profitability and arise from temporary differences | |
| Credit risk adjustments and expected losses | |||
| 100 | 3 | IRB excess (+) or shortfall (-) of credit risk adjustments, additional value adjustments and other own funds reductions to expected losses for non defaulted exposures | |
| 110 | 3.1 | Total credit risk adjustments, additional value adjustments and other own funds reductions eligible for inclusion in the calculation of the expected loss amount | |
| 120 | 3.1.1 | General credit risk adjustments | |
| 130 | 3.1.2 | Specific credit risk adjustments | |
| 131 | 3.1.3 | Additional value adjustments and other own funds reductions | |
| 140 | 3.2 | Total expected losses eligible | |
| 145 | 4 | IRB excess (+) or shortfall (-) of specific credit risk adjustments to expected losses for defaulted exposures | |
| 150 | 4.1 | Specific credit risk adjustments and positions treated similarily | |
| 155 | 4.2 | Total expected losses eligible | |
| 160 | 5 | Risk weighted exposure amounts for calculating the cap to the excess of provision eligible as T2 | |
| 170 | 6 | Total gross provisions eligible for inclusion in T2 capital | |
| 180 | 7 | Risk weighted exposure amounts for calculating the cap to the provision eligible as T2 | |
| Thresholds for Common Equity Tier 1 deductions | |||
| 190 | 8 | Threshold non deductible of holdings in financial sector entities where an institution does not have a significant investment | |
| 200 | 9 | 10 % CET1 threshold | |
| 210 | 10 | 17,65 % CET1 threshold | |
| 225 | 11.1 | Eligible capital for the purposes of qualifying holdings outside the financial sector | |
| 226 | 11.2 | Eligible capital for the purposes of large exposures | |
| Investments in the capital of financial sector entities where the institution does not have a significant investment | |||
| 230 | 12 | Holdings of CET1 capital of financial sector entities where the institution does not have a significant investment, net of short positions | |
| 240 | 12.1 | Direct holdings of CET1 capital of financial sector entities where the institution does not have a significant investment | |
| 250 | 12.1.1 | Gross direct holdings of CET1 capital of financial sector entities where the institution does not have a significant investment | |
| 260 | 12.1.2 | (-) Permitted offsetting short positions in relation to the direct gross holdings included above | |
| 270 | 12.2 | Indirect holdings of CET1 capital of financial sector entities where the institution does not have a significant investment | |
| 280 | 12.2.1 | Gross indirect holdings of CET1 capital of financial sector entities where the institution does not have a significant investment | |
| 290 | 12.2.2 | (-) Permitted offsetting short positions in relation to the indirect gross holdings included above | |
| 291 | 12.3 | Synthetic holdings of CET1 capital of financial sector entities where the institution does not have a significant investment | |
| 292 | 12.3.1 | Gross synthetic holdings of CET1 capital of financial sector entities where the institution does not have a significant investment | |
| 293 | 12.3.2 | (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above | |
| 300 | 13 | Holdings of AT1 capital of financial sector entities where the institution does not have a significant investment, net of short positions | |
| 310 | 13.1 | Direct holdings of AT1 capital of financial sector entities where the institution does not have a significant investment | |
| 320 | 13.1.1 | Gross direct holdings of AT1 capital of financial sector entities where the institution does not have a significant investment | |
| 330 | 13.1.2 | (-) Permitted offsetting short positions in relation to the direct gross holdings included above | |
| 340 | 13.2 | Indirect holdings of AT1 capital of financial sector entities where the institution does not have a significant investment | |
| 350 | 13.2.1 | Gross indirect holdings of AT1 capital of financial sector entities where the institution does not have a significant investment | |
| 360 | 13.2.2 | (-) Permitted offsetting short positions in relation to the indirect gross holdings included above | |
| 361 | 13.3 | Synthetic holdings of AT1 capital of financial sector entities where the institution does not have a significant investment | |
| 362 | 13.3.1 | Gross synthetic holdings of AT1 capital of financial sector entities where the institution does not have a significant investment | |
| 363 | 13.3.2 | (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above | |
| 370 | 14 | Holdings of T2 capital of financial sector entities where the institution does not have a significant investment, net of short positions | |
| 380 | 14.1 | Direct holdings of T2 capital of financial sector entities where the institution does not have a significant investment | |
| 390 | 14.1.1 | Gross direct holdings of T2 capital of financial sector entities where the institution does not have a significant investment | |
| 400 | 14.1.2 | (-) Permitted offsetting short positions in relation to the direct gross holdings included above | |
| 410 | 14.2 | Indirect holdings of T2 capital of financial sector entities where the institution does not have a significant investment | |
| 420 | 14.2.1 | Gross indirect holdings of T2 capital of financial sector entities where the institution does not have a significant investment | |
| 430 | 14.2.2 | (-) Permitted offsetting short positions in relation to the indirect gross holdings included above | |
| 431 | 14.3 | Synthetic holdings of T2 capital of financial sector entities where the institution does not have a significant investment | |
| 432 | 14.3.1 | Gross synthetic holdings of T2 capital of financial sector entities where the institution does not have a significant investment | |
| 433 | 14.3.2 | (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above | |
| Investments in the capital of financial sector entities where the institution has a significant investment | |||
| 440 | 15 | Holdings of CET1 capital of financial sector entities where the institution has a significant investment, net of short positions | |
| 450 | 15.1 | Direct holdings of CET1 capital of financial sector entities where the institution has a significant investment | |
| 460 | 15.1.1 | Gross direct holdings of CET1 capital of financial sector entities where the institution has a significant investment | |
| 470 | 15.1.2 | (-) Permitted offsetting short positions in relation to the direct gross holdings included above | |
| 480 | 15.2 | Indirect holdings of CET1 capital of financial sector entities where the institution has a significant investment | |
| 490 | 15.2.1 | Gross indirect holdings of CET1 capital of financial sector entities where the institution has a significant investment | |
| 500 | 15.2.2 | (-) Permitted offsetting short positions in relation to the indirect gross holdings included above | |
| 501 | 15.3 | Synthetic holdings of CET1 capital of financial sector entities where the institution has a significant investment | |
| 502 | 15.3.1 | Gross synthetic holdings of CET1 capital of financial sector entities where the institution has a significant investment | |
| 503 | 15.3.2 | (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above | |
| 510 | 16 | Holdings of AT1 capital of financial sector entities where the institution has a significant investment, net of short positions | |
| 520 | 16.1 | Direct holdings of AT1 capital of financial sector entities where the institution has a significant investment | |
| 530 | 16.1.1 | Gross direct holdings of AT1 capital of financial sector entities where the institution has a significant investment | |
| 540 | 16.1.2 | (-) Permitted offsetting short positions in relation to the direct gross holdings included above | |
| 550 | 16.2 | Indirect holdings of AT1 capital of financial sector entities where the institution has a significant investment | |
| 560 | 16.2.1 | Gross indirect holdings of AT1 capital of financial sector entities where the institution has a significant investment | |
| 570 | 16.2.2 | (-) Permitted offsetting short positions in relation to the indirect gross holdings included above | |
| 571 | 16.3 | Synthetic holdings of AT1 capital of financial sector entities where the institution has a significant investment | |
| 572 | 16.3.1 | Gross synthetic holdings of AT1 capital of financial sector entities where the institution has a significant investment | |
| 573 | 16.3.2 | (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above | |
| 580 | 17 | Holdings of T2 capital of financial sector entities where the institution has a significant investment, net of short positions | |
| 590 | 17.1 | Direct holdings of T2 capital of financial sector entities where the institution has a significant investment | |
| 600 | 17.1.1 | Gross direct holdings of T2 capital of financial sector entities where the institution has a significant investment | |
| 610 | 17.1.2 | (-) Permitted offsetting short positions in relation to the direct gross holdings included above | |
| 620 | 17.2 | Indirect holdings of T2 capital of financial sector entities where the institution has a significant investment | |
| 630 | 17.2.1 | Gross indirect holdings of T2 capital of financial sector entities where the institution has a significant investment | |
| 640 | 17.2.2 | (-) Permitted offsetting short positions in relation to the indirect gross holdings included above | |
| 641 | 17.3 | Synthetic holdings of T2 capital of financial sector entities where the institution has a significant investment | |
| 642 | 17.3.1 | Gross synthetic holdings of T2 capital of financial sector entities where the institution has a significant investment | |
| 643 | 17.3.2 | (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above | |
| Total risk exposure amounts of holdings not deducted from the corresponding capital category: | |||
| 650 | 18 | Risk weighted exposures of CET1 holdings in financial sector entities which are not deducted from the institution's CET1 capital | |
| 660 | 19 | Risk weighted exposures of AT1 holdings in financial sector entities which are not deducted from the institution's AT1 capital | |
| 670 | 20 | Risk weighted exposures of T2 holdings in financial sector entities which are not deducted from the institution's T2 capital | |
| Temporary waiver from deduction from own funds | |||
| 680 | 21 | Holdings on CET1 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived | |
| 690 | 22 | Holdings on CET1 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived | |
| 700 | 23 | Holdings on AT1 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived | |
| 710 | 24 | Holdings on AT1 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived | |
| 720 | 25 | Holdings on T2 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived | |
| 730 | 26 | Holdings on T2 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived | |
| Capital buffers | |||
| 740 | 27 | Combined buffer requirement | |
| 750 | Capital conservation buffer | ||
| 760 | Conservation buffer due to macro-prudential or systemic risk identified at the level of a Member State | ||
| 770 | Institution specific countercyclical capital buffer | ||
| 780 | Systemic risk buffer | ||
| 790 | Systemical important institution buffer | ||
| 800 | Global Systemically Important Institution buffer | ||
| 810 | Other Systemically Important Institution buffer | ||
| Pillar II requirements | |||
| 820 | 28 | Own funds requirements related to Pillar II adjustments | |
| Additional information for investment firms | |||
| 830 | 29 | Initial capital | |
| 840 | 30 | Own funds based on Fixed Overheads | |
| Additional information for calculation of reporting thresholds | |||
| 850 | 31 | Non-domestic original exposures | |
| 860 | 32 | Total original exposures | |
| Basel I floor | |||
| 870 | Adjustments to total own funds | ||
| 880 | Own funds fully adjusted for Basel I floor | ||
| 890 | Own funds requirements for Basel I floor | ||
| 900 | Own funds requirements for Basel I floor — SA alternative | ||
C 06.02 — GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS)
| ENTITIES WITHIN SCOPE OF CONSOLIDATION | INFORMATION ON ENTITIES SUBJECT TO OWN FUNDS REQUIREMENTS | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|
| NAME | CODE | LEI code | INSTITUTION OR EQUIVALENT (YES/NO) | SCOPE OF DATA: SOLO FULLY CONSOLIDATED (SF) OR SOLO PARTIALLY CONSOLIDATED (SP) | COUNTRY CODE | SHARE OF HOLDING (%) | TOTAL RISK EXPOSURE AMOUNT | ||||
| CREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/DELIVERY RISK | POSITION, FX AND COMMODITIES RISKS | OPERATIONAL RISK | OTHER RISK EXPOSURE AMOUNTS | ||||||||
| 010 | 020 | 025 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | 110 |
| INFORMATION ON ENTITIES SUBJECT TO OWN FUNDS REQUIREMENTS | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| OWN FUNDS | ||||||||||||
| TOTAL TIER 1 CAPITAL | TIER 2 CAPITAL | |||||||||||
| COMMON EQUITY TIER 1 CAPITAL | ADDITIONAL TIER 1 CAPITAL | |||||||||||
| OF WHICH: QUALIFYING OWN FUNDS | RELATED OWN FUNDS INSTRUMENTS, RELATED RETAINED EARNINGS AND SHARE PREMIUM ACCOUNTS | OF WHICH: QUALIFYING TIER 1 CAPITAL | RELATED T1 INSTRUMENTS, RELATED RETAINED EARNINGS AND SHARE PREMIUM ACCOUNTS | OF WHICH: MINORITY INTERESTS | RELATED OWN FUNDS INSTRUMENTS, RELATED RETAINED EARNINGS, SHARE PREMIUM ACCOUNTS AND OTHER RESERVES | OF WHICH: QUALIFYING ADDITIONAL TIER 1 CAPITAL | OF WHICH: QUALIFYING TIER 2 CAPITAL | |||||
| 120 | 130 | 140 | 150 | 160 | 170 | 180 | 190 | 200 | 210 | 220 | 230 | 240 |
| INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| TOTAL RISK EXPOSURE AMOUNT | QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS | CONSOLIDATED OWN FUNDS | ||||||||||
| CREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/DELIVERY RISK | POSITION, FX AND COMMODITIES RISKS | OPERATIONAL RISK | OTHER RISK EXPOSURE AMOUNTS | QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 1 CAPITAL | QUALIFYING OWN FUNDS INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 2 CAPITAL | MEMORANDUM ITEM: GOODWILL (-) /(+) NEGATIVE GOODWILL | OF WHICH: COMMON EQUITY TIER 1 | |||||
| MINORITY INTERESTS INCLUDED IN CONSOLIDATED COMMON EQUITY TIER 1 CAPITAL | QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED ADDITIONAL TIER 1 CAPITAL | |||||||||||
| 250 | 260 | 270 | 280 | 290 | 300 | 310 | 320 | 330 | 340 | 350 | 360 | 370 |
| INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP | CAPITAL BUFFERS | |||||||||
|---|---|---|---|---|---|---|---|---|---|---|
| COMBINED BUFFER REQUIRE-MENTS | ||||||||||
| OF WHICH: ADDITIONAL TIER 1 | OF WHICH: CONRIBUTIONS TO CONSOLIDATED RESULT | OF WHICH: (-) GOODWILL/(+) NEGATIVE GOODWILL | CAPITAL CONSERVATION BUFFER | INSTITUTION SPECIFIC COUNTER-CYCLICAL CAPITAL BUFFER | CONSERVATION BUFFER DUE TO MACRO-PRUDENTIAL OR SYSTEMIC RISK IDENTIFIED AT THE LEVEL OF A MEMBER STATE | SYSTEMIC RISK BUFFER | SYSTEMICAL IMPORTANT INSTITUTION BUFFER | GLOBAL SYSTEMICALLY IMPORTANT INSTITUTION BUFFER | OTHER SYSTEMICALLY IMPORTANT INSTITUTION BUFFER | |
| 380 | 390 | 400 | 410 | 420 | 430 | 440 | 450 | 460 | 470 | 480 |
C 07.00 — CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: STANDARDISED APPROACH TO CAPITAL REQUIREMENTS (CR SA)
SA Exposure class
| ORIGINAL EXPOSURE PRE CONVERSION FACTORS | (-) VALUE ADJUSTMENTS AND PROVISIONS ASSOCIATED WITH THE ORIGINAL EXPOSURE | EXPOSURE NET OF VALUE ADJUSTMENTS AND PROVISIONS | CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE | |||
|---|---|---|---|---|---|---|
| UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (Ga) | ||||||
| (-) GUARANTEES | (-) CREDIT DERIVATIVES | |||||
| 010 | 030 | 040 | 050 | 060 | ||
| 010 | TOTAL EXPOSURES | |||||
| 020 | of which: SME | |||||
| 030 | of which: Exposures subject to SME-supporting factor | |||||
| 040 | of which: Secured by mortgages on immovable property — Residential property | |||||
| 050 | of which: Exposures under the permanent partial use of the standardised approach | |||||
| 060 | of which: Exposures under the standardised approach with prior supervisory permission to carry out a sequential IRB implementation | |||||
| BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES: | ||||||
| 070 | On balance sheet exposures subject to credit risk | |||||
| 080 | Off balance sheet exposures subject to credit risk | |||||
| Exposures/Transactions subject to counterparty credit risk | ||||||
| 090 | Securities Financing Transactions | |||||
| 100 | of which: centrally cleared through a QCCP | |||||
| 110 | Derivatives & Long Settlement Transactions | |||||
| 120 | of which: centrally cleared through a QCCP | |||||
| 130 | From Contractual Cross Product Netting | |||||
| BREAKDOWN OF TOTAL EXPOSURES BY RISK WEIGHTS: | ||||||
| 140 | 0 % | |||||
| 150 | 2 % | |||||
| 160 | 4 % | |||||
| 170 | 10 % | |||||
| 180 | 20 % | |||||
| 190 | 35 % | |||||
| 200 | 50 % | |||||
| 210 | 70 % | |||||
| 220 | 75 % | |||||
| 230 | 100 % | |||||
| 240 | 150 % | |||||
| 250 | 250 % | |||||
| 260 | 370 % | |||||
| 270 | 1 250 % | |||||
| 280 | Other risk weights | |||||
| MEMORANDUM ITEMS | ||||||
| 290 | Exposures secured by mortgages on commercial immovable property | |||||
| 300 | Exposures in default subject to a risk weight of 100 % | |||||
| 310 | Exposures secured by mortgages on residential property | |||||
| 320 | Exposures in default subject to a risk weight of 150 % | |||||
| CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE | NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS | |||||
|---|---|---|---|---|---|---|
| FUNDED CREDIT PROTECTION | SUBSTITUTION OF THE EXPOSURE DUE TO CRM | |||||
| (-) FINANCIAL COLLATERAL: SIMPLE METHOD | (-) OTHER FUNDED CREDIT PROTECTION | (-) TOTAL OUTFLOWS | TOTAL INFLOWS (+) | |||
| 070 | 080 | 090 | 100 | 110 | ||
| 010 | TOTAL EXPOSURES | |||||
| 020 | of which: SME | |||||
| 030 | of which: Exposures subject to SME-supporting factor | |||||
| 040 | of which: Secured by mortgages on immovable property — Residential property | |||||
| 050 | of which: Exposures under the permanent partial use of the standardised approach | |||||
| 060 | of which: Exposures under the standardised approach with prior supervisory permission to carry out a sequential IRB implementation | |||||
| BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES: | ||||||
| 070 | On balance sheet exposures subject to credit risk | |||||
| 080 | Off balance sheet exposures subject to credit risk | |||||
| Exposures/Transactions subject to counterparty credit risk | ||||||
| 090 | Securities Financing Transactions | |||||
| 100 | of which: centrally cleared through a QCCP | |||||
| 110 | Derivatives & Long Settlement Transactions | |||||
| 120 | of which: centrally cleared through a QCCP | |||||
| 130 | From Contractual Cross Product Netting | |||||
| BREAKDOWN OF TOTAL EXPOSURES BY RISK WEIGHTS: | ||||||
| 140 | 0 % | |||||
| 150 | 2 % | |||||
| 160 | 4 % | |||||
| 170 | 10 % | |||||
| 180 | 20 % | |||||
| 190 | 35 % | |||||
| 200 | 50 % | |||||
| 210 | 70 % | |||||
| 220 | 75 % | |||||
| 230 | 100 % | |||||
| 240 | 150 % | |||||
| 250 | 250 % | |||||
| 260 | 370 % | |||||
| 270 | 1 250 % | |||||
| 280 | Other risk weights | |||||
| MEMORANDUM ITEMS | ||||||
| 290 | Exposures secured by mortgages on commercial immovable property | |||||
| 300 | Exposures in default subject to a risk weight of 100 % | |||||
| 310 | Exposures secured by mortgages on residential property | |||||
| 320 | Exposures in default subject to a risk weight of 150 % | |||||
| CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE EXPOSURE AMOUNT: FUNDED CREDIT PROTECTION. FINANCIAL COLLATERAL COMPREHENSIVE METHOD | FULLY ADJUSTED EXPOSURE VALUE (E*) | BREAKDOWN OF THE FULLY ADJUSTED EXPOSURE VALUE OF OFF-BALANCE SHEET ITEMS BY CONVERSION FACTORS | |||||||
|---|---|---|---|---|---|---|---|---|---|
| VOLATILITY ADJUSTMENT TO THE EXPOSURE | (-) FINANCIAL COLLATERAL: ADJUSTED VALUE (Cvam) | 0 % | 20 % | 50 % | 100 % | ||||
| (-) OF WHICH: VOLATILITY AND MATURITY ADJUSTMENTS | |||||||||
| 120 | 130 | 140 | 150 | 160 | 170 | 180 | 190 | ||
| 010 | TOTAL EXPOSURES | ||||||||
| 020 | of which: SME | ||||||||
| 030 | of which: Exposures subject to SME-supporting factor | ||||||||
| 040 | of which: Secured by mortgages on immovable property — Residential property | ||||||||
| 050 | of which: Exposures under the permanent partial use of the standardised approach | ||||||||
| 060 | of which: Exposures under the standardised approach with prior supervisory permission to carry out a sequential IRB implementation | ||||||||
| BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES: | |||||||||
| 070 | On balance sheet exposures subject to credit risk | ||||||||
| 080 | Off balance sheet exposures subject to credit risk | ||||||||
| Exposures/Transactions subject to counterparty credit risk | |||||||||
| 090 | Securities Financing Transactions | ||||||||
| 100 | of which: centrally cleared through a QCCP | ||||||||
| 110 | Derivatives & Long Settlement Transactions | ||||||||
| 120 | of which: centrally cleared through a QCCP | ||||||||
| 130 | From Contractual Cross Product Netting | ||||||||
| BREAKDOWN OF TOTAL EXPOSURES BY RISK WEIGHTS: | |||||||||
| 140 | 0 % | ||||||||
| 150 | 2 % | ||||||||
| 160 | 4 % | ||||||||
| 170 | 10 % | ||||||||
| 180 | 20 % | ||||||||
| 190 | 35 % | ||||||||
| 200 | 50 % | ||||||||
| 210 | 70 % | ||||||||
| 220 | 75 % | ||||||||
| 230 | 100 % | ||||||||
| 240 | 150 % | ||||||||
| 250 | 250 % | ||||||||
| 260 | 370 % | ||||||||
| 270 | 1 250 % | ||||||||
| 280 | Other risk weights | ||||||||
| MEMORANDUM ITEMS | |||||||||
| 290 | Exposures secured by mortgages on commercial immovable property | ||||||||
| 300 | Exposures in default subject to a risk weight of 100 % | ||||||||
| 310 | Exposures secured by mortgages on residential property | ||||||||
| 320 | Exposures in default subject to a risk weight of 150 % | ||||||||
| EXPOSURE VALUE | RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR | RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR | |||||
|---|---|---|---|---|---|---|---|
| OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK | OF WHICH: WITH A CREDIT ASSESSMENT BY A NOMINATED ECAI | OF WHICH: WITH A CREDIT ASSESSMENT DERIVED FROM CENTRAL GOVERNMENT | |||||
| 200 | 210 | 215 | 220 | 230 | 240 | ||
| 010 | TOTAL EXPOSURES | Cell linked to CA | |||||
| 020 | of which: SME | ||||||
| 030 | of which: Exposures subject to SME-supporting factor | ||||||
| 040 | of which: Secured by mortgages on immovable property — Residential property | ||||||
| 050 | of which: Exposures under the permanent partial use of the standardised approach | ||||||
| 060 | of which: Exposures under the standardised approach with prior supervisory permission to carry out a sequential IRB implementation | ||||||
| BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES: | |||||||
| 070 | On balance sheet exposures subject to credit risk | ||||||
| 080 | Off balance sheet exposures subject to credit risk | ||||||
| Exposures/Transactions subject to counterparty credit risk | |||||||
| 090 | Securities Financing Transactions | ||||||
| 100 | of which: centrally cleared through a QCCP | ||||||
| 110 | Derivatives & Long Settlement Transactions | ||||||
| 120 | of which: centrally cleared through a QCCP | ||||||
| 130 | From Contractual Cross Product Netting | ||||||
| BREAKDOWN OF TOTAL EXPOSURES BY RISK WEIGHTS: | |||||||
| 140 | 0 % | ||||||
| 150 | 2 % | ||||||
| 160 | 4 % | ||||||
| 170 | 10 % | ||||||
| 180 | 20 % | ||||||
| 190 | 35 % | ||||||
| 200 | 50 % | ||||||
| 210 | 70 % | ||||||
| 220 | 75 % | ||||||
| 230 | 100 % | ||||||
| 240 | 150 % | ||||||
| 250 | 250 % | ||||||
| 260 | 370 % | ||||||
| 270 | 1 250 % | ||||||
| 280 | Other risk weights | ||||||
| MEMORANDUM ITEMS | |||||||
| 290 | Exposures secured by mortgages on commercial immovable property | ||||||
| 300 | Exposures in default subject to a risk weight of 100 % | ||||||
| 310 | Exposures secured by mortgages on residential property | ||||||
| 320 | Exposures in default subject to a risk weight of 150 % | ||||||
C 08.01 — CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS (CR IRB 1)
IRB Exposure class:
Own estimates of LGD and/or conversion factors:
| INTERNAL RATING SYSTEM | ORIGINAL EXPOSURE PRE CONVERSION FACTORS | CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE | EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS | ||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|
| UNFUNDED CREDIT PROTECTION | (-) OTHER FUNDED CREDIT PROTECTION | SUBSTITUTION OF THE EXPOSURE DUE TO CRM | |||||||||
| PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%) | OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES | (-) GUARANTEES | (-) CREDIT DERIVATIVES | (-) TOTAL OUTFLOWS | TOTAL INFLOWS (+) | OF WHICH: OFF BALANCE SHEET ITEMS | |||||
| 010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | ||
| 010 | TOTAL EXPOSURES | ||||||||||
| 015 | of which: Exposures subject to SME-supporting factor | ||||||||||
| BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES: | |||||||||||
| 020 | On balance sheet items subject to credit risk | ||||||||||
| 030 | Off balance sheet items subject to credit risk | ||||||||||
| Exposures/Transactions subject to counterparty credit risk | |||||||||||
| 040 | Securities Financing Transactions | ||||||||||
| 050 | Derivatives & Long Settlement Transactions | ||||||||||
| 060 | From Contractual Cross Product Netting | ||||||||||
| 070 | EXPOSURES ASSIGNED TO OBLIGOR GRADES OR POOLS: TOTAL | ||||||||||
| 080 | SPECIALIZED LENDING SLOTTING CRITERIA: TOTAL | ||||||||||
| BREAKDOWN BY RISK WEIGHTS OF TOTAL EXPOSURES UNDER SPECIALIZED LENDING SLOTTING CRITERIA: | |||||||||||
| 090 | RISK WEIGHT: 0 % | ||||||||||
| 100 | 50 % | ||||||||||
| 110 | 70 % | ||||||||||
| 120 | Of which: in category 1 | ||||||||||
| 130 | 90 % | ||||||||||
| 140 | 115 % | ||||||||||
| 150 | 250 % | ||||||||||
| 160 | ALTERNATIVE TREATMENT: SECURED BY REAL ESTATE | ||||||||||
| 170 | EXPOSURES FROM FREE DELIVERIES APPLYING RISK WEIGHTS UNDER THE ALTERNATIVE TREATMENT OR 100 % AND OTHER EXPOSURES SUBJECT TO RISK WEIGHTS | ||||||||||
| 180 | DILUTION RISK: TOTAL PURCHASED RECEIVABLES | ||||||||||
| EXPOSURE VALUE | CREDIT RISK MITIGATION TECHNIQUES TAKEN INTO ACCOUNT IN LGD ESTIMATES EXCLUDING DOUBLE DEFAULT TREATMENT | |||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| OWN ESTIMATES OF LGD'S ARE USED: UNFUNDED CREDIT PROTECTION | FUNDED CREDIT PROTECTION | |||||||||||
| OF WHICH: OFF BALANCE SHEET ITEMS | OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK | OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES | GUARANTEES | CREDIT DERIVATIVES | OWN ESTIMATES OF LGD'S ARE USED: OTHER FUNDED CREDIT PROTECTION | ELIGIBLE FINANCIAL COLLATERAL | OTHER ELIGIBLE COLLATERAL | |||||
| REAL ESTATE | OTHER PHYSICAL COLLATERAL | RECEIVABLES | ||||||||||
| 110 | 120 | 130 | 140 | 150 | 160 | 170 | 180 | 190 | 200 | 210 | ||
| 010 | TOTAL EXPOSURES | |||||||||||
| 015 | of which: Exposures subject to SME-supporting factor | |||||||||||
| BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES: | ||||||||||||
| 020 | On balance sheet items subject to credit risk | |||||||||||
| 030 | Off balance sheet items subject to credit risk | |||||||||||
| Exposures/Transactions subject to counterparty credit risk | ||||||||||||
| 040 | Securities Financing Transactions | |||||||||||
| 050 | Derivatives & Long Settlement Transactions | |||||||||||
| 060 | From Contractual Cross Product Netting | |||||||||||
| 070 | EXPOSURES ASSIGNED TO OBLIGOR GRADES OR POOLS: TOTAL | |||||||||||
| 080 | SPECIALIZED LENDING SLOTTING CRITERIA: TOTAL | |||||||||||
| BREAKDOWN BY RISK WEIGHTS OF TOTAL EXPOSURES UNDER SPECIALIZED LENDING SLOTTING CRITERIA: | ||||||||||||
| 090 | RISK WEIGHT: 0 % | |||||||||||
| 100 | 50 % | |||||||||||
| 110 | 70 % | |||||||||||
| 120 | Of which: in category 1 | |||||||||||
| 130 | 90 % | |||||||||||
| 140 | 115 % | |||||||||||
| 150 | 250 % | |||||||||||
| 160 | ALTERNATIVE TREATMENT: SECURED BY REAL ESTATE | |||||||||||
| 170 | EXPOSURES FROM FREE DELIVERIES APPLYING RISK WEIGHTS UNDER THE ALTERNATIVE TREATMENT OR 100 % AND OTHER EXPOSURES SUBJECT TO RISK WEIGHTS | |||||||||||
| 180 | DILUTION RISK: TOTAL PURCHASED RECEIVABLES | |||||||||||
| SUBJECT TO DOUBLE DEFAULT TREATMENT | EXPOSURE WEIGHTED AVERAGE LGD (%) | EXPOSURE WEIGHTED AVERAGE LGD (%) FOR LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES | EXPOSURE-WEIGHTED AVERAGE MATURITY VALUE (DAYS) | RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR | RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR | MEMORANDUM ITEMS: | |||||
|---|---|---|---|---|---|---|---|---|---|---|---|
| UNFUNDED CREDIT PROTECTION | EXPECTED LOSS AMOUNT | (-) VALUE ADJUSTMENTS AND PROVISIONS | NUMBER OF OBLIGORS | ||||||||
| OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES | |||||||||||
| 220 | 230 | 240 | 250 | 255 | 260 | 270 | 280 | 290 | 300 | ||
| 010 | TOTAL EXPOSURES | Cell linked to CA | |||||||||
| 015 | of which: Exposures subject to SME-supporting factor | ||||||||||
| BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES: | |||||||||||
| 020 | On balance sheet items subject to credit risk | ||||||||||
| 030 | Off balance sheet items subject to credit risk | ||||||||||
| Exposures/Transactions subject to counterparty credit risk | |||||||||||
| 040 | Securities Financing Transactions | ||||||||||
| 050 | Derivatives & Long Settlement Transactions | ||||||||||
| 060 | From Contractual Cross Product Netting | ||||||||||
| 070 | EXPOSURES ASSIGNED TO OBLIGOR GRADES OR POOLS: TOTAL | ||||||||||
| 080 | SPECIALIZED LENDING SLOTTING CRITERIA: TOTAL | ||||||||||
| BREAKDOWN BY RISK WEIGHTS OF TOTAL EXPOSURES UNDER SPECIALIZED LENDING SLOTTING CRITERIA: | |||||||||||
| 090 | RISK WEIGHT: 0 % | ||||||||||
| 100 | 50 % | ||||||||||
| 110 | 70 % | ||||||||||
| 120 | Of which: in category 1 | ||||||||||
| 130 | 90 % | ||||||||||
| 140 | 115 % | ||||||||||
| 150 | 250 % | ||||||||||
| 160 | ALTERNATIVE TREATMENT: SECURED BY REAL ESTATE | ||||||||||
| 170 | EXPOSURES FROM FREE DELIVERIES APPLYING RISK WEIGHTS UNDER THE ALTERNATIVE TREATMENT OR 100 % AND OTHER EXPOSURES SUBJECT TO RISK WEIGHTS | ||||||||||
| 180 | DILUTION RISK: TOTAL PURCHASED RECEIVABLES | ||||||||||
C 09.01 — GEOGRAPHICAL BREAKDOWN OF EXPOSURES BY RESIDENCE OF THE OBLIGOR: SA EXPOSURES (CR GB 1)
Country:
| ORIGINAL EXPOSURE PRE CONVERSION FACTORS | Exposures in default | Observed new defaults for the period | General credit risk adjustments | Specific credit risk adjustments | Of which: write off | Credit risk adjustments/write-offs for observed new defaults | EXPOSURE VALUE | RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR | RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR | ||
|---|---|---|---|---|---|---|---|---|---|---|---|
| 010 | 020 | 040 | 050 | 055 | 060 | 070 | 075 | 080 | 090 | ||
| 010 | Central governments or central banks | ||||||||||
| 020 | Regional governments or local authorities | ||||||||||
| 030 | Public sector entities | ||||||||||
| 040 | Multilateral Development Banks | ||||||||||
| 050 | International Organisations | ||||||||||
| 060 | Institutions | ||||||||||
| 070 | Corporates | ||||||||||
| 075 | of which: SME | ||||||||||
| 080 | Retail | ||||||||||
| 085 | of which: SME | ||||||||||
| 090 | Secured by mortgages on immovable property | ||||||||||
| 095 | of which: SME | ||||||||||
| 100 | Exposures in default | ||||||||||
| 110 | Items associated with particularly high risk | ||||||||||
| 120 | Covered bonds | ||||||||||
| 130 | Claims on institutions and corporates with a short-term credit assessment | ||||||||||
| 140 | Collective investments undertakings (CIU) | ||||||||||
| 150 | Equity exposures | ||||||||||
| 160 | Other exposures | ||||||||||
| Total exposures | |||||||||||
C 09.02 — GEOGRAPHICAL BREAKDOWN OF EXPOSURES BY RESIDENCE OF THE OBLIGOR: IRB EXPOSURES (CR GB 2)
Country:
| ORIGINAL EXPOSURE PRE CONVERSION FACTORS | Of which: defaulted | Observed new defaults for the period | General credit risk adjustments | Specific credit risk adjustments | Of which: write off | Credit risk adjustments/write-offs for observed new defaults | PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%) | ||
|---|---|---|---|---|---|---|---|---|---|
| 010 | 030 | 040 | 050 | 055 | 060 | 070 | 080 | ||
| 010 | Central governments or central banks | ||||||||
| 020 | Institutions | ||||||||
| 030 | Corporates | ||||||||
| 040 | Of Which: Specialised Lending | ||||||||
| 050 | Of Which: SME | ||||||||
| 060 | Retail | ||||||||
| 070 | Secured by real estate property | ||||||||
| 080 | SME | ||||||||
| 090 | Non-SME | ||||||||
| 100 | Qualifying Revolving | ||||||||
| 110 | Other Retail | ||||||||
| 120 | SME | ||||||||
| 130 | Non-SME | ||||||||
| 140 | Equity | ||||||||
| Total exposures | |||||||||
| EXPOSURE WEIGHTED AVERAGE LGD (%) | Of which: defaulted | EXPOSURE VALUE | RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR | Of which: defaulted | RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR | EXPECTED LOSS AMOUNT | ||
|---|---|---|---|---|---|---|---|---|
| 090 | 100 | 105 | 110 | 120 | 125 | 130 | ||
| 010 | Central governments or central banks | |||||||
| 020 | Institutions | |||||||
| 030 | Corporates | |||||||
| 040 | Of Which: Specialised Lending | |||||||
| 050 | Of Which: SME | |||||||
| 060 | Retail | |||||||
| 070 | Secured by real estate property | |||||||
| 080 | SME | |||||||
| 090 | Non-SME | |||||||
| 100 | Qualifying Revolving | |||||||
| 110 | Other Retail | |||||||
| 120 | SME | |||||||
| 130 | Non-SME | |||||||
| 140 | Equity | |||||||
| Total exposures | ||||||||
C 09.03 — GEOGRAPHICAL BREAKDOWN OF RELEVANT CREDIT EXPOSURES FOR THE PURPOSE OF CALCULATION OF THE INSTITUTION-SPECIFIC COUNTERCYCLICAL BUFFER (CR GB 3)
Country:
| Amount | ||
|---|---|---|
| 010 | ||
| 010 | Own fund requirements | |
C 17.00 — OPERATIONAL RISK: LOSSES AND RECOVERIES BY BUSINESS LINES AND EVENT TYPES IN THE LAST YEAR (OPR Details)
| MAPPING OF LOSSES TO BUSINESS LINES | EVENT TYPES | TOTAL EVENT TYPES | MEMORANDUM ITEM: THRESHOLD APPLIED IN DATA COLLECTION | |||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| INTERNAL FRAUD | EXTERNAL FRAUD | EMPLOYMENT PRACTICES AND WORKPLACE SAFETY | CLIENTS, PRODUCTS & BUSINESS PRACTICES | DAMAGE TO PHYSICAL ASSETS | BUSINESS DISRUPTION AND SYSTEM FAILURES | EXECUTION, DELIVERY & PROCESS MANAGEMENT | LOWEST | HIGHEST | ||||
| Rows | 010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | ||
| 010 | CORPORATE FINANCE [CF] | Number of events | ||||||||||
| 020 | Total loss amount | |||||||||||
| 030 | Maximum single loss | |||||||||||
| 040 | Sum of the five largest losses | |||||||||||
| 050 | Total loss recovery | |||||||||||
| 110 | TRADING AND SALES [TS] | Number of events | ||||||||||
| 120 | Total loss amount | |||||||||||
| 130 | Maximum single loss | |||||||||||
| 140 | Sum of the five largest losses | |||||||||||
| 150 | Total loss recovery | |||||||||||
| 210 | RETAIL BROKERAGE [RBr] | Number of events | ||||||||||
| 220 | Total loss amount | |||||||||||
| 230 | Maximum single loss | |||||||||||
| 240 | Sum of the five largest losses | |||||||||||
| 250 | Total loss recovery | |||||||||||
| 310 | COMMERCIAL BANKING [CB] | Number of events | ||||||||||
| 320 | Total loss amount | |||||||||||
| 330 | Maximum single loss | |||||||||||
| 340 | Sum of the five largest losses | |||||||||||
| 350 | Total loss recovery | |||||||||||
| 410 | RETAIL BANKING [RB] | Number of events | ||||||||||
| 420 | Total loss amount | |||||||||||
| 430 | Maximum single loss | |||||||||||
| 440 | Sum of the five largest losses | |||||||||||
| 450 | Total loss recovery | |||||||||||
| 510 | PAYMENT AND SETTLEMENT [PS] | Number of events | ||||||||||
| 520 | Total loss amount | |||||||||||
| 530 | Maximum single loss | |||||||||||
| 540 | Sum of the five largest losses | |||||||||||
| 550 | Total loss recovery | |||||||||||
| 610 | AGENCY SERVICES [AS] | Number of events | ||||||||||
| 620 | Total loss amount | |||||||||||
| 630 | Maximum single loss | |||||||||||
| 640 | Sum of the five largest losses | |||||||||||
| 650 | Total loss recovery | |||||||||||
| 710 | ASSET MANAGEMENT [AM] | Number of events | ||||||||||
| 720 | Total loss amount | |||||||||||
| 730 | Maximum single loss | |||||||||||
| 740 | Sum of the five largest losses | |||||||||||
| 750 | Total loss recovery | |||||||||||
| 810 | CORPORATE ITEMS [CI] | Number of events | ||||||||||
| 820 | Total loss amount | |||||||||||
| 830 | Maximum single loss | |||||||||||
| 840 | Sum of the five largest losses | |||||||||||
| 850 | Total loss recovery | |||||||||||
| 910 | TOTAL BUSINESS LINES | Number of events. Of which: | ||||||||||
| 911 | ≥ 10 000 and < 20 000 | |||||||||||
| 912 | ≥ 20 000 and < 100 000 | |||||||||||
| 913 | ≥ 100 000 and < 1 000 000 | |||||||||||
| 914 | ≥ 1 000 000 | |||||||||||
| 920 | Total loss amount. Of which: | |||||||||||
| 921 | ≥ 10 000 and < 20 000 | |||||||||||
| 922 | ≥ 20 000 and < 100 000 | |||||||||||
| 923 | ≥ 100 000 and < 1 000 000 | |||||||||||
| 924 | ≥ 1 000 000 | |||||||||||
| 930 | Maximum single loss | |||||||||||
| 940 | Sum of the five largest losses | |||||||||||
| 950 | Total loss recovery | |||||||||||
C 21.00 — MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES (MKR SA EQU)
National market:
| POSITIONS | OWN FUNDS REQUIREMENTS | TOTAL RISK EXPOSURE AMOUNT | ||||||
|---|---|---|---|---|---|---|---|---|
| ALL POSITIONS | NET POSITIONS | POSITIONS SUBJECT TO CAPITAL CHARGE | ||||||
| LONG | SHORT | LONG | SHORT | |||||
| 010 | 020 | 030 | 040 | 050 | 060 | 070 | ||
| 010 | EQUITIES IN TRADING BOOK | Cell linked to CA | ||||||
| 020 | General risk | |||||||
| 021 | Derivatives | |||||||
| 022 | Other assets and liabilities | |||||||
| 030 | Exchange traded stock-index futures broadly diversified subject to particular approach | |||||||
| 040 | Other equities than exchange traded stock-index futures broadly diversified | |||||||
| 050 | Specific risk | |||||||
| 080 | Particular approach for position risk in CIUs | |||||||
| 090 | Additional requirements for options (non-delta risks) | |||||||
| 100 | Simplified method | |||||||
| 110 | Delta plus approach — additional requirements for gamma risk | |||||||
| 120 | Delta plus approach — additional requirements for vega risk | |||||||
| 130 | Scenario matrix approach | |||||||
C 22.00 — MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK (MKR SA FX)
| ALL POSITIONS | NET POSITIONS | POSITIONS SUBJECT TO CAPITAL CHARGE (Including redistribution of unmatched positions in currencies subject to special treatment for matched positions) | OWN FUNDS REQUIREMENTS | TOTAL RISK EXPOSURE AMOUNT | ||||||
|---|---|---|---|---|---|---|---|---|---|---|
| LONG | SHORT | LONG | SHORT | LONG | SHORT | MATCHED | ||||
| 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | ||
| 010 | TOTAL POSITIONS IN NON-REPORTING CURRENCIES | Cell linked to CA | ||||||||
| 020 | Currencies closely correlated | |||||||||
| 030 | All other currencies (including CIUs treated as different currencies) | |||||||||
| 040 | Gold | |||||||||
| 050 | Additional requirements for options (non-delta risks) | |||||||||
| 060 | Simplified method | |||||||||
| 070 | Delta plus approach — additional requirements for gamma risk | |||||||||
| 080 | Delta plus approach — additional requirements for vega risk | |||||||||
| 090 | Scenario matrix approach | |||||||||
| BREAKDOWN OF TOTAL POSITIONS (REPORTING CURRENCY INCLUDED) BY EXPOSURE TYPES | ||||||||||
| 100 | Other assets and liabilities other than off-balance sheet items and derivatives | |||||||||
| 110 | Off-balance sheet items | |||||||||
| 120 | Derivatives | |||||||||
| Memorandum items: CURRENCY POSITIONS | ||||||||||
| 130 | Euro | |||||||||
| 140 | Lek | |||||||||
| 150 | Argentine Peso | |||||||||
| 160 | Australian Dollar | |||||||||
| 170 | Brazilian Real | |||||||||
| 180 | Bulgarian Lev | |||||||||
| 190 | Canadian Dollar | |||||||||
| 200 | Czech Koruna | |||||||||
| 210 | Danish Krone | |||||||||
| 220 | Egyptian Pound | |||||||||
| 230 | Pound Sterling | |||||||||
| 240 | Forint | |||||||||
| 250 | Yen | |||||||||
| 270 | Lithuanian Litas | |||||||||
| 280 | Denar | |||||||||
| 290 | Mexican Peso | |||||||||
| 300 | Zloty | |||||||||
| 310 | Rumanian Leu | |||||||||
| 320 | Russian Ruble | |||||||||
| 330 | Serbian Dinar | |||||||||
| 340 | Swedish Krona | |||||||||
| 350 | Swiss Franc | |||||||||
| 360 | Turkish Lira | |||||||||
| 370 | Hryvnia | |||||||||
| 380 | US Dollar | |||||||||
| 390 | Iceland Krona | |||||||||
| 400 | Norwegian Krone | |||||||||
| 410 | Hong Kong Dollar | |||||||||
| 420 | New Taiwan Dollar | |||||||||
| 430 | New Zealand Dollar | |||||||||
| 440 | Singapore Dollar | |||||||||
| 450 | Won | |||||||||
| 460 | Yuan Renminbi | |||||||||
| 470 | Other | |||||||||
| 480 | Croatian Kuna | |||||||||
ANNEX IIU.K.
“ANNEX II REPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS
PART I: GENERAL INSTRUCTIONS U.K.
1.STRUCTURE AND CONVENTIONSU.K.
1.1.STRUCTUREU.K.
1.Overall, the framework consists of five blocks of templates:U.K.
capital adequacy, an overview of regulatory capital; total risk exposure amount;
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
credit risk (including counterparty, dilution and settlement risks);
market risk (including position risk in trading book, foreign exchange risk, commodities risk and CVA risk);
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 examples and validation rules are included in these Guidelines for implementation of the Common Reporting framework.U.K.
3.Institutions report only those templates that are relevant depending on the approach used for determining own funds requirements.U.K.
1.2.NUMBERING CONVENTIONU.K.
4.The document follows the labelling convention set in the following table, when referring to the columns, rows and cells of the templates. These numerical codes are extensively used in the validation rules.U.K.
5.The following general notation is followed in the instructions: {Template;Row;Column}.U.K.
6.In the case of validations inside a template, in which only data points of that template is used, notations do not refer to a template: {Row;Column}.U.K.
7.In the case of templates with only one column, only rows are referred to. {Template;Row}U.K.
8.An asterisk sign is used to express that the validation is done for the rows or columns specified before.U.K.
1.3.SIGN CONVENTIONU.K.
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.U.K.
PART II: TEMPLATE RELATED INSTRUCTIONS U.K.
1.CAPITAL ADEQUACY OVERVIEW (CA)U.K.
1.1.GENERAL REMARKSU.K.
10.CA templates contain information about Pillar 1 numerators (own funds, Tier 1, Common Equity Tier 1), denominator (own funds requirements), and transitional provisions and is structures in five templates:U.K.
CA1 template contains the amount of own funds of the institutions, disaggregated in the items needed to get to that amount. The amount of own funds obtained includes the aggregate effect of transitional provisions per type of capital
CA2 template summarizes the total risk exposures amounts as defined in Article 92(3) of Regulation (EU) No 575/2013 (“CRR”)
CA3 template contains the ratios for which CRR state a minimum level, and some other related data
CA4 template contains memorandums items needed for calculating items in CA1 as well as information with regard to the CRD capital buffers.
CA5 template contains the data needed for calculating the effect of transitional provisions in own funds. CA5 will cease to exist once the transitional provisions will expire.
11.The templates shall apply to all reporting entities, irrespective of the accounting standards followed, although some items in the numerator are specific for entities applying IAS/IFRS-type valuation rules. Generally, the information in the denominator is linked to the final results reported in the correspondent templates for the calculation of the total risk exposure amount.U.K.
12.The total own funds consist of different types of capital: Tier 1 capital (T1), which is the sum of Common Equity Tier 1 capital (CET1), Additional Tier 1 capital (AT1) as well as Tier 2 capital (T2).U.K.
13.Transitional provisions are treated as follows in CA templates:U.K.
The items in CA1 are generally gross of transitional adjustments. This means that figures in CA1 items are calculated according to the final provisions (i.e. as if there were no transitional provisions), with the exception of items summarizing the effect of the transitional provisions. For each type of capital (i.e. CET1; AT1 and T2) there are three different items in which all the adjustments due to transitional provisions are included.
Transitional provisions may also affect the AT1 and the T2 shortfall (i.e. AT1 or T2 the excess of deduction, regulated in articles 36(1) point (j) and 56 point (e) of CRR respectively), and thus the items containing these shortfalls may indirectly reflect the effect of transitional provisions.
Template CA5 is exclusively used for reporting the transitional provisions.
14.The treatment of Pillar II requirements can be different within the EU (Article 104(2) CRD IV has to be transposed into national regulation). Only the impact of Pillar II requirements on the solvency ratio or the target ratio shall be included in the solvency reporting of CRR. A detailed reporting of Pillar II requirements is not within the mandate of Article 99 CRR.U.K.
The templates CA1, CA2 or CA5 only contain data on Pillar I issues.
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.
The template CA4 contains one cell regarding additional own funds requirements relating to Pillar II. This cell has no link via validation rules to the capital ratios of the CA3 template and reflects Article 104(2) CRD which explicitly mentions additional own funds requirements as one possibility for Pillar II decisions.
1.2.C 01.00 — OWN FUNDS (CA1)U.K.
1.2.1.Instructions concerning specific positionsU.K.
1.3.C 02.00 — OWN FUNDS REQUIREMENTS (CA2)U.K.
1.3.1.Instructions concerning specific positionsU.K.
1.4.C 03.00 — CAPITAL RATIOS AND CAPITAL LEVELS (CA3)U.K.
1.4.1.Instructions concerning specific positionsU.K.
1.5.C 04.00 — MEMORANDUM ITEMS (CA4)U.K.
1.5.1.Instructions concerning specific positionsU.K.
1.6.TRANSITIONAL PROVISIONS AND GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUTING STATE AID (CA 5)U.K.
1.6.1.General remarksU.K.
15.CA5 summarizes the calculation of own funds elements and deductions subject to the transitional provisions laid down in Articles 465 to 491 of CRR.U.K.
16.CA5 is structured as follows:U.K.
Template 5.1 summarizes the total adjustments which need to be made to the different components of own funds (reported in CA1 according to the final provisions) as a consequence of the application of the transitional provisions. The elements of this table are presented as “adjustments” to the different capital components in CA1, in order to reflect in own funds components the effects of the transitional provisions.
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.U.K.
18.Institutions shall only report elements in CA5 during the period where transitional provisions in accordance with Part Ten of CRR apply.U.K.
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.U.K.
1.6.2.C 05.01 — Transitional provisions (CA5.1)U.K.
20.Institutions shall report in Table 5.1 the transitional provisions to own funds components as laid down in Articles 465 to 491 of CRR, compared to applying the final provisions laid down in Title II of Part Two of CRR.U.K.
21.Institutions shall report in rows 020 to 060 information in relation with the transitional provisions of grandfathered instruments. The figures to be reported in columns 010 to 030 of row 060 of CA 5.1 can be derived from the respective sections of CA 5.2.U.K.
22.Institutions shall report in rows 070 to 092 information in relation with the transitional provisions of minority interests and additional Tier 1 and Tier 2 instruments issued by subsidiaries (in accordance with Articles 479 and 480 of CRR).U.K.
23.In rows 100 onwards institutions shall report information in relation with the transitional provisions of unrealized gains and losses, deductions as well as additional filters and deductions.U.K.
24.There might be cases where the transitional deductions of CET1, AT1 or T2 capital exceed the CET1, AT1 or T2 capital of an institution. This effect — if it results from transitional provisions — shall be shown in the CA1 template using the respective cells. As a consequence, the adjustments in the columns of the CA5 template do not include any spill-over effects in the case of insufficient capital available.U.K.
1.6.2.1.Instructions concerning specific positionsU.K.
1.6.3.C 05.02 — Grandfathered instruments: instruments not constituing state aid (CA5.2)U.K.
25.Institutions shall report information in relation with the transitional provisions of grandfathered instruments not constituting state aid (Article 484 to 491 of CRR).U.K.
1.6.3.1.Instructions concerning specific positionsU.K.
2.GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS)U.K.
2.1.GENERAL REMARKSU.K.
26.Templates C 06.01 and C 06.02 shall be reported if own funds requirements are calculated on a consolidated basis. This template consists of four parts in order to gather different information on all individual entities (including the reporting institution) included in the scope of consolidation.U.K.
Entities within the scope of consolidation;
Detailed group solvency information;
Information on the contribution of individual entities to group solvency;
Information on capital buffers;
27.Institutions waived according to Article 7 of CRR shall only report the columns 010 to 060 and 250 to 400.U.K.
2.2.DETAILED GROUP SOLVENCY INFORMATIONU.K.
28.The second part of this template (detailed group solvency information) in columns 070 to 210 is designed to gather information on credit and other regulated financial institutions which are effectively subject to particular solvency requirements on individual basis. It provides, for each of those entities within the scope of the reporting, the own funds requirements for each risk category and the own funds for solvency purposes.U.K.
29.In the case of proportional consolidation of participations, the figures related to own funds requirements and own funds shall reflect the respective proportional amounts.U.K.
2.3.INFORMATION ON THE CONTRIBUTIONS OF INDIVIDUAL ENTITIES TO GROUP SOLVENCYU.K.
30.The objective of the third part of this template (information on the contributions of all entities within CRR scope of consolidation to group solvency), including those that are not subject to particular solvency requirements on an individual basis, in columns 250 to 400, is to identify which entities within the group generate the risks and raise own funds from the market, based on data that are readily available or can easily be reprocessed, without having to reconstruct the capital ratio on a solo or sub-consolidated basis. At the entity level, both risk and own fund figures are contributions to the group figures and not elements of a solvency ratio on a solo basis and as such must not be compared to each other.U.K.
31.The third part also includes the amounts of minority interests, qualifying AT1, and qualifying T2 eligible in the consolidated own funds.U.K.
32.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.U.K.
33.The principle is to delete the cross-exposures within the same groups in a homogeneous way both in terms of risks or own funds, in order to cover the amounts reported in the group's consolidated CA template by adding the amounts reported for each entity in “Group Solvency” template. In cases where the 1 % threshold is not exceeded a direct link to the CA template is not possible.U.K.
34.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.U.K.
35.It is possible for one consolidated group to be included within another consolidated group. This means that the entities within a subgroup shall be reported entity-by-entity in the GS of the entire group, even if the sub-group itself is subject to reporting requirements. If the subgroup is subject to reporting requirements, it shall also report the GS template on an entity-by-entity basis, although those details are included in the GS template of a higher consolidated group.U.K.
36.An institution shall report data of the contribution of an entity when its contribution to the total risk exposure amount exceeds 1 % of the total risk exposure amount of the group or when its contribution to the total own funds exceeds 1 % of the total own funds of the group. This threshold does not apply in the case of subsidiaries or subgroups that provide own funds (in the form of minority interests or qualifying AT1 or T2 instruments included in own funds) to the group.U.K.
2.4.C 06.01 — GROUP SOLVENCY: INFORMATION ON AFFILIATES — TOTAL (GS TOTAL)U.K.
2.5.C 06.02 — GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS)U.K.
3.CREDIT RISK TEMPLATESU.K.
3.1.GENERAL REMARKSU.K.
37.There are different sets of templates for the Standardised approach and the IRB approach for credit risk. Additionally, separate templates for the geographical breakdown of positions subject to credit risk shall be reported if the relevant threshold as set out in Article 5(a)(4) is exceeded.U.K.
3.1.1.Reporting of CRM techniques with substitution effectU.K.
38.Article 235 of CRR describes the computation procedure of the exposure which is fully protected by unfunded protection.U.K.
39.Article 236 of CRR describes the computation procedure of exposure which is fully protected by unfunded protection in the case of full protection/partial protection — equal seniority.U.K.
40.Articles 196, 197 and 200 of CRR regulate the funded credit protection.U.K.
41.Reporting of exposures to obligors (immediate counterparties) and protection providers which are assigned to the same exposure class shall be done as an inflow as well as an outflow to the same exposure class.U.K.
42.The exposure type does not change because of unfunded credit protection.U.K.
43.If an exposure is secured by an unfunded credit protection, the secured part is assigned as an outflow e.g. in the exposure class of the obligor and as an inflow in the exposure class of the protection provider. However, the type of the exposure does not change due to the change of the exposure class.U.K.
44.The substitution effect in the COREP reporting framework shall reflect the risk weighting treatment effectively applicable to the covered part of the exposure. As such, the covered part of the exposure is risk weighted according to the SA approach and shall be reported in the CR SA template.U.K.
3.1.2.Reporting of Counterparty Credit RiskU.K.
45.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.U.K.
3.2.C 07.00 — CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: STANDARDISED APPROACH TO CAPITAL REQUIREMENTS (CR SA)U.K.
3.2.1.General remarksU.K.
46.The CR SA templates provide the necessary information on the calculation of own funds requirements for credit risk according to the standardised approach. In particular, they provide detailed information on:U.K.
the distribution of the exposure values according to the different, exposure types, risk weights and exposure classes;
the amount and type of credit risk mitigation techniques used for mitigating the risks.
3.2.2.Scope of the CR SA templateU.K.
47.According to Article 112 of CRR each SA exposure shall be assigned to one of the 16 SA exposure classes in order to calculate the own funds requirements.U.K.
48.The information in CR SA is requested for the total exposure classes and individually for each of the exposure classes as defined for the standardised approach. The total figures as well as the information of each exposure class are reported in a separate dimension.U.K.
49.However the following positions are not within the scope of CR SA:U.K.
Exposures assigned to exposure class “items representing securitisation positions” according to Article 112 (m) of CRR which shall be reported in the CR SEC templates.
Exposures deducted from own funds.
50.The scope of the CR SA template covers the following own funds requirements:U.K.
Credit risk in accordance with Chapter 2 (Standardised Approach) of Title II of Part Three of CRR in the banking book, among which Counterparty credit risk in accordance with Chapter 6 (Counterparty credit risk) of Title II of Part Three of CRR in the banking book;
Counterparty credit risk in accordance with Chapter 6 (Counterparty credit risk) of Title II of Part Three of CRR in the trading book;
Settlement risk arising from free deliveries in accordance with Article 379 of CRR in respect of all the business activities.
51.The scope of the template are all exposures for which the own funds requirements are calculated according to part 3 title II chapter 2 of CRR in conjunction with part 3 title II chapter 4 and 6 of CRR. Institutions that apply Article 94(1) of CRR also need to report their trading book positions in this template when they apply part 3 title II chapter 2 of CRR to calculate the own funds requirements thereof (part 3 title II chapter 2 and 6 and title V of CRR). Therefore the template provides not only detailed information on the type of the exposure (e.g. on balance sheet/off balance sheet items), but also information on the allocation of risk weights within the respective exposure class.U.K.
52.In addition CR SA includes memorandum items in rows 290 to 320 in order to collect further information about exposures secured by mortgages on immovable property and exposures in default.U.K.
53.These memorandum items shall only be reported for the following exposure classes:U.K.
Central governments or central banks (Article 112 point (a) of CRR)
Regional governments or local authorities (Article 112 point (b) of CRR)
Public sector entities (Article 112 point (c) of CRR)
Institutions (Article 112 point (f) of CRR)
Corporates (Article 112 point (g) of CRR)
Retail (Article 112 point (h) of CRR).
54.The reporting of the memorandum items affect neither the calculation of the risk weighted exposure amounts of the exposure classes according to Article 112 points a) to c) and f) to h) of CRR nor of the exposure classes according to Article 112 points i) and j) of CRR reported in CR SA.U.K.
55.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 wherethe obligors would have been reported in the exposure classes “Central governments or central banks”, “Regional governments or local authorities”, “Public sector entities”, “Institutions”, “Corporates” and “Retail” of CR SA, if those exposures were not assigned to the exposure classes “in default” or “secured by immovable property”. However the figures reported are the same as used to calculate the risk weighted exposure amounts in the exposure classes “in default” or “secured by immovable property”.U.K.
56.E.g. if an exposure, the risk exposure amounts of which are calculated subject to Article 127 of CRR and the value adjustments are less than 20 %, then this information is reported in CR SA, row 320 in the total and in the exposure class “in default”. If this exposure, before it defaulted, was an exposure to an institution then this information shall also be reported in row 320 of exposure class “institutions”.U.K.
3.2.3.Assignment of exposures to exposure classes under the Standardised ApproachU.K.
57.In order to ensure a consistent categorisation of exposures into the different exposure classes as defined in Article 112 of CRR the following sequential approach shall be applied:U.K.
In the first step the Original exposure pre conversion factors is classified into the corresponding (original) exposure class as referred to in Article 112 of CRR, without prejudice to the specific treatment (risk weight) that each specific exposure shall receive within the assigned exposure class.
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.
58.The following criteria apply for the classification of the Original exposure pre conversion factors into the different exposure classes (first step) without prejudice to the subsequent redistribution caused by the use of CRM techniques with substitution effects on the exposure or to the treatment (risk weight) that each specific exposure shall receive within the assigned exposure class.U.K.
59.For the purpose of classifying the original exposure pre conversion factor in the first step, the CRM techniques associated to the exposure shall not be considered (note that they shall be considered explicitly in the second phase) unless a protection effect is intrinsically part of the definition of an exposure class as it is the case in the exposure class mentioned in Article 112 point (i) of CRR (exposures secured by mortgages on immovable property).U.K.
60.Article 112 of CRR does not provide criteria for disjoining the exposure classes. This might imply that one exposure could potentially be classified in different exposure classes if no prioritisation in the assessment criteria for the classification is provided. The most obvious case arises between exposures to institutions and corporate with a short-term credit assessment (Article 112 point (n) of CRR) and exposures to institutions (Article 112 point (f) of CRR)/exposures to corporates (Article 112 point (g) of CRR). In this case it is clear that there is an implicit prioritisation in the CRR since it shall be assessed first if a certain exposure fit for being assigned to Short-term exposures to institutions and corporate and only afterwards do the same process for exposures to institutions and exposures to corporates. Otherwise it is obvious that the exposure class mentioned in Article 112 point (n) of CRR shall never be assigned an exposure. The example provided is one of the most obvious examples but not the only one. It is worth noting that the criteria used for establishing the exposure classes under the standardised approach are different (institutional categorisation, term of the exposure, past due status, etc.) which is the underlying reason for non disjoint groupings.U.K.
61.For a homogeneous and comparable reporting it is necessary to specify prioritisation assessment criteria for the assignment of the Original exposure pre conversion factor by exposure classes, without prejudice to the specific treatment (risk weight) that each specific exposure shall receive within the assigned exposure class. The prioritisation criteria presented below using a decision tree scheme are based on the assessment of the conditions explicitly laid down in the CRR for an exposure to fit in a certain exposure class and, if it is the case, on any decision on the part of the reporting institutions or the supervisor on the applicability of certain exposure classes. As such, the outcome of the exposure assignment process for reporting purposes would be in line with CRR provisions. This does not preclude institutions to apply other internal assignment procedures that may also be consistent with all relevant CRR provisions and its interpretations issued by the appropriate fora.U.K.
62.An exposure class shall be given priority to others in the assessment ranking in the decision tree (i.e. it shall be first assessed if an exposure can be assigned to it, without prejudice to the outcome of that assessment) if otherwise no exposures would potentially be assigned to it. This would be the case when in the absence of prioritisation criteria one exposure class would be a subset of others. As such the criteria graphically depicted in the following decision tree would work on a sequential process.U.K.
63.With this background the assessment ranking in the decision tree mentioned below would follow the following order:U.K.
Securitisation positions;
Items associated with particular high risk;
Equity exposures
Exposures in default;
Exposures in the form of units or shares in collective investment undertakings (“CIU”)/Exposures in the form of covered bonds (disjoint exposure classes);
Exposures secured by mortgages on immovable property;
Other items;
Exposures to institutions and corporates with a short-term credit assessment;
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.
64.In the case of exposures in the form of units or shares in collective investment undertakings and where the look through approach (Article 132(3) to (5) of CRR) is used, the underlying individual exposures shall be considered and classified into their corresponding risk weight line according to their treatment, but all the individual exposures shall be classified within the exposure class of exposures in the form of units or shares in collective investment undertakings (“CIU”).U.K.
65.In the case of “nth” to default credit derivatives specified in Article 134(6) of CRR, if they are rated, they shall be directly classified as securitisation positions. If they are not rated, they shall be considered in the “Other items” exposure class. In this latter case the nominal amount of the contract shall be reported as the Original exposure pre conversion factors in the line for “Other risk weights” (the risk weight used shall be that specified by the sum indicated under Article 134(6) of CRR.U.K.
66.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.U.K.
DECISION TREE ON HOW TO ASSIGN THE ORIGINAL EXPOSURE PRE CONVERSION FACTORS TO THE EXPOSURE CLASSES OF THE STANDARDISED APPROACH ACCORDING TO CRR
| Original exposure pre conversion factors | ||
| Does it fit for being assigned to the exposure class of Article 112 (m)? | YES  | Securitisation positions |
NO  | ||
| Does it fit for being assigned to the exposure class of Article 112point (k)? | YES  | Items associated with particular high risk (also see Article 128) |
NO  | ||
| Does it fit for being assigned to the exposure class of Article 112 point (p)? | YES  | Equity exposures (also see Article 133) |
NO  | ||
| Does it fit for being assigned to the exposure class of Article 112 point (j)? | YES  | Exposures in default |
NO  | ||
| Does it fit for being assigned to the exposure classes of Article 112 points (l) and (o)? | YES  | Exposures in the form of units or shares in collective investment undertakings (CIU) Exposures in the form of covered bonds (also see Article 129) These two exposure classes are disjoint among themselves (see comments on the look-through approach in the answer above). Therefore the assignment to one of them is straightforward. |
NO  | ||
| Does it fit for being assigned to the exposure class of Article 112 point (i)? | YES  | Exposures secured by mortgages on immovable property (also see Article 124) |
NO  | ||
| Does it fit for being assigned to the exposure class of Article 112 point (q)? | YES  | Other items |
NO  | ||
| Does it fit for being assigned to the exposure class of Article 112 point (n)? | YES  | Exposures to institutions and corporates with a short-term credit assessment |
NO  | ||
| The exposure classes below are disjoint among themselves. Therefore the assignment to one of them is straightforward. Exposures to central governments or central banks Exposures to regional governments or local authorities Exposures to public sector entities Exposures to multilateral development banks Exposures to international organisations Exposures to institutions Exposures to corporates Retail exposures | ||
3.2.4.Clarifications on the scope of some specific exposure classes referred to in Article 112 of CRRU.K.
3.2.4.1.Exposure Class “Institutions”U.K.
67.Reporting of intra-group exposures according to Article 113(6) to (7) of CRR shall be done as follows:U.K.
68.Exposures which fulfil the requirements of Article 113(7) of CRR shall be reported in the respective exposure classes where they would be reported if they were no intra-group exposures.U.K.
69.According Article 113(6) and (7) of CRR “an institution may, subject to the prior approval of the competent authorities, decide not to apply the requirements of paragraph 1 of this Article to the exposures of that institution to a counterparty which is its parent undertaking, its subsidiary, a subsidiary of its parent undertaking or an undertaking linked by a relationship within the meaning of Article 12(1) of Directive 83/349/EEC.” This means that intra-group counterparties are not necessarily institutions but also undertakings which are assigned to other exposure classes, e.g. ancillary services undertakings or undertakings within the meaning of Article 12(1) of Directive 83/349/EEC. Therefore intra-group exposures shall be reported in the corresponding exposure class.U.K.
3.2.4.2.Exposure Class “Covered Bonds”U.K.
70.The assignment of SA exposures to the exposure class “covered bonds” shall be done as follows:U.K.
71.Bonds as defined in Article 52(4) of Directive 2009/65/EC shall fulfil the requirements of Article 129(1) to (2) of CRR to be classified in the exposure class “Covered Bonds”. The fulfilment of those requirements has to be checked in each case. Nevertheless, bonds according to Article 52(4) of Directive 2009/65/EC and issued before 31 December 2007, are also assigned to the exposure class “Covered Bonds” because of Article 129(6) of CRR.U.K.
3.2.4.3.Exposure class “Collective Investment Undertakings”U.K.
72.Where the possibility according to Article 132(5) of CRR is used, exposures in the form of units or shares in CIUs shall be reported as on balance sheet items according to Article 111(1) sentence 1 of CRR.U.K.
3.2.5.Instructions concerning specific positionsU.K.
3.3.CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO OWN FUNDS REQUIREMENTS (CR IRB)U.K.
3.3.1.Scope of the CR IRB templateU.K.
73.The scope of the CR IRB template covers own funds requirements for:U.K.
Credit risk in the banking book, among which:
Counterparty credit risk in the banking book;
Dilution risk for purchased receivables;
Counterparty credit risk in the trading book;
Free deliveries resulting from all business activities..
74.The scope of the template refers to the exposures for which the risk weighted exposure amounts are calculated according to Articles 151 to 157 Part Three Title II Chapter 3 CRR (IRB approach).U.K.
75.The CR IRB template does not cover the following data:U.K.
Equity exposures, which are reported in the CR EQU IRB template;
Securitisation positions, which are reported in the CR SEC SA, CR SEC IRB and/or CR SEC Details templates;
“Other non-obligation assets”, according to Article 147(2) point (g) CRR. The risk weight for this exposure class has to be set at 100 % at any time except for cash in hand, equivalent cash items and exposures that are residual values of leased assets, according to Article 156 CRR. The risk weighted exposure amounts for this exposure class are reported directly in the CA-Template;
Credit valuation adjustment risk, which is reported on the CVA Risk template;
The CR IRB template does not require a geographical breakdown of IRB exposures by residence of the counterparty. This breakdown is reported in the template CR GB.
76.In order to clarify whether the institution uses its own estimates for LGD and/or credit conversion factors the following information shall be provided for each reported exposure class:U.K.
=
in case the supervisory estimates of LGD and credit conversion factors are used (Foundation IRB)
=
in case own estimates of LGD and credit conversion factors are used (Advanced IRB)
In any case, for the reporting of the retail portfolios “YES” has to be reported.
In case an institution uses own estimates of LGDs to calculate risk weighted exposure amounts for a part of its IRB exposures as well as uses supervisory LGDs to calculate risk weighted exposure amounts for the other part of its IRB exposures, an CR IRB Total for F-IRB positions and one CR IRB Total for A-IRB positions has to be reported.
3.3.2.Breakdown of the CR IRB templateU.K.
77.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:U.K.
Total
(The Total template must be reported for the Foundation IRB and, separately for the Advanced IRB approach.)
Central banks and central governments
(Article 147(2)(a) CRR)
Institutions
(Article 147(2) point (b) CRR)
Corporate — SME
(Article 147(2) point (c) CRR
Corporate — Specialised lending
(Article 147(8) CRR)
Corporate — Other
(All corporates according to Article 147(2) point (c), not reported under 4.1 and 4.2).
Retail — Secured by immovable property SME
(Exposures reflecting Article 147(2) point (d) in conjunction with Article 154(3) CRR which are secured by immovable property).
Retail — Secured by immovable property non-SME
(Exposures reflecting Article 147(2) point (d) CRR which are secured by immovable property and not reported under 5.1).
Retail — Qualifying revolving
(Article 147(2) point (d) in conjunction with Article 154(4) CRR).
Retail — Other SME
(Article 147(2) point (d) not reported under 5.1 and 5.3).
Retail — Other non — SME
(Article 147(2) point (d) CRR which were not reported under 5.2 and 5.3).
3.3.3.C 08.01 — Credit and counterparty credit risks and free deliveries: IRB Approach to Capital Requirements (CR IRB 1)U.K.
3.3.3.1.Instructions concerning specific positionsU.K.
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)U.K.
| Row | Instructions |
|---|---|
| 010-001 — 010-NNN | Values reported in these rows must be in ordered from the lower to the higher according to the PD assigned to the obligor grade or pool. PD of obligors in default shall be 100 %. Exposures subject to the alternative treatment for real estate collateral (only available when not using own estimates for the LGD) shall not be assigned according to the PD of the obligor and not reported in this template. |
3.4.CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: INFORMATION WITH GEOGRAPHICAL BREAKDOWN (CR GB)U.K.
78.Institutions fulfilling the threshold set in Article 5 (a) (4) of this Regulation shall submit information regarding the domestic country as well as any non-domestic country. The threshold is only applicable to Table 1 and Table 2. Exposures to supranational organisations shall be assigned to the geographical area “other countries”.U.K.
79.The term “residence of the obligor” refers to the country of incorporation of the obligor. This concept can be applied on an immediate-obligor basis and on an ultimate-risk basis. Hence, CRM techniques can change the allocation of an exposure to a country. 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.U.K.
80.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.U.K.
3.4.1.C 09.01 — Geographical breakdown of exposures by residence of the obligor: SA exposures (CR GB 1)U.K.
3.4.1.1.Instructions concerning specific positionsU.K.
3.4.2.C 09.02 — Geographical breakdown of exposures by residence of the obligor: IRB exposures (CR GB 2)U.K.
3.4.2.1.Instructions concerning specific positionsU.K.
3.4.3.C 09.03 — Geographical breakdown of relevant credit exposures for the purpose of calculation of the institution-specific countercyclical buffer (CR GB 3)U.K.
3.4.3.1.General remarksU.K.
81.According to Article 128 point (7) in connection with Articles 130 and 140 (1) CRD the countercyclical buffer rate is the “weighted average of the countercyclical buffer rates that apply in the jurisdiction where the relevant credit exposures of the institution are located”. The weighted average is calculated as follows:U.K.
:
Total own funds requirements for credit risk determined in accordance with Part Three, Titles II and IV of CRR that relate to the relevant credit exposures in the territory in question
:
Total own funds requirements for credit risk that relate to the relevant credit exposures
82.This table is implemented in order to receive more information regarding the elements of the institution specific countercyclical capital buffer. The information requested refers to the own funds requirements for credit exposures, securitisation exposures and trading book exposures relevant for the calculation of the institution specific countercyclical capital buffer (CCB) in accordance with Art 140 CRD (relevant credit exposures), and determined in accordance with Part Three, Title II and Title IV of the CRR.U.K.
83.The information shall be reported by country. The distribution by country of own fund requirements of relevant credit exposures should be made in accordance with the provisions laid down in the EBA RTS on the method for the identification of the geographical location of the relevant credit exposures EBA/RTS/2013/15. The threshold set in Article 5 (a) (4) of this Regulation is not relevant for the reporting of this breakdown.U.K.
3.4.3.2.Instructions concerning specific positionsU.K.
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)U.K.
3.5.1.General remarksU.K.
84.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.U.K.
85.The CR EQU IRB template provides information on the calculation of risk weighted exposure amounts for credit risk (Article 92(3) point (a) of CRR) according to the IRB method (Part Three, Title II, Chapter 3 of CRR) for equity exposures referred to in Article 147(2) point (e) of CRR.U.K.
86.According to Article 147(6) of CRR, the following exposures shall be assigned to the equity exposure class:U.K.
non-debt exposures conveying a subordinated, residual claim on the assets or income of the issuer; or
debt exposures and other securities, partnerships, derivatives, or other vehicles, the economic substance of which is similar to the exposures specified in point (a).
87.Collective investment undertakings treated according to the simple risk weight approach as referred to in Article 152 of CRR shall also be reported in the CR EQU IRB template.U.K.
88.In accordance with Article 151(1) of CRR, institutions shall provide the CR EQU IRB template when applying one of the three approaches referred to in Article 155 of CRR:U.K.
the Simple Risk Weight approach,
the PD/LGD approach, or
the Internal Models approach.
Moreover, institutions applying the IRB approach shall also report in the CR EQU IRB template risk-weighted exposure amounts for those equity exposures which attract a fixed risk-weight treatment (without however being explicitly treated according to the Simple Risk Weight approach or the (temporary or permanent) partial use of the credit risk standardised approach (e.g. equity exposures attracting a risk-weight of 250 % in accordance with Article 48(4) of CRR, respectively a risk-weight of 370 % in accordance with Article 471(2) of CRR))).
89.The following equity claims shall not be reported in the CR EQU IRB template:U.K.
Equity exposures in the trading book (in case where institutions are not exempted from calculating own funds requirements for trading book positions according to Article 94 of CRR).
Equity exposures subject to the partial use of the standardised approach (Article 150 of CRR), including:
Grandfathered equity exposures according to Article 495(1) of CRR,
Equity exposures to entities whose credit obligations are assigned a 0 % risk weight under the Standardised Approach, including those publicly sponsored entities where a 0 % risk weight can be applied (Article 150(1) point (g) of CRR),
Equity exposures incurred under legislated programmes to promote specified sectors of the economy that provide significant subsidies for the investment to the institution and involve some form of government oversight and restrictions on the equity investments (Article 150(1) point (h) of CRR).
Equity exposures to ancillary services undertakings whose risk weighted exposure amounts may be calculated according to the treatment of “other non credit-obligation assets” (in accordance with Article 155(1) of CRR).
Equity claims deducted from own funds in accordance with Articles 46 and 48 of the CRR.
3.5.2.Instructions concerning specific positions (applicable to both CR EQU IRB 1 and CR EQU IRB 2)U.K.
90.In accordance with Article 155 of CRR, institutions may employ different approaches (Simple Risk Weight approach, PD/LGD approach or Internal Models approach) to different portfolios when they use these different approaches internally. Institutions shall also report in the CR EQU IRB 1 template risk-weighted exposure amounts for those equity exposures which attract a fixed risk-weight treatment (without however being explicitly treated according to the Simple Risk Weight approach or the (temporary or permanent) partial use of the credit risk Standardised approach).U.K.
3.6.C 11.00 — SETTLEMENT/DELIVERY RISK (CR SETT)U.K.
3.6.1.General remarksU.K.
91.This template requests information on both trading and non-trading book transactions which are unsettled after their due delivery dates, and their corresponding own funds requirements for settlement risk according to Articles 92(3) point (c) ii) and 378 of CRR.U.K.
92.Institutions report in the CR SETT template information on the settlement/delivery risk in connection with debt instruments, equities, foreign currencies and commodities held in their trading or non-trading book.U.K.
93.According to Article 378 of CRR, repurchase transactions, securities or commodities lending and securities or commodities borrowing in connection with debt instruments, equities, foreign currencies and commodities are not subject to settlement/delivery risk. Note however that, derivatives and long settlement transactions unsettled after their due delivery dates are nevertheless subject to own funds requirements for settlement/delivery risk as determined in Article 378 of CRR.U.K.
94.In the case of unsettled transactions after the due delivery date, institutions calculate the price difference to which they are exposed. This is the difference between the agreed settlement price for the debt instrument, equity, foreign currency or commodity in question and its current market value, where the difference could involve a loss for the institution.U.K.
95.Institutions multiply this difference by the appropriate factor of Table 1 of Article 378 of CRR to determine the corresponding own funds requirements.U.K.
96.According to Article 92(4) Point (b), the own funds requirements for settlement/delivery risk shall be multiplied by 12.5 to calculate the risk exposure amount.U.K.
97.Note that own funds requirements for free deliveries as laid down in Article 379 of CRR are not within the scope of the CR SETT template; the latter shall be reported in the credit risk templates (CR SA, CR IRB).U.K.
3.6.2.Instructions concerning specific positionsU.K.
3.7.C 12.00 — CREDIT RISK: SECURITISATION — STANDARDISED APPROACH TO OWN FUNDS REQUIREMENTS (CR SEC SA)U.K.
3.7.1.General remarksU.K.
98.The information in this template is requested for all securitisations for which a significant risk transfer is recognised and in which the reporting institution is involved in a securitisation treated under the Standardised Approach. The information to be reported is contingent on the role of the institution as for the securitisation. As such, specific reporting items are applicable for originators, sponsors and investors.U.K.
99.The CR SEC SA template gathers joint information on both traditional and synthetic securitisations held in the banking book, as defined in Article 242(10) and (11) of CRR, respectively.U.K.
3.7.2.Instructions concerning specific positionsU.K.
100.The CR SEC SA template is divided into three major blocks of rows which gather data on the originated/sponsored/retained or purchased exposures by originators, investors and sponsors. For each of them, the information is broken down by on-balance sheet items and off-balance sheet items and derivatives as well as by securitisations and re-securitisations.U.K.
101.Total exposures (at reporting date) are also broken down according to the credit quality steps applied at inception (last block of rows). Originators, sponsors as well as investors shall report this information.U.K.
3.8.C 13.00 — CREDIT RISK — SECURITISATIONS: INTERNAL RATINGS BASED APPROACH TO OWN FUNDS REQUIREMENTS (CR SEC IRB)U.K.
3.8.1.General remarksU.K.
102.The information in this template is requested for all securitisations for which a significant risk transfer is recognised and in which the reporting institution is involved in a securitisation treated under the Internal Ratings Based Approach.U.K.
103.The information to be reported is contingent on the role of the institution as for the securitisation. As such, specific reporting items are applicable for originators, sponsors and investors.U.K.
104.The CR SEC IRB template has the same scope as the CR SEC SA, it gathers joint information on both traditional and synthetic securitisations held in the banking book.U.K.
3.8.2.Instructions concerning specific positionsU.K.
105.The CR SEC IRB template is divided into three major blocks of rows which gather data on the originated/sponsored/retained or purchased exposures by originators, investors and sponsors. For each of them, the information is broken down by on-balance sheet items and off-balance sheet items and derivatives, as well as by risk weight groupings of securitisations and re-securitisations.U.K.
106.Total exposures (at reporting date) are also broken down according to the credit quality steps applied at inception (last block of rows). Originators, sponsors as well as investors shall report this information.U.K.
3.9.C 14.00 — DETAILED INFORMATION ON SECURITISATIONS (SEC DETAILS)U.K.
3.9.1.General remarksU.K.
107.This template gathers information on a transaction basis (versus the aggregate information reported in CR SEC SA, CR SEC IRB, MKR SA SEC and MKR SA CTP templates) on all securitisations the reporting institution is involved. The main features of each securitisation, such as the nature of the underlying pool and the own funds requirements are requested.U.K.
108.This template is to be reported for:U.K.
Securitisations originated/sponsored by the reporting institution in case it holds at least one position in the securitisation. This means that, regardless of whether there has been a significant risk transfer or not, institutions shall report information on all the positions they hold (either in the banking book or trading book). Positions held include those positions retained due to Article 405 of CRR.
Securitisations originated/sponsored by the reporting institution during the year of report(4), in case it holds no position.
Securitisations, the ultimate underlying of which are financial liabilities originally issued by the reporting institution and (partially) acquired by a securitisation vehicle. This underlying could include covered bonds or other liabilities and shall be identified as such in column 160.
Positions held in securitisations where the reporting institution is neither originator nor sponsor (i.e. investors and original lenders).
109.This template shall be reported by consolidated groups and stand alone institutions(5) 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.U.K.
110.On account of Article 406(1) of CRR, which establishes that institutions investing in securitisation positions shall acquire a great deal of information on them in order to comply with due diligence requirements the reporting scope of the template is applied to a limited extent to investors. In particular, they shall report columns 010-040; 070-110; 160; 190; 290-400; 420-470.U.K.
111.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.U.K.
3.9.2.Instructions concerning specific positionsU.K.
4.OPERATIONAL RISK TEMPLATESU.K.
4.1.C 16.00 — OPERATIONAL RISK (OPR)U.K.
4.1.1.General RemarksU.K.
112.This template provides information on the calculation of own funds requirements according to Articles 312 to 324 of CRR for Operational Risk under the Basic Indicator Approach (BIA), the Standardised Approach (TSA), the Alternative Standardised Approach (ASA) and the Advanced Measurement Approaches (AMA). An institution can not apply TSA and ASA for the business lines retail banking and commercial banking at the same time at solo levelU.K.
113.Institutions using the BIA, TSA and/or ASA shall calculate their own funds requirement, based on the information at financial year end. When audited figures are not available, institutions may use business estimates. If audited figures are used, institutions shall report the audited figures which should remain unchanged. Deviations from this “unchanged” principle are possible, for instance if during that period the exceptional circumstances, such as recent acquisitions or disposals of entities or activities, are met.U.K.
114.If an institution can justify its competent authority that — due to exceptional circumstances such as a merger or a disposal of entities or activities — using a three year average to calculating the relevant indicator would lead to a biased estimation for the own funds requirement for operational risk the competent authority may permit the institution to modify the calculation in a way that would take into account such events. Also the competent authority may on its own initiative, require an institution to modify the calculation. Where an institution has been in operation for less than three years it may use forward looking business estimates in calculating the relevant indicator, provided that it starts using historical data as soon as they are available.U.K.
115.By columns, this template presents information, for the three most recent years, on the amount of the relevant indicator of the banking activities subject to operational risk and on the amount of loans and advances (the latter only applicable in the case of ASA). Next, information on the amount of own funds requirement for operational risk is reported. If applicable, it must be detailed which part of this amount is due to an allocation mechanism. Regarding AMA, memorandum items are added to present a detail of the effect of the expected loss, diversification and mitigation techniques on own funds requirement for operational risk.U.K.
116.By rows, information is presented by method of calculation of the operational risk own funds requirement detailing business lines for TSA and ASA.U.K.
117.This template shall be submitted by all institutions subject to operational risk own funds requirement.U.K.
4.1.2.Instructions concerning specific positionsU.K.
4.2.C 17.00 — OPERATIONAL RISK: LOSSES AND RECOVERIES BY BUSINESS LINES AND EVENT TYPES IN THE LAST YEAR (OPR DETAILS)U.K.
4.2.1.General RemarksU.K.
118.This template summarises the information on the gross losses and loss recoveries registered by an institution in the last year according to event types and business lines.U.K.
119.“Gross loss” means a loss stemming from an operational risk event or event type — as referred to in Article 322(3)(b) of Regulation (EU) No 575/2013 — before recoveries of any type, without prejudice to 122.U.K.
120.“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.U.K.
121.“Rapidly recovered loss events” means operational risk events that lead to losses that are partly or fully recovered within five working days. In case of a rapidly recovered loss event, only the part of the loss that is not fully recovered (i.e. the loss net of the partial rapid recovery) shall be included into the gross loss definition. As a consequence, loss events that lead to losses that are fully recovered within five working days shall not be included into the gross loss definition, as well as into the OPR Details reporting at all.U.K.
122.“Date of accounting” means the date when a loss or reserve/provision was first recognized in the Profit and Loss statement, against an operational risk loss. This date logically follows the “Date of occurrence” (i.e. the date when the operational risk event happened or first began) and the “Date of discovery” (i.e. the date on which the institution became aware of the operational risk event).U.K.
123.The Number of events is the number of operational risk events accounted for the first time within the reporting period.U.K.
124.The Total loss amount is the algebraic sum of the following elements:U.K.
The gross loss amounts pertinent to operational risk events “accounted for the first time” within the reporting period (e.g. direct charges, provisions, settlements);
the gross loss amounts pertinent to positive loss adjustments made within the reporting period (e.g. increase of provisions, linked loss events, additional settlements) of operational risk events “accounted for the first time” in previous reporting periods; and
the gross loss amounts pertinent to negative loss adjustments made within the reporting period — due to decrease of provisions — of operational risk events “accounted for the first time” in previous reporting periods.
125.The Number of events shall conventionally include also the events accounted for the first time in previous reporting periods and not yet reported in previous supervisory reports. The Total loss amount shall conventionally include also the elements as of Paragraph 124 pertinent to previous reporting periods and not yet reported in previous supervisory reports.U.K.
126.The Maximum single loss is the largest single amount among those included in 124.i or 124.ii above.U.K.
127.The Sum of the five largest losses is the sum of the five largest amounts among those included in 124.i or 124.ii above.U.K.
128.The Total loss recovery is the sum of all the recoveries accounted within the reporting period and pertinent to operational risk events accounted for the first time within the reporting period or in previous reporting periods.U.K.
129.The figures reported in June of the respective year are interim figures, while the final figures are reported in December. Therefore the figures in June have a six-month reference period (i.e. from 1/1 to 30/6 of the calendar year) while the figures in December have a twelve-month reference period (i.e. from 1/1 to 31/12 of the calendar year).U.K.
130.The information is presented by distributing the losses and recoveries above internal thresholds amongst business lines (as defined in Article 317 of CRR, Table 2 of CRR including the additional business line “Corporate items” as referred to in Article 322(3) point (b) of CRR) and event types (as defined in Article 324 of CRR), being possible that the losses corresponding to one event are distributed amongst several business lines.U.K.
131.Columns present the different event types and the totals for each business line, together with a memorandum item that shows the lowest internal threshold applied in the data collection of losses, revealing within each business line the lowest and the highest threshold if there is more than one threshold.U.K.
132.Rows present the business lines, and within each business line, information on the number of events, the total loss amount, the maximum single loss, the sum of the five largest losses and the total loss recovery.U.K.
133.For the total business lines, data on the number of events and the total loss amount are also requested for certain ranges based on preset thresholds, 10 000, 20 000, 100 000, and 1 000 000. The thresholds are set in Euro amounts and are included for comparability purposes of the reported losses among institutions; therefore they do not necessarily relate with the minimum loss thresholds used for the internal loss data collection, to be reported in another section of the template.U.K.
134.Where the algebraic sum of the elements of the total loss amount, as indicated in paragraph 124 above, determines a negative value for some business lines/event types combinations, the value of 0 shall be reported in the pertinent cells.U.K.
135.This template shall be reported by institutions using AMA or TSA/ASA for the calculation of their own funds requirements.U.K.
136.In order to verify the conditions envisaged by Article 5 point (b) (2) (b), the institutions shall use the latest statistics as available in the Supervisory Disclosure webpage of the EBA to get “the sum of individual balance sheet totals of all institutions within the same Member State”.U.K.
137.Institutions subject to Article 5(b)(2)(b) of this Regulation may only report the following information for the sum of all event types (column 080) of the OPR Details template:U.K.
number of events (row 910);
total loss amount (row 920);
maximum single loss (row 930);
sum of the five largest losses (row 940) and
total loss recovery (row 950).
4.2.2.Instructions concerning specific positionsU.K.
5.MARKET RISK TEMPLATESU.K.
138.These instructions refer to the templates reporting of the calculation of own funds requirements according to 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 reporting of the calculation of own funds requirements according to the internal models approach (MKR IM) are included in this part.U.K.
139.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 — this 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 — this 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 of CRR.U.K.
5.1.C 18.00 — MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS (MKR SA TDI)U.K.
5.1.1.General RemarksU.K.
140.This template captures the positions and the related own funds requirements for position risks on traded debt instruments under the standardised approach (Articles 102 and 105 (1) of CRR). The different risks and methods available under the CRR are considered by rows. The specific risk associated with exposures included in MKR SA SEC and MKR SA CTP only has to be reported in the Total template of the MKR SA TDI. The own funds requirements reported in those templates shall be transferred to cell {325;060} (securitisations) and {330;060} (CTP) respectively..U.K.
141.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, LTL, MKD, NOK, PLN, RON, RUB, RSD, SEK, CHF, TRY, UAH, USD and one residual template for all other currencies.U.K.
5.1.2.Instructions concerning specific positionsU.K.
5.2.C 19.00 — MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS (MKR SA SEC)U.K.
5.2.1.General RemarksU.K.
142.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.U.K.
143.The MKR SA SEC template determines the own funds requirement only for the specific risk of securitisation positions according to Articles 335 in connection with 337 CRR. If securitisation positions of the trading book are hedged by credit derivatives, Articles 346 and 347 CRR apply. There is only one template for all positions of the trading book, irrespective of the fact whether the institution uses the Standardised Approach or the Internal Ratings Based Approach to determine the risk weight for each of the positions according to Part Three Title II Chapter 5 of CRR. The reporting of the own funds requirements of the general risk of these positions is conducted in the MKR SA TDI or the MKR IM template.U.K.
144.Positions which receive a risk weight of 1 250 % can alternatively be deducted from CET1 (see 243(1) point (b), 244(1) point (b) and 258 of CRR). If this is the case, those positions have to be reported in row 460 of CA1.U.K.
5.2.2.Instructions concerning specific positionsU.K.
5.3.C 20.00 — MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK FOR POSITIONS ASSIGNED TO THE CORRELATION TRADING PORTFOLIO (MKR SA CTP)U.K.
5.3.1.General RemarksU.K.
145.This template requests information on positions of the CTP (comprising securitisations, nth-to-default credit derivatives and other CTP positions included according to Article 338(3)) and the corresponding own funds requirements under the standardised approach.U.K.
146.The MKR SA CTP template determines the own funds requirement only for the specific risk of positions assigned to the Correlation Trading Portfolio according to Articles 335 in connection with 338 (2) and (3) of CRR. If CTP- positions of the trading book are hedged by credit derivatives, Articles 346 and 347 CRR apply. There is only one template for all CTP-positions of the trading book, irrespective of the fact whether the institution uses the Standardised Approach or the Internal Ratings Based Approach to determine the risk weight for each of the positions according to Part Three Title II Chapter 5 of CRR. The reporting of the own funds requirements of the general risk of these positions is conducted in the MKR SA TDI or the MKR IM template.U.K.
147.This structure of the template separates securitisation positions, n-th to default credit derivatives and other CTP-positions. As a result, securitisation positions shall always be reported in rows 030, 060 or 090 (depending on the role of the institution in the securitisation). N-th to default credit derivatives shall always be reported in line 110. The “other CTP-positions” are neither securitisation positions nor n-th to default credit derivatives (see definition in Article 338(3) CRR), but they are explicitly “linked” (because of the hedging intent) to one of these two positions. That is why they are assigned either under the sub-heading “securitisation” or “n-th to default credit derivative”.U.K.
148.Positions which receive a risk weight of 1 250 % can alternatively be deducted from CET1 (see 243(1) point (b), 244(1) point (b) and 258 of CRR). If this is the case, those positions have to be reported in row 460 of CA1.U.K.
5.3.2.Instructions concerning specific positionsU.K.
5.4.C 21.00 — MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES (MKR SA EQU)U.K.
5.4.1.General RemarksU.K.
149.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.U.K.
150.The template has to be filled out separately for the “Total”, plus a static, pre-defined list of following markets: Bulgaria, Croatia, Czech Republic, Denmark, Egypt, Hungary, Iceland, Liechtenstein, Norway, Poland, Romania, Sweden, United Kingdom, Albania, Japan, Former Yugoslav Republic of Macedonia, Russian Federation, Serbia, Switzerland, Turkey, Ukraine, USA, Euro Area plus one residual template for all other markets. For the purpose of this reporting requirement the term “market” shall be read as “country”.U.K.
5.4.2.Instructions concerning specific positionsU.K.
5.5.C 22.00 — MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK (MKR SA FX)U.K.
5.5.1.General RemarksU.K.
151.Institutions shall report information on the positions in each currency (reporting currency included) and the corresponding own funds requirements for foreign exchange treated under the standardised approach. The position is calculated for each currency (including euro), gold, and positions to CIUs. Rows 100 to 470 of this template shall be reported even if institutions are not required to calculate own funds requirements for foreign exchange risk according to Article 351 of CRR.U.K.
152.The memorandum items of the template shall be filled out separately for All currencies of the Member States of the European Union and the following currencies: USD, CHF, JPY, RUB, TRY, AUD, CAD, RSD, ALL, UAH, MKD, EGP, ARS, BRL, MXN, HKD, ICK, TWD, NZD, NOK, SGD, KRW, CNY and all other currencies.U.K.
5.5.2.Instructions concerning specific positionsU.K.
5.6.C 23.00 — MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES (MKR SA COM)U.K.
5.6.1.General RemarksU.K.
153.This template request information on the positions in commodities and the corresponding own funds requirements treated under the standardised approach.U.K.
5.6.2.Instructions concerning specific positionsU.K.
5.7.C 24.00 — MARKET RISK INTERNAL MODEL (MKR IM)U.K.
5.7.1.General RemarksU.K.
154.This template provides a breakdown of VaR and stressed VaR (sVaR) figures according to the different market risks (debt, equity, FX, commodities) and other information relevant for the calculation of the own funds requirements.U.K.
155.Generally the reporting depends on the structure of the model of the institutions whether they report the figures for general and specific risk separately or together. The same holds true for the decomposition of the VAR/Stress-Var into the risk categories (interest rate risk, equity risk, commodities risk and foreign exchange risk). An institution can resign to report the decompositions mentioned above if it proves that a reporting of these figures would be unduly burdensome.U.K.
5.7.2.Instructions concerning specific positionsU.K.
5.8.C 25.00 — CREDIT VALUATION ADJUSTMENT RISK (CVA)U.K.
5.8.1.Instructions concerning specific positionsU.K.
ANNEX IIIU.K.
1. Balance Sheet Statement [Statement of Financial Position] U.K.
1.3 Equity U.K.
| References | Breakdown in table | Carrying amount | ||
|---|---|---|---|---|
| 010 | ||||
| 010 | Capital | IAS 1.54(r), BAD art 22 | 46 | |
| 020 | Paid up capital | IAS 1.78(e) | ||
| 030 | Unpaid capital which has been called up | IAS 1.78(e); Annex V.Part 2.14 | ||
| 040 | Share premium | IAS 1.78(e); CRR art 4(1)(124) | 46 | |
| 050 | Equity instruments issued other than capital | Annex V.Part 2.15-16 | 46 | |
| 060 | Equity component of compound financial instruments | IAS 32.28-29; Annex V.Part 2.15 | ||
| 070 | Other equity instruments issued | Annex V.Part 2.16 | ||
| 080 | Other equity | IFRS 2.10; Annex V.Part 2.17 | ||
| 090 | Accumulated other comprehensive income | CRR art 4(1)(100) | 46 | |
| 095 | Items that will not be reclassified to profit or loss | IAS 1.82A(a) | ||
| 100 | Tangible assets | IAS 16.39-41 | ||
| 110 | Intangible assets | IAS 38.85-87 | ||
| 120 | Actuarial gains or (-) losses on defined benefit pension plans | IAS 1.7 | ||
| 122 | Non-current assets and disposal groups classified as held for sale | IFRS 5.38, IG Example 12 | ||
| 124 | Share of other recognised income and expense of investments in subsidaries, joint ventures and associates | IAS 1.82(h); IAS 28.11 | ||
| 128 | Items that may be reclassified to profit or loss | IAS 1.82A(a) | ||
| 130 | Hedge of net investments in foreign operations [effective portion] | IAS 39.102(a) | ||
| 140 | Foreign currency translation | IAS 21.52(b); IAS 21.32, 38-49 | ||
| 150 | Hedging derivatives. Cash flow hedges [effective portion] | IFRS 7.23(c); IAS 39.95-101 | ||
| 160 | Available-for-sale financial assets | IFRS 7.20(a)(ii); IAS 39.55(b) | ||
| 170 | Non-current assets and disposal groups classified as held for sale | IFRS 5.38, IG Example 12 | ||
| 180 | Share of other recognised income and expense of investments in subsidaries, joint ventures and associates | IAS 1.82(h); IAS 28.11 | ||
| 190 | Retained earnings | CRR art 4(1)(123) | ||
| 200 | Revaluation reserves | IFRS 1.30, D5-D8; Annex V.Part 2.18 | ||
| 210 | Other reserves | IAS 1.54; IAS 1.78(e) | ||
| 220 | Reserves or accumulated losses of investments in subsidaries, joint ventures and associates | IAS 28.11; Annex V.Part 2.19 | ||
| 230 | Other | Annex V.Part 2.19 | ||
| 240 | (-) Treasury shares | IAS 1.79(a)(vi); IAS 32.33-34, AG 14, AG 36; Annex V.Part 2.20 | 46 | |
| 250 | Profit or loss attributable to owners of the parent | IAS 27.28; IAS 1.81B (b)(ii) | 2 | |
| 260 | (-) Interim dividends | IAS 32.35 | ||
| 270 | Minority interests [Non-controlling interests] | IAS 27.4; IAS 1.54(q); IAS 27.27 | ||
| 280 | Accumulated Other Comprehensive Income | IAS 27.27-28; CRR art 4(1)(100) | 46 | |
| 290 | Other items | IAS 27.27-28 | 46 | |
| 300 | TOTAL EQUITY | IAS 1.9(c), IG 6 | 46 | |
| 310 | TOTAL EQUITY AND TOTAL LIABILITIES | IAS 1.IG6 | ||
16. Breakdown of selected statement of profit or loss items U.K.
16.1 Interest income and expenses by instrument and counterparty sector U.K.
| Current period | ||||
|---|---|---|---|---|
| References | Income | Expenses | ||
| Annex V.Part 2.95 | Annex V.Part 2.95 | |||
| 010 | 020 | |||
| 010 | Derivatives -Trading | IAS 39.9; Annex V.Part 2.96 | ||
| 020 | Debt securities | Annex V.Part 1.26 | ||
| 030 | Central banks | Annex V.Part 1.35(a) | ||
| 040 | General governments | Annex V.Part 1.35(b) | ||
| 050 | Credit institutions | Annex V.Part 1.35(c) | ||
| 060 | Other financial corporations | Annex V.Part 1.35(d) | ||
| 070 | Non-financial corporations | Annex V.Part 1.35(e) | ||
| 080 | Loans and advances | Annex V.Part 1.27 | ||
| 090 | Central banks | Annex V.Part 1.35(a) | ||
| 100 | General governments | Annex V.Part 1.35(b) | ||
| 110 | Credit institutions | Annex V.Part 1.35(c) | ||
| 120 | Other financial corporations | Annex V.Part 1.35(d) | ||
| 130 | Non-financial corporations | Annex V.Part 1.35(e) | ||
| 140 | Households | Annex V.Part 1.35(f) | ||
| 150 | Other assets | Annex V.Part 1.51 | ||
| 160 | Deposits | ECB/2008/32 Annex 2.Part 2.9 | ||
| 170 | Central banks | Annex V.Part 1.35(a) | ||
| 180 | General governments | Annex V.Part 1.35(b) | ||
| 190 | Credit institutions | Annex V.Part 1.35(c) | ||
| 200 | Other financial corporations | Annex V.Part 1.35(d) | ||
| 210 | Non-financial corporations | Annex V.Part 1.35(e) | ||
| 220 | Households | Annex V.Part 1.35(f) | ||
| 230 | Debt securities issued | Annex V.Part 1.31 | ||
| 240 | Other financial liabilities | Annex V.Part 1.32-34 | ||
| 250 | Derivatives — Hedge accounting, interest rate risk | Annex V.Part 2.95 | ||
| 260 | Other Liabilities | Annex V.Part 2.10 | ||
| 270 | INTEREST | IAS 18.35(b); IAS 1.97 | ||
16.2 Gains or losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss by instrument U.K.
| References | Current period | ||
|---|---|---|---|
| 010 | |||
| 010 | Equity instruments | IAS 32.11 | |
| 020 | Debt securities | Annex V.Part 1.26 | |
| 030 | Loans and advances | Annex V.Part 1.27 | |
| 040 | Deposits | ECB/2008/32 Annex 2.Part 2.9 | |
| 050 | Debt securities issued | Annex V.Part 1.31 | |
| 060 | Other financial liabilities | Annex V.Part 1.32-34 | |
| 070 | GAINS OR (-) LOSSES ON DERECOGNITION OF FINANCIAL ASSETS AND LIABILITIES NOT MEASURED AT FAIR VALUE THROUGH PROFIT OR LOSS, NET | IFRS 7.20(a)(v-vii); IAS 39.55(a) | |
16.3 Gains or losses on financial assets and liabilities held for trading by instrument U.K.
| References | Current period | ||
|---|---|---|---|
| 010 | |||
| 010 | Derivatives | IAS 39.9 | |
| 020 | Equity instruments | IAS 32.11 | |
| 030 | Debt securities | Annex V.Part 1.26 | |
| 040 | Loans and advances | Annex V.Part 1.27 | |
| 050 | Short positions | IAS 39 AG 15(b) | |
| 060 | Deposits | ECB/2008/32 Annex 2.Part 2.9 | |
| 070 | Debt securities issued | Annex V.Part 1.31 | |
| 080 | Other financial liabilities | Annex V.Part 1.32-34 | |
| 090 | GAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES HELD FOR TRADING, NET | IFRS 7.20(a)(i) | |
16.4. Gains or losses on financial assets and liabilities held for trading by risk U.K.
| References | Current period | ||
|---|---|---|---|
| 010 | |||
| 010 | Interest rate instruments and related derivatives | Annex V.Part 2.99(a) | |
| 020 | Equity instruments and related derivatives | Annex V.Part 2.99(b) | |
| 030 | Foreign exchange trading and derivatives related with foreign exchange and gold | Annex V.Part 2.99(c) | |
| 040 | Credit risk instruments and related derivatives | Annex V.Part 2.99(d) | |
| 050 | Derivatives related with commodities | Annex V.Part 2.99(e) | |
| 060 | Other | Annex V.Part 2.99(f) | |
| 070 | GAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES HELD FOR TRADING, NET | IFRS 7.20(a)(i) | |
16.5 Gains or losses on financial assets and liabilities designated at fair value through profit or loss by instrument U.K.
| References | Current period | Accumulated changes in fair value due to credit risk | ||
|---|---|---|---|---|
| Annex V.Part 2.100 | ||||
| 010 | 020 | |||
| 010 | Equity instruments | IAS 32.11 | ||
| 020 | Debt securities | Annex V.Part 1.26 | ||
| 030 | Loans and advances | Annex V.Part 1.27 | ||
| 040 | Deposits | ECB/2008/32 Annex 2.Part 2.9 | ||
| 050 | Debt securities issued | Annex V.Part 1.31 | ||
| 060 | Other financial liabilities | Annex V.Part 1.32-34 | ||
| 070 | GAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS, NET | IFRS 7.20(a)(i) | ||
16.6 Gains or losses from hedge accounting U.K.
| References | Current period | ||
|---|---|---|---|
| 010 | |||
| 010 | Fair value changes of the hedging instrument [including discontinuation] | IFRS 7.24(a)(i) | |
| 020 | Fair value changes of the hedged item attributable to the hedged risk | IFRS 7.24(a)(ii) | |
| 030 | Ineffectiveness in profit or loss from cash flow hedges | IFRS 7.24(b) | |
| 040 | Ineffectiveness in profit or loss from hedges of net investments in foreign operations | IFRS 7.24(c) | |
| 050 | GAINS OR (-) LOSSES FROM HEDGE ACCOUNTING, NET | IFRS 7.24 | |
16.7 Impairment on financial and non-financial assets U.K.
| Current period | ||||||
|---|---|---|---|---|---|---|
| References | AdditionsAnnex V.Part 2.102 | ReversalsAnnex V.Part 2.102 | Total | Accumulated impairment | ||
| 010 | 020 | 030 | 040 | |||
| 010 | Impairment or (-) reversal of impairment on financial assets not measured at fair value through profit or loss | IFRS 7.20(e) | ||||
| 020 | Financial assets measured at cost | IFRS 7.20(e); IAS 39.66 | ||||
| 030 | Available-for-sale financial assets | IFRS 7.20(e); IAS 39.67-70 | ||||
| 040 | Loans and receivables | IFRS 7.20(e); IAS 39.63-65 | ||||
| 050 | Held-to-maturity investments | IFRS 7.20(e); IAS 39.63-65 | ||||
| 060 | Impairment or (-) reversal of impairment of investments in subsidaries, joint ventures and associates | IAS 28.40-43 | ||||
| 070 | Subsidiaries | IFRS 10 Appendix A | ||||
| 080 | Joint ventures | IAS 28.3 | ||||
| 090 | Associates | IAS 28.3 | ||||
| 100 | Impairment or (-) reversal of impairment on non-financial assets | IAS 36.126(a),(b) | ||||
| 110 | Property, plant and equipment | IAS 16.73(e)(v-vi) | ||||
| 120 | Investment properties | IAS 40.79(d)(v) | ||||
| 130 | Goodwill | IAS 36.10b; IAS 36.88-99, 124; IFRS 3 Appendix B67(d)(v) | ||||
| 140 | Other intangible assets | IAS 38.118(e)(iv)(v) | ||||
| 145 | Other | IAS 36.126(a),(b) | ||||
| 150 | TOTAL | |||||
| 160 | Interest income on impaired financial assets accrued | IFRS 7.20(d); IAS 39.AG 93 | ||||
20. Geographical breakdown U.K.
20.1 Geographical breakdown of assets by location of the activities U.K.
| References | Carrying amount | |||
|---|---|---|---|---|
| Domestic activities | Non-domestic activities | |||
| Annex V.Part 2.107 | Annex V.Part 2.107 | |||
| 010 | 020 | |||
| 010 | Cash, cash balances at central banks and other demand deposits | IAS 1.54 (i) | ||
| 020 | Cash on hand | Annex V.Part 2.1 | ||
| 030 | Cash balances at central banks | Annex V.Part 2.2 | ||
| 040 | Other demand deposits | Annex V.Part 2.3 | ||
| 050 | Financial assets held for trading | IFRS 7.8(a)(ii); IAS 39.9, AG 14 | ||
| 060 | Derivatives | IAS 39.9 | ||
| 070 | Equity instruments | IAS 32.11 | ||
| 080 | Debt securities | Annex V.Part 1.24, 26 | ||
| 090 | Loans and advances | Annex V.Part 1.24, 27 | ||
| 100 | Financial assets designated at fair value through profit or loss | IFRS 7.8(a)(i); IAS 39.9 | ||
| 110 | Equity instruments | IAS 32.11 | ||
| 120 | Debt securities | Annex V.Part 1.24, 26 | ||
| 130 | Loans and advances | Annex V.Part 1.24, 27 | ||
| 140 | Available-for-sale financial assets | IFRS 7.8(d); IAS 39.9 | ||
| 150 | Equity instruments | IAS 32.11 | ||
| 160 | Debt securities | Annex V.Part 1.24, 26 | ||
| 170 | Loans and advances | Annex V.Part 1.24, 27 | ||
| 180 | Loans and receivables | IFRS 7.8(c); IAS 39.9, AG16, AG26; Annex V.Part 1.16 | ||
| 190 | Debt securities | Annex V.Part 1.24, 26 | ||
| 200 | Loans and advances | Annex V.Part 1.24, 27 | ||
| 210 | Held-to-maturity investments | IFRS 7.8(b); IAS 39.9, AG16, AG26 | ||
| 220 | Debt securities | Annex V.Part 1.24, 26 | ||
| 230 | Loans and advances | Annex V.Part 1.24, 27 | ||
| 240 | Derivatives — Hedge accounting | IFRS 7.22(b); IAS 39.9 | ||
| 250 | Fair value changes of the hedged items in portfolio hedge of interest rate risk | IAS 39.89A(a) | ||
| 260 | Tangible assets | |||
| 270 | Intangible assets | IAS 1.54(c); CRR art 4(1)(115) | ||
| 280 | Investments in subsidaries, joint ventures and associates | IAS 1.54(e); Annex V.Part 2.4 | ||
| 290 | Tax assets | IAS 1.54(n-o) | ||
| 300 | Other assets | Annex V.Part 2.5 | ||
| 310 | Non-current assets and disposal groups classified as held for sale | IAS 1.54(j); IFRS 5.38 | ||
| 320 | ASSETS | IAS 1.9(a), IG 6 | ||
46. Statement of changes in equity U.K.
| Sources of equity changes | References | Capital | Share premium | Equity instruments issued other than Capital | Other equity | Accumulated other comprehensive income | Retained earnings | Revaluation reserves | |
|---|---|---|---|---|---|---|---|---|---|
| IAS 1.106, 54(r) | IAS 1.106, 78(e) | IAS 1.106, Annex V.Part 2.15-16 | IAS 1.106; Annex V.Part 2.17 | IAS 1.106 | CRR art 4(1)(123) | IFRS 1.30 D5-D8 | |||
| 010 | 020 | 030 | 040 | 050 | 060 | 070 | |||
| 010 | Opening balance [before restatement] | ||||||||
| 020 | Effects of corrections of errors | IAS 1.106.(b); IAS 8.42 | |||||||
| 030 | Effects of changes in accounting policies | IAS 1.106.(b); IAS 1.IG6; IAS 8.22 | |||||||
| 040 | Opening balance [current period] | ||||||||
| 050 | Issuance of ordinary shares | IAS 1.106.(d).(iii) | |||||||
| 060 | Issuance of preference shares | IAS 1.106.(d).(iii) | |||||||
| 070 | Issuance of other equity instruments | IAS 1.106.(d).(iii) | |||||||
| 080 | Exercise or expiration of other equity instruments issued | IAS 1.106.(d).(iii) | |||||||
| 090 | Conversion of debt to equity | IAS 1.106.(d).(iii) | |||||||
| 100 | Capital reduction | IAS 1.106.(d).(iii) | |||||||
| 110 | Dividends | IAS 1.106.(d).(iii); IAS 32.35; IAS 1.IG6 | |||||||
| 120 | Purchase of treasury shares | IAS 1.106.(d).(iii); IAS 32.33 | |||||||
| 130 | Sale or cancellation of treasury shares | IAS 1.106.(d).(iii); IAS 32.33 | |||||||
| 140 | Reclassification of financial instruments from equity to liability | IAS 1.106.(d).(iii) | |||||||
| 150 | Reclassification of financial instruments from liability to equity | IAS 1.106.(d).(iii) | |||||||
| 160 | Transfers among components of equity | IAS 1.106.(d).(iii) | |||||||
| 170 | Equity increase or (-) decrease resulting from business combinations | IAS 1.106.(d).(iii) | |||||||
| 180 | Share based payments | IAS 1.106.(d).(iii); IFRS 2.10 | |||||||
| 190 | Other increase or (-) decrease in equity | IAS 1.106.(d) | |||||||
| 200 | Total comprehensive income for the year | IAS 1.106.(d).(i)-(ii); IAS 1.81A.(c); IAS 1.IG6 | |||||||
| 210 | Closing balance [current period] | ||||||||
| Sources of equity changes | References | Other reserves | (-) Treasury shares | Profit or (-) loss atributable to owners of the parent | (-) Interim dividends | Minority interests | Total | ||
|---|---|---|---|---|---|---|---|---|---|
| Accumulated Other Comprehensive Income | Other items | ||||||||
| IAS 1.106, 54(c) | IAS 1.106; IAS 32.34, 33; Annex V.Part 2.20 | IAS 1.106(a), 83 (a)(ii) | IAS 1.106; IAS 32.35 | IAS 1.54(q), 106(a); IAS 27.27-28 | IAS 1.54(q), 106(a); IAS 27.27-28 | IAS 1.9(c), IG6 | |||
| 080 | 090 | 100 | 110 | 120 | 130 | 140 | |||
| 010 | Opening balance [before restatement] | ||||||||
| 020 | Effects of corrections of errors | IAS 1.106.(b); IAS 8.42 | |||||||
| 030 | Effects of changes in accounting policies | IAS 1.106.(b); IAS 1.IG6; IAS 8.22 | |||||||
| 040 | Opening balance [current period] | ||||||||
| 050 | Issuance of ordinary shares | IAS 1.106.(d).(iii) | |||||||
| 060 | Issuance of preference shares | IAS 1.106.(d).(iii) | |||||||
| 070 | Issuance of other equity instruments | IAS 1.106.(d).(iii) | |||||||
| 080 | Exercise or expiration of other equity instruments issued | IAS 1.106.(d).(iii) | |||||||
| 090 | Conversion of debt to equity | IAS 1.106.(d).(iii) | |||||||
| 100 | Capital reduction | IAS 1.106.(d).(iii) | |||||||
| 110 | Dividends | IAS 1.106.(d).(iii); IAS 32.35; IAS 1.IG6 | |||||||
| 120 | Purchase of treasury shares | IAS 1.106.(d).(iii); IAS 32.33 | |||||||
| 130 | Sale or cancellation of treasury shares | IAS 1.106.(d).(iii); IAS 32.33 | |||||||
| 140 | Reclassification of financial instruments from equity to liability | IAS 1.106.(d).(iii) | |||||||
| 150 | Reclassification of financial instruments from liability to equity | IAS 1.106.(d).(iii) | |||||||
| 160 | Transfers among components of equity | IAS 1.106.(d).(iii) | |||||||
| 170 | Equity increase or (-) decrease resulting from business combinations | IAS 1.106.(d).(iii) | |||||||
| 180 | Share based payments | IAS 1.106.(d).(iii); IFRS 2.10 | |||||||
| 190 | Other increase or (-) decrease in equity | IAS 1.106.(d) | |||||||
| 200 | Total comprehensive income for the year | IAS 1.106.(d).(i)-(ii); IAS 1.81A.(c); IAS 1.IG6 | |||||||
| 210 | Closing balance [current period] | ||||||||
ANNEX IVU.K.
1. Balance Sheet Statement [Statement of Financial Position] U.K.
1.3 Equity U.K.
| References National GAAP based on BAD | References National GAAP compatible IFRS | Breakdown in table | Carrying amount | ||
|---|---|---|---|---|---|
| 010 | |||||
| 010 | Capital | BAD art 4.Liabilities(9), BAD art 22 | IAS 1.54(r), BAD art 22 | 46 | |
| 020 | Paid up capital | BAD art 4.Liabilities(9) | IAS 1.78(e) | ||
| 030 | Unpaid capital which has been called up | BAD art 4.Liabilities(9) | IAS 1.78(e); Annex V.Part 2.14 | ||
| 040 | Share premium | BAD art 4.Liabilities(10); CRR art 4(124) | IAS 1.78(e); CRR art 4(124) | 46 | |
| 050 | Equity instruments issued other than capital | Annex V.Part 2.15-16 | Annex V.Part 2.15-16 | 46 | |
| 060 | Equity component of compound financial instruments | 4th Directive art 42a(5a); Annex V.Part 2.15 | IAS 32.28-29; Annex V.Part 2.15 | ||
| 070 | Other equity instruments issued | Annex V.Part 2.16 | Annex V.Part 2.16 | ||
| 080 | Other equity | Annex V.Part 2.17 | IFRS 2.10; Annex V.Part 2.17 | ||
| 090 | Accumulated other comprehensive income | CRR art 4(100) | CRR art 4(100) | 46 | |
| 095 | Items that will not be reclassified to profit or loss | IAS 1.82A(a) | |||
| 100 | Tangible assets | IAS 16.39-41 | |||
| 110 | Intangible assets | IAS 38.85-87 | |||
| 120 | Actuarial gains or (-) losses on defined benefit pension plans | IAS 1.7 | |||
| 122 | Non-current assets and disposal groups classified as held for sale | IFRS 5.38, IG Example 12 | |||
| 124 | Share of other recognised income and expense of investments in subsidaries, joint ventures and associates | IAS 1.82(h); IAS 28.11 | |||
| 128 | Items that may be reclassified to profit or loss | IAS 1.82A(b) | |||
| 130 | Hedge of net investments in foreign operations [effective portion] | 4th Directive art 42a(1), (5a) | IAS 39.102(a) | ||
| 140 | Foreign currency translation | BAD art 39(6) | IAS 21.52(b); IAS 21.32, 38-49 | ||
| 150 | Hedging derivatives. Cash flow hedges [effective portion] | 4th Directive art 42a(1), (5a) | IFRS 7.23(c); IAS 39.95-101 | ||
| 160 | Available-for-sale financial assets | 4th Directive art 42a(1), (5a) | IFRS 7.20(a)(ii); IAS 39.55(b) | ||
| 170 | Non-current assets and disposal groups classified as held for sale | IFRS 5.38, IG Example 12 | |||
| 180 | Share of other recognised income and expense of investments in subsidaries, joint ventures and associates | IAS 1.82(h); IAS 28.11 | |||
| 190 | Retained earnings | BAD art 4.Liabilities(13); CRR art 4(123) | CRR art 4(123) | ||
| 200 | Revaluation reserves | BAD art 4.Liabilities(12) | IFRS 1.30, D5-D8; Annex V.Part 2.18 | ||
| 201 | Tangible assets | 4th Directive art 33(1)(c) | |||
| 202 | Equity instruments | 4th Directive art 33(1)(c) | |||
| 203 | Debt securities | 4th Directive art 33(1)(c) | |||
| 204 | Other | 4th Directive art 33(1)(c) | |||
| 205 | Fair value reserves | 4th Directive art 42a(1) | |||
| 206 | Hedge of net investments in foreign operations | 4th Directive art 42a(1); art 42c(1)(b) | |||
| 207 | Hedging derivatives.Cash flow hedges | 4th Directive art 42a(1); art 42c(1)(a); CRR article 30(a) | |||
| 208 | Hedging derivatives. Other hedges | 4th Directive art 42a(1); art 42c(1)(a) | |||
| 209 | Non-trading non-derivative financial assets measured at fair value to equity | 4th Directive art 42a(1); art 42c (2) | |||
| 210 | Other reserves | BAD art 4 Liabilities(11)-(13) | IAS 1.54; IAS 1.78(e) | ||
| 215 | Funds for general banking risks [if presented within equity] | BAD art 38.1; CRR art 4(112); Annex V.Part 1.38 | |||
| 220 | Reserves or accumulated losses of investments in subsidaries, joint ventures and associates | 4th Directive art 59.4;Annex V.Part 2.19 | IAS 28.11; Annex V.Part 2.19 | ||
| 230 | Other | Annex V.Part 2.19 | Annex V.Part 2.19 | ||
| 235 | First consolidation differences | 7th Directive 19(1)(c) | |||
| 240 | (-) Treasury shares | 4th Directive.Assets C (III)(7), D (III)(2); Annex V.Part 2.20 | IAS 1.79(a)(vi); IAS 32.33-34, AG 14, AG 36; Annex V.Part 2.20 | 46 | |
| 250 | Profit or loss attributable to owners of the parent | BAD art 4.Liabilities(14) | IAS 27.28; IAS 1.81B (b)(ii) | 2 | |
| 260 | (-) Interim dividends | CRR Article 26(2b) | IAS 32.35 | ||
| 270 | Minority interests [Non-controlling interests] | 7th Directive art 21 | IAS 27.4; IAS 1.54(q); IAS 27.27 | ||
| 280 | Accumulated Other Comprehensive Income | CRR art 4(100) | IAS 27.27-28; CRR art 4(100) | 46 | |
| 290 | Other items | IAS 27.27-28 | 46 | ||
| 300 | TOTAL EQUITY | IAS 1.9(c), IG 6 | 46 | ||
| 310 | TOTAL EQUITY AND TOTAL LIABILITIES | BAD art 4.Liabilities | IAS 1.IG6 | ||
16. Breakdown of selected statement of profit or loss items U.K.
16.1 Interest income and expenses by instrument and counterparty sector U.K.
| References National GAAP based on BAD | References National GAAP compatible IFRS | Current period | |||
|---|---|---|---|---|---|
| Income | Expenses | ||||
| Annex V.Part 2.95 | Annex V.Part 2.95 | ||||
| 010 | 020 | ||||
| 010 | Derivatives -Trading | CRR Annex II; Annex V.Part 2.96 | IAS 39.9; Annex V.Part 2.96 | ||
| 020 | Debt securities | Annex V.Part 1.26 | Annex V.Part 1.26 | ||
| 030 | Central banks | Annex V.Part 1.35(a) | Annex V.Part 1.35(a) | ||
| 040 | General governments | Annex V.Part 1.35(b) | Annex V.Part 1.35(b) | ||
| 050 | Credit institutions | Annex V.Part 1.35(c) | Annex V.Part 1.35(c) | ||
| 060 | Other financial corporations | Annex V.Part 1.35(d) | Annex V.Part 1.35(d) | ||
| 070 | Non-financial corporations | Annex V.Part 1.35(e) | Annex V.Part 1.35(e) | ||
| 080 | Loans and advances | Annex V.Part 1.27 | Annex V.Part 1.27 | ||
| 090 | Central banks | Annex V.Part 1.35(a) | Annex V.Part 1.35(a) | ||
| 100 | General governments | Annex V.Part 1.35(b) | Annex V.Part 1.35(b) | ||
| 110 | Credit institutions | Annex V.Part 1.35(c) | Annex V.Part 1.35(c) | ||
| 120 | Other financial corporations | Annex V.Part 1.35(d) | Annex V.Part 1.35(d) | ||
| 130 | Non-financial corporations | Annex V.Part 1.35(e) | Annex V.Part 1.35(e) | ||
| 140 | Households | Annex V.Part 1.35(f) | Annex V.Part 1.35(f) | ||
| 150 | Other assets | Annex V.Part 1.51 | Annex V.Part 1.51 | ||
| 160 | Deposits | ECB/2008/32 Annex 2.Part 2.9 | ECB/2008/32 Annex 2.Part 2.9 | ||
| 170 | Central banks | Annex V.Part 1.35(a) | Annex V.Part 1.35(a) | ||
| 180 | General governments | Annex V.Part 1.35(b) | Annex V.Part 1.35(b) | ||
| 190 | Credit institutions | Annex V.Part 1.35(c) | Annex V.Part 1.35(c) | ||
| 200 | Other financial corporations | Annex V.Part 1.35(d) | Annex V.Part 1.35(d) | ||
| 210 | Non-financial corporations | Annex V.Part 1.35(e) | Annex V.Part 1.35(e) | ||
| 220 | Households | Annex V.Part 1.35(f) | Annex V.Part 1.35(f) | ||
| 230 | Debt securities issued | Annex V.Part 1.31 | Annex V.Part 1.31 | ||
| 240 | Other financial liabilities | Annex V.Part 1.32-34 | Annex V.Part 1.32-34 | ||
| 250 | Derivatives — Hedge accounting, interest rate risk | Annex V.Part 2.95 | Annex V.Part 2.95 | ||
| 260 | Other Liabilities | Annex V.Part 2.10 | Annex V.Part 2.10 | ||
| 270 | INTEREST | BAD art 27.Vertical layout(1), (2) | IAS 18.35(b); IAS 1.97 | ||
16.2 Gains or losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss by instrument U.K.
| References National GAAP based on BAD | References National GAAP compatible IFRS | Current period | ||
|---|---|---|---|---|
| 010 | ||||
| 010 | Equity instruments | ECB/2008/32 Annex 2.Part 2.4-5 | IAS 32.11 | |
| 020 | Debt securities | Annex V.Part 1.26 | Annex V.Part 1.26 | |
| 030 | Loans and advances | Annex V.Part 1.27 | Annex V.Part 1.27 | |
| 040 | Deposits | ECB/2008/32 Annex 2.Part 2.9 | ECB/2008/32 Annex 2.Part 2.9 | |
| 050 | Debt securities issued | Annex V.Part 1.31 | Annex V.Part 1.31 | |
| 060 | Other financial liabilities | Annex V.Part 1.32-34 | Annex V.Part 1.32-34 | |
| 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) | IFRS 7.20(a)(v-vii); IAS 39.55(a) | |
16.3 Gains or losses on financial assets and liabilities held for trading by instrument U.K.
| References National GAAP based on BAD | References National GAAP compatible IFRS | Current period | ||
|---|---|---|---|---|
| 010 | ||||
| 010 | Derivatives | CRR Annex II | IAS 39.9 | |
| 020 | Equity instruments | ECB/2008/32 Annex 2.Part 2.4-5 | IAS 32.11 | |
| 030 | Debt securities | Annex V.Part 1.26 | Annex V.Part 1.26 | |
| 040 | Loans and advances | Annex V.Part 1.27 | Annex V.Part 1.27 | |
| 050 | Short positions | IAS 39 AG 15(b) | ||
| 060 | Deposits | ECB/2008/32 Annex 2.Part 2.9 | ECB/2008/32 Annex 2.Part 2.9 | |
| 070 | Debt securities issued | Annex V.Part 1.31 | Annex V.Part 1.31 | |
| 080 | Other financial liabilities | Annex V.Part 1.32-34 | Annex V.Part 1.32-34 | |
| 090 | GAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES HELD FOR TRADING, NET | BAD art 27.Vertical layout(6) | IFRS 7.20(a)(i) | |
| 100 | Derivatives | CRR Annex II | ||
| 110 | Equity instruments | ECB/2008/32 Annex 2.Part 2.4-5 | ||
| 120 | Debt securities | Annex V.Part 1.26 | ||
| 130 | Loans and advances | Annex V.Part 1.27 | ||
| 140 | Short positions | |||
| 150 | Deposits | ECB/2008/32 Annex 2.Part 2.9 | ||
| 160 | Debt securities issued | Annex V.Part 1.31 | ||
| 170 | Other financial liabilities | Annex V.Part 1.32-34 | ||
| 180 | GAINS OR (-) LOSSES ON TRADING FINANCIAL ASSETS AND LIABILITIES, NET | BAD art 27.Vertical layout(6) | ||
16.4 Gains or losses on financial assets and liabilities held for trading by risk U.K.
| References National GAAP based on BAD | References National GAAP compatible IFRS | Current period | ||
|---|---|---|---|---|
| 010 | ||||
| 010 | Interest rate instruments and related derivatives | Annex V.Part 2.99(a) | Annex V.Part 2.99(a) | |
| 020 | Equity instruments and related derivatives | Annex V.Part 2.99(b) | Annex V.Part 2.99(b) | |
| 030 | Foreign exchange trading and derivatives related with foreign exchange and gold | Annex V.Part 2.99(c) | Annex V.Part 2.99(c) | |
| 040 | Credit risk instruments and related derivatives | Annex V.Part 2.99(d) | Annex V.Part 2.99(d) | |
| 050 | Derivatives related with commodities | Annex V.Part 2.99(e) | Annex V.Part 2.99(e) | |
| 060 | Other | Annex V.Part 2.99(f) | Annex V.Part 2.99(f) | |
| 070 | GAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES HELD FOR TRADING, NET | BAD art 27.Vertical layout(6) | IFRS 7.20(a)(i) | |
| 080 | Interest rate instruments and related derivatives | Annex V.Part 2.99(a) | ||
| 090 | Equity instruments and related derivatives | Annex V.Part 2.99(b) | ||
| 100 | Foreign exchange trading and derivatives related with foreign exchange and gold | Annex V.Part 2.99(c) | ||
| 110 | Credit risk instruments and related derivatives | Annex V.Part 2.99(d) | ||
| 120 | Derivatives related with commodities | Annex V.Part 2.99(e) | ||
| 130 | Other | Annex V.Part 2.99(f) | ||
| 140 | GAINS OR (-) LOSSES ON TRADING FINANCIAL ASSETS AND LIABILITIES, NET | BAD art 27.Vertical layout(6) | ||
16.5 Gains or losses on financial assets and liabilities designated at fair value through profit or loss by instrument U.K.
| References National GAAP based on BAD | References National GAAP compatible IFRS | Current period | Changes in fair value due to credit risk | ||
|---|---|---|---|---|---|
| Annex V.Part 2.100 | |||||
| 010 | 020 | ||||
| 010 | Equity instruments | ECB/2008/32 Annex 2.Part 2.4-5 | IAS 32.11 | ||
| 020 | Debt securities | Annex V.Part 1.26 | Annex V.Part 1.26 | ||
| 030 | Loans and advances | Annex V.Part 1.27 | Annex V.Part 1.27 | ||
| 040 | Deposits | ECB/2008/32 Annex 2.Part 2.9 | ECB/2008/32 Annex 2.Part 2.9 | ||
| 050 | Debt securities issued | Annex V.Part 1.31 | Annex V.Part 1.31 | ||
| 060 | Other financial liabilities | Annex V.Part 1.32-34 | Annex V.Part 1.32-34 | ||
| 070 | GAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS, NET | BAD art 27.Vertical layout(6) | IFRS 7.20(a)(i) | ||
| 080 | Equity instruments | ECB/2008/32 Annex 2.Part 2.4-5 | |||
| 090 | Debt securities | Annex V.Part 1.26 | |||
| 100 | Loans and advances | Annex V.Part 1.27 | |||
| 110 | Deposits | ECB/2008/32 Annex 2.Part 2.9 | |||
| 120 | Debt securities issued | Annex V.Part 1.31 | |||
| 130 | Other financial liabilities | Annex V.Part 1.32-34 | |||
| 140 | GAINS OR (-) LOSSES ON NON-TRADING FINANCIAL ASSETS AND LIABILITIES, NET | BAD art 27.Vertical layout(6) | |||
16.6 Gains or losses from hedge accounting U.K.
| References National GAAP based on BAD | References National GAAP compatible IFRS | Current period | ||
|---|---|---|---|---|
| 010 | ||||
| 010 | Fair value changes of the hedging instrument [including discontinuation] | 4th Directive art 42a(1), (5a); art 42c(1)(a) | IFRS 7.24(a)(i) | |
| 020 | Fair value changes of the hedged item attributable to the hedged risk | 4th Directive art 42a(1), (5a); art 42c(1)(a) | IFRS 7.24(a)(ii) | |
| 030 | Ineffectiveness in profit or loss from cash flow hedges | 4th Directive art 42a(1), (5a); art 42c(1)(a) | IFRS 7.24(b) | |
| 040 | Ineffectiveness in profit or loss from hedges of net investments in foreign operations | 4th Directive art 42a(1), (5a); art 42c(1)(a) | IFRS 7.24(c) | |
| 050 | GAINS OR (-) LOSSES FROM HEDGE ACCOUNTING, NET | 4th Directive art 42a(1), (5a), art 42c(1)(a) | IFRS 7.24 | |
16.7 Impairment on financial and non-financial assets U.K.
| References National GAAP based on BAD | References National GAAP compatible IFRS | Current period | |||||
|---|---|---|---|---|---|---|---|
| AdditionsAnnex V.Part 2.102 | ReversalsAnnex V.Part 2.102 | Total | Accumulated impairment | ||||
| 010 | 020 | 030 | 040 | ||||
| 010 | Impairment or (-) reversal of impairment on financial assets not measured at fair value through profit or loss | BAD art 35-37 | IFRS 7.20(e) | ||||
| 020 | Financial assets measured at cost | IFRS 7.20(e); IAS 39.66 | |||||
| 030 | Available-for-sale financial assets | IFRS 7.20(e); IAS 39.67-70 | |||||
| 040 | Loans and receivables | IFRS 7.20(e); IAS 39.63-65 | |||||
| 050 | Held-to-maturity investments | IFRS 7.20(e); IAS 39.63-65 | |||||
| 060 | Impairment or (-) reversal of impairment of investments in subsidaries, joint ventures and associates | BAD art 27.Vertical layout(13)-(14) | IAS 28.40-43 | ||||
| 070 | Subsidiaries | IFRS 10 Appendix A | |||||
| 080 | Joint ventures | IAS 28.3 | |||||
| 090 | Associates | 4th Directive art 17 | IAS 28.3 | ||||
| 100 | Impairment or (-) reversal of impairment on non-financial assets | IAS 36.126(a),(b) | |||||
| 110 | Property, plant and equipment | BAD art 27.Vertical layout(9) | IAS 16.73(e)(v-vi) | ||||
| 120 | Investment properties | BAD art 27.Vertical layout(9) | IAS 40.79(d)(v) | ||||
| 130 | Goodwill | BAD art 27.Vertical layout(9) | IAS 36.10b; IAS 36.88-99, 124; IFRS 3 Appendix B67(d)(v) | ||||
| 140 | Other intangible assets | BAD art 27.Vertical layout(9) | IAS 38.118(e)(iv)(v) | ||||
| 145 | Other | IAS 36.126(a),(b) | |||||
| 150 | TOTAL | ||||||
| 160 | Interest income on impaired financial assets accrued | IFRS 7.20(d); IAS 39.AG 93 | |||||
20. Geographical breakdown U.K.
20.1 Geographical breakdown of assets by location of the activities U.K.
| References National GAAP based on BAD | References National GAAP compatible IFRS | Carrying amount | |||
|---|---|---|---|---|---|
| Domestic activitivies | Non-domestic activities | ||||
| Annex V.Part 2.107 | Annex V.Part 2.107 | ||||
| 010 | 020 | ||||
| 010 | Cash, cash balances at central banks and other demand deposits | BAD art 4.Assets(1) | IAS 1.54 (i) | ||
| 020 | Cash on hand | Annex V.Part 2.1 | Annex V.Part 2.1 | ||
| 030 | Cash balances at central banks | BAD art 13(2); Annex V.Part 2.2 | Annex V.Part 2.2 | ||
| 040 | Other demand deposits | Annex V.Part 2.3 | |||
| 050 | Financial assets held for trading | 4th Directive art 42a(1), (5a); IAS 39.9 | IFRS 7.8(a)(ii); IAS 39.9, AG 14 | ||
| 060 | Derivatives | CRR Annex II | IAS 39.9 | ||
| 070 | Equity instruments | ECB/2008/32 Annex 2.Part 2.4-5 | IAS 32.11 | ||
| 080 | Debt securities | Annex V.Part 1.24, 26 | Annex V.Part 1.24, 26 | ||
| 090 | Loans and advances | Annex V.Part 1.24, 27 | Annex V.Part 1.24, 27 | ||
| 091 | Trading financial assets | Annex V.Part 1.15 | |||
| 092 | Derivatives | CRR Annex II; Annex V.Part 1.15 | |||
| 093 | Equity instruments | ECB/2008/32 Annex 2.Part 2.4-5 | |||
| 094 | Debt securities | Annex V.Part 1.24, 26 | |||
| 095 | Loans and advances | Annex V.Part 1.24, 27 | |||
| 100 | Financial assets designated at fair value through profit or loss | 4th Directive art 42a(1), (5a); IAS 39.9 | IFRS 7.8(a)(i); IAS 39.9 | ||
| 110 | Equity instruments | ECB/2008/32 Annex 2.Part 2.4-5 | IAS 32.11 | ||
| 120 | Debt securities | Annex V.Part 1.24, 26 | Annex V.Part 1.24, 26 | ||
| 130 | Loans and advances | Annex V.Part 1.24, 27 | Annex V.Part 1.24, 27 | ||
| 140 | Available-for-sale financial assets | 4th Directive art 42a(1), (5a); IAS 39.9 | IFRS 7.8(d); IAS 39.9 | ||
| 150 | Equity instruments | ECB/2008/32 Annex 2.Part 2.4-5 | IAS 32.11 | ||
| 160 | Debt securities | Annex V.Part 1.24, 26 | Annex V.Part 1.24, 26 | ||
| 170 | Loans and advances | Annex V.Part 1.24, 27 | Annex V.Part 1.24, 27 | ||
| 171 | Non-trading non-derivative financial assets measured at fair value through profit or loss | 4th Directive art 42a(1), (4) | |||
| 172 | Equity instruments | ECB/2008/32 Annex 2.Part 2.4-5 | |||
| 173 | Debt securities | Annex V.Part 1.24, 26 | |||
| 174 | Loan and advances | 4th Directive art 42a(1), (4)(b); Annex V.Part 1.24, 27 | |||
| 175 | Non-trading non-derivative financial assets measured at fair value to equity | 4th Directive art 42a(1); art 42c (2) | |||
| 176 | Equity instruments | ECB/2008/32 Annex 2.Part 2.4-5 | |||
| 177 | Debt securities | Annex V.Part 1.24, 26 | |||
| 178 | Loan and advances | 4th Directive art 42a(1), (4)(b); Annex V.Part 1.24, 27 | |||
| 180 | Loans and receivables | 4th Directive art 42a(4)(b),(5a); IAS 39.9 | IFRS 7.8(c); IAS 39.9, AG16, AG26; Annex V.Part 1.16 | ||
| 190 | Debt securities | Annex V.Part 1.24, 26 | Annex V.Part 1.24, 26 | ||
| 200 | Loans and advances | Annex V.Part 1.24, 27 | Annex V.Part 1.24, 27 | ||
| 210 | Held-to-maturity investments | 4th Directive art 42a(4)(a),(5a); IAS 39.9 | IFRS 7.8(b); IAS 39.9, AG16, AG26 | ||
| 220 | Debt securities | Annex V.Part 1.24, 26 | Annex V.Part 1.24, 26 | ||
| 230 | Loans and advances | Annex V.Part 1.24, 27 | Annex V.Part 1.24, 27 | ||
| 231 | Non-trading debt instruments measured at a cost-based method | BAD art 37.1; art 42a(4)(b); Annex V.Part1.16 | |||
| 232 | Debt securities | Annex V.Part 1.24, 26 | |||
| 233 | Loans and advances | Annex V.Part 1.24, 27 | |||
| 234 | Other non-trading non-derivative financial assets | BAD art 35-37; Annex V.Part 1.17 | |||
| 235 | Equity instruments | ECB/2008/32 Annex 2.Part 2.4-5 | |||
| 236 | Debt securities | Annex V.Part 1.24, 26 | |||
| 237 | Loans and advances | Annex V.Part 1.24, 27 | |||
| 240 | Derivatives — Hedge accounting | 4th Directive art 42a(1), (5a); art 42c(1)(a); IAS 39.9; Annex V.Part 1.19 | IFRS 7.22(b); IAS 39.9 | ||
| 250 | Fair value changes of the hedged items in portfolio hedge of interest rate risk | 4th Directive art 42a(5), (5a); IAS 39.89A (a) | IAS 39.89A(a) | ||
| 260 | Tangible assets | BAD art 4.Assets(10) | |||
| 270 | Intangible assets | BAD art 4.Assets(9); CRR art 4(115) | IAS 1.54(c); CRR art 4(115) | ||
| 280 | Investments in subsidaries, joint ventures and associates | BAD art 4.Assets(7)-(8); 4th Directive art 17; Annex V.Part 2.4 | IAS 1.54(e); Annex V.Part 2.4 | ||
| 290 | Tax assets | IAS 1.54(n-o) | |||
| 300 | Other assets | Annex V.Part 2.5 | Annex V.Part 2.5 | ||
| 310 | Non-current assets and disposal groups classified as held for sale | IAS 1.54(j); IFRS 5.38 | |||
| 320 | ASSETS | BAD art 4 Assets | IAS 1.9(a), IG 6 | ||
46. Statement of changes in equity U.K.
| Sources of equity changes | Capital | Share premium | Equity instruments issued other than Capital | Other equity | Accumulated other comprehensive income | Retained earnings | Revaluation reserves | Fair value reserves | |||
|---|---|---|---|---|---|---|---|---|---|---|---|
| References National GAAP compatible IFRS | IAS 1.106, 54(r) | IAS 1.106, 78(e) | IAS 1.106, Annex V.Part 2.15-16 | IAS 1.106; Annex V.Part 2.17 | IAS 1.106 | CRR art 4(123) | IFRS 1.30 D5-D8 | ||||
| References National GAAP based on BAD | BAD art 4.Liabilities(9), BAD art 22 | BAD art 4.Liabilities(10); CRR art 4(124) | Annex V.Part 2.15-17 | Annex V.Part 2.17 | 4th Directive art 42a(1), (5a) | BAD art 4 Liabilities (13); CRR art 4(123) | BAD art 4.Liabilities(12) | ||||
| 010 | 020 | 030 | 040 | 050 | 060 | 070 | 075 | ||||
| 010 | Opening balance [before restatement] | ||||||||||
| 020 | Effects of corrections of errors | IAS 1.106.(b); IAS 8.42 | |||||||||
| 030 | Effects of changes in accounting policies | IAS 1.106.(b); IAS 1.IG6; IAS 8.22 | |||||||||
| 040 | Opening balance [current period] | ||||||||||
| 050 | Issuance of ordinary shares | IAS 1.106.(d).(iii) | |||||||||
| 060 | Issuance of preference shares | IAS 1.106.(d).(iii) | |||||||||
| 070 | Issuance of other equity instruments | IAS 1.106.(d).(iii) | |||||||||
| 080 | Exercise or expiration of other equity instruments issued | IAS 1.106.(d).(iii) | |||||||||
| 090 | Conversion of debt to equity | IAS 1.106.(d).(iii) | |||||||||
| 100 | Capital reduction | IAS 1.106.(d).(iii) | |||||||||
| 110 | Dividends | IAS 1.106.(d).(iii); IAS 32.35; IAS 1.IG6 | |||||||||
| 120 | Purchase of treasury shares | IAS 1.106.(d).(iii); IAS 32.33 | |||||||||
| 130 | Sale or cancellation of treasury shares | IAS 1.106.(d).(iii); IAS 32.33 | |||||||||
| 140 | Reclassification of financial instruments from equity to liability | IAS 1.106.(d).(iii) | |||||||||
| 150 | Reclassification of financial instruments from liability to equity | IAS 1.106.(d).(iii) | |||||||||
| 160 | Transfers among components of equity | IAS 1.106.(d).(iii) | |||||||||
| 170 | Equity increase or (-) decrease resulting from business combinations | IAS 1.106.(d).(iii) | |||||||||
| 180 | Share based payments | IAS 1.106.(d).(iii); IFRS 2.10 | |||||||||
| 190 | Other increase or (-) decrease in equity | IAS 1.106.(d) | |||||||||
| 200 | Total comprehensive income for the year | IAS 1.106.(d).(i)-(ii); IAS 1.81A.(c); IAS 1.IG6 | |||||||||
| 210 | Closing balance [current period] | ||||||||||
| Sources of equity changes | Other reserves | First consolidation differences | (-) Treasury shares | Profit or (-) loss atributable to owners of the parent | (-) Interim dividends | Minority interests | Total | ||||
|---|---|---|---|---|---|---|---|---|---|---|---|
| Accumulated Other Comprehensive Income | Other items | ||||||||||
| References National GAAP compatible IFRS | IAS 1.106, 54(c) | IAS 1.106; IAS 32.34, 33; Annex V.Part 2.20 | IAS 1.106(a), 83 (a)(ii) | IAS 1.106; IAS 32.35 | IAS 1.54(q), 106(a); IAS 27.27-28 | IAS 1.54(q), 106(a); IAS 27.27-28 | IAS 1.9(c), IG6 | ||||
| References National GAAP based on BAD | 7th Directive 19(1)(c) | 4th Directive.Assets C (III)(7), D (III)(2); Annex V.Part 2.20 | BAD art 4.Liabilities(14) | CRR Article 26(2b) | 7th Directive art 21 | 7th Directive art 21 | |||||
| 080 | 085 | 090 | 100 | 110 | 120 | 130 | 140 | ||||
| 010 | Opening balance [before restatement] | ||||||||||
| 020 | Effects of corrections of errors | IAS 1.106.(b); IAS 8.42 | |||||||||
| 030 | Effects of changes in accounting policies | IAS 1.106.(b); IAS 1.IG6; IAS 8.22 | |||||||||
| 040 | Opening balance [current period] | ||||||||||
| 050 | Issuance of ordinary shares | IAS 1.106.(d).(iii) | |||||||||
| 060 | Issuance of preference shares | IAS 1.106.(d).(iii) | |||||||||
| 070 | Issuance of other equity instruments | IAS 1.106.(d).(iii) | |||||||||
| 080 | Exercise or expiration of other equity instruments issued | IAS 1.106.(d).(iii) | |||||||||
| 090 | Conversion of debt to equity | IAS 1.106.(d).(iii) | |||||||||
| 100 | Capital reduction | IAS 1.106.(d).(iii) | |||||||||
| 110 | Dividends | IAS 1.106.(d).(iii); IAS 32.35; IAS 1.IG6 | |||||||||
| 120 | Purchase of treasury shares | IAS 1.106.(d).(iii); IAS 32.33 | |||||||||
| 130 | Sale or cancellation of treasury shares | IAS 1.106.(d).(iii); IAS 32.33 | |||||||||
| 140 | Reclassification of financial instruments from equity to liability | IAS 1.106.(d).(iii) | |||||||||
| 150 | Reclassification of financial instruments from liability to equity | IAS 1.106.(d).(iii) | |||||||||
| 160 | Transfers among components of equity | IAS 1.106.(d).(iii) | |||||||||
| 170 | Equity increase or (-) decrease resulting from business combinations | IAS 1.106.(d).(iii) | |||||||||
| 180 | Share based payments | IAS 1.106.(d).(iii); IFRS 2.10 | |||||||||
| 190 | Other increase or (-) decrease in equity | IAS 1.106.(d) | |||||||||
| 200 | Total comprehensive income for the year | IAS 1.106.(d).(i)-(ii); IAS 1.81A.(c); IAS 1.IG6 | |||||||||
| 210 | Closing balance [current period] | ||||||||||
ANNEX VU.K.
“ANNEX V REPORTING ON FINANCIAL INFORMATION
PART 1 U.K.GENERAL INSTRUCTIONS
1.REFERENCESU.K.
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.U.K.
2.The data points identified in the templates shall be drawn up in accordance with the recognition, offsetting and valuation rules of the relevant accounting framework, as defined in Article 4(1)(77) of Regulation (EU) No 575/2013 (“CRR”).U.K.
3.Institutions shall only submit those parts of the templates related to:U.K.
assets, liabilities, equity, income and expenses that are recognised by the institution;
off-balance sheet exposures and activities in which the institution is involved;
transactions performed by the institution;
valuation rules, including methods for the estimation of allowances for credit risk, applied by the institution.
4.For the purposes of Annexes III and IV as well as this Annex, the following abbreviations shall apply:U.K.
:
Regulation (EC) No 1606/2002;
:
“International Accounting Standards”, as defined in Article 2 of the IAS regulation that has been adopted by the Commission;
:
Regulation (EC) No 25/2009 of the European Central Bank(6);
:
Regulation (EC) No 1893/2006 of the European Parliament and of the Council(7);
:
national generally accepted accounting principles developed under BAD;
:
micro, small and medium-sized enterprises defined in Commission Recommendation C(2003)1422(10);
:
the International Securities Identification Number assigned to securities, composed of 12 alphanumeric characters, which uniquely identifies a securities issue;
:
the global Legal Entity Identifier assigned to entities, which uniquely identifies a party to a financial transaction.
2.CONVENTIONU.K.
5.For the purposes of Annexes III and IV, a data point shadowed in grey shall mean that this data point is not requested or that it is not possible to report it. In Annex IV, a row or a column with references shadowed in black means that the related data points should not be submitted by those institutions that follow those references in that row or column.U.K.
6.Templates in Annexes III and IV include implicit validation rules which are laid down in the templates themselves through the use of conventions.U.K.
7.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.U.K.
8.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”.U.K.
9.In the “Data Point Model” (“DPM”) for financial information reporting templates of Annexes III and IV, every data point (cell) has a “base item” to which the “credit/debit” attribute is allocated. This allocation ensures that all entities who report data points follow the “sign convention” and allows to know the “credit/debit” attribute that corresponds to each data point.U.K.
10.Schematically, this convention works as in Table 1.U.K.
Table 1
Credit/debit convention, positive and negative signs
| Element | Credit / Debit | Balance / Movement | Figure reported |
|---|---|---|---|
| Assets | Debit | Balance on assets | Positive (“Normal”, no sign needed) |
| Increase on assets | Positive (“Normal”, no sign needed) | ||
| Negative balance on assets | Negative (Minus “–” sign needed) | ||
| Decrease on assets | Negative (Minus “–” sign needed) | ||
| Expenses | Balance on expenses | Positive (“Normal”, no sign needed) | |
| Increase on expenses | Positive (“Normal”, no sign needed) | ||
| Negative balance (including reversals) on expenses | Negative (Minus “–” sign needed) | ||
| Decrease on expenses | Negative (Minus “–” sign needed) | ||
| Liabilities | Credit | Balance on liabilities | Positive (“Normal”, no sign needed) |
| Increase on liabilities | Positive (“Normal”, no sign needed) | ||
| Negative balance on liabilities | Negative (Minus “–” sign needed) | ||
| Decrease on liabilities | Negative (Minus “–” sign needed) | ||
| Equity | Balance on equity | Positive (“Normal”, no sign needed) | |
| Increase on equity | Positive (“Normal”, no sign needed) | ||
| Negative balance on equity | Negative (Minus “–” sign needed) | ||
| Decrease on equity | Negative (Minus “–” sign needed) | ||
| Income | Balance on income | Positive (“Normal”, no sign needed) | |
| Increase on income | Positive (“Normal”, no sign needed) | ||
| Negative balance (including reversals) on income | Negative (Minus “–” sign needed) | ||
| Decrease on income | Negative (Minus “–” sign needed) |
3.CONSOLIDATIONU.K.
11.Unless specified otherwise in this Annex, FINREP templates shall be prepared using the prudential scope of consolidation in accordance with Part 1, Title II, Chapter 2, Section 2, of CRR. Institutions shall account for their subsidiaries and joint ventures using the same methods as for prudential consolidation:U.K.
institutions may be permitted or required to apply the equity method to investments in insurance and non-financial subsidiaries in accordance with Article 18(5)of CRR;
institutions may be permitted to use the proportional consolidation method for financial subsidiaries in accordance with Article 18(2) of CRR;
institutions may be required to use the proportional consolidation method for investment in joint ventures in accordance with Article 18(4) of CRR.
4.ACCOUNTING PORTFOLIOSU.K.
4.1. Assets U.K.
12.“Accounting portfolios” shall mean financial instruments aggregated by valuation rules. These aggregations do not include investments in subsidiaries, joint ventures and associates, balances receivable on demand classified as “Cash, cash balances at central banks and other demand deposits” as well as those financial instruments classified as “Held for sale” presented in the items “Non-current assets and disposal groups classified as held for sale” and “Liabilities included in disposal groups classified as held for sale”.U.K.
13.The following accounting portfolios based on IFRS shall be used for financial assets:U.K.
“Financial assets held for trading”;
“Financial assets designated at fair value through profit or loss”;
“Available-for-sale financial assets”;
“Loans and Receivables”;
“Held-to-maturity investments”.
14.The following accounting portfolios based on National GAAP shall be used for financial assets:U.K.
“Trading financial assets”;
“Non-trading non-derivative financial assets measured at fair value through profit or loss”;
“Non-trading non-derivative financial assets measured at fair value to equity”;
“Non-trading debt instruments measured at a cost-based method”; and
“Other non-trading non-derivative financial assets”.
15.“Trading financial assets” has the same meaning as under the relevant National GAAP based on BAD. Under National GAAP based on BAD, derivatives that are not held for hedge accounting shall be reported in this item without regarding the method applied to measure these contracts. Institutions shall include derivatives contracts in the balance sheet only when these contracts are recognised in accordance with the relevant accounting framework.U.K.
16.For financial assets, “cost-based methods” include those valuation rules by which the financial asset is measured at cost plus interest accrued less impairment losses.U.K.
17.Under National GAAP based on BAD, “Other non-trading non-derivative financial assets” shall include financial assets that do not qualify for inclusion in other accounting portfolios. This accounting portfolio includes, among others, financial assets that are measured at the lower of their amount at initial recognition or their fair value (so-called “Lower Of Cost Or Market” or “LOCOM”).U.K.
18.Under National GAAP based on BAD, institutions that are permitted or required to apply certain valuation rules for financial instruments in IFRS shall submit, to the extent that they are applied, the relevant accounting portfolios.U.K.
19.“Derivatives — Hedge accounting” shall include derivatives held for hedge accounting under the relevant accounting framework.U.K.
4.2. Liabilities U.K.
20.The following accounting portfolios based on IFRS shall be used for financial liabilities:U.K.
“Financial liabilities held for trading”;
“Financial liabilities designated at fair value through profit or loss”;
“Financial liabilities measured at amortised cost”.
21.The following accounting portfolios based on National GAAP shall be used for financial liabilities:U.K.
“Trading financial liabilities”; and
“Non-trading non-derivative financial liabilities measured at a cost-based method”.
22.Under National GAAP, institutions that are permitted or required to apply certain valuation rules for financial instruments in IFRS shall submit, to the extent that they are applied, the relevant accounting portfolios.U.K.
23.Both under IFRS and National GAAP, “Derivatives — Hedge accounting” shall include derivatives held for hedge accounting under the relevant accounting framework.U.K.
5.FINANCIAL INSTRUMENTSU.K.
5.1. Financial assets U.K.
24.The carrying amount shall mean the amount to be reported in the asset side of the balance sheet. The carrying amount of financial assets shall include accrued interest.U.K.
25.Financial assets shall be distributed among the following classes of instruments: “Cash on hand”, “Derivatives”, “Equity instruments”, “Debt securities”, and “Loan and advances”.U.K.
26.“Debt securities” are debt instruments held by the institution issued as securities that are not loans in accordance with the ECB BSI Regulation.U.K.
27.“Loans and advances” are debt instruments held by the institutions that are not securities; this item includes “loans” in accordance with the ECB BSI Regulation as well as advances that cannot be classified as “loans” according to the ECB BSI Regulation. “Advances that are not loans” are further characterized in paragraph 41(g) of Part 1 of this Annex. Consequently, “debt instruments” shall include “loans and advances” and “debt securities”.U.K.
5.2. Financial liabilities U.K.
28.The carrying amount shall mean the amount to be reported in the liability side of the balance sheet. The carrying amount of financial liabilities shall include accrued interest.U.K.
29.Financial liabilities shall be distributed among the following classes of instruments: “Derivatives”, “Short positions”, “Deposits”, “Debt securities issued” and “Other financial liabilities”.U.K.
30.“Deposits” are defined in the same way as in the ECB BSI Regulation.U.K.
31.“Debt securities issued” are debt instruments issued as securities by the institution that are not deposits in accordance with the ECB BSI Regulation.U.K.
32.“Other financial liabilities” include all financial liabilities other than derivatives, short positions, deposits and debt securities issued.U.K.
33.Under IFRS or compatible National GAAP, “Other financial liabilities” may include financial guarantees when they are measured either at fair value through profit or loss [IAS 39.47(a)] or at the amount initially recognised less cumulative amortization [IAS 39.47(c)(ii)]. Loan commitments shall be reported as “Other financial liabilities” where they are designated as financial liabilities at fair value through profit or loss [IAS 39.4(a)] or they are commitments to provide a loan at a below-market interest rate [IAS 39.4(b), 47(d)]. Provisions arising from these contracts [IAS 39.47(c)(i), (d)(i)] are reported as provisions for “Commitments and guarantees given”.U.K.
34.“Other financial liabilities” may 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 (payables for transactions recognised before the payment date).U.K.
6.COUNTERPARTY BREAKDOWNU.K.
35.Where a breakdown by counterparty is required the following counterparty sectors shall be used:U.K.
central banks;
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 “non-financial corporations”); social security funds; and international organisations, such as the European Community, the International Monetary Fund and the Bank for International Settlements;
credit institutions: any institution covered by the definition in Article 4(1)(1) of CRR (“undertaking the business of which is to take deposits or other repayable funds from the public and to grant credits for its own account”) and multilateral development banks;
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 and financial auxiliaries;
non-financial corporations: corporations and quasi-corporations not engaged in financial intermediation but principally in the production of market goods and non-financial services according to the ECB BSI Regulation;
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 and which are principally engaged in the production of non-market goods and services intended for particular groups of households are included.
36.The counterparty sector allocation is 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 should be driven by the characteristics of the more relevant or determinant obligor.U.K.
PART 2 U.K.TEMPLATE RELATED INSTRUCTIONS
1.BALANCE SHEETU.K.
1.1. Assets (1.1) U.K.
1.“Cash on hand” includes holdings of national and foreign banknotes and coins in circulation that are commonly used to make payments.U.K.
2.“Cash balances at central banks” include balances receivable on demand at central banks.U.K.
3.“Other demand deposits” include balances receivable on demand with credit institutions.U.K.
4.“Investments in subsidiaries, joint ventures and associates” include the investments in associates, joint ventures and subsidiaries which are not fully or proportionally consolidated. The carrying amount of investments accounted for using the equity method includes related goodwill.U.K.
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 may include gold, silver and other commodities, even when they are held with trading intent.U.K.
6.“Non-current assets and disposal groups classified as held for sale” has the same meaning as under IFRS 5.U.K.
1.2. Liabilities (1.2) U.K.
7.Provisions for “Pensions and other post employment defined benefit obligations” include the amount of net defined benefit liabilities.U.K.
8.Under IFRS or compatible National GAAP, provisions for “Other long-term employee benefits” 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”.U.K.
9.“Share capital repayable on demand” includes 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.U.K.
10.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”.U.K.
11.“Liabilities included in disposal groups classified as held for sale” has the same meaning as under IFRS 5.U.K.
12.“Funds for general banking risks” are amounts that have been assigned in accordance with Article 38 of the BAD. When recognised, they shall appear separately either as liabilities under “provisions” or within equity under “other reserves”.U.K.
1.3. Equity (1.3) U.K.
13.Under IFRS or compatible National GAAP, equity instruments that are financial instruments include those contracts under the scope of IAS 32.U.K.
14.“Unpaid capital which has been called up” includes the carrying amount of capital issued by the institution that has been called-up to the subscribers but not paid at the reference date.U.K.
15.“Equity component of compound financial instruments” includes the equity component of compound financial instruments (that is, financial instruments that contain both a liability and an equity component) issued by the institution, when segregated in accordance with the relevant accounting framework (including compound financial instruments with multiple embedded derivatives whose values are interdependent).U.K.
16.“Other equity instruments issued” includes equity instruments that are financial instruments other than “Capital” and “Equity component of compound financial instruments”.U.K.
17.“Other equity” shall comprise all equity instruments that are not financial instruments including, among others, equity-settled share-based payment transactions [IFRS 2.10].U.K.
18.Under IFRS or compatible National GAAP, “Revaluation reserves” includes the amount of reserves resulting from first-time adoption to IAS, or compatible National GAAP, that have not been released to other type of reserves.U.K.
19.“Other reserves” are split between “Reserves or accumulated losses of investments in subsidiaries, joint ventures and associates” and “Other”. “Reserves or accumulated losses of investments in subsidiaries, joint ventures and associates” include the accumulated amount of income and expenses generated by the aforementioned investments through profit or loss in past years. “Other” includes reserves different from those separately disclosed in other items and may include legal reserve and statutory reserve.U.K.
20.“Treasury shares” cover all financial instruments that have the characteristics of own equity instruments which have been reacquired by the institution.U.K.
2.STATEMENT OF PROFIT OR LOSS (2)U.K.
21.Interest income and interest expense from financial instruments held for trading, and from financial instruments designated at fair value through profit or loss, 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”).U.K.
22.Institutions shall report the following items broken down by accounting portfolios:U.K.
“Interest income”;
“Interest expense”;
“Dividend income”;
“Gains or losses on de-recognition of financial assets and liabilities not measured at fair value through profit or loss, net”;
“Impairment or (-) reversal of impairment on financial assets not measured at fair value through profit or loss”.
23.“Interest income. Derivatives — Hedge accounting, interest rate risk” and “Interest expenses. Derivatives — Hedge accounting, interest rate risk” include the amounts related to those derivatives classified in the category “hedge accounting” which cover interest rate risk. They 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.U.K.
24.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 may be reported as interest income and expenses to present correct interest income and expenses from the financial instruments that are hedged. These amounts shall be included as a part of the items “Interest income. Financial assets held for trading” and “Interest expenses. Financial liabilities held for trading”.U.K.
25.“Interest income — other assets” includes amounts of interest income not included in the other items. This item may include 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.U.K.
26.“Interest expenses — other liabilities” includes amounts of interest expenses not included in the other items. This item may include 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.U.K.
27.“Profit or loss from non-current assets and disposal groups classified as held for sale not qualifying as discontinued operations” includes profit or loss generated by non-current assets and disposal groups classified as held for sale not qualifying as discontinued operations.U.K.
28.Dividend income from financial assets held for trading and from financial assets designated at fair value through profit or loss shall be reported either as “dividend income” separately from other gains and losses from these categories or as part of gains or losses from these categories of instruments. Dividend income from subsidiaries, associates and joint ventures which are outside the scope of consolidation shall be reported within “Share of the profit or (-) loss of investments in subsidiaries, joint ventures and associates” and, according to IAS 28.10, the carrying amount of the investment shall be reduced for those accounted for under the equity method. Under IFRS, the gains or losses on de-recognition of investments in subsidiaries, joint ventures and associates shall be reported within “Share of the profit or (-) loss of investments in subsidiaries, joint ventures and associates”.U.K.
29.Under IFRS or compatible National GAAP, impairment on “Financial assets at cost” includes impairment losses arising from the application of the impairment rules in IAS 39.66.U.K.
30.For “Gains or (-) losses from hedge accounting, net” institutions shall report fair value changes on hedging instruments and hedged items, including the result of ineffectiveness from cash flow hedges and from hedges of net investment in foreign operations.U.K.
3.STATEMENT OF COMPREHENSIVE INCOME (3)U.K.
31.Under IFRS or compatible National GAAP, “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.U.K.
4.BREAKDOWN OF FINANCIAL ASSETS BY INSTRUMENT AND BY COUNTERPARTY SECTOR (4)U.K.
32.Financial assets shall be broken down by instrument and — where required — by counterparty.U.K.
33.Under IFRS or compatible National GAAP, equity instruments shall be reported with a specific breakdown (“of which”) to identify instruments measured at cost and specific counterparty sectors only. Under National GAAP based on BAD, equity instruments shall be reported with a specific breakdown (“of which”) to identify unquoted and specific counterparty sectors only.U.K.
34.For available-for-sale financial assets institutions shall report the fair value of impaired assets and unimpaired assets respectively, and the cumulative amount of impairment losses recognised in profit or loss as at the reporting date. The sum of fair value of unimpaired assets and fair value of impaired assets shall be the carrying amount of these assets.U.K.
35.Under IFRS or compatible National GAAP, for financial assets classified as “Loans and receivables” or as “Held-to-maturity”, the gross carrying amount of unimpaired assets and of impaired assets shall be reported. The allowances shall be broken down to “Specific allowances for financial assets, individually estimated”, “Specific allowances for financial assets, collectively estimated” and “Collective allowances for incurred but not reported losses”. Under National GAAP based on BAD, for financial assets classified as “non-trading non-derivative financial asset measured at a cost-based method”, the gross carrying amount of unimpaired assets and of impaired assets shall be reported.U.K.
36.“Specific allowances for financial assets, individually estimated” shall include cumulative amount of impairment related to financial assets which have been assessed individually.U.K.
37.“Specific allowances for financial assets, collectively estimated” shall include the cumulative amount of collective impairment calculated on insignificant loans which are impaired on individual basis and for which the institution decides to use a statistical approach (portfolio basis). This approach does not preclude performing individual impairment evaluation of loans that are individually insignificant and thus to report them as specific allowances for financial assets, individually estimated.U.K.
38.“Collective allowances for incurred but not reported losses” shall include the cumulative amount of collective impairment determined on financial assets which are not impaired on individual basis. For “allowances for incurred but not reported losses”, IAS 39.59(f), AG87 and AG90 may be followed.U.K.
39.The sum of unimpaired assets and impaired assets net of all the allowances shall be equal to the carrying amount.U.K.
40.Template 4.5 includes the carrying amount of “Loans and advances” and “Debt securities” that fall within the definition of “subordinated debt” in paragraph 54 of this Part.U.K.
5.BREAKDOWN OF LOANS AND ADVANCES BY PRODUCT (5)U.K.
41.The “carrying amount” of loans and advances shall be reported by type of product net of allowances due to impairment. 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 the “accounting portfolio” in which they are included shall be allocated to the following products:U.K.
“on demand (call) and short notice (current account)” include balances receivable on demand (call), at short notice, current accounts and similar balances which may include loans that are overnight deposits for the borrower, regardless of their legal form. It also includes “overdrafts” that are debit balances on current account balances;
“Credit card debt” includes credit granted either via delayed debit cards or via credit cards [ECB BSI Regulation];
“Trade receivables” include loans to other debtors granted on the basis of bills or other documents that give the right to receive the proceeds of transactions for the sale of goods or provision of services. This item includes all factoring transactions (both with and without recourse);
“Finance leases” include the carrying amount of finance lease receivables. Under IFRS or compatible National GAAP, “finance lease receivables” are as defined in IAS 17;
“Reverse repurchase loans” include finance granted in exchange for securities bought under repurchase agreements or borrowed under securities lending agreements;
“Other term loans” include debit balances with contractually fixed maturities or terms that are not included in other items;
“Advances that are not loans” include advances that cannot be classified as “loans” according to the ECB BSI Regulation. This item includes, 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);
“Mortgage loans [Loans collateralized by immovable property]” include loans formally secured by immovable property collateral independently of their loan/collateral ratio (commonly referred as “loan-to-value”);
“Other collateralized loans” include loans formally backed by collateral, independently of their loan/collateral ratio (so-called “loan-to-value”), other than “Loans collateralised by immovable property”, “Finance leases” and “Reverse repurchase loans”. This collateral includes pledges of securities, cash, and other collateral;
“Credit for consumption” includes loans granted mainly for the personal consumption of goods and services [ECB BSI Regulation];
“Lending for house purchase” includes credit extended to households for the purpose of investing in houses for own use and rental, including building and refurbishments [ECB BSI Regulation];
“Project finance loans” include loans that are recovered solely from the income of the projects financed by them.
6.BREAKDOWN OF LOANS AND ADVANCES TO NON-FINANCIAL CORPORATIONS BY NACE CODES (6)U.K.
42.Gross carrying amount of loans and advances to non-financial corporations shall be classified by sector of economic activities using codes in NACE Regulation (“NACE Codes”) on the basis of the principal activity of the counterparty.U.K.
43.The classification of the exposures incurred jointly by more than one obligor shall be done in accordance with paragraph 36 of Part 1.U.K.
44.Reporting of NACE codes shall be done with the first level of disaggregation (by “section”).U.K.
45.For debt instruments at amortised cost or at fair value through other comprehensive income, “Gross carrying amount” shall mean the carrying amount excluding “Accumulated impairment”. For debt instruments at fair value through profit and loss, “Gross carrying amount” shall mean the carrying amount excluding “Accumulated changes in fair value due to credit risk”.U.K.
46.“Accumulated impairment” shall be reported for financial assets at amortised cost or at fair value through other comprehensive income. “Accumulated changes in fair value due to credit risk” figures shall be reported for financial assets at fair value through profit or loss. “Accumulated impairment” shall include specific allowances for financial assets, individually and collectively estimated as defined in paragraphs 36 and 37 as well as “Collective allowances for incurred but not reported losses” as defined in paragraph 38, but do not include “Accumulated write-offs” amounts as defined in paragraph 49.U.K.
7.FINANCIAL ASSETS SUBJECT TO IMPAIRMENT THAT ARE PAST DUE OR IMPAIRED (7)U.K.
47.Debt instruments that are past due but not impaired at the reporting reference date shall be reported in the accounting portfolios subject to impairment. According to IFRS or compatible National GAAP, these accounting portfolios comprise the categories “Available for sale”, “Loans and receivables”, and “Held-to-maturity”. According to National GAAP based on BAD, these accounting portfolios comprise also “Non-trading debt instruments measured at a cost-based method” and “Other non-trading non-derivative financial assets”.U.K.
48.Assets qualify as past due when counterparties have failed to make a payment when contractually due. The whole amounts of such assets shall be reported and broken down according to the number of days of the oldest past due instalment. The past due analysis shall not include any impaired assets. The carrying amount of impaired financial assets shall be reported separately from the past due assets.U.K.
49.The column “Accumulated write-offs” includes the cumulative amount of principal and past due interest of any debt instrument that the institution is no longer recognising because they are considered uncollectible, independently of the portfolio in which they were included. These amounts shall be reported until the total extinguishment of all the institution's rights (by expiry of the statute-of–limitations period, forgiveness or other causes) or until recovery.U.K.
50.“Write-offs” could be caused both by reductions of the carrying amount of financial assets recognised directly in profit or loss as well as by reductions in the amounts of the allowance accounts for credit losses taken against the carrying amount of financial assets.U.K.
8.BREAKDOWN OF FINANCIAL LIABILITIES (8)U.K.
51.As “Deposits” are defined in the same way as in 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 close to overnight deposits, are classified as deposits redeemable at notice.U.K.
52.“Debt securities issued” shall be disaggregated into the following type of products:U.K.
“Certificates of deposits” are securities that enable the holders to withdraw funds from an account;
“Asset backed securities” according to Article 4(1)(61) of CRR;
“Covered Bonds” according to Article 129(1) of CRR;
“Hybrid contracts” comprise contracts with embedded derivatives;
“Other debt securities issued” includes debt securities not recorded in the previous lines and distinguishes convertible and non-convertible instruments.
53.“Subordinated financial liabilities” issued are treated in the same way as other financial liabilities incurred. Subordinated liabilities issued in the form of securities are classified as “Debt securities issued”, whereas subordinated liabilities in the form of deposits are classified as “Deposits”.U.K.
54.Template 8.2 includes the carrying amount of “Deposits” and “Debt securities issued” that meet the definition of subordinated debt classified by accounting portfolios. “Subordinated debt” instruments provide a subsidiary claim on the issuing institution that can only be exercised after all claims with a higher status have been satisfied [ECB BSI Regulation].U.K.
9.LOAN COMMITMENTS, FINANCIAL GUARANTEES AND OTHER COMMITMENTS (9)U.K.
55.Off-balance sheet exposures include the off-balance sheet items listed in Annex I of CRR. Off-balance sheet exposures shall be broken down in loan commitments given, financial guarantees given, and other commitments given.U.K.
56.Information on loan commitments, financial guarantees, and other commitments given and received include both revocable and irrevocable commitments.U.K.
57.“Loan commitments” are 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 of CRR shall be classified as “Loan commitments”:U.K.
“Forward deposits”.
“Undrawn credit facilities” which comprise agreements to “lend” or provide “acceptance facilities” under pre-specified terms and conditions.
58.“Financial guarantees” are 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 when due in accordance with the original or modified terms of a debt instrument. Under IFRS or compatible National GAAP, these contracts meet the IAS 39.9 and IFRS 4.A definition of financial guarantee contracts. The following items of Annex I of CRR shall be classified as “financial guarantees”:U.K.
“Guarantees having the character of credit substitute”;
“Credit derivatives” that meet the definition of financial guarantee;
“Irrevocable standby letters of credit having the character of credit substitutes”;
59.“Other commitments” includes the following items of Annex I of CRR:U.K.
“Unpaid portion of partly-paid shares and securities”;
“Documentary credits issued or confirmed”;
Trade finance Off-balance sheet items;
“Documentary credits in which underlying shipment acts as collateral and other self-liquidating transactions”;
“Warranties and indemnities” (including tender and performance bonds) and “guarantees not having the character of credit substitutes”;
“Shipping guarantees, customs and tax bonds”;
Note issuance facilities (NIFs) and revolving underwritings facilities (RUFs);
“Undrawn credit facilities” which comprise agreements to “lend” or provide “acceptance facilities” when the terms and conditions are not pre-specified;
“Undrawn credit facilities” which comprise agreements to “purchase securities” or “provide guarantees”;
“Undrawn credit facilities for tender and performance guarantees”;
“Other off-balance sheet items” in Annex I of CRR.
60.Under IFRS or compatible National GAAP, the following item are recognised in the balance sheet and, consequently, should not be reported as off-balance sheet exposures:U.K.
“Credit derivatives” that do not meet the definition of financial guarantees are “derivatives” under IAS 39;
“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;
“Endorsements on bills” that do not meet the criteria for de-recognition under IAS 39;
“Transactions with recourse” that do not meet the criteria for de-recognition under IAS 39;
“Assets purchased under outright forward purchase agreements” are “derivatives” under IAS 39;
“Asset sale and repurchase agreements as defined in Article 12(3) and (5) of Directive 86/635/EEC”. In these contracts, the transferee has the option, but not the obligation, to return the assets at a price agreed in advance on a date specified (or to be specified). Therefore, these contracts meet the definition of derivatives under IAS 39.9.
61.“of which: defaulted” shall include the nominal amount of those loan commitments, financial guarantees and other commitments given whose counterparty has incurred in default according to Article 178 of CRR.U.K.
62.For off-balance sheet exposures, the “Nominal amount” is 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 is the maximum amount the entity could have to pay if the guarantee is called on. For loan commitments, the nominal amount is the undrawn amount that the institution has committed to lend. Nominal amounts are exposure values before applying conversion factors and credit risk mitigation techniques.U.K.
63.In template 9.2, for loan commitments received, the nominal amount is the total undrawn amount that the counterparty has committed to lend to the institution. For other commitments received the nominal amount is 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” is the maximum amount the counterparty could have to pay if the guarantee is called on. When 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.U.K.
10.DERIVATIVES (10 AND 11)U.K.
64.The carrying amount and the notional amount of the derivatives held for trading and the derivatives held for hedge accounting shall be reported broken down by type of underlying risk, type of market (over-the-counter versus organised markets) and type of product.U.K.
65.Institutions shall report the derivatives held for hedge accounting broken down by type of hedge.U.K.
66.Derivatives included in hybrid instruments which have been separated from the host contract shall be reported in templates 10 and 11 according to the nature of the derivative. The amount of the host contract is not included in these templates. However, if the hybrid instrument is measured at fair value through profit or loss, the contract as a whole shall be included in the category of held for trading or financial instruments designated at fair value through profit or loss (and, thus, the embedded derivatives are not reported in 10 and 11).U.K.
10.1. Classification of derivatives by type of risk U.K.
67.All derivatives shall be classified into the following risk categories:U.K.
:
Interest rate derivatives are contracts related to an interest-bearing financial instrument whose cash flows are determined by referencing interest rates or another interest rate contract such as an option on a futures contract to purchase a Treasury bill. This category is restricted to those deals where all the legs are exposed to only one currency's interest rate. Thus it excludes contracts involving the exchange of one or more foreign currencies such as cross-currency swaps and currency options, and other contracts whose predominant risk characteristic is foreign exchange risk, which are to be reported as foreign exchange contracts. Interest rate contracts include forward rate agreements, single-currency interest rate swaps, interest rate futures, interest rate options (including caps, floors, collars and corridors), interest rate swaptions and interest rate warrants.
:
Equity derivatives are 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.
:
These derivatives include contracts involving the exchange of currencies in the forward market and the exposure to gold. They therefore cover outright forwards, foreign exchange swaps, currency swaps (including cross-currency interest rate swaps), currency futures, currency options, currency swaptions and currency warrant. Foreign exchange derivatives include all deals involving exposure to more than one currency, whether in interest rates or exchange rates. Gold contracts include all deals involving exposure to that commodity.
:
Credit derivatives are contracts that do not meet the definition of financial guarantees and in which the payout is linked primarily to some measure of the creditworthiness of a particular reference credit. The contracts 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.
:
These derivatives are 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.
:
These derivatives are 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.
68.When 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:U.K.
:
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.
:
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 should be included in this category.
:
This category includes all derivatives transactions (with the exception of those already reported in the commodity or equity categories) with exposure to more than one currency, be it pertaining either to interest-bearing financial instruments or exchange rates.
10.2. Amounts to be reported for derivatives U.K.
69.The “carrying amount” for all derivatives (hedging or trading) is the fair value. Derivatives with a positive fair value (above zero) are “financial assets” and derivatives with a negative fair value (below zero) are “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 is 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”).U.K.
70.The “Notional amount” is the gross nominal of all deals concluded and not yet settled at the reference date. In particular, the following shall be taken account to determine the notional amount:U.K.
For contracts with variable nominal or notional principal amounts, the basis for reporting is the nominal or notional principal amounts at the reference date;
The notional amount value to be reported for a derivative contract with a multiplier component is the contract effective notional amount or par value;
Swaps: The notional amount of a swap is the underlying principal amount upon which the exchange of interest, foreign exchange or other income or expense is based;
Equity and commodity-linked contracts: The notional amount to be reported for an equity or commodity contract is 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 is the contractual amount multiplied by the number of remaining exchanges of principal in the contract;
Credit derivatives: The contract amount to be reported for credit derivatives is the nominal value of the relevant reference credit;
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 is defined as either the predefined monetary amount or the fair value of the underlying at the reference date.
71.The column “Notional amount” of derivatives includes, for each line item, the sum of the notional amounts of all contracts in which the institution is counterparty, independently of whether the derivatives are considered assets or liabilities on the face of the balance sheet. All notional amounts shall be reported regardless whether the fair value of derivatives is positive, negative or equal to zero. Netting among the notional amounts is not allowed.U.K.
72.The “Notional amount” shall be reported by “total” and by “of which: sold” for the line items: “OTC options”, “Organised market options”, “Commodity” and “Other”. The item “of which sold” includes the notional amounts (strike price) of the contracts in which the counterparties (option holders) of the institution (option writer) have the right to exercise the option and for the items related to credit risk derivatives, the notional amounts of the contracts in which the institution (protection seller) has sold (gives) protection to their counterparties (protection buyers).U.K.
10.3. Derivatives classified as “economic hedges” U.K.
73.Derivatives that are not effective hedging instruments in accordance with IAS 39 should be included in the “held for trading” portfolio. This applies also to derivatives held for hedging purposes not meeting the requirements in IAS 39 to be effective hedging instruments as well as to derivatives linked to unquoted equity instruments whose fair value cannot be measured reliably.U.K.
74.Derivatives “held for trading” that meet the definition of “economic hedges” shall be reported separately for each type of risk. The item “economic hedges” includes those derivatives that are classified as “held for trading” but they are not part of the trading book as defined in Article 4(1)(86) of CRR. This item does not include derivatives for proprietary trading.U.K.
10.4. Breakdown of derivatives by counterparty sector U.K.
75.The carrying amount and the total notional amount of derivatives held for trading, and also of derivatives held for hedge accounting, which are traded in the OTC market, shall be reported by counterparty using the following categories:U.K.
“credit institutions”,
“other financial corporations”, and
“rest” comprising all other counterparties.
76.All OTC derivatives, without regarding the type of risk to which they are related, shall be broken down by these counterparties. Counterparty breakdown for credit risk derivatives refers to the sector where the counterparty of the institution in the contract (buyer or seller of protection) is allocated.U.K.
11.MOVEMENTS IN ALLOWANCES FOR CREDIT LOSSES AND IMPAIRMENT OF EQUITY INSTRUMENTS (12)U.K.
77.“Increases due to amounts set aside for estimated loan losses during the period” shall be reported when, for the main category of assets or the counterparty, the estimation of the impairment for the period result 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 when, 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.U.K.
78.As explained in paragraph 50 of this Part, “write-offs” may be done either by recognising directly in the statement of profit or loss the reduction in the amount of the financial asset (without using an allowance account) or by reducing the amount of the allowance accounts related to a financial asset. “Decreases due to amounts taken against allowances” means decreases in the accumulated amount of allowances due to “write-offs” made during the period because the related debt instruments are considered uncollectible. “Value adjustments recorded directly to the statement of profit or loss” are “write-offs” made during the period directly against the amount of the related financial asset.U.K.
12.COLLATERAL AND GUARANTEES RECEIVED (13)U.K.
12.1. Breakdown of loans and advances by collateral and guarantees (13.1) U.K.
79.The pledges and guarantees backing the loans and advances shall be reported by type of pledges: mortgage loans and other collateralised loans, and by financial guarantees. The loans and advances shall be broken down by counterparties.U.K.
80.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 a financial guarantee and/or collateral shown in the related columns of template 13.1 shall not exceed the carrying amount of the related loan.U.K.
81.For reporting loans and advances according to the type of pledge the following definitions shall be used:U.K.
within “Mortgage loans [Loans collateralised by immovable property]”, “Residential” includes loans secured by residential immovable property and “Commercial” loans secured by pledges of commercial immovable property; in both cases as defined in CRR;
within “Other collateralised loans”, “Cash [Debt instruments issued]” includes pledges of deposits in or debt securities issued by the institution, and “Rest” includes pledges of other securities or assets. The term institution must be understood here as referring to the institution providing the debt security to be used as collateral (which issues it actually) and receiving the loan and advance; not to the reporting institution, which is the one which receives the collateral and grants the loan and advance;
“Financial guarantees received” include contracts that require the issuer to make specified payments to reimburse the institution of a loss it incurs, because a specified debtor fails to make payment when due in accordance with the original or modified terms of a debt instrument.
82.For loans and advances that have simultaneously more than one type of collateral or guarantee, the amount of the “Maximum collateral/guarantee that can be considered” shall be allocated according to its quality starting from the one with the best quality.U.K.
12.2. Collateral obtained by taking possession during the period [held at the reporting date] (13.2) U.K.
83.This template includes the carrying amount of the collateral that has been obtained between the beginning and the end of the reference period and that remain recognised in the balance sheet at the reference date.U.K.
12.3. Collateral obtained by taking possession [tangible assets] accumulated (13.3) U.K.
84.“Foreclosure [tangible assets]” is the cumulative carrying amount of tangible assets obtained by taking possession of collateral that remains recognised in the balance sheet at the reference date excluding those classified as “Property, plant and equipment”.U.K.
13.FAIR VALUE HIERARCHY: FINANCIAL INSTRUMENTS AT FAIR VALUE (14)U.K.
85.Institutions shall report the value of financial instruments measured at fair value according to the hierarchy provided by in IFRS 13.72.U.K.
86.“Change in fair value for the period” shall include gains or losses from re-measurements in the period of the instruments that continue to exist at the reporting date. These gains and losses are reported as for inclusion in the statement of profit or loss; thus, the amounts reported are before taxes.U.K.
87.“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.U.K.
14.DERECOGNITION AND FINANCIAL LIABILITIES ASSOCIATED WITH TRANSFERRED FINANCIAL ASSETS (15)U.K.
88.Template 15 includes information on transferred financial assets of which part or all do not qualify for de-recognition, and financial assets entirely derecognised for which the institution retains servicing rights.U.K.
89.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.U.K.
90.The column “Amounts derecognised for capital purposes” includes the carrying amount of the financial assets recognised for accounting purposes but derecognised for prudential purposes because the institution is treating them as securitisation positions for capital purposes in accordance with Article 109 of CRR since significant credit risk has been transferred according to the articles 243 and 244 of CRR.U.K.
91.“Repurchase agreements” (“repos”) are 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 also include repo-type operations which may include:U.K.
Amounts received in exchange for securities temporarily transferred to a third party in the form of securities lending against cash collateral;
Amounts received in exchange for securities temporarily transferred to a third party in the form of sale/buy-back agreement.
92.“Repurchase agreements” (“repos”) and “reverse repurchase loans” (“reverse repos”) involve cash received or loaned out by the institution.U.K.
93.In a securitisation transaction, when the transferred financial assets are derecognized, institutions shall declare the gains (losses) generated by the item within the income statement corresponding to the “accounting portfolios” in which the financial assets were included prior to their de-recognition.U.K.
15.BREAKDOWN OF SELECTED STATEMENT OF PROFIT OR LOSS ITEMS (16)U.K.
94.For selected items of the income statement further breakdowns of gains (or income) and losses (or expenses) shall be reported.U.K.
15.1. Interest income and expenses by instrument and counterparty sector (16.1) U.K.
95.The interests shall be broken down both by interest income on financial and other assets and interest expenses on financial and other liabilities. Interest income on financial assets includes interest income on derivatives held for trading, debt securities, and loans and advances. Interest expenses on financial liabilities includes interest expenses on derivatives held for trading, deposits, debt securities issued and other financial liabilities. For the purpose of template 16.1, short positions shall be considered within other financial liabilities. All instruments in the various portfolios are taken into account except those included in the items “Derivatives — Hedge accounting” not used to hedge interest rate risk.U.K.
96.Interest on derivatives held for trading includes 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.U.K.
15.2. Gains or losses on de-recognition of financial assets and liabilities not measured at fair value through profit or loss by instrument (16.2) U.K.
97.Gains and losses on de-recognition of financial assets and financial liabilities not measured at fair value through profit or loss shall be broken down by type of financial instrument and by accounting portfolio. For each item, the net realised gain or loss stemming from the derecognised transaction shall be reported. The net amount represents the difference between realised gains and realised losses.U.K.
15.3. Gains or losses on financial assets and liabilities held for trading by instrument (16.3) U.K.
98.Gains and losses on financial assets and liabilities held for trading shall be broken down by type of instrument; each item of the breakdown is the net realised and unrealised amount (gains minus losses) of the financial instrument.U.K.
15.4. Gains or losses on financial assets and liabilities held for trading by risk (16.4) U.K.
99.Gains and losses on financial assets and financial liabilities held for trading shall also be broken down by type of risk; each item of the breakdown is the net realised and unrealised amount (gains minus losses) of the underlying risk (interest rate, equity, foreign exchange, credit, commodity and other) associated to the exposure, including related derivatives. Gains and losses from exchange differences shall be included in the item in which the rest of gains and losses arising from the converted instrument are included. Gains and losses on assets and liabilities other than derivatives shall be included as follows:U.K.
Interest rate instruments: including trading of loans and advances, deposits and debt securities (held or issued);
Equity instruments: including trading of shares, quotas of UCITS and other equity instruments;
Foreign exchange trading: including exclusively trading on foreign exchanges;
Credit risk instruments: including trading of credit link notes;
Commodities: this item includes only derivatives because commodities held with trading intent shall be reported under “Other assets” not under “Financial assets held for trading”.
Other: including trading of financial instruments which cannot be classified in other breakdowns.
15.5. Gains or losses on financial assets and liabilities designated at fair value to profit or loss by instrument (16.5) U.K.
100.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 and the amount of change in fair value in the period due to changes in the credit risk (own credit risk of the borrower or issuer).U.K.
15.6. Gains or losses from hedge accounting (16.6) U.K.
101.Gains and losses from hedge accounting 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.U.K.
15.7. Impairment on financial and non-financial assets (16.7) U.K.
102.“Additions” shall be reported when, 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 when, for the accounting portfolio or main category of assets, the estimation of the impairment for the period result in the recognition of net income.U.K.
16.RECONCILIATION BETWEEN ACCOUNTING AND CRR SCOPE OF CONSOLIDATION (17)U.K.
103.“Accounting scope of consolidation” includes 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 insurance undertakings and non-financial corporations.U.K.
104.In this template, the item “Investments in subsidiaries, joint ventures and associates” shall not include subsidiaries as with the accounting scope of consolidation all subsidiaries are fully consolidatedU.K.
105.“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.U.K.
106.Liabilities under insurance and reinsurance contracts' shall include liabilities under insurance and reinsurance contracts issued.U.K.
17.GEOGRAPHICAL BREAKDOWN (20)U.K.
107.Template 20 shall be reported when the institution exceeds the threshold described in Article 5.1(a)(iv). The geographical breakdown by location of the activities in templates 20.1 to 20.3 distinguishes between “domestic activities” and “non-domestic activities”. “Location” means the jurisdiction of incorporation of the legal entity which has recognized the corresponding asset or liability; for branches, it means the jurisdiction of its residence. For these purposes, “Domestic” shall include the activities recognised in Member State where the institution is located.U.K.
108.Templates 20.4 to 20.7 contain information “country-by-country” on the basis of the residence of the immediate counterparty. The breakdown provided shall include exposures or liabilities with residents in each foreign country in which the institution has exposures. Exposures or liabilities with supranational organisations shall not be assigned to the country of residence of the institution but to the geographical area “Other countries”.U.K.
109.In template 20.4 for debt instruments, “gross carrying amount” shall be reported as defined in paragraph 45 of Part 2. For derivatives and equity instruments, the amount to be reported is the carrying amount. “Of which: Non-performing” loans and advances shall be reported as defined in paragraphs 145 to 157 of this Annex. Debt forbearance comprises all “debt” contracts for the purpose of template 19 to which forbearance measures, as defined in paragraphs 163 to 179 of this Annex, are extended. Template 20.7 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”).U.K.
18.TANGIBLE AND INTANGIBLE ASSETS: ASSETS SUBJECT TO OPERATING LEASE (21)U.K.
110.For the purposes of the calculation of the threshold in Article 9(e) tangible assets that have been leased by the institution (lessor) to third parties in agreements that qualify as operating leases under the relevant accounting framework shall be divided by total of tangible assets.U.K.
111.Under IFRS or compatible National GAAP, assets that have been leased by the institution (as lessor) to third parties in operating leases shall be reported broken down by measurement method.U.K.
19.ASSET MANAGEMENT, CUSTODY AND OTHER SERVICE FUNCTIONS (22)U.K.
112.For the purposes of the calculation of the threshold in Article 9(f), the amount of “net fee and commission income” is 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” is the absolute value of the difference between “interest income” and “interest expenses”.U.K.
19.1. Fee and commission income and expenses by activity (22.1) U.K.
113.The fee and commission income and expenses shall be reported by type of activity. Under IFRS or compatible National GAAP, this template includes fee and commission income and expenses other than:U.K.
amounts considered for the calculation of the effective interest of financial instruments [IFRS 7.20.(c)] and
amounts arising from financial instruments that are measured at fair value through profit or loss [IFRS 7.20.(c).(i)].
114.Transaction costs directly attributable to the acquisition or issue of financial instruments not measured at fair value through profit or loss shall not be included; they form part of the initial acquisition/issue value of these instruments and are amortised to profit or loss over their residual life using the effective interest rate [see IAS 39.43].U.K.
115.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” or “Gains or losses on financial assets and liabilities designated at fair value through profit or loss, net”. They shall not be part of the initial acquisition or issuance value of these instruments and are immediately recognized in profit or loss.U.K.
116.Institutions shall report fee and commission income and expenses according to the following criteria:U.K.
“Securities. Issuances” includes fees and commissions received for the involvement in the origination or issuance of securities not originated or issued by the institution;
“Securities. Transfer orders” includes fees and commissions generated by the reception, transmission and execution on behalf of customers of orders to buy or sell securities;
“Securities. Other” includes fees and commissions generated by the institution providing other services related with securities not originated or issued by the institution;
“Clearing and settlement” includes fee and commission income (expenses) generated by (charged to) the institution when participating in counterparty, clearing and settlement facilities;
“Asset management”, “Custody”, “Central administrative services for collective investment undertakings”, “Fiduciary transactions”, “Payment services” include fee and commission income (expenses) generated by (charged to) the institution when providing these services;
“Structured finance” includes fees and commissions received for the involvement in the origination or issuance of financial instruments other than securities originated or issued by the institution;
“Servicing fees from securitisation activities” includes, 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;
“Loan commitments given” and “Financial guarantees given” include the amount, recognized as income during the period, of the amortization of the fees and commission for these activities initially recognised as “other financial liabilities”;
“Loan commitments received” and “Financial guarantees received” include the fee and commission expense recognised by the institution as a consequence of the charge made by the counterparty that has given the loan commitment or the financial guarantee;
“Other” includes the rest of fee and commission income (expenses) generated by (charged to) the institution such as those derived from “other commitments”, from foreign exchange services (such as exchange of foreign banknotes or coins) or from providing (receiving) other fee-based advice and services.
19.2. Assets involved in the services provided (22.2) U.K.
117.Business related to asset management, custody functions, and other services provided by the institution shall be reported using the following definitions:U.K.
“Asset management” refers 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;
“Custody assets” refers 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” refers to the amount of assets included in custody assets for which the institution has given the effective custody to other entities;
“Central administrative services for collective investment” refers to the administrative services provided by the institution to collective investment undertakings. It includes, 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;
“Fiduciary transactions” refers to the activities where the institution acts in its own name but for the account and at the risk of its customers. Frequently, in fiduciary transactions, the institution provides services, such as custody asset management services to a structured entity or managing portfolios on a discretionary basis. All fiduciary transactions shall be reported exclusively in this item without regarding whether the institution provides additionally other services;
“Payment services” refers to the collection on behalf of customers of payments generated by debt instruments that are neither recognised on the balance sheet of the institution nor originated by it;
“Customer resources distributed but not managed” refers to products issued by entities outside the group that the institution has distributed to its current customers. This item shall be reported by type of product;
“Amount of the assets involved in the services provided” includes 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 if the fair value is not available. In those cases where the institution provides services to entities such as collective investment undertakings, pension funds, the assets concerned may be shown at the value at which these entities report the assets in their own balance sheet. Reported amounts shall include accrued interest, if appropriate.
20.INTERESTS IN UNCONSOLIDATED STRUCTURED ENTITIES (30)U.K.
118.“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.U.K.
21.RELATED PARTIES (31)U.K.
119.Institutions shall report amounts and/or transactions related to the balance sheet and the off-balance sheet exposures where the counterparty is a related party.U.K.
120.Intra-group transactions and intra-group outstanding balances shall be eliminated. Under “Subsidiaries and other entities of the same group”, institutions shall include balances and transactions with subsidiaries that have not been eliminated either because the subsidiaries are not fully consolidated with the prudential scope of consolidation or because, in accordance with Article 19 of CRR, the subsidiaries are excluded from the scope of prudential consolidation for being immaterial or because, for institutions that are part of a bigger 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 when either proportional consolidation or the equity method is applied.U.K.
21.1. Related parties: amounts payable to and amounts receivable from (31.1) U.K.
121.For “Loan commitments, financial guarantees and other commitments received”, the amount that shall be reported is the sum of the “nominal” of loan commitments received, the “maximum collateral/guarantee that can be considered” of financial guarantees received and the “nominal” of the other commitments received.U.K.
21.2. Related parties: expenses and income generated by transactions with (31.2) U.K.
122.“Gains or losses on de-recognition of non-financial assets” shall include all the gains and losses on de-recognition of non-financial assets generated by transactions with related parties. This item shall include the gains and losses on de-recognition of non-financial assets, which have been generated by transactions with related parties and that are part of the following line items of the “Statement of profit or loss”:U.K.
“Gains or losses on de-recognition of investments in subsidiaries, joint ventures and associates”;
“Gains or losses on de-recognition of non-financial assets other than held for sale”;
“Profit or loss from non-current assets and disposal groups classified as held for sale not qualifying as discontinued operations”, and;
“Profit or loss after tax from discontinued operations”.
22.GROUP STRUCTURE (40)U.K.
123.Institutions shall provide detailed information on subsidiaries, joint ventures and associates as of the reporting date. All subsidiaries regardless the activity they perform shall be reported. Securities classified as “Financial assets held for trading”, “Financial assets designated at fair value through profit or loss”, “Available-for-sale financial assets” and Treasury shares, that is to say, own shares of reporting institution owned by it, shall be excluded from the scope of this template.U.K.
22.1. Group structure: “entity-by-entity” (40.1) U.K.
124.The following information shall be reported on a “entity-by-entity” basis:U.K.
“LEI code” includes the LEI code of the investee;
“Entity code” includes the identification code of the investee. The entity code is a row identifier and shall be unique for each row in template 40.1.
“Entity name” includes the name of the investee;
“Entry date” means the date in which the investee entered within the “scope of the group”;
“Share capital” means the total amount of capital issued by the investee as at the reference date;
“Equity of Investee”, “Total assets of the Investee” and “Profit or (loss) of the Investee” include the amounts of these items in the last financial statements of the investee;
“Residence of investee” means the country of residence of the investee.
“Sector of investee” means the sector of counterparty as defined in paragraph 35 of Part 1;
“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”);
“Accumulated equity interest (%)” is the percentage of ownership instruments held by the institution as of the reference date;
“Voting rights (%)” means the percentages of voting rights associated to the ownership instruments held by the institution as of the reference date.
“Group structure [relationship]” shall indicate the relationship between the parent and the investee (subsidiary, joint venture or associate);
“Accounting treatment [Accounting Group]” shall indicate the accounting treatment with the accounting scope of consolidation (full consolidation, proportional consolidation, equity method or other);
“Accounting treatment [CRR Group]” shall indicate the accounting treatment with the CRR scope of consolidation (full consolidation, proportional consolidation, equity method or other);
“Carrying amount” means amounts reported on the balance sheet of the institution for investees that are neither fully nor proportionally consolidated;
“Acquisition cost” means the amount paid by the investors;
“Goodwill link to the investee” means the amount of goodwill reported on the consolidated balance sheet of the institution for the investee in the items “goodwill” or “investments in subsidiaries, joint ventures and associated”;
“Fair value of the investments for which there are published price quotations” means the price at the reference date; it shall be provided only if the instruments are quoted.
22.2. Group structure: “instrument-by-instrument” (40.2) U.K.
125.The following information shall be reported on an “instrument-by-instrument” basis:U.K.
“Security code” includes the ISIN code of the security. For securities without ISIN code assigned, it includes another code that uniquely identifies the security. “Security code” and “Holding company code” are a composite row identifier, and together shall be unique for each row in template 40.2;
“Holding company code” is the identification code of the entity within the group that holds the investment;
“Entity code”, “Accumulated equity interest (%)”, “Carrying amount” and “Acquisition cost” are defined above. The amounts shall correspond to the security held by the related holding company.
23.FAIR VALUE (41)U.K.
23.1. Fair value hierarchy: financial instruments at amortised cost (41.1) U.K.
126.Information on the fair value of financial instruments measured at amortised cost, using the hierarchy in IFRS 7.27 A shall be reported in this template.U.K.
23.2. Use of fair value option (41.2) U.K.
127.Information on the use of fair value option for financial assets and liabilities designated at fair value through profit or loss shall be reported in this template. “Hybrid contracts” includes the carrying amount of hybrid financial instruments classified, as a whole, in these accounting portfolios; that is, it includes non-separated hybrid instruments in their entirely.U.K.
23.3. Hybrid financial instruments not designated at fair value through profit or loss (41.3) U.K.
128.In this template shall be reported information on hybrid financial instruments with the exception of those hybrid contracts measured at fair value through profit or loss under the “fair value option” that are reported in template 41.2.U.K.
129.“Held for trading” includes the carrying amount of hybrid financial instruments classified, as a whole, as “financial assets held for trading” or “financial liabilities held for trading”; that is it includes non-separated hybrid instruments in their entirely.U.K.
130.The other rows include the carrying amount of the host contracts that have been separated from the embedded derivatives according to the relevant accounting framework. The carrying amounts of the embedded derivatives separated from these host contracts, in accordance with the relevant accounting framework, shall be reported in templates 10 and 11.U.K.
24.TANGIBLE AND INTANGIBLE ASSETS: CARRYING AMOUNT BY MEASUREMENT METHOD (42)U.K.
131.“Property, plant and equipment”, “Investment property” and “Other intangible assets” shall be reported by the criteria used in their measurement.U.K.
132.“Other intangible assets” include all other intangible assets than goodwill.U.K.
25.PROVISIONS (43)U.K.
133.This template includes reconciliation between the carrying amount of the item “Provisions” at the beginning and end of the period by the nature of the movements.U.K.
26.DEFINED BENEFIT PLANS AND EMPLOYEE BENEFITS (44)U.K.
134.These templates include accumulated information of all defined benefit plans of the institution. When there is more than one defined benefit plan, aggregated amount of all plans shall be reported.U.K.
26.1. Components of net defined benefit plan assets and liabilities (44.1) U.K.
135.“Components of net defined benefit plan assets and liabilities” shows the reconciliation of the accumulated present value of all net defined benefit liabilities (assets) as well as reimbursement rights [IAS 19.140 (a), (b)].U.K.
136.“Net defined benefit assets” includes, in the event of a surplus, the surplus amounts that shall be recognized 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 recognized in the memo item “Fair value of any right to reimbursement recognized as asset” are included in the item “Other assets” of the balance sheet.U.K.
26.2. Movements in defined benefit obligations (44.2) U.K.
137.“Movements in defined benefit obligations” shows 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 are presented separately.U.K.
138.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”.U.K.
26.3. Memo items [related to staff expenses] (44.3) U.K.
139.For reporting of memorandum items related to staff expenses, the following definitions shall be used:U.K.
“Pension and similar expenses” includes the amount recognized in the period as staff expenses for any post — employment benefit obligations (both defined contributions plans and defined benefits plans) and contributions to social security funds.
“Share based payments” include the amount recognized in the period as staff expenses for share based payments.
27.BREAKDOWN OF SELECTED ITEMS OF STATEMENT OF PROFIT OR LOSS (45)U.K.
27.1. Gains or losses on de-recognition of non-financial assets other than held-for-sale (45.2) U.K.
140.Gains and losses on de-recognition of non-financial assets other than held for sale shall be broken down by type of asset; each line item shall include the gain or the loss on the asset (such as property, software, hardware, gold, investment) that has been derecognised.U.K.
27.2. Other operating income and expenses (45.3) U.K.
141.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.U.K.
142.“Operating leases other than investment property” includes, for the column “income”, the returns obtained, and for the column “expenses” the costs incurred by the institution as lessor in their operating leasing activities other than those with assets classified as investment property. The costs for the institution as lessee shall be included in the item “Other administrative expenses”.U.K.
143.Gains or losses from remeasurements of holdings of precious metals and other commodities measured at fair value less cost to sell shall be reported among the items included in “Other operating income. Other” or “Other operating expenses. Other”U.K.
28.STATEMENT OF CHANGES IN EQUITY (46)U.K.
144.The statement of changes in equity discloses the reconciliation between the carrying amount at the beginning of the period (opening balance) and the end of the period (closing balance) for each component of equity.U.K.
29.NON-PERFORMING EXPOSURES (18)U.K.
145.For the purpose of template 18, non-performing exposures are those that satisfy any of the following criteria:U.K.
material exposures which are more than 90 days past due;
the debtor is assessed as unlikely to pay its credit obligations in full without realisation of collateral, regardless of the existence of any past due amount or of the number of days past due.
146.That categorisation as non-performing exposures shall apply notwithstanding the classification of an exposure as defaulted for regulatory purposes in accordance with Article 178 of CRR or as impaired for accounting purposes in accordance with the applicable accounting framework.U.K.
147.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. Exposures with “collective allowances for incurred but not reported losses” referred to in paragraph 38 of this Annex shall not be considered as non-performing exposures unless they meet the criteria to be considered as non-performing exposures.U.K.
148.Exposures shall be categorised for their entire amount and without taking into account the existence of any collateral. Materiality shall be assessed in accordance with Article 178 of CRR.U.K.
149.For the purpose of template 18, “exposures” includes all debt instruments (loans and advances which include also cash balances at central banks and other demand deposits and debt securities) and off-balance sheet exposures, except those held for trading exposures. Off-balance sheet exposures comprise the following revocable and irrevocable items:U.K.
loan commitments given;
financial guarantees given;
other commitments given.
Exposures include non-current assets and disposal groups classified as held for sale in accordance with IFRS 5.
150.For the purpose of template 18, an exposure is “past-due” when any amount of principal, interest or fee has not been paid at the date it was due.U.K.
151.For the purpose of template 18, “debtor” means an obligor within the meaning of Article 178 of CRR.U.K.
152.A commitment shall be considered as a non-performing exposure for its nominal amount where, when 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.U.K.
153.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 counterparty (“guaranteed party”), including, in particular, where the underlying guaranteed exposure meets the criteria to be considered as non-performing, referred to in paragraph 145. 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.U.K.
154.Exposures classified as non-performing in accordance with paragraph 145 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:U.K.
for non-performing exposures classified as defaulted in accordance with Article 178 of CRR, the categorisation approach of Article 178 shall be applied;
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;
for other non-performing exposures that are neither classified as defaulted nor as impaired, the provisions of Article 178 of CRR for defaulted exposures shall be applied.
155.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. When a debtor belongs to a group, the need to also consider exposures to other entities of the group as non-performing shall be assessed, where they are not already considered as impaired or defaulted in accordance with Article 178 of CRR, except for exposures affected by isolated disputes that are unrelated to the solvency of the counterparty.U.K.
156.Exposures shall be considered to have ceased being non-performing when all of the following conditions are met:U.K.
the exposure meets the exit criteria applied by the reporting institution for the discontinuation of the impairment and default classification;
the situation of the debtor has improved to the extent that full repayment, according to the original or when applicable the modified conditions, is likely to be made;
the debtor does not have any amount past-due by more than 90 days.
An exposure shall remain classified as non-performing while those conditions are not met, even though the exposure has already met the discontinuation criteria applied by the reporting institution for the impairment and default classification according to the applicable accounting framework and Article 178 of CRR respectively.
The classification of a non-performing exposure as non-current asset held for sale in accordance with IFRS 5 does not discontinue their classification as non-performing exposure, as non-current assets held for sale are included in the scope of definition of non-performing exposures.
157.In case of non-performing exposures with forbearance measures(11), those exposures shall be considered to have ceased being non-performing where all the following conditions are met:U.K.
exposures are not considered to be impaired or defaulted;
one year has passed since the forbearance measures were applied;
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.
Those specific exit conditions shall apply in addition to the criteria applied by reporting institutions for impaired and defaulted exposures according to the applicable accounting framework and Article 178 of CRR respectively.
158.Past due exposures shall be reported separately within the performing and non-performing categories for their entire amount. Performing exposures past due by less than 90 days shall be reported separately for their entire amount.U.K.
159.Non-performing exposures shall be reported broken down by past due time bands. Exposures that are not past due or are past due by 90 days or less but nevertheless are identified as non-performing due to the likelihood of non-full repayment shall be reported in a dedicated column. Exposures that present both past due amounts and a likelihood of non-full repayment shall be allocated by past-due time bands consistent with the number of days that they are past due.U.K.
Cash balances at central banks and other demand deposits shall be reported in row 070 as well as in rows 080 and 100 of template 18.
Non-performing exposures classified as held for sale in accordance with IFRS 5 shall not be reported in template 18.
160.The following exposures shall be identified in separate columns:U.K.
exposures which are considered to be impaired in accordance with the applicable accounting framework, except where they are exposures with incurred but not reported losses;
exposures in respect of which a default is considered to have occurred in accordance with Article 178 of CRR.
161.“Accumulated impairment” and “accumulated changes in fair value due to credit risk” figures shall be reported in accordance with paragraph 46. “Accumulated impairment” means the reduction in the carrying amount of the exposure either directly or through the use of an allowance account. Accumulated impairment reported on non-performing exposures shall not include incurred but not reported losses. Incurred but not reported losses shall be reported in accumulated impairment on performing exposures. “Accumulated changes in fair value due to credit risk” shall be reported for exposures designated at fair value through profit and loss in accordance with the applicable accounting framework.U.K.
162.Information on collateral held and financial guarantee received on non-performing exposures shall be reported separately. Amounts reported for collateral received and financial guarantees received shall be calculated in accordance with paragraphs 79 to 82. Therefore, the sum of the amounts reported for both collateral and financial guarantees shall be capped at the carrying amount of the related exposure.U.K.
30.FORBORNE EXPOSURES (19)U.K.
163.For the purpose of template 19, forborne exposures are 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”).U.K.
164.For the purpose of template 19, a concession refers to either of the following actions:U.K.
a modification of the previous terms and conditions of a contract that the debtor is considered unable to comply with due to its financial difficulties (“troubled debt”) resulting in insufficient debt service ability and that would not have been granted had the debtor not been experiencing financial difficulties;
a total or partial refinancing of a troubled debt contract, that would not have been granted had the debtor not been experiencing financial difficulties.
A concession may entail a loss for the lender.
165.Evidence of a concession includes the following:U.K.
a difference in favour of the debtor between the modified terms of the contract and the previous terms of the contract;
inclusion in a modified contract of more favourable terms than other debtors with a similar risk profile could have obtained from the same institution at that time.
166.The exercise of clauses which, when 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 when the institution approves executing those clauses and concludes that the debtor is experiencing financial difficulties.U.K.
167.“Refinancing” means the use of debt contracts to ensure the total or partial payment of other debt contracts the current terms of which the debtor is unable to comply with.U.K.
168.For the purpose of template 19, “debtor” includes all the natural and legal entities in the debtor's group which are within the accounting scope of consolidation.U.K.
169.For the purpose of template 19, “debt” includes loans and advances (which include also cash balances at central banks and other demand deposits), debt securities and revocable and irrevocable loan commitments given, but excludes exposures held for trading. “Debt” includes non-current assets and disposal groups classified as held for sale in accordance with IFRS 5.U.K.
170.For the purpose of template 19, “exposure” has the same meaning as given for “debt” in paragraph 169.U.K.
171.For the purpose of template 19, “institution” means the institution which applied the forbearance measures.U.K.
172.Exposures shall be regarded as forborne where a concession has been made, irrespective of whether any amount is past due or of the classification of the exposures as impaired in accordance with the applicable accounting framework or as defaulted in accordance with Article 178 of CRR. Exposures shall not be treated as forborne where the debtor is not in financial difficulties. Nevertheless the following shall be treated as forbearance measures:U.K.
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;
the modification that has been made to a contract involves a total or partial cancellation by write-offs of the debt;
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;
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.
173.A modification involving repayments made by taking possession of collateral shall be treated as a forbearance measure where that modification constitutes a concession.U.K.
174.There is a rebuttable presumption that forbearance has taken place in the following circumstances:U.K.
the modified contract was totally or partially past due by more than 30 days (without being non-performing) at least once during the three months prior to its modification or would be more than 30 days past due, totally or partially, without modification;
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;
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.
175.Financial difficulties shall be assessed at debtor level as referred to in paragraph 168. Only exposures to which forbearance measures have been applied shall be identified as forborne exposures.U.K.
176.Forborne exposures shall be included within the non-performing exposures category or the performing exposures category in accordance with paragraphs 145 to 162 and 177 to 179. The classification as forborne exposure shall be discontinued when all of the following conditions are met:U.K.
the forborne exposure is considered to be performing, including where it has been reclassified from the non-performing exposures category after an analysis of the financial condition of the debtor showed that it no longer met the conditions to be considered as non-performing;
a minimum two year probation period has passed from the date the forborne exposure was considered to be performing;
regular payments of more than an insignificant aggregate amount of principal or interest have been made during at least half of the probation period;
none of the exposures to the debtor is more than 30 days past due at the end of the probation period.
177.Where the conditions referred to in paragraph 176 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 on at least a quarterly basis. Forborne exposures which are classified as non-current assets held for sale in accordance with IFRS 5 continue to be classified as forborne exposures, as non-current assets held for sale are included in the scope of the definition of forborne exposures.U.K.
178.A forborne exposure may be considered as performing from the date the forbearance measures were applied where either of the following conditions is met:U.K.
that extension has not led the exposure to be classified as non-performing;
the exposure was not considered to be a non-performing exposure at the date the forbearance measures were extended.
179.Where additional forbearance measures are applied to a performing forborne exposure under probation that has been reclassified out of the non-performing category or it becomes more than 30 days past due, it shall be classified as non-performing.U.K.
180.“Performing exposures with forbearance measures” (performing forborne exposures) comprise forborne exposures that do not meet the criteria to be considered as non-performing and are included in the performing exposures category. Performing forborne exposures are under probation according to paragraph 176, including when paragraph 178 applies. 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”.U.K.
“Non-performing exposures with forbearance measures” (non-performing forborne exposures) comprise forborne exposures that meet the criteria to be considered as non-performing and are included in the non-performing exposures category. Those non-performing forborne exposures include the following:
exposures which have become non-performing due to the application of forbearance measures;
exposures which were non-performing prior to the extension of forbearance measures;
forborne exposures which have been reclassified from the performing category, including exposures reclassified in application of paragraph 179.
Where forbearance measures are extended to non-performing exposures, the amount of those forborne exposures shall be separately identified in the column “of which: forbearance of non-performing exposures”.
Forborne exposures classified as cash balances at central banks and other demand deposits shall be reported in row 070 as well as in rows 080 and 100 of template 19.
Forborne exposures classified as held for sale in accordance with IFRS 5 shall not be reported in template 19.
181.The column “Refinancing” comprises 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.U.K.
182.Forborne exposures combining modifications and refinancing shall be allocated to the column “Instruments with modifications of the terms and conditions” or the column “Refinancing” according to the measure that has the most impact on cash-flows. Refinancing by a pool of banks shall be reported in the column “Refinancing” for the total amount of refinancing debt provided by or refinanced debt still outstanding at the reporting institution. Repackaging of several debts into a new debt shall be reported as a modification, unless there is also a refinancing transaction that has a larger impact on cash-flows. Where forbearance through modification of the terms and conditions of a troubled exposure leads to its de-recognition and to the recognition of a new exposure, that new exposure shall be treated as forborne debt.U.K.
183.Accumulated impairment and accumulated changes in fair value due to credit risk shall be reported in accordance with paragraph 46. “Accumulated impairment” means the reduction in the carrying amount of the exposure either directly or through the use of an allowance account. The amount of “accumulated impairment” to be reported in the column “on non-performing exposures with forbearance measures” for non-performing exposures shall not include incurred but not reported losses. Incurred but not reported losses shall be reported in the column “on performing exposures with forbearance measures”. “Accumulated changes in fair value due to credit risk” are reported for exposures designated at fair value through profit and loss in accordance with the applicable accounting framework.U.K.
PART 3 U.K.MAPPING OF EXPOSURE CLASSES AND COUNTERPARTY SECTORS
1.The following tables map exposure classes used to calculate capital requirements according to the CRR to counterparty sectors used in FINREP tables.U.K.
Table 2
Standardised Approach
Table 3
Internal Ratings Based Approach
ANNEX VIU.K.
“ANNEX IX INSTRUCTIONS FOR REPORTING LARGE EXPOSURES AND CONCENTRATION RISK
PART I: GENERAL INSTRUCTIONS U.K.
1. Structure and conventions U.K.
1.The reporting framework on large exposures (“LE”) shall consist of six templates which include the following information:U.K.
large exposures limits;
identification of the counterparty (template LE1);
exposures in the non-trading and trading book (template LE2);
detail of the exposures to individual clients within groups of connected clients (template LE3);
maturity buckets of the ten largest exposures to institutions and the ten largest exposures to unregulated financial sector entities (template LE4);
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.U.K.
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.U.K.
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.U.K.
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}.U.K.
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.U.K.
PART II: TEMPLATE RELATED INSTRUCTIONS U.K.
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 U.K.
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.U.K.
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.U.K.
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.U.K.
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.U.K.
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.U.K.
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.U.K.
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.U.K.
2. Structure of the LE template U.K.
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.U.K.
9.The columns of the templates LE2 and LE3 shall present the following blocks of information:U.K.
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;
the effect of the exemptions and of the credit risk mitigation techniques;
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.U.K.
3. Definitions and general instructions for the purposes of the LE reporting U.K.
11.“Group of connected clients” is defined in Article 4(1)(39) of CRR.U.K.
12.“Unregulated financial sector entities” are defined in Article 142(1)(5) of CRR.U.K.
13.“Institutions” is defined in Article 4(1)(3) of CRRU.K.
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.U.K.
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.U.K.
16.“Exposures” are defined in Article 389 of CRR.U.K.
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.
“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.]
The exposures to groups of connected clients shall be calculated in accordance with Article 390(5).
17.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.U.K.
18.The “value of an exposure” shall be calculated according to Article 390 of CRR.U.K.
19.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.U.K.
20.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.U.K.
4. C 26.00 — LE Limits template U.K.
4.1.Instructions concerning specific rowsU.K.
5. C 27.00 — Identification of the counterparty (LE1) U.K.
5.1.Instructions concerning specific columnsU.K.
6. C 28.00 — Exposures in the non-trading and trading book (LE2) U.K.
6.1.Instructions concerning specific columnsU.K.
7. C 29.00 — Details of the exposures to individual clients within groups of connected clients (LE3) U.K.
7.1.Instructions concerning specific columnsU.K.
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) U.K.
8.1.Instructions concerning specific columnsU.K.
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) U.K.
9.1.Instructions concerning specific columnsU.K.
ANNEX VIIU.K.
“ANNEX XVII REPORTING ON ASSET ENCUMBRANCE
GENERAL INSTRUCTIONS U.K.
1.STRUCTURE AND CONVENTIONSU.K.
1.1.StructureU.K.
1.The framework consists of five sets of templates which comprise a total of nine templates according to the following scheme:U.K.
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
Part B: Maturity data:
AE-MAT template. Maturity data
Part C: Contingent encumbrance
AE-CONT template. Contingent encumbrance
Part D: Covered bonds
AE-CB template. Covered bonds issuance
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.U.K.
1.2.Accounting standardU.K.
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.U.K.
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.U.K.
1.3.Numbering conventionU.K.
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.U.K.
6.In the case of validations within a template the following notation is used to refer to data points from that template: {Row; Column}.U.K.
1.4.Sign conventionU.K.
7.Templates in Annex XVI shall follow the sign convention described in paragraphs 9 and 10 of Part I of Annex V.U.K.
1.5.Level of applicationU.K.
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.U.K.
1.6.ProportionalityU.K.
9.For the purpose of Article 16a(2)(b), the asset encumbrance level shall be calculated as follows:U.K.
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:U.K.
Total assets = {AE-ASS;010;010} + {AE-ASS;010;060}
1.7.Definition of encumbranceU.K.
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.U.K.
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 U.K.
2.PART A: ENCUMBRANCE OVERVIEWU.K.
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.U.K.
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.U.K.
2.1.Template: AE-ASS. Assets of the reporting institutionU.K.
2.1.1.General remarksU.K.
14.This paragraph sets out instructions that apply to the main types of transaction that are relevant when completing the AE templates:U.K.
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 U.K.
A collateralised deposit is reported as follows:
the carrying amount of the deposit is registered as a source of encumbrance in {AE-SOU; r070; c010};
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};
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 U.K.
A repurchase agreement (hereinafter “repo”) is reported as follows:
the carrying amount of the repo is reported as a source of encumbrance in {AE-SOU; r050; c010};
the collateral of the repo should be shown:
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};
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 U.K.
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 U.K.
For securities lending with cash collateral the rules for repos/matching repos apply.
Securities lending without cash collateral is reported as follows:
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;
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};
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) U.K.
Collateralised derivatives with a negative fair value are reported as follows:
the carrying amount of the derivative is reported as a source of encumbrance in {AE-SOU; r020; c010};
the collateral (initial margins required to open the position and any collateral placed for the market value of derivatives transactions) are reported as follows:
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};
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 U.K.
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:
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;
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 U.K.
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 rowsU.K.
2.1.3.Instructions concerning specific columnsU.K.
| a 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). | |
| Columns | Legal references and instructions |
|---|---|
| 010 | Carrying amount of encumbered assetsCarrying 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 groupCarrying 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 eligibleCarrying 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 assetsIFRS 13 and Article 8 of Directive 2013/34/EU of the European Parliament and of the Councila 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 eligibleFair 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 assetsCarrying 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 groupCarrying 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 eligibleCarrying 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 assetsIFRS 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 eligibleFair 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 institutionU.K.
2.2.1.General remarksU.K.
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”.U.K.
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.U.K.
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.U.K.
2.2.2.Instructions concerning specific rowsU.K.
2.2.3.Instructions concerning specific columnsU.K.
2.3.Template: AE-NPL. Own covered bonds and ABSs issued and not yet pledgedU.K.
2.3.1.General remarksU.K.
18.To avoid double counting, the following rule applies in relation to own covered bonds and securitisations issued and retained by the reporting institution:U.K.
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;
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 rowsU.K.
2.3.3.Instructions concerning specific columnsU.K.
2.4.Template: AE-SOU. Sources of encumbranceU.K.
2.4.1.General remarksU.K.
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.U.K.
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}.U.K.
2.4.2.Instructions concerning specific rowsU.K.
2.4.3.Instructions concerning specific columnsU.K.
3.PART B: MATURITY DATAU.K.
3.1.General remarksU.K.
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.U.K.
3.2.Template: AE-MAT. Maturity dataU.K.
3.2.1.Instructions concerning specific rowsU.K.
3.2.2.Instructions concerning specific columnsU.K.
4.PART C: CONTINGENT ENCUMBRANCEU.K.
4.1.General remarksU.K.
22.This template requires institutions to calculate the level of asset encumbrance in a number of stressed scenarios.U.K.
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.U.K.
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.U.K.
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.
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.U.K.
4.1.1.Scenario A: Decrease of 30 % of encumbered assetsU.K.
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.U.K.
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.U.K.
4.1.2.Scenario B: Depreciation of 10 % in significant currenciesU.K.
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 liabilitiesU.K.
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.U.K.
30.All transactions which have a cross-currency element shall be covered by this calculation.U.K.
4.2.Template: AE-CONT. Contingent encumbranceU.K.
4.2.1.Instructions concerning specific rowsU.K.
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.U.K.
4.2.2.Instructions concerning specific columnsU.K.
5.PART D: COVERED BONDSU.K.
5.1.General remarksU.K.
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.U.K.
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.U.K.
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.U.K.
5.2.Template: AE-CB. Covered bonds issuanceU.K.
5.2.1.Instructions concerning z-axisU.K.
5.2.2.Instructions concerning specific rowsU.K.
5.2.3.Instructions concerning specific columnsU.K.
6.PART E: ADVANCED DATAU.K.
6.1.General remarksU.K.
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.U.K.
6.2.Template: AE-ADV1. Advanced template for assets of the reporting institutionU.K.
6.2.1.Instructions concerning specific rowsU.K.
6.2.2.Instructions concerning specific columnsU.K.
6.3.Template: AE-ADV2. Advanced template for collateral received by the reporting institutionU.K.
6.3.1.Instructions concerning specific rowsU.K.
36.See point 6.2.1 as instructions are similar for both templates.U.K.
6.3.2.Instructions concerning specific columnsU.K.
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 (OJ L 191, 28.6.2014, p. 1).
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).
The data requested to the institutions in this template shall be reported on an accumulated basis for the natural year or report (i.e. since 1st of January of the current year).
“Stand alone institutions” are neither part of a group, nor consolidate themselves in the same country where they are subject to own funds requirements.
Regulation (EC) No 25/2009 of the European Central Bank of 19 December 2008 concerning the balance sheet of monetary financial institutions sector (recast) (ECB/2008/32) (OJ L 15, 20.1.2009, p. 14).
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).
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).
Fourth Council Directive 78/660/EEC of 25 July 1978 based in Article 54(3)(g) of the Treaty on the annual accounts of certain types of companies (OJ L 222, 14.8.1978, p. 11).
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).
Non performing exposures with forbearance measures refer to exposures listed in paragraph 180.