Commission Implementing Regulation (EU) 2016/1702
of 18 August 2016
amending Implementing Regulation (EU) No 680/2014 as regards templates and instructions
(Text with EEA relevance)

THE EUROPEAN COMMISSION,
Having regard to the Treaty on the Functioning of the European Union,
Having regard to Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012 and in particular the fourth subparagraph of Article 99(5), the fourth subparagraph of Article 99(6), the third subparagraph of Article 101(4) and the third subparagraph of Article 394(4) thereof,
OJ L 176, 27.6.2013, p. 1.
Whereas:
(1) Commission Implementing Regulation (EU) No 680/2014 lays down 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, Implementing Regulation (EU) No 680/2014 needs to be updated accordingly to reflect those rules.
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).
(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 with regard to the templates and instructions including definitions used for the purposes of institutions’ supervisory reporting. Implementing Regulation (EU) No 680/2014 should also be updated to correct typos, erroneous references and formatting inconsistencies which were discovered in the course of the application of that Regulation. 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, VII and IX.
(3) To provide institutions and competent authorities with adequate time to implement the amendments set out in this Regulation, it should apply from 1 December 2016.
(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, 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.
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).
(6) Implementing Regulation (EU) No 680/2014 should therefore be amended accordingly,
HAS ADOPTED THIS REGULATION:

Article 1 Implementing Regulation (EU) No 680/2014 is amended as follows:
(1) the index and template numbers 2, 4, 7, 9.1, 9.2, 9.3, 9.4, 18 and 21 of Annex I to Implementing Regulation (EU) No 680/2014 are replaced by the index and templates set out in Annex I to this Regulation;
(2) Annex II to Implementing Regulation (EU) No 680/2014 is replaced by the text set out in Annex II to this Regulation;
(3) template numbers 1.2, 2, 8, 14, 16, 17, 18, 19, 20, 30, 31, 41, 43 and 45 of Annex III to Implementing Regulation (EU) No 680/2014 are replaced by the templates set out in Annex III to this Regulation;
(4) Annex IV to Implementing Regulation (EU) No 680/2014 is replaced by the text set out in Annex IV to this Regulation;
(5) Annex V to Implementing Regulation (EU) No 680/2014 is replaced by the text set out in Annex V to this Regulation;
(6) Annex VII to Implementing Regulation (EU) No 680/2014 is replaced by the text set out in Annex VI to this Regulation;
(7) Annex IX to Implementing Regulation (EU) No 680/2014 is replaced by the text set out in Annex VII to this Regulation.
Article 2 This Regulation shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union.
It shall apply from 1 December 2016 with the first reporting reference date being 31 December 2016.
This Regulation shall be binding in its entirety and directly applicable in all Member States.
Done at Brussels, 18 August 2016.
For the Commission
The President
Jean-Claude Juncker

ANNEX I REPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS
COREP TEMPLATES			
Template number	Template code	Name of the template /group of templates	Short name
		CAPITAL ADEQUACY	CA
1	C 01.00	OWN FUNDS	CA1
2	C 02.00	OWN FUNDS REQUIREMENTS	CA2
3	C 03.00	CAPITAL RATIOS	CA3
4	C 04.00	MEMORANDUM ITEMS:	CA4
		TRANSITIONAL PROVISIONS	CA5
5.1	C 05.01	TRANSITIONAL PROVISIONS	CA5.1
5.2	C 05.02	GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUING STATE AID	CA5.2
		GROUP SOLVENCY	GS
6.1	C 06.01	GROUP SOLVENCY: INFORMATION ON AFFILIATES - TOTAL	GS Total
6.2	C 06.02	GROUP SOLVENCY: INFORMATION ON AFFILIATES	GS
		CREDIT RISK	CR
7	C 07.00	CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: STANDARDISED APPROACH TO CAPITAL REQUIREMENTS	CR SA
		CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS	CR IRB
8.1	C 08.01	CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS	CR IRB 1
8.2	C 08.02	CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS (Breakdown by obligor grades or pools)	CR IRB 2
		GEOGRAPHICAL BREAKDOWN	CR GB
9.1	C 09.01	Table 9.1 - Geographical breakdown of exposures by residence of the obligor (SA exposures)	CR GB 1
9.2	C 09.02	Table 9.2 - Geographical breakdown of exposures by residence of the obligor (IRB exposures)	CR GB 2
9.4	C 09.04	Table 9.4 - Breakdown of credit exposures relevant for the calculation of the countercyclical buffer by country and institution-specific countercyclical buffer rate	CCB
		CREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS	CR EQU IRB
10.1	C 10.01	CREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS	CR EQU IRB 1
10.2	C 10.02	CREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS. BREAKDOWN OF TOTAL EXPOSURES UNDER THE PD/LGD APRROACH BY OBLIGOR GRADES:	CR EQU IRB 2
11	C 11.00	SETTLEMENT/DELIVERY RISK	CR SETT
12	C 12.00	CREDIT RISK: SECURITISATIONS - STANDARDISED APPROACH TO OWN FUNDS REQUIREMENTS	CR SEC SA
13	C 13.00	CREDIT RISK: SECURITISATIONS - IRB APPROACH TO OWN FUNDS REQUIREMENTS	CR SEC IRB
14	C 14.00	DETAILED INFORMATION ON SECURITISATIONS	CR SEC Details
		OPERATIONAL RISK	OPR
16	C 16.00	OPERATIONAL RISK	OPR
17	C 17.00	OPERATIONAL RISK: GROSS LOSSES BY BUSINESS LINES AND EVENT TYPES IN THE LAST YEAR	OPR Details
		MARKET RISK	MKR
18	C 18.00	MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS	MKR SA TDI
19	C 19.00	MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS	MKR SA SEC
20	C 20.00	MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN THE CORRELATION TRADING PORTFOLIO	MKR SA CTP
21	C 21.00	MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES	MKR SA EQU
22	C 22.00	MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK	MKR SA FX
23	C 23.00	MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES	MKR SA COM
24	C 24.00	MARKET RISK INTERNAL MODELS	MKR IM
25	C 25.00	CREDIT VALUE ADJUSTMENT RISK	CVA

C 02.00 – OWN FUNDS REQUIREMENTS (CA2)
Rows	Item	Label	Amount
010	1	TOTAL RISK EXPOSURE AMOUNT	
020	1*	Of which: Investment firms under Article 95 paragraph 2 and Article 98 of CRR	
030	1**	Of which: Investment firms under Article 96 paragraph 2 and Article 97 of CRR	
040	1.1	RISK WEIGHTED EXPOSURE AMOUNTS FOR CREDIT, COUNTERPARTY CREDIT AND DILUTION RISKS AND FREE DELIVERIES	
050	1.1.1	Standardised approach (SA)	
060	1.1.1.1	SA exposure classes excluding securitisation positions	
070	1.1.1.1.01	Central governments or central banks	
080	1.1.1.1.02	Regional governments or local authorities	
090	1.1.1.1.03	Public sector entities	
100	1.1.1.1.04	Multilateral Development Banks	
110	1.1.1.1.05	International Organisations	
120	1.1.1.1.06	Institutions	
130	1.1.1.1.07	Corporates	
140	1.1.1.1.08	Retail	
150	1.1.1.1.09	Secured by mortgages on immovable property	
160	1.1.1.1.10	Exposures in default	
170	1.1.1.1.11	Items associated with particular high risk	
180	1.1.1.1.12	Covered bonds	
190	1.1.1.1.13	Claims on institutions and corporates with a short-term credit assessment	
200	1.1.1.1.14	Collective investments undertakings (CIU)	
210	1.1.1.1.15	Equity	
211	1.1.1.1.16	Other items	
220	1.1.1.2	Securitisation positions SA	
230	1.1.1.2*	of which: resecuritisation	
240	1.1.2	Internal ratings based Approach (IRB)	
250	1.1.2.1	IRB approaches when neither own estimates of LGD nor Conversion Factors are used	
260	1.1.2.1.01	Central governments and central banks	
270	1.1.2.1.02	Institutions	
280	1.1.2.1.03	Corporates - SME	
290	1.1.2.1.04	Corporates - Specialised Lending	
300	1.1.2.1.05	Corporates - Other	
310	1.1.2.2	IRB approaches when own estimates of LGD and/or Conversion Factors are used	
320	1.1.2.2.01	Central governments and central banks	
330	1.1.2.2.02	Institutions	
340	1.1.2.2.03	Corporates - SME	
350	1.1.2.2.04	Corporates - Specialised Lending	
360	1.1.2.2.05	Corporates - Other	
370	1.1.2.2.06	Retail - Secured by real estate SME	
380	1.1.2.2.07	Retail - Secured by real estate non-SME	
390	1.1.2.2.08	Retail - Qualifying revolving	
400	1.1.2.2.09	Retail - Other SME	
410	1.1.2.2.10	Retail - Other non-SME	
420	1.1.2.3	Equity IRB	
430	1.1.2.4	Securitisation positions IRB	
440	1.1.2.4*	Of which: resecuritisation	
450	1.1.2.5	Other non credit-obligation assets	
460	1.1.3	Risk exposure amount for contributions to the default fund of a CCP	
490	1.2	TOTAL RISK EXPOSURE AMOUNT FOR SETTLEMENT/DELIVERY	
500	1.2.1	Settlement/delivery risk in the non-Trading book	
510	1.2.2	Settlement/delivery risk in the Trading book	
520	1.3	TOTAL RISK EXPOSURE AMOUNT FOR POSITION, FOREIGN EXCHANGE AND COMMODITIES RISKS	
530	1.3.1	Risk exposure amount for position, foreign exchange and commodities risks under standardised approaches (SA)	
540	1.3.1.1	Traded debt instruments	
550	1.3.1.2	Equity	
555	1.3.1.3	Particular approach for position risk in CIUs	
556	1.3.1.3*	Memo item: CIUs exclusively invested in traded debt instruments	
557	1.3.1.3**	Memo item: CIUs invested exclusively in equity instruments or in mixed instruments	
560	1.3.1.4	Foreign Exchange	
570	1.3.1.5	Commodities	
580	1.3.2	Risk exposure amount for Position, foreign exchange and commodities risks under internal models (IM)	
590	1.4	TOTAL RISK EXPOSURE AMOUNT FOR OPERATIONAL RISK (OpR )	
600	1.4.1	OpR Basic indicator approach (BIA)	
610	1.4.2	OpR Standardised (STA) / Alternative Standardised (ASA) approaches	
620	1.4.3	OpR Advanced measurement approaches (AMA)	
630	1.5	ADDITIONAL RISK EXPOSURE AMOUNT DUE TO FIXED OVERHEADS	
640	1.6	TOTAL RISK EXPOSURE AMOUNT FOR CREDIT VALUATION ADJUSTMENT	
650	1.6.1	Advanced method	
660	1.6.2	Standardised method	
670	1.6.3	Based on OEM	
680	1.7	TOTAL RISK EXPOSURE AMOUNT RELATED TO LARGE EXPOSURES IN THE TRADING BOOK	
690	1.8	OTHER RISK EXPOSURE AMOUNTS	
710	1.8.2	Of which: Additional stricter prudential requirements based on Art 458	
720	1.8.2*	Of which: requirements for large exposures	
730	1.8.2**	Of which: due to modified risk weights for targeting asset bubbles in the residential and commercial property	
740	1.8.2***	Of which: due to intra financial sector exposures	
750	1.8.3	Of which: Additional stricter prudential requirements based on Art 459	
760	1.8.4	Of which: Additional risk exposure amount due to Article 3 CRR	

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

C 07.00 - CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: STANDARDISED APPROACH TO CAPITAL REQUIREMENTS (CR SA)
SA Exposure class
		ORIGINAL EXPOSURE PRE CONVERSION FACTORS	(-) VALUE ADJUSTMENTS AND PROVISIONS ASSOCIATED WITH THE ORIGINAL EXPOSURE	EXPOSURE NET OF VALUE ADJUSTMENTS AND PROVISIONS	CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE						NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS	CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE EXPOSURE AMOUNT: FUNDED CREDIT PROTECTION. FINANCIAL COLLATERAL COMPREHENSIVE METHOD			FULLY ADJUSTED EXPOSURE VALUE (E*)	BREAKDOWN OF THE FULLY ADJUSTED EXPOSURE VALUE OF OFF-BALANCE SHEET ITEMS BY CONVERSION FACTORS				EXPOSURE VALUE		RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR	RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR		
					UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (Ga)		FUNDED CREDIT PROTECTION		SUBSTITUTION OF THE EXPOSURE DUE TO CRM			VOLATILITY ADJUSTMENT TO THE EXPOSURE	(-) FINANCIAL COLLATERAL: ADJUSTED VALUE (Cvam)			0%	20%	50%	100%		OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK			OF WHICH: WITH A CREDIT ASSESSMENT BY A NOMINATED ECAI	OF WHICH: WITH A CREDIT ASSESSMENT DERIVED FROM CENTRAL GOVERNMENT
					(-) GUARANTEES	(-) CREDIT DERIVATIVES	(-) FINANCIAL COLLATERAL: SIMPLE METHOD	(-) OTHER FUNDED CREDIT PROTECTION	(-) TOTAL OUTFLOWS	TOTAL INFLOWS (+)				(-) OF WHICH: VOLATILITY AND MATURITY ADJUSTMENTS											
		010	030	040	050	060	070	080	090	100	110	120	130	140	150	160	170	180	190	200	210	215	220	230	240
010	TOTAL EXPOSURES																						Cell linked to CA		
015	of which: Defaulted exposures																								
020	of which: SME																								
030	of which: Exposures subject to SME-supporting factor																								
040	of which: Secured by mortgages on immovable property - Residential property																								
050	of which: Exposures under the permanent partial use of the standardised approach																								
060	of which: Exposures under the standardised approach with prior supervisory permission to carry out a sequential IRB implementation																								
BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:																									
070	On balance sheet exposures subject to credit risk																								
080	Off balance sheet exposures subject to credit risk																								
	Exposures/Transactions subject to counterparty credit risk																								
090	Securities Financing Transactions																								
100	of which: centrally cleared through a QCCP																								
110	Derivatives & Long Settlement Transactions																								
120	of which: centrally cleared through a QCCP																								
130	From Contractual Cross Product Netting																								
BREAKDOWN OF TOTAL EXPOSURES BY RISK WEIGHTS:																									
140	0%																								
150	2%																								
160	4%																								
170	10%																								
180	20%																								
190	35%																								
200	50%																								
210	70%																								
220	75%																								
230	100%																								
240	150%																								
250	250%																								
260	370%																								
270	1250%																								
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 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										
170	Total exposures										

C 09.02 - GEOGRAPHICAL BREAKDOWN OF EXPOSURES BY RESIDENCE OF THE OBLIGOR: IRB EXPOSURES (CR GB 2)
Country:
		ORIGINAL EXPOSURE PRE CONVERSION FACTORS	Of which: defaulted	Observed new defaults for the period	General credit risk adjustments	Specific credit risk adjustments	Of which: write off	Credit risk adjustments/write-offs for observed new defaults	PD ASSIGNED TO THE OBLIGOR GRADE OR POOL(%)	EXPOSURE WEIGHTED AVERAGE LGD (%)	Of which: defaulted	EXPOSURE VALUE	RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR	Of which: defaulted	RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR	EXPECTED LOSS AMOUNT
		010	030	040	050	055	060	070	080	090	100	105	110	120	125	130
010	Central governments or central banks															
020	Institutions															
030	Corporates															
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															
150	Total exposures															

C 09.04 - BREAKDOWN OF CREDIT EXPOSURES RELEVANT FOR THE CALCULATION OF THE COUNTERCYCLICAL BUFFER BY COUNTRY AND INSTITUTION-SPECIFIC COUNTERCYCLICAL BUFFER RATE (CCB)
Country:
		Amount	Percentage	Qualitative information
		010	020	030
Relevant credit exposures - Credit Risk				
010	Exposure value under the Standardised Approach			
020	Exposure value under the IRB Approach			
Relevant credit exposures – Market risk				
030	Sum of long and short positions of trading book exposures for standardised approaches			
040	Value of trading book exposures for internal models			
Relevant credit exposures – Securitisation				
050	Exposure value of securitisation positions in the banking book under the Standardised Approach			
060	Exposure value of securitisation positions in the banking book under the IRB Approach			
Own funds requirements and weights				
070	Total own funds requirements for CCB			
080	Own funds requirements for relevant credit exposures – Credit risk			
090	Own funds requirements for relevant credit exposures – Market risk			
100	Own funds requirements for relevant credit exposures – Securitisation positions in the banking book			
110	Own funds requirements weights			
Countercyclical capital buffer rates				
120	Countercyclical capital buffer rate set by the Designated Authority			
130	Countercyclical capital buffer rate applicable for the country of the institution			
140	Institution-specific countercyclical capital buffer rate			
Use of 2 % threshold				
150	Use of 2 % threshold for general credit exposure			
160	Use of 2 % threshold for trading book exposure			

C 18.00 - MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS (MKR SA TDI)
Currency:
		POSITIONS					OWN FUNDS REQUIREMENTS	TOTAL RISK EXPOSURE AMOUNT
		ALL POSITIONS		NET POSITIONS		POSITIONS SUBJECT TO CAPITAL CHARGE		
		LONG	SHORT	LONG	SHORT			
		010	020	030	040	050	060	070
010	TRADED DEBT INSTRUMENTS IN TRADING BOOK							Cell linked to CA2
011	General risk							
012	Derivatives							
013	Other assets and liabilities							
020	Maturity-based approach							
030	Zone 1							
040	0 ≤ 1 month							
050	> 1 ≤ 3 months							
060	> 3 ≤ 6 months							
070	> 6 ≤ 12 months							
080	Zone 2							
090	> 1 ≤ 2 (1,9 for cupon of less than 3%) years							
100	> 2 ≤ 3 (> 1,9 ≤ 2,8 for cupon of less than 3%) years							
110	> 3 ≤ 4 (> 2,8 ≤ 3,6 for cupon of less than 3%) years							
120	Zone 3							
130	> 4 ≤ 5 (> 3,6 ≤ 4,3 for cupon of less than 3%) years							
140	> 5 ≤ 7 (> 4,3 ≤ 5,7 for cupon of less than 3%) years							
150	> 7 ≤ 10 (> 5,7 ≤ 7,3 for cupon of less than 3%) years							
160	> 10 ≤ 15 (> 7,3 ≤ 9,3 for cupon of less than 3%) years							
170	> 15 ≤ 20 (> 9,3 ≤ 10,6 for cupon of less than 3%) years							
180	> 20 (> 10,6 ≤ 12,0 for cupon of less than 3%) years							
190	(> 12,0 ≤ 20,0 for cupon of less than 3%) years							
200	(> 20 for cupon of less than 3%) years							
210	Duration-based approach							
220	Zone 1							
230	Zone 2							
240	Zone 3							
250	Specific risk							
251	Own funds requirement for non-securitisation debt instruments							
260	Debt securities under the first category in Table 1							
270	Debt securities under the second category in Table 1							
280	With residual term ≤ 6 months							
290	With a residual term > 6 months and ≤ 24 months							
300	With a residual term > 24 months							
310	Debt securities under the third category in Table 1							
320	Debt securities under the fourth category in Table 1							
321	Rated nth-to default credit derivatives							
325	Own funds requirement for securitisation instruments							
330	Own funds requirement for the correlation trading portfolio							
350	Additional requirements for options (non-delta risks)							
360	Simplified method							
370	Delta plus approach - additional requirements for gamma risk							
380	Delta plus approach - additional requirements for vega risk							
390	Scenario matrix approach							

C 21.00 - MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES (MKR SA EQU)
National market:
		POSITIONS					OWN FUNDS REQUIREMENTS	TOTAL RISK EXPOSURE AMOUNT
		ALL POSITIONS		NET POSITIONS		POSITIONS SUBJECT TO CAPITAL CHARGE		
		LONG	SHORT					
				LONG	SHORT			
		010	020	030	040	050	060	070
010	EQUITIES IN TRADING BOOK							Cell linked to CA
020	General risk							
021	Derivatives							
022	Other assets and liabilities							
030	Exchange traded stock-index futures broadly diversified subject to particular approach							
040	Other equities than exchange traded stock-index futures broadly diversified							
050	Specific risk							
090	Additional requirements for options (non-delta risks)							
100	Simplified method							
110	Delta plus approach - additional requirements for gamma risk							
120	Delta plus approach - additional requirements for vega risk							
130	Scenario matrix approach							
ANNEX II

‘ANNEX II REPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS

PART I: GENERAL INSTRUCTIONS

1. STRUCTURE AND CONVENTIONS

1.1. STRUCTURE

1. Overall, the framework consists of five blocks of templates:
(a) capital adequacy, an overview of regulatory capital; total risk exposure amount;
(b) group solvency, an overview of the fulfilment of the solvency requirements by all individual entities included in the scope of consolidation of the reporting entity
(c) credit risk (including counterparty, dilution and settlement risks);
(d) market risk (including position risk in trading book, foreign exchange risk, commodities risk and CVA risk);
(e) operational risk.
2. For each template legal references are provided. Further detailed information regarding more general aspects of the reporting of each block of templates, instructions concerning specific positions as well as validation rules are included in this part of the Implementing Technical Standard..
3. Institutions report only those templates that are relevant depending on the approach used for determining own funds requirements.

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

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

PART II: TEMPLATE RELATED INSTRUCTIONS

1. CAPITAL ADEQUACY OVERVIEW (CA)

1.1. GENERAL REMARKS

10. CA templates contain information about Pillar 1 numerators (own funds, Tier 1, Common Equity Tier 1), denominator (own funds requirements), and transitional provisions and is structures in five templates:
a) CA1 template contains the amount of own funds of the institutions, disaggregated in the items needed to get to that amount. The amount of own funds obtained includes the aggregate effect of transitional provisions per type of capital
b) CA2 template summarizes the total risk exposures amounts as defined in Article 92(3) of Regulation (EU) No 575/2013 (‘CRR’)
c) CA3 template contains the ratios for which CRR state a minimum level, and some other related data
d) CA4 template contains memorandums items needed for calculating items in CA1 as well as information with regard to the CRD capital buffers.
e) CA5 template contains the data needed for calculating the effect of transitional provisions in own funds. CA5 will cease to exist once the transitional provisions will expire.
11. The templates shall apply to all reporting entities, irrespective of the accounting standards followed, although some items in the numerator are specific for entities applying IAS/IFRS-type valuation rules. Generally, the information in the denominator is linked to the final results reported in the correspondent templates for the calculation of the total risk exposure amount.
12. The total own funds consist of different types of capital: Tier 1 capital (T1), which is the sum of Common Equity Tier 1 capital (CET1), Additional Tier 1 capital (AT1) as well as Tier 2 capital (T2).

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

14. The treatment of Pillar II requirements can be different within the EU (Article 104(2) CRD IV has to be transposed into national regulation). Only the impact of Pillar II requirements on the solvency ratio or the target ratio shall be included in the solvency reporting of CRR. A detailed reporting of Pillar II requirements is not within the mandate of Article 99 CRR.
a) The templates CA1, CA2 or CA5 only contain data on Pillar I issues.
b) The template CA3 contains the impact of additional Pillar II-requirements on the solvency ratio on an aggregated basis. One block focuses on the impact of amounts on the ratios, whereas the other block focuses on the ratio itself. Both blocks of ratios do not have any further link to the templates CA1, CA2 or CA5.
c) The template CA4 contains one cell regarding additional own funds requirements relating to Pillar II. This cell has no link via validation rules to the capital ratios of the CA3 template and reflects Article 104(2) CRD which explicitly mentions additional own funds requirements as one possibility for Pillar II decisions.

1.2. C 01.00 — OWN FUNDS (CA1)

1.2.1. Instructions concerning specific positions
Row	Legal references and instructions
010	1. Own funds Articles 4(1)(118) and 72 of CRR The own funds of an institution shall consist of the sum of its Tier 1 capital and Tier 2 capital.
015	1.1 Tier 1 capital Article 25 of CRR The Tier 1 capital is the sum of Common Equity Tier 1 Capital and Additional Tier 1 capital
020	1.1.1 Common Equity Tier 1 capital Article 50 of CRR
030	1.1.1.1 Capital instruments eligible as CET1 capital Articles 26(1) points (a) and (b), 27 to 30, 36(1) point (f) and 42 of CRR
040	1.1.1.1.1 Paid up capital instruments Articles 26(1) point (a) and 27 to 31 of CRR Capital instruments of mutual, cooperative societies or similar institutions (Articles 27 and 29 of CRR) shall be included. The share premium related to the instruments shall not be included. Capital instruments subscribed by public authorities in emergency situations shall be included if all conditions of Article 31 CRR are fulfilled.
045	1.1.1.1.1* Of which: Capital instruments subscribed by public authorities in emergency situations Article 31 of CRR Capital instruments subscribed by public authorities in emergency situations shall be included in CET1 capital if all conditions of Article 31 CRR are fulfilled.
050	1.1.1.1.2* Memorandum item: Capital instruments not eligible Article 28(1) points (b), (l) and (m) of CRR Conditions in those points reflect different situations of the capital which are reversible, and thus the amount reported here can be eligible in subsequent periods. The amount to be reported shall not include the share premium related to the instruments
060	1.1.1.1.3 Share premium Articles 4(1)(124), 26(1) point (b) of CRR Share premium has the same meaning as under the applicable accounting standard. The amount to be reported in this item shall be the part related to the ‘Paid up capital instruments’.
070	1.1.1.1.4 (-) Own CET1 instruments Articles 36(1) point (f) and 42 of CRR Own CET1 held by the reporting institution or group at the reporting date. Subject to exceptions in Article 42 of CRR. Holdings on shares included as ‘Capital instruments not eligible’ shall not be reported in this row. The amount to be reported shall include the share premium related to the own shares. Items 1.1.1.1.4 to 1.1.1.1.4.3 do not include actual or contingent obligations to purchase own CET1 instruments. Actual or contingent obligations to purchase own CET1 instruments are reported separately in item 1.1.1.1.5.
080	1.1.1.1.4.1 (-) Direct holdings of CET1 instruments Articles 36(1) point (f) and 42 of CRR Common Equity Tier 1 instruments included in item 1.1.1.1 held by institutions of the consolidated group. The amount to be reported shall include holdings in the trading book calculated on the basis of the net long position, as stated in Article 42 point (a) of CRR.
090	1.1.1.1.4.2 (-) Indirect holdings of CET1 instruments Articles 4(1)(114), 36(1) point (f) and 42 of CRR
091	1.1.1.1.4.3 (-) Synthetic holdings of CET1 instruments Articles 4(1)(126), 36(1) point (f) and 42 of CRR
092	1.1.1.1.5 (-) Actual or contingent obligations to purchase own CET1 instruments Articles 36(1) point (f) and 42 of CRR According to Article 36(1) point (f) of CRR, ‘own Common Equity Tier 1 instruments that an institution is under an actual or contingent obligation to purchase by virtue of an existing contractual obligation’ shall be deducted.
130	1.1.1.2 Retained earnings Articles 26(1) point (c) and 26(2) of CRR Retained earnings includes the previous year retained earnings plus the eligible interim or year-end profits
140	1.1.1.2.1 Previous years retained earnings Articles 4(1)(123) and 26(1) c) of CRR Article 4(1)(123) of CRR defines retained earnings as ‘Profit and losses brought forward as a result of the final application of profit or loss under the applicable accounting standards’.
150	1.1.1.2.2 Profit or loss eligible Articles 4(1)(121), 26(2) and 36(1) point (a) of CRR Article 26(2) of CRR allows including as retained earnings interim or year-end profits, with the prior consent of the competent authorities, if some conditions are met. On the other hand, losses shall be deducted from CET1, as stated in article 36(1) point (a) of CRR.
160	1.1.1.2.2.1 Profit or loss attributable to owners of the parent Articles 26(2) and 36(1) point (a) of CRR The amount to be reported shall be the profit or loss reported in the accounting income statement.
170	1.1.1.2.2.2 (-) Part of interim or year-end profit not eligible Article 26(2) of CRR This row shall not present any figure if, for the reference period, the institution has reported losses. This is because the losses shall be completely deducted from CET1. If the institution reports profits, it shall be reported the part which is not eligible according to article 26(2) of CRR (i.e. profits not audited and foreseeable charges or dividends) Note that, in case of profits, the amount to be deduced shall be, at least, the interim dividends.
180	1.1.1.3 Accumulated other comprehensive income Articles 4(1)(100) and 26(1) point (d) of CRR The amount to be reported shall be net of any tax charge foreseeable at the moment of the calculation, and prior to the application of prudential filters. The amount to be reported shall be determined in accordance with Article 13(4) of Commission Delegated Regulation (EU) No 241/2014.
200	1.1.1.4 Other reserves Articles 4(1)(117) and 26(1) point (e) of CRR Other reserves are defined in CRR as ‘Reserves within the meaning of the applicable accounting standard that are required to be disclosed under that applicable accounting standard, excluding any amounts already included in accumulated other comprehensive income or retained earnings’. The amount to be reported shall be net of any tax charge foreseeable at the moment of the calculation.
210	1.1.1.5 Funds for general banking risk Articles 4(1)(112) and 26(1) point (f) of CRR Funds for general banking risk are defined in article 38 of Directive 86/635/EEC as ‘Amounts which a credit institution decides to put aside to cover such risks where that is required by the particular risks associated with banking’ The amount to be reported shall be net of any tax charge foreseeable at the moment of the calculation.
220	1.1.1.6 Transitional adjustments due to grandfathered CET1 Capital instruments Articles 483(1) to (3), and 484 to 487 of CRR Amount of capital instruments transitionally grandfathered as CET1. The amount to be reported is directly obtained from CA5.
230	1.1.1.7 Minority interest given recognition in CET1 capital Article 4(120) and 84 of CRR Sum of all the amounts of minority interests of subsidiaries that is included in consolidated CET1.
240	1.1.1.8 Transitional adjustments due to additional minority interests Articles 479 and 480 of CRR Adjustments to the minority interests due to transitional provisions. This item is obtained directly from CA5.
250	1.1.1.9 Adjustments to CET1 due to prudential filters Articles 32 to 35 of CRR
260	1.1.1.9.1 (-) Increases in equity resulting from securitised assets Article 32(1) of CRR The amount to be reported is the increase in the equity of the institution resulting from securitised assets, according to the applicable accounting standard. For example, this item includes the future margin income that results in a gain on sale for the institution, or, for originators, the net gains that arise from the capitalisation of future income from the securitised assets that provide credit enhancement to positions in the securitisation.
270	1.1.1.9.2 Cash flow hedge reserve Article 33(1) point (a) of CRR The amount to be reported could either be positive or negative. It shall be positive if cash flow hedges result in a loss (i.e. if it reduces accounting equity) and vice versa. Thus, the sign shall be contrary to the one used in accounting statements. The amount shall be net of any tax charge foreseeable at the moment of the calculation.
280	1.1.1.9.3 Cumulative gains and losses due to changes in own credit risk on fair valued liabilities Article 33(1) point (b) of CRR The amount to be reported could either be positive or negative. It shall be positive if there is a loss due to changes in own credit risk (i.e. if it reduces accounting equity) and vice versa. Thus, the sign shall be contrary to the one used in accounting statements. Unaudited profit shall not be included in this item.
285	1.1.1.9.4 Fair value gains and losses arising from the institution's own credit risk related to derivative liabilities Article 33(1) point (c) and 33(2) of CRR The amount to be reported could either be positive or negative. It shall be positive if there is a loss due to changes in own credit risk and vice versa. Thus, the sign shall be contrary to the one used in accounting statements. Unaudited profit shall not be included in this item.
290	1.1.1.9.5 (-) Value adjustments due to the requirements for prudent valuation Articles 34 and 105 of CRR Adjustments to the fair value of exposures included in the trading book or non-trading book due to stricter standards for prudent valuation set in Article 105 of CRR
300	1.1.1.10 (-) Goodwill Articles 4(1)(113), 36(1) point (b) and 37 of CRR
310	1.1.1.10.1 (-) Goodwill accounted for as intangible asset Articles 4(1)(113) and 36(1) point (b) of CRR Goodwill has the same meaning as under the applicable accounting standard. The amount to be reported here shall be the same that is reported in the balance sheet.
320	1.1.1.10.2 (-) Goodwill included in the valuation of significant investments Article 37 point (b) and 43 of CRR
330	1.1.1.10.3 Deferred tax liabilities associated to goodwill Article 37 point (a) of CRR Amount of deferred tax liabilities that would be extinguished if the goodwill became impaired or was derecognised under the relevant accounting standard
340	1.1.1.11 (-) Other intangible assets Articles 4(1)(115), 36(1) point (b) and 37 point (a) of CRR Other intangible assets are the intangibles assets under the applicable accounting standard, minus the goodwill, also according to the applicable accounting standard.
350	1.1.1.11.1 (-) Other intangible assets before deduction of deferred tax liabilities Articles 4(1)(115) and 36(1) point (b) of CRR Other intangible assets are the intangibles assets under the applicable accounting standard, minus the goodwill, also according to the applicable accounting standard. The amount to be reported here shall correspond to the amount reported in the balance sheet of intangible assets others than goodwill.
360	1.1.1.11.2 Deferred tax liabilities associated to other intangible assets Article 37 point (a) of CRR Amount of deferred tax liabilities that would be extinguished if the intangibles assets other than goodwill became impaired or was derecognised under the relevant accounting standard
370	1.1.1.12 (-) Deferred tax assets that rely on future profitability and do not arise from temporary differences net of associated tax liabilities Articles 36(1) point (c) and 38 of CRR
380	1.1.1.13 (-) IRB shortfall of credit risk adjustments to expected losses Articles 36(1) point (d), 40, 158 and 159 of CRR The amount to be reported shall not be reduced by a rise in the level of deferred tax assets that rely on future profitability, or other additional tax effect, that could occur if provisions were to rise to the level of expected losses’ (Article 40 of CRR)
390	1.1.1.14 (-) Defined benefit pension fund assets Articles 4(1)(109), 36(1) point (e) and 41 of CRR
400	1.1.1.14.1 (-) Defined benefit pension fund assets Articles 4(1)(109), 36(1) point (e) of CRR Defined benefit pension fund assets are defined as ‘the assets of a defined pension fund or plan, as applicable, calculated after they have been reduced by the amount of obligations under the same fund or plan’ The amount to be reported here shall correspond to the amount reported in the balance sheet (if reported separately).
410	1.1.1.14.2 Deferred tax liabilities associated to defined benefit pension fund assets Articles 4(1)(108) and (109), and 41(1) point (a) of CRR Amount of deferred tax liabilities that would be extinguished if the defined benefit pension fund assets became impaired or were derecognised under the relevant accounting standard.
420	1.1.1.14.3 Defined benefit pension fund assets which the institution has an unrestricted ability to use Articles 4(1)(109) and 41(1) point (b) of CRR This item shall only present any amount if there is a prior consent of the competent authority to reduce the amount of defined benefit pension fund assets to be deducted. The assets included in this row shall receive a risk weight for credit risk requirements.
430	1.1.1.15 (-) Reciprocal cross holdings in CET1 Capital Articles 4(1)(122), 36(1) point (g) and 44 of CRR Holdings in CET1 instruments of financial sector entities (as defined in Article 4(27) of CRR) where there is a reciprocal cross holding that the competent authority considers to have been designed to inflate artificially the own funds of the institution The amount to be reported shall be calculated on the basis of the gross long positions, and shall include Tier 1 own-fund insurance items.
440	1.1.1.16 (-) Excess of deduction from AT1 items over AT1 Capital Article 36(1) point (j) of CRR The amount to be reported is directly taken from CA 1 item ‘Excess of deduction from AT1 items over AT1 Capital. The amount has to be deducted from CET1.
450	1.1.1.17 (-) Qualifying holdings outside the financial sector which can alternatively be subject to a 1,250 % risk weight Articles 4(1)(36), 36(1) point (k) (i) and 89 to 91 of CRR Qualifying holdings are defined as ‘direct or indirect holding in an undertaking which represents 10 % or more of the capital or of the voting rights or which makes it possible to exercise a significant influence over the management of that undertaking’. According to Article 36(1) point (k) (i) of CRR they can, alternatively, be deducted from CET1 (using this item), or subject to a risk weight of 1 250 %.
460	1.1.1.18 (-) Securitisation positions which can alternatively be subject to a 1 250 % risk weight Articles 36(1) point (k) (ii), 243(1) point (b), 244(1) point (b), 258 and 266(3) of CRR Securitisation positions which are subject to a 1 250 % risk weight, but alternatively, are allowed to be deducted from CET1 (Article 36(1) point (k) (ii) of CRR). In the latter case, they shall be reported in this item.
470	1.1.1.19 (-) Free deliveries which can alternatively be subject to a 1,250 % risk weight Articles 36(1) point (k) (iii) and 379(3) of CRR Free deliveries are subject to a 1 250 % risk weight after 5 days post second contractual payment or delivery leg until the extinction of the transaction, according to the own funds requirements for settlement risk. Alternatively, they are allowed to be deducted from CET1 (Article 36(1) point (k) (iii) of CRR). In the latter case, they shall be reported in this item.
471	1.1.1.20 (-) Positions in a basket for which an institution cannot determine the risk weight under the IRB approach, and can alternatively be subject to a 1,250 % risk weight Articles 36(1) point (k) (iv) and 153(8) of CRR According to Article 36(1) point (k) (iv) of CRR they can, alternatively, be deducted from CET1 (using this item), or subject to a risk weight of 1 250 %.
472	1.1.1.21 (-) Equity exposures under an internal models approach which can alternatively be subject to a 1,250 % risk weight Articles 36(1) point (k) (v) and 155(4) of CRR According to Article 36(1) point (k) (v) of CRR they can, alternatively, be deducted from CET1 (using this item), or subject to a risk weight of 1 250 %.
480	1.1.1.22 (-) CET1 instruments of financial sector entities where the institution does not have a significant investment Articles 4(1)(27), 36(1) point (h); 43 to 46, 49 (2) and (3) and 79 of CRR Part of holdings by the institution of instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where the institution does not have a significant investment that has to be deducted from CET1 See alternatives to deduction when consolidation is applied (Article 49(2) and (3))
490	1.1.1.23 (-) Deductible deferred tax assets that rely on future profitability and arise from temporary differences Articles 36(1) point (c); 38 and 48(1) point (a) of CRR Part of deferred tax assets that rely in future profitability and arise from temporary differences (net of the part of associated deferred tax liabilities allocated to deferred tax assets that arise from temporary differences, according to article 38(5) point (b) of CRR) which has to be deducted, applying the 10 % threshold in article 48(1) point (a) of CRR.
500	1.1.1.24 (-) CET1 instruments of financial sector entities where the institution has a significant investment Articles 4(1)(27); 36(1) point (i); 43, 45; 47; 48(1) point (b); 49(1) to (3) and 79 of CRR Part of holdings by the institution of CET1 instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where the institution has a significant investment that has to be deducted, applying the 10 % threshold in Article 48(1) point (b) of CRR. See alternatives to deduction when consolidation is applied (article 49(1), (2) and (3)).
510	1.1.1.25 (-) Amount exceeding the 17,65 % threshold Article 48(1) of CRR Part of deferred tax assets that rely in future profitability and arise from temporary differences, and direct and indirect holdings by the institution of the CET1 instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where the institution has a significant investment that has to be deducted, applying the 17,65 % threshold in Article 48(1) of CRR.
520	1.1.1.26 Other transitional adjustments to CET1 Capital Articles 469 to 472, 478 and 481 of CRR Adjustments to deductions due to transitional provisions. The amount to be reported is directly obtained from CA5.
524	1.1.1.27 (-) Additional deductions of CET1 Capital due to Article 3 CRR Article 3 CRR
529	1.1.1.28 CET1 capital elements or deductions — other This row is invented to provide flexibility solely for reporting purposes. It shall only be populated in the rare cases that there is no final decision on the reporting of specific capital items/deductions in the current CA1 template. As a consequence, this row shall only be populated if a CET1 capital element respective a deduction of a CET1 element cannot be assigned to one of the rows 020 to 524. This cell shall not be used to assign capital items/deductions which are not covered by the CRR into the calculation of solvency ratios (e.g. an assignment of national capital items/deductions which are outside the scope of the CRR).
530	1.1.2 ADDITIONAL TIER 1 CAPITAL Article 61 of CRR
540	1.1.2.1 Capital instruments eligible as AT1 Capital Articles 51 point (a), 52 to 54, 56 point (a) and 57 of CRR
550	1.1.2.1.1 Paid up capital instruments Articles 51 point (a) and 52 to 54 of CRR The amount to be reported shall not include the share premium related to the instruments
560	1.1.2.1.2 (*) Memorandum item: Capital instruments not eligible Article 52(1) points (c), (e) and (f) of CRR Conditions in those points reflect different situations of the capital which are reversible, and thus the amount reported here can be eligible in subsequent periods. The amount to be reported shall not include the share premium related to the instruments
570	1.1.2.1.3 Share premium Article 51 point (b) of CRR Share premium has the same meaning as under the applicable accounting standard. The amount to be reported in this item shall be the part related to the ‘Paid up capital instruments’.
580	1.1.2.1.4 (-) Own AT1 instruments Articles 52(1) point (b), 56 point (a) and 57 of CRR Own AT1 instruments held by the reporting institution or group at the reporting date. Subject to exceptions in article 57 of CRR. Holdings on shares included as ‘Capital instruments not eligible’ shall not be reported in this row. The amount to be reported shall include the share premium related to the own shares. Items 1.1.2.1.4 to 1.1.2.1.4.3 do not include actual or contingent obligations to purchase own CET1 instruments. Actual or contingent obligations to purchase own AT1 instruments are reported separately in item 1.1.2.1.5.
590	1.1.2.1.4.1 (-) Direct holdings of AT1 instruments Articles 4(1)(114) 52 (1) point (b), 56 point (a) and 57 of CRR Additional Tier 1 instruments included in item 1.1.2.1.1 held by institutions of the consolidated group.
620	1.1.2.1.4.2 (-) Indirect holdings of AT1 instruments Articles 52(1) point (b) (ii), 56 point (a) and 57of CRR
621	1.1.2.1.4.3 (-) Synthetic holdings of AT1 instruments Articles 4(1)(126), 52(1) point (b), 56 point (a) and 57 of CRR
622	1.1.2.1.5 (-) Actual or contingent obligations to purchase own AT1 instruments Articles 56 point (a) and 57 of CRR According to Article 56 point (a) of CRR, ‘own Additional Tier 1 instruments that an institution could be obliged to purchase as a result of existing contractual obligations’ shall be deducted.
660	1.1.2.2 Transitional adjustments due to grandfathered AT1 Capital instruments Articles 483(4) and (5), 484 to 487, 489 and 491 of CRR Amount of capital instruments transitionally grandfathered as AT1. The amount to be reported is directly obtained from CA5.
670	1.1.2.3 Instruments issued by subsidiaries that are given recognition in AT1 Capital Articles 83, 85 and 86 of CRR Sum of all the amounts of qualifying T1 capital of subsidiaries that is included in consolidated AT1. Qualifying AT1 capital issued by a special purpose entity (Article 83 of CRR) shall be included.
680	1.1.2.4 Transitional adjustments due to additional recognition in AT1 Capital of instruments issued by subsidiaries Article 480 of CRR Adjustments to the qualifying T1 capital included in consolidated AT1 capital due to transitional provisions. This item is obtained directly from CA5.
690	1.1.2.5 (-) Reciprocal cross holdings in AT1 Capital Articles 4(1)(122), 56 point (b) and 58 of CRR Holdings in AT1 instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where there is a reciprocal cross holding that the competent authority considers to have been designed to inflate artificially the own funds of the institution The amount to be reported shall be calculated on the basis of the gross long positions, and shall include Additional Tier 1 own-fund insurance items.
700	1.1.2.6 (-) AT1 instruments of financial sector entities where the institution does not have a significant investment Articles 4(1)(27), 56 point (c); 59, 60 and 79 of CRR Part of holdings by the institution of instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where the institution does not have a significant investment that has to be deducted from AT1
710	1.1.2.7 (-) AT1 instruments of financial sector entities where the institution has a significant investment Articles 4(1)(27), 56 point (d), 59 and 79 of CRR Holdings by the institution of AT1 instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where the institution has a significant investment are completely deducted
720	1.1.2.8 (-) Excess of deduction from T2 items over T2 Capital Article 56 point (e) of CRR The amount to be reported is directly taken from CA 1 item ‘Excess of deduction from T2 items over T2 Capital (deducted in AT1).
730	1.1.2.9 Other transitional adjustments to AT1 Capital Articles 474, 475, 478 and 481 of CRR Adjustments due to transitional provisions. The amount to be reported is directly obtained from CA5.
740	1.1.2.10 Excess of deduction from AT1 items over AT1 Capital (deducted in CET1) Article 36(1) point (j) of CRR Additional Tier 1 cannot be negative, but it is possible that AT1 deductions are greater than AT1 Capital plus related share premium. When this happens, AT1 has to be equal to zero, and the excess of AT1 deductions has to be deducted from CET1. With this item, it is achieved that the sum of items 1.1.2.1 to 1.1.2.12 is never lower than zero. Then, if this item shows a positive figure, item 1.1.1.16 shall be the inverse of that figure.
744	1.1.2.11 (-) Additional deductions of AT1 Capital due to Article 3 CRR Article 3 CRR
748	1.1.2.12 AT1 capital elements or deductions — other This row is invented to provide flexibility solely for reporting purposes. It shall only be populated in the rare cases that there is no final decision on the reporting of specific capital items/deductions in the current CA1 template. As a consequence, this row shall only be populated if an AT1 capital element respective a deduction of an AT1 element cannot be assigned to one of the rows 530 to 744. This cell shall not be used to assign capital items/deductions which are not covered by the CRR into the calculation of solvency ratios (e.g. an assignment of national capital items/deductions which are outside the scope of the CRR)!
750	1.2 TIER 2 CAPITAL Article 71 of CRR
760	1.2.1 Capital instruments and subordinated loans eligible as T2 Capital Articles 62 point (a), 63 to 65, 66 point (a), and 67 of CRR
770	1.2.1.1 Paid up capital instruments and subordinated loans Articles 62 point (a), 63 and 65 of CRR The amount to be reported shall not include the share premium related to the instruments
780	1.2.1.2 (*)Memorandum item: Capital instruments and subordinated loans not eligible Article 63 points (c), (e) and (f); and article 64 of CRR Conditions in those points reflect different situations of the capital which are reversible, and thus the amount reported here can be eligible in subsequent periods. The amount to be reported shall not include the share premium related to the instruments
790	1.2.1.3 Share premium Articles 62 point (b) and 65 of CRR Share premium has the same meaning as under the applicable accounting standard. The amount to be reported in this item shall be the part related to the ‘Paid up capital instruments’.
800	1.2.1.4 (-) Own T2 instruments Article 63 point (b) (i), 66 point (a), and 67 of CRR Own T2 instruments held by the reporting institution or group at the reporting date. Subject to exceptions in article 67 of CRR. Holdings on shares included as ‘Capital instruments not eligible’ shall not be reported in this row. The amount to be reported shall include the share premium related to the own shares. Items 1.2.1.4 to 1.2.1.4.3 do not include actual or contingent obligations to purchase own T2 instruments. Actual or contingent obligations to purchase own T2 instruments are reported separately in item 1.2.1.5.
810	1.2.1.4.1 (-) Direct holdings of T2 instruments Articles 63 point (b), 66 point (a) and 67 of CRR Tier 2 instruments included in item 1.2.1.1 held by institutions of the consolidated group.
840	1.2.1.4.2 (-) Indirect holdings of T2 instruments Articles 4(1)(114), 63 point (b), 66 point (a) and 67 of CRR
841	1.2.1.4.3 (-) Synthetic holdings of T2 instruments Articles 4(1)(126), 63 point (b), 66 point (a) and 67 of CRR
842	1.2.1.5 (-) Actual or contingent obligations to purchase own T2 instruments Articles 66 point (a) and 67 of CRR According to Article 66 point (a) of CRR, ‘own Tier 2 instruments that an institution could be obliged to purchase as a result of existing contractual obligations’ shall be deducted.
880	1.2.2 Transitional adjustments due to grandfathered T2 Capital instruments and subordinated loans Articles 483(6) and (7), 484, 486, 488, 490 and 491 of CRR Amount of capital instruments transitionally grandfathered as T2. The amount to be reported is directly obtained from CA5.
890	1.2.3 Instruments issued by subsidiaries that are given recognition in T2 Capital Articles 83, 87 and 88 of CRR Sum of all the amounts of qualifying own funds of subsidiaries that is included in consolidated T2. Qualifying Tier 2 capital issued by a special purpose entity (Article 83 of CRR) shall be included.
900	1.2.4 Transitional adjustments due to additional recognition in T2 Capital of instruments issued by subsidiaries Article 480 of CRR Adjustments to the qualifying own funds included in consolidated T2 capital due to transitional provisions. This item is obtained directly from CA5.
910	1.2.5 IRB Excess of provisions over expected losses eligible Article 62 point (d) of CRR For institutions calculating risk-weighted exposure amounts in accordance with IRB approach, this item contains the positive amounts resulting from comparing the provisions and expected losses which are eligible as T2 capital.
920	1.2.6 SA General credit risk adjustments Article 62 point (c) of CRR For institutions calculating risk-weighted exposure amounts in accordance with standard approach, this item contains the general credit risk adjustments eligible as T2 capital.
930	1.2.7 (-) Reciprocal cross holdings in T2 Capital Articles 4(1)(122), 66 point (b) and 68 of CRR Holdings in T2 instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where there is a reciprocal cross holding that the competent authority considers to have been designed to inflate artificially the own funds of the institution. The amount to be reported shall be calculated on the basis of the gross long positions, and shall include Tier 2 and Tier 3 own-fund insurance items.
940	1.2.8 (-) T2 instruments of financial sector entities where the institution does not have a significant investment Articles 4(1)(27), 66 point (c), 68 to 70 and 79 of CRR Part of holdings by the institution of instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where the institution does not have a significant investment that has to be deducted from T2.
950	1.2.9 (-) T2 instruments of financial sector entities where the institution has a significant investment Articles 4(1)(27), 66 point (d), 68, 69 and 79 of CRR Holdings by the institution of T2 instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where the institution has a significant investment shall be completely deducted.
960	1.2.10 Other transitional adjustments to T2 Capital Articles 476 to 478 and 481 of CRR Adjustments due to transitional provisions. The amount to be reported shall be directly obtained from CA5.
970	1.2.11 Excess of deduction from T2 items over T2 Capital (deducted in AT1) Article 56 point (e) of CRR Tier 2 cannot be negative, but it is possible that T2 deductions are greater than T2 Capital plus related share premium. When this happens, T2 shall be equal to zero, and the excess of T2 deductions shall be deducted from AT1. With this item, the sum of items 1.2.1 to 1.2.13 is never lower than zero. If this item shows a positive figure, item 1.1.2.8 shall be the inverse of that figure.
974	1.2.12 (-) Additional deductions of T2 Capital due to Article 3 CRR Article 3 CRR
978	1.2.13 T2 capital elements or deductions — other This row is invented to provide flexibility solely for reporting purposes. It shall only be populated in the rare cases that there is no final decision on the reporting of specific capital items/deductions in the current CA1 template. As a consequence, this row shall only be populated if a T2 capital element respective a deduction of a T2 element cannot be assigned to one of the rows 750 to 974. This cell shall not be used to assign capital items/deductions which are not covered by the CRR into the calculation of solvency ratios (e.g. an assignment of national capital items/deductions which are outside the scope of the CRR).

1.3. C 02.00 — OWN FUNDS REQUIREMENTS (CA2)

1.3.1. Instructions concerning specific positions
Row	Legal references and instructions
010	1. TOTAL RISK EXPOSURE AMOUNT Articles 92(3), 95, 96 and 98 of CRR
020	1* Of which: Investment firms under Article 95 paragraph 2 and Article 98 of CRR For investment firms under Article 95(2) and Article 98 of CRR
030	1** Of which: Investment firms under Article 96 paragraph 2 and Article 97 of CRR For investment firms under Article 96(2) and Article 97 of CRR
040	1.1 RISK WEIGHTED EXPOSURE AMOUNTS FOR CREDIT, COUNTERPARTY CREDIT AND DILUTION RISKS AND FREE DELIVERIES Article 92(3) points (a) and (f) of CRR
050	1.1.1 Standardised approach (SA) CR SA and SEC SA templates at the level of total exposures.
060	1.1.1.1 SA exposure classes excluding securitisations positions CR SA template at the level of total exposures. The SA exposure classes are those mentioned in Article 112 of CRR excluding securitisation positions.
070	1.1.1.1.01 Central governments or central banks See CR SA template
080	1.1.1.1.02 Regional governments or local authorities See CR SA template
090	1.1.1.1.03 Public sector entities See CR SA template
100	1.1.1.1.04 Multilateral Development Banks See CR SA template
110	1.1.1.1.05 International Organisations See CR SA template
120	1.1.1.1.06 Institutions See CR SA template
130	1.1.1.1.07 Corporates See CR SA template
140	1.1.1.1.08 Retail See CR SA template
150	1.1.1.1.09 Secured by mortgages on immovable property See CR SA template
160	1.1.1.1.10 Exposures in default See CR SA template
170	1.1.1.1.11 Items associated with particular high risk See CR SA template
180	1.1.1.1.12 Covered bonds See CR SA template
190	1.1.1.1.13 Claims on institutions and corporate with a short-term credit assessment See CR SA template
200	1.1.1.1.14 Collective investments undertakings (CIU) See CR SA template
210	1.1.1.1.15 Equity See CR SA template
211	1.1.1.1.16 Other items See CR SA template
220	1.1.1.2 Securitisations positions SA CR SEC SA template at the level of total securitisation types
230	1.1.1.2.* Of which: resecuritisation CR SEC SA template at the level of total securitisation types
240	1.1.2 Internal ratings based Approach (IRB)
250	1.1.2.1 IRB approaches when neither own estimates of LGD nor Conversion Factors are used CR IRB template at the level of total exposures (when own estimates of LGD and/or CCF are not used)
260	1.1.2.1.01 Central governments and central banks See CR IRB template
270	1.1.2.1.02 Institutions See CR IRB template
280	1.1.2.1.03 Corporates — SME See CR IRB template
290	1.1.2.1.04 Corporates – Specialised Lending See CR IRB template
300	1.1.2.1.05 Corporates – Other See CR IRB template
310	1.1.2.2 IRB approaches when own estimates of LGD and/or Conversion Factor are used CR IRB template at the level of total exposures (when own estimates of LGD and/or CCF are used)
320	1.1.2.2.01 Central governments and central banks See CR IRB template
330	1.1.2.2.02 Institutions See CR IRB template
340	1.1.2.2.03 Corporates — SME See CR IRB template
350	1.1.2.2.04 Corporates – Specialised Lending See CR IRB template
360	1.1.2.2.05 Corporates – Other See CR IRB template
370	1.1.2.2.06 Retail – secure by real estate SME See CR IRB template
380	1.1.2.2.07 Retail – secure by real estate non-SME See CR IRB template
390	1.1.2.2.08 Retail – Qualifying revolving See CR IRB template
400	1.1.2.2. 09 Retail – Other SME See CR IRB template
410	1.1.2.2.10 Retail – Other non-SME See CR IRB template
420	1.1.2.3 Equity IRB See CR EQU IRB template
430	1.1.2.4 Securitisations positions IRB CR SEC IRB template at the level of total securitisation types
440	1.1.2.4* Of which: resecuritisation CR SEC IRB template at the level of total securitisation types
450	1.1.2.5 Other non credit-obligation assets The amount to be reported is the risk weighted exposure amount as calculated according to Article 156 of CRR.
460	1.1.3 Risk exposure amount for contributions to the default fund of a CCP Articles 307 to 309 of CRR
490	1.2 TOTAL RISK EXPOSURE AMOUNT FOR SETTLEMENT/DELIVERY Articles 92(3) point (c) (ii) and 92(4) point (b) of CRR
500	1.2.1 Settlement/delivery risk in the non-Trading book See CR SETT template
510	1.2.2 Settlement/delivery risk in the Trading book See CR SETT template
520	1.3 TOTAL RISK EXPOSURE AMOUNT FOR POSITION, FOREIGN EXCHANGE AND COMMODITIES RISKS Articles 92(3) points (b) (i) and (c) (i) and (iii), and 92(4) point (b) of CRR
530	1.3.1 Risk exposure amount for position, foreign exchange and commodities risks under standardised approaches (SA)
540	1.3.1.1 Traded debt instruments MKR SA TDI template at the level of total currencies.
550	1.3.1.2 Equity MKR SA EQU template at the level of total national markets.
555	1.3.1.3 Particular approach for position risk in CIUs Articles 348(1), 350 (3) c) and 364 (2) a) CRR Total risk exposure amount for positions in CIUs if capital requirements are calculated according to Article 348(1) CRR either immediately or as a consequence of the cap defined in Article 350(3) c) CRR. The CRR does not explicitly assign those positions to either the interest rate risk or the equity risk. If the particular approach according to Article 348(1) sentence 1 of CRR is applied, the amount to be reported is 32 % of the net position of the CIU exposure in question, multiplied by 12,5. If the particular approach according to Article 348(1) sentence 2 of CRR is applied, the amount to be reported is the lower of 32 % of the net position of the relevant CIU exposure and the difference between 40 % of this net position and the own funds requirements that arise from the foreign exchange risk associated with this CIU exposure, multiplied by 12,5 respectively.
556	1.3.1.3.* Memo item: CIUs exclusively invested in traded debt instruments Total risk exposure amount for positions in CIUs if the CIU is invested exclusively in instruments subject to interest rate risk.
557	1.3.1.3.** CIUs invested exclusively in equity instruments or in mixed instruments Total risk exposure amount for positions in CIUs if the CIU is invested either exclusively in instruments subject to equity risk or in mixed instruments or if the constituents of the CIU are unknown.
560	1.3.1.4 Foreign Exchange See MKR SA FX template
570	1.3.1.5 Commodities See MKR SA COM template
580	1.3.2 Risk exposure amount for positions, foreign exchange and commodity risks under internal models (IM) See MKR IM template
590	1.4 TOTAL RISK EXPOSURE AMOUNT FOR OPERATIONAL RISK (OpR) Article 92(3) point (e) and 92(4) point (b) of CRR For investment firms under Article 95(2), Article 96(2) and Article 98 of CRR this element shall be zero.
600	1.4.1 OpR Basic Indicator approach (BIA) See OPR template
610	1.4.2 OpR Standardised (TSA)/Alternative Standardised (ASA) approaches See OPR template
620	1.4.3 OpR Advanced measurement approaches (AMA) See OPR template
630	1.5 ADDITIONAL RISK EXPOSURE AMOUNT DUE TO FIXED OVERHEADS Articles 95(2), 96(2), 97 and 98(1) point (a) of CRR Only for investment firms under Article 95(2), Article 96(2) and Article 98 of CRR. See also Article 97 of CRR Investment firms under Article 96 of CRR shall report the amount referred to in Article 97 multiplied by 12.5. Investment firms under Article 95 of CRR shall report: If the amount referred to in article 95(2) point (a) of CRR is greater than the amount referred to in article 95(2) point (b) of CRR, the amount to be reported is zero. If the amount referred to in article 95(2) point (b) of CRR is greater than the amount referred to in article 95(2) point (a) of CRR, the amount to be reported is the result of subtracting the latter amount from the former.
640	1.6 TOTAL RISK EXPOSURE AMOUNT FOR CREDIT VALUATION ADJUSTMENT Article 92(3) point (d) of CRR See CVA template.
650	1.6.1 Advanced method Own funds requirements for credit valuation adjustment risk according to Article 383 of CRR. See CVA template.
660	1.6.2 Standardised method Own funds requirements for credit valuation adjustment risk according to Article 384 of CRR. See CVA template.
670	1.6.3. Based on OEM Own funds requirements for credit valuation adjustment risk according to Article 385 of CRR. See CVA template.
680	1.7 TOTAL RISK EXPOSURE AMOUNT RELATED TO LARGE EXPOSURES IN THE TRADING BOOK Articles 92(3) point (b) (ii) and 395 to 401 of CRR
690	1.8 OTHER RISK EXPOSURE AMOUNTS Articles 3, 458 and 459 of CRR and risk exposure amounts which cannot be assigned to one of the items from 1.1 to 1.7. Institutions shall report the amounts needed to comply with the following: Stricter prudential requirements imposed by the Commission, in accordance with Article 458 and 459 of CRR Additional risk exposure amounts due to Article 3 CRR This item does not have a link to a details template.
710	1.8.2 Of which: Additional stricter prudential requirements based on Art 458 Article 458 of CRR
720	1.8.2* Of which: requirements for large exposures Article 458 of CRR
730	1.8.2** Of which: due to modified risk weights for targeting asset bubbles in the residential and commercial property Article 458 of CRR
740	1.8.2*** Of which: Of which: due to intra financial sector exposures Article 458 of CRR
750	1.8.3 Of which: Additional stricter prudential requirements based on Art 459 Article 459 of CRR
760	1.8.4 Of which: Additional risk exposure amount due to Article 3 CRR Article 3 CRR The additional risk exposure amount has to be reported. shall only include the additional amounts (e.g. if an exposure of 100 has a risk-weight of 20 % and the institutions applies a risk weight of 50 % based on article 3 CRR, the amount to be reported is 30).

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

1.4.1. Instructions concerning specific positions
Rows	
010	1 CET1 Capital ratio Article 92(2) point (a) of CRR The CET1 capital ratio is the CET1 capital of the institution expressed as a percentage of the total risk exposure amount.
020	2 Surplus(+)/Deficit(-) of CET1 capital This item shows, in absolute figures, the amount of CET1 capital surplus or deficit relating to the requirement set in Article 92(1) point (a) of CRR (4,5 %), i.e. without taking into account the capital buffers and transitional provisions on the ratio.
030	3 T1 Capital ratio Article 92(2) point (b) of CRR The T1 capital ratio is the T1 capital of the institution expressed as a percentage of the total risk exposure amount.
040	4 Surplus(+)/Deficit(-) of T1 capital This item shows, in absolute figures, the amount of T1 capital surplus or deficit relating to the requirement set in Article 92(1) point (b) of CRR (6 %), i.e. without taking into account the capital buffers and transitional provisions on the ratio.
050	5 Total capital ratio Article 92(2) point (c) of CRR The total capital ratio is the own funds of the institution expressed as a percentage of the total risk exposure amount.
060	6 Surplus(+)/Deficit(-) of total capital This item shows, in absolute figures, the amount of own funds surplus or deficit relating to the requirement set in Article 92(1) point (c) of CRR (8 %), i.e. without taking into account the capital buffers and transitional provisions on the ratio.
070	CET1 capital ratio including Pillar II adjustments Article 92(2) point (a) of CRR and Article 104(2) CRD IV This cell only has to be populated if a decision of a competent authority has an impact on the CET1 capital ratio.
080	Target CET1 capital ratio due to Pillar II adjustments Article 104(2) CRD IV This cell only has to be populated if a competent authority decides that an institution has to meet a higher target CET1capital ratio.
090	T1 capital ratio including Pillar II adjustments Article 92(2) point (b) of CRR and Article 104(2) CRD IV This cell only has to be populated if a decision of a competent authority has an impact on the T1 capital ratio.
100	Target T1 capital ratio due to Pillar II adjustments Article 104(2) CRD IV This cell only has to be populated if a competent authority decides that an institution has to meet a higher target T1 capital ratio.
110	Total capital ratio including Pillar II adjustments Article 92(2) point (c) of CRR and Article 104(2) CRD IV This cell only has to be populated if a decision of a competent authority has an impact on the total capital ratio.
120	Target Total capital ratio due to Pillar II adjustments Article 104(2) CRD IV This cell only has to be populated if a competent authority decides that an institution has to meet a higher target total capital ratio.

1.5. C 04.00 — MEMORANDUM ITEMS (CA4)

1.5.1. Instructions concerning specific positions
Rows	
010	1. Total deferred tax assets The amount reported in this item shall be equal to the amount reported in the latest verified/audited accounting balance sheet.
020	1.1 Deferred tax assets that do not rely on future profitability Article 39 of CRR Deferred tax assets that do not rely on future profitability, and thus are subject to the application of a risk weight.
030	1.2 Deferred tax assets that rely on future profitability and do not arise from temporary differences Articles 36(1) point (c) and 38 of CRR Deferred tax assets that rely on future profitability, but do not arise from temporary differences, and thus are not subject to any threshold (i.e. are completely deducted from CET1).
040	1.3 Deferred tax assets that rely on future profitability and arise from temporary differences Articles 36(1) point (c); 38 and 48(1) point (a) of CRR Deferred tax assets that rely on future profitability and arise from temporary differences, and thus, their deduction from CET1 is subject to 10 % and 17,65 % thresholds in Article 48 of CRR.
050	2. Total deferred tax liabilities The amount reported in this item shall be equal to the amount reported in the latest verified/audited accounting balance sheet.
060	2.1 Deferred tax liabilities non deductible from deferred tax assets that rely on future profitability Article 38(3) and (4) of CRR Deferred tax liabilities for which conditions in Article 38(3) and (4) of CRR are not met. Hence, this item shall include the deferred tax liabilities that reduce the amount of goodwill, other intangible assets or defined benefit pension fund assets required to be deducted, which are reported, respectively, in CA1 items 1.1.1.10.3, 1.1.1.11.2 and 1.1.1.14.2.
070	2.2 Deferred tax liabilities deductible from deferred tax assets that rely on future profitability Article 38 of CRR
080	2.2.1 Deductible deferred tax liabilities associated with deferred tax assets that rely on future profitability and do not arise from temporary differences Article 38(3), (4) and (5) of CRR Deferred tax liabilities which may reduce the amount of deferred tax assets that rely on future profitability, according to Article 38(3) and (4) of CRR, and are not allocated to deferred tax assets that rely on future profitability and arise from temporary differences, according to Article 38(5) of CRR
090	2.2.2 Deductible deferred tax liabilities associated with deferred tax assets that rely on future profitability and arise from temporary differences Article 38(3), (4) and (5) of CRR Deferred tax liabilities which may reduce the amount of deferred tax assets that rely on future profitability, according to Article 38(3) and (4) of CRR, and are allocated to deferred tax assets that rely on future profitability and arise from temporary differences, according to Article 38(5) of CRR
100	3. IRB excess (+) or shortfall (-) of credit risk adjustments, additional value adjustments and other own funds reductions to expected losses for non defaulted exposures Articles 36(1) point (d), 62 point (d), 158 and 159 of CRR This item shall only be reported by IRB institutions.
110	3.1 Total credit risk adjustments, additional value adjustments and other own funds reductions eligible for inclusion in the calculation of the expected loss amount Article 159 of CRR This item shall only be reported by IRB institutions.
120	3.1.1 General credit risk adjustments Article 159 of CRR This item shall only be reported by IRB institutions.
130	3.1.2 Specific credit risk adjustments Article 159 of CRR This item shall only be reported by IRB institutions.
131	3.1.3 Additional value adjustments and other own funds reductions Articles 34, 110 and 159 of CRR This item shall only be reported by IRB institutions.
140	3.2 Total expected losses eligible Articles 158(5), (6) and (10), and 159 of CRR This item shall only be reported by IRB institutions. Only the expected loss related to non defaulted exposures shall be reported.
145	4. IRB excess (+) or shortfall (-) of specific credit risk adjustments to expected losses for defaulted exposures Articles 36(1) point (d), 62 point (d), 158 and 159 of CRR This item shall only be reported by IRB institutions.
150	4.1 Specific credit risk adjustments and positions treated similarily Article 159 of CRR This item shall only be reported by IRB institutions.
155	4.2 Total expected losses eligible Articles 158(5), (6) and (10), and 159 of CRR This item shall only be reported by IRB institutions. Only the expected loss related to defaulted exposures shall be reported.
160	5 Risk weighted exposure amounts for calculating the cap to the excess of provision eligible as T2 Article 62 point (d) of CRR For IRB institutions, according to Article 62 point (d) of CRR, the excess amount of provisions (to expected losses) eligible for inclusion in Tier 2 capital is capped at 0,6 % of risk-weighted exposure amounts calculated with the IRB approach. The amount to be reported in this item is the risk weighted exposure amounts (i.e. not multiplied by 0,6 %) which is the base for calculating the cap.
170	6 Total gross provisions eligible for inclusion in T2 capital Article 62 point (c) of CRR This item includes the general credit risk adjustments that are eligible for inclusion in T2 capital, before cap. The amount to be reported shall be gross of tax effects.
180	7 Risk weighted exposure amounts for calculating the cap to the provision eligible as T2 Article 62 point (c) of CRR According to Article 62 point (c) of CRR, the credit risk adjustments eligible for inclusion in Tier 2 capital is capped at 1,25 % of risk-weighted exposure amounts. The amount to be reported in this item is the risk weighted exposure amounts (i.e. not multiplied by 1,25 %) which is the base for calculating the cap.
190	8 Threshold non deductible of holdings in financial sector entities where an institution does not have a significant investment Article 46(1) point (a) of CRR This item contains the threshold up to which holdings in a financial sector entity where an institution does not have a significant investment are not deducted. The amount results from adding up all items which are the base of the threshold and multiplying the sum thus obtained by 10 %.
200	9 10 % CET1 threshold Article 48(1) points (a) and (b) of CRR This item contains the 10 % threshold for holdings in financial sector entities where an institution has a significant investment, and for deferred tax assets that are dependent on future profitability and arise from temporary differences. The amount results from adding up all items which are the base of the threshold and multiplying the sum thus obtained by 10 %.
210	10 17,65 % CET1 threshold Article 48(1) of CRR This item contains the 17,65 % threshold for holdings in financial sector entities where an institution has a significant investment, and for deferred tax assets that are dependent on future profitability and arise from temporary differences, to be applied after the 10 % threshold. The threshold is calculated so that the amount of the two items that is recognised must not exceed 15 % of the Common Equity Tier 1 capital, calculated after all deductions, not including any adjustment due to transitional provisions.
225	11.1 Eligible capital for the purposes of qualifying holdings outside the financial sector Article 4(1)(71)(a)
226	11.2 Eligible capital for the purposes of large exposures Article 4(1)(71)(b)
230	12 Holdings of CET1 capital of financial sector entities where the institution does not have a significant investment, net of short positions Articles 44 to 46 and 49 of CRR
240	12.1 Direct holdings of CET1 capital Direct holdings of CET1 capital of financial sector entities where the institution does not have a significant investment Articles 44, 45, 46 and 49 of CRR
250	12.1.1 Gross direct holdings of CET1 capital of financial sector entities where the institution does not have a significant investment Articles 44, 46 and 49 of CRR Direct holdings of CET1 capital of financial sector entities where the institution does not have a significant investment, excluding: a) Underwriting positions held for 5 working days or fewer; b) The amounts relating to the investments for which any alternative in article 49 is applied; and c) Holdings which are treated as reciprocal cross holdings according to article 36(1) point (g) of CRR
260	12.1.2 (-) Permitted offsetting short positions in relation to the direct gross holdings included above Article 45 of CRR Article 45 of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year.
270	12.2 Indirect holdings of CET1 capital of financial sector entities where the institution does not have a significant investment Articles 4(1)(114), 44 and 45 of CRR
280	12.2.1 Gross indirect holdings of CET1 capital of financial sector entities where the institution does not have a significant investment Articles 4(1)(114), 44 and 45 of CRR The amount to be reported is the indirect holdings in the trading book of the capital instruments of financial sector entities that take the form of holdings of index securities. It is obtained by calculating the underlying exposure to the capital instruments of the financial sector entities in the indices. Holdings which are treated as reciprocal cross holdings according to article 36(1) point (g) of CRR shall not be included
290	12.2.2 (-) Permitted offsetting short positions in relation to the indirect gross holdings included above Articles 4(1)(114) and 45 of CRR Article 45 point (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year.
291	12.3.1 Synthetic holdings of CET1 capital of financial sector entities where the institution does not have a significant investment Articles 4(1)(126), 44 and 45 of CRR
292	12.3.2 Gross synthetic holdings of CET1 capital of financial sector entities where the institution does not have a significant investment Articles 4(1)(126), 44 and 45 of CRR
293	12.3.3 (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above Articles 4(1)(126) and 45 of CRR
300	13 Holdings of AT1 capital of financial sector entities where the institution does not have a significant investment, net of short positions Articles 58 to 60 of CRR
310	13.1 Direct holdings of AT1 capital of financial sector entities where the institution does not have a significant investment Articles 58, 59 and 60(2) of CRR
320	13.1.1 Gross direct holdings of AT1 capital of financial sector entities where the institution does not have a significant investment Articles 58 and 60(2) of CRR Direct holdings of AT1 capital of financial sector entities where the institution does not have a significant investment, excluding: a) Underwriting positions held for 5 working days or fewer; and b) Holdings which are treated as reciprocal cross holdings according to article 56 point (b) of CRR
330	13.1.2 (-) Permitted offsetting short positions in relation to the direct gross holdings included above Article 59 of CRR Article 59 point (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year.
340	13.2 Indirect holdings of AT1 capital of financial sector entities where the institution does not have a significant investment Articles 4(1)(114), 58 and 59 of CRR
350	13.2.1 Gross indirect holdings of AT1 capital of financial sector entities where the institution does not have a significant investment Articles 4(1)(114), 58 and 59 of CRR The amount to be reported is the indirect holdings in the trading book of the capital instruments of financial sector entities that take the form of holdings of index securities. It is obtained by calculating the underlying exposure to the capital instruments of the financial sector entities in the indices. Holdings which are treated as reciprocal cross holdings according to article 56 point (b) of CRR shall not be included
360	13.2.2 (-) Permitted offsetting short positions in relation to the indirect gross holdings included above Articles 4(1)(114) and 59 of CRR Article 59 (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year.
361	13.3 Synthetic holdings of AT1 capital of financial sector entities where the institution does not have a significant investment Articles 4(1)(126), 58 and 59 of CRR
362	13.3.1 Gross synthetic holdings of AT1 capital of financial sector entities where the institution does not have a significant investment Articles 4(1)(126), 58 and 59 of CRR
363	13.3.2 (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above Articles 4(1)(126) and 59 of CRR
370	14. Holdings of T2 capital of financial sector entities where the institution does not have a significant investment, net of short positions Articles 68 to 70 of CRR
380	14.1 Direct holdings of T2 capital of financial sector entities where the institution does not have a significant investment Articles 68, 69 and 70(2) of CRR
390	14.1.1 Gross direct holdings of T2 capital of financial sector entities where the institution does not have a significant investment Articles 68 and 70(2) of CRR Direct holdings of T2 capital of financial sector entities where the institution does not have a significant investment, excluding: a) Underwriting positions held for 5 working days or fewer; and b) Holdings which are treated as reciprocal cross holdings according to article 66 point (b) of CRR
400	14.1.2 (-) Permitted offsetting short positions in relation to the direct gross holdings included above Article 69 of CRR Article 69 point (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year.
410	14.2 Indirect holdings of T2 capital of financial sector entities where the institution does not have a significant investment Article 4(1)(114), 68 and 69 of CRR
420	14.2.1 Gross indirect holdings of T2 capital of financial sector entities where the institution does not have a significant investment Articles 4(1)(114), 68 and 69 of CRR The amount to be reported is the indirect holdings in the trading book of the capital instruments of financial sector entities that take the form of holdings of index securities. It is obtained by calculating the underlying exposure to the capital instruments of the financial sector entities in the indices. Holdings which are treated as reciprocal cross holdings according to article 66 point (b) of CRR shall not be included
430	14.2.2 (-) Permitted offsetting short positions in relation to the indirect gross holdings included above Articles 4(1)(114) and 69 of CRR Article 69 point (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year.
431	14.3 Synthetic holdings of T2 capital of financial sector entities where the institution does not have a significant investment Articles 4(1)(126), 68 and 69 of CRR
432	14.3.1 Gross synthetic holdings of T2 capital of financial sector entities where the institution does not have a significant investment Articles 4(1)(126), 68 and 69 of CRR
433	14.3.2 (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above Articles 4(1)(126) and 69 of CRR
440	15 Holdings of CET1 capital of financial sector entities where the institution has a significant investment, net of short positions Articles 44, 45, 47 and 49 of CRR
450	15.1 Direct holdings of CET1 capital of financial sector entities where the institution has a significant investment Articles 44, 45, 47 and 49 of CRR
460	15.1.1 Gross direct holdings of CET1 capital of financial sector entities where the institution has a significant investment Articles 44, 45, 47 and 49 of CRR Direct holdings of CET1 capital of financial sector entities where the institution has a significant investment, excluding: a) Underwriting positions held for 5 working days or fewer; b) The amounts relating to the investments for which any alternative in article 49 is applied; and c) Holdings which are treated as reciprocal cross holdings according to article 36(1) point (g) of CRR
470	15.1.2 (-) Permitted offsetting short positions in relation to the direct gross holdings included above Article 45 of CRR Article 45 point (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year.
480	15.2 Indirect holdings of CET1 capital of financial sector entities where the institution has a significant investment Articles 4(1)(114), 44 and 45 of CRR
490	15.2.1 Gross indirect holdings of CET1 capital of financial sector entities where the institution has a significant investment Articles 4(1)(114), 44 and 45 of CRR The amount to be reported shall be the indirect holdings in the trading book of the capital instruments of financial sector entities that take the form of holdings of index securities. It shall be obtained by calculating the underlying exposure to the capital instruments of the financial sector entities in the indices. Holdings which are treated as reciprocal cross holdings according to article 36(1) point (g) of CRR shall not be included.
500	15.2.2 (-) Permitted offsetting short positions in relation to the indirect gross holdings included above Articles 4(1)(114) and 45 of CRR Article 45 point (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year.
501	15.3 Synthetic holdings of CET1 capital of financial sector entities where the institution has a significant investment Articles 4(1)(126), 44 and 45 of CRR
502	15.3.1 Gross synthetic holdings of CET1 capital of financial sector entities where the institution has a significant investment Articles 4(1)(126), 44 and 45 of CRR
503	15.3.2 (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above Articles 4(1)(126) and 45 of CRR
510	16 Holdings of AT1 capital of financial sector entities where the institution has a significant investment, net of short positions Articles 58 and 59 of CRR
520	16.1 Direct holdings of AT1 capital of financial sector entities where the institution has a significant investment Articles 58 and 59 of CRR
530	16.1.1 Gross direct holdings of AT1 capital of financial sector entities where the institution has a significant investment Article 58 of CRR Direct holdings of AT1 capital of financial sector entities where the institution has a significant investment, excluding: a) Underwriting positions held for 5 working days or fewer (Article 56 point (d); and b) Holdings which are treated as reciprocal cross holdings according to article 56 point (b) of CRR
540	16.1.2 (-) Permitted offsetting short positions in relation to the direct gross holdings included above Article 59 of CRR Article 59 point (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year.
550	16.2 Indirect holdings of AT1 capital of financial sector entities where the institution has a significant investment Articles 4(1)(114), 58 and 59 of CRR
560	16.2.1 Gross indirect holdings of AT1 capital of financial sector entities where the institution has a significant investment Articles 4(1)(114), 58 and 59 of CRR The amount to be reported shall be the indirect holdings in the trading book of the capital instruments of financial sector entities that take the form of holdings of index securities. It shall be obtained by calculating the underlying exposure to the capital instruments of the financial sector entities in the indices. Holdings which are treated as reciprocal cross holdings according to article 56 point (b) of CRR shall not be included.
570	16.2.2 (-) Permitted offsetting short positions in relation to the indirect gross holdings included above Article 4(1)(114) and 59 of CRR Article 59 point (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year.
571	16.3 Synthetic holdings of AT1 capital of financial sector entities where the institution has a significant investment Articles 4(1)(126), 58 and 59 of CRR
572	16.3.1 Gross synthetic holdings of AT1 capital of financial sector entities where the institution has a significant investment Articles 4(1)(126), 58 and 59 of CRR
573	16.3.2 (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above Articles 4(1)(126) and 59 of CRR
580	17 Holdings of T2 capital of financial sector entities where the institution has a significant investment, net of short positions Articles 68 and 69 of CRR
590	17.1 Direct holdings of T2 capital of financial sector entities where the institution has a significant investment Articles 68 and 69 of CRR
600	17.1.1 Gross direct holdings of T2 capital of financial sector entities where the institution has a significant investment Article 68 of CRR Direct holdings of T2 capital of financial sector entities where the institution has a significant investment, excluding: a) Underwriting positions held for 5 working days or fewer (Article 66 point (d); and b) Holdings which are treated as reciprocal cross holdings according to article 66 point (b) of CRR
610	17.1.2 (-) Permitted offsetting short positions in relation to the direct gross holdings included above Article 69 of CRR Article 69 point (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year.
620	17.2 Indirect holdings of T2 capital of financial sector entities where the institution has a significant investment Articles 4(1)(114), 68 and 69 of CRR
630	17.2.1 Gross indirect holdings of T2 capital of financial sector entities where the institution has a significant investment Articles 4(1)(114), 68 and 69 of CRR The amount to be reported shall be the indirect holdings in the trading book of the capital instruments of financial sector entities that take the form of holdings of index securities. It shall be obtained by calculating the underlying exposure to the capital instruments of the financial sector entities in the indices. Holdings which are treated as reciprocal cross holdings according to article 66 point (b) of CRR shall not be included
640	17.2.2 (-) Permitted offsetting short positions in relation to the indirect gross holdings included above Articles 4(1)(114), 69 of CRR Article 69 point (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year.
641	17.3 Synthetic holdings of T2 capital of financial sector entities where the institution has a significant investment Articles 4(1)(126), 68 and 69 of CRR
642	17.3.1 Gross synthetic holdings of T2 capital of financial sector entities where the institution has a significant investment Articles 4(1)(126), 68 and 69 of CRR
643	17.3.2 (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above Articles 4(1)(126) and 69 of CRR
650	18 Risk weighted exposures of CET1 holdings in financial sector entities which are not deducted from the institution’s CET1 capital Article 46(4), 48(4) and 49(4) of CRR
660	19 Risk weighted exposures of AT1 holdings in financial sector entities which are not deducted from the institution’s AT1 capital Article 60(4) of CRR
670	20 Risk weighted exposures of T2 holdings in financial sector entities which are not deducted from the institution’s T2 capital Article 70(4) of CRR
680	21 Holdings on CET1 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived Article 79 of CRR A competent authority may waive on a temporary basis the provisions on deductions from CET1 due to holdings on instruments of a specific financial sector entity, when it deems those holdings to be for the purposes of a financial assistance operation designed to reorganise and save that entity. Note that these instruments shall also be reported on item 12.1.
690	22 Holdings on CET1 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived Article 79 of CRR A competent authority may waive on a temporary basis the provisions on deductions from CET1 due to holdings on instruments of a specific financial sector entity, when it deems those holdings to be for the purposes of a financial assistance operation designed to reorganise and save that entity. Note that these instruments shall also be reported on item 15.1.
700	23 Holdings on AT1 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived Article 79 of CRR A competent authority may waive on a temporary basis the provisions on deductions from AT1 due to holdings on instruments of a specific financial sector entity, when it deems those holdings to be for the purposes of a financial assistance operation designed to reorganise and save that entity. Note that these instruments shall also be reported on item 13.1.
710	24 Holdings on AT1 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived Article 79 of CRR A competent authority may waive on a temporary basis the provisions on deductions from AT1 due to holdings on instruments of a specific financial sector entity, when it deems those holdings to be for the purposes of a financial assistance operation designed to reorganise and save that entity. Note that these instruments shall also be reported on item 16.1.
720	25 Holdings on T2 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived Article 79 of CRR A competent authority may waive on a temporary basis the provisions on deductions from T2 due to holdings on instruments of a specific financial sector entity, when it deems those holdings to be for the purposes of a financial assistance operation designed to reorganise and save that entity. Note that these instruments shall also be reported on item 14.1.
730	26 Holdings on T2 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived Article 79 of CRR A competent authority may waive on a temporary basis the provisions on deductions from T2 due to holdings on instruments of a specific financial sector entity, when it deems those holdings to be for the purposes of a financial assistance operation designed to reorganise and save that entity. Note that these instruments shall also be reported on item 17.1.
740	27 Combined buffer requirement Article 128 point (6) of CRD
750	Capital conservation buffer Articles 128 point (1) and 129 of CRD According to Article 129(1) the capital conservation buffer is an additional amount of Common Equity Tier 1 capital. Due to the fact that the capital conservation buffer rate of 2,5 % is stable, an amount shall be reported in this cell.
760	Conservation buffer due to macro-prudential or systemic risk identified at the level of a Member State Article 458(2) point d (iv) of CRR In this cell the amount of the conservation buffer due to macro-prudential or systemic risk identified at the level of a Member State, which can be requested according to Article 458 CRR in addition to the capital conservation buffer shall be reported.
770	Institution specific countercyclical capital buffer Articles 128 point (2), 130, 135-140 of CRD
780	Systemic risk buffer Articles 128 point (5), 133 and 134 of CRD
790	Systemically important institution buffer Article 131 of CRD Institutions shall report the amount of the Systemically important institution buffer which is applicable on a consolidated basis.
800	Global Systemically Important Institution buffer Articles 128 point (3) and 131 of CRD
810	Other Systemically Important Institution buffer Articles 128 point (4) and 131 of CRD
820	28 Own funds requirements related to Pillar II adjustments Article 104(2) of CRD. If a competent authority decides that an institution has to calculate additional own funds requirements for Pillar II reasons, those additional own funds requirements shall be reported in this cell.
830	29 Initial capital Articles 12, 28 to 31of CRD and Article 93 of CRR
840	30 Own funds based on Fixed Overheads Articles 96(2) point (b), 97 and 98(1) point (a) of CRR
850	31 Non-domestic original exposures Information necessary to calculate the threshold for reporting of the CR GB template according to Article 5(a)(4) of ITS. The calculation of the threshold shall be done at the basis of the original exposure pre conversion factor. Exposures shall be deemed to be domestic where they are exposures to counterparties located in the Member State where the institution is located.
860	32 Total original exposures Information necessary to calculate the threshold for reporting of the CR GB template according to Article 5(a)(4) of ITS. The calculation of the threshold shall be done at the basis of the original exposure pre conversion factor. Exposures shall be deemed to be domestic where they are exposures to counterparties located in the Member State where the institution is located.
870	Adjustments to total own funds Article 500(4) of CRR The difference between the amount reported in position 880 and the total own funds pursuant to CRR has to be reported in this position. If the SA alternative (Article 500(2) CRR) is applied, this row shall be empty.
880	Own funds fully adjusted for Basel I floor Article 500(4) of CRR Total own funds pursuant to CRR adjusted as required by Article 500(4) of CRR (i.e. fully adjusted to reflect differences in the calculation of own funds under Directive 93/6/EEC and Directive 2000/12/EC as those Directives stood prior to 1 January 2007 and the calculation of own funds under CRR deriving from the separate treatments of expected loss and unexpected loss under Part Three, Title II, Chapter 3, of CRR) have to be reported in this position. If the SA alternative (Article 500(2) CRR) is applied, this row shall be empty.
890	Own funds requirements for Basel I floor Article 500(1) point (b) of CRR The amount of own funds required by Article 500(1)(b) of CRR to be hold (i.e. 80 % of the total minimum amount of own funds that the institution would be required to hold under Article 4 of Directive 93/6/EEC as that Directive and Directive 2000/12/EC of the European Parliament and of the Council of 20 March 2000 relating to the taking up and pursuit of the business of credit institutions as those Directives stood prior to January 2007) has to be reported in this position.
900	Own funds requirements for Basel I floor — SA alternative Article 500(2) and (3) of CRR The amount of own funds required by Article 500(2) of CRR to be hold (i.e. 80 % of the own funds that the institution would be required to hold under Article 92 calculating risk-weighted exposure amounts in accordance with Part Three, Title II, Chapter 2, and Part Three, Title III, Chapter 2 or 3 of CRR, as applicable, instead of in accordance with Part Three, Title II, Chapter 3, or Part Three, Title III, Chapter 4 of CRR, as applicable) has to be reported in this position.
910	Deficit of total own funds as regards the own funds requirements of the Basel I floor or SA alternative Articles 500(1) point (b) and 500 (2) CRR This row has to be filled with: — if Article 500(1)(b) CRR is applied and row 880 < row 890: the difference between row 890 and row 880 — or if Article 500(2) CRR is applied and row 010 of C 01.00 < row 900 of C 04.00: the difference between row 900 of C 04.00 and row 010 of C 01.00

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

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

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

1.6.2. C 05.01 — Transitional provisions (CA5.1)
20. Institutions shall report in Table 5.1 the transitional provisions to own funds components as laid down in Articles 465 to 491 of CRR, compared to applying the final provisions laid down in Title II of Part Two of CRR.
21. Institutions shall report in rows 020 to 060 information in relation with the transitional provisions of grandfathered instruments. The figures to be reported in columns 010 to 030 of row 060 of CA 5.1 can be derived from the respective sections of CA 5.2.
22. Institutions shall report in rows 070 to 092 information in relation with the transitional provisions of minority interests and additional Tier 1 and Tier 2 instruments issued by subsidiaries (in accordance with Articles 479 and 480 of CRR).
23. In rows 100 onwards institutions shall report information in relation with the transitional provisions of unrealized gains and losses, deductions as well as additional filters and deductions.
24. There might be cases where the transitional deductions of CET1, AT1 or T2 capital exceed the CET1, AT1 or T2 capital of an institution. This effect – if it results from transitional provisions – shall be shown in the CA1 template using the respective cells. As a consequence, the adjustments in the columns of the CA5 template do not include any spill-over effects in the case of insufficient capital available.

1.6.2.1. Instructions concerning specific positions
Columns	
010	Adjustments to CET1
020	Adjustments to AT1
030	Adjustments to T2
040	Adjustments included in RWAs Column 040 includes the relevant residual amount, i.e. prior the application of provisions of Chapter 2 or 3 of Part Three of CRR. Whereas columns 010 to 030 have a direct link to the CA1 template, the adjustments included in RWA do not have a direct link to the relevant templates for credit risk. If there are adjustments stemming from the transitional provisions to the RWA, those adjustments shall be included directly in the CR SA, CR IRB or CR EQU IRB. Additionally, those effects shall be reported in column 040 of CA5.1. As a consequence, those amounts are only memorandum items.
050	Applicable percentage
060	Eligible amount without transitional provisions Column 060 includes the amount of each instrument prior the application of transitional provisions. I.e. the basis amount relevant to calculate the adjustments.
Rows	
010	1. Total adjustments This row reflects the overall effect of transitional adjustments in the different types of capital, plus the risk weighted amounts arising from these adjustments
020	1.1 Grandfathered instruments Articles 483 to 491 of CRR This row reflects the overall effect of instruments transitionally grandfathered in the different types of capital.
030	1.1.1 Grandfathered instruments: Instruments constituting state aid Article 483 CRR
040	1.1.1.1 Instruments that qualified as own funds according to 2006/48/EC Article 483(1) (2), (4) and (6) of CRR
050	1.1.1.2 Instruments issued by institutions that are incorporated in a Member State that is subject to an Economic Adjustment Programme Article 483(1), (3), (5), (7) and (8) of CRR
060	1.1.2 Instruments not constituting state aid The amounts to be reported shall be obtained from column 060 of table CA 5.2.
070	1.2 Minority interests and equivalents Articles 479 and 480 of CRR This row reflects the effects of transitional provisions in the minority interests eligible as CET1; the qualifying T1 instruments eligible as consolidated AT1; and the qualifying own funds eligible as consolidated T2.
080	1.2.1 Capital instruments and items that do not qualify as minority interests Articles 479 of CRR The amount to be reported in column 060 of this row shall be the amount qualifying as consolidated reserves in accordance with prior regulation.
090	1.2.2 Transitional recognition in consolidated own funds of minority interests Articles 84 and 480 of CRR The amount to be reported in column 060 of this row shall be the eligible amount without transitional provisions.
091	1.2.3 Transitional recognition in consolidated own funds of qualifying Additional Tier 1 capital Article 85 and 480 of CRR The amount to be reported in column 060 of this row shall be the eligible amount without transitional provisions.
092	1.2.4 Transitional recognition in consolidated own funds of qualifying Tier 2 capital Article 87 and 480 of CRR The amount to be reported in column 060 of this row shall be the eligible amount without transitional provisions.
100	1.3 Other transitional adjustments Articles 467 to 478 and 481 of CRR This row reflects the overall effect of transitional adjustments in the deduction to different types of capital, unrealised gains and losses, additional filters and deductions plus the risk weighted amounts arising from these adjustments.
110	1.3.1 Unrealised gains and losses Articles 467 and 468 of CRR This row reflects the overall effect of transitional provisions on unrealized gains and losses measured at fair value.
120	1.3.1.1 Unrealised gains Article 468(1) of CRR
130	1.3.1.2 Unrealised losses Article 467(1) of CRR
133	1.3.1.3 Unrealised gains on exposures to central governments classified in the ‘Available for sale’ category of EU-endorsed IAS39 Article 468 of CRR
136	1.3.1.4 Unrealised loss on exposures to central governments classified in the ‘Available for sale’ category of EU-endorsed IAS39 Article 467 of CRR
138	1.3.1.5 Fair value gains and losses arising from the institution’s own credit risk related to derivative liabilities Article 468 of CRR
140	1.3.2 Deductions Articles 36(1), 469 to 478 of CRR This row reflects the overall effect of transitional provisions on deductions.
150	1.3.2.1. Losses for the current financial year Articles 36(1) point (a), 469 (1), 472 (3) and 478 of CRR The amount to be reported in column 060 of this row shall be the original deduction according to Article 36(1)(a) of CRR. Where firms have only been required to deduct material losses: where the total interim net loss was ‘material’, the full residual amount would be deducted from Tier 1, or where the whole total interim net loss was not ‘material’, no deduction of residual amount would be made.
160	1.3.2.2. Intangible assets Articles 36(1) point (b), 469 (1), 472 (4) and 478 of CRR When determining the amount of intangible assets to be deducted, institutions shall take into account the provisions of Article 37 of CRR. The amount to be reported in column 060 of this row shall be the original deduction according to Article 36(1)(b) of CRR.
170	1.3.2.3. Deferred tax assets that rely on future profitability and do not arise from temporary differences Articles 36(1) point (c), 469 (1), 472 (5) and 478 of CRR When determining the amount of the above-mentioned deferred tax assets (DTA) to be deducted, institutions shall take into account the provisions of Article 38 of CRR relating to the reduction of DTA by deferred tax liabilities. The amount to be reported in column 060 of this row: Total amount according to Article 469(1) c) of CRR.
180	1.3.2.4. IRB shortfall of provisions to expected losses Articles 36(1) point (d), 469 (1), 472 (6) and 478 of CRR When determining the amount of the above-mentioned IRB shortfall of provisions to expected losses to be deducted, institutions shall take into account the provisions of Article 40 of CRR. The amount to be reported in column 060 of this row: Original deduction according to Article 36(1)(d) of CRR
190	1.3.2.5. Defined benefit pension fund assets Articles 33(1) point (e), 469 (1), 472 (7), 473 and 478 of CRR When determining the amount of the above-mentioned defined benefit pension fund assets to be deducted, institutions shall take into account the provisions of Article 41 of CRR. The amount to be reported in column 060 of this row: Original deduction according to Article 36(1)(e) of CRR
194	1.3.2.5.* of which: Introduction of amendments to IAS 19 – positive item Article 473 of CRR
198	1.3.2.5.** of which: Introduction of amendments to IAS 19 – negative item Article 473 of CRR
200	1.3.2.6. Own instruments Articles 36(1) point (f), 469 (1), 472 (8) and 478 of CRR The amount to be reported in column 060 of this row: Original deduction according to Article 36(1)(f) of CRR
210	1.3.2.6.1 Own CET1 instruments Articles 36(1) point (f), 469 (1), 472 (8) and 478 of CRR When determining the amount of the above-mentioned Own Common Equity Tier 1 instruments to be deducted, institutions shall take into account the provisions of Article 42 of CRR. Given that the treatment of the ‘residual amount’ differs depending upon the nature of the instrument, institutions shall break down holdings in own Common Equity instruments according to ‘direct’ and ‘indirect’ holdings. The amount to be reported in column 060 of this row: Original deduction according to Article 36(1)(f) of CRR.
211	1.3.2.6.1** of which: Direct holdings Article 469(1)(b), 472 (8) (a) of CRR The amount to be reported in column 060 of this row: Total amount of direct holdings, including instruments that an institution could be obliged to purchase by virtue of an existing or contingent contractual obligation.
212	1.3.2.6.1* of which: Indirect holdings Article 469(1)(b), 472 (8) (b) of CRR The amount to be reported in column 060 of this row: Total amount of indirect holdings, including instruments that an institution could be obliged to purchase by virtue of an existing or contingent contractual obligation.
220	1.3.2.6.2 Own AT1 instruments Articles 56 point (a), 474, 475(2) and 478 of CRR When determining the amount of the above-mentioned holdings to be deducted, institutions shall take into account the provisions of Article 57 of CRR. Given that the treatment of the ‘residual amount’ differs depending upon the nature of the instrument (Article 475(2) of CRR), institutions shall break down the above-mentioned holdings according to ‘direct’ and ‘indirect’ own Additional Tier 1 holdings. The amount to be reported in column 060 of this row: Original deduction according to Article 56 (a) of CRR.
221	1.3.2.6.2** of which: Direct holdings The amount to be reported in column 060 of this row: Total amount of direct holdings, including instruments that an institution could be obliged to purchase by virtue of an existing or contingent contractual obligation, Articles 474 (b) and 475 (2) (a) of CRR.
222	1.3.2.6.2* of which: Indirect holdings The amount to be reported in column 060 of this row: Total amount of indirect holdings, including instruments that an institution could be obliged to purchase by virtue of an existing or contingent contractual obligation, Article 474 (b), 475 (2) (b) of CRR.
230	1.3.2.6.3 Own T2 instruments Articles 66 point (a), 476, 477(2) and 478 of CRR When determining the amount of the holdings to be deducted, institutions shall take into account the provisions of Article 67 of CRR. Given that the treatment of the ‘residual amount’ differs depending upon the nature of the instrument (Article 477(2) of CRR), institutions shall break down the above-mentioned holdings according to ‘direct’ and ‘indirect’ own Tier 2 holdings. The amount to be reported in column 060 of this row: Original deduction0 according to Article 66 (a) of CRR.
231	of which: Direct holdings The amount to be reported in column 060 of this row: Total amount of direct holdings, including instruments that an institution could be obliged to purchase by virtue of an existing or contingent contractual obligation, Articles 476 (b) and 477 (2) (a) of CRR
232	of which: Indirect holdings The amount to be reported in column 060 of this row: Total amount of indirect holdings, including instruments that an institution could be obliged to purchase by virtue of an existing or contingent contractual obligation, Articles 476 (b) and 477 (2) (b) of CRR
240	1.3.2.7. Reciprocal cross holdings Given that the treatment of the ‘residual amount’ differs depending whether the holding of Common Equity Tier 1, Additional Tier 1 or Tier 2 in the financial sector entity is to be considered being significant or not (Articles 472(9), 475 (3) and 477 (3) of CRR), institutions shall break down reciprocal cross holdings according to significant investments and non-significant investments.
250	1.3.2.7.1 Reciprocal cross holdings in CET1 Capital Articles 36(1) point (g), 469 (1), 472(9) and 478 of CRR The amount to be reported in column 060 of this row: Original deduction according to Article 36(1)(g) of CRR
260	1.3.2.7.1.1 Reciprocal cross holdings in CET1 Capital of financial sector entities where the institution does not have a significant investment Articles 36(1) point (g), 469 (1), 472(9) point (a) and 478 of CRR The amount to be reported in column 060 of this row: Residual amount according to Article 469(1)(b) of CRR
270	1.3.2.7.1.2 Reciprocal cross holdings in CET1 Capital of financial sector entities where the institution has a significant investment Articles 36(1) point (g), 469 (1), 472(9) point (b) and 478 of CRR The amount to be reported in column 060 of this row: Residual amount according to Article 469(1)(b) of CRR
280	1.3.2.7.2 Reciprocal cross holdings in AT1 Capital Articles 56 point (b), 474, 475(3) and 478 of CRR The amount to be reported in column 060 of this row: Original deduction according to Article 56 (b) of CRR
290	1.3.2.7.2.1 Reciprocal cross holdings in AT1 Capital of financial sector entities where the institution does not have a significant investment Articles 56 point (b), 474, 475(3) point (a) and 478 of CRR The amount to be reported in column 060 of this row: Residual amount according to Article 475(3) of CRR
300	1.3.2.7.2.2 Reciprocal cross holdings in AT1 Capital of financial sector entities where the institution has a significant investment Articles 56 point (b), 474, 475(3) point (b) and 478 of CRR The amount to be reported in column 060 of this row: Residual amount according to Article 475(3) of CRR
310	1.3.2.7.3 Reciprocal cross holdings in T2 Capital Articles 66 point (b), 476, 477(3) and 478 of CRR The amount to be reported in column 060 of this row: Original deduction according to Article 66 (b) of CRR
320	1.3.2.7.3.1 Reciprocal cross holdings in T2 Capital of financial sector entities where the institution does not have a significant investment Articles 66 point (b), 476, 477(3) point (a) and 478 of CRR The amount to be reported in column 060 of this row: Residual amount according to Article 477(3) of CRR
330	1.3.2.7.3.2 Reciprocal cross holdings in T2 Capital of financial sector entities where the institution has a significant investment Articles 66 point (b), 476, 477(3) point (b) and 478 of CRR The amount to be reported in column 060 of this row: Residual amount according to Article 477(3) of CRR
340	1.3.2.8. Own funds instruments of financial sector entities where the institution does not have a significant investment
350	1.3.2.8.1 CET1 instruments of financial sector entities where the institution does not have a significant investment Articles 36(1) point (h), 469 (1), 472(10) and 478 of CRR The amount to be reported in column 060 of this row: Original deduction according to Article 36(1)(h) of CRR
360	1.3.2.8.2 AT1 instruments of financial sector entities where the institution does not have a significant investment Articles 56 point (c), 474, 475(4) and 478 of CRR The amount to be reported in column 060 of this row: Original deduction according to Article 56 (c) of CRR
370	1.3.2.8.3 T2 instruments of financial sector entities where the institution does not have a significant investment Articles 66 point (c), 476, 477(4) and 478 of CRR The amount to be reported in column 060 of this row: Original deduction according to Article 66 (c) of CRR
380	1.3.2.9 Deferred tax assets that are dependent on future profitability and arise from temporary differences and CET1 instruments of financial sector entities where the institution has a significant investment Article 470(2) and (3) of CRR The amount to be reported in column 060 of this row: Article 470(1) of CRR
390	1.3.2.10 Own funds instruments of financial sector entities where the institution has a significant investment
400	1.3.2.10.1 CET1 instruments of financial sector entities where the institution has a significant investment Articles 36(1) point (i), 469 (1), 472(11) and 478 of CRR The amount to be reported in column 060 of this row: Original deduction according to Article 36(1)(i) of CRR
410	1.3.2.10.2 AT1 instruments of financial sector entities where the institution has a significant investment Articles 56 point (d), 474, 475(4) and 478 of CRR The amount to be reported in column 060 of this row: Original deduction according to Article 56 (d) of CRR
420	1.3.2.10.2 T2 instruments of financial sector entities where the institution has a significant investment Articles 66 point (d), 476, 477(4) and 478 of CRR The amount to be reported in column 060 of this row: Original deduction according to Article 66 (d) of CRR
425	1.3.2.11 Exemption from deduction of Equity Holdings in Insurance Companies from CET 1 Items Article 471 of CRR
430	1.3.3 Additional filters and deductions Article 481 of CRR This row reflects the overall effect of transitional provisions on additional filters and deductions. In accordance with Article 481 of CRR, institutions shall report in item 1.3.3 information relating to the filters and deductions required under the national transposition measures for Articles 57 and 66 of Directive 2006/48/EC and for Articles 13 and 16 of Directive 2006/49/EC, and which are not required in accordance with Part Two.

1.6.3. C 05.02 — Grandfathered instruments: instruments not constituing state aid (CA5.2)
25. Institutions shall report information in relation with the transitional provisions of grandfathered instruments not constituting state aid (Article 484 to 491 of CRR).

1.6.3.1. Instructions concerning specific positions
Columns	
010	Amount of instruments plus related share premium Article 484(3) to (5) of CRR Instruments which are eligible for each respective row, including their related share premiums.
020	Base for calculating the limit Articles 486(2) to (4) of CRR
030	Applicable percentage Article 486(5) of CRR
040	Limit Article 486(2) to (5) of CRR
050	(-) Amount that exceeds the limits for grandfathering Article 486(2) to (5) of CRR
060	Total grandfathered amount The amount to be reported shall be equal to the amounts reported in the respective columns in row 060 of CA 5.1.
Rows	
010	1. Instruments that qualified for point (a) of Article 57 of 2006/48/EC Article 484(3) of CRR The amount to be reported shall include the related share premium accounts.
020	2. Instruments that qualified for point (ca) of Article 57 and Article 154(8) and (9) of 2006/48/EC, subject to the limit of Article 489 Article 484(4) of CRR
030	2.1 Total instruments without a call or an incentive to redeem Article 489 of CRR The amount to be reported shall include the related share premium accounts.
040	2.2 Grandfathered instruments with a call and incentive to redeem Article 489 of CRR
050	2.2.1 Instruments with a call exercisable after the reporting date, and which meet the conditions in Article 49 of CRR after the date of effective maturity Articles 489(3), and 491 point (a) of CRR The amount to be reported shall include the related share premium accounts.
060	2.2.2 Instruments with a call exercisable after the reporting date, and which do not meet the conditions in Article 49 of CRR after the date of effective maturity Articles 489(5), and 491 point (a) of CRR The amount to be reported shall include the related share premium accounts.
070	2.2.3 Instruments with a call exercisable prior to or on 20 July 2011, and which do not meet the conditions in Article 49 of CRR after the date of effective maturity Articles 489(6) and 491 point (c) of CRR The amount to be reported shall include the related share premium accounts
080	2.3 Excess on the limit of CET1 grandfathered instruments Article 487(1) of CRR The excess on the limit of CET1 grandfathered instruments may be treated as instruments which can be grandfathered as AT1 instruments.
090	3. Items that qualified for points e), f), g) or h) of Article 57 of 2006/48/EC, subject to the limit of Article 490 Article 484(5) of CRR
100	3.1 Total items without an incentive to redeem Article 490 of CRR
110	3.2 Grandfathered items with an incentive to redeem Article 490 of CRR
120	3.2.1 Items with a call exercisable after the reporting date, and which meet the conditions in Article 63 of CRR after the date of effective maturity Articles 490(3), and 491 point (a) of CRR The amount to be reported shall include the related share premium accounts.
130	3.2.2 Items with a call exercisable after the reporting date, and which do not meet the conditions in Article 63 of CRR after the date of effective maturity Articles 490(5), and 491 point (a) of CRR The amount to be reported shall include the related share premium accounts.
140	3.2.3 Items with a call exercisable prior to or on 20 July 2011, and which do not meet the conditions in Article 63 of CRR after the date of effective maturity Articles 490(6) and 491 point (c) of CRR The amount to be reported shall include the related share premium accounts.
150	3.3 Excess on the limit of AT1 grandfathered instruments Article 487(2) of CRR The excess on the limit of AT1 grandfathered instruments may be treated as instruments which can be grandfathered as T2 instruments.

2. GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS)

2.1. GENERAL REMARKS

26. Templates C 06.01 and C 06.02 shall be reported if own funds requirements are calculated on a consolidated basis. This template consists of four parts in order to gather different information on all individual entities (including the reporting institution) included in the scope of consolidation.
a) Entities within the scope of consolidation;
b) Detailed group solvency information;
c) Information on the contribution of individual entities to group solvency;
d) Information on capital buffers;
27. Institutions waived according to Article 7 of CRR shall only report the columns 010 to 060 and 250 to 400.

2.2. DETAILED GROUP SOLVENCY INFORMATION
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.
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.

2.3. INFORMATION ON THE CONTRIBUTIONS OF INDIVIDUAL ENTITIES TO GROUP SOLVENCY
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.
31. The third part also includes the amounts of minority interests, qualifying AT1, and qualifying T2 eligible in the consolidated own funds.
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.
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.
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.
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.
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.

2.4. C 06.01 – GROUP SOLVENCY: INFORMATION ON AFFILIATES – TOTAL (GS TOTAL)
Columns	Instructions
250 - 400	ENTITIES WITHIN SCOPE OF CONSOLIDATION See instructions for C 06.02
410-480	CAPITAL BUFFERS See instructions for C 06.02
Rows	Instructions
010	TOTAL The Total shall represent the sum of the values reported in all rows of template C 06.02.

2.5. C 06.02 – GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS)
Columns	Instructions
010-060	ENTITIES WITHIN SCOPE OF CONSOLIDATION This template is designed to gather information on all entities on an entity-by-entity-basis within the scope of consolidation according to Chapter 2 of Title II of Part One of CRR.
010	NAME Name of the entity within the scope of consolidation.
020	CODE This code is a row identifier and shall be unique for each row in the table. Code assigned to the entity within the scope of consolidation. The actual composition of the code depends on the national reporting system.
025	LEI CODE LEI code stands for Legal Entity Identification code which is a reference code proposed by the Financial Stability Board (FSB) and endorsed by the G20, aimed at achieving a unique and worldwide identification of parties to financial transactions. Until the global LEI system is fully operational, pre-LEI codes are being assigned to counterparties by a Local Operational Unit that has been endorsed by Regulatory Oversight Committee (ROC, detailed information may be found at the following website: www.leiroc.org)). Where a Legal Entity Identification code (LEI code) exists for a given counterparty, it shall be used to identify that counterparty.
030	INSTITUTION OR EQUIVALENT (YES/NO) ‘YES’ shall be reported in case the entity is subject to own funds requirements according to CRD or provisions at least equivalent to Basel provisions. ‘NO’ shall be reported otherwise. Minority interests: 81(1) point (a) (ii) and 82(1) point (a) (ii) To the effects of minority interests and AT1 and T2 instruments issued by subsidiaries, the subsidiaries whose instruments can be eligible shall be institutions or undertakings subject by virtue of applicable national law to the requirements of CRR.
040	SCOPE OF DATA: solo fully consolidated (SF) OR solo partially consolidated (SP) ‘SF’ shall be reported for individual subsidiaries fully consolidated. ‘SP’ shall be reported for individual subsidiaries partially consolidated.
050	COUNTRY CODE Institutions shall report the two-letter country code according to ISO 3166-2.
060	SHARE OF HOLDING (%) This percentage refers to the actual share of capital the parent undertaking holds in subsidiaries. In case of full consolidation of a direct subsidiary, the actual share is e.g. 70 %. In accordance with Article 4(16) of CRR, the share of holding of a subsidiary of a subsidiary to be reported results from a multiplication of the shares between the subsidiaries concerned.
070-240	INFORMATION ON ENTITIES SUBJECT TO OWN FUNDS REQUIREMENT The section of detailed information (i.e. columns 070 to 240) shall gather information only on those entities and subgroups which, being within the scope of consolidation (Chapter 2 of Title II of Part One of CRR), are effectively subject to solvency requirements according to CRR or provisions at least equivalent to Basel provisions (i.e, reported yes in column 030). Information shall be included about all individual institutions of a consolidated group that are subject to own funds requirements, regardless where they are located. The information reported in this part shall be according to the local solvency rules where the institution is operating (therefore for this template it is not necessary to do a double calculation on an individual basis according to the parent institution’s rules). When local solvency rules differ from CRR and a comparable breakdown is not given, the information shall be completed where data is available in the respective granularity. Therefore, this part is a factual template that summarises the calculations that the individual institutions of a group shall carry out, bearing in mind that some of those institutions may be subject to different solvency rules. Reporting of fixed overheads of investment firms: Investment firms shall include own funds requirements related to fixed overheads in their calculation of capital ratio according to Articles 95, 96, 97 and 98 of CRR. The part of the total risk exposure amount related to fixed overheads shall be reported in column 100 of part 2 of this template.
070	TOTAL RISK EXPOSURE AMOUNT The sum of the columns 080 to 110 shall be reported.
080	CREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/DELIVERY RISK The amount to be reported in this column corresponds to the sum of risk weighted exposure amounts that are equal or equivalent to the ones that must be reported in row 040 ‘RISK WEIGHTED EXPOSURE AMOUNTS FOR CREDIT, COUNTERPARTY CREDIT AND DILUTION RISKS AND FREE DELIVERIES’ and the amounts of own funds requirements that are equal or equivalent to the ones that must be reported in row 490 ‘TOTAL RISK EXPOSURE AMOUNT FOR SETTLEMENT/DELIVERY RISKS’ of the template CA2.
090	POSITION, FX AND COMMODITY RISKS The amount to be reported in this column corresponds to the amount of own funds requirements that are equal or equivalent to the ones that must be reported in row 520 ‘TOTAL RISK EXPOSURE AMOUNT FOR POSITION, FOREIGN EXCHANGE AND COMMODITIES RISKS’ of the template CA2.
100	OPERATIONAL RISK The amount to be reported in this column corresponds to the risk exposure amount that is equal or equivalent to the one that shall be reported in row 590 ‘TOTAL RISK EXPOSURE AMOUNT FOR OPERATIONAL RISKS (OpR)’ of the template CA2. Fixed overheads shall be included in this column including the row 630 ‘ADDITIONAL RISK EXPOSURE AMOUNT DUE TO FIXED OVERHEADS’ of the template CA2.
110	OTHER RISK EXPOSURE AMOUNTS The amount to be reported in this column corresponds to the risk exposure amount not especially listed above. It is the sum of the amounts of rows 640, 680 and 690 of the template CA2.
120-240	DETAILED INFORMATION ON GROUP SOLVENCY OWN FUNDS The information reported in the following columns shall be according to the local solvency rules where the entity or subgroup is operating.
120	OWN FUNDS The amount to be reported in this column corresponds to the amount of own funds that are equal or equivalent to the ones that must be reported in row 010 ‘OWN FUNDS’ of the template CA1.
130	OF WHICH: QUALIFYING OWN FUNDS Article 82 of CRR This column shall only be provided for the subsidiaries reported on an individual basis that are fully consolidated, which are institutions. Qualifying holdings are, for the subsidiaries specified above, the instruments (plus related retained earnings, share premium accounts and other reserves) owned by persons other than the undertakings included in the CRR consolidation. The amount to be reported shall include the effects of any transitional provision. It shall be the eligible amount on the date of reporting.
140	RELATED OWN FUNDS INSTRUMENTS, RELATED RETAINED EARNINGS, SHARE PREMIUM ACCOUNTS AND OTHER RESERVES Article 87(1)(b) of CRR
150	TOTAL TIER 1 CAPITAL Article 25 of CRR
160	OF WHICH: QUALIFYING TIER 1 CAPITAL Article 82 of CRR This column shall only be provided for the subsidiaries reported on an individual basis that are fully consolidated, which are institutions. Qualifying holdings are, for the subsidiaries specified above, the instruments (plus related retained earnings and share premium accounts) owned by persons other than the undertakings included in the CRR consolidation. The amount to be reported shall include the effects of any transitional provision. It shall be the eligible amount on the date of reporting.
170	RELATED T1 INSTRUMENTS, RELATED RETAINED EARNINGS AND SHARE PREMIUM ACCOUNTS Article 85(1)(b) of CRR
180	COMMON EQUITY TIER 1 CAPITAL Article 50 of CRR
190	OF WHICH: MINORITY INTERESTS Article 81 of CRR This column shall only be reported for subsidiaries fully consolidated which are institutions, except subsidiaries referred to in article 84(3) of CRR. Each subsidiary shall be considered on a sub-consolidated basis for the purpose of all the calculations required in article 84 of CRR, if relevant, in accordance with article 84(2), otherwise on a solo basis. To the effects of CRR and this template, minority interests are, for the subsidiaries specified above, the CET1 instruments (plus related retained earnings and share premium accounts) owned by persons other than the undertakings included in the CRR consolidation. The amount to be reported shall include the effects of any transitional provision. It shall be the eligible amount on the date of reporting.
200	RELATED OWN FUNDS INSTRUMENTS, RELATED RETAINED EARNINGS, SHARE PREMIUM ACCOUNTS AND OTHER RESERVES Article 84(1)(b) of CRR
210	ADDITIONAL TIER 1 CAPITAL Article 61 of CRR
220	OF WHICH: QUALIFYING ADDITIONAL TIER 1 CAPITAL Articles 82 and 83 of CRR This column shall only be provided for the subsidiaries reported on an individual basis that are fully consolidated which are institutions, except subsidiaries referred to in Article 85(2) of CRR. Each subsidiary shall be considered on a sub-consolidated basis for the purpose of all the calculations required in article 85 of CRR, if relevant, in accordance with article 85(2), otherwise on a solo basis. To the effects of CRR and this template, minority interests are, for the subsidiaries specified above, the AT1 instruments (plus related retained earnings and share premium accounts) owned by persons other than the undertakings included in the CRR consolidation. The amount to be reported shall include the effects of any transitional provision. It shall be the eligible amount on the date of reporting.
230	TIER 2 CAPITAL Article 71 of CRR
240	OF WHICH: QUALIFYING TIER 2 CAPITAL Articles 82 and 83 of CRR This column shall only be provided for the subsidiaries reported on an individual basis that are fully consolidated, which are institutions, except subsidiaries referred to in Article 87(2) of CRR. Each subsidiary shall be considered on a sub-consolidated basis for the purpose of all the calculations required in article 87 of CRR, if relevant, in accordance with article 87(2) of CRR, otherwise on a solo basis. To the effects of CRR and this template, minority interests are, for the subsidiaries specified above, the T2 instruments (plus related retained earnings and share premium accounts) owned by persons other than the undertakings included in the CRR consolidation. The amount to be reported shall include the effects of any transitional provision, i.e. it has to be the eligible amount in the date of reporting.
250-400	INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP
250-290	CONTRIBUTION TO RISKS The information reported in the following columns shall be according to the solvency rules applicable to the reporting institution.
250	TOTAL RISK EXPOSURE AMOUNT The sum of the columns 260 to 290 shall be reported.
260	CREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/DELIVERY RISK The amount to be reported shall be the risk weighted exposure amounts for credit risk and own funds requirements of settlement/delivery risk as per CRR, excluding any amount related to transactions with other entities included in the Group consolidated solvency ratio computation.
270	POSITION, FX AND COMMODITY RISKS Risk exposure amounts for market risks are to be computed at each entity level following CRR. Entities shall report the contribution to the total risk exposure amounts for position, FX and commodity risk of the group. The sum of amounts reported here corresponds to the amount reported in row 520 ‘TOTAL RISK EXPOSURE AMOUNTS FOR POSITION, FOREIGN EXCHANGE AND COMMODITY RISKS’ of the consolidated report.
280	OPERATIONAL RISK In case of AMA, the reported risk exposure amounts for operational risk include the effect of diversification. Fixed overheads shall be included in this column.
290	OTHER RISK EXPOSURE AMOUNTS The amount to be reported in this column corresponds to the risk exposure amount not especially listed above.
300-400	CONTRIBUTION TO OWN FUNDS This part of the template does not intend to impose that institutions perform a full computation of the total capital ratio at the level of each entity. Columns 300 to 350 shall be reported for those consolidated entities which contribute to own funds by minority interest, whereas columns 360 to 400 shall be reported by all other consolidated entities which contribute to the consolidated own funds. Own funds brought to an entity by the rest of entities included within the scope of the reporting entity shall not to be taken into account, only the net contribution to the group own funds shall be reported in this column, that is mainly the own funds raised from third parties and accumulated reserves. The information reported in the following columns shall be according to the solvency rules applicable to the reporting institution.
300-350	QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS The amount to be reported as ‘QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS’ shall be the amount as derived from Title II of Part Two of CRR, excluding any fund brought in by other group entities.
300	QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS Article 87 of CRR
310	QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 1 CAPITAL Article 85 of CRR
320	MINORITY INTERESTS INCLUDED IN CONSOLIDATED COMMON EQUITY TIER 1 CAPITAL Article 84 of CRR The amount to be reported is the amount of minority interests of a subsidiary that is included in consolidated CET1 according to the CRR.
330	QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED ADDITIONAL TIER 1 CAPITAL Article 86 of CRR The amount to be reported is the amount of qualifying T1 capital of a subsidiary that is included in consolidated AT1 according to the CRR.
340	QUALIFYING OWN FUNDS INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 2 CAPITAL Article 89 of CRR The amount to be reported is the amount of qualifying own funds of a subsidiary that is included in consolidated T2 according to the CRR.
350	MEMORANDUM ITEM: GOODWILL (-)/(+) NEGATIVE GOODWILL
360-400	CONSOLIDATED OWN FUNDS Article 18 CRR The amount to be reported as ‘CONSOLIDATED OWN FUNDS’ is the amount as derived from the balance sheet, excluding any fund brought in by other group entities.
360	CONSOLIDATED OWN FUNDS
370	OF WHICH: COMMON EQUITY TIER 1
380	OF WHICH: ADDITIONAL TIER 1
390	OF WHICH: CONRIBUTIONS TO CONSOLIDATED RESULT The contribution of each entity to the consolidated result (profit or loss (-)) is reported. This includes the results attributable to minority interests.
400	OF WHICH: (-) GOODWILL/(+) NEGATIVE GOODWILL Goodwill or negative goodwill of the reporting entity on the subsidiary is reported here.
410-480	CAPITAL BUFFERS The structure of the reporting of capital buffers for the GS template follows the general structure of the template CA4, using the same reporting concepts. When reporting the capital buffers for the GS template, the relevant amounts shall be reported following the calculating of the buffer requirements, that means depending whether the requirements shall be calculated on consolidated, sub-consolidated or individual level.
410	COMBINED BUFFER REQUIREMENTS Article 128 point (6) of CRD
420	CAPITAL CONSERVATION BUFFER Article 128 point (1) and 129 of CRD According to Article 129(1) the capital conservation buffer is an additional amount of Common Equity Tier 1 capital. Due to the fact that the capital conservation buffer rate of 2,5 % is stable, an amount shall be reported in this cell.
430	INSTITUTION SPECIFIC COUNTERCYCLICAL CAPITAL BUFFER Article 128 point (2), Article 130 and 135-140 of CRD In this cell the concrete amount of the countercyclical buffer shall be reported.
440	CONSERVATION BUFFER DUE TO MACRO-PRUDENTIAL OR SYSTEMIC RISK IDENTIFIED AT THE LEVEL OF A MEMBER STATE Article 458(2) point d (iv) of CRR In this cell the amount of the conservation buffer due to macro-prudential or systemic risk identified at the level of a Member State, which can be requested according to Article 458 of CRR in addition to the capital conservation buffer shall be reported.
450	SYSTEMIC RISK BUFFER Articles 128 point (5), 133 and 134 of CRD In this cell the amount of the systemic risk buffer shall be reported.
460	SYSTEMICAL IMPORTANT INSTITUTION BUFFER Article 131 of CRD In this cell the amount of the Systemically important institution buffer shall be reported.
470	GLOBAL SYSTEMICALLY IMPORTANT INSTITUTION BUFFER Articles 128 point (3) and 131 of CRD In this cell the amount of the Global Systemically Important Institution buffer shall be reported.
480	OTHER SYSTEMICALLY IMPORTANT INSTITUTION BUFFER Articles 128 point (4) and 131 of CRD In this cell the amount of the Other Systemically Important Institution buffer shall be reported.

3. CREDIT RISK TEMPLATES

3.1. GENERAL REMARKS
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.

3.1.1. Reporting of CRM techniques with substitution effect
38. Article 235 of CRR describes the computation procedure of the exposure which is fully protected by unfunded protection.
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.
40. Articles 196, 197 and 200 of CRR regulate the funded credit protection.
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.
42. The exposure type does not change because of unfunded credit protection.
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.
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.

3.1.2. Reporting of Counterparty Credit Risk
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.

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

3.2.1. General remarks

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:
a) the distribution of the exposure values according to the different, exposure types, risk weights and exposure classes;
b) the amount and type of credit risk mitigation techniques used for mitigating the risks.

3.2.2. Scope of the CR SA template
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.
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.

49. However the following positions are not within the scope of CR SA:
a) Exposures assigned to exposure class ‘items representing securitisation positions’ according to Article 112 (m) of CRR which shall be reported in the CR SEC templates.
b) Exposures deducted from own funds.

50. The scope of the CR SA template covers the following own funds requirements:
a) Credit risk in accordance with Chapter 2 (Standardised Approach) of Title II of Part Three of CRR in the banking book, among which Counterparty credit risk in accordance with Chapter 6 (Counterparty credit risk) of Title II of Part Three of CRR in the banking book;
b) Counterparty credit risk in accordance with Chapter 6 (Counterparty credit risk) of Title II of Part Three of CRR in the trading book;
c) Settlement risk arising from free deliveries in accordance with Article 379 of CRR in respect of all the business activities.
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.
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.

53. These memorandum items shall only be reported for the following exposure classes:
a) Central governments or central banks (Article 112 point (a) of CRR)
b) Regional governments or local authorities (Article 112 point (b) of CRR)
c) Public sector entities (Article 112 point (c) of CRR)
d) Institutions (Article 112 point (f) of CRR)
e) Corporates (Article 112 point (g) of CRR)
f) Retail (Article 112 point (h) of CRR).
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.
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.
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’.

3.2.3. Assignment of exposures to exposure classes under the Standardised Approach

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:
a) In the first step the Original exposure pre conversion factors is classified into the corresponding (original) exposure class as referred to in Article 112 of CRR, without prejudice to the specific treatment (risk weight) that each specific exposure shall receive within the assigned exposure class.
b) In a second step the exposures may be redistributed to other exposure classes due to the application of credit risk mitigation (CRM) techniques with substitution effects on the exposure (e.g. guarantees, credit derivatives, financial collateral simple method) via inflows and outflows.
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.
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).
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.
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.
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.

63. With this background the assessment ranking in the decision tree mentioned below would follow the following order:
1. Securitisation positions;
2. Items associated with particular high risk;
3. Equity exposures
4. Exposures in default;
5. Exposures in the form of units or shares in collective investment undertakings (‘CIU’)/Exposures in the form of covered bonds (disjoint exposure classes);
6. Exposures secured by mortgages on immovable property;
7. Other items;
8. Exposures to institutions and corporates with a short-term credit assessment;
9. All other exposure classes (disjoint exposure classes) which include Exposures to central governments or central banks; Exposures to regional governments or local authorities; Exposures to public sector entities; Exposures to multilateral development banks; Exposures to international organisations; Exposures to institutions; Exposures to corporate and Retail exposures.
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’).
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.
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.
DECISION TREE ON HOW TO ASSIGN THE ORIGINAL EXPOSURE PRE CONVERSION FACTORS TO THE EXPOSURE CLASSES OF THE STANDARDISED APPROACH ACCORDING TO CRR		
Original exposure pre conversion factors		
Does it fit for being assigned to the exposure class of Article 112 (m)?	YES	Securitisation positions
NO		
Does it fit for being assigned to the exposure class of Article 112point (k)?	YES	Items associated with particular high risk (also see Article 128)
NO		
Does it fit for being assigned to the exposure class of Article 112 point (p)?	YES	Equity exposures (also see Article 133)
NO		
Does it fit for being assigned to the exposure class of Article 112 point (j)?	YES	Exposures in default
NO		
Does it fit for being assigned to the exposure classes of Article 112 points (l) and (o)?	YES	Exposures in the form of units or shares in collective investment undertakings (CIU) Exposures in the form of covered bonds (also see Article 129) These two exposure classes are disjoint among themselves (see comments on the look-through approach in the answer above). Therefore the assignment to one of them is straightforward.
NO		
Does it fit for being assigned to the exposure class of Article 112 point (i)?	YES	Exposures secured by mortgages on immovable property (also see Article 124)
NO		
Does it fit for being assigned to the exposure class of Article 112 point (q)?	YES	Other items
NO		
Does it fit for being assigned to the exposure class of Article 112 point (n)?	YES	Exposures to institutions and corporates with a short-term credit assessment
NO		
The exposure classes below are disjoint among themselves. Therefore the assignment to one of them is straightforward. Exposures to central governments or central banks Exposures to regional governments or local authorities Exposures to public sector entities Exposures to multilateral development banks Exposures to international organisations Exposures to institutions Exposures to corporates Retail exposures		

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

3.2.4.1. Exposure Class ‘Institutions’
67. Reporting of intra-group exposures according to Article 113(6) to (7) of CRR shall be done as follows:
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.
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.

3.2.4.2. Exposure Class ‘Covered Bonds’
70. The assignment of SA exposures to the exposure class ‘covered bonds’ shall be done as follows:
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.

3.2.4.3. Exposure class ‘Collective Investment Undertakings’
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.

3.2.5. Instructions concerning specific positions
Columns	
010	ORIGINAL EXPOSURE PRE CONVERSION FACTORS Exposure value according to Article 111 of CRR without taking into account value adjustments and provisions, conversion factors and the effect of credit risk mitigation techniques with the following qualifications stemming from Article 111(2) of CRR: For Derivative instruments, repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions subject to part 3 title II chapter 6 of CRR or subject to Article 92(3) point (f) of CRR, the original exposure shall correspond to the Exposure Value for Counterparty Credit Risk calculated according to the methods laid down in part 3 title II chapter 6 of CRR. Exposure values for leases are subject to Article 134(7) of CRR. In case of on-balance sheet netting laid down in Article 219 of CRR the exposure values shall be reported according to the received cash collateral. In the case of master netting agreements covering repurchase transactions and/or securities or commodities lending or borrowing transactions and/or other capital market driven transactions subject to part 3 title II chapter 6 of CRR, the effect of Funded Credit Protection in the form of master netting agreements as under Article 220(4) of CRR shall be included in column 010. Therefore, in the case of master netting agreements covering repurchase transactions subject to the provisions in part 3 title II chapter 6 of CRR, E* as calculated under Articles 220 and 221 of CRR shall be reported in column 010 of the CR SA template.
030	(-) Value adjustments and provision associated with the original exposure Article 24 and 111 of CRR Value adjustments and provisions for credit losses made in accordance with the accounting framework to which the reporting entity is subject to.
040	Exposure net of value adjustments and provisions Sum of columns 010 and 030.
050 - 100	CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE Credit risk mitigation techniques as defined in Article 4(57) of CRR that reduce the credit risk of an exposure or exposures via the substitution of exposures as defined below in Substitution of the exposure due to CRM. If collateral has an effect on the exposure value (e.g. if used for credit risk mitigation techniques with substitution effects on the exposure) it shall be capped at the exposure value. Items to be reported here: collateral, incorporated according to Financial Collateral Simple Method; eligible unfunded credit protection. Please also see instructions of point 4.1.1.
050 - 060	Unfunded credit protection: adjusted values (Ga) Article 235 of CRR Article 239(3) of CRR defines the adjusted value Ga of an unfunded credit protection.
050	Guarantees Article 203 of CRR Unfunded Credit Protection as defined in Article 4(59) of CRR different from Credit Derivatives.
060	Credit derivatives Article 204 of CRR.
070 – 080	Funded credit protection These columns refer to funded credit protection according to Article 4(58) of CRR and Articles 196, 197 and 200 of CRR. The amounts shall not include master netting agreements (already included in Original Exposure pre conversion factors). Credit Linked Notes and on-balance sheet netting positions resulting from eligible on-balance sheet netting agreements according to Articles 218 and 219 of CRR shall be treated as cash collateral.
070	Financial collateral: simple method Article 222(1) to (2) of CRR.
080	Other funded credit protection Article 232 of CRR.
090 - 100	SUBSTITUTION OF THE EXPOSURE DUE TO CRM Articles 222(3), Article 235(1) to (2) and Article 236 of CRR. Outflows correspond to the covered part of the Original Exposure pre conversion factors, that is deducted from the obligor’s exposure class and subsequently assigned to the protection provider’s exposure class. This amount shall be considered as an Inflow into the protection provider’s exposure class. Inflows and outflows within the same exposure classes shall also be reported. Exposures stemming from possible in- and outflows from and to other templates shall be taken into account.
110	NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS Amount of the exposure net of value adjustments after taking into account outflows and inflows due to CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE
120 - 140	CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE EXPOSURE AMOUNT. FUNDED CREDIT PROTECTION, FINANCIAL COLLATERAL COMPREHENSIVE METHOD Articles 223, 224, 225, 226, 227 and 228 of CRR. It also includes credit linked notes (Article 218 of CRR) Credit Linked Notes and on-balance sheet netting positions resulting from eligible on-balance sheet netting agreements according to Articles 218 and 219 of CRR are treated as cash collateral. The effect of the collateralization of the Financial Collateral Comprehensive Method applied to an exposure, which is secured by eligible financial collateral, is calculated according to Articles 223, 224, 225, 226, 227 and 228 of CRR.
120	Volatility adjustment to the exposure Article 223(2) to (3) of CRR. The amount to be reported is given by the impact of the volatility adjustment to the exposure (EVA-E) = E*He
130	(-) Financial collateral adjusted value (Cvam) Article 239(2) of CRR. For trading book operations includes financial collateral and commodities eligible for trading book exposures according to Article 299(2) points (c) to (f) of CRR. The amount to be reported corresponds to Cvam = C*(1-Hc-Hfx)*(t-t*)/(T-t*). For a definition of C, Hc, Hfx, t, T and t* see part 3 title II chapter 4 section 4 and 5 of CRR.
140	(-) Of which: Volatility and maturity adjustments Article 223(1) of CRR and Article 239(2) of CRR. The amount to be reported is the joint impact of volatility and maturity adjustments (Cvam-C) = C*[(1-Hc-Hfx)*(t-t*)/(T-t*)-1], where the impact of volatility adjustment is (Cva-C) = C*[(1-Hc-Hfx)-1] and the impact of maturity adjustments is (Cvam-Cva) = C*(1-Hc-Hfx)*[(t-t*)/(T-t*)-1]
150	Fully adjusted exposure value (E*) Article 220(4), Article 223(2) to (5) and Article 228(1) of CRR.
160 - 190	Breakdown of the fully adjusted exposure value of off-balance sheet items by conversion factors Article 111(1) and Article 4(56) of CRR. See also Article 222(3) and Article 228(1) of CRR. The figures reported shall be the fully adjusted exposure values before application of the conversion factor.
200	Exposure value Article 111 of CRR and Part 3 title II chapter 4 section 4 of CRR. Exposure value after taking into account value adjustments, all credit risk mitigants and credit conversion factors that is to be assigned to risk weights according to Article 113 and part 3 title II chapter 2 section 2 of CRR.
210	Of which: Arising from Counterparty Credit Risk For Derivative instruments, repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions subject to part 3 title II chapter 6 of CRR, the exposure value for Counterparty Credit Risk calculated according to the methods laid down in part 3 title II chapter 6 sections 2, 3, 4, 5 of CRR.
215	Risk weighted exposure amount pre SME-supporting factor Article 113(1) to (5) of CRR without taking into account the SME-supporting factor according to Article 501 of CRR.
220	Risk weighted exposure amount after SME-supporting factor Article 113(1) to (5) of CRR taking into account the SME-supporting factor according to Article 500 of CRR.
230	Of which: with a credit assessment by a nominated ECAI
240	Of which: with a credit assessment derived from central government
rows	Instructions
010	Total exposures
015	of which: Defaulted exposures Article 127 CRR This row shall only be reported in exposure classes ‘Items associated with a particular high risk’ and ‘Equity exposures’. If an exposure is either listed in Article 128(2) of CRR or meets the criteria set in Articles 128(3) or 133 of CRR, it shall be assigned to the exposure class ‘Items associated with particular high risk’ or ‘Equity exposures’. Consequently, there should be no other allocation, even if the exposure is defaulted according to Article 127 of CRR.
020	of which: SME All exposures to SME shall be reported here.
030	of which: Exposures subject to the SME-supporting factor Only exposures which meet the requirements of Article 501 CRR shall be reported here.
040	of which: Secured by mortgages on immovable property — Residential property Article 125 of CRR. Only reported in exposure class ‘Secured by mortgages on immovable property’
050	of which: Exposures under the permanent partial use of the standardised approach Exposures treated under Article 150(1) of the CRR
060	of which: Exposures under the standardised approach with prior supervisory permission to carry out a sequential IRB implementation Exposures treated under Article 148(1) of the CRR
070 - 130	BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES Reporting institution's ‘banking book’ positions shall be broken-down, following the criteria provided below, into on-balance sheet exposures subject to credit risk, off-balance sheet exposures subject to credit risk and exposures subject to counterparty credit risk. Reporting institution's ‘trading book’ counterparty credit risk positions according to Article 92(3) point (f) and Article 299(2) of CRR are assigned to the exposures subject to counterparty credit risk. Institutions that apply Article 94(1) of CRR also break down their ‘trading book’ positions following the criteria provided below, into on-balance sheet exposures subject to credit risk, off-balance sheet exposures subject to credit risk and exposures subject to counterparty credit risk.
070	On balance sheet exposures subject to credit risk Assets referred to in Article 24 of CRR not included in any other category. Exposures, which are on-balance sheet items and which are included as Securities Financing Transactions, Derivatives & Long Settlement Transactions or from Contractual Cross Product Netting shall be reported in rows 090, 110 and 130, and therefore shall not be reported in this row. Free deliveries according to Article 379(1) of CRR (if not deducted) do not constitute an on-balance sheet item, but nevertheless shall be reported in this row. Exposures arising from assets posted to a CCP according to Article 4(90) of CRR and default fund exposures according to Article 4(89) of CRR shall be included if not reported in row 030.
080	Off balance sheet exposures subject to credit risk Off-balance sheet positions comprise those items listed in Annex I of CRR. Exposures, which are off-balance sheet items and which are included as Securities Financing Transactions, Derivatives & Long Settlement Transactions or from Contractual Cross Product Netting shall be reported in rows 040, 060 and, therefore, not reported in this row. Exposures arising from assets posted to a CCP according to Article 4(90) of CRR and default fund exposures according to Article 4(89) of CRR shall be included if they are considered as off-balance sheet items.
090 - 130	Exposures/Transactions subject to counterparty credit risk
090	Securities Financing Transactions Securities Financing Transactions (SFT), as defined in paragraph 17 of the Basel Committee document ‘The Application of Basel II to Trading Activities and the Treatment of Double Default Effects’, includes: (i) Repurchase and reverse repurchase agreements defined in Article 4(82) of CRR as well as securities or commodities lending and borrowing transactions; (ii) margin lending transactions as defined in Article 272(3) of CRR.
100	Of which: centrally cleared through a QCCP Article 306 of CRR for qualifying CCPs according to Articles 4(88) in conjunction with Article 301(2) of CRR. Trade exposures to a CCP according to Article 4(91) of CRR
110	Derivatives and Long Settlement Transactions Derivatives comprise those contract listed in Annex II of CRR. Long Settlement Transactions as defined in Article 272(2) of CRR. Derivatives and Long Settlement Transactions which are included in a Cross Product Netting and therefore reported in row 130, shall not be reported in this row.
120	Of which: centrally cleared through a QCCP Article 306 of CRR for qualifying CCPs according to Articles 4(88) in conjunction with Article 301(2) of CRR Trade exposures to a CCP according to Article 4(91) of CRR
130	From Contractual Cross Product Netting Exposures that due to the existence of a contractual cross product netting (as defined in Article 272(11) of CRR) cannot be assigned to either Derivatives & Long Settlement Transactions or Securities Financing Transactions, shall be included in this row.
140-280	BREAKDOWN OF EXPOSURES BY RISK WEIGHTS
140	0 %
150	2 % Article 306(1) of CRR
160	4 % Article 305(3) of CRR
170	10 %
180	20 %
190	35 %
200	50 %
210	70 % Article 232(3) point (c) of CRR.
220	75 %
230	100 %
240	150 %
250	250 % Article 133(2) of CRR
260	370 % Article 471 of CRR
270	1 250 % Article 133(2) of CRR
280	Other risk weights This row is not available for exposure classes Government, Corporates, Institutions and Retail. For reporting those exposures not subject to the risk weights listed in the template. Article 113(1) to (5) of CRR. Unrated nth to default credit derivatives under the Standardized Approach (Article 134(6) of CRR) shall be reported in this row under the exposure class ‘Other items’. See also Article 124(2) and Article 152(2) point (b) of CRR.
290-320	Memorandum Items See also the explanation of the purpose of the memorandum items in the general section of the CR SA.
290	Exposures secured by mortgages on commercial immovable property Article 112 point (i) of CRR This is a memorandum item only. Independent from the calculation of risk exposure amounts of exposures secured by commercial immovable property according to Article 124 and 126 of CRR the exposures shall be broken down and reported in this row based on the criteria whether the exposures are secured by commercial real estate.
300	Exposures in default subject to a risk weight of 100 % Article 112 point (j) of CRR. Exposures included in the exposure class ‘exposures in default’ which shall be included in this exposure class if they were not in default.
310	Exposures secured by mortgages on residential property Article 112 point (i) of CRR. This is a memorandum item only. Independent from the calculation of risk exposure amounts of exposures secured by mortgages on residential property according to Article 124 and 125 of CRR the exposures shall be broken down and reported in this row based on the criteria whether the exposures are secured by real estate property.
320	Exposures in default subject to a risk weight of 150 % Article 112 point (j) of CRR. Exposures included in the exposure class ‘exposures in default’ which shall be included in this exposure class if they were not in default.

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

3.3.1. Scope of the CR IRB template

73. The scope of the CR IRB template covers own funds requirements for:
i. Credit risk in the banking book, among which:
Counterparty credit risk in the banking book;
Dilution risk for purchased receivables;
ii. Counterparty credit risk in the trading book;
iii. Free deliveries resulting from all business activities..
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).

75. The CR IRB template does not cover the following data:
i. Equity exposures, which are reported in the CR EQU IRB template;
ii. Securitisation positions, which are reported in the CR SEC SA, CR SEC IRB and/or CR SEC Details templates;
iii. ‘Other non-obligation assets’, according to Article 147(2) point (g) CRR. The risk weight for this exposure class has to be set at 100 % at any time except for cash in hand, equivalent cash items and exposures that are residual values of leased assets, according to Article 156 CRR. The risk weighted exposure amounts for this exposure class are reported directly in the CA-Template;
iv. Credit valuation adjustment risk, which is reported on the CVA Risk template;
The CR IRB template does not require a geographical breakdown of IRB exposures by residence of the counterparty. This breakdown is reported in the template CR GB.

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:

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

‘YES’
in case own estimates of LGD and credit conversion factors are used (Advanced IRB)
In any case, for the reporting of the retail portfolios ‘YES’ has to be reported.
In case an institution uses own estimates of LGDs to calculate risk weighted exposure amounts for a part of its IRB exposures as well as uses supervisory LGDs to calculate risk weighted exposure amounts for the other part of its IRB exposures, an CR IRB Total for F-IRB positions and one CR IRB Total for A-IRB positions has to be reported.

3.3.2. Breakdown of the CR IRB template

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:
1. Total
(The Total template must be reported for the Foundation IRB and, separately for the Advanced IRB approach.)
2. Central banks and central governments
(Article 147(2)(a) CRR)
3. Institutions
(Article 147(2) point (b) CRR)
4.1) Corporate – SME
(Article 147(2) point (c) CRR
4.2) Corporate – Specialised lending
(Article 147(8) CRR)
4.3) Corporate – Other
(All corporates according to Article 147(2) point (c), not reported under 4.1 and 4.2).
5.1) Retail – Secured by immovable property SME
(Exposures reflecting Article 147(2) point (d) in conjunction with Article 154(3) CRR which are secured by immovable property).
5.2) Retail – Secured by immovable property non-SME
(Exposures reflecting Article 147(2) point (d) CRR which are secured by immovable property and not reported under 5.1).
5.3) Retail – Qualifying revolving
(Article 147(2) point (d) in conjunction with Article 154(4) CRR).
5.4) Retail – Other SME
(Article 147(2) point (d) not reported under 5.1 and 5.3).
5.5) Retail – Other non – SME
(Article 147(2) point (d) CRR which were not reported under 5.2 and 5.3).

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

3.3.3.1. Instructions concerning specific positions
Columns	Instructions
010	INTERNAL RATING SYSTEM/PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%) The PD assigned to the obligor grade or pool to be reported shall be based on the provisions laid down in Article 180 of CRR. For each individual grade or pool, the PD assigned to the specific obligor grade or pool shall be reported. For figures corresponding to an aggregation of obligor grades or pools (e.g. total exposures) the exposure weighted average of the PDs assigned to the obligor grades or pools included in the aggregation shall be provided. The exposure value (column 110) shall be used for the calculation of the exposure-weighted average PD. For each individual grade or pool the PD assigned to the specific obligor grade or pool shall be reported. All reported risk parameters shall be derived from the risk parameters used in the internal rating system approved by the respective competent authority. It is neither intended nor desirable to have a supervisory master scale. If the reporting institution applies a unique rating system or is able to report according to an internal master scale, this scale is used. Otherwise, the different rating systems shall be merged and ordered according to the following criteria: Obligor grades of the different rating systems shall be pooled and ordered from the lower PD assigned to each obligor grade to the higher. Where the institution uses a large number of grades or pools, a reduced number of grades or pools to be reported may be agreed with the competent authorities. Institutions shall contact their competent authority in advance, if they want to report a different number of grades in comparison with the internal number of grades. For the purposes of weighting the average PD the exposure value reported in column 110 is used. All exposures, including defaulted exposures are to be considered for the purpose of the calculation of the exposure weighted average PD (e.g. for ‘total exposure’). Defaulted exposures are those assigned to the last rating grade/s with a PD of 100 %.
020	ORIGINAL EXPOSURE PRE CONVERSION FACTORS Institutions report the exposure value before taking into account any value adjustments, provisions, effects due to credit risk mitigation techniques or credit conversion factors. The original exposure value shall be reported in accordance with Article 24 of CRR and Article 166(1) and (2) and (4) to (7) of CRR. The effect resulting from Article 166(3) of CRR (effect of on balance sheet netting of loans and deposits) is reported separately as Funded Credit Protection and therefore shall not reduce the Original Exposure.
030	OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES Breakdown of the original exposure pre conversion factor for all exposures defined according to Article 142(4) and (5) CRR subject to the higher correlation according to Article 153(2) CRR.
040 – 080	CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE Credit risk mitigation techniques as defined in Article 4(57) of CRR that reduce the credit risk of an exposure or exposures via the substitution of exposures as defined below in ‘SUBSTITUTION OF THE EXPOSURE DUE TO CRM’.
040 – 050	UNFUNDED CREDIT PROTECTION Unfunded credit protection: Values as they are defined in Article 4(59) of CRR. If collateral has an effect on the exposure (e.g. if used for credit risk mitigation techniques with substitution effects on the exposure) it shall be capped at the exposure value.
040	GUARANTEES: When own estimates of LGD are not used, the Adjusted Value (Ga) as defined in Article 236 of CRR shall be provided. When Own estimates of LGD are used, (Article 183 of CRR, except paragraph 3), the relevant value used in the internal model shall be reported. Guarantees shall be reported in column 040 when the adjustment is not made in the LGD. When the adjustment is made in the LGD, the amount of the guarantee shall be reported in column 150. Regarding exposures subject to the double default treatment, the value of unfunded credit protection is re-ported in column 220.
050	CREDIT DERIVATIVES: When own estimates of LGD are not used, the Adjusted Value (Ga) as defined in Article 216 of CRR shall be provided. When own estimates of LGD are used (Article 183 of CRR), the relevant value used in the internal modelling shall be reported. When the adjustment is made in the LGD, the amount of the credit derivatives shall be reported in column 160 Regarding exposures subject to the double default treatment the value of unfunded credit protection shall be reported in column 220.
060	OTHER FUNDED CREDIT PROTECTION If collateral has an effect on the exposure (e.g. if used for credit risk mitigation techniques with substitution effects of the exposure), it shall be capped at the exposure value. When own estimates of LGD are not used, Article 232 of CRR shall be applied. When own estimates of LGD are used, those credit risk mitigants that comply with the criteria in Article 212 of the CRR shall be reported. The relevant value used in the internal model shall be reported. To be reported in column 060 when the adjustment is not made in the LGD. When an adjustment is made in the LGD the amount shall be reported in column 170.
070-080	SUBSTITUTION OF THE EXPOSURE DUE TO CRM Outflows correspond to the covered part of the Original Exposure pre conversion factors, that is deducted from the obligor’s exposure class and, when relevant, obligor grade or pool, and subsequently assigned to the protection provider’s exposure class and, when relevant, obligor grade or pool. This amount shall be considered as an Inflow into the protection provider’s exposure class and, when relevant, obligor grades or pools. Inflows and outflows within the same exposure classes and, when relevant, obligor grades or pools shall also be considered. Exposures stemming from possible in- and outflows from and to other templates shall be taken into account.
090	EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS Exposure assigned in the corresponding obligor grade or pool and exposure class after taking into account outflows and inflows due to CRM techniques with substitution effects on the exposure.
100, 120	Of which: Off Balance Sheet Items See CR-SA instructions
110	EXPOSURE VALUE The value in accordance with Article 166 of CRR and Article 230(1) sentence 2 of CRR are reported. For the instruments as defined in Annex I, the credit conversion factors (Article 166(8) to (10) of CRR) irrespective the approach chosen by the institution, are applied. For rows 040-060 (securities financing transactions, derivatives and long settlement transactions and exposures from contractual cross-product netting) subject to part 3 title II chapter 6 of CRR, the Exposure Value is the same as the value for Counterparty Credit Risk calculated according to the methods laid down in part 3 title II chapter 6 sections 3, 4, 5, 6 and 7 of CRR. These values are reported in this column and not column 130 ‘Of which: arising from counterparty credit risk’.
130	Of which: Arising from counterparty Credit Risk See CR SA instructions.
140	OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES Breakdown of the exposure value for all exposures defined according to Article 142(4) and (5) CRR subject to the higher correlation according to Article 153(2) CRR.
150-210	CREDIT RISK MITIGATION TECHNIQUES TAKEN INTO ACCOUNT IN LGD ESTIMATES EXCLUDING DOUBLE DEFAULT TREATMENT CRM techniques that have an impact on LGDs as a result of the application of the substitution effect of CRM techniques shall not be included in these columns. Where own estimates of LGD are not used: Articles 228(2), 230 (1) and (2), 231 of the CRR Where own estimates of LGD are used: Regarding unfunded credit protection, for exposures to central government and central banks, institutions and corporates: Article 161 paragraph 3 of the CRR. For retail exposures Article 164 paragraph 2 of the CRR. Regarding funded credit protection collateral taken into account in the LGD estimates according to Article 181(1) points (e) and (f) of the CRR.
150	GUARANTEES See instructions to column 040.
160	CREDIT DERIVATIVES See instructions to column 050.
170	OWN ESTIMATES OF LGDS ARE USED: OTHER FUNDED CREDIT PROTECTION The relevant value used in the internal modelling of the institution. Those credit risk mitigants that comply with the criteria in Article 212 of the CRR.
180	ELIGIBLE FINANCIAL COLLATERAL For trading book operations includes financial instruments and commodities eligible for trading book exposures according to Article 299 paragaph 2 point. (c) to (f) of CRR Credit linked Notes and on -balance sheet netting according to Part 3 Title II Chapter 4 Section 4 of CRR are treated as cash collateral. When own estimates of LGD are not used: values in accordance with Article 193(1) to (4) and Article 194(1) of CRR. The adjusted value (Cvam) as set out in Article 223(2) of CRR is reported. When own estimates of LGD are used: financial collateral taken into account in the LGD estimates according to Article 181(1) points (e) and (f) of CRR. The amount to be reported shall be the estimated market value of the collateral.
190-210	OTHER ELIGIBLE COLLATERAL Where own estimates of LGD are not used: Article 199(1) to (8) of CRR and Article 229 of CRR. Where own estimates of LGD are used: other collateral taken into account in the LGD estimates according to Article 181(1) points (e) and (f) of CRR.
190	REAL ESTATE Where own estimates of LGD are not used, values in accordance with Article 199(2) to (4) of CRR shall be reported. Leasing of real estate property is also included (see Article 199(7) of CRR). See also Article 229 of CRR. When own estimates of LGD are used the amount to be reported shall be the estimated market value.
200	OTHER PHYSICAL COLLATERAL Where own estimates of LGD are not used, values in accordance with Article 199(6) and (8) of CRR shall be reported. Leasing of property different from real estate is also included (see Article 199(7) of CRR). See also Article 229(3) of CRR. Where own estimates of LGD are used the amount to be reported shall be the estimated market value of collateral.
210	RECEIVABLES When own estimates of LGD are not used, values in accordance with Articles 199(5), 229 (2) of CRR are reported. When own estimates of LGD are used, the amount to be reported shall be the estimated market value of collateral.
220	SUBJECT TO DOUBLE DEFAULT TREATMENT: UNFUNDED CREDIT PROTECTION Guarantees and credit derivatives covering exposures subject to the double default treatment reflecting Articles 202 and 217 (1) of CRR. See also columns 040 ‘Guarantees’ and 050 ‘Credit derivatives’.
230	EXPOSURE WEIGHTED AVERAGE LGD (%) All the impact of CRM techniques on LGD values as specified in Part 3 Title II Chapters 3 and 4 of CRR shall be considered. In the case of exposures subject to the double default treatment the LGD to be reported shall correspond to the one selected according to Article 161(4) of CRR. For defaulted exposures, provisions laid down in Article 181(1) point (h) of CRR shall be considered. The definition of exposure value as in Column 110 shall be used for the calculation of the exposure-weighted averages. All effects shall be considered (so the floor applicable to mortgages shall be included in the reporting). For institutions applying the IRB approach but not using their own estimates of LGD the risk mitigation effects of financial collateral are reflected in E*, the fully adjusted value of the exposure, and then reflected in LGD* according to Article 228(2) CRR. The exposure weighted average LGD associated to each PD ‘obligor grade or pool’ shall result from the average of the prudential LGDs, assigned to the exposures of that PD grade/pool, weighted by the respective exposure value of Column 110. If own estimates of LGD are applied Article 175 and Article 181(1) and (2) of CRR shall be considered. In the case of exposures subject to the double default treatment the LGD to be reported shall correspond to the one selected according to Article 161(4) of CRR. The calculation of the exposure weighted average LGD shall be derived from the risk parameters really used in the internal rating system approved by the respective competent authority. Data shall not be reported for specialized lending exposures referred to in Article 153(5). Exposure and the respective LGD's for large regulated financial sector entities and unregulated financial entities shall not be included in the calculation of column 230, they shall only be included in the calculation of column 240.
240	EXPOSURE WEIGHTED AVERAGE LGD (%) FOR LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES Exposure weighted average LGD (%) for all exposures defined according to Article 142(4) and (5) CRR subject to the higher correlation according to Article 153(2) CRR.
250	EXPOSURE-WEIGHTED AVERAGE MATURITY VALUE (DAYS) The value reported reflects Article 162 of CRR. The exposure value (Column 110) shall be used for the calculation of the exposure-weighted averages. The average maturity is reported in days. This data shall not be reported for the exposure values for which the maturity is not an element in the calculation of risk weighted exposure amounts. This means that this column shall not be filled in for the exposure class ‘retail’.
255	RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR For Central governments and Central Banks, Corporate and Institutions see Article 153(1) and (3) of CRR. For Retail see Article 154(1) of CRR. The SME-supporting factor according to Article 501 of CRR shall not be taken into account.
260	RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR For Central governments and Central Banks, Corporate and Institutions see Article 153(1) and (3) of CRR. For Retail see Article 154(1) of CRR. The SME-supporting factor according to Article 501 of CRR shall be taken into account.
270	OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES Breakdown of the risk weighted exposure amount after SME supporting factor for all exposures defined according to Article 142(4) and (5) CRR subject to the higher correlation according to Article 153(2) CRR.
280	EXPECTED LOSS AMOUNT For the definition of Expected Loss see Article 5(3) of CRR and, for calculation see Article 158 of CRR. The expected loss amount to be reported shall be based on the risk parameters really used in the internal rating system approved by the respective competent authority.
290	(-) VALUE ADJUSTMENTS AND PROVISIONS Value Adjustments as well as specific and general provisions under Article 159 CRR are reported. General provisions shall be reported by assigning the amount pro rata — according to the expected loss of the different obligor grades.
300	NUMBER OF OBLIGORS Articles 172(1) and (2) of CRR. For all exposure classes except retail, the institution shall report the number of legal entities/obligors which were separately rated, regardless of the number of different loans or exposures granted. Within the exposure class retail the institution shall report the number of exposures which were separately assigned to a certain rating grade or pool. In case Article 172(2) of CRR applies, an obligor may be considered in more than one grade. As this column deals with an element of the structure of the rating systems, it relates to the original exposures pre conversion factor assigned to each obligor grade or pool without taking into account the effect of CRM techniques (in particular redistribution effects).
Rows	Instructions
010	TOTAL EXPOSURES
015	of which: Exposures subject to SME-supporting factor Only exposures which meet the requirements of Article 501 CRR shall be reported here.
020-060	BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:
020	On balance sheet items subject to credit risk Assets referred to in Article 24 of CRR not included in any other category. Exposures, which are on-balance sheet items and which are included as Securities Financing Transactions, Derivatives & Long Settlement Transactions or from Contractual Cross Product Netting shall be reported in rows 040-060 and, therefore, not reported in this row. Free deliveries according to Article 379(1) of CRR (if not deducted) do not constitute an on-balance sheet item, but nevertheless shall be reported in this row. Exposures arising from assets posted to a CCP according to Article 4(91) of CRR and default fund exposures according to Article 4(89) of CRR shall be included if not reported in row 030.
030	Off balance sheet items subject to credit risk Off-balance sheet positions comprise those items listed in Annex I of CRR. Exposures, which are off-balance sheet items and which are included as Securities Financing Transactions, Derivatives & Long Settlement Transactions or from Contractual Cross Product Netting shall be reported in rows 040-060 and, therefore, not reported in this row. Exposures arising from assets posted to a CCP according to Article 4(91) of CRR and default fund exposures according to Article 4(89) of CRR shall be included if they are considered as off-balance sheet items.
040-060	Exposures/Transactions subject to counterparty credit risk
040	Securities Financing Transactions Securities Financing Transactions (SFT), as defined in paragraph 17 of the Basel Committee document ‘The Application of Basel II to Trading Activities and the Treatment of Double Default Effects’, includes: (i) Repurchase and reverse repurchase agreements defined in Article 4(82) of CRR as well as securities or commodities lending and borrowing transactions and (ii) margin lending transactions as defined in Article 272(3) of CRR. Securities Financing Transactions, which are included in a Cross Product Netting and therefore reported in row 060, shall not be reported in this row.
050	Derivatives and Long Settlement Transactions Derivatives comprise those contracts listed in Annex II of CRR. Derivatives and Long Settlement Transactions which are included in a Cross Product Netting and therefore reported in row 060 shall not be reported in this row.
060	From Contractual Cross Product Netting See CR SA instructions
070	EXPOSURES ASSIGNED TO OBLIGOR GRADES OR POOLS: TOTAL For exposures to corporates, institutions and Central governments and Central Banks see Article 142(1) point (6) and Article 170(1) point (c) of CRR. For retail exposures see Article 170(3) point (b) of CRR. For Exposures arising from purchased receivables see Article 166(6) of CRR. Exposures for dilution risk of purchased receivables shall not be reported by obligor grades or pools and shall be reported in row 180. Where the institution uses a large number of grades or pools, a reduced number of grades or pools to be reported may be agreed with the competent authorities. A master scale is not used. Instead, institutions shall determine the scale to be used themselves.
080	SPECIALIZED LENDING SLOTTING CRITERIA: TOTAL Article 153(5) of CRR. This only applies to the corporates, institutions and central governments and central banks exposure classes.
090 - 150	BREAKDOWN BY RISK WEIGHTS OF TOTAL EXPOSURES UNDER SPECIALIZED LENDING SLOTTING CRITERIA:
120	Of which: In category 1 Article 153(5) table 1 of CRR.
160	ALTERNATIVE TREATMENT: SECURED BY REAL ESTATE Articles 193(1) and (2), 194 (1) to (7) and 230 (3) of CRR.
170	EXPOSURES FROM FREE DELIVERIES APPLYING RISK WEIGHTS UNDER THE ALTERNATIVE TREATMENT OR 100 % AND OTHER EXPOSURES SUBJECT TO RISK WEIGHTS Exposures arising from free deliveries for which the alternative treatment referred to in Article 379(2) first subparagraph, last sentence of CRR is used or for which a 100 % risk weight is applied according to a Article 379(2) last subparagraph of CRR. Unrated nth to default credit derivatives under Article 153(8) of CRR and any other exposure subject to risk weights not included in any other row shall be reported in this row.
180	DILUTION RISK: TOTAL PURCHASED RECEIVABLES See Article 4(53) of CRR for a definition of dilution risk. For calculation of risk weight for dilution risk see Article 157(1) of CRR. According to Article 166(6) of CRR the exposure value of purchased receivables shall be the outstanding amount minus the risk weighted exposure amounts for dilution risk prior to credit risk mitigation.

3.3.4. C 08.02 — Credit and counterparty credit risks and free deliveries: IRB approach to capital requirements (breakdown by obligor grades or pools (CR IRB 2 template)
Column	Instructions
005	Obligor grade (row identifier) This is a row identifier and shall be unique for each row on a particular sheet of the table. It shall follow the numerical order 1, 2, 3, etc.
010-300	Instructions for each of these columns are the same as for the corresponding numbered columns in table CR IRB 1.
Row	Instructions
010-001 – 010-NNN	Values reported in these rows must be in ordered from the lower to the higher according to the PD assigned to the obligor grade or pool. PD of obligors in default shall be 100 %. Exposures subject to the alternative treatment for real estate collateral (only available when not using own estimates for the LGD) shall not be assigned according to the PD of the obligor and not reported in this template.

3.4. CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: INFORMATION WITH GEOGRAPHICAL BREAKDOWN
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’.
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.
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.

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

3.4.1.1. Instructions concerning specific positions
Columns	
010	ORIGINAL EXPOSURE PRE CONVERSION FACTORS Same definition as for column 010 of CR SA template
020	Exposures in default Original exposure pre conversion factors for those exposures which have been classified as ‘defaulted exposures’. This ‘memorandum item’ provides additional information about the obligor structure of the exposure class ‘in default’. Exposures shall be reported where the obligors would have been reported if those exposures were not assigned to the exposure classes ‘in default’. This information is a ‘memorandum item’ – hence does not affect the calculation of risk weighted exposure amounts of exposure class ‘in default’ according to Article 112 point (j) of CRR.
040	Observed new defaults for the period The amount of original exposures which have moved into exposure class ‘Exposures in default’ during the 3-month period since the last reporting reference date shall be reported against the exposure class to which the obligor originally belonged.
050	General credit risk adjustments Credit risk adjustments according to Article 110 of CRR.
055	Specific credit risk adjustments Credit risk adjustments according to Article 110 of CRR.
060	Write-offs Write-offs include both reductions of the carrying of impaired financial assets recognised directly in profit or loss [IFRS 7.B5.(d).(i)] and reductions in the amounts of the allowance accounts charged against the impaired financial assets [IFRS 7.B5.(d).(ii)].
070	Credit risk adjustments/write-offs for observed new defaults Sum of credit risk adjustments and write-offs for those exposures which were classified as ‘defaulted exposures’ during the 3-month period since the last data submission.
075	Exposure value Same definition as for column 200 of CR SA template
080	RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR Same definition as for column 215 of CR SA template
090	RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR Same definition as for column 220 of CR SA template
Rows	
010	Central governments or central banks Article 112 point (a) of CRR.
020	Regional governments or local authorities Article 112 point (b) of CRR.
030	Public sector entities Article 112 point (c) of CRR.
040	Multilateral developments banks Article 112 point (d) of CRR.
050	International organisations Article 112 point (e) of CRR.
060	Institutions Article 112 point (f) of CRR.
070	Corporates Article 112 point (g) of CRR.
075	of which: SME Same definition as for row 020of CR SA template
080	Retail Article 112 point (h) of CRR.
085	of which: SME Same definition as for row 020of CR SA template
090	Secured by mortgages on immovable property Article 112 point (i) of CRR.
095	of which: SME Same definition as for row 020of CR SA template
100	Exposures in default Article 112 point (j) of CRR.
110	Items associated with particularly high risk Article 112 point (k) of CRR.
120	Covered bonds Article 112 point (l) of CRR.
130	Claims on institutions and corporates with a short-term credit assessment Article 112 point (n) of CRR.
140	Collective investments undertakings (CIU) Article 112 point (o) of CRR.
150	Equity exposures Article 112 point (p) of CRR.
160	Other exposures Article 112 point (q) of CRR.
170	Total exposures

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

3.4.2.1. Instructions concerning specific positions
Columns	
010	ORIGINAL EXPOSURE PRE CONVERSION FACTORS Same definition as for column 020 of CR IRB template
030	Of which defaulted Original exposure value for those exposures which have been classified as ‘defaulted exposures’ according to CRR article 178.
040	Observed new defaults for the period The amount of original exposures which have moved into exposure class ‘Exposures in default’ during the 3-month period since the last reporting reference date shall be reported against the exposure class to which the obligor originally belonged.
050	General credit risk adjustments Credit risk adjustments according to Article 110of CRR.
055	Specific credit risk adjustments Credit risk adjustments according to Article 110 of CRR.
060	Write-offs Write-offs include both reductions of the carrying of impaired financial assets recognised directly in profit or loss [IFRS 7.B5.(d).(i)] and reductions in the amounts of the allowance accounts charged against the impaired financial assets [IFRS 7.B5.(d).(ii)].
070	Credit risk adjustments/write-offs for observed new defaults Sum of credit risk adjustments and write-offs for those exposures which were classified as ‘defaulted exposures’ during the 3-month period since the last data submission.
080	INTERNAL RATING SYSTEM/PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%) Same definition as for column 010 of CR IRB template
090	EXPOSURE WEIGHTED AVERAGE LGD (%) Same definition as for column 230 of CR IRB template. Provisions laid down in Article 181(1) point (h) of CRR shall apply. Data shall not be reported for specialized lending exposures referred to in Article 153(5).
100	Of which: defaulted Exposure weighted LGD for those exposures which have been classified as ‘defaulted exposures’ according to Article 178 of CRR.
105	Exposure value Same definition as for column 110 of CR IRB template.
110	RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR Same definition as for column 255 of CR IRB template
120	Of which defaulted Risk weighted exposure amount for those exposures which have been classified as ‘defaulted exposures’ according to Article 178 of CRR.
125	RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR Same definition as for column 260 of CR IRB template
130	EXPECTED LOSS AMOUNT Same definition as for column 280 of CR IRB template
Rows	
010	Central banks and central governments (Article 147(2)(a) CRR)
020	Institutions (Article 147(2) point (b) CRR)
030	Corporates (All corporates according to Article 147(2) point (c).)
040	Of which: Specialized lending (Article 147(8) a CRR) Data shall not be reported for specialized lending exposures referred to in Article 153(5).
050	Of which: SME (Article 147(2) point (c) CRR)
060	Retail All Retail exposures according to Article 147(2) point (d)
070	Retail – Secured by real estate property Exposures reflecting Article 147(2) point (d) CRR which are secured by real estate.
080	SME Retail exposures reflecting Article 147(2) point (d) in conjunction with Article 153(3) CRR which are secured by real estate.
090	non-SME Retail exposures reflecting Article 147(2) point (d) CRR which are secured by real estate.
100	Retail – Qualifying revolving (Article 147(2) point (d) in conjunction with Article 154(4) CRR).
110	Other Retail Other retail exposures according to Article 147(2) point (d) not reported in rows 070 - 100.
120	SME Other retail exposures reflecting Article 147(2) point (d) in conjunction with Article 153(3) CRR.
130	non-SME Other retail exposures reflecting Article 147(2) point (d) CRR.
140	Equity Equity exposures reflecting Article 147(2) point (e) CRR.
150	Total exposures

3.4.3. C 09.04 – Breakdown of credit exposures relevant for the calculation of the countercyclical buffer by country and institution-specific countercyclical buffer rate (CCB)

3.4.3.1. General remarks
81. This table is implemented in order to receive more information regarding the elements of the institution specific countercyclical capital buffer. The information requested refers to the own funds requirements determined in accordance with Part Three, Title II and Title IV of the CRR and the geographical location for credit exposures, securitisation exposures and trading book exposures relevant for the calculation of the institution specific counter-cyclical capital buffer (CCB) in accordance with Article 140 CRD (relevant credit exposures).
82. Information in template C 09.04 is requested for the ‘Total’ of relevant credit exposures across all jurisdictions where these exposures are located and individually for each of the jurisdictions in which relevant credit exposures are located. The total figures as well as the information of each jurisdiction are reported in a separate dimension.
83. The threshold set in Article 5 (a) (4) of this Regulation is not relevant for the reporting of this breakdown.
84. In order to determine the geographical location, the exposures are allocated on an immediate obligor basis as provided for in Commission Delegated Regulation (EU) No 1152/2014 of 4 June 2014 with regard to regulatory technical standards on the identification of the geographical location of the relevant credit exposures for calculating institution-specific countercyclical capital buffer rates. Therefore CRM techniques do not change the allocation of an exposure to its geographical location for the purpose of reporting information set out in this template.

3.4.3.2. Instructions concerning specific positions
Columns	
010	Amount The value of the relevant credit exposures and their associated own-funds requirements determined in accordance with the instructions for the respective row.
020	Percentage
030	Qualitative Information This information shall only be reported for the country of residence of the institution (the jurisdiction corresponding to its home Member State) and the ‘Total’ of all countries. Institutions shall report either {y} or {n} in accordance with the instructions for the relevant row.
Rows	
010-020	Relevant credit exposures – Credit risk Relevant credit exposures defined in accordance with Article 140(4)(a) CRD.
010	Exposure value under the Standardised Approach Exposure value determined in accordance with Article 111 CRR for relevant credit exposures defined in accordance with Article 140(4)(a) CRD. The exposure value of securitisation positions in the banking book under the Standardised Approach shall be excluded from this row and reported in row 050.
020	Exposure value under the IRB Approach Exposure value determined in accordance with Article 166 CRR for relevant credit exposures defined in accordance with Article 140(4)(a) CRD. The exposure value of securitisation positions in the banking book under the IRB Approach shall be excluded from this row and reported in row 060
030-040	Relevant credit exposures – Market risk Relevant credit exposures defined in accordance with Article 140(4)(b) CRD.
030	Sum of long and short positions of trading book exposures for standardised approaches Sum of net long and net short positions according to Article 327 CRR of relevant credit exposures defined in accordance with Article 140(4)(b) CRD under Part Three, Title IV, Chapter 2 CRR: exposures to debt instruments other than securitisation, exposures to securitisation positions in the trading book, exposures to correlation trading portfolios, exposures to equity securities, and exposures to CIUs if capital requirements are calculated according to Article 348 CRR.
040	Value of trading book exposures under internal model approaches For relevant credit exposures defined in accordance with Article 140(4)(b) CRD under Part Three, Title IV, Chapter 2 and Chapter 5 CRR, the sum of the following shall be reported: Fair value of non-derivative positions, that represent relevant credit exposures as defined in Article 140(4)(b) CRD, determined in accordance with Article 104 CRR. Notional value of derivatives, that represent relevant credit exposures as defined in accordance with Article 140(4)(b) CRD.
050-060	Relevant credit exposures – Securitisation positions in the banking book Relevant credit exposures defined in accordance with Article 140(4)(c) CRD.
050	Exposure value of securitisation positions in the banking book under the Standardised Approach Exposure value determined in accordance with Article 246 CRR for relevant credit exposures defined in accordance with Article 140(4)(c) CRD.
060	Exposure value of securitisation positions in the banking book under the IRB Approach Exposure value determined in accordance with Article 246 CRR for relevant credit exposures defined in accordance with Article 140(4)(c) CRD.
070-110	Own funds requirements and weights
070	Total own funds requirements for CCB The sum of rows 080, 090 and 100.
080	Own funds requirements for relevant credit exposures – Credit risk Own funds requirements determined in accordance with Part Three, Title II, Chapter 1 to 4 and Chapter 6 CRR for relevant credit exposures, defined in accordance with Article 140(4)(a) of CRD, in the country in question. Own fund requirements for securitisation positions in the banking book shall be excluded from this row and reported in row 100. The own-funds requirements are 8 % of the risk-weighted exposure amount determined according to the provisions of Part Three, Title II, Chapter 1 to 4 and Chapter 6 of the CRR.
090	Own funds requirements for relevant credit exposures – Market risk Own funds requirements determined in accordance with Part Three, Title IV, Chapter 2 of CRR for specific risk, or in accordance with Part Three, Title IV, Chapter 5 of CRR for incremental default and migration risk for relevant credit exposures, defined in accordance with Article 140(4)(b) of CRD, in the country in question. The own funds requirements for relevant credit exposures under the market risk framework include, among others, the own fund requirements for securitisation positions under Part Three, Title IV, Chapter 2 CRR and the own funds requirements for exposures to Collective Investment Undertakings determined in accordance with Article 348 CRR.
100	Own funds requirements for relevant credit exposures – Securitisation positions in the banking book Own funds requirements determined in accordance with Part Three, Title II, Chapter 5 CRR for relevant credit exposures defined in accordance with Article 140(4)(c) CRD in the country in question. The own-funds requirements are 8 % of the risk-weighted exposure amount determined according to the provisions of Part Three, Title II, Chapter 5 CRR.
110	Own funds requirements weights The weight applied to the countercyclical buffer rate in each country is calculated as a ratio of own fund requirements, determined as follows: 1. Numerator The total own funds requirements that relates to the relevant credit exposures in the country in question [r070; c010 country sheet], 2. Denominator The total own funds requirements that relate to all credit exposures relevant for the calculation of the countercyclical buffer in accordance with Article 140(4) of CRD [r070;c010; ‘Total’]. Information on the Own fund requirements weights shall not be reported for the ‘Total’ of all countries.
120-140	Countercyclical buffer rates
120	Countercyclical capital buffer rate set by the Designated Authority Countercyclical capital buffer rate set for the country in question by the Designated Authority of that country in accordance with Article 136, 137, 138 and 139 CRD. This row should be left empty when no countercyclical buffer rate was set for the country in question by the Designated Authority of that country. Countercyclical capital buffer rates that were set by the Designated Authority, but are not yet applicable in the country in question at the reporting reference date shall not be reported. Information on the Countercyclical capital buffer rate set by the Designated Authority shall not be reported for the ‘Total’ of all countries.
130	Countercyclical capital buffer rate applicable for the country of the institution Countercyclical capital buffer rate applicable for the country in question which was set by the Designated Authority of the country of residence of the institution, in accordance with Article 137, 138, 139 and Article 140(1), (2) and (3) CRD. Countercyclical capital buffer rates that are not yet applicable at the reporting reference date shall not be reported. Information on the Countercyclical capital buffer rate applicable in the country of the institution shall not be reported for the ‘Total’ of all countries.
140	Institution-specific countercyclical capital buffer rate Institution-specific countercyclical capital buffer rate, determined in accordance with Article 140(1) CRD. The institution-specific countercyclical capital buffer rate is calculated as the weighted average of the countercyclical buffer rates that apply in the jurisdictions where the relevant credit exposures of the institution are located or are applied for the purposes of Article 140 by virtue of Article 139(2) or (3) CRD. The relevant countercyclical buffer rate is reported in [r120; c020; country sheet], or [r130; c020; country sheet] as applicable. The weight applied to the countercyclical buffer rate in each country is the share of own funds requirements in total own funds requirements, and is reported in [r110; c020; country sheet]. Information on the institution-specific countercyclical capital buffer rate shall only be reported for the ‘Total’ of all countries and not for each country separately.
150 - 160	Use of the 2 % threshold
150	Use of 2 % threshold for general credit exposure In accordance with Article 2(5)(b) of Commission Delegated Regulation (EU) No 1152/2014, foreign general credit risk exposures, whose aggregate does not exceed 2 % of the aggregate of the general credit, trading book and securitisation exposures of that institution, may be allocated to the institutions’ home Member State. The aggregate of the general credit, trading book and securitisation exposures is calculated by excluding the general credit exposures located in accordance with Article 2(5) point (a) and Article 2(4) of Commission Delegated Regulation (EU) No 1152/2014. If the institution makes use of this derogation, it shall indicate ‘y’ in the table for the jurisdiction corresponding to its home Member State and for the ‘Total’ of all countries. If an institution does not make use of this derogation, it shall indicate ‘n’ in the respective cell.
160	Use of 2 % threshold for trading book exposure In accordance with Article 3(3) of Commission Delegated Regulation (EU) No 1152/2014, institutions may allocate trading book exposures to their home Member State, if the total trading book exposures do not exceed 2 % of their total general credit, trading book and securitisation exposures. If the institution makes use of this derogation, it shall indicate ‘y’ in the table for the jurisdiction corresponding to its home Member State and for the ‘Total’ of all countries. If an institution does not make use of this derogation, it shall indicate ‘n’ in the respective cell.

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

3.5.1. General remarks
85. The CR EQU IRB template consists of two templates: CR EQU IRB 1 provides a general overview of IRB exposures of the equity exposure class and the different methods to calculate total risk exposure amounts. CR EQU IRB 2 provides a breakdown of total exposures assigned to obligor grades in the context of the PD/LGD approach. ‘CR EQU IRB’ refers to both ‘CR EQU IRB 1’ and ‘CR EQU IRB 2’ templates, as applicable, in the following instructions.
86. The CR EQU IRB template provides information on the calculation of risk weighted exposure amounts for credit risk (Article 92(3) point (a) of CRR) according to the IRB method (Part Three, Title II, Chapter 3 of CRR) for equity exposures referred to in Article 147(2) point (e) of CRR.

87. According to Article 147(6) of CRR, the following exposures shall be assigned to the equity exposure class:
a) non-debt exposures conveying a subordinated, residual claim on the assets or income of the issuer; or
b) debt exposures and other securities, partnerships, derivatives, or other vehicles, the economic substance of which is similar to the exposures specified in point (a).
88. Collective investment undertakings treated according to the simple risk weight approach as referred to in Article 152 of CRR shall also be reported in the CR EQU IRB template.

89. In accordance with Article 151(1) of CRR, institutions shall provide the CR EQU IRB template when applying one of the three approaches referred to in Article 155 of CRR:
the Simple Risk Weight approach,
the PD/LGD approach, or
the Internal Models approach.
Moreover, institutions applying the IRB approach shall also report in the CR EQU IRB template 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))).

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

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

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

3.6. C 11.00 – SETTLEMENT/DELIVERY RISK (CR SETT)

3.6.1. General remarks
92. This template requests information on both trading and non-trading book transactions which are unsettled after their due delivery dates, and their corresponding own funds requirements for settlement risk according to Articles 92(3) point (c) ii) and 378 of CRR.
93. Institutions report in the CR SETT template information on the settlement/delivery risk in connection with debt instruments, equities, foreign currencies and commodities held in their trading or non-trading book.
94. According to Article 378 of CRR, repurchase transactions, securities or commodities lending and securities or commodities borrowing in connection with debt instruments, equities, foreign currencies and commodities are not subject to settlement/delivery risk. Note however that, derivatives and long settlement transactions unsettled after their due delivery dates are nevertheless subject to own funds requirements for settlement/delivery risk as determined in Article 378 of CRR.
95. In the case of unsettled transactions after the due delivery date, institutions calculate the price difference to which they are exposed. This is the difference between the agreed settlement price for the debt instrument, equity, foreign currency or commodity in question and its current market value, where the difference could involve a loss for the institution.
96. Institutions multiply this difference by the appropriate factor of Table 1 of Article 378 of CRR to determine the corresponding own funds requirements.
97. According to Article 92(4) Point (b), the own funds requirements for settlement/delivery risk shall be multiplied by 12.5 to calculate the risk exposure amount.
98. Note that own funds requirements for free deliveries as laid down in Article 379 of CRR are not within the scope of the CR SETT template; the latter shall be reported in the credit risk templates (CR SA, CR IRB).

3.6.2. Instructions concerning specific positions
Columns	
010	UNSETTLED TRANSACTIONS AT SETTLEMENT PRICE In accordance with Article 378 of CRR, institutions report in this column 010 the unsettled transactions after their due delivery date at the respective agreed settlement prices. All unsettled transactions shall be included in this column 010, irrespective of whether or not they are at a gain or at a loss after the due settlement date.
020	PRICE DIFFERENCE EXPOSURE DUE TO UNSETTLED TRANSACTIONS In accordance with Article 378 of CRR, institutions report in column 020 the price difference between the agreed settlement price and its current market value for the debt instrument, equity, foreign currency or commodity in question, where the difference could involve a loss for the institution. Only unsettled transactions at a loss after the due settlement date shall be reported in column 020
030	OWN FUNDS REQUIREMENTS Institutions report in column 030 the own funds requirements calculated in accordance with Article 378 of CRR.
040	TOTAL SETTLEMENT RISK EXPOSURE AMOUNT In accordance with Article 92(4) point (b) of CRR, institutions multiply their own funds requirements reported in column 030 by 12.5 in order to obtain the settlement risk exposure amount.
Rows	
010	Total unsettled transactions in the Non-trading Book Institutions report in row 010 aggregated information in relation with settlement/delivery risk for non-trading book positions (in accordance with Articles 92(3) point (c) ii) and 378 of CRR). Institutions report in 010/010 the aggregated sum of unsettled transactions after their due delivery dates at the respective agreed settlement prices. Institutions report in 010/020 the aggregated information for price difference exposure due to unsettled transactions at a loss. Institutions report in 010/030 the aggregated own funds requirements derived from summing the own funds requirements for unsettled transactions by multiplying the ‘price difference’ reported in column 020 by the appropriate factor based on the number of working days after due settlement date (categories referred to in Table 1 of Article 378 of CRR).
020 to 060	Transactions unsettled up to 4 days (Factor 0 %) Transactions unsettled between 5 and 15 days (Factor 8 %) Transactions unsettled between 16 and 30 days (Factor 50 %) Transactions unsettled between 31 and 45 days (Factor 75 %) Transactions unsettled for 46 days or more (Factor 100 %) Institutions report the information in relation with settlement/delivery risk for non-trading book positions according to the categories referred to in Table 1 of Article 378 of CRR in rows 020 to 060. No own funds requirements for settlement/delivery risk are required for transactions unsettled less than 5 working days after the due settlement date.
070	Total unsettled transactions in the Trading Book Institutions report in row 070 aggregated information in relation with settlement/delivery risk for trading book positions (in accordance with Articles 92(3) point (c) ii) and 378 of CRR). Institutions report in 070/010 the aggregated sum of unsettled transactions after their due delivery dates at the respective agreed settlement prices. Institutions report in 070/020 the aggregated information for price difference exposure due to unsettled transactions at a loss. Institutions report in 070/030 the aggregated own funds requirements derived from summing the own funds requirements for unsettled transactions by multiplying the ‘price difference’ reported in column 020 by an appropriate factor based on the number of working days after due settlement date (categories referred to in Table 1 of Article 378 of CRR).
080 to 120	Transactions unsettled up to 4 days (Factor 0 %) Transactions unsettled between 5 and 15 days (Factor 8 %) Transactions unsettled between 16 and 30 days (Factor 50 %) Transactions unsettled between 31 and 45 days (Factor 75 %) Transactions unsettled for 46 days or more (Factor 100 %) Institutions report the information in relation with settlement/delivery risk for trading book positions according to the categories referred to in Table 1 of Article 378 of CRR in rows 080 to 120. No own funds requirements for settlement/delivery risk are required for transactions unsettled less than 5 working days after the due settlement date.

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

3.7.1. General remarks
99. 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.
100. The CR SEC SA template gathers joint information on both traditional and synthetic securitisations held in the banking book, as defined in Article 242(10) and (11) of CRR, respectively.

3.7.2. Instructions concerning specific positions
Columns	
010	TOTAL AMOUNT OF SECURITISATION EXPOSURES ORIGINATED Originator institutions must report the outstanding amount at the reporting date of all current securitisation exposures originated in the securitisation transaction, irrespective of who holds the positions. As such, on-balance sheet securitisation exposures (e.g. bonds, subordinated loans) as well as off-balance sheet exposures and derivatives (e.g. subordinated credit lines, liquidity facilities, interest rate swaps, credit default swaps, etc.) that have been originated in the securitisation shall be reported. In the case of traditional securitisations where the originator does not hold any position, then the originator shall not consider that securitisation in the reporting of the CR SEC SA or CR SEC IRB templates. For this purpose securitisation positions held by the originator include early amortisation provisions in a securitisation of revolving exposures, as defined under Article 242(12) of CRR.
020-040	SYNTHETIC SECURITISATIONS: CREDIT PROTECTION TO THE SECURITISED EXPOSURES Following the provisions in Articles 249 and 250 of CRR the credit protection to the securitised exposures shall be as if there was no maturity mismatch.
020	(-) FUNDED CREDIT PROTECTION (CVA) The detailed calculation procedure of the volatility-adjusted value of the collateral (CVA) which is expected to be reported in this column is established in Article 223(2) of CRR.
030	(-) TOTAL OUTFLOWS: UNFUNDED CREDIT PROTECTION ADJUSTED VALUES (G*) Following the general rule for ‘inflows’ and ‘outflows’ the amounts reported under this column shall appear as ‘inflows’ in the corresponding credit risk template (CR SA or CR IRB) and exposure class relevant for the protection provider (i.e. the third party to which the tranche is transferred by means of unfunded credit protection) The calculation procedure of the ‘foreign exchange risk’- adjusted nominal amount of the credit protection (G*) is established in Article 233(3) of CRR.
040	NOTIONAL AMOUNT RETAINED OR REPURCHASED OF CREDIT PROTECTION All tranches which have been retained or bought back, e.g. retained first loss positions, shall be reported with their nominal amount. The effect of supervisory haircuts in the credit protection shall not be taken into account when computing the retained or repurchased amount of credit protection.
050	SECURITISATION POSITIONS: ORIGINAL EXPOSURE PRE CONVERSION FACTORS Securitisation positions held by the reporting institution, calculated according to Article 246(1)(a), (c) and (e), and (2) of CRR, without applying credit conversion factors and any credit risk adjustments and provisions. Netting only relevant with respect to multiple derivative contracts provided to the same SSPE, covered by eligible netting agreement. Value adjustments and provisions to be reported in this column only refer to securitisation positions. Value adjustments of securitised positions are not considered. In case of early amortization clauses, institutions must specify the amount of ‘originator’s’ interest’ as defined in Article 256(2) of CRR. In synthetic securitisations, the positions held by the originator in the form of on-balance sheet items and/or investor’s interest (early amortisation) shall be the result of the aggregation of columns 010 to 040.
060	(-) VALUE ADJUSTMENTS AND PROVISIONS Value adjustments and provisions (Article 159 of CRR) for credit losses made in accordance with the accounting framework to which the reporting entity is subject. Value adjustments include any amount recognized in profit or loss for credit losses of financial assets since their initial recognition in the balance sheet (including losses due to credit risk of financial assets measured at fair value that shall not be deducted from the exposure value) plus the discounts on exposures purchased when in default according to Article 166(1) of CRR. Provisions include accumulated amounts of credit losses in off-balance sheet items.
070	EXPOSURE NET OF VALUE ADJUSTMENTS AND PROVISIONS Securitisation positions according to Article 246(1) and (2) of CRR, without applying conversion factors. This piece of information is related to column 040 of the CR SA Total template.
080-110	CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE Article 4(57) and Part Three, Title II, Chapter 4 of CRR. This block of columns gathers information on credit risk mitigation techniques that reduce the credit risk of an exposure or exposures via the substitution of exposures (as indicated below for Inflows and Outflows). See CR SA instructions (Reporting of CRM techniques with substitution effect).
080	(-) UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (GA) Unfunded credit protection is defined in Article 4(59) and regulated in Article 235 of CRR. See CR SA instructions (Reporting of CRM techniques with substitution effect).
090	(-) FUNDED CREDIT PROTECTION Funded credit protection is defined in Article 4(58) and regulated in Articles 195, 197 and 200 of CRR. Credit linked notes and on-balance sheet netting according to Articles 218-236 of CRR are treated as cash collateral. See CR SA instructions (Reporting of CRM techniques with substitution effect).
100-110	SUBSTITUTION OF THE EXPOSURE DUE TO CRM: Inflows and outflows within the same exposure classes and, when relevant, risk weights or obligor grades shall also be reported.
100	(-) TOTAL OUTFLOWS Articles 222(3) and 235 (1) and (2). Outflows correspond to the covered part of the ‘Exposure net of value adjustments and provisions’, that is deducted from the obligor’s exposure class and, when relevant, risk weight or obligor grade, and subsequently assigned to the protection provider’s exposure class and, when relevant, risk weight or obligor grade. This amount shall be considered as an Inflow into the protection provider’s exposure class and, when relevant, risk weights or obligor grades. This piece of information is related to column 090 [(-) Total Outflows] of the CR SA Total template.
110	TOTAL INFLOWS Securitisation positions which are debt securities and are eligible financial collateral according to Article 197(1) of CRR and where the Financial Collateral Simple Method is used, shall be reported as inflows in this column. This piece of information is related to column 100 (Total Inflows) of the CR SA Total template.
120	NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS Exposure assigned in the corresponding risk weight and exposure class after taking into account outflows and inflows due to ‘Credit risk mitigation (CRM) techniques with substitution effects on the exposure’. This piece of information is related to column 110 of the CR SA Total template.
130	(-) CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE AMOUNT OF THE EXPOSURE: FUNDED CREDIT PROTECTION FINANCIAL COLLATERAL COMPREHENSIVE METHOD ADJUSTED VALUE (CVAM) This item also includes credit linked notes (Article 218 of CRR). This piece of information is related to columns 120 and 130 of the CR SA Total template.
140	FULLY ADJUSTED EXPOSURE VALUE (E*) Securitisation positions according to Article 246 of CRR, therefore without applying the conversion figures laid down in Article 246(1) point (c) of CRR. This piece of information is related to column 150 of the CR SA Total template.
150-180	BREAKDOWN OF THE FULLY ADJUSTED EXPOSURE VALUE (E*) OF OFF BALANCE SHEET ITEMS ACCORDING TO CONVERSION FACTORS Article 246(1) point (c) of CRR foresees that the exposure value of an off-balance sheet securitisation position shall be its nominal value multiplied by a conversion factor. This conversion figure shall be 100 % unless otherwise specified in the CRR. See columns 160 to 190 of the CR SA Total template. For reporting purposes, fully adjusted exposure values (E*) shall be reported according to the following four mutually exclusive intervals of conversion factors: 0 %, [0 %, 20 %], [20 %, [50 %] and [50 %, 100 %].
190	EXPOSURE VALUE Securitisation positions according to Article 246 of CRR. This piece of information is related to column 200 of the CR SA Total template.
200	(-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS Article 258 of CRR envisages that in case of a securitisation position in respect of which a 1 250 % risk weight is assigned, institutions may, as an alternative to including the position in their calculation of risk-weighted exposure amounts, deduct from own funds the exposure value of the position.
210	EXPOSURE VALUE SUBJECT TO RISK WEIGHTS Exposure value minus the exposure value deducted from own funds.
220-320	BREAKDOWN OF EXPOSURE VALUE SUBJECT TO RISK WEIGHTS ACCORDING TO RISK WEIGHTS
220-260	RATED Article 242(8) of CRR defines rated positions. Exposure values subject to risk weights are broken down according to credit quality steps (CQS) as envisaged for the SA in Article 251 (Table 1) of CRR.
270	1 250 % (UNRATED) Article 242(7) of CRR defines unrated positions.
280	LOOK-THROUGH Articles 253, 254 and 256(5) of CRR. The look-through columns comprise all the cases of unrated exposures where the risk weight is obtained from the underlying portfolio of exposures (average risk weight of the pool, highest risk weight of the pool, or the use of a concentration ratio).
290	LOOK-THROUGH — OF WHICH: SECOND LOSS IN ABCP Exposure value subject to the treatment of securitisation positions in a second loss tranche or better in an ABCP programme is set in 254 of CRR. Article 242(9) of CRR defines Asset-backed commercial paper (ABCP) programme.
300	LOOK-THROUGH OF WHICH: AVERAGE RISK WEIGHT (%) Exposure value weighted average risk weight shall be provided.
310	INTERNAL ASSESSMENT APPROACH (IAA) Articles 109(1) and 259 (3) of CRR. Exposure value of securitisation positions under the internal assessment approach.
320	IAA: AVERAGE RISK WEIGHT (%) Exposure value weighted average risk weight shall be provided.
330	RISK-WEIGHTED EXPOSURE AMOUNT Total risk-weighted exposure amount calculated according to Part Three, Title II, Chapter 5, Section 3 of CRR, prior to adjustments due to maturity mismatches or infringement of due diligence provisions, and excluding any risk weighted exposure amount corresponding to exposures redistributed via outflows to another template.
340	OF WHICH: SYNTHETIC SECURITISATIONS For synthetic securitisations, the amount to be reported in this column shall ignore any maturity mismatch.
350	OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONS Articles 14(2), 406(2) and 407 of CRR require that whenever certain requirements in Articles 405, 406 or 409 of CRR are not met by the institution, Member States shall ensure that the competent authorities impose a proportionate additional risk weight of no less than 250 % of the risk weight (capped at 1 250 %) which would apply to the relevant securitisation positions under Part Three, Title II, Chapter 5, Section 3 of CRR. Such an additional risk weight may not only be imposed to investor institutions, but also to originators, sponsors and original lenders.
360	ADJUSTMENT TO THE RISK WEIGHTED EXPOSURE AMOUNT DUE TO MATURITY MISMATCHES For maturity mismatches in synthetic securitisations RW*-RW(SP), as defined in Article 250 of CRR, shall be included, except in the case of tranches subject to a risk weighting of 1 250 % where the amount to be reported is zero. Note that RW(SP) not only includes the risk weighted exposure amounts reported under column 330 but also the risk weighted exposure amounts corresponding to exposures redistributed via outflows to other templates.
370-380	TOTAL RISK-WEIGHTED EXPOSURE AMOUNT: BEFORE CAP/AFTER CAP Total risk-weighted exposure amount calculated according to Part Three, Title II, Chapter 5, Section 3 of CRR, before (column 370)/after (column 380) applying the limits specified in Articles 252 -securitisation of items currently in default or associated with particular high risk items- or 256 (4) -additional own funds requirements for securitisations of revolving exposures with early amortisation provisions- of CRR.
390	MEMORANDUM ITEM: RISK WEIGHTED EXPOSURE AMOUNT CORRESPONDING TO THE OUTFLOWS FROM THE SA SECURITISATION TO OTHER EXPOSURE CLASSES Risk weighted exposure amount stemming from exposures redistributed to the risk mitigant provider, and therefore computed in the corresponding template, that are considered in the computation of the cap for securitisation positions.
101. The CR SEC SA template is divided into three major blocks of rows which gather data on the originated/sponsored/retained or purchased exposures by originators, investors and sponsors. For each of them, the information is broken down by on-balance sheet items and off-balance sheet items and derivatives as well as by securitisations and re-securitisations.

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

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

3.8.1. General remarks
103. 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.
104. The information to be reported is contingent on the role of the institution as for the securitisation. As such, specific reporting items are applicable for originators, sponsors and investors.
105. The CR SEC IRB template has the same scope as the CR SEC SA, it gathers joint information on both traditional and synthetic securitisations held in the banking book.

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

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

3.9. C 14.00 – DETAILED INFORMATION ON SECURITISATIONS (SEC DETAILS)

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

109. This template is to be reported for:
a. Securitisations originated/sponsored by the reporting institution in case it holds at least one position in the securitisation. This means that, regardless of whether there has been a significant risk transfer or not, institutions shall report information on all the positions they hold (either in the banking book or trading book). Positions held include those positions retained due to Article 405 of CRR.
b. Securitisations originated/sponsored by the reporting institution during the year of report, in case it holds no position.
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).
c. Securitisations, the ultimate underlying of which are financial liabilities originally issued by the reporting institution and (partially) acquired by a securitisation vehicle. This underlying could include covered bonds or other liabilities and shall be identified as such in column 160.
d. Positions held in securitisations where the reporting institution is neither originator nor sponsor (i.e. investors and original lenders).
110. This template shall be reported by consolidated groups and stand alone institutions located in the same country where they are subject to own funds requirements. In case of securitisations involving more than one entity of the same consolidated group, the entity-by-entity detail breakdown shall be provided.
‘Stand alone institutions’ are neither part of a group, nor consolidate themselves in the same country where they are subject to own funds requirements.
111. On account of Article 406(1) of CRR, which establishes that institutions investing in securitisation positions shall acquire a great deal of information on them in order to comply with due diligence requirements the reporting scope of the template is applied to a limited extent to investors. In particular, they shall report columns 010-040; 070-110; 160; 190; 290-400; 420-470.
112. Institutions playing the role of original lenders (not performing also the role of originators or sponsors in the same securitisation) shall generally report the template to the same extent as investors.

3.9.2. Instructions concerning specific positions
Columns	
005	ROW NUMBER The row number is a row identifier and shall be unique for each row in the table. It shall follow the numerical order 1, 2, 3, etc.
010	INTERNAL CODE Internal (alpha-numerical) code used by the institution to identify the securitisation. The internal code shall be associated to the identifier of the securitisation.
020	IDENTIFIER OF THE SECURITISATION (Code/Name) Code used for the legal registration of the securitisation or, if not available, the name by which the securitisation is known in the market. When the International Securities Identification Number -ISIN- is available (i.e. for public transactions) the characters that are common to all tranches of the securitisation shall be reported in this column.
030	IDENTIFIER OF THE ORIGINATOR (Code/Name) The code given by the supervisory authority to the originator or, if not available, the name of the institution itself shall be reported for this column. In the case of multi-seller securitisations the reporting entity shall provide the identifier of all the entities within its consolidated group that are involved (as originator, sponsor or original lender) in the transaction. Whenever the code is not available or is not known by the reporting entity, the name of the institution shall be reported.
040	SECURITISATION TYPE: (TRADITIONAL/SYNTHETIC) Report the following abbreviations: ‘T’ for Traditional; ‘S’ for Synthetic. The definitions of ‘traditional securitisation’ and ‘synthetic securitisation’ is provided in Article 242(10) and (11) of CRR.
050	ACCOUNTING TREATMENT: SECURITISED EXPOSURES ARE KEPT OR REMOVED FROM THE BALANCE SHEET? Originators, sponsors and original lenders shall report one of the following abbreviations: ‘K’ if entirely recognised ‘P’ if partially derecognised ‘R’ if entirely derecognised ‘N’ if not applicable. This column summarises the accounting treatment of the transaction. In case of synthetic securitisations, originators shall report that securitised exposures are removed from the balance sheet. In case of the securitisations of liabilities originators shall not report this column. Option ‘P’ (partially removed) shall be reported when the securitised assets are recognized in the balance sheet to the extent of the reporting entity’ continuing involvement as regulated in IAS 39.30-35.
060	SOLVENCY TREATMENT: SECURITISATION POSITIONS SUBJECT TO OWN FUNDS REQUIREMENTS? Originators, only, shall report the following abbreviations: ‘N’ not subject to own funds requirements; ‘B’ banking book; ‘T’ trading book; ‘A’ partly in both books. Articles 109, 243 and 244 of CRR. This column summarises the solvency treatment of the securitisation scheme by the originator. It indicates whether own funds requirements are computed according to securitised exposures or securitisation positions (banking book/trading book). If own funds requirements are based on securitised exposures (for not being significant risk transfer) the computation of own funds requirements for credit risk shall be reported in the CR SA template, in case the Standardised Approach is used, or in the CR IRB template, in case the Internal Ratings Based Approach is used by the institution. Conversely, if own funds requirements are based on securitisation positions held in the banking book (for being significant risk transfer) the computation of own funds requirements for credit risk shall be reported in the CR SEC SA template or in the CR SEC IRB template. In the case of securitisation positions held in the trading book the computation of own funds requirements for market risk shall be reported in the MKR SA TDI (standardised general position risk) and in the MKR SA SEC or MKR SA CTP (standardised specific position risk) or in the MKR IM (internal models) templates. In the case of the securitisations of liabilities originators shall not report this column.
070	SECURITISATION OR RE-SECURITISATION? According to definitions of ‘securitisation’ and ‘re-securitisation’ are provided in Article 4(1)(61) and (62) to (64) of CRR, report the type of underlying using the following abbreviations: ‘S’ for securitisation; ‘R’ for re-securitisation.
080-100	RETENTION Articles 404 to 410 of CRR.
080	TYPE OF RETENTION APPLIED For each securitisation scheme originated, it shall be reported the relevant type of retention of net economic interest, as envisaged in Article 405 of CRR: A Vertical slice (securitisation positions): ‘retention of no less than 5 % of the nominal value of each of the tranches sold or transferred to the investors’. V Vertical slice (securitised exposures): retention of no less than 5 % of the credit risk of each of the securitised exposures, if the credit risk thus retained with respect to such securitised exposures always ranks pari passu with, or is subordinated to, the credit risk that has been securitised with respect to those same exposures. B Revolving exposures:‘in the case of securitisations of revolving exposures, retention of the originator’s interest of no less than 5 % of the nominal value of the securitised exposures’. C On-balance sheet: ‘retention of randomly selected exposures, equivalent to no less than 5 % of the nominal amount of the securitised exposures, where such exposures would otherwise have been securitised in the securitisation, provided that the number of potentially securitised exposures is no less than 100 at origination’. D First loss: ‘retention of the first loss tranche and, if necessary, other tranches having the same or a more severe risk profile than those transferred or sold to investors and not maturing any earlier than those transferred or sold to investors, so that the retention equals in total no less than 5 % of the nominal value of the securitised exposures’. E Exempted. This code shall be reported for those securitisations affected by provisions in Article 405(3) of CRR. N Not applicable. This code shall be reported for those securitisations affected by provisions in Article 404 of CRR. U In breach or unknown. This code shall be reported when the reporting does not know with certain which type of retention is being applied or in case of non-compliance.
090	% OF RETENTION AT REPORTING DATE The retention of material net economic interest by the originator, sponsor or original lender of the securitisation shall be no less than 5 % (at origination date). Notwithstanding Article 405(1) of CRR, measurement of retention at origination can typically be interpreted as being when the exposures were first securitised, and not when the exposures were first created (for instance, not when the underlying loans were first extended). Measurement of retention at origination means that 5 % is the retention percentage that is required at the point in time when such retention level was measured and the requirement fulfilled (for instance, when the exposures were first securitised); dynamic re-measurement and readjustment of the retained percentage throughout the life of the transaction is not required. This column shall not be reported in case codes ‘E’ (exempted) or ‘N’ (not applicable) are reported under column 080 (Type of retention applied).
100	COMPLIANCE WITH THE RETENTION REQUIREMENT? Article 405(1) of CRR. Report the following abbreviations: Y Yes; N No. This column shall not be reported in case codes ‘E’ (exempted) or ‘N’ (not applicable) are reported under column 080 (Type of retention applied).
110	ROLE OF THE INSTITUTION: (ORIGINATOR/SPONSOR/ORIGINAL LENDER/INVESTOR) Report the following abbreviations: ‘O’ for Originator; ‘S’ for Sponsor; ‘L’ for Original Lender; ‘I’ for Investor. See definitions in Article 4(1)(13) (Originator) and Article 4(1)(14) (Sponsor) of CRR. Investors are assumed to be those institutions to which provisions in Articles 406 and 407of CRR apply.
120-130	NON ABCP PROGRAMS Because of their special character because they comprise of several single securitisation positions, ABCP programs (defined in Article 242(9) of CRR) are exempted from reporting in columns 120 and 130.
120	ORIGINATION DATE (mm/yyyy) The month and year of the origination date (i.e. cut-off or closing date of the pool) of the securitisation shall be reported according to the following format: ‘mm/yyyy’. For each securitisation scheme the origination date cannot change between reporting dates. In the particular case of securitisation schemes backed by open pools, the origination date shall be the date of the first issuance of securities. This piece of information shall be reported even when the reporting entity does not hold any positions in the securitisation.
130	TOTAL AMOUNT OF SECURITISED EXPOSURES AT ORIGINATION DATE This column gathers the amount (according to original exposures pre conversion factors) of the securitised portfolio at the origination date. In case of securitisation schemes backed by open pools the amount referring to the origination date of the first issuance of securities shall be reported. In the case of traditional securitisations no other assets of the securitisation pool shall be included. In the case of multi-seller securitisation schemes (i.e. with more than one originator) only the amount corresponding to the reporting entity’s contribution in the securitised portfolio shall be reported. In the case of the securitisation of liabilities only the amounts issued by the reporting entity shall be reported. This piece of information shall be reported even when the reporting entity does not hold any positions in the securitisation.
140-220	SECURITISED EXPOSURES Columns 140 to 220 request information on several features of the securitised portfolio by the reporting entity.
140	TOTAL AMOUNT Institutions shall report the value of the securitised portfolio at reporting date, i.e. the outstanding amount of the securitised exposures. In the case of traditional securitisations no other assets of the securitisation pool shall be included. In the case of multi-seller securitisation schemes (i.e. with more than one originator) only the amount corresponding to the reporting entity’s contribution in the securitised portfolio shall be reported. In the case of securitisation schemes backed by closed pools (i.e. the portfolio of securitised assets cannot be enlarged after the origination date) the amount will progressively be reduced. This piece of information shall be reported even when the reporting entity does not hold any positions in the securitisation.
150	INSTITUTION’S SHARE (%) It shall be reported the institution’s share (percentage with two decimals) at reporting date in the securitised portfolio. The figure to be reported in this column is, by default, 100 % except for multi-seller securitisation schemes. In that case the reporting entity shall report its current contribution to the securitised portfolio (equivalent to column 140 in relative terms). This piece of information shall be reported even when the reporting entity does not hold any positions in the securitisation.
160	TYPE This column gathers information on the type of assets (‘1’ to ‘8’) or liabilities (‘9’ and ‘10’) of the securitised portfolio. The institution must report one of the following number codes: 1 Residential mortgages; 2 Commercial mortgages; 3 Credit card receivables; 4 Leasing; 5 Loans to corporates or SMEs (treated as corporates); 6 Consumer loans; 7 Trade receivables; 8 Other assets; 9 Covered bonds; 10 Other liabilities. In case the pool of securitised exposures is a mix of the previous types, the institution shall indicate the most important type. In case of re-securitisations, the institution shall refer to the ultimate underlying pool of assets. Type ‘10’ (Other liabilities) includes treasury bonds and credit linked notes. For securitisation schemes backed by closed pools the type cannot change between reporting dates.
170	APPROACH APPLIED (SA/IRB/MIX) This column gathers information on the approach that at reporting date the institution would apply to the securitised exposures. Report the following abbreviations: — ‘S’ for Standardised Approach; — ‘I’ for Internal Ratings Based Approach; — ‘M’ for a combination of both approaches (SA/IRB). If under SA, ‘P’ is reported in column 050 then the computation of own funds requirements shall be reported in the CR SEC SA template. If under IRB, ‘P’ is reported in column 050 then the computation of own funds requirements shall be reported in the CR SEC IRB template. If under combination of SA and IRB, ‘P’ is reported in column 050 then the computation of own funds requirements shall be reported in both the CR SEC SA and CR SEC IRB templates. This piece of information shall be reported even when the reporting entity does not hold any positions in the securitisation. Nevertheless, this column does not apply to securitisations of liabilities. Sponsors shall not report this column.
180	NUMBER OF EXPOSURES Article 261(1) of CRR. This column is only compulsory for those institutions using the IRB approach to the securitisation positions (and, therefore, reporting ‘I’ in column 170). The institution shall report the effective number of exposures. This column shall not be reported in case of securitisation of liabilities or when the own funds requirements are based on the securitised exposures (in case of securitisation of assets). This column shall not be fulfilled when the reporting entity does not hold any positions in the securitisation. This column shall not be fulfilled by investors.
190	COUNTRY Report the code (ISO 3166-1 alpha-2) of the country of origin of the ultimate underlying of the transaction, i.e. the country of the immediate obligor of the original securitised exposures (look through). In case the pool of the securitisation consists of different countries, the institution shall indicate the most important country. If no country exceeds a 20 % threshold based on the amount of assets/liabilities, then ‘OT’ (other) shall be reported.
200	ELGD (%) The exposure-weighted average loss-given-default (ELGD) shall only be reported by those institutions applying the Supervisory Formula Method (and, therefore, reporting ‘I’ in column 170). The ELGD is to be calculated as indicated in Article 262(1) of CRR. This column shall not be reported in case of securitisation of liabilities or when the own funds requirements are based on the securitised exposures (in case of securitisation of assets). This column shall not be fulfilled either when the reporting entity does not hold any positions in the securitisation. Sponsors shall not report this column.
210	(-) VALUE ADJUSTMENTS AND PROVISIONS Value adjustments and provisions (Article 159 of CRR) for credit losses made in accordance with the accounting framework to which the reporting entity is subject. Value adjustments include any amount recognized in profit or loss for credit losses of financial assets since their initial recognition in the balance sheet (including losses due to credit risk of financial assets measured at fair value that shall not be deducted from the exposure value) plus the discounts on exposures purchased when in default according to Article 166(1) of CRR. Provisions include accumulated amounts of credit losses in off-balance sheet items. This column gathers information on the value adjustments and provisions applied to the securitised exposures. This column shall not be reported in case of securitisation of liabilities. This piece of information shall be reported even when the reporting entity does not hold any positions in the securitisation. Sponsors shall not report this column.
220	OWN FUNDS REQUIREMENTS BEFORE SECURITISATION (%) This column gathers information on the own funds requirements of the securitised portfolio in case there had been no securitisation plus the expected losses related to those risks (Kirb), as a percentage (with two decimals) on the total of securitised exposures at origination date. Kirb is defined in Article 242(4) of CRR. This column shall not be reported in case of securitisation of liabilities. In case of the securitisation of assets, this piece of information shall be reported even when the reporting entity does not hold any positions in the securitisation. Sponsors shall not report this column.
230-300	SECURITISATION STRUCTURE This block of six columns gathers information on the structure of the securitisation according to on/off balance sheet positions, tranches (senior/mezzanine/first loss) and maturity. In the case of multi-seller securitisations, for the first loss tranche only the amount corresponding or attributed to the reporting institution shall be reported.
230-250	ON-BALANCE SHEET ITEMS This block of columns gathers information on on-balance sheet items broken down by tranches (senior/mezzanine/first loss).
230	SENIOR All tranches that do not qualify as mezzanine or first loss shall be included in this category.
240	MEZZANINE See Articles 243(3) (traditional securitisations) and 244 (3) (synthetic securitisations) of CRR.
250	FIRST LOSS First loss tranche is defined in Article 242(15) of CRR.
260-280	OFF-BALANCE SHEET ITEMS AND DERIVATIVES This block of columns gathers information on off-balance sheet items and derivatives broken down by tranches (senior/mezzanine/first loss). The same criteria of classification among tranches used for on-balance sheet items shall be applied here.
290	FIRST FORESEEABLE TERMINATION DATE The likely termination date of the whole securitisation in the light of its contractual clauses and the currently expected financial conditions. Generally, it would be the earliest of the following dates: (i) the date when a clean-up call (defined in Article 242(2) of CRR) might first be exercised taking into account the maturity of the underlying exposure(s) as well as their expected pre-payment rate or potential re-negotiation activities; (ii) the date on which the originator may first exercise any other call option embedded in the contractual clauses of the securitisation which would result in the total redemption of the securitisation. The day, month and year of the first foreseeable termination date shall be reported. The exact day shall be reported if this data is available, otherwise the first day of the month shall be reported.
300	LEGAL FINAL MATURITY DATE The date upon which all principal and interest of the securitisation must be legally repaid (based on the transaction documentation). The day, month and year of the legal final maturity date shall be reported. The exact day shall be reported if this data is available, otherwise the first day of the month shall be reported.
310-400	SECURITISATION POSITIONS: ORIGINAL EXPOSURE PRE CONVERSION FACTORS This block of columns gathers information on the securitisation positions according to on/off balance sheet positions and the tranches (senior/mezzanine/first loss) at reporting date.
310-330	ON-BALANCE SHEET ITEMS The same criteria of classification among tranches used for on-balance sheet items shall be applied here.
340-360	OFF-BALANCE SHEET ITEMS AND DERIVATIVES The same criteria of classification among tranches used for off-balance sheet items shall be applied here.
370-400	MEMORANDUM ITEMS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES This block of columns gathers additional information on the total off-balance sheet items and derivatives (which are already reported under a different breakdown in columns 340-360).
370	DIRECT CREDIT SUBSTITUTES (DCS) This column applies to those securitisation positions held by the originator and guaranteed with direct credit substitutes (DCS). According to Annex I of CRR the following full risk off-balance sheet items are regarded as DCS: Guarantees having the character of credit substitutes. Irrevocable standby letters of credit having the character of credit substitutes.
380	IRS/CRS IRS stands for Interest Rate Swaps, whereas CRS stands for Currency Rate Swaps. These derivatives are listed in Annex II of CRR.
390	ELIGIBLE LIQUIDITY FACILITIES Liquidity facilities (LF), defined in Article 242(3) of CRR must satisfy a list of six conditions established in Article 255(1) of CRR to be considered as eligible (regardless of the method applied by the institution -SA or IRB-).
400	OTHER (INCLUDING NON-ELIGIBLE LF) This column is devoted to remaining off-balance sheet items such as non-eligible liquidity facilities (i.e. those LF that do not meet the conditions listed in Article 255(1) of CRR).
410	EARLY AMORTISATION: CONVERSION FACTOR APPLIED Articles 242(12) and 256(5) (SA) and Article 265(1) (IRB) of CRR envisage a set of conversion factors to be applied to amount of the investors’ interest (in order to calculate risk-weighted exposure amounts). This column applies to securitisation schemes with early amortisation clauses (i.e. revolving securitisations). According to Article 256(6) of CRR, the conversion figure to be applied shall be determined by the level of the actual three month average excess spread. In the case of the securitisations of liabilities this column shall not be reported. This piece of information is related to row 100 in CR SEC SA and row 160 in the CR SEC IRB template.
420	(-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS This piece of information is closely related to column 200 in the CR SEC SA template and column 180 in the CR SEC IRB template. A negative figure shall be reported in this column.
430	TOTAL RISK WEIGHTED EXPOSURE AMOUNT BEFORE CAP This column gathers information on the risk weighted exposure amount before cap applicable to the securitisation positions (i.e. in case of securitisation schemes with significant risk transfer). In case of securitisation schemes without significant risk transfer (i.e. risk weighted exposure amount computed according securitised exposures) no data shall be reported in this column. In the case of the securitisations of liabilities this column shall not be reported.
440	TOTAL RISK WEIGHTED EXPOSURE AMOUNT AFTER CAP This column gathers information on the risk weighted exposure amount after cap applicable to the securitisation positions (i.e. in case of securitisation schemes with significant risk transfer). In case of securitisation schemes without significant risk transfer (i.e. own funds requirements computed according securitised exposures) no data shall be reported in this column. In the case of the securitisations of liabilities this column shall not be reported.
450-510	SECURITISATION POSITIONS — TRADING BOOK
450	CTP OR NON-CTP? Report the following abbreviations: C Correlation Trading Portfolio (CTP); N Non-CTP
460-470	NET POSITIONS — LONG/SHORT See columns 050/060 of MKR SA SEC or MKR SA CTP, respectively.
480	TOTAL OWN FUNDS REQUIREMENTS (SA) - SPECIFIC RISK See column 610 of MKR SA SEC, or column 450 of MKR SA CTP, respectively.

4. OPERATIONAL RISK TEMPLATES

4.1. C 16.00 – OPERATIONAL RISK (OPR)

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

4.1.2. Instructions concerning specific positions
Columns	
010 – 030	RELEVANT INDICATOR Institutions using the relevant indicator to calculate the own funds requirement for operational risk (BIA, TSA and ASA) report relevant indicator for the respective years in columns 010 to 030. Moreover, in the case of a combined use of different approaches as referred in Article 314 of CRR, institutions also report, for information purposes, relevant indicator for the activities subject to AMA. It is also the case for all other AMA banks. Hereafter, the term ‘relevant indicator’ refers to ‘the sum of the elements’ at the end of the financial year as defined in Article 316 point 1, Table1 of CRR. If the institution has less than 3 years of data on ‘relevant indicator’ available, the available historical data (audited figures) shall be assigned by priority to the corresponding columns in the table. If, for instance, historical data for only one year is available, it shall be reported in column 030. If it seems reasonable, the forward looking estimates shall then be included in column 020 (estimate of next year) and column 010 (estimate of year +2). Furthermore if there are no historical data on ‘relevant indicator’ available the institution may use forward-looking business estimates.
040 - 060	LOANS AND ADVANCES (IN THE CASE OF ASA APPLICATION) These columns shall be used to report the amounts of the loans and advances for business lines ‘Commercial banking’ and ‘Retail banking’, as referred to in Article 319(1) point (b) of CRR. These amounts shall be used to calculate the alternative relevant indicator that leads to the own funds requirements corresponding to the activities subject to ASA (Article 319(1) point (a) of CRR). For the ‘commercial banking’ business line, securities held in the non-trading book shall also be included.
070	OWN FUND REQUIREMENT The own fund requirement is calculated according to the approach used, following Articles 312 to 324 of CRR The resulting amount is reported in column 070.
071	TOTAL OPERATIONAL RISK EXPOSURE AMOUNT Article 92(4) of CRR. Own funds requirements in column 070 multiplied by 12.5.
080	OF WHICH: DUE TO AN ALLOCATION MECHANISM Article 18(1) of CRR (related to the inclusion, in the application referred to in Article 312(2) of CRR) of the methodology used for allocating operational risk capital between the different entities of the group and of whether and how diversification effects are intended to be factored in the risk measurement system used by a EU parent credit institution and its subsidiaries or jointly by the subsidiaries of an EU parent financial holding company or EU parent mixed financial holding company.
090 - 120	AMA MEMORANDUM ITEMS TO BE REPORTED IF APPLICABLE
090	OWN FUNDS REQUIREMENT BEFORE ALLEVIATION DUE TO EXPECTED LOSS, DIVERSIFICATION AND RISK MITIGATION TECHNIQUES The own funds requirement reported in column 090 is the one of column 070 but calculated before taking into account the alleviation effects due to expected loss, diversification and risk mitigation techniques (see below).
100	(-) ALLEVIATION OF OWN FUNDS REQUIREMENTS DUE TO THE EXPECTED LOSS CAPTURED IN BUSINESS PRACTICES In column 100 the alleviation of own funds requirements due to expected loss captured in internal business practices (as referred to in Article 322(2) point (a) of CRR) is reported.
110	(-) ALLEVIATION OF OWN FUNDS REQUIREMENTS DUE TO DIVERSIFICATION The diversification effect in column 110 is the difference between the sum of own funds requirements calculated separately for each operational risk class (i.e. a ‘perfect dependence’ situation) and the diversified own funds requirement calculated by taking into account correlations and dependencies (i.e. assuming less than ‘perfect dependence’ between the risk classes). The ‘perfect dependence’ situation occurs in the ‘default case’, that is when the institution does not use explicit correlations structure between the risk classes, hence the AMA capital is computed as the sum of the individual operational risk measures of the chosen risk classes. In this case the correlation between the risk classes is assumed of 100 % and the value in the column has to be set to zero. Conversely, when the institution computes an explicit correlations structure between risk classes, it has to include in this column the difference between the AMA capital as stemming from the ‘default case’ and that obtained after applying the correlations structure between the risk classes. The value reflects the ‘diversification capacity’ of the AMA model, that is the ability of the model to capture the not simultaneous occurrence of severe operational risk loss events. In the column 110 the amount by which the assumed correlation structure decreases the AMA capital relative to the assumption of 100 % correlation has to be reported.
120	(-) ALLEVIATION OF OWN FUNDS REQUIREMENT DUE TO RISK MITIGATION TECHNIQUES (INSURANCE AND OTHER RISK TRANSFER MECHANISMS) In column 120 the impact of insurance and other risk transfer mechanisms according to Article 323(1) to (5) of CRR is reported.
Rows	
010	BANKING ACTIVITIES SUBJECT TO BASIC INDICATOR APPROACH (BIA) This row shall present the amounts corresponding to activities subject to the BIA to calculate the own funds requirement for operational risk (Articles 315 and 316 of CRR).
020	BANKING ACTIVITIES SUBJECT TO STANDARISED (TSA)/ALTERNATIVE STANDARDISED (ASA) APPROACHES The own funds requirement calculated according to the TSA and ASA (Articles 317 to 319 of CRR) shall be reported.
030 - 100	SUBJECT TO TSA In the case of using the TSA, relevant indicator for each respective year shall be distributed in rows 030 to 100 amongst the business lines defined in Article 317, Table 2 of CRR. The mapping of activities into business lines shall follow the principles described in Article 318 of CRR.
110 - 120	SUBJECT TO ASA Institutions using the ASA (Article 319 of CRR) shall report for the respective years the relevant indicator separately for each business line in the rows 030 to 050 and 080 to 100 and in the rows 110 and 120 for business lines ‘Commercial banking’ and ‘Retail banking’. Rows 110 and 120 shall present the amount of relevant indicator of activities subject to ASA distinguishing between those corresponding to the business line ‘Commercial banking’ and those corresponding to the business line ‘Retail banking’ (Article 319 of CRR). There can be amounts for the rows corresponding to ‘Commercial banking’ and ‘Retail banking’ under the TSA (rows 060 and 070) as well as under the ASA rows 110 and 120 (e.g. if a subsidiary is subject to TSA whereas the parent entity is subject to ASA).
130	BANKING ACTIVITIES SUBJECT TO ADVANCED MEASUREMENT APPROACHES AMA The relevant data for AMA institutions (Article 312 point 2 and Article 321 to 323 of CRR) shall be reported. In the case of combined use of different approaches as indicated in Article 314 of CRR, information on relevant indicator for activities subject to AMA shall be reported. It is also the case for all other AMA banks.

4.2. C 17.00 – OPERATIONAL RISK: LOSSES AND RECOVERIES BY BUSINESS LINES AND EVENT TYPES IN THE LAST YEAR (OPR DETAILS)

4.2.1. General Remarks
119. 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.
120. ‘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.
121. ‘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.
122. ‘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.
123. ‘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).
124. The Number of events is the number of operational risk events accounted for the first time within the reporting period.

125. The Total loss amount is the algebraic sum of the following elements:
i. The gross loss amounts pertinent to operational risk events ‘accounted for the first time’ within the reporting period (e.g. direct charges, provisions, settlements);
ii. 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
iii. 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.
126. 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.
127. The Maximum single loss is the largest single amount among those included in 124.i or 124.ii above.
128. 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.
129. 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.
130. 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).
131. 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.
132. 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.
133. 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.
134. 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.
135. 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.
136. This template shall be reported by institutions using AMA or TSA/ASA for the calculation of their own funds requirements.
137. 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’.

138. 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:
(a) number of events (row 910);
(b) total loss amount (row 920);
(c) maximum single loss (row 930);
(d) sum of the five largest losses (row 940) and
(e) total loss recovery (row 950).

4.2.2. Instructions concerning specific positions
Columns	
010 -070	EVENT TYPES Institutions report the losses in the respective columns 010 to 070 according to the event types as defined in Article 324 of CRR. Institutions that calculate their own funds requirement according to TSA or ASA can report the losses for which the event type is not identified in column 080.
080	TOTAL EVENT TYPES In column 080, for each business line, institutions report the total ‘number of events’, the total of ‘total loss amount’ and the total of ‘total loss recovery’ as the simple aggregation of the number of loss events, the total gross loss amounts and the total loss recovery amounts reported in columns 010 to 070. The ‘maximum single loss’ in column 080 is the maximum of the ‘maximum single gross losses’ reported in columns 010 to 070. For the sum of the five largest losses, in column 080 the sum of the five largest losses within one business line is reported.
090 - 100	MEMORANDUM ITEM: THRESHOLD APPLIED IN DATA COLLECTION Institutions report in the columns 090 and 100 the minimum loss thresholds they are using for the internal loss data collection in accordance with Article 322(3) point (c) of CRR, last sentence of CRR. If the institution applies only one threshold for in each business line, only the column 090 shall be filled in. In the case where there are different thresholds applied within the same regulatory business line, then the highest applicable threshold (column 100) shall be filled in as well.
Rows	
010 - 850	BUSINESS LINES: CORPORATE FINANCE, TRADING AND SALES, RETAIL BROKERAGE, COMMERCIAL BANKING, RETAIL BANKING, PAYMENT AND SETTLEMENT, AGENCY SERVICES, ASSET MANAGEMENT, CORPORATE ITEMS For each business line as defined in Article 317(4) table 2 of CRR, including the additional business line ‘Corporate items’ as referred to in Article 322(3) point (b) of CRR, and for each event type, the institution shall report, according to the internal thresholds the following information: number of events, total loss amount, maximum single loss, sum of the five largest losses and total loss recovery. For a loss event that affects more than one business line the ‘total loss amount’ is distributed among all the affected business lines.
910 - 950	TOTAL BUSINESS LINES For each event type (column 010 to 080), the following information (Article 322(3) points b), c) and e) of CRR on total business lines (rows 910 to 950) has to be reported: Number of events (row 910): the number of events above the internal threshold by event types for the total business lines shall be reported. This figure may be lower than the aggregation of the number of events by business lines since the events with multiple impacts (impacts in different business lines) shall be considered as one. Number of events. Of which, ≥ 10,000 and < 20,000, ≥ 20,000 and < 100,000, ≥ 100,000 and < 1 000 000, ≥ 1 000 000 (rows 911 to 914): the number of internal events included in the ranges defined in the pertinent rows shall be reported. Total loss amount (row 920): the total loss amount is the simple aggregation of the total loss amount for each business line. Total loss amount, Of which, ≥ 10,000 and < 20,000, ≥ 20,000 and < 100,000, ≥ 100,000 and < 1 000 000, ≥ 1 000 000 (rows 921 to 924): the total loss amount included in the ranges defined in the pertinent rows shall be reported. Maximum single loss (row 930): the maximum single loss is the maximum loss over the internal threshold for each event type and amongst all business lines. These figures may be higher than the highest single loss recorded in each business line if an event impacts different business lines. Sum of the five largest losses (row 940): the sum of the five largest gross losses for each event type and amongst all business lines is reported. This sum may be higher than the highest sum of the five largest losses recorded in each business line. This sum has to be reported regardless the number of losses. Total loss recovery (row 950): the total loss recovery is the simple aggregation of the total loss recovery for each business line.
910-950/080	TOTAL BUSINESS LINES — TOTAL EVENT TYPES Number of events: for each row from 910 to 914, the number of events is equal to the horizontal aggregation of the number of events in the corresponding row, given that in those figures the events with impacts in different business lines shall have already been considered as one event. The number in row 910 shall not necessarily be equal to the vertical aggregation of the number of events which are included in column 080, given that one event can have an impact in different business lines simultaneously. Total loss amount: for each row from 920 to 924, the total loss amount is equal to both the horizontal aggregation of total loss amounts by event type in the corresponding row. The total loss amount in row 920 is equal to the vertical aggregation of total loss amounts by business line in column 080. Maximum single loss: as previously mentioned, when an event has impact in different business lines, it may be that the amount for ‘Maximum single loss’ in ‘Total Business lines’ for that particular event type is higher than the amounts of ‘Maximum single loss’ in each business line. Hence, the amount in this cell shall be equal to the highest of the values of ‘Maximum single loss’ in ‘Total Business lines’, which may not necessarily be equal to the highest value of ‘Maximum single loss’ across business lines in column 080. Sum of the five largest losses: it is the sum of the five largest losses in the whole matrix, which means that it may not necessarily be equal to neither the maximum value of ‘sum of the five largest losses’ in ‘Total Business lines’ nor the maximum value of ‘sum of the five largest losses’ in column 080. Total loss recovery: it is equal to both the horizontal aggregation of total loss recoveries by event type in row 950 and the vertical aggregation of total loss recoveries by business line in column 080.

5. MARKET RISK TEMPLATES
139. 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.
140. 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.

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

5.1.1. General Remarks
141. 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..
142. The template has to be filled out separately for the ‘Total’, plus a pre-defined list of following currencies: EUR, ALL, BGN, CZK, DKK, EGP, GBP, HRK, HUF, ISK, JPY, MKD, NOK, PLN, RON, RUB, RSD, SEK, CHF, TRY, UAH, USD and one residual template for all other currencies.

5.1.2. Instructions concerning specific positions
Columns	
010 - 020	ALL POSITIONS (LONG AND SHORT) Articles 102 and 105 (1) of CRR. These are gross positions not netted by instruments but excluding underwriting positions subscribed or sub-underwritten by third parties (Article 345 second sentence of CRR). Regarding the distinction between Long and Short positions, also applicable to these gross positions, see Article 328(2) of CRR.
030 – 040	NET POSITIONS (LONG AND SHORT) Articles 327 to 329 and 334 of CRR. Regarding the distinction between Long and Short positions see Article 328(2) of CRR.
050	POSITIONS SUBJECT TO CAPITAL CHARGE Those net positions that, according to the different approaches considered in Part 3 Title IV Chapter 2 of CRR, receive a capital charge.
060	OWN FUNDS REQUIREMENTS The capital charge for any relevant position according to Part 3 Title IV Chapter 2 of CRR.
070	TOTAL RISK EXPOSURE AMOUNT Article 92(4) lit. b of CRR. Result of the multiplication of the own funds requirements by 12.5.
Rows	
010 – 350	TRADED DEBT INSTRUMENTS IN TRADING BOOK Positions in traded debt instruments in Trading Book and their correspondent own funds requirements for position risk according to Article 92(3) point (b) (i) CRR and Part 3 Title IV Chapter 2 of CRR are reported depending on risk category, maturity and approach used.
011	GENERAL RISK.
012	Derivatives Derivatives included in the calculation of interest rate risk of trading book positions taking into account Articles 328 to 331, if applicable.
013	Other assets and liabilities Instruments other than derivatives included in the calculation of interest rate risk of trading book positions.
020-200	MATURITY BASED APPROACH Positions in traded debt instruments subject to the maturity-based approach according to Article 339(1) to (8) of CRR and the correspondent own funds requirements set up in Article 339(9) of CRR. The position shall be split by zones 1, 2 and 3 and these by the maturity of the instruments.
210 - 240	GENERAL RISK. DURATION BASED APPROACH Positions in traded debt instruments subject to the duration-based approach according to Article 340(1) to (6) of CRR and the correspondent own funds requirements set up in Article 340(7) of CRR. The position shall be split by zones 1, 2 and 3.
250	SPECIFIC RISK Sum of amounts reported in rows 251, 325 and 330. Positions in traded debt instruments subject to the specific risk capital charge and their correspondent capital charge according to Article 92(3) lit. b and 335, 336 (1) to (3), 337 and 338 of CRR. Be also aware of last sentence in Article 327(1) of CRR.
251 - 321	Own funds requirement for non-securitisation debt instruments Sum of the amounts reported in rows 260 to 321. The own funds requirement of the n-th to default credit derivatives which are not rated externally has to be computed by summing up the risk weights of the reference entities (Article 332(1) point (e) para 1 and 2 CRR – ‘look-through’). N-th-to-default credit derivatives which are rated externally (Article 332(1) point (e) para 3 CRR) shall be reported separately in line 321. Reporting of positions subject to Article 336(3) CRR: There is a special treatment for bonds which qualify for a 10 % risk weight in the banking book according to Article 129(3) CRR (covered bonds). The specific own funds requirements is half of the percentage of the second category of table 1 of Article 336 CRR. Those positions have to be assigned to rows 280-300 according to the residual term to final maturity. If the general risk of interest rate positions is hedged by a credit derivative, Articles 346 and 347 shall be applied.
325	Own funds requirement for securitisation instruments Total own funds requirements reported in column 610 of template MKR SA SEC. It shall only be reported on Total level of the MKR SA TDI.
330	Own funds requirement for the correlation trading portfolio Total own funds requirements reported in column 450 of template MKR SA CTP. It shall only be reported on Total level of the MKR SA TDI.
350 - 390	ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS) Article 329(3) of CRR. The additional requirements for options related to non-delta risks shall be reported in the method used for its calculation.

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

5.2.1. General Remarks
143. 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.
144. 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.
145. 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.

5.2.2. Instructions concerning specific positions
Columns	
010 - 020	ALL POSITIONS (LONG AND SHORT) Articles 102 and 105 (1) of CRR in connection with Article 337 of CRR (securitisation positions). Regarding the distinction between Long and Short positions, also applicable to these gross positions, see Article 328(2) of CRR.
030 - 040	(-) POSITIONS DEDUCTED FROM OWN FUNDS (LONG AND SHORT) Article 258 of CRR.
050 - 060	NET POSITIONS (LONG AND SHORT) Articles 327 to 329 and 334 of CRR. Regarding the distinction between Long and Short positions see Article 328(2) of CRR.
070 - 520	BREAKDOWN OF THE NET POSITIONS ACCORDING TO RISK WEIGHTS Articles 251 (Table 1) and 261 (1) (Table 4) of CRR. The breakdown has to be done separately for long and short positions.
230-240 and 460-470	1 250 % Articles 251 (Table 1) and 261 (1) (Table 4) of CRR.
250-260 and 480-490	SUPERVISORY FORMULA METHOD Article 337(2) of CRR in connection with Article 262 of CRR. These columns shall be reported when the institutions uses the alternative Supervisory Formula Approach (SFA), which determines the own funds requirements as a function of the characteristics of the collateral pool and contractual properties of the tranche.
270 and 500	LOOK THROUGH SA: Articles 253, 254 and 256 (5) of CRR. The look-through columns comprise all the cases of unrated exposures where the risk weight is obtained from the underlying portfolio of exposures (average risk weight of the pool, highest risk weight of the pool, or the use of a concentration ratio). IRB: Articles 263(2) and (3) of CRR. For early amortisations see Article 265(1) and 256 (5) of CRR.
280-290/510-520	INTERNAL ASSESSMENT APPROACH Article 109(1) sentence 2 and Article 259(3) and (4) of CRR. These columns shall be reported when the institution uses the internal assessment approach for determining capital charges for liquidity facilities and credit enhancements that banks (including third-party banks) extend to ABCP conduits. The IAA, based on ECAI’s methodologies, is applicable only to exposures to ABCP conduits that have an internal rating equivalent of investment-grade at inception.
530 - 540	OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONS Article 337(3) of CRR in connection with Article 407 of CRR. Article 14(2) of CRR
550 - 570	BEFORE CAP — WEIGHTED NET LONG/SHORT POSITIONS AND SUM OF WEIGHTED NET LONG AND SHORT POSITIONS Article 337 of CRR without taking into account the discretion of Article 335 of CRR, that allows an institution to cap the product of the weight and the net position at the maximum possible default-risk related loss.
580 - 600	AFTER CAP — WEIGHTED NET LONG/SHORT POSITIONS AND SUM OF WEIGHTED NET LONG AND SHORT POSITIONS Article 337 of CRR taking into account the discretion of Article 335 of CRR.
610	TOTAL OWN FUNDS REQUIREMENTS According to Article 337(4) of CRR for a transitional period ending 31 December 2014, the institution shall sum separately its weighted net long positions (column 580) and its weighted net short positions (column 590). The larger of those sums (after cap) shall constitute the own funds requirement. From 2015 onwards according to Article 337(4) of CRR, the institution shall sum its weighted net positions, regardless whether they are long or short (column 600), in order to calculate the own funds requirements.
Rows	
010	TOTAL EXPOSURES Total amount of outstanding securitisations (held in the trading book) reported by the institution playing the role/s of originator and/or investor and/or sponsor.
040,070 and 100	SECURITISATIONS Article 4(61) and (62) of CRR.
020,050, 080 and110	RE-SECURITISATIONS Article 4(63) of CRR.
030-050	ORIGINATOR Article 4(13) of CRR
060-080	INVESTOR Credit institution that holds a securitisation positions in a securitisation transaction for which it is neither originator nor sponsor
090-110	SPONSOR Article 4(14) of CRR. If a sponsor is also securitising it own assets, it shall fill in the originator’s rows with the information regarding its own securitised assets
120-210	BREAKDOWN OF THE TOTAL SUM OF WEIGHTED NET LONG AND NET SHORT POSITIONS BY UNDERLYING TYPES Article 337(4), last sentence of CRR. The breakdown of the underlying assets follows the classification used in the SEC Details template (Column ‘Type’): 1–residential mortgages; 2–commercial mortgages; 3–credit card receivables; 4–leasing; 5–loans to corporates or SMEs (treated as corporates); 6–consumer loans; 7–trade receivables; 8–other assets; 9–covered bonds; 10–other liabilities. For each securitisation, in case the pool consists of different types of assets, the institution shall consider the most important type.

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

5.3.1. General Remarks
146. 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.
147. 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.
148. 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’.
149. 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.

5.3.2. Instructions concerning specific positions
Columns	
010 - 020	ALL POSITIONS (LONG AND SHORT) Articles 102 and 105 (1) of CRR in connection with positions assigned to the Correlation Trading Portfolio according to Article 338(2) and (3) of CRR. Regarding the distinction between Long and Short positions, also applicable to these gross positions, see Article 328(2) of CRR.
030 - 040	(-) POSITIONS DEDUCTED FROM OWN FUNDS (LONG AND SHORT) Article 258 of CRR.
050 - 060	NET POSITIONS (LONG AND SHORT) Articles 327 to 329 and 334 of CRR. Regarding the distinction between Long and Short positions see Article 328(2) of CRR.
070 - 400	BREAKDOWN OF THE NET POSITIONS ACCORDING TO RISK WEIGHTS (SA AND IRB) Articles 251 (Table 1) and 261 (1) (Table 4) of CRR.
160 and 330	OTHER Other risk weights not explicitly mentioned in the previous columns. For n-th-to-default credit derivatives only those which are not externally rated. Externally rated n-th to default credit derivatives are either to be reported in the MKR SA TDI template (row 321) or – if they are incorporated into the CTP – shall be assigned to the column of the respective risk weight.
170 - 180 and 360 - 370	1 250 % Articles 251 (Table 1) and 261 (1) (Table 4) of CRR.
190 - 200 and 340 - 350	SUPERVISORY FORMULA METHOD Article 337(2) of CRR in connection with Article 262 of CRR.
210/380	LOOK THROUGH SA: Articles 253, 254 and 256 (5) of CRR. The look-through columns comprise all the cases of unrated exposures where the risk weight is obtained from the underlying portfolio of exposures (average risk weight of the pool, highest risk weight of the pool, or the use of a concentration ratio). IRB: Articles 263(2) and (3) of CRR. For early amortisations see Article 265(1) and 256 (5) of CRR.
220 – 230 and 390 - 400	INTERNAL ASSESSMENT APPROACH Article 259(3) and (4) of CRR.
410 -420	BEFORE CAP — WEIGHTED NET LONG/SHORT POSITIONS Article 338 without taking into account the discretion of Article 335 of CRR.
430 – 440	AFTER CAP — WEIGHTED NET LONG/SHORT POSITIONS Article 338 taking into account the discretion of Article 335 of CRR.
450	TOTAL OWN FUNDS REQUIREMENTS The own funds requirement is determined as the larger of either (i) the specific risk charge that would apply just to the net long positions (column 430) or (ii) the specific risk charge that would apply just to the net short positions (column 440).
Rows	
010	TOTAL EXPOSURES Total amount of outstanding positions (held in the correlation trading portfolio) reported by the institution playing the role/s of originator, investor or sponsor.
020-040	ORIGINATOR Article 4(13) of CRR
050-070	INVESTOR Credit institution that holds a securitisation positions in a securitisation transaction for which it is neither originator nor sponsor
080-100	SPONSOR Article 4(14) of CRR. If a sponsor is also securitising it own assets, it shall fill in the originator’s rows with the information regarding its own securitised assets
030,060 and 090	SECURITISATIONS The correlation trading portfolio comprises securitisations, n-th-to-default credit derivatives and possibly other hedging positions that meet the criteria set in Article 338(2) and (3) of CRR. Derivatives of securitisation exposures that provide a pro-rata share as well as positions hedging CTP positions shall be included in row ‘Other CTP positions’.
110	N-TH-TO-DEFAULT CREDIT DERIVATIVES N-th to default credit derivatives that are hedged by n-th-to-default credit derivatives according to Article 347 CRR shall both be reported here. The positions originator, investor and sponsor do not fit for n-th to default credit derivatives. As a consequence, the breakdown as for securitisation positions cannot be provided for n-th to default credit derivatives.
040,070, 100 and120	OTHER CTP POSITIONS The positions in: Derivatives of securitisation exposures that provide a pro-rata share as well as positions hedging CTP positions shall be included in row ‘Other CTP positions; CTP positions hedged by credit derivatives according to Article 346 CRR; Other positions that satisfy Article 338(3) of CRR; are included.

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

5.4.1. General Remarks
150. 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.
151. 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’ (except for countries belonging to the Euro Area, see Commission Delegated Regulation (EU) No 525/2014).

5.4.2. Instructions concerning specific positions
Columns	
010 – 020	ALL POSITIONS (LONG AND SHORT) Articles 102 and 105 (1) of CRR. These are gross positions not netted by instruments but excluding underwriting positions subscribed or sub-underwritten by third parties (Article 345 second sentence of CRR).
030 – 040	NET POSITIONS (LONG AND SHORT) Articles 327, 329, 332, 341 and 345 of CRR.
050	POSITIONS SUBJECT TO CAPITAL CHARGE Those net positions that, according to the different approaches considered in Part 3 Title IV Chapter 2 of CRR, receive a capital charge. The capital charge has to be calculated for each national market separately. Positions in stock-index futures according to the second sentence of Article 344(4) CRR shall not be included in this column.
060	OWN FUNDS REQUIREMENTS The capital charge for any relevant position according to Part 3 Title IV Chapter 2 of CRR.
070	TOTAL RISK EXPOSURE AMOUNT Article 92(4) lit. b of CRR. Result of the multiplication of the own funds requirements by 12.5.
Rows	
010 - 130	EQUITIES IN TRADING BOOK Own funds requirements for position risk according to Article 92(3) point (b) (i) CRR and Part 3 Title IV Chapter 2 Section 3 of CRR.
020 – 040	GENERAL RISK Positions in equities subject to general risk (Article 343 of CRR) and their correspondent own funds requirement according to Part 3 Title IV Chapter 2 Section 3 of CRR. Both breakdowns (021/022 as well as 030/040) are a breakdown related to all positions subject to general risk. Rows 021 and 022 requests information on the breakdown according to instruments. Only the breakdown in rows 030 and 040 is used as a basis for the calculation of own funds requirements.
021	Derivatives Derivatives included in the calculation of equity risk of trading book positions taking into account Articles 329 and 332, if applicable.
022	Other assets and liabilities Instruments other than derivatives included in the calculation of equity risk of trading book positions.
030	Exchange traded stock-index futures broadly diversified and subject to a particular approach Exchange traded stock-index futures broadly diversified and subject to a particular approach according to Article 344(1) and (4) of CRR. These positions are only subject to general risk and, accordingly, must not be reported in row (050).
040	Other equities than exchange traded stock-index futures broadly diversified Other positions in equities subject to specific risk and the correspondent own funds requirements according to Article 343 and 344 (3) of CRR.
050	SPECIFIC RISK Positions in equities subject to specific risk and the correspondent own funds requirement according to Articles 342 and 344 (4) CRR.
090 - 130	ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS) Article 329(2) and (3) of CRR. The additional requirements for options related to non-delta risks shall be reported in the method used for its calculation.

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

5.5.1. General Remarks
152. 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.
153. 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.

5.5.2. Instructions concerning specific positions
Columns	
020-030	ALL POSITIONS (LONG AND SHORT) Gross positions due to assets, amounts to be received and similar items referred to in Article 352(1) of CRR. According to Article 352(2) and subject to permission from competent authorities, positions taken to hedge against the adverse effect of the exchange rate on their ratios in accordance with Article 92(1) and positions related to items that are already deducted in the calculation of own funds shall not be reported.
040-050	NET POSITIONS (LONG AND SHORT) Articles 352(3) and (4), first and second sentences, and 353 of CRR. The net positions are calculated by each currency, accordingly there may be simultaneous long and short positions.
060-080	POSITIONS SUBJECT TO CAPITAL CHARGE Articles 352(4), third sentence, 353 and 354 of CRR.
060-070	POSITIONS SUBJECT TO CAPITAL CHARGE (LONG AND SHORT) The long and short net positions for each currency are calculated by deducting the total of short positions from the total of long positions. Long net positions for each operation in a currency are added to obtain the long net position in that currency. Short net positions for each operation in a currency are added to obtain the short net position in that currency. Unmatched positions are added to positions subject to capital charges for other currencies (row 030) in column (060) or (070) depending on their short or long arrangement.
080	POSITIONS SUBJECT TO CAPITAL CHARGE (MATCHED) Matched positions for closely correlated currencies
	RISK CAPITAL CHARGE (%) As defined in Articles 351 and 354, the risk capital charges in percentage.
090	OWN FUNDS REQUIREMENTS The capital charge for any relevant position according to Part 3 Title IV Chapter 3 of CRR.
100	TOTAL RISK EXPOSURE AMOUNT Article 92(4) lit. b of CRR. Result of the multiplication of the own funds requirements by 12.5.
Rows	
010	TOTAL POSITIONS IN NON REPORTING CURRENCIES Positions in non-reporting currencies and their correspondent own funds requirements according to Article 92(3) point (c) (i) and Article 352(2) and (4) of CRR (for conversion into the reporting currency).
020	CURRENCIES CLOSELY CORRELATED Positions and their correspondent own funds requirements for currencies referred to in Article 354 of CRR.
030	ALL OTHER CURRENCIES (including CIU's treated as different currencies) Positions and their correspondent own funds requirements for currencies subject to the general procedure referred to in Articles 351 and 352 (2) and (4) of CRR. Reporting of CIU's treated as separate currencies according to Article 353 CRR: There are two different treatments of CIU's treated as separate currencies for calculating the capital requirements: 1. The modified gold method, if the direction of the CIU's investment is not available (those CIU's shall be added to an institution's overall net foreign-exchange position) 2. If the direction of the CIU's investment is available, those CIU's shall be added to the total open foreign exchange position (long or short, depending on the direction of the CIU) The reporting of those CIU's follows the calculation of the capital requirements accordingly.
040	GOLD Positions and their correspondent own funds requirements for currencies subject to the general procedure referred to in Articles 351 and 352 (2) and (4) of CRR.
050 - 090	ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS) Article 352(5) and (6) of CRR. The additional requirements for options related to non-delta risks shall be reported in the method used for its calculation.
100-120	Breakdown of total positions (reporting currency included) by exposure types Total positions shall be broken down according to derivatives, other assets and liabilities and off-balance sheet items.
100	Other assets and liabilities other than off-balance sheet items and derivatives Positions not included in row 110 or 120 shall be included here.
110	Off-balance sheet items Items included in Annex I of CRR except those included as Securities Financing Transactions & Long Settlement Transactions or from Contractual Cross Product Netting.
120	Derivatives Positions valued according to Articles 352 CRR.
130-480	MEMORANDUM ITEMS: CURRENCY POSITIONS 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.

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

5.6.1. General Remarks
154. This template request information on the positions in commodities and the corresponding own funds requirements treated under the standardised approach.

5.6.2. Instructions concerning specific positions
Columns	
010 - 020	All POSITIONS (LONG AND SHORT) Gross long/short positions considered positions in the same commodity according to Article 357(1) and (4) of CRR (see also Article 359(1) of CRR).
030 – 040	NET POSITIONS (LONG AND SHORT) As defined in Article 357(3) of CRR.
050	POSITIONS SUBJECT TO CAPITAL CHARGE Those net positions that, according to the different approaches considered in Part 3 Title IV Chapter 4 of CRR, receive a capital charge.
060	OWN FUNDS REQUIREMENTS The capital charge for any relevant position according to Part 3 Title IV Chapter 4 of CRR.
070	TOTAL RISK EXPOSURE AMOUNT Article 92(4) lit. b of CRR. Result of the multiplication of the own funds requirements * 12.5.
Rows	
010	TOTAL POSITIONS IN COMMODITIES Positions in commodities and their correspondent own funds requirements for market risk according to Article 92(3) point (c) (iii) CRR and Part 3 Title IV Chapter 4 of CRR.
020 – 060	POSITIONS BY CATEGORY OF COMMODITY For reporting purposes commodities are grouped in the four main groups of commodities referred to in Table 2 of Article 361 CRR.
070	MATURITY LADDER APPROACH Positions in commodities subject to the Maturity Ladder approach as referred to in Article 359 of CRR.
080	EXTENDED MATURITY LADDER APPROACH Positions in commodities subject to the Extended Maturity Ladder approach as referred to in Article 361 of CRR
090	SIMPLIFIED APPROACH Positions in commodities subject to the Simplified approach as referred to in Article 360 of CRR.
100-140	ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS) Article 358(4) of CRR. The additional requirements for options related to non-delta risks shall be reported in the method used for its calculation

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

5.7.1. General Remarks
155. 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.
156. 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.

5.7.2. Instructions concerning specific positions
Columns	
030-040	VaR It means the maximum potential loss that would result from a price change with a given probability over a specified time horizon.
030	Multiplication factor (mc) x Average of previous 60 working days VaR (VaRavg) Articles 364(1) point (a) (ii) and 365 (1) of CRR.
040	Previous day VaR (VaRt-1) Articles 364(1) point (a) (i) and 365 (1) of CRR.
050-060	Stressed VaR It means the maximum potential loss that would result from a price change with a given probability over a specified time horizon obtained by using input calibrated to historical data from a continuous 12-months period of financial stress relevant to the institution’s portfolio.
050	Multiplication factor (ms) x Average of previous 60 working days (SVaRavg) Articles 364(1) point (b) (ii) and 365 (1) of CRR.
060	Latest available (SVaRt-1) Articles 364(1) point (b) (i) and 365 (1) of CRR.
070-080	INCREMENTAL DEFAULT AND MIGRATION RISK CAPITAL CHARGE It means the maximum potential loss that would result from a price change linked to default and migration risks calculated accordingly to Article 364(2) point (b) in connection with Part Three Title IV Chapter 5 Section 4 of CRR.
070	12 weeks average measure Article 364(2) point (b) (ii) in connection with Part Three Title IV Chapter 5 Section 4 of CRR.
080	Last Measure Article 364(2) point (b) (i) in connection with Part Three Title IV Chapter 5 Section 4 of CRR.
090-110	ALL PRICE RISKS CAPITAL CHARGE FOR CTP
090	FLOOR Article 364(3) point (c) of CRR. = 8 % of the capital charge that would be calculated in accordance with Article 338(1) of CRR for all positions in the ‘all price risks’ capital charge.
100-110	12 WEEKS AVERAGE MEASURE AND LAST MEASURE Article 364(3) point (b).
110	LAST MEASURE Article 364(3) point (a)
120	OWN FUNDS REQUIREMENTS Referred to in Article 364 of CRR of all risk factors taking into account correlation effects, if applicable, plus incremental default and migration risk and all price of risks for CTP but excluding the Securitization capital charges for Securitization and nth-to-default credit derivative according Article 364(2) of CRR.
130	TOTAL RISK EXPOSURE AMOUNT Article 92(4) lit. b of CRR. Result of the multiplication of the own funds requirements * 12.5.
140	Number of overshootings (during previous 250 working days) Referred to in Article 366 of CRR.
150-160	VaR Multiplication Factor (mc) and SVaR Multiplication Factor (ms) As referred to in Article 366 of CRR.
170 - 180	ASSUMED CHARGE FOR CTP FLOOR — WEIGHTED NET LONG/SHORT POSITIONS AFTER CAP The amounts reported and serving as the basis to calculate the floor capital charge for all price risks according to Article 364(3) point (c) of CRR take into account the discretion of Article 335 of CRR which says that the institution may cap the product of the weight and the net position at the maximum possible default-risk related loss.
Rows	
010	TOTAL POSITIONS Corresponds to the part of position, foreign exchange and commodities risk referred to in Article 363(1) of CRR linked to the risk factors specified in Article 367(2) of CRR. Concerning the columns 030 to 060 (VAR and Stress-VAR) the figures in the total row is not equal to the decomposition of the figures for the VAR/Stress-VAR of the relevant risk components. Hence the decomposition are memorandum items.
020	TRADED DEBT INSTRUMENTS Corresponds to the part of position risk referred to in 363 (1) of CRR linked to the interest rates risk factors as specified in Article 367(2) of CRR.
030	TDI – GENERAL RISK General risk defined in Article 362 of CRR.
040	TDI – SPECIFIC RISK Specific risk defined in Article 362 of CRR.
050	EQUITIES Corresponds to the part of position risk referred to in 363 (1) of CRR linked to the equity risk factors as specified in Article 367(2) of CRR.
060	EQUITIES – GENERAL RISK General risk defined in Article 362 of CRR.
070	EQUITIES – SPECIFIC RISK Specific risk defined in Article 362 of CRR.
080	FOREIGN EXCHANGE RISK Articles 363(1) and 367 (2) of CRR.
090	COMMODITY RISK Articles 363(1) and 367 (2) of CRR.
100	TOTAL AMOUNT FOR GENERAL RISK Market risk caused by general market movements of traded debt instruments, equities, foreign exchange and commodities. VAR for general risk of all risk factors (taking into account correlation effects if applicable).
110	TOTAL AMOUNT FOR SPECIFIC RISK Specific risk component of traded debt instruments and equities. VAR for specific risk of equities and traded debt instruments of trading book (taking into account correlation effects if applicable).

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

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

ANNEX III REPORTING FINANCIAL INFORMATION ACCORDING TO IFRS
FINREP TEMPLATES FOR IFRS		
TEMPLATE NUMBER	TEMPLATE CODE	NAME OF THE TEMPLATE OR OF THE GROUP OF TEMPLATES
		PART 1 [QUARTERLY FREQUENCY]
Balance Sheet Statement [Statement of Financial Position]
1.1	F 01.01	Balance Sheet Statement: assets
1.2	F 01.02	Balance Sheet Statement: liabilities
1.3	F 01.03	Balance Sheet Statement: equity
2	F 02.00	Statement of profit or loss
3	F 03.00	Statement of comprehensive income
Breakdown of financial assets by instrument and by counterparty sector
4.1	F 04.01	Breakdown of financial assets by instrument and by counterparty sector: financial assets held for trading
4.2	F 04.02	Breakdown of financial assets by instrument and by counterparty sector: financial assets designated at fair value through profit or loss
4.3	F 04.03	Breakdown of financial assets by instrument and by counterparty sector: available-for-sale financial assets
4.4	F 04.04	Breakdown of financial assets by instrument and by counterparty sector: loans and receivables and held-to-maturity investments
4.5	F 04.05	Subordinated financial assets
5	F 05.00	Breakdown of loans and advances by product
6	F 06.00	Breakdown of loans and advances to non-financial corporations by NACE codes
7	F 07.00	Financial assets subject to impairment that are past due or impaired
Breakdown of financial liabilities
8.1	F 08.01	Breakdown of financial liabilities by product and by counterparty sector
8.2	F 08.02	Subordinated financial liabilities
Loan commitments, financial guarantees and other commitments
9.1	F 09.01	Off-balance sheet exposures: loan commitments, financial guarantees and other commitments given
9.2	F 09.02	Loan commitments, financial guarantees and other commitments received
10	F 10.00	Derivatives - Trading
Derivatives - Hedge accounting
11.1	F 11.01	Derivatives - Hedge accounting: Breakdown by type of risk and type of hedge
12	F 12.00	Movements in allowances for credit losses and impairment of equity instruments
Collateral and guarantees received
13.1	F 13.01	Breakdown of loans and advances by collateral and guarantees
13.2	F 13.02	Collateral obtained by taking possession during the period [held at the reporting date]
13.3	F 13.03	Collateral obtained by taking possession [tangible assets] accumulated
14	F 14.00	Fair value hierarchy: financial instruments at fair value
15	F 15.00	Derecognition and financial liabilities associated with transferred financial assets
Breakdown of selected statement of profit or loss items
16.1	F 16.01	Interest income and expenses by instrument and counterparty sector
16.2	F 16.02	Gains or losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss by instrument
16.3	F 16.03	Gains or losses on financial assets and liabilities held for trading by instrument
16.4	F 16.04	Gains or losses on financial assets and liabilities held for trading by risk
16.5	F 16.05	Gains or losses on financial assets and liabilities designated at fair value through profit or loss by instrument
16.6	F 16.06	Gains or losses from hedge accounting
16.7	F 16.07	Impairment on financial and non-financial assets
Reconciliation between accounting and CRR scope of consolidation: Balance Sheet
17.1	F 17.01	Reconciliation between accounting and CRR scope of consolidation: Assets
17.2	F 17.02	Reconciliation between accounting and CRR scope of consolidation: Off-balance sheet exposures - loan commitments, financial guarantees and other commitments given
17.3	F 17.03	Reconciliation between accounting and CRR scope of consolidation: Liabilities
18	F 18.00	Performing and non-performing exposures
19	F 19.00	Forborne exposures
		PART 2 [QUATERLY WITH THRESHOLD: QUARTERLY FREQUENCY OR NOT REPORTING]
Geographical breakdown
20.1	F 20.01	Geographical breakdown of assets by location of the activities
20.2	F 20.02	Geographical breakdown of liabilities by location of the activities
20.3	F 20.03	Geographical breakdown of main statement of profit or loss items by location of the activities
20.4	F 20.04	Geographical breakdown of assets by residence of the counterparty
20.5	F 20.05	Geographical breakdown of off-balance sheet exposures by residence of the counterparty
20.6	F 20.06	Geographical breakdown of liabilities by residence of the counterparty
20.7	F 20.07	Geographical breakdown by residence of the counterparty of loans and advances to non-financial corporations by NACE codes
21	F 21.00	Tangible and intangible assets: assets subject to operating lease
Asset management, custody and other service functions
22.1	F 22.01	Fee and commission income and expenses by activity
22.2	F 22.02	Assets involved in the services provided
		PART 3 [SEMI-ANNUAL]
Off-balance sheet activities: interests in unconsolidated structured entities
30.1	F 30.01	Interests in unconsolidated structured entities
30.2	F 30.02	Breakdown of interests in unconsolidated structured entities by nature of the activities
Related parties
31.1	F 31.01	Related parties: amounts payable to and amounts receivable from
31.2	F 31.02	Related parties: expenses and income generated by transactions with
		PART 4 [ANNUAL]
Group structure
40.1	F 40.01	Group structure: "entity-by-entity"
40.2	F 40.02	Group structure: "instrument-by-instrument"
Fair value
41.1	F 41.01	Fair value hierarchy: financial instruments at amortised cost
41.2	F 41.02	Use of the Fair Value Option
41.3	F 41.03	Hybrid financial instruments not designated at fair value through profit or loss
42	F 42.00	Tangible and intangible assets: carrying amount by measurement method
43	F 43.00	Provisions
Defined benefit plans and employee benefits
44.1	F 44.01	Components of net defined benefit plan assets and liabilities
44.2	F 44.02	Movements in defined benefit plan obligations
44.3	F 44.03	Memo items [related to staff expenses]
Breakdown of selected items of statement of profit or loss
45.1	F 45.01	Gains or losses on financial assets and liabilities designated at fair value through profit or loss by accounting portfolio
45.2	F 45.02	Gains or losses on derecognition of non-financial assets other than held for sale
45.3	F 45.03	Other operating income and expenses
46	F 46.00	Statement of changes in equity

1. Balance Sheet Statement [Statement of Financial Position]

1.2. Liabilities
		References	Breakdown in table	Carrying amount
				010
010	Financial liabilities held for trading	IFRS 7.8 (e) (ii); IAS 39.9, AG 14-15	8	
020	Derivatives	IAS 39.9, AG 15(a)	10	
030	Short positions	IAS 39.AG 15(b)	8	
040	Deposits	ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.30	8	
050	Debt securities issued	Annex V.Part 1.31	8	
060	Other financial liabilities	Annex V.Part 1.32-34	8	
070	Financial liabilities designated at fair value through profit or loss	IFRS 7.8 (e)(i); IAS 39.9	8	
080	Deposits	ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.30	8	
090	Debt securities issued	Annex V.Part 1.31	8	
100	Other financial liabilities	Annex V.Part 1.32-34	8	
110	Financial liabilities measured at amortised cost	IFRS 7.8(f); IAS 39.47	8	
120	Deposits	ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.30	8	
130	Debt securities issued	Annex V.Part 1.31	8	
140	Other financial liabilities	Annex V.Part 1.32-34	8	
150	Derivatives – Hedge accounting	IFRS 7.22(b); IAS 39.9; Annex V.Part 1.23	8	
160	Fair value changes of the hedged items in portfolio hedge of interest rate risk	IAS 39.89A(b)		
170	Provisions	IAS 37.10; IAS 1.54(l)	43	
180	Pensions and other post employment defined benefit obligations	IAS 19.63; IAS 1.78(d); Annex V.Part 2.8	43	
190	Other long term employee benefits	IAS 19.153; IAS 1.78(d); Annex V.Part 2.8	43	
200	Restructuring	IAS 37.71, 84(a)	43	
210	Pending legal issues and tax litigation	IAS 37.Appendix C. Examples 6 and 10	43	
220	Commitments and guarantees given	IAS 37.Appendix C.9	43	
230	Other provisions		43	
240	Tax liabilities	IAS 1.54(n-o)		
250	Current tax liabilities	IAS 1.54(n); IAS 12.5		
260	Deferred tax liabilities	IAS 1.54(o); IAS 12.5; CRR art 4(1)(108)		
270	Share capital repayable on demand	IAS 32 IE 33; IFRIC 2; Annex V.Part 2.9		
280	Other liabilities	Annex V.Part 2.10		
290	Liabilities included in disposal groups classified as held for sale	IAS 1.54 (p); IFRS 5.38, Annex V.Part 2.11		
300	TOTAL LIABILITIES	IAS 1.9(b);IG 6		

2. Statement of profit or loss
		References	Breakdown in table	Current period
				010
010	Interest income	IAS 1.97; IAS 18.35(b)(iii); Annex V.Part 2.21	16	
020	Financial assets held for trading	IFRS 7.20(a)(i), B5(e); Annex V.Part 2.24		
030	Financial assets designated at fair value through profit or loss	IFRS 7.20(a)(i), B5(e)		
040	Available-for-sale financial assets	IFRS 7.20(b); IAS 39.55(b); IAS 39.9		
050	Loans and receivables	IFRS 7.20(b); IAS 39.9, 39.46(a)		
060	Held-to-maturity investments	IFRS 7.20(b); IAS 39.9, 39.46(b)		
070	Derivatives - Hedge accounting, interest rate risk	IAS 39.9; Annex V.Part 2.23		
080	Other assets	Annex V.Part 2.25		
085	Interest income on liabilities	Annex V.Part 2.25		
090	(Interest expenses)	IAS 1.97; Annex V.Part 2.21	16	
100	(Financial liabilities held for trading)	IFRS 7.20(a)(i), B5(e); Annex V.Part 2.24		
110	(Financial liabilities designated at fair value through profit or loss)	IFRS 7.20(a)(i), B5(e)		
120	(Financial liabilities measured at amortised cost)	IFRS 7.20(b); IAS 39.47		
130	(Derivatives - Hedge accounting, interest rate risk)	IAS 39.9; Annex V.Part 2.23		
140	(Other liabilities)	Annex V.Part 2.26		
145	(Interest expense on assets)	Annex V.Part 2.26		
150	(Expenses on share capital repayable on demand)	IFRIC 2.11		
160	Dividend income	IAS 18.35(b)(v); Annex V.Part 2.28		
170	Financial assets held for trading	IFRS 7.20(a)(i), B5(e)		
180	Financial assets designated at fair value through profit or loss	IFRS 7.20(a)(i), B5(e); IAS 39.9		
190	Available-for-sale financial assets	IFRS 7.20(a)(ii); IAS 39.9, 39.55(b)		
200	Fee and commission income	IFRS 7.20(c)	22	
210	(Fee and commission expenses)	IFRS 7.20(c)	22	
220	Gains or (-) losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss, net	IFRS 7.20(a) (ii-v); Annex V.Part 2.97	16	
230	Available-for-sale financial assets	IFRS 7.20(a)(ii); IAS 39.9, 39.55(b)		
240	Loans and receivables	IFRS 7.20(a)(iv); IAS 39.9, 39.56		
250	Held-to-maturity investments	IFRS 7.20(a)(iii); IAS 39.9, 39.56		
260	Financial liabilities measured at amortised cost	IFRS 7.20(a)(v); IAS 39.56		
270	Other			
280	Gains or (-) losses on financial assets and liabilities held for trading, net	IFRS 7.20(a)(i); IAS 39.55(a)	16	
290	Gains or (-) losses on financial assets and liabilities designated at fair value through profit or loss, net	IFRS 7.20(a)(i); IAS 39.55(a)	16, 45	
300	Gains or (-) losses from hedge accounting, net	IFRS 7.24; Annex V.Part 2.30	16	
310	Exchange differences [gain or (-) loss], net	IAS 21.28, 52 (a)		
330	Gains or (-) losses on derecognition of non financial assets, net	IAS 1.34	45	
340	Other operating income	Annex V.Part 2.141-143	45	
350	(Other operating expenses)	Annex V.Part 2.141-143	45	
355	TOTAL OPERATING INCOME, NET			
360	(Administrative expenses)			
370	(Staff expenses)	IAS 19.7; IAS 1.102, IG 6	44	
380	(Other administrative expenses)			
390	(Depreciation)	IAS 1.102, 104		
400	(Property, Plant and Equipment)	IAS 1.104; IAS 16.73(e)(vii)		
410	(Investment Properties)	IAS 1.104; IAS 40.79(d)(iv)		
420	(Other intangible assets)	IAS 1.104; IAS 38.118(e)(vi)		
430	(Provisions or (-) reversal of provisions)	IAS 37.59, 84; IAS 1.98(b)(f)(g)	43	
440	(Commitments and guarantees given)			
450	(Other provisions)			
460	(Impairment or (-) reversal of impairment on financial assets not measured at fair value through profit or loss)	IFRS 7.20(e)	16	
470	(Financial assets measured at cost)	IFRS 7.20(e); IAS 39.66		
480	(Available- for-sale financial assets)	IFRS 7.20(e); IAS 39.67		
490	(Loans and receivables	IFRS 7.20(e); IAS 39.63		
500	(Held to maturity investments)	IFRS 7.20(e); IAS 39.63		
510	(Impairment or (-) reversal of impairment of investments in subsidaries, joint ventures and associates)	IAS 28.40-43	16	
520	(Impairment or (-) reversal of impairment on non-financial assets)	IAS 36.126(a)(b)	16	
530	(Property, plant and equipment)	IAS 16.73(e)(v-vi)		
540	(Investment properties)	IAS 40.79(d)(v)		
550	(Goodwill)	IFRS 3.Appendix B67(d)(v); IAS 36.124		
560	(Other intangible assets)	IAS 38.118 (e)(iv)(v)		
570	(Other)	IAS 36.126 (a)(b)		
580	Negative goodwill recognised in profit or loss	IFRS 3.Appendix B64(n)(i)		
590	Share of the profit or (-) loss of investments in subsidaries, joint ventures and associates	IAS 1.82(c)		
600	Profit or (-) loss from non-current assets and disposal groups classified as held for sale not qualifying as discontinued operations	IFRS 5.37; Annex V.Part 2.27		
610	PROFIT OR (-) LOSS BEFORE TAX FROM CONTINUING OPERATIONS	IAS 1.102, IG 6; IFRS 5.33 A		
620	(Tax expense or (-) income related to profit or loss from continuing operations)	IAS 1.82(d); IAS 12.77		
630	PROFIT OR (-) LOSS AFTER TAX FROM CONTINUING OPERATIONS	IAS 1, IG 6		
640	Profit or (-) loss after tax from discontinued operations	IAS 1.82(e); IFRS 5.33(a), 5.33 A		
650	Profit or (-) loss before tax from discontinued operations	IFRS 5.33(b)(i)		
660	(Tax expense or (-) income related to discontinued operations)	IFRS 5.33 (b)(ii),(iv)		
670	PROFIT OR (-) LOSS FOR THE YEAR	IAS 1.81A(a)		
680	Attributable to minority interest [non-controlling interests]	IAS 1.83(a)(i)		
690	Attributable to owners of the parent	IAS 1.81B (b)(ii)		

8. Breakdown of financial liabilities

8.1. Breakdown of financial liabilities by product and by counterparty sector
		References	Carrying amount				Amount of cumulative change in fair values attributable to changes in credit risk	Amount contractually required to pay at maturity
			Held for trading	Designated at fair value through profit or loss	Amortised cost	Hedge accounting		
			IFRS 7.8(e)(ii); IAS 39.9, AG 14-15	IFRS 7.8(e)(i); IAS 39.9	IFRS 7.8(f); IAS 39.47	IFRS 7.22(b); IAS 39.9	CRR art 30(b), art 424(1)(d)(i)	
			010	020	030	037	040	050
010	Derivatives	IAS 39.9, AG 15(a)						
020	Short positions	IAS 39 AG 15(b)						
030	Equity instruments	IAS 32.11						
040	Debt securities	Annex V.Part 1.24, 26						
050	Deposits	ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.30						
060	Central banks	Annex V.Part 1.35(a)						
070	Current accounts / overnight deposits	ECB/2013/33 Annex 2.Part 2.9.1						
080	Deposits with agreed maturity	ECB/2013/33 Annex 2.Part 2.9.2						
090	Deposits redeemable at notice	ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.51						
100	Repurchase agreements	ECB/2013/33 Annex 2.Part 2.9.4						
110	General governments	Annex V.Part 1.35(b)						
120	Current accounts / overnight deposits	ECB/2013/33 Annex 2.Part 2.9.1						
130	Deposits with agreed maturity	ECB/2013/33 Annex 2.Part 2.9.2						
140	Deposits redeemable at notice	ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.51						
150	Repurchase agreements	ECB/2013/33 Annex 2.Part 2.9.4						
160	Credit institutions	Annex V.Part 1.35(c)						
170	Current accounts / overnight deposits	ECB/2013/33 Annex 2.Part 2.9.1						
180	Deposits with agreed maturity	ECB/2013/33 Annex 2.Part 2.9.2						
190	Deposits redeemable at notice	ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.51						
200	Repurchase agreements	ECB/2013/33 Annex 2.Part 2.9.4						
210	Other financial corporations	Annex V.Part 1.35(d)						
220	Current accounts / overnight deposits	ECB/2013/33 Annex 2.Part 2.9.1						
230	Deposits with agreed maturity	ECB/2013/33 Annex 2.Part 2.9.2						
240	Deposits redeemable at notice	ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.51						
250	Repurchase agreements	ECB/2013/33 Annex 2.Part 2.9.4						
260	Non-financial corporations	Annex V.Part 1.35(e)						
270	Current accounts / overnight deposits	ECB/2013/33 Annex 2.Part 2.9.1						
280	Deposits with agreed maturity	ECB/2013/33 Annex 2.Part 2.9.2						
290	Deposits redeemable at notice	ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.51						
300	Repurchase agreements	ECB/2013/33 Annex 2.Part 2.9.4						
310	Households	Annex V.Part 1.35(f)						
320	Current accounts / overnight deposits	ECB/2013/33 Annex 2.Part 2.9.1						
330	Deposits with agreed maturity	ECB/2013/33 Annex 2.Part 2.9.2						
340	Deposits redeemable at notice	ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.51						
350	Repurchase agreements	ECB/2013/33 Annex 2.Part 2.9.4						
360	Debt securities issued	Annex V.Part 1.31; Annex V.Part 2.52						
370	Certificates of deposits	Annex V.Part 2.52(a)						
380	Asset-backed securities	CRR art 4(1)(61)						
390	Covered bonds	CRR art 129(1)						
400	Hybrid contracts	IAS 39.10-11, AG27, AG29; IFRIC 9; Annex V.Part 2.52(d)						
410	Other debt securities issued	Annex V.Part 2.52(e)						
420	Convertible compound financial instruments	IAS 32.AG 31						
430	Non-convertible							
440	Other financial liabilities	Annex V.Part 1.32-34						
450	FINANCIAL LIABILITIES							

8.2. Subordinated financial liabilities
			Carriyng amount	
		References	Designated at fair value through profit or loss	At amortized cost
			IFRS 7.8(e)(i); IAS 39.9	IFRS 7.8(f); IAS 39.47
			010	020
010	Deposits	ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.30		
020	Debt securities issued	Annex V.Part 1.31		
030	SUBORDINATED FINANCIAL LIABILITIES	Annex V.Part 2.53-54		

14. Fair value hierachy: financial instruments at fair value
		References	Fair value hierarchyIFRS 13.93 (b)			Change in fair value for the periodITS V.Part 2.86		Accumulated change in fair value before taxesITS V.Part 2.87		
			Level 1	Level 2	Level 3	Level 2	Level 3	Level 1	Level 2	Level 3
			IFRS 13.76	IFRS 13.81	IFRS 13.86	IFRS 13.81	IFRS 13.86, 93(f)	IFRS 13.76	IFRS 13.81	IFRS 13.86
			010	020	030	040	050	060	070	080
ASSETS										
010	Financial assets held for trading	IFRS 7.8(a)(ii); IAS 39.9, AG 14								
020	Derivatives	IAS 39.9								
030	Equity instruments	IAS 32.11								
040	Debt securities	Annex V.Part 1.24, 26								
050	Loans and advances	Annex V.Part 1.24, 27								
060	Financial assets designated at fair value through profit or loss	IFRS 7.8(a)(i); 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	Available-for-sale financial assets	IFRS 7.8 (h)(d); 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	Derivatives – Hedge accounting	IFRS 7.22 (b); IAS 39.9; Annex V.Part 1.19								
LIABILITIES										
150	Financial liabilities held for trading	IFRS 7.8 (e) (ii); IAS 39.9, AG 14-15								
160	Derivatives	IAS 39.9, AG 15(a)								
170	Short positions	IAS 39 AG 15(b)								
180	Deposits	ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.30								
190	Debt securities issued	Annex V.Part 1.31								
200	Other financial liabilities	Annex V.Part 1.32-34								
210	Financial liabilities designated at fair value through profit or loss	IFRS 7.8 (e) (i); IAS 39.9								
220	Deposits	ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.30								
230	Debt securities issued	Annex V.Part 1.31								
240	Other financial liabilities	Annex V.Part 1.32-34								
250	Derivatives – Hedge accounting	IFRS 7.22 (b); IAS 39.9; Annex V.Part 1.19								

16. Breakdown of selected statement of profit or loss items

16.1. Interest income and expenses by instrument and counterparty sector
			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/2013/33 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
		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/2013/33 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
		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/2013/33 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
		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
		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/2013/33 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
		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
			Current period			
		References	Additions Annex V.Part 2.102	Reversals Annex 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				

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

17.1. Assets
		References	Accounting scope of consolidation [Carrying amount]
			010
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	Investments in subsidaries, joint ventures and associates	IAS 1.54(e); Annex V.Part 2.4	
270	Assets under reinsurance and insurance contracts	IFRS 4.IG20.(b)-(c); Annex V.Part 2.105	
280	Tangible assets		
290	Intangible assets	IAS 1.54(c); CRR art 4(1)(115)	
300	Goodwill	IFRS 3.B67(d); CRR art 4(1)(113)	
310	Other intangible assets	IAS 38.8,118	
320	Tax assets	IAS 1.54(n-o)	
330	Current tax assets	IAS 1.54(n); IAS 12.5	
340	Deferred tax assets	IAS 1.54(o); IAS 12.5; CRR art 4(1)(106)	
350	Other assets	Annex V.Part 2.5	
360	Non-current assets and disposal groups classified as held for sale	IAS 1.54(j); IFRS 5.38, Annex V.Part 2.6	
370	TOTAL ASSETS	IAS 1.9(a), IG 6	

17.2. Off-balance sheet exposures: Loan commitments, financial guarantees and other commitments given
		References	Accounting scope of consolidation [Nominal amount]
			010
010	Loan commitments given	IAS 39.2(h), 4(a)(c), BC 15; CRR Annex I; Annex V.Part 2.56, 57	
020	Financial guarantees given	IAS 39.9 AG 4, BC 21; IFRS 4 A; CRR Annex I; Annex V.Part 2.56, 58	
030	Other Commitments given	CRR Annex I; Annex V.Part 2.56, 59	
040	OFF-BALANCE SHEET EXPOSURES		

17.3. Liabilities and equity
		References	Accounting scope of consolidation [Carrying amount]
			010
010	Financial liabilities held for trading	IFRS 7.8 (e) (ii); IAS 39.9, AG 14-15	
020	Derivatives	IAS 39.9, AG 15(a)	
030	Short positions	IAS 39.AG 15(b)	
040	Deposits	ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.30	
050	Debt securities issued	Annex V.Part 1.31	
060	Other financial liabilities	Annex V.Part 1.32-34	
070	Financial liabilities designated at fair value through profit or loss	IFRS 7.8 (e)(i); IAS 39.9	
080	Deposits	ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.30	
090	Debt securities issued	Annex V.Part 1.31	
100	Other financial liabilities	Annex V.Part 1.32-34	
110	Financial liabilities measured at amortised cost	IFRS 7.8(f); IAS 39.47	
120	Deposits	ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.30	
130	Debt securities issued	Annex V.Part 1.31	
140	Other financial liabilities	Annex V.Part 1.32-34	
150	Derivatives – Hedge accounting	IFRS 7.22(b); IAS 39.9; Annex V.Part 1.23	
160	Fair value changes of the hedged items in portfolio hedge of interest rate risk	IAS 39.89A(b)	
170	Liabilities under insurance and reinsurance contracts	IFRS 4.IG20(a); Annex V.Part 2.106	
180	Provisions	IAS 37.10; IAS 1.54(l)	
190	Tax liabilities	IAS 1.54(n-o)	
200	Current tax liabilities	IAS 1.54(n); IAS 12.5	
210	Deferred tax liabilities	IAS 1.54(o); IAS 12.5; CRR art 4(1)(108)	
220	Share capital repayable on demand	IAS 32 IE 33; IFRIC 2; Annex V.Part 2.9	
230	Other liabilities	Annex V.Part 2.10	
240	Liabilities included in disposal groups classified as held for sale	IAS 1.54 (p); IFRS 5.38, Annex V.Part 2.11	
250	LIABILITIES	IAS 1.9(b);IG 6	
260	Capital	IAS 1.54(r), BAD art 22	
270	Share premium	IAS 1.78(e); CRR art 4(1)(124)	
280	Equity instruments issued other than capital	Annex V.Part 2.15-16	
290	Other equity	IFRS 2.10; Annex V.Part 2.17	
300	Accumulated other comprehensive income	CRR art 4(1)(100)	
310	Retained earnings	CRR art 4(1)(123)	
320	Revaluation reserves	IFRS 1.30, D5-D8	
330	Other reserves	IAS 1.54; IAS 1.78 (e)	
340	(-) Treasury shares	IAS 1.79(a)(vi); IAS 32.33-34, AG 14, AG 36; Annex V.Part 2.20	
350	Profit or loss attributable to owners of the parent	IAS 27.28; IAS 1.83(a)(ii)	
360	(-) Interim dividends	IAS 32.35	
370	Minority interests [Non-controlling interests]	IAS 27.4; IAS 1.54(q); IAS 27.27	
380	TOTAL EQUITY	IAS 1.9(c), IG 6	
390	TOTAL EQUITY AND TOTAL LIABILITIES	IAS 1.IG6	

18. Information on performing and non-performing exposures
		References	Gross carrying amount												Accumulated impairment, accumulated changes in fair value due to credit risk and provisions							Collateral received and financial guarantees received	
				Performing				Non-performing								on performing exposures	on non-performing exposures						
					Not past due or Past due <= 30 days	Past due > 30 days <= 60 days	Past due > 60 days <= 90 days		Unlikely to pay that are not past-due or past-due < = 90 days	Past due > 90 days <= 180 days	Past due > 180 days <= 1 year	Past due > 1 year	Of which: defaulted	Of which: impaired				Unlikely to pay that are not past-due or past-due < = 90 days	Past due > 90 days <= 180 days	Past due > 180 days <= 1 year	Past due > 1 year	Collateral received on non-performing exposues	Financial guarantees received on non-performing exposures
			010	020	030	040	050	060	070	080	090	100	110	120	130	140	150	160	170	180	190	200	210
			Annex V. Part 2. 45, 109, 145-162	Annex V. Part 2. 145-162	Annex V. Part 2. 158	Annex V. Part 2. 158	Annex V. Part 2. 158	Annex V. Part 2. 145-162	Annex V. Part 2. 159	Annex V. Part 2. 159	Annex V. Part 2. 159	Annex V. Part 2. 159	CRR art 178; Annex V. Part 2.61	IAS 39. 58-70	Annex V. Part 2. 46	Annex V. Part 2. 161	Annex V. Part 2. 161	Annex V. Part 2. 159,161	Annex V. Part 2. 159,161	Annex V. Part 2. 159,161	Annex V. Part 2. 159,161	Annex V. Part 2. 162	Annex V. Part 2. 162
010	Debt securities	Annex V.Part 1.24, 26																					
020	Central banks	Annex V.Part 1.35(a)																					
030	General governments	Annex V.Part 1.35(b)																					
040	Credit institutions	Annex V.Part 1.35(c)																					
050	Other financial corporations	Annex V.Part 1.35(d)																					
060	Non-financial corporations	Annex V.Part 1.35(e)																					
070	Loans and advances	Annex V.Part 1.24, 27																					
080	Central banks	Annex V.Part 1.35(a)																					
090	General governments	Annex V.Part 1.35(b)																					
100	Credit institutions	Annex V.Part 1.35(c)																					
110	Other financial corporations	Annex V.Part 1.35(d)																					
120	Non-financial corporations	Annex V.Part 1.35(e)																					
130	Of which: Small and Medium-sized Enterprises	SME Art 1 2(a)																					
140	Of which: Loans collateralised by commercial immovable property																						
150	Households	Annex V.Part 1.35(f)																					
160	Of which: Loans collateralised by residential immovable property																						
170	Of which: Credit for consumption																						
180	DEBT INSTRUMENTS AT AMORTISED COST	Annex V. Part I. 13 (d)(e)																					
190	Debt securities	Annex V.Part 1.24, 26																					
200	Central banks	Annex V.Part 1.35(a)																					
210	General governments	Annex V.Part 1.35(b)																					
220	Credit institutions	Annex V.Part 1.35(c)																					
230	Other financial corporations	Annex V.Part 1.35(d)																					
240	Non-financial corporations	Annex V.Part 1.35(e)																					
250	Loans and advances	Annex V.Part 1.24, 27																					
260	Central banks	Annex V.Part 1.35(a)																					
270	General governments	Annex V.Part 1.35(b)																					
280	Credit institutions	Annex V.Part 1.35(c)																					
290	Other financial corporations	Annex V.Part 1.35(d)																					
300	Non-financial corporations	Annex V.Part 1.35(e)																					
310	Households	Annex V.Part 1.35(f)																					
320	DEBT INSTRUMENTS AT FAIR VALUE OTHER THAN HFT	Annex V. Part I. 13 (b)(c)																					
330	DEBT INSTRUMENTS OTHER THAN HFT	Annex V. Part I. 13 (b)(c)(d)(e)																					
340	Loan commitments given	IAS 39.2 (h), 4 (a) ( c), BC 15; CRR Annex I; Annex V.Part 2.56-57																					
350	Central banks	Annex V.Part 1.35(a)																					
360	General governments	Annex V.Part 1.35(b)																					
370	Credit institutions	Annex V.Part 1.35(c)																					
380	Other financial corporations	Annex V.Part 1.35(d)																					
390	Non-financial corporations	Annex V.Part 1.35(e)																					
400	Households	Annex V.Part 1.35(f)																					
410	Financial guarantees given	IAS 39.9 AG 4, BC 21; IFRS 4 A; CRR Annex I; Annex V.Part 2.56, 58																					
420	Central banks	Annex V.Part 1.35(a)																					
430	General governments	Annex V.Part 1.35(b)																					
440	Credit institutions	Annex V.Part 1.35(c)																					
450	Other financial corporations	Annex V.Part 1.35(d)																					
460	Non-financial corporations	Annex V.Part 1.35(e)																					
470	Households	Annex V.Part 1.35(f)																					
480	Other Commitments given	CRR Annex I; Annex V.Part 2.56, 59																					
490	Central banks	Annex V.Part 1.35(a)																					
500	General governments	Annex V.Part 1.35(b)																					
510	Credit institutions	Annex V.Part 1.35(c)																					
520	Other financial corporations	Annex V.Part 1.35(d)																					
530	Non-financial corporations	Annex V.Part 1.35(e)																					
540	Households	Annex V.Part 1.35(f)																					
550	OFF-BALANCE SHEET EXPOSURES	Annex V.Part 2.55																					

19. Information forborne exposures
		References	Gross carrying amount of exposures with forbearance measures											Accumulated impairment, accumulated changes in fair value due to credit risk and provisions					Collateral received and financial guarantees received	
				Performing exposures with forbearance measures				Non-performing exposures with forbearance measures							on perfoming exposures with forbearance measures	on non-performing exposures with forbearance measures				
					Instruments with modifications in their terms and conditions	Refinancing	of which: Performing forborne exposures under probation		Instruments with modifications in their terms and conditions	Refinancing	of which: Defaulted	of which: Impaired	of which: Forbearance of non-performing exposures				Instruments with modifications in their terms and conditions	Refinancing	Collateral received on exposures with forbearance measures	Financial guarantees received on exposures with forbearance measures
			010	020	030	040	050	060	070	080	090	100	110	120	130	140	150	160	170	180
			Annex V. Part 2. 45, 109, 163-182	Annex V. Part 2. 145-162	Annex V. Part 2. 164 (a), 177, 178, 182	Annex V. Part 2. 164 (b), 177, 178, 181, 182	Annex V. Part 2. 176(b),177, 180	Annex V. Part 2. 145-162	Annex V. Part 2. 164 (a), 179-180,182	Annex V. Part 2. 164 (b), 179-182	CRR art 178; Annex V. Part 2.61	IAS 39. 58-70	Annex V. Part 2. 172(a), 157	Annex V. Part 2. 46, 183	Annex V. Part 2. 145-183	Annex V. Part 2. 145-183	Annex V. Part 2. 164 (a), 179-180,182,183	Annex V. Part 2. 164 (b), 179-183	Annex V. Part 2. 162	Annex V. Part 2. 162
010	Debt securities	Annex V.Part 1.24, 26																		
020	Central banks	Annex V.Part 1.35(a)																		
030	General governments	Annex V.Part 1.35(b)																		
040	Credit institutions	Annex V.Part 1.35(c)																		
050	Other financial corporations	Annex V.Part 1.35(d)																		
060	Non-financial corporations	Annex V.Part 1.35(e)																		
070	Loans and advances	Annex V.Part 1.24, 27																		
080	Central banks	Annex V.Part 1.35(a)																		
090	General governments	Annex V.Part 1.35(b)																		
100	Credit institutions	Annex V.Part 1.35(c)																		
110	Other financial corporations	Annex V.Part 1.35(d)																		
120	Non-financial corporations	Annex V.Part 1.35(e)																		
130	Of which: Small and Medium-sized Enterprises	SME Art 1 2(a)																		
140	Of which: Loans collateralised by commercial immovable property																			
150	Households	Annex V.Part 1.35(f)																		
160	Of which: Loans collateralised by residential immovable property																			
170	Of which: Credit for consumption																			
180	DEBT INSTRUMENTS AT AMORTISED COST	Annex V. Part I. 13 (d)(e)																		
190	Debt securities	Annex V.Part 1.24, 26																		
200	Central banks	Annex V.Part 1.35(a)																		
210	General governments	Annex V.Part 1.35(b)																		
220	Credit institutions	Annex V.Part 1.35(c)																		
230	Other financial corporations	Annex V.Part 1.35(d)																		
240	Non-financial corporations	Annex V.Part 1.35(e)																		
250	Loans and advances	Annex V.Part 1.24, 27																		
260	Central banks	Annex V.Part 1.35(a)																		
270	General governments	Annex V.Part 1.35(b)																		
280	Credit institutions	Annex V.Part 1.35(c)																		
290	Other financial corporations	Annex V.Part 1.35(d)																		
300	Non-financial corporations	Annex V.Part 1.35(e)																		
310	Households	Annex V.Part 1.35(f)																		
320	DEBT INSTRUMENTS AT FAIR VALUE OTHER THAN HFT	Annex V. Part I. 13 (b)(c)																		
330	DEBT INSTRUMENTS OTHER THAN HFT	Annex V. Part I. 13 (b)(c)(d)(e)																		
340	Loan commitments given	IAS 39.2 (h), 4 (a) ( c), BC 15; CRR Annex I; Annex V.Part 2.56-57																		

20. Geographical breakdown

20.1. Geographical breakdown of assets by location of the activities
		References	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	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		

20.2. Geographical breakdown of liabilities by location of the activities
		References	Carrying amount	
			Domestic activitivies	Non-domestic activities
			Annex V.Part 2.107	Annex V.Part 2.107
			010	020
010	Financial liabilities held for trading	IFRS 7.8 (e) (ii); IAS 39.9, AG 14-15		
020	Derivatives	IAS 39.9, AG 15(a)		
030	Short positions	IAS 39.AG 15(b)		
040	Deposits	ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.30		
050	Debt securities issued	Annex V.Part 1.31		
060	Other financial liabilities	Annex V.Part 1.32-34		
070	Financial liabilities designated at fair value through profit or loss	IFRS 7.8 (e)(i); IAS 39.9		
080	Deposits	ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.30		
090	Debt securities issued	Annex V.Part 1.31		
100	Other financial liabilities	Annex V.Part 1.32-34		
110	Financial liabilities measured at amortised cost	IFRS 7.8(f); IAS 39.47		
120	Deposits	ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.30		
130	Debt securities issued	Annex V.Part 1.31		
140	Other financial liabilities	Annex V.Part 1.32-34		
150	Derivatives – Hedge accounting	IFRS 7.22(b); IAS 39.9; Annex V.Part 1.23		
160	Fair value changes of the hedged items in portfolio hedge of interest rate risk	IAS 39.89A(b)		
170	Provisions	IAS 37.10; IAS 1.54(l)		
180	Tax liabilities	IAS 1.54(n-o)		
190	Share capital repayable on demand	IAS 32.IE 33; IFRIC 2; Annex V.Part 2.09		
200	Other liabilities	Annex V.Part 2.10		
210	Liabilities included in disposal groups classified as held for sale	IAS 1.54(p); IFRS 5.38		
220	LIABILITIES	IAS 1.9(b);IG 6		

20.3. Geographical breakdown of statement of profit or loss items by location of the activities
		References	Current period	
			Domestic activitivies	Non-domestic activities
			Annex V.Part 2.107	Annex V.Part 2.107
			010	020
010	Interest income	IAS 1.97; IAS 18.35(b)(iii); Annex V.Part 2.21		
020	(Interest expenses)	IAS 1.97; Annex V.Part 2.21		
030	(Expenses on share capital repayable on demand)	IFRIC 2.11		
040	Dividend income	IAS 18.35(b)(v); Annex V.Part 2.28		
050	Fee and commission income	IFRS 7.20(c)		
060	(Fee and commission expenses)	IFRS 7.20(c)		
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)(ii-v)		
080	Gains or (-) losses on financial assets and liabilities held for trading, net	IFRS 7.20(a)(i); IAS 39.55(a)		
090	Gains or (-) losses on financial assets and liabilities designated at fair value through profit or loss, net	IFRS 7.20(a) (i); IAS 39.55(a)		
100	Gains or (-) losses from hedge accounting, net	IFRS 7.24		
110	Exchange differences [gain or (-) loss], net	IAS 21.28, 52(a)		
130	Gains or (-) losses on derecognition of non financial assets, net	IAS 1.34		
140	Other operating income	Annex V.Part 2.141-143		
150	(Other operating expenses)	Annex V.Part 2.141-143		
155	TOTAL OPERATING INCOME, NET			
160	(Administrative expenses)			
170	(Depreciation)	IAS 1.102, 104		
180	(Provisions or (-) reversal of provisions)	IAS 37.59, 84; IAS 1.98(b)(f)(g)		
190	(Impairment or (-) reversal of impairment on financial assets not measured at fair value through profit or loss)	IFRS 7.20(e)		
200	(Impairment or (-) reversal of impairment of investments in subsidaries, joint ventures and associates)	IAS 28.40-43		
210	(Impairment or (-) reversal of impairment on non-financial assets)	IAS 36.126(a)(b)		
220	Negative goodwill recognised in profit or loss	IFRS 3.Appendix B64(n)(i)		
230	Share of the profit or (-) loss of investments in subsidaries, joint ventures and associates	IAS 1.82(c)		
240	Profit or (-) loss from non-current assets and disposal groups classified as held for sale not qualifying as discontinued operations	IFRS 5.37; Annex V.Part 2.27		
250	PROFIT OR (-) LOSS BEFORE TAX FROM CONTINUING OPERATIONS	IAS 1.102, IG 6; IFRS 5.33 A		
260	(Tax expense or (-) income related to profit or loss from continuing operations)	IAS 1.82(d); IAS 12.77		
270	PROFIT OR (-) LOSS AFTER TAX FROM CONTINUING OPERATIONS	IAS 1, IG 6		
280	Profit or (-) loss after tax from discontinued operations	IAS 1.82(e) ; IFRS 5.33(a), 5.33 A		
290	PROFIT OR (-) LOSS FOR THE YEAR	IAS 1.81A(a)		

20.4. Geographical breakdown of assets by residence of the counterparty
z-axis		Country of residence of the counterparty				
						
		References	Gross carrying amount	Of which: debt forbearance	Of which: non-performing	Accumulated impairment or Accumulated changes in fair value due to credit risk
			Annex V.Part 2.109	Annex V.Part 2.163-183	Annex V.Part 2. 145-162	Annex V.Part 2.46
			010	022	025	030
010	Derivatives	IAS 39.9				
020	Of which: credit institutions	Annex V.Part 1.35(c)				
030	Of which: other financial corporations	Annex V.Part 1.35(d)				
040	Equity instruments	IAS 32.11				
050	Of which: credit institutions	Annex V.Part 1.35(c)				
060	Of which: other financial corporations	Annex V.Part 1.35(d)				
070	Of which: non-financial corporations	Annex V.Part 1.35(e)				
080	Debt securities	Annex V.Part 1.24, 26				
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	Loans and advances	Annex V.Part 1.24, 27				
150	Central banks	Annex V.Part 1.35(a)				
160	General governments	Annex V.Part 1.35(b)				
170	Credit institutions	Annex V.Part 1.35(c)				
180	Other financial corporations	Annex V.Part 1.35(d)				
190	Non-financial corporations	Annex V.Part 1.35(e)				
200	Of which: Small and Medium-sized Enterprises	SME Art 1 2(a)				
210	Of which: Loans collateralized by commercial immovable property					
220	Households	Annex V.Part 1.35(f)				
230	Of which: Loans collateralized by residential immovable property					
240	Of which: Credit for consumption					

20.5. Geographical breakdown of off-balance sheet exposures by residence of the counterparty
z-axis		Country of residence of the counterparty				
						
		References	Nominal amount	Of which: debt forbearance	Of which: non-performing	Provisions for commitments and guarantees given
			Annex V.Part 2.62	Annex V.Part 2.163-183	Annex V.Part 2. 145-162	Annex V.Part 2.61
			010	022	025	030
010	Loan commitments given	IAS 39.2(h), 4(a)(c), BC 15; CRR Annex I; Annex V.Part 2.56, 57				
020	Financial guarantees given	IAS 39.9 AG 4, BC 21; IFRS 4 A; CRR Annex I; Annex V.Part 2.56, 58				
030	Other Commitments given	CRR Annex I; Annex V.Part 2.56, 59				

20.6. Geographical breakdown of liabilities by residence of the counterparty
z-axis		Country of residence of the counterparty	
			
		References	Carrying amount
			Annex V.Part 1.28, 2.107
			010
010	Derivatives	IAS 39.9, AG 15(a)	
020	Of which: credit institutions	Annex V.Part 1.35(c)	
030	Of which: other financial corporations	Annex V.Part 1.35(d)	
040	Short positions	IAS 39 AG 15(b)	
050	Of which: credit institutions	Annex V.Part 1.35(c)	
060	Of which: other financial corporations	Annex V.Part 1.35(d)	
070	Deposits	ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.30	
080	Central banks	Annex V.Part 1.35(a)	
090	General governments	Annex V.Part 1.35(b)	
100	Credit institutions	Annex V.Part 1.35(c)	
110	Other financial corporations	Annex V.Part 1.35(d)	
120	Non-financial corporations	Annex V.Part 1.35(e)	
130	Households	Annex V.Part 1.35(f)	

20.7. Geographical breakdown by residence of the counterparty of loans and advances to non-financial corporations by NACE codes
z-axis		Country of residence of the counterparty			
					
			Non-financial corporations		
		References	Gross carrying amount	Of which: non-performing	Accumulated impairment or Accumulated changes in fair value due to credit risk
			Annex V.Part 2.109	Annex V.Part 2. 145-162	Annex V.Part 2.46
			010	012	020
010	A Agriculture, forestry and fishing	NACE Regulation			
020	B Mining and quarrying	NACE Regulation			
030	C Manufacturing	NACE Regulation			
040	D Electricity, gas, steam and air conditioning supply	NACE Regulation			
050	E Water supply	NACE Regulation			
060	F Construction	NACE Regulation			
070	G Wholesale and retail trade	NACE Regulation			
080	H Transport ans storage	NACE Regulation			
090	I Accommodation and food service activities	NACE Regulation			
100	J Information and communication	NACE Regulation			
110	L Real estate activities	NACE Regulation			
120	M Professional, scientific and technical activities	NACE Regulation			
130	N Administrative and support service activities	NACE Regulation			
140	O Public administration and defence, compulsory social security	NACE Regulation			
150	P Education	NACE Regulation			
160	Q Human health services and social work activities	NACE Regulation			
170	R Arts, entertainment and recreation	NACE Regulation			
180	S Other services	NACE Regulation			
190	LOANS AND ADVANCES	Annex V.Part 1.24, 27			

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

30.1. Interests in unconsolidated structured entities
		References	Carrying amount of financial assets recognised in the balance sheet	Of which: liquidity support drawn	Fair value of liquidity support drawn	Carrying amount of financial liabilities recognised in the balance sheet	Nominal amount of off-balance sheet items given by the reporting institution	Of which: Nominal amount of loan commitments given	Losses incurred by the reporting institution in the current period
			IFRS 12.29(a)	IFRS 12.29(a); Annex V.Part 2.118		IFRS 12.29(a)	IFRS 12.B26(e)		IFRS 12 B26(b)
			010	020	030	040	050	060	070
010	Total								

30.2. Breakdown of interests in unconsolidated structured entities by nature of the activities
By nature of the activities		References	Securitisation Special Purpose Entities	Asset management	Other activities
			CRR art 4(1)(66)	Annex V.Part 2.117(a)	
			Carrying amount		
		IFRS 12.28, B6.(a)	010	020	030
010	Selected financial assets recognised in the reporting institution's balance sheet	IFRS 12.29(a),(b)			
021	of which: non-performing	Annex V.Part 2. 145-162			
030	Derivatives	IAS 39.9			
040	Equity instruments	IAS 32.11			
050	Debt securities	Annex V.Part 1.24, 26			
060	Loans and advances	Annex V.Part 1.24, 27			
070	Selected equity and financial liabilites recognised in the reporting institution's balance sheet	IFRS 12.29(a),(b)			
080	Equity instruments issued	IAS 32.4			
090	Derivatives	IAS 39.9, AG 15 (a)			
100	Deposits	ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.30			
110	Debt securities issued	Annex V.Part 1.31			
			Nominal amount		
120	Off-balance sheet items given by the reporting institution	IFRS 12.B26.(e)			
131	of which: non-performing	Annex V.Part 2. 145-162			

31. Related parties

31.1. Related parties: amounts payable to and amounts receivable from
		References	Outstanding balances				
			Parent and entities with joint control or significant influence	Subsidiaries and other entities of the same group	Associates and joint ventures	Key management of the institution or its parent	Other related parties
			IAS 24.19(a),(b)	IAS 24.19(c); Annex V.Part 2.120	IAS 24.19(d),(e); Annex V.Part 2.120	IAS 24.19(f)	IAS 24.19(g)
		Annex V.Part 2.120	010	020	030	040	050
010	Selected financial assets	IAS 24.18(b)					
020	Equity instruments	IAS 32.11					
030	Debt securities	Annex V.Part 1.24, 26					
040	Loans and advances	Annex V.Part 1.24, 27					
050	of which: Impaired financial assets						
060	Selected financial liabilities	IAS 24.18(b)					
070	Deposits	ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.30					
080	Debt securities issued	Annex V.Part 1.31					
090	Nominal amount of loan commitments, financial guarantees and other commitments given	IAS 24.18(b); Annex V.Part 2.62					
100	of which: defaulted	IAS 24.18(b); Annex V.Part 2.61					
110	Loan commitments, financial guarantees and other commitments received	IAS 24.18(b); Annex V.Part 2.63, 121					
120	Notional amount of derivatives	Annex V.Part 2.70-71					
130	Accumulated impairment, accumulated changes in fair value due to credit risk and provisions on non-performing exposures	IAS 24.18(c)					

31.2. Related parties: expenses and income generated by transactions with
		References	Current period				
			Parent and entities with joint control or significant influence	Subsidiaries and other entities of the same group	Associates and joint ventures	Key management of the institution or its parent	Other related parties
			IAS 24.19(a),(b)	IAS 24.19(c)	IAS 24.19(d),(e)	IAS 24.19(f)	IAS 24.19(g)
		Annex V.Part 2.120	010	020	030	040	050
010	Interest income	IAS 24.18(a); IAS 18.35(b)(iii); Annex V.Part 2.21					
020	Interest expenses	IAS 24.18(a); IAS 1.97; Annex V.Part 2.21					
030	Dividend income	IAS 24.18(a); IAS 18.35(b)(v); Annex V.Part 2.28					
040	Fee and commission income	IAS 24.18(a); IFRS 7.20(c)					
050	Fee and commission expenses	IAS 24.18(a); IFRS 7.20(c)					
060	Gains or (-) losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss	IAS 24.18(a)					
070	Gains or (-) losses on derecognition of non-financial assets	IAS 24.18(a); Annex V.Part 2.122					
080	Increase or (-) decrease during the period in accumulated impairment, accumulated fair value changes due to credit risk and provisions for non-performing debt instruments, guarantees and commitments	IAS 24.18(d)					

41. Fair value

41.1. Fair value hierarchy: financial instruments at amortised cost
ASSETS		References	Fair value	Fair value hierarchyIFRS 13.93(b), BC216		
			IFRS 7.25-26	Level 1IFRS 13.76	Level 2IFRS 13.81	Level 3IFRS 13.86
			010	020	030	040
010	Loans and receivables	IFRS 7.8 (c); IAS 39.9, AG16, AG26				
020	Debt securities	Annex V.Part 1.24, 26				
030	Loans and advances	Annex V.Part 1.24, 27				
040	Held-to-maturity investments	IFRS 7.8(b); IAS 39.9, AG16, AG26				
050	Debt securities	Annex V.Part 1.24, 26				
060	Loans and advances	Annex V.Part 1.24, 27				
LIABILITIES						
070	Financial liabilities measured at amortised cost	IFRS 7.8(f); IAS 39.47				
080	Deposits	ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.30				
090	Debt securities issued	Annex V.Part 1.31				
100	Other financial liabilities	Annex V.Part 1.32-34				

41.2. Use of the Fair Value Option
	Financial instruments designated at fair value through profit or loss	References	Carrying amount		
			Accounting mismatch	Evaluation on a fair value basis	Hybrid contracts
	IFRS 7.B5(a)		IAS 39.9b(i)	IAS 39.9b(ii)	IAS 39.11A-12
	ASSETS		010	020	030
010	Financial assets designated at fair value through profit or loss	IFRS 7.8(a)(i); IAS 39.9			
020	Equity Instruments	IAS 32.11			
030	Debt securities	Annex V.Part 1.24, 26			
040	Loans and advances	Annex V.Part 1.24, 27			
LIABILITIES					
050	Financial liabilities designated at fair value through profit or loss	IFRS 7.8(e)(i); IAS 39.9			
060	Deposits	ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.30			
070	Debt securities issued	Annex V.Part 1.31			
080	Other financial liabilities	Annex V.Part 1.32-34			

41.3. Hybrid financial instruments not designated at fair value through profit or loss
	Rest of separable hybrid contracts [not designated at fair value through profit or loss]	References	Carrying amount
	FINANCIAL ASSETS		010
010	Financial assets held for trading	IAS 39.9; Annex V.Part 2.129	
020	Available-for-sale [Host contracts]	IAS 39.11; Annex V.Part 2.130	
030	Loans and receivables [Host contracts]	IAS 39.11; Annex V.Part 2.130	
040	Held-to-maturity investments [Host contracts]	IAS 39.11; Annex V.Part 2.130	
FINANCIAL LIABILITES			
050	Financial liabilities held for trading	IAS 39.9; Annex V.Part 2.129	
060	Financial liabilities measured at amortized cost [Host contracts]	IAS 39.11; Annex V.Part 2.130	

43. Provisions
		References	Carrying amount						
			Pensions and other post employment defined benefit obligations	Other long term employee benefits	Restructuring	Pending legal issues and tax litigation	Commitments and guarantees given	Other provisions	Total
			IAS 19.63; IAS 1.78(d); Annex V.Part 2.8	IAS 19.153; IAS 1.78(d); Annex V.Part 2.8	IAS 37.70-83	IAS 37.App C.6-10	IAS 37.App C.9; IAS 39.2(h), 47(c)(d), BC 15, AG 4	IAS 37.14	
			010	020	030	040	050	060	070
010	Opening balance [carrying amount at the beginning of the period]	IAS 37.84 (a)							
020	Additions, including increases in existing provisions	IAS 37.84 (b)							
030	(-) Amounts used	IAS 37.84 (c)							
040	(-) Unused amounts reversed during the period	IAS 37.84 (d)							
050	Increase in the discounted amount [passage of time] and effect of any change in the discount rate	IAS 37.84 (e)							
060	Other movements								
070	Closing balance [carrying amount at the end of the period]	IAS 37.84 (a)							

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

45.1. Gains or losses on financial assets and liabilities designated at fair value through profit or loss by accounting portfolio
		References	Current period	Changes in fair value due to credit risk
			010	020
010	Financial assets designated at fair value through profit or loss	IFRS 7.20(a)(i); IAS 39.55(a)		
020	Financial liabilities designated at fair value through profit or loss	IFRS 7.20(a)(i); IAS 39.55(a)		
030	GAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS	IFRS 7.20(a)(i)		

45.2. Gains or losses on derecognition of non-financial assets other than held for sale
		References	Current period
			010
020	Investment property	IAS 40.69; IAS 1.34(a), 98(d)	
030	Intangible assets	IAS 38.113-115A; IAS 1.34(a)	
040	Other assets	IAS 1.34 (a)	
050	GAINS OR (-) LOSSES ON DERECOGNITION OF NON-FINANCIAL ASSETS	IAS 1.34	

45.3. Other operating income and expenses
		References	Income	Expenses
			010	020
010	Changes in fair value in tangible assets measured using the fair value model	IAS 40.76(d); Annex V.Part 2.141		
020	Investment property	IAS 40.75(f); Annex V.Part 2.141		
030	Operating leases other than investment property	IAS 17.50, 51, 56(b); Annex V.Part 2.142		
040	Other	Annex V.Part 2.143		
050	OTHER OPERATING INCOME OR EXPENSES	Annex V.Part 2.141-142		
ANNEX IV

‘ANNEX IV REPORTING FINANCIAL INFORMATION ACCORDING TO NATIONAL ACCOUNTING FRAMEWORKS
FINREP TEMPLATES FOR GAAP		
TEMPLATE NUMBER	TEMPLATE CODE	NAME OF THE TEMPLATE OR OF THE GROUP OF TEMPLATE
		PART 1 [QUARTERLY FREQUENCY]
Balance Sheet Statement [Statement of Financial Position]
1.1	F 01.01	Balance Sheet Statement: assets
1.2	F 01.02	Balance Sheet Statement: liabilities
1.3	F 01.03	Balance Sheet Statement: equity
2	F 02.00	Statement of profit or loss
3	F 03.00	Statement of comprehensive income
Breakdown of financial assets by instrument and by counterparty sector
4.1	F 04.01	Breakdown of financial assets by instrument and by counterparty sector: financial assets held for trading
4.2	F 04.02	Breakdown of financial assets by instrument and by counterparty sector: financial assets designated at fair value through profit or loss
4.3	F 04.03	Breakdown of financial assets by instrument and by counterparty sector: available-for-sale financial assets
4.4	F 04.04	Breakdown of financial assets by instrument and by counterparty sector: loans and receivables and held-to-maturity investments
4.5	F 04.05	Subordinated financial assets
4.6	F 04.06	Breakdown of financial assets by instrument and by counterparty sector: trading financial assets
4.7	F 04.07	Breakdown of financial assets by instrument and by counterparty sector: non-trading non-derivative financial assets measured at fair value through profit or loss
4.8	F 04.08	Breakdown of financial assets by instrument and by counterparty sector: non-trading non-derivative financial assets measured at fair value to equity
4.9	F 04.09	Breakdown of financial assets by instrument and by counterparty sector: non-trading debt instruments measured at a cost-based method
4.10	F 04.10	Breakdown of financial assets by instrument and by counterparty sector: other non-trading non-derivative financial assets
5	F 05.00	Breakdown of loans and advances by product
6	F 06.00	Breakdown of loans and advances to non-financial corporations by NACE codes
7	F 07.00	Financial assets subject to impairment that are past due or impaired
Breakdown of financial liabilities
8.1	F 08.01	Breakdown of financial liabilities by product and by counterparty sector
8.2	F 08.02	Subordinated financial liabilities
Loan commitments, financial guarantees and other commitments
9.1	F 09.01	Off-balance sheet exposures: loan commitments, financial guarantees and other commitments given
9.2	F 09.02	Loan commitments, financial guarantees and other commitments received
10	F 10.00	Derivatives - Trading
Derivatives - Hedge accounting
11.1	F 11.01	Derivatives - Hedge accounting: Breakdown by type of risk and type of hedge
11.2	F 11.02	Derivatives - Hedge accounting under National GAAP: Breakdown by type of risk
12	F 12.00	Movements in allowances for credit losses and impairment of equity instruments
Collateral and guarantees received
13.1	F 13.01	Breakdown of loans and advances by collateral and guarantees
13.2	F 13.02	Collateral obtained by taking possession during the period [held at the reporting date]
13.3	F 13.03	Collateral obtained by taking possession [tangible assets] accumulated
14	F 14.00	Fair value hierarchy: financial instruments at fair value
15	F 15.00	Derecognition and financial liabilities associated with transferred financial assets
Breakdown of selected statement of profit or loss items
16.1	F 16.01	Interest income and expenses by instrument and counterparty sector
16.2	F 16.02	Gains or losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss by instrument
16.3	F 16.03	Gains or losses on financial assets and liabilities held for trading by instrument
16.4	F 16.04	Gains or losses on financial assets and liabilities held for trading by risk
16.5	F 16.05	Gains or losses on financial assets and liabilities designated at fair value through profit or loss by instrument
16.6	F 16.06	Gains or losses from hedge accounting
16.7	F 16.07	Impairment on financial and non-financial assets
Reconciliation between accounting and CRR scope of consolidation: Balance Sheet
17.1	F 17.01	Reconciliation between accounting and CRR scope of consolidation: Assets
17.2	F 17.02	Reconciliation between accounting and CRR scope of consolidation: Off-balance sheet exposures - loan commitments, financial guarantees and other commitments given
17.3	F 17.03	Reconciliation between accounting and CRR scope of consolidation: Liabilities
18	F 18.00	Performing and non-performing exposures
19	F 19.00	Forborne exposures
		PART 2 [QUATERLY WITH THRESHOLD: QUARTERLY FREQUENCY OR NOT REPORTING]
Geographical breakdown
20.1	F 20.01	Geographical breakdown of assets by location of the activities
20.2	F 20.02	Geographical breakdown of liabilities by location of the activities
20.3	F 20.03	Geographical breakdown of main statement of profit or loss items by location of the activities
20.4	F 20.04	Geographical breakdown of assets by residence of the counterparty
20.5	F 20.05	Geographical breakdown of off-balance sheet exposures by residence of the counterparty
20.6	F 20.06	Geographical breakdown of liabilities by residence of the counterparty
20.7	F 20.07	Geographical breakdown by residence of the counterparty of loans and advances to non-financial corporations by NACE codes
21	F 21.00	Tangible and intangible assets: assets subject to operating lease
Asset management, custody and other service functions
22.1	F 22.01	Fee and commission income and expenses by activity
22.2	F 22.02	Assets involved in the services provided
		PART 3 [SEMI-ANNUAL]
Off-balance sheet activities: interests in unconsolidated structured entities
30.1	F 30.01	Interests in unconsolidated structured entities
30.2	F 30.02	Breakdown of interests in unconsolidated structured entities by nature of the activities
Related parties
31.1	F 31.01	Related parties: amounts payable to and amounts receivable from
31.2	F 31.02	Related parties: expenses and income generated by transactions with
		PART 4 [ANNUAL]
Group structure
40.1	F 40.1	Group structure: "entity-by-entity"
40.2	F 40.02	Group structure: "instrument-by-instrument"
Fair value
41.1	F 41.01	Fair value hierarchy: financial instruments at amortised cost
41.2	F 41.02	Use of the Fair Value Option
41.3	F 41.03	Hybrid financial instruments not designated at fair value through profit or loss
42	F 42.00	Tangible and intangible assets: carrying amount by measurement method
43	F 43.00	Provisions
Defined benefit plans and employee benefits
44.1	F 44.01	Components of net defined benefit plan assets and liabilities
44.2	F 44.02	Movements in defined benefit plan obligations
44.3	F 44.03	Memo items [related to staff expenses]
Breakdown of selected items of statement of profit or loss
45.1	F 45.01	Gains or losses on financial assets and liabilities designated at fair value through profit or loss by accounting portfolio
45.2	F 45.02	Gains or losses on derecognition of non-financial assets other than held for sale
45.3	F 45.03	Other operating income and expenses
46	F 46.00	Statement of changes in equity
COLOUR CODE IN TEMPLATES:		
Parts for National GAAP reporters Cell not to be submitted for reporting institutions subject to the relevant accounting framework		

1. Balance Sheet Statement [Statement of Financial Position]

1.1 Assets
		References National GAAP based on BAD	References National GAAP compatible IFRS	Breakdown in table	Carrying amount
					010
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	5	
050	Financial assets held for trading	Accounting Directive art 8(1)(a), (5); IAS 39.9	IFRS 7.8(a)(ii); IAS 39.9, AG 14		
060	Derivatives	CRR Annex II	IAS 39.9	10	
070	Equity instruments	ECB/2013/33 Annex 2.Part 2.4-5	IAS 32.11	4	
080	Debt securities	Annex V.Part 1.24, 26	Annex V.Part 1.24, 26	4	
090	Loans and advances	Annex V.Part 1.24, 27	Annex V.Part 1.24, 27	4	
091	Trading financial assets	Annex V.Part 1.15			
092	Derivatives	CRR Annex II; Annex V.Part 1.15		10	
093	Equity instruments	ECB/2013/33 Annex 2.Part 2.4-5		4	
094	Debt securities	Annex V.Part 1.24, 26		4	
095	Loans and advances	Annex V.Part 1.24, 27		4	
100	Financial assets designated at fair value through profit or loss	Accounting Directive art 8(1)(a), (5); IAS 39.9	IFRS 7.8(a)(i); IAS 39.9	4	
110	Equity instruments	ECB/2013/33 Annex 2.Part 2.4-5	IAS 32.11	4	
120	Debt securities	Annex V.Part 1.24, 26	Annex V.Part 1.24, 26	4	
130	Loans and advances	Annex V.Part 1.24, 27	Annex V.Part 1.24, 27	4	
140	Available-for-sale financial assets	Accounting Directive art 8(1)(a), (5); IAS 39.9	IFRS 7.8(d); IAS 39.9	4	
150	Equity instruments	ECB/2013/33 Annex 2.Part 2.4-5	IAS 32.11	4	
160	Debt securities	Annex V.Part 1.24, 26	Annex V.Part 1.24, 26	4	
170	Loans and advances	Annex V.Part 1.24, 27	Annex V.Part 1.24, 27	4	
171	Non-trading non-derivative financial assets measured at fair value through profit or loss	Accounting Directive art 8(1)(a), (4)		4	
172	Equity instruments	ECB/2013/33 Annex 2.Part 2.4-5		4	
173	Debt securities	Annex V.Part 1.24, 26		4	
174	Loans and advances	Accounting Directive art 8(1)(a), (4)(b); Annex V.Part 1.24, 27		4	
175	Non-trading non-derivative financial assets measured at fair value to equity	Accounting Directive art 8(1)(a), (8)		4	
176	Equity instruments	ECB/2013/33 Annex 2.Part 2.4-5		4	
177	Debt securities	Annex V.Part 1.24, 26		4	
178	Loans and advances	Accounting Directive art 8(1)(a), (4)(b); Annex V.Part 1.24, 27		4	
180	Loans and receivables	Accounting Directive art 8(4)(b),(6); IAS 39.9	IFRS 7.8(c); IAS 39.9, AG16, AG26; Annex V.Part 1.16	4	
190	Debt securities	Annex V.Part 1.24, 26	Annex V.Part 1.24, 26	4	
200	Loans and advances	Annex V.Part 1.24, 27	Annex V.Part 1.24, 27	4	
210	Held-to-maturity investments	Accounting Directive art 8(4)(a),(6); IAS 39.9	IFRS 7.8(b); IAS 39.9, AG16, AG26	4	
220	Debt securities	Annex V.Part 1.24, 26	Annex V.Part 1.24, 26	4	
230	Loans and advances	Annex V.Part 1.24, 27	Annex V.Part 1.24, 27	4	
231	Non-trading debt instruments measured at a cost-based method	BAD art 37.1; art 42a(4)(b); Annex V.Part1.16		4	
232	Debt securities	Annex V.Part 1.24, 26		4	
233	Loans and advances	Annex V.Part 1.24, 27		4	
234	Other non-trading non-derivative financial assets	BAD art 35-37; Annex V.Part 1.17		4	
235	Equity instruments	ECB/2013/33 Annex 2.Part 2.4-5		4	
236	Debt securities	Annex V.Part 1.24, 26		4	
237	Loans and advances	Annex V.Part 1.24, 27		4	
240	Derivatives – Hedge accounting	Accounting Directive art 8(1)(a), (6), (8); IAS 39.9; Annex V.Part 1.19	IFRS 7.22(b); IAS 39.9	11	
250	Fair value changes of the hedged items in portfolio hedge of interest rate risk	Accounting Directive art 8(5), (6); IAS 39.89A (a)	IAS 39.89A(a)		
260	Investments in subsidaries, joint ventures and associates	BAD art 4.Assets(7)-(8); Accounting Directive art 2(2); Annex V.Part 2.4	IAS 1.54(e); Annex V.Part 2.4	4, 40	
270	Tangible assets	BAD art 4.Assets(10)			
280	Property, Plant and Equipment		IAS 16.6; IAS 1.54(a)	21, 42	
290	Investment property		IAS 40.5; IAS 1.54(b)	21, 42	
300	Intangible assets	BAD art 4.Assets(9); CRR art 4(1)(115)	IAS 1.54(c); CRR art 4(1)(115)		
310	Goodwill	BAD art 4.Assets(9); CRR art 4(1)(113)	IFRS 3.B67(d); CRR art 4(1)(113)		
320	Other intangible assets	BAD art 4.Assets(9)	IAS 38.8,118	21, 42	
330	Tax assets		IAS 1.54(n-o)		
340	Current tax assets		IAS 1.54(n); IAS 12.5		
350	Deferred tax assets	Accounting Directive art 17(1)(f); CRR art 4(106)	IAS 1.54(o); IAS 12.5; CRR art 4(106)		
360	Other assets	Annex V.Part 2.5, 14	Annex V.Part 2.5		
370	Non-current assets and disposal groups classified as held for sale		IAS 1.54(j); IFRS 5.38, Annex V.Part 2.6		
380	TOTAL ASSETS	BAD art 4 Assets	IAS 1.9(a), IG 6		

1.2 Liabilities
		References National GAAP based on BAD	References National GAAP compatible IFRS	Breakdown in table	Carrying amount
					010
010	Financial liabilities held for trading	Accounting Directive art 8(1)(a), (6); IAS 39.9, AG 14-15	IFRS 7.8 (e) (ii); IAS 39.9, AG 14-15	8	
020	Derivatives	CRR Annex II	IAS 39.9, AG 15(a)	10	
030	Short positions		IAS 39.AG 15(b)	8	
040	Deposits	ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.30	ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.30	8	
050	Debt securities issued	Annex V.Part 1.31	Annex V.Part 1.31	8	
060	Other financial liabilities	Annex V.Part 1.32-34	Annex V.Part 1.32-34	8	
061	Trading financial liabilities	Accounting Directive art 8(3)		8	
062	Derivatives	CRR Annex II; Annex V.Part 1.21		10	
063	Short positions			8	
064	Deposits	ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.30		8	
065	Debt securities issued	Annex V.Part 1.31		8	
066	Other financial liabilities	Annex V.Part 1.32-34		8	
070	Financial liabilities designated at fair value through profit or loss	Accounting Directive art 8(1)(a), (6); IAS 39.9	IFRS 7.8 (e)(i); IAS 39.9	8	
080	Deposits	ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.30	ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.30	8	
090	Debt securities issued	Annex V.Part 1.31	Annex V.Part 1.31	8	
100	Other financial liabilities	Annex V.Part 1.32-34	Annex V.Part 1.32-34	8	
110	Financial liabilities measured at amortised cost	Accounting Directive art 8(3), (6); IAS 39.47	IFRS 7.8(f); IAS 39.47	8	
120	Deposits	ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.30	ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.30	8	
130	Debt securities issued	Annex V.Part 1.31	Annex V.Part 1.31	8	
140	Other financial liabilities	Annex V.Part 1.32-34	Annex V.Part 1.32-34	8	
141	Non-trading non-derivative financial liabilities measured at a cost-based method	Accounting Directive art 8(3)		8	
142	Deposits	ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.30		8	
143	Debt securities issued	Annex V.Part 1.31		8	
144	Other financial liabilities	Annex V.Part 1.32-34		8	
150	Derivatives – Hedge accounting	Accounting Directive art 8(1)(a), (6), (8)(a); Annex V.Part 1.23	IFRS 7.22(b); IAS 39.9; Annex V.Part 1.23	11	
160	Fair value changes of the hedged items in portfolio hedge of interest rate risk	Accounting Directive art 8(5), (6); Annex V.Part 2.7; IAS 39.89A(b)	IAS 39.89A(b)		
170	Provisions	BAD art 4.Liabilities(6)	IAS 37.10; IAS 1.54(l)	43	
175	Funds for general banking risks [if presented within liabilities]	BAD art 38.1; CRR art 4(112); Annex V.Part 2.12			
180	Pensions and other post employment defined benefit obligations	Annex V.Part 2.8	IAS 19.63; IAS 1.78(d); Annex V.Part 2.8	43	
190	Other long term employee benefits	Annex V.Part 2.8	IAS 19.153; IAS 1.78(d); Annex V.Part 2.8	43	
200	Restructuring		IAS 37.71, 84(a)	43	
210	Pending legal issues and tax litigation		IAS 37.Appendix C. Examples 6 and 10	43	
220	Commitments and guarantees given	BAD art 24-25, 33(1)	IAS 37.Appendix C.9	43	
230	Other provisions			43	
240	Tax liabilities		IAS 1.54(n-o)		
250	Current tax liabilities		IAS 1.54(n); IAS 12.5		
260	Deferred tax liabilities	Accounting Directive art 17(1)(f); CRR art 4(108)	IAS 1.54(o); IAS 12.5; CRR art 4(108)		
270	Share capital repayable on demand		IAS 32 IE 33; IFRIC 2; Annex V.Part 2.9		
280	Other liabilities	Annex V.Part 2.10	Annex V.Part 2.10		
290	Liabilities included in disposal groups classified as held for sale		IAS 1.54 (p); IFRS 5.38, Annex V.Part 2.11		
300	TOTAL LIABILITIES		IAS 1.9(b);IG 6		

1.3 Equity
		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); Annex V.Part 2.14	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	Accounting Directive art 8(6); 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]	Accounting Directive art 8(1)(a), (6)	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]	Accounting Directive art 8(1)(a), (6)	IFRS 7.23(c); IAS 39.95-101		
160	Available-for-sale financial assets	Accounting Directive art 8(1)(a), (6)	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	Accounting Directive art 7(1)			
202	Equity instruments	Accounting Directive art 7(1)			
203	Debt securities	Accounting Directive art 7(1)			
204	Other	Accounting Directive art 7(1)			
205	Fair value reserves	Accounting Directive art 8(1)(a)			
206	Hedge of net investments in foreign operations	Accounting Directive art 8(1)(a), (8)(b)			
207	Hedging derivatives.Cash flow hedges	Accounting Directive art 8(1)(a), (8)(a); CRR article 30(a)			
208	Hedging derivatives. Other hedges	Accounting Directive art 8(1)(a), (8)(a)			
209	Non-trading non-derivative financial assets measured at fair value to equity	Accounting Directive art 8(1)(a), (8)(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	Accounting Directive art 9(7)(a); art 27; 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	Accounting Directive art 24(3)(c)			
240	(-) Treasury shares	Accounting Directive Annex III Annex III Assets D(III)(2); BAD art 4 Assets (12); 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]	Accounting Directive art 24(4)	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		

2. Statement of profit or loss
		References National GAAP based on BAD	References National GAAP compatible IFRS	Breakdown in table	Current period
					010
010	Interest income	BAD art 27.Vertical layout(1); Annex V.Part 2.21	IAS 1.97; IAS 18.35(b)(iii); Annex V.Part 2.21	16	
020	Financial assets held for trading		IFRS 7.20(a)(i), B5(e); Annex V.Part 2.24		
030	Financial assets designated at fair value through profit or loss		IFRS 7.20(a)(i), B5(e)		
040	Available-for-sale financial assets		IFRS 7.20(b); IAS 39.55(b); IAS 39.9		
050	Loans and receivables		IFRS 7.20(b); IAS 39.9, 39.46(a)		
060	Held-to-maturity investments		IFRS 7.20(b); IAS 39.9, 39.46(b)		
070	Derivatives - Hedge accounting, interest rate risk		IAS 39.9; Annex V.Part 2.23		
080	Other assets		Annex V.Part 2.25		
085	Interest income on liabilities	Annex V.Part 2.25	Annex V.Part 2.25		
090	(Interest expenses)	BAD art 27.Vertical layout(2); Annex V.Part 2.21	IAS 1.97; Annex V.Part 2.21	16	
100	(Financial liabilities held for trading)		IFRS 7.20(a)(i), B5(e); Annex V.Part 2.24		
110	(Financial liabilities designated at fair value through profit or loss)		IFRS 7.20(a)(i), B5(e)		
120	(Financial liabilities measured at amortised cost)		IFRS 7.20(b); IAS 39.47		
130	(Derivatives - Hedge accounting, interest rate risk)		IAS 39.9; Annex V.Part 2.23		
140	(Other liabilities)		Annex V.Part 2.26		
145	(Interest expense on assets)	Annex V.Part 2.26	Annex V.Part 2.26		
150	(Expenses on share capital repayable on demand)		IFRIC 2.11		
160	Dividend income	BAD art 27.Vertical layout(3); Annex V.Part 2.28	IAS 18.35(b)(v); Annex V.Part 2.28		
170	Financial assets held for trading		IFRS 7.20(a)(i), B5(e)		
180	Financial assets designated at fair value through profit or loss		IFRS 7.20(a)(i), B5(e); IAS 39.9		
190	Available-for-sale financial assets		IFRS 7.20(a)(ii); IAS 39.9, 39.55(b)		
200	Fee and commission income	BAD art 27.Vertical layout(4)	IFRS 7.20(c)	22	
210	(Fee and commission expenses)	BAD art 27.Vertical layout(5)	IFRS 7.20(c)	22	
220	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) (ii-v); Annex V.Part 2.97	16	
230	Available-for-sale financial assets		IFRS 7.20(a)(ii); IAS 39.9, 39.55(b)		
240	Loans and receivables		IFRS 7.20(a)(iv); IAS 39.9, 39.56		
250	Held-to-maturity investments		IFRS 7.20(a)(iii); IAS 39.9, 39.56		
260	Financial liabilities measured at amortised cost		IFRS 7.20(a)(v); IAS 39.56		
270	Other				
280	Gains or (-) losses on financial assets and liabilities held for trading, net	BAD art 27.Vertical layout(6)	IFRS 7.20(a)(i); IAS 39.55(a)	16	
285	Gains or (-) losses on trading financial assets and liabilities, net	BAD art 27.Vertical layout(6)		16	
290	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); IAS 39.55(a)	16, 45	
295	Gains or (-) losses on non-trading financial assets and liabilities, net	BAD art 27.Vertical layout(6)		16	
300	Gains or (-) losses from hedge accounting, net	Accounting Directive art 8(1)(a), (6), (8)	IFRS 7.24; Annex V.Part 2.30	16	
310	Exchange differences [gain or (-) loss], net	BAD art 39	IAS 21.28, 52 (a)		
320	Gains or (-) losses on derecognition of investments in subsidiaries, joint ventures and associates, net	BAD art 27.Vertical layout(13)-(14)			
330	Gains or (-) losses on derecognition of non financial assets, net		IAS 1.34	45	
340	Other operating income	BAD art 27.Vertical layout(7); Annex V.Part 2.141-143	Annex V.Part 2.141-143	45	
350	(Other operating expenses)	BAD art 27.Vertical layout(10); Annex V.Part 2.141-143	Annex V.Part 2.141-143	45	
355	TOTAL OPERATING INCOME, NET				
360	(Administrative expenses)	BAD art 27.Vertical layout(8)			
370	(Staff expenses)	BAD art 27.Vertical layout(8)(a)	IAS 19.7; IAS 1.102, IG 6	44	
380	(Other administrative expenses)	BAD art 27.Vertical layout(8)(b);			
390	(Depreciation)		IAS 1.102, 104		
400	(Property, Plant and Equipment)	BAD art 27.Vertical layout(9)	IAS 1.104; IAS 16.73(e)(vii)		
410	(Investment Properties)	BAD art 27.Vertical layout(9)	IAS 1.104; IAS 40.79(d)(iv)		
415	(Goodwill)	BAD art 27.Vertical layout(9)			
420	(Other intangible assets)	BAD art 27.Vertical layout(9)	IAS 1.104; IAS 38.118(e)(vi)		
430	(Provisions or (-) reversal of provisions)		IAS 37.59, 84; IAS 1.98(b)(f)(g)	43	
440	(Commitments and guarantees given)	BAD art 27.Vertical layout(11)-(12)			
450	(Other provisions)				
455	(Increases or (-) decreases of the fund for general banking risks, net)	BAD art 38.2			
460	(Impairment or (-) reversal of impairment on financial assets not measured at fair value through profit or loss)	BAD art 35-37, Annex V.Part 2.29	IFRS 7.20(e)	16	
470	(Financial assets measured at cost)		IFRS 7.20(e); IAS 39.66		
480	(Available- for-sale financial assets)		IFRS 7.20(e); IAS 39.67		
490	(Loans and receivables		IFRS 7.20(e); IAS 39.63		
500	(Held to maturity investments)		IFRS 7.20(e); IAS 39.63		
510	(Impairment or (-) reversal of impairment of investments in subsidaries, joint ventures and associates)	BAD art 27.Vertical layout(13)-(14)	IAS 28.40-43	16	
520	(Impairment or (-) reversal of impairment on non-financial assets)		IAS 36.126(a)(b)	16	
530	(Property, plant and equipment)	BAD art 27.Vertical layout(9)	IAS 16.73(e)(v-vi)		
540	(Investment properties)	BAD art 27.Vertical layout(9)	IAS 40.79(d)(v)		
550	(Goodwill)	BAD art 27.Vertical layout(9)	IFRS 3.Appendix B67(d)(v); IAS 36.124		
560	(Other intangible assets)	BAD art 27.Vertical layout(9)	IAS 38.118 (e)(iv)(v)		
570	(Other)		IAS 36.126 (a)(b)		
580	Negative goodwill recognised in profit or loss	Accounting Directive art 24(3)(f)	IFRS 3.Appendix B64(n)(i)		
590	Share of the profit or (-) loss of investments in subsidaries, joint ventures and associates	BAD art 27.Vertical layout(13)-(14)	IAS 1.82(c)		
600	Profit or (-) loss from non-current assets and disposal groups classified as held for sale not qualifying as discontinued operations		IFRS 5.37; Annex V.Part 2.27		
610	PROFIT OR (-) LOSS BEFORE TAX FROM CONTINUING OPERATIONS		IAS 1.102, IG 6; IFRS 5.33 A		
620	(Tax expense or (-) income related to profit or loss from continuing operations)	BAD art 27.Vertical layout(15)	IAS 1.82(d); IAS 12.77		
630	PROFIT OR (-) LOSS AFTER TAX FROM CONTINUING OPERATIONS	BAD art 27.Vertical layout(16)	IAS 1, IG 6		
632	Extraordinary profit or (-) loss after tax	BAD art 27.Vertical layout(21)			
633	Extraordinary profit or loss before tax	BAD art 27.Vertical layout(19)			
634	(Tax expense or (-) income related to extraordinary profit or loss)	BAD art 27.Vertical layout(20)			
640	Profit or (-) loss after tax from discontinued operations		IAS 1.82(e) ; IFRS 5.33(a), 5.33 A		
650	Profit or (-) loss before tax from discontinued operations		IFRS 5.33(b)(i)		
660	(Tax expense or (-) income related to discontinued operations)		IFRS 5.33 (b)(ii),(iv)		
670	PROFIT OR (-) LOSS FOR THE YEAR	BAD art 27.Vertical layout(23)	IAS 1.81A(a)		
680	Attributable to minority interest [non-controlling interests]		IAS 1.83(a)(i)		
690	Attributable to owners of the parent		IAS 1.81B (b)(ii)		

3. Statement of comprehensive income
		References National GAAP compatible IFRS	Current period
			010
010	Profit or (-) loss for the year	IAS 1.7, 81(b), 83(a), IG6	
020	Other comprehensive income	IAS 1.7, 81(b), IG6	
030	Items that will not be reclassified to profit or loss	IAS 1.82A(a)	
040	Tangible assets	IAS 1.7, IG6; IAS 16.39-40	
050	Intangible assets	IAS 1.7; IAS 38.85-86	
060	Actuarial gains or (-) losses on defined benefit pension plans	IAS 1.7, IG6; IAS 19.93A	
070	Non-current assets and disposal groups held for sale	IFRS 5.38	
080	Share of other recognised income and expense of entities accounted for using the equity method	IAS 1.82(h), IG6; IAS 28.11	
090	Income tax relating to items that will not be reclassified	IAS 1.91(b); Annex V.Part 2.31	
100	Items that may be reclassified to profit or loss	IAS 1.82A(b)	
110	Hedge of net investments in foreign operations [effective portion]	IAS 39.102(a)	
120	Valuation gains or (-) losses taken to equity	IAS 39.102(a)	
130	Transferred to profit or loss	IAS 1.7, 92-95; IAS 39.102(a)	
140	Other reclassifications		
150	Foreign currency translation	IAS 1.7, IG6; IAS 21.52(b)	
160	Translation gains or (-) losses taken to equity	IAS 21.32, 38-47	
170	Transferred to profit or loss	IAS 1.7, 92-95; IAS 21.48-49	
180	Other reclassifications		
190	Cash flow hedges [effective portion]	IAS 1.7, IG6; IFRS 7.23(c); IAS 39.95(a)-96	
200	Valuation gains or (-) losses taken to equity	IAS 1.IG6; IAS 39.95(a)-96	
210	Transferred to profit or loss	IAS 1.7, 92-95, IG6; IAS 39.97-101	
220	Transferred to initial carrying amount of hedged items	IAS 1.IG6; IAS 39.97-101	
230	Other reclassifications		
240	Available-for-sale financial assets	IAS 1.7, IG 6; IFRS 7.20(a)(ii); IAS 1.IG6; IAS 39.55(b)	
250	Valuation gains or (-) losses taken to equity	IFRS 7.20(a)(ii); IAS 1.IG6; IAS 39.55(b)	
260	Transferred to profit or loss	IFRS 7.20(a)(ii); IAS 1.7, IAS 1.92-95, IAS 1.IG6; IAS 39.55(b)	
270	Other reclassifications	IFRS 5.IG Example 12	
280	Non-current assets and disposal groups held for sale	IFRS 5.38	
290	Valuation gains or (-) losses taken to equity	IFRS 5.38	
300	Transferred to profit or loss	IAS 1.7, 92-95; IFRS 5.38	
310	Other reclassifications	IFRS 5.IG Example 12	
320	Share of other recognised income and expense of Investments in subsidaries, joint ventures and associates	IAS 1.82(h), IG6; IAS 28.11	
330	Income tax relating to items that may be reclassified to profit or (-) loss	IAS 1.91(b), IG6; Annex V.Part 2.31	
340	Total comprehensive income for the year	IAS 1.7, 81A(a), IG6	
350	Attributable to minority interest [Non-controlling interest]	IAS 1.83(b)(i), IG6	
360	Attributable to owners of the parent	IAS 1.83(b)(ii), IG6	

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

4.1 Financial assets held for trading
		References National GAAP based on BAD	References National GAAP compatible IFRS	Carrying amount	Accumulated changes in fair value due to credit risk
					Annex V.Part 2.46
				010	020
010	Equity instruments	ECB/2013/33 Annex 2.Part 2.4-5	IAS 32.11		
020	of which: at cost		IAS 39.46(c)		
030	of which: credit institutions	Annex V.Part 1.35(c)	Annex V.Part 1.35(c)		
040	of which: other financial corporations	Annex V.Part 1.35(d)	Annex V.Part 1.35(d)		
050	of which: non-financial corporations	Annex V.Part 1.35(e)	Annex V.Part 1.35(e)		
060	Debt securities	Annex V.Part 1.24, 26	Annex V.Part 1.24, 26		
070	Central banks	Annex V.Part 1.35(a)	Annex V.Part 1.35(a)		
080	General governments	Annex V.Part 1.35(b)	Annex V.Part 1.35(b)		
090	Credit institutions	Annex V.Part 1.35(c)	Annex V.Part 1.35(c)		
100	Other financial corporations	Annex V.Part 1.35(d)	Annex V.Part 1.35(d)		
110	Non-financial corporations	Annex V.Part 1.35(e)	Annex V.Part 1.35(e)		
120	Loans and advances	Annex V.Part 1.24, 27	Annex V.Part 1.24, 27		
130	Central banks	Annex V.Part 1.35(a)	Annex V.Part 1.35(a)		
140	General governments	Annex V.Part 1.35(b)	Annex V.Part 1.35(b)		
150	Credit institutions	Annex V.Part 1.35(c)	Annex V.Part 1.35(c)		
160	Other financial corporations	Annex V.Part 1.35(d)	Annex V.Part 1.35(d)		
170	Non-financial corporations	Annex V.Part 1.35(e)	Annex V.Part 1.35(e)		
180	Households	Annex V.Part 1.35(f)	Annex V.Part 1.35(f)		

4.2 Financial assets designated at fair value through profit or loss
		References National GAAP based on BAD	References National GAAP compatible IFRS	Carrying amount	Accumulated changes in fair value due to credit risk
					IFRS 7.9 (c); Annex V.Part 2.46
				010	020
010	Equity instruments	ECB/2013/33 Annex 2.Part 2.4-5	IAS 32.11		
020	of which: at cost		IAS 39.46(c)		
030	of which: credit institutions	Annex V.Part 1.35(c)	Annex V.Part 1.35(c)		
040	of which: other financial corporations	Annex V.Part 1.35(d)	Annex V.Part 1.35(d)		
050	of which: non-financial corporations	Annex V.Part 1.35(e)	Annex V.Part 1.35(e)		
060	Debt securities	Annex V.Part 1.24, 26	Annex V.Part 1.24, 26		
070	Central banks	Annex V.Part 1.35(a)	Annex V.Part 1.35(a)		
080	General governments	Annex V.Part 1.35(b)	Annex V.Part 1.35(b)		
090	Credit institutions	Annex V.Part 1.35(c)	Annex V.Part 1.35(c)		
100	Other financial corporations	Annex V.Part 1.35(d)	Annex V.Part 1.35(d)		
110	Non-financial corporations	Annex V.Part 1.35(e)	Annex V.Part 1.35(e)		
120	Loans and advances	Annex V.Part 1.24, 27	Annex V.Part 1.24, 27		
130	Central banks	Annex V.Part 1.35(a)	Annex V.Part 1.35(a)		
140	General governments	Annex V.Part 1.35(b)	Annex V.Part 1.35(b)		
150	Credit institutions	Annex V.Part 1.35(c)	Annex V.Part 1.35(c)		
160	Other financial corporations	Annex V.Part 1.35(d)	Annex V.Part 1.35(d)		
170	Non-financial corporations	Annex V.Part 1.35(e)	Annex V.Part 1.35(e)		
180	Households	Annex V.Part 1.35(f)	Annex V.Part 1.35(f)		
190	FINANCIAL ASSETS DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS	Accounting Directive art 8(1)(a), (6); IAS 39.9	IFRS 7.8(a)(i); IAS 39.9		

4.3 Available-for-sale financial assets
		References National GAAP based on BAD	References National GAAP compatible IFRS	Carrying amount of unimpaired assets	Carrying amount of impaired assets	Carrying amount	Accumulated impairment
					IAS 39.58-62	Annex V.Part 2.34	Annex V.Part 2.46
				010	020	030	040
010	Equity instruments	ECB/2013/33 Annex 2.Part 2.4-5	IAS 32.11				
020	of which: at cost		IAS 39.46(c)				
030	of which: credit institutions	Annex V.Part 1.35(c)	Annex V.Part 1.35(c)				
040	of which: other financial corporations	Annex V.Part 1.35(d)	Annex V.Part 1.35(d)				
050	of which: non-financial corporations	Annex V.Part 1.35(e)	Annex V.Part 1.35(e)				
060	Debt securities	Annex V.Part 1.24, 26	Annex V.Part 1.24, 26				
070	Central banks	Annex V.Part 1.35(a)	Annex V.Part 1.35(a)				
080	General governments	Annex V.Part 1.35(b)	Annex V.Part 1.35(b)				
090	Credit institutions	Annex V.Part 1.35(c)	Annex V.Part 1.35(c)				
100	Other financial corporations	Annex V.Part 1.35(d)	Annex V.Part 1.35(d)				
110	Non-financial corporations	Annex V.Part 1.35(e)	Annex V.Part 1.35(e)				
120	Loans and advances	Annex V.Part 1.24, 27	Annex V.Part 1.24, 27				
130	Central banks	Annex V.Part 1.35(a)	Annex V.Part 1.35(a)				
140	General governments	Annex V.Part 1.35(b)	Annex V.Part 1.35(b)				
150	Credit institutions	Annex V.Part 1.35(c)	Annex V.Part 1.35(c)				
160	Other financial corporations	Annex V.Part 1.35(d)	Annex V.Part 1.35(d)				
170	Non-financial corporations	Annex V.Part 1.35(e)	Annex V.Part 1.35(e)				
180	Households	Annex V.Part 1.35(f)	Annex V.Part 1.35(f)				
190	AVAILABLE-FOR-SALE FINANCIAL ASSETS	Accounting Directive art 8(1)(a), (6); IAS 39.9	IFRS 7.8(d); IAS 39.9				

4.4 Loans and receivables and held-to-maturity investments
				Unimpaired assets [gross carrying amount]	Impaired assets [gross carrying amount]	Specific allowances for financial assets, individually estimated	Specific allowances for financial assets, collectively estimated	Collective allowances for incurrred but not reported losses	Carrying amount
			References National GAAP compatible IFRS		IFRS 7.37(b); IFRS 7.IG 29 (a); IAS 39.58-59	IAS 39.AG 84-92; Annex V.Part 2.36	IAS 39.AG 84-92; Annex V.Part 2.37	IAS 39.AG 84-92; Annex V.Part 2.38	Annex V.Part 2.39
		References National GAAP based on BAD				Annex V.Part 2.36	Annex V.Part 2.37	Annex V.Part 2.38	Annex V.Part 2.39
				010	020	030	040	050	060
010	Debt securities	Annex V.Part 1.24, 26	Annex V.Part 1.24, 26						
020	Central banks	Annex V.Part 1.35(a)	Annex V.Part 1.35(a)						
030	General governments	Annex V.Part 1.35(b)	Annex V.Part 1.35(b)						
040	Credit institutions	Annex V.Part 1.35(c)	Annex V.Part 1.35(c)						
050	Other financial corporations	Annex V.Part 1.35(d)	Annex V.Part 1.35(d)						
060	Non-financial corporations	Annex V.Part 1.35(e)	Annex V.Part 1.35(e)						
070	Loans and advances	Annex V.Part 1.24, 27	Annex V.Part 1.24, 27						
080	Central banks	Annex V.Part 1.35(a)	Annex V.Part 1.35(a)						
090	General governments	Annex V.Part 1.35(b)	Annex V.Part 1.35(b)						
100	Credit institutions	Annex V.Part 1.35(c)	Annex V.Part 1.35(c)						
110	Other financial corporations	Annex V.Part 1.35(d)	Annex V.Part 1.35(d)						
120	Non-financial corporations	Annex V.Part 1.35(e)	Annex V.Part 1.35(e)						
130	Households	Annex V.Part 1.35(f)	Annex V.Part 1.35(f)						
140	LOANS AND RECEIVABLES	Accounting Directive art 8(4)(b),(6); IAS 39.9	IAS 39,9 AG 16, AG26; Annex V.Part 1.16						
150	Debt securities	Annex V.Part 1.24, 26	Annex V.Part 1.24, 26						
160	Central banks	Annex V.Part 1.35(a)	Annex V.Part 1.35(a)						
170	General governments	Annex V.Part 1.35(b)	Annex V.Part 1.35(b)						
180	Credit institutions	Annex V.Part 1.35(c)	Annex V.Part 1.35(c)						
190	Other financial corporations	Annex V.Part 1.35(d)	Annex V.Part 1.35(d)						
200	Non-financial corporations	Annex V.Part 1.35(e)	Annex V.Part 1.35(e)						
210	Loans and advances	Annex V.Part 1.24, 27	Annex V.Part 1.24, 27						
220	Central banks	Annex V.Part 1.35(a)	Annex V.Part 1.35(a)						
230	General governments	Annex V.Part 1.35(b)	Annex V.Part 1.35(b)						
240	Credit institutions	Annex V.Part 1.35(c)	Annex V.Part 1.35(c)						
250	Other financial corporations	Annex V.Part 1.35(d)	Annex V.Part 1.35(d)						
260	Non-financial corporations	Annex V.Part 1.35(e)	Annex V.Part 1.35(e)						
270	Households	Annex V.Part 1.35(f)	Annex V.Part 1.35(f)						
280	HELD-TO-MATURITY	Accounting Directive art 8(4),(6); IAS 39.9	IFRS 7.8(c); IAS 39.9, AG16, AG26						

4.5 Subordinated financial assets
		References National GAAP based on BAD	References National GAAP compatible IFRS	Carrying amount
				010
010	Loans and advances	Annex V.Part 1.24, 27	Annex V.Part 1.24, 27	
020	Debt securities	Annex V.Part 1.24, 26	Annex V.Part 1.24, 26	
030	SUBORDINATED [FOR THE ISSUER] FINANCIAL ASSETS	Accounting Directive art 8(1)(a)	Annex V.Part 2.40, 54	

4.6 Trading Financial assets
		References National GAAP based on BAD	Carrying amount	Accumulated changes in fair value due to credit risk
				Annex V.Part 2.46
			010	020
010	Equity instruments	ECB/2013/33 Annex 2.Part 2.4-5		
020	of which: unquoted			
030	of which: credit institutions			
040	of which: other financial corporations	Annex V.Part 1.35(d)		
050	of which: non-financial corporations	Annex V.Part 1.35(e)		
060	Debt securities	Annex V.Part 1.24, 26		
070	Central banks	Annex V.Part 1.35(a)		
080	General governments	Annex V.Part 1.35(b)		
090	Credit institutions	Annex V.Part 1.35(c)		
100	Other financial corporations	Annex V.Part 1.35(d)		
110	Non-financial corporations	Annex V.Part 1.35(e)		
120	Loans and advances	Annex V.Part 1.24, 27		
130	Central banks	Annex V.Part 1.35(a)		
140	General governments	Annex V.Part 1.35(b)		
150	Credit institutions	Annex V.Part 1.35(c)		
160	Other financial corporations	Annex V.Part 1.35(d)		
170	Non-financial corporations	Annex V.Part 1.35(e)		
180	Households	Annex V.Part 1.35(f)		

4.7 Non-trading non-derivative financial assets measured at fair value through profit or loss
		References National GAAP based on BAD	Carrying amount	Accumulated changes in fair value due to credit risk
				Annex V.Part 2.46
			010	020
010	Equity instruments	ECB/2013/33 Annex 2.Part 2.4-5		
020	of which: unquoted			
030	of which: credit institutions	Annex V.Part 1.35(c)		
040	of which: other financial corporations	Annex V.Part 1.35(d)		
050	of which: non-financial corporations	Annex V.Part 1.35(e)		
060	Debt securities	Annex V.Part 1.24, 26		
070	Central banks	Annex V.Part 1.35(a)		
080	General governments	Annex V.Part 1.35(b)		
090	Credit institutions	Annex V.Part 1.35(c)		
100	Other financial corporations	Annex V.Part 1.35(d)		
110	Non-financial corporations	Annex V.Part 1.35(e)		
120	Loans and advances	Annex V.Part 1.24, 27		
130	Central banks	Annex V.Part 1.35(a)		
140	General governments	Annex V.Part 1.35(b)		
150	Credit institutions	Annex V.Part 1.35(c)		
160	Other financial corporations	Annex V.Part 1.35(d)		
170	Non-financial corporations	Annex V.Part 1.35(e)		
180	Households	Annex V.Part 1.35(f)		
190	NON-TRADING NON-DERIVATIVE FINANCIAL ASSETS MEASURED AT FAIR VALUE THROUGH PROFIT OR LOSS	Accounting Directive art 8(1)(a), (4)		

4.8 Non-trading non-derivative financial assets measured at fair value to equity
		References National GAAP based on BAD	Carrying amount	Accumulated changes in fair value due to credit risk
				Annex V.Part 2.46
			010	020
010	Equity instruments	ECB/2013/33 Annex 2.Part 2.4-5		
020	of which: unquoted			
030	of which: credit institutions	Annex V.Part 1.35(c)		
040	of which: other financial corporations	Annex V.Part 1.35(d)		
050	of which: non-financial corporations	Annex V.Part 1.35(e)		
060	Debt securities	Annex V.Part 1.24, 26		
070	Central banks	Annex V.Part 1.35(a)		
080	General governments	Annex V.Part 1.35(b)		
090	Credit institutions	Annex V.Part 1.35(c)		
100	Other financial corporations	Annex V.Part 1.35(d)		
110	Non-financial corporations	Annex V.Part 1.35(e)		
120	Loans and advances	Annex V.Part 1.24, 27		
130	Central banks	Annex V.Part 1.35(a)		
140	General governments	Annex V.Part 1.35(b)		
150	Credit institutions	Annex V.Part 1.35(c)		
160	Other financial corporations	Annex V.Part 1.35(d)		
170	Non-financial corporations	Annex V.Part 1.35(e)		
180	Households	Annex V.Part 1.35(f)		
190	NON-TRADING NON-DERIVATIVE FINANCIAL ASSETS MEASURED AT FAIR VALUE TO EQUITY	Accounting Directive art 8(1)(a), (8)(2)		

4.9 Non-trading debt instruments measured at a cost-based method
		References National GAAP based on BAD	Unimpaired assets	Impaired assets [gross carrying amount]	Specific allowances for credit risk	General allowances for credit risk and banking risk affecting carrying amount	Carrying amount
				CRR art 4(95)	CRR art 4(95)	CRR art 4(95); Annex V.Part 2.38	Annex V.Part 2.39
			010	020	030	040	050
010	Debt securities	Annex V.Part 1.24, 26					
020	Central banks	Annex V.Part 1.35(a)					
030	General governments	Annex V.Part 1.35(b)					
040	Credit institutions	Annex V.Part 1.35(c)					
050	Other financial corporations	Annex V.Part 1.35(d)					
060	Non-financial corporations	Annex V.Part 1.35(e)					
070	Loans and advances	Annex V.Part 1.24, 27					
080	Central banks	Annex V.Part 1.35(a)					
090	General governments	Annex V.Part 1.35(b)					
100	Credit institutions	Annex V.Part 1.35(c)					
110	Other financial corporations	Annex V.Part 1.35(d)					
120	Non-financial corporations	Annex V.Part 1.35(e)					
130	Households	Annex V.Part 1.35(f)					
140	NON-TRADING DEBT INSTRUMENTS MEASURED AT A COST-BASED METHOD	BAD art 37.1; art 42a(4)(b)					

4.10 Other non-trading non-derivative financial assets
		References National GAAP based on BAD	Carrying amount
			010
010	Equity instruments	ECB/2013/33 Annex 2.Part 2.4-5	
020	of which: unquoted		
030	of which: credit institutions	Annex V.Part 1.35(c)	
040	of which: other financial corporations	Annex V.Part 1.35(d)	
050	of which: non-financial corporations	Annex V.Part 1.35(e)	
060	Debt securities	Annex V.Part 1.24, 26	
070	Central banks	Annex V.Part 1.35(a)	
080	General governments	Annex V.Part 1.35(b)	
090	Credit institutions	Annex V.Part 1.35(c)	
100	Other financial corporations	Annex V.Part 1.35(d)	
110	Non-financial corporations	Annex V.Part 1.35(e)	
120	Loans and advances	Annex V.Part 1.24, 27	
130	Central banks	Annex V.Part 1.35(a)	
140	General governments	Annex V.Part 1.35(b)	
150	Credit institutions	Annex V.Part 1.35(c)	
160	Other financial corporations	Annex V.Part 1.35(d)	
170	Non-financial corporations	Annex V.Part 1.35(e)	
180	Households	Annex V.Part 1.35(f)	
190	OTHER NON-TRADING NON-DERIVATIVE FINANCIAL ASSETS	Accounting Directive art 8(1)(a), (8)(2)	

5. Breakdown of Loans and advances by product
				Central banks	General governments	Credit institutions	Other financial corporations	Non-financial corporations	Households
			References National GAAP compatible IFRS	Annex V.Part 1.35(a)	Annex V.Part 1.35(b)	Annex V.Part 1.35(c)	Annex V.Part 1.35(d)	Annex V.Part 1.35(e)	Annex V.Part 1.35(f)
			References National GAAP based on BAD	Annex V.Part 1.35(a)	Annex V.Part 1.35(b)	Annex V.Part 1.35(c)	Annex V.Part 1.35(d)	Annex V.Part 1.35(e)	Annex V.Part 1.35(f)
				010	020	030	040	050	060
By product	010	On demand [call] and short notice [current account]	Annex V.Part 2.41(a)						
	020	Credit card debt	Annex V.Part 2.41(b)						
	030	Trade receivables	Annex V.Part 2.41(c)						
	040	Finance leases	Annex V.Part 2.41(d)						
	050	Reverse repurchase loans	Annex V.Part 2.41(e)						
	060	Other term loans	Annex V.Part 2.41(f)						
	070	Advances that are not loans	Annex V.Part 2.41(g)						
	080	LOANS AND ADVANCES	Annex V.Part 1.24, 27						
By collateral	090	of which: mortgage loans [Loans collateralized by immovable property]	Annex V.Part 2.41(h)						
	100	of which: other collateralized loans	Annex V.Part 2.41(i)						
By purpose	110	of which: credit for consumption	Annex V.Part 2.41(j)						
	120	of which: lending for house purchase	Annex V.Part 2.41(k)						
By subordination	130	of which: project finance loans	Annex V.Part 2.41(l)						

6. Breakdown of loans and advances to non-financial corporations
			Non-financial corporations		
			Gross carrying amount	Of which: non-performing	Accumulated impairment or Accumulated changes in fair value due to credit risk
		References National GAAP compatible IFRS	Annex V.Part 2.45	Annex V.Part 2. 145-162	Annex V.Part 2.46
		References National GAAP based on BAD	Annex V.Part 2.45	Annex V.Part 2. 145-162	Annex V.Part 2.46
			010	012	020
010	A Agriculture, forestry and fishing	NACE Regulation			
020	B Mining and quarrying	NACE Regulation			
030	C Manufacturing	NACE Regulation			
040	D Electricity, gas, steam and air conditioning supply	NACE Regulation			
050	E Water supply	NACE Regulation			
060	F Construction	NACE Regulation			
070	G Wholesale and retail trade	NACE Regulation			
080	H Transport and storage	NACE Regulation			
090	I Accommodation and food service activities	NACE Regulation			
100	J Information and communication	NACE Regulation			
110	L Real estate activities	NACE Regulation			
120	M Professional, scientific and technical activities	NACE Regulation			
130	N Administrative and support service activities	NACE Regulation			
140	O Public administration and defence, compulsory social security	NACE Regulation			
150	P Education	NACE Regulation			
160	Q Human health services and social work activities	NACE Regulation			
170	R Arts, entertainment and recreation	NACE Regulation			
180	S Other services	NACE Regulation			
190	LOANS AND ADVANCES	Annex V.Part 1.24, 27, 2.42-43			

7. Financial assets subject to impairment that are past due or impaired
		References National GAAP based on BAD	References National GAAP compatible IFRS	Past due but not impaired						Carrying amount of the impaired assets	Specific allowances for financial assets, individually estimated	Specific allowances for financial assets, collectively estimated	Collective allowances for incurrred but not reported losses	Specific alowances for credit risk	General allowances for credit risk	General allowance for banking risks	Accumulated write-offs
				≤ 30 days	> 30 days ≤ 60 days	> 60 days ≤ 90 days	> 90 days ≤ 180days	> 180 days ≤ 1year	> 1year								
				IFRS 7.37(a); IG 26-28; Annex V.Part 2.47-48						IAS 39.58-70	IAS 39 AG 84-92; IFRS 7.37(b); Annex V.Part 2.36	IAS 39 AG 84-92; Annex V.Part 2.37	IAS 39 AG 84-92; Annex V.Part 2.38				IAS 39 AG 84-92; IFRS 7.16,37(b); B5(d); Annex V.Part 2.49-50
				CRR art 4(95); Annex V.Part 2.47-48						CRR art 4(95)	CRR art 4(95); Annex V.Part 2.36	CRR art 4(95); Annex V.Part 2.37	CRR art 4(95); Annex V.Part 2.38	CRR art 4(95)	CRR art 4(95)	BAD art 37.2; CRR art 4(95)	CRR art 4(95); Annex V.Part 2.49-50
				010	020	030	040	050	060	070	080	090	100	102	103	104	110
010	Equity instruments	ECB/2013/33 Annex 2.Part 2.4-5	IAS 32.11														
020	of which: at cost		IAS 39.46(c)														
030	of which: credit institutions	Annex V.Part 1.35(c)	Annex V.Part 1.35(c)														
040	of which: other financial corporations	Annex V.Part 1.35(d)	Annex V.Part 1.35(d)														
050	of which: non-financial corporations	Annex V.Part 1.35(e)	Annex V.Part 1.35(e)														
060	Debt securities	Annex V.Part 1.24, 26	Annex V.Part 1.24, 26														
070	Central banks	Annex V.Part 1.35(a)	Annex V.Part 1.35(a)														
080	General governments	Annex V.Part 1.35(b)	Annex V.Part 1.35(b)														
090	Credit institutions	Annex V.Part 1.35(c)	Annex V.Part 1.35(c)														
100	Other financial corporations	Annex V.Part 1.35(d)	Annex V.Part 1.35(d)														
110	Non-financial corporations	Annex V.Part 1.35(e)	Annex V.Part 1.35(e)														
120	Loans and advances	Annex V.Part 1.24, 27	Annex V.Part 1.24, 27														
130	Central banks	Annex V.Part 1.35(a)	Annex V.Part 1.35(a)														
140	General governments	Annex V.Part 1.35(b)	Annex V.Part 1.35(b)														
150	Credit institutions	Annex V.Part 1.35(c)	Annex V.Part 1.35(c)														
160	Other financial corporations	Annex V.Part 1.35(d)	Annex V.Part 1.35(d)														
170	Non-financial corporations	Annex V.Part 1.35(e)	Annex V.Part 1.35(e)														
180	Households	Annex V.Part 1.35(f)	Annex V.Part 1.35(f)														
190	TOTAL																
	Loans and advances by product, by collateral and by subordination																
200	On demand [call] and short notice [current account]	Annex V.Part 2.41(a)	Annex V.Part 2.41(a)														
210	Credit card debt	Annex V.Part 2.41(b)	Annex V.Part 2.41(b)														
220	Trade receivables	Annex V.Part 2.41(c)	Annex V.Part 2.41(c)														
230	Finance leases	Annex V.Part 2.41(d)	Annex V.Part 2.41(d)														
240	Reverse repurchase loans	Annex V.Part 2.41(e)	Annex V.Part 2.41(e)														
250	Other term loans	Annex V.Part 2.41(f)	Annex V.Part 2.41(f)														
260	Advances that are not loans	Annex V.Part 2.41(g)	Annex V.Part 2.41(g)														
270	of which: mortgage loans [Loans collateralized by inmovable property]	Annex V.Part 2.41(h)	Annex V.Part 2.41(h)														
280	of which: other collateralized loans	Annex V.Part 2.41(i)	Annex V.Part 2.41(i)														
290	of which: credit for consumption	Annex V.Part 2.41(j)	Annex V.Part 2.41(j)														
300	of which: lending for house purchase	Annex V.Part 2.41(k)	Annex V.Part 2.41(k)														
310	of which: project finance loans	Annex V.Part 2.41(l)	Annex V.Part 2.41(l)														

8. Breakdown of financial liabilities

8.1 Breakdown of financial liabilities by product and by counterparty sector
				Carrying amount						Accumulated changes in fair value due to credit risk	Amount contractually required to pay at maturity
				Held for trading	Designated at fair value through profit or loss	Amortised cost	Trading	At a cost-based method	Hedge accounting		
			References National GAAP compatible IFRS	IFRS 7.8(e)(ii); IAS 39.9, AG 14-15	IFRS 7.8(e)(i); IAS 39.9	IFRS 7.8(f); IAS 39.47			IFRS 7.22(b); IAS 39.9	CRR art 33(1)(b), art 33(1)(c)	
		References National GAAP based on BAD		Accounting Directive art 8(1)(a), (6); IAS 39.9, AG 14-15	Accounting Directive art 8(1)(a), (6); IAS 39.9	Accounting Directive art 8(3), (6); IAS 39.47	Accounting Directive art 8(3); Annex V.Part 1.15	Accounting Directive art 8(3)	Accounting Directive art 8(1)(a), (6), (8)(1)(a)	CRR art 33(1)(b), art 33(1)(c)	ECB/2013/33 art 7(2)
				010	020	030	034	035	037	040	050
010	Derivatives	CRR Annex II	IAS 39.9, AG 15(a)								
020	Short positions		IAS 39 AG 15(b)								
030	Equity instruments	ECB/2013/33 Annex 2.Part 2.4-5	IAS 32.11								
040	Debt securities	Annex V.Part 1.24, 26	Annex V.Part 1.24, 26								
050	Deposits	ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.30	ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.30								
060	Central banks	Annex V.Part 1.35(a)	Annex V.Part 1.35(a)								
070	Current accounts / overnight deposits	ECB/2013/33 Annex 2.Part 2.9.1	ECB/2013/33 Annex 2.Part 2.9.1								
080	Deposits with agreed maturity	ECB/2013/33 Annex 2.Part 2.9.2	ECB/2013/33 Annex 2.Part 2.9.2								
090	Deposits redeemable at notice	ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.51	ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.51								
100	Repurchase agreements	ECB/2013/33 Annex 2.Part 2.9.4	ECB/2013/33 Annex 2.Part 2.9.4								
110	General governments	Annex V.Part 1.35(b)	Annex V.Part 1.35(b)								
120	Current accounts / overnight deposits	ECB/2013/33 Annex 2.Part 2.9.1	ECB/2013/33 Annex 2.Part 2.9.1								
130	Deposits with agreed maturity	ECB/2013/33 Annex 2.Part 2.9.2	ECB/2013/33 Annex 2.Part 2.9.2								
140	Deposits redeemable at notice	ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.51	ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.51								
150	Repurchase agreements	ECB/2013/33 Annex 2.Part 2.9.4	ECB/2013/33 Annex 2.Part 2.9.4								
160	Credit institutions	Annex V.Part 1.35(c)	Annex V.Part 1.35(c)								
170	Current accounts / overnight deposits	ECB/2013/33 Annex 2.Part 2.9.1	ECB/2013/33 Annex 2.Part 2.9.1								
180	Deposits with agreed maturity	ECB/2013/33 Annex 2.Part 2.9.2	ECB/2013/33 Annex 2.Part 2.9.2								
190	Deposits redeemable at notice	ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.51	ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.51								
200	Repurchase agreements	ECB/2013/33 Annex 2.Part 2.9.4	ECB/2013/33 Annex 2.Part 2.9.4								
210	Other financial corporations	Annex V.Part 1.35(d)	Annex V.Part 1.35(d)								
220	Current accounts / overnight deposits	ECB/2013/33 Annex 2.Part 2.9.1	ECB/2013/33 Annex 2.Part 2.9.1								
230	Deposits with agreed maturity	ECB/2013/33 Annex 2.Part 2.9.2	ECB/2013/33 Annex 2.Part 2.9.2								
240	Deposits redeemable at notice	ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.51	ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.51								
250	Repurchase agreements	ECB/2013/33 Annex 2.Part 2.9.4	ECB/2013/33 Annex 2.Part 2.9.4								
260	Non-financial corporations	Annex V.Part 1.35(e)	Annex V.Part 1.35(e)								
270	Current accounts / overnight deposits	ECB/2013/33 Annex 2.Part 2.9.1	ECB/2013/33 Annex 2.Part 2.9.1								
280	Deposits with agreed maturity	ECB/2013/33 Annex 2.Part 2.9.2	ECB/2013/33 Annex 2.Part 2.9.2								
290	Deposits redeemable at notice	ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.51	ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.51								
300	Repurchase agreements	ECB/2013/33 Annex 2.Part 2.9.4	ECB/2013/33 Annex 2.Part 2.9.4								
310	Households	Annex V.Part 1.35(f)	Annex V.Part 1.35(f)								
320	Current accounts / overnight deposits	ECB/2013/33 Annex 2.Part 2.9.1	ECB/2013/33 Annex 2.Part 2.9.1								
330	Deposits with agreed maturity	ECB/2013/33 Annex 2.Part 2.9.2	ECB/2013/33 Annex 2.Part 2.9.2								
340	Deposits redeemable at notice	ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.51	ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.51								
350	Repurchase agreements	ECB/2013/33 Annex 2.Part 2.9.4	ECB/2013/33 Annex 2.Part 2.9.4								
360	Debt securities issued	Annex V.Part 1.31; Annex V.Part 2.52	Annex V.Part 1.31; Annex V.Part 2.52								
370	Certificates of deposits	Annex V.Part 2.52(a)	Annex V.Part 2.52(a)								
380	Asset-backed securities	CRR art 4(61)	CRR art 4(61)								
390	Covered bonds	CRR art 129(1)	CRR art 129(1)								
400	Hybrid contracts	Annex V.Part 2.52(d)	IAS 39.10-11, AG27, AG29; IFRIC 9; Annex V.Part 2.52(d)								
410	Other debt securities issued	Annex V.Part 2.52(e)	Annex V.Part 2.52(e)								
420	Convertible compound financial instruments		IAS 32.AG 31								
430	Non-convertible										
440	Other financial liabilities	Annex V.Part 1.32-34	Annex V.Part 1.32-34								
450	FINANCIAL LIABILITIES										

8.2 Subordinated financial liabilities
				Carriyng amount		
				Designated at fair value through profit or loss	At amortized cost	At a cost-based method
			References National GAAP compatible IFRS	IFRS 7.8(e)(i); IAS 39.9	IFRS 7.8(f); IAS 39.47	
		References National GAAP		Accounting Directive art 8(1)(a), (6); IAS 39.9	Accounting Directive art 8(3), (6); IAS 39.47	Accounting Directive art 8(3)
				010	020	030
010	Deposits	ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.30	ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.30			
020	Debt securities issued	Annex V.Part 1.31	Annex V.Part 1.31			
030	SUBORDINATED FINANCIAL LIABILITIES	Annex V.Part 2.53-54	Annex V.Part 2.53-54			

9. Loan commitments, financial guarantees and other commitments

9.1 Off-balance sheet exposures: Loan commitments, financial guarantees and other commitments given
		References National GAAP	References National GAAP compatible IFRS	Nominal amount
				IFRS 7.36(a), B10(c)(d); CRR Annex I; Annex V.Part 2.62
				CRR Annex I; Annex V.Part 2.62
				010
010	Loan commitments given	CRR Annex I; Annex V.Part 2.56-57	IAS 39.2 (h), 4 (a) (c), BC 15; CRR Annex I; Annex V.Part 2.56-57	
021	of which: non-performing	Annex V.Part 2. 145-162	Annex V.Part 2. 145-162	
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	Households	Annex V.Part 1.35(f)	Annex V.Part 1.35(f)	
090	Financial guarantees given	CRR Annex I; Annex V.Part 2.56,58	IAS 39.9 AG 4, BC 21; IFRS 4 Annex A; CRR Annex I; Annex V.Part 2.56, 58	
101	of which: non-performing	Annex V.Part 2. 145-162	Annex V.Part 2. 145-162	
110	Central banks	Annex V.Part 1.35(a)	Annex V.Part 1.35(a)	
120	General governments	Annex V.Part 1.35(b)	Annex V.Part 1.35(b)	
130	Credit institutions	Annex V.Part 1.35(c)	Annex V.Part 1.35(c)	
140	Other financial corporations	Annex V.Part 1.35(d)	Annex V.Part 1.35(d)	
150	Non-financial corporations	Annex V.Part 1.35(e)	Annex V.Part 1.35(e)	
160	Households	Annex V.Part 1.35(f)	Annex V.Part 1.35(f)	
170	Other Commitments given	CRR Annex I; Annex V.Part 2.56, 59	CRR Annex I; Annex V.Part 2.56, 59	
181	of which: non-performing	Annex V.Part 2. 145-162	Annex V.Part 2. 145-162	
190	Central banks	Annex V.Part 1.35(a)	Annex V.Part 1.35(a)	
200	General governments	Annex V.Part 1.35(b)	Annex V.Part 1.35(b)	
210	Credit institutions	Annex V.Part 1.35(c)	Annex V.Part 1.35(c)	
220	Other financial corporations	Annex V.Part 1.35(d)	Annex V.Part 1.35(d)	
230	Non-financial corporations	Annex V.Part 1.35(e)	Annex V.Part 1.35(e)	
240	Households	Annex V.Part 1.35(f)	Annex V.Part 1.35(f)	

9.2 Loan commitments, financial guarantees and other commitments received
		References National GAAP	References National GAAP compatible IFRS	Maximum amount of the guarantee that can be considered	Nominal amount
				IFRS 7.36 (b); Annex V.Part 2.63	Annex V.Part 2.63
				Annex V.Part 2.63	Annex V.Part 2.63
				010	020
010	Loan commitments received	Annex V.Part 2.56-57	IAS 39.2(h), 4(a)(c), BC 15; Annex V.Part 2.56-57		
020	Central banks	Annex V.Part 1.35(a)	Annex V.Part 1.35(a)		
030	General governments	Annex V.Part 1.35(b)	Annex V.Part 1.35(b)		
040	Credit institutions	Annex V.Part 1.35(c)	Annex V.Part 1.35(c)		
050	Other financial corporations	Annex V.Part 1.35(d)	Annex V.Part 1.35(d)		
060	Non-financial corporations	Annex V.Part 1.35(e)	Annex V.Part 1.35(e)		
070	Households	Annex V.Part 1.35(f)	Annex V.Part 1.35(f)		
080	Financial guarantees received	Annex V.Part 2.56, 58	IAS 39.9 AG 4, BC 21; IFRS 4 Annex A; CRR Annex I; Annex V.Part 2.56, 58		
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 Commitments received	Annex V.Part 2.56, 59	Annex V.Part 2.56, 59		
160	Central banks	Annex V.Part 1.35(a)	Annex V.Part 1.35(a)		
170	General governments	Annex V.Part 1.35(b)	Annex V.Part 1.35(b)		
180	Credit institutions	Annex V.Part 1.35(c)	Annex V.Part 1.35(c)		
190	Other financial corporations	Annex V.Part 1.35(d)	Annex V.Part 1.35(d)		
200	Non-financial corporations	Annex V.Part 1.35(e)	Annex V.Part 1.35(e)		
210	Households	Annex V.Part 1.35(f)	Annex V.Part 1.35(f)		

10. Derivatives - Trading
By type of risk / By product or by type of market		References National GAAP based on BAD	References National GAAP compatible IFRS	Carrying amount		Market value		Notional amount	
				Financial assets held for trading	Financial liabilities held for trading	Positive value. Trading	Negative value. Trading	Total Trading	of which: sold
				Annex V.Part 2.69	Annex V.Part 2.69			Annex V.Part 2.70-71	Annex V.Part 2.72
				Annex V.Part 2.4,69	Annex V.Part 2.7, 69			Annex V.Part 2.70-71	Annex V.Part 2.72
				010	020	022	025	030	040
010	Interest rate	Annex V.Part 2.67(a)	Annex V.Part 2.67(a)						
020	of which: economic hedges	Annex V.Part 2.74	Annex V.Part 2.74						
030	OTC options								
040	OTC other								
050	Organized market options								
060	Organized market other								
070	Equity	Annex V.Part 2.67(b)	Annex V.Part 2.67(b)						
080	of which: economic hedges	Annex V.Part 2.74	Annex V.Part 2.74						
090	OTC options								
100	OTC other								
110	Organized market options								
120	Organized market other								
130	Foreign exchange and gold	Annex V.Part 2.67(c)	Annex V.Part 2.67(c)						
140	of which: economic hedges	Annex V.Part 2.74	Annex V.Part 2.74						
150	OTC options								
160	OTC other								
170	Organized market options								
180	Organized market other								
190	Credit	Annex V.Part 2.67(d)	Annex V.Part 2.67(d)						
200	of which: economic hedges	Annex V.Part 2.74	Annex V.Part 2.74						
210	Credit default swap								
220	Credit spread option								
230	Total return swap								
240	Other								
250	Commodity	Annex V.Part 2.67(e)	Annex V.Part 2.67(e)						
260	of which: economic hedges	Annex V.Part 2.74	Annex V.Part 2.74						
270	Other	Annex V.Part 2.67(f)	Annex V.Part 2.67(f)						
280	of which: economic hedges	Annex V.Part 2.74	Annex V.Part 2.74						
290	DERIVATIVES	CRR Annex II; Annex V.Part 1.15	IAS 39.9						
300	of which: OTC - credit institutions	Annex V.Part 1.35(c), 2.75(a)	Annex V.Part 1.35(c), 2.75(a)						
310	of which: OTC - other financial corporations	Annex V.Part 1.35(d), 2.75(b)	Annex V.Part 1.35(d), 2.75(b)						
320	of which: OTC - rest	Annex V.Part 2.75(c)	Annex V.Part 2.75(c)						

11. Derivatives - Hedge accounting

11.1 Derivatives - Hedge accounting: Breakdown by type of risk and type of hedge
By product or by type of market		References National GAAP compatible IFRS	Carrying amount		Notional amount	
			Assets	Liabilities	Total Hedging	of which: sold
			Annex V.Part 2.69	Annex V.Part 2.69	Annex V.Part 2.70, 71	Annex V.Part 2.72
			010	020	030	040
010	Interest rate	Annex V.Part 2.67(a)				
020	OTC options					
030	OTC other					
040	Organized market options					
050	Organized market other					
060	Equity	Annex V.Part 2.67(b)				
070	OTC options					
080	OTC other					
090	Organized market options					
100	Organized market other					
110	Foreign exchange and gold	Annex V.Part 2.67(c)				
120	OTC options					
130	OTC other					
140	Organized market options					
150	Organized market other					
160	Credit	Annex V.Part 2.67(d)				
170	Credit default swap					
180	Credit spread option					
190	Total return swap					
200	Other					
210	Commodity	Annex V.Part 2.67(e)				
220	Other	Annex V.Part 2.67(f)				
230	FAIR VALUE HEDGES	IFRS 7.22(b); IAS 39.86(a)				
240	Interest rate	Annex V.Part 2.67(a)				
250	OTC options					
260	OTC other					
270	Organized market options					
280	Organized market other					
290	Equity	Annex V.Part 2.67(b)				
300	OTC options					
310	OTC other					
320	Organized market options					
330	Organized market other					
340	Foreign exchange and gold	Annex V.Part 2.67(c)				
350	OTC options					
360	OTC other					
370	Organized market options					
380	Organized market other					
390	Credit	Annex V.Part 2.67(d)				
400	Credit default swap					
410	Credit spread option					
420	Total return swap					
430	Other					
440	Commodity	Annex V.Part 2.67(e)				
450	Other	Annex V.Part 2.67(f)				
460	CASH FLOW HEDGES	IFRS 7.22(b); IAS 39.86(b)				
470	HEDGE OF NET INVESTMENTS IN A FOREIGN OPERATION	IFRS 7.22(b); IAS 39.86(c)				
480	PORTFOLIO FAIR VALUE HEDGES OF INTEREST RATE RISK	IAS 39.89A, IE 1-31				
490	PORTFOLIO CASH FLOW HEDGES OF INTEREST RATE RISK	IAS 39 IG F6 1-3				
500	DERIVATIVES-HEDGE ACCOUNTING	IFRS 7.22(b); IAS 39.9				
510	of which: OTC - credit institutions	Annex V.Part 1.35(c), 2.75(a)				
520	of which: OTC - other financial corporations	Annex V.Part 1.35(d), 2.75(b)				
530	of which: OTC - rest	Annex V.Part 2.75(c)				

11.2 Derivatives - Hedge accounting under National GAAP: Breakdown by type of risk
By product or by type of market		References National GAAP based on BAD	Carrying amount		Notional amount	
			Assets	Liabilities	Total Hedging	of which: sold
			Annex V.Part 2.4, 69	Annex V.Part 2.7, 69	Annex V.Part 2.70, 71	Annex V.Part 2.72
			005	007	010	020
010	Interest rate	Annex V.Part 2.67(a)				
020	OTC options					
030	OTC other					
040	Organized market options					
050	Organized market other					
060	Equity	Annex V.Part 2.67(b)				
070	OTC options					
080	OTC other					
090	Organized market options					
100	Organized market other					
110	Foreign exchange and gold	Annex V.Part 2.67(c)				
120	OTC options					
130	OTC other					
140	Organized market options					
150	Organized market other					
160	Credit	Annex V.Part 2.67(d)				
170	Credit default swap					
180	Credit spread option					
190	Total return swap					
200	Other					
210	Commodity	Annex V.Part 2.67(e)				
220	Other	Annex V.Part 2.67(f)				
230	DERIVATIVES-HEDGE ACCOUNTING					
240	of which: OTC - credit institutions	Annex V.Part 1.35(c), 2.75(a)				
250	of which: OTC - other financial corporations	Annex V.Part 1.35(d), 2.75(b)				
260	of which: OTC - rest	Annex V.Part 2.75(c)				

12. Movements in allowances for credit losses and impairment of equity instruments
		References National GAAP CRR article 442(i)	References National GAAP compatible IFRS IFRS 7.16, B5 (d);	Opening balance	Increases due toamounts set aside for estimated loan losses during the period	Decreases due toamounts reversed for estimated loan losses during the period	Decreases due toamounts taken against allowances	Transfers between allowances	Other adjustments	Closing balance	Recoveries recorded directly to the statement of profit or loss	Value adjustments recorded directly to the statement of profit or loss
					Annex V.Part 2.77	Annex V.Part 2.77	Annex V.Part 2.78					Annex V.Part 2.78
					Annex V.Part 2.77	Annex V.Part 2.77	Annex V.Part 2.78					Annex V.Part 2.78
				010	020	030	040	050	060	070	080	090
010	Equity instruments											
020	Specific allowances for financial assets, individually estimated	CRR art 4(95); Annex V.Part 2.36	IAS 39.63-70, AG 84-92; IFRS 7.37 (b); Annex V.Part 2.36									
030	Debt securities	Annex V.Part 1.26	Annex V.Part 1.26									
040	Central banks	Annex V.Part 1.35(a)	Annex V.Part 1.35(a)									
050	General governments	Annex V.Part 1.35(b)	Annex V.Part 1.35(b)									
060	Credit institutions	Annex V.Part 1.35(c)	Annex V.Part 1.35(c)									
070	Other financial corporations	Annex V.Part 1.35(d)	Annex V.Part 1.35(d)									
080	Non-financial corporations	Annex V.Part 1.35(e)	Annex V.Part 1.35(e)									
090	Loans and advances	Annex V.Part 1.27	Annex V.Part 1.27									
100	Central banks	Annex V.Part 1.35(a)	Annex V.Part 1.35(a)									
110	General governments	Annex V.Part 1.35(b)	Annex V.Part 1.35(b)									
120	Credit institutions	Annex V.Part 1.35(c)	Annex V.Part 1.35(c)									
130	Other financial corporations	Annex V.Part 1.35(d)	Annex V.Part 1.35(d)									
140	Non-financial corporations	Annex V.Part 1.35(e)	Annex V.Part 1.35(e)									
150	Households	Annex V.Part 1.35(f)	Annex V.Part 1.35(f)									
160	Specific allowances for financial assets, collectively estimated	CRR art 4(95); Annex V.Part 2.37	IAS 39.59, 64; Annex V.Part 2.37									
170	Debt securities	Annex V.Part 1.26	Annex V.Part 1.26									
180	Central banks	Annex V.Part 1.35(a)	Annex V.Part 1.35(a)									
190	General governments	Annex V.Part 1.35(b)	Annex V.Part 1.35(b)									
200	Credit institutions	Annex V.Part 1.35(c)	Annex V.Part 1.35(c)									
210	Other financial corporations	Annex V.Part 1.35(d)	Annex V.Part 1.35(d)									
220	Non-financial corporations	Annex V.Part 1.35(e)	Annex V.Part 1.35(e)									
230	Loans and advances	Annex V.Part 1.27	Annex V.Part 1.27									
240	Central banks	Annex V.Part 1.35(a)	Annex V.Part 1.35(a)									
250	General governments	Annex V.Part 1.35(b)	Annex V.Part 1.35(b)									
260	Credit institutions	Annex V.Part 1.35(c)	Annex V.Part 1.35(c)									
270	Other financial corporations	Annex V.Part 1.35(d)	Annex V.Part 1.35(d)									
280	Non-financial corporations	Annex V.Part 1.35(e)	Annex V.Part 1.35(e)									
290	Households	Annex V.Part 1.35(f)	Annex V.Part 1.35(f)									
300	Collective allowances for incurred but not reported losses on financial assets	CRR art 4(95); Annex V.Part 2.38	IAS 39.59, 64; Annex V.Part 2.38									
310	Debt securities	Annex V.Part 1.26	Annex V.Part 1.26									
320	Loans and advances	Annex V.Part 1.27	Annex V.Part 1.27									
330	Specific allowances for credit risk	CRR art 428 (g)(ii)										
340	Debt securities	Annex V.Part 1.26										
350	Central banks	Annex V.Part 1.35(a)										
360	General governments	Annex V.Part 1.35(b)										
370	Credit institutions	Annex V.Part 1.35(c)										
380	Other financial corporations	Annex V.Part 1.35(d)										
390	Non-financial corporations	Annex V.Part 1.35(e)										
400	Loans and advances	Annex V.Part 1.17										
410	Central banks	Annex V.Part 1.35(a)										
420	General governments	Annex V.Part 1.35(b)										
430	Credit institutions	Annex V.Part 1.35(c)										
440	Other financial corporations	Annex V.Part 1.35(d)										
450	Non-financial corporations	Annex V.Part 1.35(e)										
460	Households	Annex V.Part 1.35(f)										
470	General alowances for credit risk	CRR art 4(95)										
480	Debt securities	Annex V.Part 1.26										
490	Loans and advances	Annex V.Part 1.27										
500	General allowance for banking risks	BAD art 37.2; CRR art 4(95)										
510	Debt securities	Annex V.Part 1.26										
520	Loans and advances	Annex V.Part 1.27										
530	Total											

13. Collateral and guarantees received

13.1 Breakdown of loans and advances by collateral and guarantees
Guarantees and collateral		References National GAAP based on BAD		Maximum amount of the collateral or guarantee that can be considered				
			References National GAAP compatible IFRS	Mortgage loans[Loans collateralized by immovable property]		Other collateralized loans		Financial guarantees received
				Residential	Commercial	Cash [Debt instruments issued]	Rest	
			IFRS 7.36(b)	Annex V.Part 2.81(a)	Annex V.Part 2.81(a)	Annex V.Part 2.81(b)	Annex V.Part 2.81(b)	Annex V.Part 2.81(c)
				010	020	030	040	050
010	Loans and advances	Annex V.Part 2.80	Annex V.Part 2.81					
020	of which: Other financial corporations	Annex V.Part 1.35(d)	Annex V.Part 1.35(d)					
030	of which: Non-financial corporations	Annex V.Part 1.35(e)	Annex V.Part 1.35(e)					
040	of which: Households	Annex V.Part 1.35(f)	Annex V.Part 1.35(f)					

13.2 Collateral obtained by taking possession during the period [held at the reporting date]
		References National GAAP based on BAD	References National GAAP compatible IFRS	Carrying amount
				010
010	Non-current assets held-for-sale		IFRS 7.38(a)	
020	Property, plant and equipment		IFRS 7.38(a)	
030	Investment property		IFRS 7.38(a)	
040	Equity and debt instruments		IFRS 7.38(a)	
050	Other		IFRS 7.38(a)	
060	Total			

13.3 Collateral obtained by taking possession [tangible assets] accumulated
		References National GAAP based on BAD	References National GAAP compatible IFRS	Carrying amount
				010
010	Foreclosure [tangible assets]	Annex V.Part 2.84	IFRS 7.38(a); Annex V.Part 2.84	

14. Fair value hierachy: financial instruments at fair value
		References National GAAP based on BAD	References National GAAP compatible IFRS	Fair value hierarchyIFRS 13.93 (b)			Change in fair value for the period Annex V.Part 2.86		Accumulated change in fair value before taxes Annex V.Part 2.87		
				Level 1	Level 2	Level 3	Level 2	Level 3	Level 1	Level 2	Level 3
				IFRS 13.76	IFRS 13.81	IFRS 13.86	IFRS 13.81	IFRS 13.86, 93(f)	IFRS 13.76	IFRS 13.81	IFRS 13.86
				010	020	030	040	050	060	070	080
ASSETS											
010	Financial assets held for trading	Accounting Directive art 8(1)(a), (6); IAS 39.9	IFRS 7.8(a)(ii); IAS 39.9, AG 14								
020	Derivatives	CRR Annex II	IAS 39.9								
030	Equity instruments	ECB/2013/33 Annex 2.Part 2.4-5	IAS 32.11								
040	Debt securities	Annex V.Part 1.24, 26	Annex V.Part 1.24, 26								
050	Loans and advances	Annex V.Part 1.24, 27	Annex V.Part 1.24, 27								
060	Financial assets designated at fair value through profit or loss	Accounting Directive art 8(1)(a), (6); IAS 39.9	IFRS 7.8(a)(i); IAS 39.9								
070	Equity instruments	ECB/2013/33 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								
100	Available-for-sale financial assets	Accounting Directive art 8(1)(a), (6); IAS 39.9	IFRS 7.8 (h)(d); IAS 39.9								
110	Equity instruments	ECB/2013/33 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	Derivatives – Hedge accounting	Accounting Directive art art 8(1)(a), (6), (8)(1)(a); IAS 39.9; Annex V.Part 1.19	IFRS 7.22 (b); IAS 39.9; Annex V.Part 1.19								
LIABILITIES											
150	Financial liabilities held for trading	Accounting Directive art 4art 8(1)(a), (6); IAS 39.9, AG 14-15	IFRS 7.8 (e) (ii); IAS 39.9, AG 14-15								
160	Derivatives	CRR Annex II	IAS 39.9, AG 15(a)								
170	Short positions		IAS 39 AG 15(b)								
180	Deposits	ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.30	ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.30								
190	Debt securities issued	Annex V.Part 1.31	Annex V.Part 1.31								
200	Other financial liabilities	Annex V.Part 1.32-34	Annex V.Part 1.32-34								
210	Financial liabilities designated at fair value through profit or loss	Accounting Directive art 8(1)(a), (6); IAS 39.9	IFRS 7.8 (e) (i); IAS 39.9								
220	Deposits	ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.30	ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.30								
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	Accounting Directive art art 8(1)(a), (6), (8)(1)(a); IAS 39.9; Annex V.Part 1.19	IFRS 7.22 (b); IAS 39.9; Annex V.Part 1.19								

15. Derecognition and financial liabilities associated with transferred financial assets
		References National GAAP based on BAD	References National GAAP compatible IFRS	Transferred financial assets entirely recognized						Transferred financial assets recognized to the extent of the instution's continuing involvement			Principal amount outstanting of transferred financial assets entirely derecognised for which the intitution retains servicing rights	Amounts derecognised for capital purposes
				Transferred assets			Associated liabilities Annex V.Part 2.89			Principal amount outstanding of the original assets	Carrying amount of assets still recognised [continuing involvement]	Carrying amount of associated liabilites		
				Carrying amount	Of which: securitizations	Of which: repurchase agreements	Carrying amount	Of which: securitizations	Of which: repurchase agreements					
				IFRS 7.42D.(e)	IFRS 7.42D(e); CRR art 4(61)	IFRS 7.42D(e); Annex V.Part 2.91, 92	IFRS 7.42D(e)	IFRS 7.42D.(e)	IFRS 7.42D(e); Annex V.Part 2.91, 92		IFRS 7.42D(f)	IFRS 7.42D(f); Annex V.Part 2.89		CRR art 109; Annex V.Part 2.90
					CRR art 4(61)	Annex V.Part 2.91, 92		CRR art 4(61)	Annex V.Part 2.91, 92					CRR art 109; Annex V.Part 2.90
				010	020	030	040	050	060	070	080	090	100	110
010	Financial assets held for trading	Accounting Directive art 8(1)(a), (6); IAS 39.9	IFRS 7.8 (a)(ii); IAS 39.9, AG 14											
020	Equity instruments	ECB/2013/33 Annex 2.Part 2.4-5	IAS 32.11											
030	Debt securities	Annex V.Part 1.24, 26	Annex V.Part 1.24, 26											
040	Loans and advances	Annex V.Part 1.24, 27	Annex V.Part 1.24, 27											
041	Trading financial assets	Annex V.Part 1.15												
042	Equity instruments	ECB/2013/33 Annex 2.Part 2.4-5												
043	Debt securities	Annex V.Part 1.24, 26												
044	Loans and advances	Annex V.Part 1.24, 27												
050	Financial assets designated at fair value through profit or loss	Accounting Directive art 8(1)(a), (6); IAS 39.9	IFRS 7.8(a)(i); IAS 39.9											
060	Equity instruments	ECB/2013/33 Annex 2.Part 2.4-5	IAS 32.11											
070	Debt securities	Annex V.Part 1.24, 26	Annex V.Part 1.24, 26											
080	Loans and advances	Annex V.Part 1.24, 27	Annex V.Part 1.24, 27											
090	Available-for-sale financial assets	Accounting Directive art 8(1)(a), (6); IAS 39.9	IFRS 7.8(d); IAS 39.9											
100	Equity instruments	ECB/2013/33 Annex 2.Part 2.4-5	IAS 32.11											
110	Debt securities	Annex V.Part 1.24, 26	Annex V.Part 1.24, 26											
120	Loans and advances	Annex V.Part 1.24, 27	Annex V.Part 1.24, 27											
121	Non-trading non-derivative financial assets measured at fair value through profit or loss	Accounting Directive art 8(1)(a), (4)												
122	Equity instruments	ECB/2013/33 Annex 2.Part 2.4-5												
123	Debt securities	Annex V.Part 1.24, 26												
124	Loans and advances	Accounting Directive art 8(1)(a), (4)(b); part 1.14, part 3.35												
125	Non-trading non-derivative financial assets measured at fair value to equity	Accounting Directive art 8(1)(a), (8)(2)												
126	Equity instruments	ECB/2013/33 Annex 2.Part 2.4-5												
127	Debt securities	Annex V.Part 1.24, 26												
128	Loans and advances	Accounting Directive art 8(1)(a), (4)(b);part 1.14, part 3.35												
130	Loans and receivables	Accounting Directive art 42a(4)(b),(5a); IAS 39.9	IFRS 7.8 (c); IAS 39.9, AG16, AG26											
140	Debt securities	Annex V.Part 1.24, 26	Annex V.Part 1.24, 26											
150	Loans and advances	Annex V.Part 1.24, 27	Annex V.Part 1.24, 27											
160	Held-to-maturity investments	Accounting Directive art 42a(4)(a),(5a); IAS 39.9	IFRS 7.8(b); IAS 39.9, AG16, AG26											
170	Debt securities	Annex V.Part 1.24, 26	Annex V.Part 1.24, 26											
180	Loans and advances	Annex V.Part 1.24, 27	Annex V.Part 1.24, 27											
181	Non-trading debt instruments measured at a cost-based method	BAD art 37.1; art 42a(4)(b); Annex V.Part 1.16												
182	Debt securities	Annex V.Part 1.24, 26												
183	Loans and advances	Annex V.Part 1.24, 27												
184	Other non-trading non-derivative financial assets	BAD art 35-37												
185	Equity instruments	ECB/2013/33 Annex 2.Part 2.4-5												
186	Debt securities	Annex V.Part 1.24, 26												
187	Loans and advances	Annex V.Part 1.24, 27												
190	Total													

16. Breakdown of selected statement of profit or loss items

16.1 Interest income and expenses by instrument and counterparty sector
		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/2013/33 Annex 2.Part 2.9	ECB/2013/33 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
		References National GAAP based on BAD	References National GAAP compatible IFRS	Current period
				010
010	Equity instruments	ECB/2013/33 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/2013/33 Annex 2.Part 2.9	ECB/2013/33 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); Annex V.Part 2.97	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
		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/2013/33 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/2013/33 Annex 2.Part 2.9	ECB/2013/33 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/2013/33 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/2013/33 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; Annex V.Part 2.98		

16.4 Gains or losses on financial assets and liabilities held for trading by risk
		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
		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/2013/33 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/2013/33 Annex 2.Part 2.9	ECB/2013/33 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/2013/33 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/2013/33 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
		References National GAAP based on BAD	References National GAAP compatible IFRS	Current period
				010
010	Fair value changes of the hedging instrument [including discontinuation]	Accounting Directive art 8(1)(a), (6), (8)(1)(a)	IFRS 7.24(a)(i)	
020	Fair value changes of the hedged item attributable to the hedged risk	Accounting Directive art 8(1)(a), (6), (8)(1)(a)	IFRS 7.24(a)(ii)	
030	Ineffectiveness in profit or loss from cash flow hedges	Accounting Directive art 8(1)(a), (6), (8)(1)(a)	IFRS 7.24(b)	
040	Ineffectiveness in profit or loss from hedges of net investments in foreign operations	Accounting Directive art 8(1)(a)	IFRS 7.24(c)	
050	GAINS OR (-) LOSSES FROM HEDGE ACCOUNTING, NET	Accounting Directive art 8(1)(a), (6), (8)(1)(a)	IFRS 7.24	

16.7 Impairment on financial and non-financial assets
		References National GAAP based on BAD	References National GAAP compatible IFRS	Current period			
				Additions Annex V.Part 2.102	Reversals Annex 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		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				

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

17.1 Assets
		References National GAAP based on BAD	References National GAAP compatible IFRS	Accounting scope of consolidation [Carrying amount]
				010
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	Accounting Directive art 8(1)(a), (5); 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/2013/33 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/2013/33 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	Accounting Directive art 8(1)(a), (5); IAS 39.9	IFRS 7.8(a)(i); IAS 39.9	
110	Equity instruments	ECB/2013/33 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	Accounting Directive art 8(1)(a), (5); IAS 39.9	IFRS 7.8(d); IAS 39.9	
150	Equity instruments	ECB/2013/33 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	Accounting Directive art 8(1)(a), (4)		
172	Equity instruments	ECB/2013/33 Annex 2.Part 2.4-5		
173	Debt securities	Annex V.Part 1.24, 26		
174	Loans and advances	Accounting Directive art 8(1)(a), (4)(b); Annex V.Part 1.24, 27		
175	Non-trading non-derivative financial assets measured at fair value to equity	Accounting Directive art 8(1)(a), (8)		
176	Equity instruments	ECB/2013/33 Annex 2.Part 2.4-5		
177	Debt securities	Annex V.Part 1.24, 26		
178	Loans and advances	Accounting Directive art 8(1)(a), (4)(b); Annex V.Part 1.24, 27		
180	Loans and receivables	Accounting Directive art 8(4)(b),(6); 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	Accounting Directive art 8(4)(a),(6); 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/2013/33 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	Accounting Directive art 8(1)(a), (6), (8); 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	Accounting Directive art 8(5), (6); IAS 39.89A (a)	IAS 39.89A(a)	
260	Investments in subsidaries, joint ventures and associates	BAD art 4.Assets(7)-(8); Accounting Directive art 2(2); Annex V.Part 2.4	IAS 1.54(e); Annex V.Part 2.4	
270	Assets under reinsurance and insurance contracts		IFRS 4.IG20.(b)-(c); Annex V.Part 2.105	
280	Tangible assets	BAD art 4.Assets(10)		
290	Intangible assets	BAD art 4.Assets(9); CRR art 4(1)(115)	IAS 1.54(c); CRR art 4(1)(115)	
300	Goodwill	BAD art 4.Assets(9); CRR art 4(1)(113)	IFRS 3.B67(d); CRR art 4(1)(113)	
310	Other intangible assets	BAD art 4.Assets(9)	IAS 38.8,118	
320	Tax assets		IAS 1.54(n-o)	
330	Current tax assets		IAS 1.54(n); IAS 12.5	
340	Deferred tax assets	Accounting Directive art 17(1)(f); CRR art 4(106)	IAS 1.54(o); IAS 12.5; CRR art 4(106)	
350	Other assets	Annex V.Part 2.5	Annex V.Part 2.5	
360	Non-current assets and disposal groups classified as held for sale		IAS 1.54(j); IFRS 5.38, Annex V.Part 2.6	
370	TOTAL ASSETS	BAD art 4 Assets	IAS 1.9(a), IG 6	

17.2 Off-balance sheet exposures: Loan commitments, financial guarantees and other commitments given
		References National GAAP based on BAD	References National GAAP compatible IFRS	Accounting scope of consolidation [Nominal amount]
				010
010	Loan commitments given	CRR Annex I; Annex V.Part 2.56, 57	IAS 39.2(h), 4(a)(c), BC 15; CRR Annex I; Annex V.Part 2.56, 57	
020	Financial guarantees given	CRR Annex I; Annex V.Part 2.56, 58	IAS 39.9 AG 4, BC 21; IFRS 4 A; CRR Annex I; Annex V.Part 2.56, 58	
030	Other Commitments given	CRR Annex I; Annex V.Part 2.56, 59	CRR Annex I; Annex V.Part 2.56, 59	
040	OFF-BALANCE SHEET EXPOSURES			

17.3 Liabilities and equity
		References National GAAP based on BAD	References National GAAP compatible IFRS	Accounting scope of consolidation [Carrying amount]
				010
010	Financial liabilities held for trading	Accounting Directive art 8(1)(a), (6); IAS 39.9, AG 14-15	IFRS 7.8 (e) (ii); IAS 39.9, AG 14-15	
020	Derivatives	CRR Annex II	IAS 39.9, AG 15(a)	
030	Short positions		IAS 39.AG 15(b)	
040	Deposits	ECB/2013/33 Annex 2.Part 2.9, Annex V.Part 1.30	ECB/2013/33 Annex 2.Part 2.9, Annex V.Part 1.30	
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	
061	Trading financial liabilities	Accounting Directive art 8(3)		
062	Derivatives	CRR Annex II; Annex V.Part 1.15		
063	Short positions			
064	Deposits	ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.30		
065	Debt securities issued	Annex V.Part 1.31		
066	Other financial liabilities	Annex V.Part 1.32-34		
070	Financial liabilities designated at fair value through profit or loss	Accounting Directive art 8(1)(a), (6); IAS 39.9	IFRS 7.8 (e)(i); IAS 39.9	
080	Deposits	ECB/2013/33 Annex 2.Part 2.9, Annex V.Part 1.30	ECB/2013/33 Annex 2.Part 2.9, Annex V.Part 1.30	
090	Debt securities issued	Annex V.Part 1.31	Annex V.Part 1.31	
100	Other financial liabilities	Annex V.Part 1.32-34	Annex V.Part 1.32-34	
110	Financial liabilities measured at amortised cost	Accounting Directive art 8(3), (6); IAS 39.47	IFRS 7.8(f); IAS 39.47	
120	Deposits	ECB/2013/33 Annex 2.Part 2.9, Annex V.Part 1.30	ECB/2013/33 Annex 2.Part 2.9, Annex V.Part 1.30	
130	Debt securities issued	Annex V.Part 1.31	Annex V.Part 1.31	
140	Other financial liabilities	Annex V.Part 1.32-34	Annex V.Part 1.32-34	
141	Non-trading non-derivative financial liabilities measured at a cost-based method	Accounting Directive art 8(3)		
142	Deposits	ECB/2013/33 Annex 2.Part 2.9, Annex V.Part 1.30		
143	Debt securities issued	Annex V.Part 1.31		
144	Other financial liabilities	Annex V.Part 1.32-34		
150	Derivatives – Hedge accounting	Accounting Directive art 8(1)(a), (6), (8)(a); Annex V.Part 1.23	IFRS 7.22(b); IAS 39.9; Annex V.Part 1.23	
160	Fair value changes of the hedged items in portfolio hedge of interest rate risk	Accounting Directive art 8(5), (6); IAS 39.89A(b)	IAS 39.89A(b)	
170	Liabilities under insurance and reinsurance contracts		IFRS 4.IG20(a); Annex V.Part 2.106	
180	Provisions	BAD art 4.Liabilities(6)	IAS 37.10; IAS 1.54(l)	
190	Tax liabilities		IAS 1.54(n-o)	
200	Current tax liabilities		IAS 1.54(n); IAS 12.5	
210	Deferred tax liabilities	Accounting Directive art 17(1)(f); CRR art 4(108)	IAS 1.54(o); IAS 12.5; CRR art 4(108)	
220	Share capital repayable on demand		IAS 32 IE 33; IFRIC 2; Annex V.Part 2.9	
230	Other liabilities	Annex V.Part 2.10	Annex V.Part 2.10	
240	Liabilities included in disposal groups classified as held for sale		IAS 1.54 (p); IFRS 5.38, Annex V.Part 2.11	
250	LIABILITIES		IAS 1.9(b);IG 6	
260	Capital	BAD art 4.Liabilities(9), BAD art 22	IAS 1.54(r), BAD art 22	
270	Share premium	BAD art 4.Liabilities(10); CRR art 4(124)	IAS 1.78(e); CRR art 4(124)	
280	Equity instruments issued other than capital	Annex V.Part 2.15-16	Annex V.Part 2.15-16	
290	Other equity	Annex V.Part 2.17	IFRS 2.10; Annex V.Part 2.17	
300	Accumulated other comprehensive income	CRR art 4(100)	CRR art 4(100)	
310	Retained earnings	CRR art 4(123)	CRR art 4(123)	
320	Revaluation reserves	BAD art 4.Liabilities(12)	IFRS 1.30, D5-D8	
325	Fair value reserves	Accounting Directive art 8(1)(a)		
330	Other reserves	BAD art 4.Liabilities (11)-(13)	IAS 1.54; IAS 1.78 (e)	
335	First consolidation differences	Accounting Directive art 24(3)(c)		
340	(-) Treasury shares	Accounting Directive Annex III Annex III Assets D(III)(2); BAD art 4 Assets (12); Annex V.Part 2.20	IAS 1.79(a)(vi); IAS 32.33-34, AG 14, AG 36; Annex V.Part 2.20	
350	Profit or loss attributable to owners of the parent	BAD art 4.Liabilities(14)	IAS 27.28; IAS 1.83(a)(ii)	
360	(-) Interim dividends	CRR Article 26 (2)	IAS 32.35	
370	Minority interests [Non-controlling interests]	Accounting Directive art 24(4)	IAS 27.4; IAS 1.54(q); IAS 27.27	
380	TOTAL EQUITY		IAS 1.9(c), IG 6	
390	TOTAL EQUITY AND TOTAL LIABILITIES	BAD art 4.Liabilities	IAS 1.IG6	

18. Information on performing and non-performing exposures
		References National GAAP based on BAD	References National GAAP compatible IFRS	Gross carrying amount												Accumulated impairment, accumulated changes in fair value due to credit risk and provisions							Collateral received and financial guarantees received	
					Performing				Non-performing								on performing exposures	on non-performing exposures						
						Not past due or Past due ≤ 30 days	Past due > 30 days ≤ 60 days	Past due > 60 days ≤ 90 days		Unlikely to pay that are not past-due or past-due ≤ 90 days	Past due > 90 days ≤ 180 days	Past due > 180 days ≤ 1 year	Past due > 1 year	Of which: defaulted	Of which: impaired				Unlikely to pay that are not past-due or past-due ≤ 90 days	Past due > 90 days ≤ 180 days	Past due > 180 days ≤ 1 year	Past due > 1 year	Collateral received on non-performing exposues	Financialguarantees received on non-performing exposures
				010	020	030	040	050	060	070	080	090	100	110	120	130	140	150	160	170	180	190	200	210
				Annex V. Part 2. 45, 109, 145-162	Annex V. Part 2. 145-162	Annex V. Part 2. 158	Annex V. Part 2. 158	Annex V. Part 2. 158	Annex V. Part 2. 145-162	Annex V. Part 2. 159	Annex V. Part 2. 159	Annex V. Part 2. 159	Annex V. Part 2. 159	CRR art 178; Annex V. Part 2.61	IAS 39. 58-70	Annex V. Part 2. 46	Annex V. Part 2. 161	Annex V. Part 2. 161	Annex V. Part 2. 159,161	Annex V. Part 2. 159,161	Annex V. Part 2. 159,161	Annex V. Part 2. 159,161	Annex V. Part 2. 162	Annex V. Part 2. 162
				Annex V. Part 2. 45, 109, 145-162	Annex V. Part 2. 145-162	Annex V. Part 2. 158	Annex V. Part 2. 158	Annex V. Part 2. 158	Annex V. Part 2. 145-162	Annex V. Part 2. 159	Annex V. Part 2. 159	Annex V. Part 2. 159	Annex V. Part 2. 159	CRR art 178; Annex V. Part 2.61	CRR art 4(95)	Annex V. Part 2. 46	Annex V. Part 2. 161	Annex V. Part 2. 161	Annex V. Part 2. 159,161	Annex V. Part 2. 159,161	Annex V. Part 2. 159,161	Annex V. Part 2. 159,161	Annex V. Part 2. 162	Annex V. Part 2. 162
010	Debt securities	Annex V.Part 1.24, 26	Annex V.Part 1.24, 26																					
020	Central banks	Annex V.Part 1.35(a)	Annex V.Part 1.35(a)																					
030	General governments	Annex V.Part 1.35(b)	Annex V.Part 1.35(b)																					
040	Credit institutions	Annex V.Part 1.35(c)	Annex V.Part 1.35(c)																					
050	Other financial corporations	Annex V.Part 1.35(d)	Annex V.Part 1.35(d)																					
060	Non-financial corporations	Annex V.Part 1.35(e)	Annex V.Part 1.35(e)																					
070	Loans and advances	Annex V.Part 1.24, 27	Annex V.Part 1.24, 27																					
080	Central banks	Annex V.Part 1.35(a)	Annex V.Part 1.35(a)																					
090	General governments	Annex V.Part 1.35(b)	Annex V.Part 1.35(b)																					
100	Credit institutions	Annex V.Part 1.35(c)	Annex V.Part 1.35(c)																					
110	Other financial corporations	Annex V.Part 1.35(d)	Annex V.Part 1.35(d)																					
120	Non-financial corporations	Annex V.Part 1.35(e)	Annex V.Part 1.35(e)																					
130	Of which: Small and Medium-sized Enterprises	SME Art 1 2(a)	SME Art 1 2(a)																					
140	Of which: Loans collateralised by commercial immovable property																							
150	Households	Annex V.Part 1.35(f)	Annex V.Part 1.35(f)																					
160	Of which: Loans collateralised by residential immovable property																							
170	Of which: Credit for consumption																							
180	DEBT INSTRUMENTS AT AMORTISED COST	Annex V. Part I. 13 (d)(e); 14 (d)(e); Annex V.Part 2.149	Annex V. Part I. 13 (d)(e)																					
190	Debt securities	Annex V.Part 1.24, 26	Annex V.Part 1.24, 26																					
200	Central banks	Annex V.Part 1.35(a)	Annex V.Part 1.35(a)																					
210	General governments	Annex V.Part 1.35(b)	Annex V.Part 1.35(b)																					
220	Credit institutions	Annex V.Part 1.35(c)	Annex V.Part 1.35(c)																					
230	Other financial corporations	Annex V.Part 1.35(d)	Annex V.Part 1.35(d)																					
240	Non-financial corporations	Annex V.Part 1.35(e)	Annex V.Part 1.35(e)																					
250	Loans and advances	Annex V.Part 1.24, 27	Annex V.Part 1.24, 27																					
260	Central banks	Annex V.Part 1.35(a)	Annex V.Part 1.35(a)																					
270	General governments	Annex V.Part 1.35(b)	Annex V.Part 1.35(b)																					
280	Credit institutions	Annex V.Part 1.35(c)	Annex V.Part 1.35(c)																					
290	Other financial corporations	Annex V.Part 1.35(d)	Annex V.Part 1.35(d)																					
300	Non-financial corporations	Annex V.Part 1.35(e)	Annex V.Part 1.35(e)																					
310	Households	Annex V.Part 1.35(f)	Annex V.Part 1.35(f)																					
320	DEBT INSTRUMENTS AT FAIR VALUE OTHER THAN HFT	Annex V. Part I. 13 (b)(c); 14 (b)(c); Annex V.Part 2.149	Annex V. Part I. 13 (b)(c)																					
330	DEBT INSTRUMENTS OTHER THAN HFT	Annex V. Part I. 13 (b)(c)(d)(e); 14 (b)(c)(d)(e)	Annex V. Part I. 13 (b)(c)(d)(e)																					
340	Loan commitments given	CRR Annex I; Annex V.Part 2.56-57	IAS 39.2 (h), 4 (a) (c), BC 15; CRR Annex I; Annex V.Part 2.56-57																					
350	Central banks	Annex V.Part 1.35(a)	Annex V.Part 1.35(a)																					
360	General governments	Annex V.Part 1.35(b)	Annex V.Part 1.35(b)																					
370	Credit institutions	Annex V.Part 1.35(c)	Annex V.Part 1.35(c)																					
380	Other financial corporations	Annex V.Part 1.35(d)	Annex V.Part 1.35(d)																					
390	Non-financial corporations	Annex V.Part 1.35(e)	Annex V.Part 1.35(e)																					
400	Households	Annex V.Part 1.35(f)	Annex V.Part 1.35(f)																					
410	Financial guarantees given	CRR Annex I; Annex V.Part 2.56,58	IAS 39.9 AG 4, BC 21; IFRS 4 A; CRR Annex I; Annex V.Part 2.56, 58																					
420	Central banks	Annex V.Part 1.35(a)	Annex V.Part 1.35(a)																					
430	General governments	Annex V.Part 1.35(b)	Annex V.Part 1.35(b)																					
440	Credit institutions	Annex V.Part 1.35(c)	Annex V.Part 1.35(c)																					
450	Other financial corporations	Annex V.Part 1.35(d)	Annex V.Part 1.35(d)																					
460	Non-financial corporations	Annex V.Part 1.35(e)	Annex V.Part 1.35(e)																					
470	Households	Annex V.Part 1.35(f)	Annex V.Part 1.35(f)																					
480	Other Commitments given	CRR Annex I; Annex V.Part 2.56, 59	CRR Annex I; Annex V.Part 2.56, 59																					
490	Central banks	Annex V.Part 1.35(a)	Annex V.Part 1.35(a)																					
500	General governments	Annex V.Part 1.35(b)	Annex V.Part 1.35(b)																					
510	Credit institutions	Annex V.Part 1.35(c)	Annex V.Part 1.35(c)																					
520	Other financial corporations	Annex V.Part 1.35(d)	Annex V.Part 1.35(d)																					
530	Non-financial corporations	Annex V.Part 1.35(e)	Annex V.Part 1.35(e)																					
540	Households	Annex V.Part 1.35(f)	Annex V.Part 1.35(f)																					
550	OFF-BALANCE SHEET EXPOSURES	Annex V.Part 2.55	Annex V.Part 2.55																					

19. Information forborne exposures
		References National GAAP based on BAD	References National GAAP compatible IFRS	Gross carrying amount of exposures with forbearance measures											Accumulated impairment, accumulated changes in fair value due to credit risk and provisions					Collateral received and financial guarantees received	
					Performing exposures with forbearance measures				Non-performing exposures with forbearance measures							on perfoming exposures with forbearance measures	on non-performing exposures with forbearance measures				
						Instruments with modifications in their terms and conditions	Refinancing	of which: Performing forborne exposures under probation		Instruments with modifications in their terms and conditions	Refinancing	of which: Defaulted	of which: Impaired	of which: Forbearance of non-performing exposures				Instruments with modifications in their terms and conditions	Refinancing	Collateral received on exposures with forbearance measures	Financial guarantees received on exposures with forbearance measures
				010	020	030	040	050	060	070	080	090	100	110	120	130	140	150	160	170	180
				Annex V. Part 2. 45, 109, 163-182	Annex V. Part 2. 145-162	Annex V. Part 2. 164 (a), 177, 178, 182	Annex V. Part 2. 164 (b), 177, 178, 181, 182	Annex V. Part 2. 176(b),177, 180	Annex V. Part 2. 145-162	Annex V. Part 2. 164 (a), 179-180,182	Annex V. Part 2. 164 (b), 179-182	CRR art 178; Annex V. Part 2.61	IAS 39. 58-70	Annex V. Part 2. 172(a), 157	Annex V. Part 2. 46, 183	Annex V. Part 2. 145-183	Annex V. Part 2. 145-183	Annex V. Part 2. 164 (a), 179-180,182, 183	Annex V. Part 2. 164 (b), 179-183	Annex V. Part 2. 162	Annex V. Part 2. 162
				Annex V. Part 2. 45, 109, 163-182	Annex V. Part 2. 145-162	Annex V. Part 2. 164 (a), 177, 178, 182	Annex V. Part 2. 164 (b), 177, 178, 181, 182	Annex V. Part 2. 176(b), 177, 180	Annex V. Part 2. 145-162	Annex V. Part 2. 164 (a), 179-180,182	Annex V. Part 2. 164 (b), 179-182	CRR art 178; Annex V. Part 2.61	CRR art 4(95)	Annex V. Part 2. 172(a), 157	Annex V. Part 2. 46, 183	Annex V. Part 2. 145-183	Annex V. Part 2. 145-183	Annex V. Part 2. 164 (a), 179-180,182, 183	Annex V. Part 2. 164 (b), 179-183	Annex V. Part 2. 162	Annex V. Part 2. 162
010	Debt securities	Annex V.Part 1.24, 26	Annex V.Part 1.24, 26																		
020	Central banks	Annex V.Part 1.35(a)	Annex V.Part 1.35(a)																		
030	General governments	Annex V.Part 1.35(b)	Annex V.Part 1.35(b)																		
040	Credit institutions	Annex V.Part 1.35(c)	Annex V.Part 1.35(c)																		
050	Other financial corporations	Annex V.Part 1.35(d)	Annex V.Part 1.35(d)																		
060	Non-financial corporations	Annex V.Part 1.35(e)	Annex V.Part 1.35(e)																		
070	Loans and advances	Annex V.Part 1.24, 27	Annex V.Part 1.24, 27																		
080	Central banks	Annex V.Part 1.35(a)	Annex V.Part 1.35(a)																		
090	General governments	Annex V.Part 1.35(b)	Annex V.Part 1.35(b)																		
100	Credit institutions	Annex V.Part 1.35(c)	Annex V.Part 1.35(c)																		
110	Other financial corporations	Annex V.Part 1.35(d)	Annex V.Part 1.35(d)																		
120	Non-financial corporations	Annex V.Part 1.35(e)	Annex V.Part 1.35(e)																		
130	Of which: Small and Medium-sized Enterprises	SME Art 1 2(a)	SME Art 1 2(a)																		
140	Of which: Loans collateralised by commercial immovable property																				
150	Households	Annex V.Part 1.35(f)	Annex V.Part 1.35(f)																		
160	Of which: Loans collateralised by residential immovable property																				
170	Of which: Credit for consumption																				
180	DEBT INSTRUMENTS AT AMORTISED COST	Annex V. Part I. 13 (d)(e); 14 (d)(e); Annex V.Part 2.169	Annex V. Part I. 13 (d)(e)																		
190	Debt securities	Annex V.Part 1.24, 26	Annex V.Part 1.24, 26																		
200	Central banks	Annex V.Part 1.35(a)	Annex V.Part 1.35(a)																		
210	General governments	Annex V.Part 1.35(b)	Annex V.Part 1.35(b)																		
220	Credit institutions	Annex V.Part 1.35(c)	Annex V.Part 1.35(c)																		
230	Other financial corporations	Annex V.Part 1.35(d)	Annex V.Part 1.35(d)																		
240	Non-financial corporations	Annex V.Part 1.35(e)	Annex V.Part 1.35(e)																		
250	Loans and advances	Annex V.Part 1.24, 27	Annex V.Part 1.24, 27																		
260	Central banks	Annex V.Part 1.35(a)	Annex V.Part 1.35(a)																		
270	General governments	Annex V.Part 1.35(b)	Annex V.Part 1.35(b)																		
280	Credit institutions	Annex V.Part 1.35(c)	Annex V.Part 1.35(c)																		
290	Other financial corporations	Annex V.Part 1.35(d)	Annex V.Part 1.35(d)																		
300	Non-financial corporations	Annex V.Part 1.35(e)	Annex V.Part 1.35(e)																		
310	Households	Annex V.Part 1.35(f)	Annex V.Part 1.35(f)																		
320	DEBT INSTRUMENTS AT FAIR VALUE OTHER THAN HFT	Annex V. Part I. 13 (b)(c); 14 (b)(c); Annex V.Part 2.169	Annex V. Part I. 13 (b)(c)																		
330	DEBT INSTRUMENTS OTHER THAN HFT	Annex V. Part I. 13 (b)(c)(d)(e); 14 (b)(c)(d)(e)	Annex V. Part I. 13 (b)(c)(d)(e)																		
340	Loan commitments given	CRR Annex I; Annex V.Part 2.56-57	IAS 39.2 (h), 4 (a) (c), BC 15; CRR Annex I; Annex V.Part 2.56-57																		

20. Geographical breakdown

20.1 Geographical breakdown of assets by location of the activities
		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	Accounting Directive art 8(1)(a), (5); 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/2013/33 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/2013/33 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	Accounting Directive art 8(1)(a), (5); IAS 39.9	IFRS 7.8(a)(i); IAS 39.9		
110	Equity instruments	ECB/2013/33 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	Accounting Directive art 8(1)(a), (5); IAS 39.9	IFRS 7.8(d); IAS 39.9		
150	Equity instruments	ECB/2013/33 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	Accounting Directive art 8(1)(a), (4)			
172	Equity instruments	ECB/2013/33 Annex 2.Part 2.4-5			
173	Debt securities	Annex V.Part 1.24, 26			
174	Loans and advances	Accounting Directive art 8(1)(a), (4)(b); Annex V.Part 1.24, 27			
175	Non-trading non-derivative financial assets measured at fair value to equity	Accounting Directive art 8(1)(a), (8)			
176	Equity instruments	ECB/2013/33 Annex 2.Part 2.4-5			
177	Debt securities	Annex V.Part 1.24, 26			
178	Loans and advances	Accounting Directive art 8(1)(a), (4)(b); Annex V.Part 1.24, 27			
180	Loans and receivables	Accounting Directive art 8(4)(b),(6); 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	Accounting Directive art 8(4)(a),(6); 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/2013/33 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	Accounting Directive art 8(1)(a), (6), (8); 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	Accounting Directive art 8(5), (6); 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(1)(115)	IAS 1.54(c); CRR art 4(1)(115)		
280	Investments in subsidaries, joint ventures and associates	BAD art 4.Assets(7)-(8); Accounting Directive art 2(2); 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		

20.2 Geographical breakdown of liabilities by location of the activities
		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	Financial liabilities held for trading	Accounting Directive art 8(1)(a), (6); IAS 39.9, AG 14-15	IFRS 7.8 (e) (ii); IAS 39.9, AG 14-15		
020	Derivatives	CRR Annex II	IAS 39.9, AG 15(a)		
030	Short positions		IAS 39.AG 15(b)		
040	Deposits	ECB/2013/33 Annex 2.Part 2.9, Annex V.Part 1.30	ECB/2013/33 Annex 2.Part 2.9, Annex V.Part 1.30		
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		
061	Trading financial liabilities	Accounting Directive art 8(3)			
062	Derivatives	CRR Annex II; Annex V.Part 1.15			
063	Short positions				
064	Deposits	ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.30			
065	Debt securities issued	Annex V.Part 1.31			
066	Other financial liabilities	Annex V.Part 1.32-34			
070	Financial liabilities designated at fair value through profit or loss	Accounting Directive art 8(1)(a), (6); IAS 39.9	IFRS 7.8 (e)(i); IAS 39.9		
080	Deposits	ECB/2013/33 Annex 2.Part 2.9, Annex V.Part 1.30	ECB/2013/33 Annex 2.Part 2.9, Annex V.Part 1.30		
090	Debt securities issued	Annex V.Part 1.31	Annex V.Part 1.31		
100	Other financial liabilities	Annex V.Part 1.32-34	Annex V.Part 1.32-34		
110	Financial liabilities measured at amortised cost	Accounting Directive art 8(3), (6); IAS 39.47	IFRS 7.8(f); IAS 39.47		
120	Deposits	ECB/2013/33 Annex 2.Part 2.9, Annex V.Part 1.30	ECB/2013/33 Annex 2.Part 2.9, Annex V.Part 1.30		
130	Debt securities issued	Annex V.Part 1.31	Annex V.Part 1.31		
140	Other financial liabilities	Annex V.Part 1.32-34	Annex V.Part 1.32-34		
141	Non-trading non-derivative financial liabilities measured at a cost-based method	Accounting Directive art 8(3)			
142	Deposits	ECB/2013/33 Annex 2.Part 2.9, Annex V.Part 1.30			
143	Debt securities issued	Annex V.Part 1.31			
144	Other financial liabilities	Annex V.Part 1.32-34			
150	Derivatives – Hedge accounting	Accounting Directive art 8(1)(a), (6), (8)(a); Annex V.Part 1.23	IFRS 7.22(b); IAS 39.9; Annex V.Part 1.23		
160	Fair value changes of the hedged items in portfolio hedge of interest rate risk	Accounting Directive art 8(5), (6); IAS 39.89A(b)	IAS 39.89A(b)		
170	Provisions	BAD art 4.Liabilities(6)	IAS 37.10; IAS 1.54(l)		
180	Tax liabilities		IAS 1.54(n-o)		
190	Share capital repayable on demand		IAS 32.IE 33; IFRIC 2; Annex V.Part 2.09		
200	Other liabilities	Annex V.Part 2.10	Annex V.Part 2.10		
210	Liabilities included in disposal groups classified as held for sale		IAS 1.54(p); IFRS 5.38		
220	LIABILITIES		IAS 1.9(b);IG 6		

20.3 Geographical breakdown of statement of profit or loss items by location of the activities
		References National GAAP based on BAD	References National GAAP compatible IFRS	Current period	
				Domestic activitivies	Non-domestic activities
				Annex V.Part 2.107	Annex V.Part 2.107
				010	020
010	Interest income	BAD art 27.Vertical layout(1); Annex V.Part 2.21	IAS 1.97; IAS 18.35(b)(iii); Annex V.Part 2.21		
020	(Interest expenses)	BAD art 27.Vertical layout(2); Annex V.Part 2.21	IAS 1.97; Annex V.Part 2.21		
030	(Expenses on share capital repayable on demand)		IFRIC 2.11		
040	Dividend income	BAD art 27.Vertical layout(3); Annex V.Part 2.28	IAS 18.35(b)(v); Annex V.Part 2.28		
050	Fee and commission income	BAD art 27.Vertical layout(4)	IFRS 7.20(c)		
060	(Fee and commission expenses)	BAD art 27.Vertical layout(5)	IFRS 7.20(c)		
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)(ii-v)		
080	Gains or (-) losses on financial assets and liabilities held for trading, net	BAD art 27.Vertical layout(6)	IFRS 7.20(a)(i); IAS 39.55(a)		
085	Gains or (-) losses on trading financial assets and liabilities, net	BAD art 27.Vertical layout(6)			
090	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); IAS 39.55(a)		
095	Gains or (-) losses on non-trading financial assets and liabilities, net	BAD art 27.Vertical layout(6)			
100	Gains or (-) losses from hedge accounting, net	Accounting Directive art 8(1)(a), (6), (8)	IFRS 7.24		
110	Exchange differences [gain or (-) loss], net	BAD art 39	IAS 21.28, 52(a)		
120	Gains or (-) losses on derecognition of investments in subsidiaries, joint ventures and associates, net	BAD art 27.Vertical layout(13)-(14)			
130	Gains or (-) losses on derecognition of non financial assets, net		IAS 1.34		
140	Other operating income	Accounting Directive art 8(1)(a)	Annex V.Part 2.141-143		
150	(Other operating expenses)	BAD art 27.Vertical layout(10); Annex V.Part 2.141-143	Annex V.Part 2.141-143		
155	TOTAL OPERATING INCOME, NET				
160	(Administrative expenses)	BAD art 27.Vertical layout(8)			
170	(Depreciation)		IAS 1.102, 104		
175	(Increases or (-) decreases of the fund for general banking risks, net)	BAD art 38.2			
180	(Provisions or (-) reversal of provisions)		IAS 37.59, 84; IAS 1.98(b)(f)(g)		
190	(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)		
200	(Impairment or (-) reversal of impairment of investments in subsidaries, joint ventures and associates)	BAD art 27.Vertical layout(13)-(14)	IAS 28.40-43		
210	(Impairment or (-) reversal of impairment on non-financial assets)		IAS 36.126(a)(b)		
220	Negative goodwill recognised in profit or loss		IFRS 3.Appendix B64(n)(i)		
230	Share of the profit or (-) loss of investments in subsidaries, joint ventures and associates	BAD art 27.Vertical layout(13)-(14)	IAS 1.82(c)		
240	Profit or (-) loss from non-current assets and disposal groups classified as held for sale not qualifying as discontinued operations		IFRS 5.37; Annex V.Part 2.27		
250	PROFIT OR (-) LOSS BEFORE TAX FROM CONTINUING OPERATIONS		IAS 1.102, IG 6; IFRS 5.33 A		
260	(Tax expense or (-) income related to profit or loss from continuing operations)	BAD art 27.Vertical layout(15)	IAS 1.82(d); IAS 12.77		
270	PROFIT OR (-) LOSS AFTER TAX FROM CONTINUING OPERATIONS	BAD art 27.Vertical layout(16)	IAS 1, IG 6		
275	Extraordinary profit or (-) loss after tax	BAD art 27.Vertical layout(21)			
280	Profit or (-) loss after tax from discontinued operations		IAS 1.82(e) ; IFRS 5.33(a), 5.33 A		
290	PROFIT OR (-) LOSS FOR THE YEAR	BAD art 27.Vertical layout(23)	IAS 1.81A(a)		

20.4 Geographical breakdown of assets by residence of the counterparty
z-axis		Country of residence of the counterparty					
							
		References National GAAP based on BAD	References National GAAP compatible IFRS	Gross carrying amount	Of which: debt forbearance joista: lainanhoitojoustolliset	Of which: non-performing	Accumulated impairment or Accumulated changes in fair value due to credit risk
				Annex V.Part 2.109	Annex V.Part 2.163-183	Annex V.Part 2. 145-162	Annex V.Part 2.46
				010	022	025	030
010	Derivatives	CRR Annex II; Annex V.Part 1.15	IAS 39.9				
020	Of which: credit institutions	Annex V.Part 1.35(c)	Annex V.Part 1.35(c)				
030	Of which: other financial corporations	Annex V.Part 1.35(d)	Annex V.Part 1.35(d)				
040	Equity instruments	ECB/2013/33 Annex 2.Part 2.4-5	IAS 32.11				
050	Of which: credit institutions	Annex V.Part 1.35(c)	Annex V.Part 1.35(c)				
060	Of which: other financial corporations	Annex V.Part 1.35(d)	Annex V.Part 1.35(d)				
070	Of which: non-financial corporations	Annex V.Part 1.35(e)	Annex V.Part 1.35(e)				
080	Debt securities	Annex V.Part 1.24, 26	Annex V.Part 1.24, 26				
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	Loans and advances	Annex V.Part 1.24, 27	Annex V.Part 1.24, 27				
150	Central banks	Annex V.Part 1.35(a)	Annex V.Part 1.35(a)				
160	General governments	Annex V.Part 1.35(b)	Annex V.Part 1.35(b)				
170	Credit institutions	Annex V.Part 1.35(c)	Annex V.Part 1.35(c)				
180	Other financial corporations	Annex V.Part 1.35(d)	Annex V.Part 1.35(d)				
190	Non-financial corporations	Annex V.Part 1.35(e)	Annex V.Part 1.35(e)				
200	Of which: Small and Medium-sized Enterprises	SME Art 1 2(a)	SME Art 1 2(a)				
210	Of which: Loans collateralized by commercial immovable property						
220	Households	Annex V.Part 1.35(f)	Annex V.Part 1.35(f)				
230	Of which: Loans collateralized by residential immovable property						
240	Of which: Credit for consumption						

20.5 Geographical breakdown of off-balance sheet exposures by residence of the counterparty
z-axis		Country of residence of the counterparty					
							
		References National GAAP based on BAD	References National GAAP compatible IFRS	Nominal amount	Of which: debt forbearance	Of which: non-performing	Provisions for commitments and guarantees given
				Annex V.Part 2.62	Annex V.Part 2.163-183	Annex V.Part 2. 145-162	
				010	022	025	030
010	Loan commitments given	CRR Annex I; Annex V.Part 2.56, 57	IAS 39.2(h), 4(a)(c), BC 15; CRR Annex I; Annex V.Part 2.56, 57				
020	Financial guarantees given	CRR Annex I; Annex V.Part 2.56, 58	IAS 39.9 AG 4, BC 21; IFRS 4 A; CRR Annex I; Annex V.Part 2.56, 58				
030	Other Commitments given	CRR Annex I; Annex V.Part 2.56, 59	CRR Annex I; Annex V.Part 2.56, 59				

20.6 Geographical breakdown of liabilities by residence of the counterparty
z-axis		Country of residence of the counterparty		
				
		References National GAAP based on BAD	References National GAAP compatible IFRS	Carrying amount
				Annex V.Part 1.28, 2.107
				010
010	Derivatives	CRR Annex II	IAS 39.9, AG 15(a)	
020	Of which: credit institutions	Annex V.Part 1.35(c)	Annex V.Part 1.35(c)	
030	Of which: other financial corporations	Annex V.Part 1.35(d)	Annex V.Part 1.35(d)	
040	Short positions		IAS 39 AG 15(b)	
050	Of which: credit institutions	Annex V.Part 1.35(c)	Annex V.Part 1.35(c)	
060	Of which: other financial corporations	Annex V.Part 1.35(d)	Annex V.Part 1.35(d)	
070	Deposits	ECB/2013/33 Annex 2.Part 2.9, Annex V.Part 1.30	ECB/2013/33 Annex 2.Part 2.9, Annex V.Part 1.30	
080	Central banks	Annex V.Part 1.35(a)	Annex V.Part 1.35(a)	
090	General governments	Annex V.Part 1.35(b)	Annex V.Part 1.35(b)	
100	Credit institutions	Annex V.Part 1.35(c)	Annex V.Part 1.35(c)	
110	Other financial corporations	Annex V.Part 1.35(d)	Annex V.Part 1.35(d)	
120	Non-financial corporations	Annex V.Part 1.35(e)	Annex V.Part 1.35(e)	
130	Households	Annex V.Part 1.35(f)	Annex V.Part 1.35(f)	

20.7 Geographical breakdown by residence of the counterparty of loans and advances to non-financial corporations by NACE codes
z-axis		Country of residence of the counterparty			
					
			Non-financial corporations		
			Gross carrying amount	Of which: non-performing	Accumulated impairment or Accumulated changes in fair value due to credit risk
		References National GAAP compatible IFRS	Annex V.Part 2.109	Annex V.Part 2. 145-162	Annex V.Part 2.46
		References National GAAP based on BAD	Annex V.Part 2.109	Annex V.Part 2. 145-162	Annex V.Part 2.46
			010	012	020
010	A Agriculture, forestry and fishing	NACE Regulation			
020	B Mining and quarrying	NACE Regulation			
030	C Manufacturing	NACE Regulation			
040	D Electricity, gas, steam and air conditioning supply	NACE Regulation			
050	E Water supply	NACE Regulation			
060	F Construction	NACE Regulation			
070	G Wholesale and retail trade	NACE Regulation			
080	H Transport ans storage	NACE Regulation			
090	I Accommodation and food service activities	NACE Regulation			
100	J Information and communication	NACE Regulation			
110	L Real estate activities	NACE Regulation			
120	M Professional, scientific and technical activities	NACE Regulation			
130	N Administrative and support service activities	NACE Regulation			
140	O Public administration and defence, compulsory social security	NACE Regulation			
150	P Education	NACE Regulation			
160	Q Human health services and social work activities	NACE Regulation			
170	R Arts, entertainment and recreation	NACE Regulation			
180	S Other services	NACE Regulation			
190	LOANS AND ADVANCES	Annex V.Part 1.24, 27			

21. Tangible and intangible assets: assets subject to operating lease
		References National GAAP based on BAD	References National GAAP compatible IFRS	Carrying amount
				Annex V.Part 2.110-111
				010
010	Property plant and equipment		IAS 16.6; IAS 1.54(a)	
020	Revaluation model		IAS 17.49; IAS 16.31, 73(a)(d)	
030	Cost model		IAS 17.49; IAS 16.30, 73(a)(d)	
040	Investment property		IAS 40.IN5; IAS 1.54(b)	
050	Fair value model		IAS 17.49; IAS 40.33-55, 76	
060	Cost model		IAS 17.49; IAS 40.56,79(c)	
070	Other intangible assets	BAD art 4.Assets(9)	IAS 38.8, 118	
080	Revaluation model		IAS 17.49; IAS 38.75-87, 124(a)(ii)	
090	Cost model		IAS 17.49; IAS 38.74	

22. Asset management, custody and other service functions

22.1 Fee and commission income and expenses by activity
		References National GAAP based on BAD	References National GAAP compatible IFRS	Current period
		BAD art 27.Vertical layout(4), (5)	IFRS 7.20(c )	010
010	Fee and commission income		ITS 2.Part 2.10-12	
020	Securities			
030	Issuances	Annex V.Part 2.116(a)	Annex V.Part 2.116(a)	
040	Transfer orders	Annex V.Part 2.116(b)	Annex V.Part 2.116(b)	
050	Other	Annex V.Part 2.116(c)	Annex V.Part 2.116(c)	
060	Clearing and settlement	Annex V.Part 2.116(d)	Annex V.Part 2.116(d)	
070	Asset management	Annex V.Part 2.116(e); Annex V.Part 2.117(a)	Annex V.Part 2.116(e); Annex V.Part 2.117(a)	
080	Custody [by type of customer]	Annex V.Part 2.116(e); Annex V.Part 2.117(b)	Annex V.Part 2.116(e); Annex V.Part 2.117(b)	
090	Collective investment			
100	Other			
110	Central administrative services for collective investment	Annex V.Part 2.116(e); Annex V.Part 2.117(c)	Annex V.Part 2.116(e); Annex V.Part 2.117(c)	
120	Fiduciary transactions	Annex V.Part 2.116(e); Annex V.Part 2.117(d)	Annex V.Part 2.116(e); Annex V.Part 2.117(d)	
130	Payment services	Annex V.Part 2.116(e); Annex V.Part 2.117(e)	Annex V.Part 2.116(e); Annex V.Part 2.117(e)	
140	Customer resources distributed but not managed [by type of product]	Annex V.Part 2.117(f)	Annex V.Part 2.117(f)	
150	Collective investment			
160	Insurance products			
170	Other			
180	Structured Finance	Annex V.Part 2.116(f)	Annex V.Part 2.116(f)	
190	Servicing of securitization activities	Annex V.Part 2.116(g)	Annex V.Part 2.116(g)	
200	Loan commitments given	Annex V.Part 2.116(h)	IAS 39.47(d)(ii); Annex V.Part 2.116(h)	
210	Financial guarantees given	Annex V.Part 2.116(h)	IAS 39.47(c)(ii); Annex V.Part 2.116(h)	
220	Other	Annex V.Part 2.116(j)	Annex V.Part 2.116(j)	
230	(Fee and commission expenses)		ITS 2.Part 2.10-12	
240	(Clearing and settlement)	Annex V.Part 2.116(d)	Annex V.Part 2.116(d)	
250	(Custody)	Annex V.Part 2.117(b)	Annex V.Part 2.117(b)	
260	(Servicing of securitization activities)	Annex V.Part 2.116(g)	Annex V.Part 2.116(g)	
270	(Loan commitments received)	Annex V.Part 2.116(i)	Annex V.Part 2.116(i)	
280	(Financial guarantees received)	Annex V.Part 2.116(i)	Annex V.Part 2.116(i)	
290	(Other)	Annex V.Part 2.116(j)	Annex V.Part 2.116(j)	

22.2 Assets involved in the services provided
		References National GAAP based on BAD	References National GAAP compatible IFRS	Amount of the assets involved in the services provided
				Annex V.Part 2.117(g)
				010
010	Asset management [by type of customer]	Annex V.Part 2.117(a)	Annex V.Part 2.117(a)	
020	Collective investment			
030	Pension funds			
040	Customer portfolios managed on a discretionary basis			
050	Other investment vehicles			
060	Custody assets [by type of customer]	Annex V.Part 2.117(b)	Annex V.Part 2.117(b)	
070	Collective investment			
080	Other			
090	Of which: entrusted to other entities			
100	Central administrative services for collective investment	Annex V.Part 2.117(c)	Annex V.Part 2.117(c)	
110	Fiduciary transactions	Annex V.Part 2.117(d)	Annex V.Part 2.117(d)	
120	Payment services	Annex V.Part 2.117(e)	Annex V.Part 2.117(e)	
130	Customer resources distributed but not managed [by type of product]	Annex V.Part 2.117(f)	Annex V.Part 2.117(f)	
140	Collective investment			
150	Insurance products			
160	Other			

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

30.1 Interests in unconsolidated structured entities
		References National GAAP based on BAD	References National GAAP compatible IFRS	Carrying amount of financial assets recognised in the balance sheet	Of which: liquidity support drawn	Fair value of liquidity support drawn	Carrying amount of financial liabilities recognised in the balance sheet	Nominal amount of off-balance sheet items given by the reporting institution	Of which: Nominal amount of loan commitments given	Losses incurred by the reporting institution in the current period
				IFRS 12.29(a)	IFRS 12.29(a); Annex V.Part 2.118		IFRS 12.29(a)	IFRS 12.B26(e)		IFRS 12 B26(b)
				010	020	030	040	050	060	070
010	Total									

30.2 Breakdown of interests in unconsolidated structured entities by nature of the activities
By nature of the activities		References National GAAP based on BAD	References National GAAP compatible IFRS	Securitisation Special Purpose Entities	Asset management	Other activities
				CRR art 4 (66)	Annex V.Part 2.117(a)	
				Carrying amount		
			IFRS 12.28, B6.(a)	010	020	030
010	Selected financial assets recognised in the reporting institution's balance sheet		IFRS 12.29(a),(b)			
021	of which: non-performing	Annex V.Part 2. 145-162	Annex V.Part 2. 145-163			
030	Derivatives	CRR Annex II; Annex V.Part 1.6	IAS 39.9			
040	Equity instruments	ECB/2013/33 Annex 2.Part 2.4-5	IAS 32.11			
050	Debt securities	Annex V.Part 1.24, 26	Annex V.Part 1.24, 26			
060	Loans and advances	Annex V.Part 1.24, 27	Annex V.Part 1.24, 27			
070	Selected equity and financial liabilites recognised in the reporting institution's balance sheet		IFRS 12.29(a),(b)			
080	Equity instruments issued		IAS 32.4			
090	Derivatives	CRR Annex II	IAS 39.9, AG 15 (a)			
100	Deposits	ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.30	ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.30			
110	Debt securities issued	Annex V.Part 1.31	Annex V.Part 1.31			
				Nominal amount		
120	Off-balance sheet items given by the reporting institution		IFRS 12.B26.(e)			
131	of which: non-performing	Annex V.Part 2. 145-162	Annex V.Part 2. 145-162			

31. Related parties

31.1 Related parties: amounts payable to and amounts receivable from
				Outstanding balances				
				Parent and entities with joint control or significant influence	Subsidiaries and other entities of the same group	Associates and joint ventures	Key management of the institution or its parent	Other related parties
			References National GAAP compatible IFRS	IAS 24.19(a),(b)	IAS 24.19(c); Annex V.Part 2.120	IAS 24.19(d),(e); Annex V.Part 2.120	IAS 24.19(f)	IAS 24.19(g)
		References National GAAP based on BAD		Accounting Directive art 17(1)(p)	Accounting Directive art 17(1)(p)	Accounting Directive art 17(1)(p)	Accounting Directive art 17(1)(p)	Accounting Directive art 17(1)(p)
		Annex V.Part 2.120	Annex V.Part 2.120	010	020	030	040	050
010	Selected financial assets		IAS 24.18(b)					
020	Equity instruments	ECB/2013/33 Annex 2.Part 2.4-5	IAS 32.11					
030	Debt securities	Annex V.Part 1.24, 26	Annex V.Part 1.24, 26					
040	Loans and advances	Annex V.Part 1.24, 27	Annex V.Part 1.24, 27					
050	of which: Impaired financial assets							
060	Selected financial liabilities		IAS 24.18(b)					
070	Deposits	ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.30	ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.30					
080	Debt securities issued	Annex V.Part 1.31	Annex V.Part 1.31					
090	Nominal amount of loan commitments, financial guarantees and other commitments given	Annex V.Part 2.62	IAS 24.18(b); Annex V.Part 2.62					
100	of which: defaulted	Annex V.Part 2.61	IAS 24.18(b); Annex V.Part 2.61					
110	Loan commitments, financial guarantees and other commitments received	Annex V.Part 2.63, 121	IAS 24.18(b); Annex V.Part 2.63, 121					
120	Notional amount of derivatives	Annex V.Part 2.70-71	Annex V.Part 2.70-71					
130	Accumulated impairment, accumulated changes in fair value due to credit risk and provisions on non-performing exposures		IAS 24.18(c)					

31.2 Related parties: expenses and income generated by transactions with
				Current period				
				Parent and entities with joint control or significant influence	Subsidiaries and other entities of the same group	Associates and joint ventures	Key management of the institution or its parent	Other related parties
			References National GAAP compatible IFRS	IAS 24.19(a),(b)	IAS 24.19(c)	IAS 24.19(d),(e)	IAS 24.19(f)	IAS 24.19(g)
		References National GAAP based on BAD						
		Annex V.Part 2.120	Annex V.Part 2.120	010	020	030	040	050
010	Interest income	BAD art 27.Vertical layout(1); Annex V.Part 2.21	IAS 24.18(a); IAS 18.35(b)(iii); Annex V.Part 2.21					
020	Interest expenses	BAD art 27.Vertical layout(2); Annex V.Part 2.21	IAS 24.18(a); IAS 1.97; Annex V.Part 2.21					
030	Dividend income	BAD art 27.Vertical layout(3); Annex V.Part 2.28	IAS 24.18(a); IAS 18.35(b)(v); Annex V.Part 2.28					
040	Fee and commission income	BAD art 27.Vertical layout(4)	IAS 24.18(a); IFRS 7.20(c)					
050	Fee and commission expenses	BAD art 27.Vertical layout(5)	IAS 24.18(a); IFRS 7.20(c)					
060	Gains or (-) losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss	BAD art 27.Vertical layout(6)	IAS 24.18(a)					
070	Gains or (-) losses on derecognition of non-financial assets	Annex V.Part 2.122	IAS 24.18(a); Annex V.Part 2.122					
080	Increase or (-) decrease during the period in accumulated impairment, accumulated fair value changes due to credit risk and provisions for non-performing debt instruments, guarantees and commitments		IAS 24.18(d)					

40. Group structure

40.1 Group structure: "entity-by-entity"
LEI code	Entity code	Entity name	Entry date	Share capital	Equity of investee	Total assets of investee	Profit or (-) loss of investee	Residence of investee	Sector of investee	NACE Code	Accumulated equity interest [%]	Voting rights [%]	Group structure [relationship]	Accounting treatment [Accounting Group]	Accounting treatment [CRR Group]	Carrying amount	Acquisition cost	Goodwill link to Investee	Fair value of investments for which there are published price quotations
Annex V.Part 2.123, 124(a)	Annex V.Part 2.123, 124(b)	IFRS 12.12(a), 21(a)(i); Annex V.Part 2.123, 124(c)	Annex V.Part 2.123, 124(d)	Annex V.Part 2.123, 124(e)	IFRS 12.B12(b); Annex V.Part 2.123, 124(f)	IFRS 12.B12(b); Annex V.Part 2.123, 124(f)	IFRS 12.B12(b); Annex V.Part 2.123, 124(f)	IFRS 12.12.(b), 21.(a).(iii); Annex V.Part 2.123, 124(g)	Annex V.Part 2.123, 124(h)	Annex V.Part 2.123, 124(i)	IFRS 12.21(iv); Annex V.Part 2.123, 124(j)	IFRS 12.21(iv); Annex V.Part 2.123, 124(k)	IFRS 12.10(a)(i); Annex V.Part 2.123, 124(l)	IFRS 12.21(b); Annex V.Part 2.123, 124(m)	CRR art 423(b); Annex V.Part 2.123, 124(n)	Annex V.Part 2.123, 124(0)	Annex V.Part 2.123, 124(p)	Annex V.Part 2.123, 124(q)	IFRS 12.21(b)(iii); Annex V.Part 2.123, 124(r)
Annex V.Part 2.123, 124(a)	Annex V.Part 2.123, 124(b)	Annex V.Part 2.123, 124(c)	Annex V.Part 2.123, 124(d)	Annex V.Part 2.123, 124(e)	Annex V.Part 2.123, 124(f)	Annex V.Part 2.123, 124(f)	Annex V.Part 2.123, 124(f)	Annex V.Part 2.123, 124(q)	Annex V.Part 2.123, 124(h)	Annex V.Part 2.123, 124(i)	Annex V.Part 2.123, 124(j)	Annex V.Part 2.123, 124(k)	Annex V.Part 2.123, 124(l)	Annex V.Part 2.123, 124(m)	CRR art 423(b); Annex V.Part 2.123, 124(n)	Annex V.Part 2.123, 124(0)	Annex V.Part 2.123, 124(p)	Annex V.Part 2.123, 124(q)	Annex V.Part 2.123, 124(r)
010	020	030	040	050	060	070	080	090	095	100	110	120	130	140	150	160	170	180	190
																			

40.2. Group structure: "instrument-by-instrument"
Security code	Entity code	Holding company LEI code	Holding company code	Holding company name	Accumulated equity interest (%)	Carrying amount	Acquisition cost
Annex V.Part 2.125(a)	Annex V.Part 2.124(b), 125(c)		Annex V.Part 2.125(b)		Annex V.Part 2.124(j), 125(c)	Annex V.Part 2.124(o), 125(c)	Annex V.Part 2.124(p), 125(c)
Annex V.Part 2.125(a)	Annex V.Part 2.124(b), 125(c)		Annex V.Part 2.125(b)		Annex V.Part 2.124(j), 125(c)	Annex V.Part 2.124(o), 125(c)	Annex V.Part 2.124(p), 125(c)
010	020	030	040	050	060	070	080
							

41. Fair value

41.1 Fair value hierarchy: financial instruments at amortised cost
ASSETS		References National GAAP based on BAD	References National GAAP compatible IFRS	Fair value	Fair value hierarchyIFRS 13.93(b), BC216		
				IFRS 7.25-26	Level 1IFRS 13.76	Level 2IFRS 13.81	Level 3IFRS 13.86
				010	020	030	040
010	Loans and receivables	Accounting Directive art 8(4)(b), (6); IAS 39.9	IFRS 7.8 (c); IAS 39.9, AG16, AG26				
020	Debt securities	Annex V.Part 1.24, 26	Annex V.Part 1.24, 26				
030	Loans and advances	Annex V.Part 1.24, 27	Annex V.Part 1.24, 27				
040	Held-to-maturity investments	Accounting Directive art 8(4)(a), (6); IAS 39.9	IFRS 7.8(b); IAS 39.9, AG16, AG26				
050	Debt securities	Annex V.Part 1.24, 26	Annex V.Part 1.24, 26				
060	Loans and advances	Annex V.Part 1.24, 27	Annex V.Part 1.24, 27				
LIABILITIES							
070	Financial liabilities measured at amortised cost	Accounting Directive art 8(3), (6); IAS 39.47	IFRS 7.8(f); IAS 39.47				
080	Deposits	ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.30	ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.30				
090	Debt securities issued	Annex V.Part 1.31	Annex V.Part 1.31				
100	Other financial liabilities	Annex V.Part 1.32-34	Annex V.Part 1.32-34				

41.2 Use of the Fair Value Option
				Carrying amount		
Financial instruments designated at fair value through profit or loss		References National GAAP based on BAD	References National GAAP compatible IFRS	Accounting mismatch	Evaluation on a fair value basis	Hybrid contracts
IFRS 7.B5(a)				IAS 39.9b(i)	IAS 39.9b(ii)	IAS 39.11A-12; Annex V.Part 2.127
ASSETS				010	020	030
010	Financial assets designated at fair value through profit or loss	Accounting Directive art 8(1)(a), (6); IAS 39.9	IFRS 7.8(a)(i); IAS 39.9			
020	Equity Instruments	ECB/2013/33 Annex 2.Part 2.4-5	IAS 32.11			
030	Debt securities	Annex V.Part 1.24, 26	Annex V.Part 1.24, 26			
040	Loans and advances	Annex V.Part 1.24, 27	Annex V.Part 1.24, 27			
LIABILITIES						
050	Financial liabilities designated at fair value through profit or loss	Accounting Directive art 8(1)(a), (6); IAS 39.9	IFRS 7.8(e)(i); IAS 39.9			
060	Deposits	ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.30	ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.30			
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			

41.3 Hybrid financial instruments not designated at fair value through profit or loss
	Rest of separable hybrid contracts [not designated at fair value through profit or loss]	References National GAAP based on BAD	References National GAAP compatible IFRS	Carrying amount
	FINANCIAL ASSETS			010
010	Financial assets held for trading	Accounting Directive art 24(3)(c)	IAS 39.9; Annex V.Part 2.129	
020	Available-for-sale [Host contracts]	Accounting Directive art 8(4)(b),(6); IAS 39.11; Annex V.Part 2.130	IAS 39.11; Annex V.Part 2.130	
030	Loans and receivables [Host contracts]	Accounting Directive art 8(4)(b),(6); IAS 39.11; Annex V.Part 2.130	IAS 39.11; Annex V.Part 2.130	
040	Held-to-maturity investments [Host contracts]	Accounting Directive art 8(4)(b),(6); IAS 39.11; Annex V.Part 2.130	IAS 39.11; Annex V.Part 2.130	
FINANCIAL LIABILITES				
050	Financial liabilities held for trading	Accounting Directive art 8(4)(b), (6); IAS 39.9; Annex V.Part 2.129	IAS 39.9; Annex V.Part 2.129	
060	Financial liabilities measured at amortized cost [Host contracts]	Accounting Directive art 8(4)(b), (6); IAS 39.9; Annex V.Part 2.130	IAS 39.11; Annex V.Part 2.130	

42. Tangible and intangible assets: carrying amount by measurement method
		References National GAAP compatible IFRS	Carrying amount
			010
010	Property plant and equipment	IAS 16.6; IAS 16.29; IAS 1.54(a)	
020	Revaluation model	IAS 16.31, 73(a),(d)	
030	Cost model	IAS 16.30, 73(a),(d)	
040	Investment property	IAS 40.5, 30; IAS 1.54(b)	
050	Fair value model	IAS 40,33-55, 76	
060	Cost model	IAS 40.56, 79(c)	
070	Other intangible assets	IAS 38.8, 118, 122 ; Annex V.Part 2.132	
080	Revaluation model	IAS 38.75-87, 124(a)(ii)	
090	Cost model	IAS 38.74	

43. Provisions
		References National GAAP based on BAD	References National GAAP compatible IFRS	Carrying amount						
				Pensions and other employment defined benefit obligations	Other long term employee benefits	Restructuring	Pending legal issues and tax litigation	Commitments and guarantees given	Other provisions	Total
				IAS 19.63; IAS 1.78(d); Annex V.Part 2.8	IAS 19.153; IAS 1.78(d); Annex V.Part 2.8	IAS 37.70-83	IAS 37.App C.6-10	IAS 37.App C.9; IAS 39.2(h), 47(c)(d), BC 15, AG 4	IAS 37.14	
				Annex V.Part 2.8	Annex V.Part 2.8			BAD art 24-25, 33(1)		
				010	020	030	040	050	060	070
010	Opening balance [carrying amount at the beginning of the period]		IAS 37.84 (a)							
020	Additions, including increases in existing provisions		IAS 37.84 (b)							
030	(-) Amounts used		IAS 37.84 (c)							
040	(-) Unused amounts reversed during the period		IAS 37.84 (d)							
050	Increase in the discounted amount [passage of time] and effect of any change in the discount rate		IAS 37.84 (e)							
060	Other movements									
070	Closing balance [carrying amount at the end of the period]		IAS 37.84 (a)							

44 Defined benefit plans and employee benefits

44.1 Components of net defined benefit plan assets and liabilities
		References National GAAP compatible IFRS	Amount
			010
010	Fair value of defined benefit plan assets	IAS 19.140(a)(i), 142	
020	Of which: Financial instruments issued by the institution	IAS 19.143	
030	Equity instruments	IAS 19.142(b)	
040	Debt instruments	IAS 19.142(c)	
050	Real estate	IAS 19.142(d)	
060	Other defined benefit plan assets		
070	Present value of defined benefit obligations	IAS 19.140(a)(ii)	
080	Effect of the asset ceiling	IAS 19.140(a)(iii)	
090	Net defined benefit assets [Carrying amount]	IAS 19.63; Annex V.Part 2.136	
100	Provisions for pensions and other post-employment defined benefit obligations [Carrying amount]	IAS 19.63, IAS 1.78(d); Annex V.Part 2.7	
110	Memo item: Fair value of any right to reimbursement recognised as an asset	IAS 19.140(b)	

44.2 Movements in defined benefit obligations
		References National GAAP compatible IFRS	Defined benefit obligations
			010
010	Opening balance [present value]	IAS 19.140(a)(ii)	
020	Current service cost	IAS 19.141(a)	
030	Interest cost	IAS 19.141(b)	
040	Contributions paid	IAS 19.141(f)	
050	Actuarial (-) gains or losses from changes in demographic assumptions	IAS 19.141(c)(ii)	
060	Actuarial (-) gains or losses from changes in financial assumptions	IAS 19.141(c)(iii)	
070	Foreign currency exchange increase or (-) decrease	IAS 19.141(e)	
080	Benefits paid	IAS 19.141(g)	
090	Past service cost, including gains and losses arising from settlements	IAS 19.141(d)	
100	Increase or (-) decrease through business combinations and disposals	IAS 19.141(h)	
110	Other increases or (-) decreases		
120	Closing balance [present value]	IAS 19.140(a)(ii); Annex V.Part 2.138	

44.3 Memo items [related to staff expenses]
		References National GAAP based on BAD	References National GAAP compatible IFRS	Current period
				010
010	Pension and similar expenses	Annex V.Part 2.139(a)	Annex V.Part 2.139(a)	
020	Share based payments	Annex V.Part 2.139b)	IFRS 2.44; Annex V.Part 2.139(b)	

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

45.1 Gains or losses on financial assets and liabilities designated at fair value through profit or loss by accounting portfolio
		References National GAAP based on BAD	References National GAAP compatible IFRS	Current period	Changes in fair value due to credit risk
				010	020
010	Financial assets designated at fair value through profit or loss	Accounting Directive art 8(1)(a),(6); IAS 39.9	IFRS 7.20(a)(i); IAS 39.55(a)		
020	Financial liabilities designated at fair value through profit or loss	Accounting Directive art 8(1)(a),(6); IAS 39.9	IFRS 7.20(a)(i); IAS 39.55(a)		
030	GAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS	BAD art 27.Vertical layout(6)	IFRS 7.20(a)(i)		

45.2 Gains or losses on derecognition of non-financial assets other than held for sale
		References National GAAP based on BAD	References National GAAP compatible IFRS	Current period
				010
020	Investment property		IAS 40.69; IAS 1.34(a), 98(d)	
030	Intangible assets		IAS 38.113-115A; IAS 1.34(a)	
040	Other assets		IAS 1.34 (a)	
050	GAINS OR (-) LOSSES ON DERECOGNITION OF NON-FINANCIAL ASSETS		IAS 1.34	

45.3 Other operating income and expenses
		References National GAAP based on BAD	References National GAAP compatible IFRS	Income	Expenses
				010	020
010	Changes in fair value in tangible assets measured using the fair value model	Annex V.Part 2.141	IAS 40.76(d); Annex V.Part 2.141		
020	Investment property	Annex V.Part 2.141	IAS 40.75(f); Annex V.Part 2.141		
030	Operating leases other than investment property	Annex V.Part 2.142	IAS 17.50, 51, 56(b); Annex V.Part 2.142		
040	Other	Annex V.Part 2.143	Annex V.Part 2.143		
050	OTHER OPERATING INCOME OR EXPENSES	Annex V.Part 2.141-142	Annex V.Part 2.141-142		

46. Statement of changes in equity
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	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(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		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		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	Accounting Directive art 8(1)(a), (6)	BAD art 4 Liabilities (13); CRR art 4(123)		BAD art 4.Liabilities(12)		Accounting Directive 24(3)(c)	Accounting Directive Annex III Annex III Assets D(III)(2); BAD art 4 Assets (12); Annex V.Part 2.20	BAD art 4.Liabilities(14)	CRR Article 26(2b)	Accounting Directive art 24(4)	Accounting Directive art 24(4)	
				010	020	030	040	050	060	070	075	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 V

‘ANNEX V REPORTING ON FINANCIAL INFORMATION

PART 1 GENERAL INSTRUCTIONS

1. REFERENCES
1. This Annex contains additional instructions for the financial information templates (‘FINREP’) in Annexes III and IV to this Regulation. This Annex complements the instructions included in the form of references in the templates in Annexes III and IV.
2. 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’).

3. Institutions shall only submit those parts of the templates related to:
(a) assets, liabilities, equity, income and expenses that are recognised by the institution;
(b) off-balance sheet exposures and activities in which the institution is involved;
(c) transactions performed by the institution;
(d) valuation rules, including methods for the estimation of allowances for credit risk, applied by the institution.

4. For the purposes of Annexes III and IV as well as this Annex, the following abbreviations shall apply:
(a) ‘IAS regulation’: Regulation (EC) No 1606/2002;
(b) ‘IAS’ or ‘IFRS’: ‘International Accounting Standards’, as defined in Article 2 of the IAS regulation that has been adopted by the Commission;
(c) ‘ECB BSI Regulation’ or ‘ECB/2013/33’: Regulation (EC) No 1071/2013 of the European Central Bank;
Regulation (EC) No 1071/2013 of the European Central Bank of 24 September 2013 concerning the balance sheet of monetary financial institutions sector (recast) (ECB/2013/33) (OJ L 297, 7.11.2013, p. 1).
(d) ‘NACE Regulation’: Regulation (EC) No 1893/2006 of the European Parliament and of the Council;
Regulation (EC) No 1893/2006 of the European Parliament and of the Council of 20 December 2006 establishing the statistical classification of economic activities NACE Revision 2 and amending Council Regulation (EEC) No 3037/90 as well as certain EC Regulations on specific statistical domains (OJ L 393, 30.12.2006, p. 1).
(e) ‘BAD’: Council Directive 86/635/EEC;
Council Directive 86/635/EEC of 8 December 1986 on the annual accounts and consolidated accounts of banks and other financial institutions (OJ L 372, 31.12.1986, p. 1).
(f) ‘Accounting Directive’: Directive 2013/34/EU;
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).
(g) ‘National GAAP’: national generally accepted accounting principles developed under BAD;
(h) ‘SME’: micro, small and medium-sized enterprises defined in Commission Recommendation C(2003)1422;
Commission Recommendation of 6 May 2003 concerning the definition of micro, small and medium-sized enterprises (C(2003)1422) (OJ L 124, 20.5.2003, p. 36).
(i) ‘ISIN code’: the International Securities Identification Number assigned to securities, composed of 12 alphanumeric characters, which uniquely identifies a securities issue;
(j) ‘LEI code’: the global Legal Entity Identifier assigned to entities, which uniquely identifies a party to a financial transaction.

2. CONVENTION
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.
6. Templates in Annexes III and IV include implicit validation rules which are laid down in the templates themselves through the use of conventions.
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.
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’.
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.

10. Schematically, this convention works as in Table 1.
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. CONSOLIDATION

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:
(a) institutions may be permitted or required to apply the equity method to investments in insurance and non-financial subsidiaries in accordance with Article 18(5)of CRR;
(b) institutions may be permitted to use the proportional consolidation method for financial subsidiaries in accordance with Article 18(2) of CRR;
(c) 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 PORTFOLIOS

4.1. Assets
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’.

13. The following accounting portfolios based on IFRS shall be used for financial assets:
(a) ‘Financial assets held for trading’;
(b) ‘Financial assets designated at fair value through profit or loss’;
(c) ‘Available-for-sale financial assets’;
(d) ‘Loans and Receivables’;
(e) ‘Held-to-maturity investments’.

14. The following accounting portfolios based on National GAAP shall be used for financial assets:
(a) ‘Trading financial assets’;
(b) ‘Non-trading non-derivative financial assets measured at fair value through profit or loss’;
(c) ‘Non-trading non-derivative financial assets measured at fair value to equity;
(d) ‘Non-trading debt instruments measured at a cost-based method’; and
(e) ‘Other non-trading non-derivative financial assets’.

15. ‘Trading financial assets’ includes all financial assets classified as trading under the relevant National GAAP based on BAD. Under National GAAP based on BAD, derivatives that are not held for hedge accounting shall also be reported in this item without regarding the method applied to measure these contracts.
Irrespective of the measurement methodology applied under the relevant National GAAP based on BAD, derivatives that are not classified as hedge accounting shall be classified as trading financial assets. This classification shall also apply for derivatives which according to National GAAP based on BAD are not recognised on the balance-sheet, or have only the changes in their fair value recognised on-balance sheet.
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.
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’).
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.
19. ‘Derivatives — Hedge accounting’ shall include derivatives held for hedge accounting under IFRS. Under National GAAP based on BAD, banking book derivatives shall be classified as derivatives held for hedge accounting only if there are special accounting rules for banking book derivatives under the relevant National GAAP based on BAD and the derivatives reduce risk of another position in the banking book. Irrespective of the measurement methodology applied under the relevant National GAAP based on BAD, derivatives used as economic hedges and derivatives that are not classified as hedge accounting shall be classified as trading derivatives. This classification shall also apply for derivatives which according to National GAAP based on BAD are not recognised on the balance-sheet, or have only the changes in their fair value recognised on-balance sheet.

4.2. Liabilities

20. The following accounting portfolios based on IFRS shall be used for financial liabilities:
(a) ‘Financial liabilities held for trading’;
(b) ‘Financial liabilities designated at fair value through profit or loss’;
(c) ‘Financial liabilities measured at amortised cost’.

21. The following accounting portfolios based on National GAAP shall be used for financial liabilities:
(a) ‘Trading financial liabilities’; and
(b) ‘Non-trading non-derivative financial liabilities measured at a cost-based method’.
‘Trading financial liabilities’ includes all financial liabilities classified as trading under the relevant National GAAP based on BAD. Irrespective of the measurement methodology applied under the relevant National GAAP based on BAD, derivatives that are not classified as hedge accounting shall be classified as trading financial liabilities. This classification shall also apply for derivatives which according to National GAAP based on BAD are not recognised on the balance-sheet, or have only the changes in their fair value recognised on-balance sheet.
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.
23. ‘Derivatives — Hedge accounting’ shall include derivatives held for hedge accounting under IFRS. Under National GAAP based on BAD, banking book derivatives shall be classified as hedge accounting only if there are special accounting rules for banking book derivatives under the relevant National GAAP based on BAD and the derivatives reduce risk of another position in the banking book. Irrespective of the measurement methodology applied under the relevant National GAAP based on BAD, derivatives used as economic hedges and derivatives that are not classified as hedge accounting, shall be classified as trading derivatives. This classification shall also apply for derivatives which according to National GAAP based on BAD are not recognised on the balance-sheet, or have only the changes in their fair value recognised on-balance sheet.

5. FINANCIAL INSTRUMENTS

5.1. Financial assets
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. Under the relevant National GAAP based on BAD, the carrying amount of derivatives shall be the carrying amount under National GAAP including accruals, premium values and provisions if applicable.
25. Financial assets shall be distributed among the following classes of instruments: ‘Cash on hand’, ‘Derivatives’, ‘Equity instruments’, ‘Debt securities’, and ‘Loan and advances’.
26. ‘Debt securities’ are debt instruments held by the institution issued as securities that are not loans in accordance with the ECB BSI Regulation.
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’.

5.2. Financial liabilities
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. Under the relevant National GAAP based on BAD, the carrying amount of derivatives shall be the carrying amount under National GAAP including accruals, premium values and provisions if applicable.
29. Financial liabilities shall be distributed among the following classes of instruments: ‘Derivatives’, ‘Short positions’, ‘Deposits’, ‘Debt securities issued’ and ‘Other financial liabilities’.
30. ‘Deposits’ are defined in the same way as in the ECB BSI Regulation.
31. ‘Debt securities issued’ are debt instruments issued as securities by the institution that are not deposits in accordance with the ECB BSI Regulation.
32. ‘Other financial liabilities’ include all financial liabilities other than derivatives, short positions, deposits and debt securities issued.
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’.
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).

6. COUNTERPARTY BREAKDOWN

35. Where a breakdown by counterparty is required the following counterparty sectors shall be used:
(a) central banks;
(b) general governments: central governments, state or regional governments, and local governments, including administrative bodies and non-commercial undertakings, but excluding public companies and private companies held by these administrations that have a commercial activity (which shall be reported under ‘non-financial corporations’); social security funds; and international organisations, such as the European Community, the International Monetary Fund and the Bank for International Settlements;
(c) 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;
(d) other financial corporations: all financial corporations and quasi-corporations other than credit institutions such as investment firms, investment funds, insurance companies, pension funds, collective investment undertakings, and clearing houses as well as remaining financial intermediaries and financial auxiliaries;
(e) 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;
(f) Households: individuals or groups of individuals as consumers, and producers of goods and non-financial services exclusively for their own final consumption, and as producers of market goods and non-financial and financial services provided that their activities are not those of quasi-corporations. Non-profit institutions which serve households 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.

PART 2 TEMPLATE RELATED INSTRUCTIONS

1. BALANCE SHEET

1.1. Assets (1.1)
1. ‘Cash on hand’ includes holdings of national and foreign banknotes and coins in circulation that are commonly used to make payments.
2. ‘Cash balances at central banks’ include balances receivable on demand at central banks.
3. ‘Other demand deposits’ include balances receivable on demand with credit institutions.

4. Under the relevant National GAAP based on BAD, the carrying amount of derivatives not recognised on-balance sheet shall be equal to zero.
‘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.

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.
Carrying amount of repurchased own shares under the relevant National GAAP based on BAD shall be reported as ‘other assets’ if presentation as asset is allowed under the relevant national GAAP.
If recognised under the relevant National GAAP based on BAD, accruals and deferrals of financial instruments including interest accrual, premiums and discounts or transaction costs shall be reported together with the instrument and not as other assets.
6. ‘Non-current assets and disposal groups classified as held for sale’ has the same meaning as under IFRS 5.

1.2. Liabilities (1.2)

7. Under the relevant National GAAP based on BAD, the carrying amount of derivatives not recognised on-balance sheet shall be equal to zero.
Under National GAAP based on BAD provisions for contingent losses arising from the ineffective part of portfolio hedge relationship shall be reported either in row ‘Derivatives – Hedge accounting’ or in row ‘Fair value changes of the hedged items in portfolio hedge of interest rate risk’ if the loss arises either from the valuation of the hedging derivative or from the valuation of the hedged position.

8. Provisions for ‘Pensions and other post employment defined benefit obligations’ include the amount of net defined benefit liabilities.
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’.
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.

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’.
If recognised under the relevant National GAAP based on BAD, accruals and deferrals of financial instruments including interest accrual, premiums and discounts or transaction costs shall be reported together with the instrument and not as other liabilities.
11. ‘Liabilities included in disposal groups classified as held for sale’ has the same meaning as under IFRS 5.
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’.

1.3. Equity (1.3)
13. Under IFRS or compatible National GAAP, equity instruments that are financial instruments include those contracts under the scope of IAS 32.
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. If capital increase, not yet paid, is recorded as an increase of share capital under the relevant National GAAP based on BAD, unpaid capital which has been called up shall be reported on both sides of the balance-sheet. Unpaid capital shall be reported in ‘Unpaid capital which has been called up’ in template 1.3 and as a receivable from the shareholders in the ‘other assets’ in template 1.1. Under the relevant National GAAP based on BAD where capital increase can be recorded only following the receipt of the payment from shareholders, unpaid capital shall not be reported in template 1.3.
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).
16. ‘Other equity instruments issued’ includes equity instruments that are financial instruments other than ‘Capital’ and ‘Equity component of compound financial instruments’.
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].
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.
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.
20. ‘Treasury shares’ cover all financial instruments that have the characteristics of own equity instruments which have been reacquired by the institution.

2. STATEMENT OF PROFIT OR LOSS (2)
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’).

22. Institutions shall report the following items broken down by accounting portfolios:
(a) ‘Interest income’;
(b) ‘Interest expense’;
(c) ‘Dividend income’;
(d) ‘Gains or losses on de-recognition of financial assets and liabilities not measured at fair value through profit or loss, net’;
(e) ‘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.
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’.

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.
Under IFRS and where not provided otherwise in National GAAP based on BAD, interests in relation to financial liabilities with a negative effective interest rate shall be reported in interest income, in ‘Interest income on financial liabilities’. These liabilities and their interests give rise to a positive yield for an institution.

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.
Under IFRS and where not provided otherwise in National GAAP based on BAD, interests in relation to financial assets with a negative effective interest rate shall be reported in interest expense, in ‘Interest expense on financial assets’. These assets and their interests give rise to a negative yield for an institution.
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.
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’.
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. Under National GAAP based on BAD ‘Impairment or reversal of impairment on financial assets not measured at fair value through profit and loss’ shall include all allowances and reversal of allowances of financial instruments measured at cost based methods due to the change in creditworthiness of the issuer.
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.

3. STATEMENT OF COMPREHENSIVE INCOME (3)
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.

4. BREAKDOWN OF FINANCIAL ASSETS BY INSTRUMENT AND BY COUNTERPARTY SECTOR (4)
32. Financial assets shall be broken down by instrument and – where required – by counterparty.
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.
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.
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.
36. ‘Specific allowances for financial assets, individually estimated’ shall include cumulative amount of impairment related to financial assets which have been assessed individually.
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.

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.
‘General allowances for credit risk’ shall include both general allowances for credit risk and general allowances for banking risk. From the general allowances for banking risk only the part that affects the carrying amount of loans shall be reported [BAD Article 37.2].
39. The sum of unimpaired assets and impaired assets net of all the allowances shall be equal to the carrying amount.
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.

5. BREAKDOWN OF LOANS AND ADVANCES BY PRODUCT (5)

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:
(a) ‘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;
(b) ‘Credit card debt’ includes credit granted either via delayed debit cards or via credit cards [ECB BSI Regulation];
(c) ‘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);
(d) ‘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;
(e) ‘Reverse repurchase loans’ include finance granted in exchange for securities bought under repurchase agreements or borrowed under securities lending agreements;
(f) ‘Other term loans’ include debit balances with contractually fixed maturities or terms that are not included in other items;
(g) ‘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);
(h) ‘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’);
(i) ‘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;
(j) ‘Credit for consumption’ includes loans granted mainly for the personal consumption of goods and services [ECB BSI Regulation];
(k) ‘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];
(l) ‘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)
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.
43. The classification of the exposures incurred jointly by more than one obligor shall be done in accordance with paragraph 36 of Part 1.
44. Reporting of NACE codes shall be done with the first level of disaggregation (by ‘section’).
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’.
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.

7. FINANCIAL ASSETS SUBJECT TO IMPAIRMENT THAT ARE PAST DUE OR IMPAIRED (7)
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’.
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.
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.
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.

8. BREAKDOWN OF FINANCIAL LIABILITIES (8)
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.

52. ‘Debt securities issued’ shall be disaggregated into the following type of products:
(a) ‘Certificates of deposits’ are securities that enable the holders to withdraw funds from an account;
(b) ‘Asset backed securities’ according to Article 4(1)(61) of CRR;
(c) ‘Covered Bonds’ according to Article 129(1) of CRR;
(d) ‘Hybrid contracts’ comprise contracts with embedded derivatives;
(e) ‘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’.
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].

9. LOAN COMMITMENTS, FINANCIAL GUARANTEES AND OTHER COMMITMENTS (9)
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.
56. Information on loan commitments, financial guarantees, and other commitments given and received include both revocable and irrevocable commitments.

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’:
(a) ‘Forward deposits’.
(b) ‘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’:
(a) ‘Guarantees having the character of credit substitute’;
(b) ‘Credit derivatives’ that meet the definition of financial guarantee;
(c) ‘Irrevocable standby letters of credit having the character of credit substitutes’;

59. ‘Other commitments’ includes the following items of Annex I of CRR:
(a) ‘Unpaid portion of partly-paid shares and securities’;
(b) ‘Documentary credits issued or confirmed’;
(c) Trade finance Off-balance sheet items;
(d) ‘Documentary credits in which underlying shipment acts as collateral and other self-liquidating transactions’;
(e) ‘Warranties and indemnities’ (including tender and performance bonds) and ‘guarantees not having the character of credit substitutes’;
(f) ‘Shipping guarantees, customs and tax bonds’;
(g) Note issuance facilities (NIFs) and revolving underwritings facilities (RUFs);
(h) ‘Undrawn credit facilities’ which comprise agreements to ‘lend’ or provide ‘acceptance facilities’ when the terms and conditions are not pre-specified;
(i) ‘Undrawn credit facilities’ which comprise agreements to ‘purchase securities’ or ‘provide guarantees’;
(j) ‘Undrawn credit facilities for tender and performance guarantees’;
(k) ‘Other off-balance sheet items’ in Annex I 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:
(a) ‘Credit derivatives’ that do not meet the definition of financial guarantees are ‘derivatives’ under IAS 39;
(b) ‘Acceptances’ are obligations by an institution to pay on maturity the face value of a bill of exchange, normally covering the sale of goods. Consequently, they are classified as ‘trade receivables’ on the balance sheet;
(c) ‘Endorsements on bills’ that do not meet the criteria for de-recognition under IAS 39;
(d) ‘Transactions with recourse’ that do not meet the criteria for de-recognition under IAS 39;
(e) ‘Assets purchased under outright forward purchase agreements’ are ‘derivatives’ under IAS 39;
(f) ‘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.
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.
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.

10. DERIVATIVES (10 AND 11)

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.
Under the relevant National GAAP based on BAD, all trading and hedging derivatives shall be reported in these templates irrespective of the portfolio or whether they are recognised on the balance sheet or not under the relevant National GAAP.
65. Institutions shall report the derivatives held for hedge accounting broken down by type of hedge.
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).

10.1. Classification of derivatives by type of risk

67. All derivatives shall be classified into the following risk categories:
(a) Interest rate: 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.
(b) Equity: 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.
(c) Foreign exchange and gold: 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.
(d) Credit: 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.
(e) Commodity: 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.
(f) Other: 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:
(a) Commodities: All derivatives transactions involving a commodity or commodity index exposure, whether or not they involve a joint exposure in commodities and any other risk category which may include foreign exchange, interest rate or equity, shall be reported in this category.
(b) Equities: With the exception of contracts with a joint exposure to commodities and equities, which are to be reported as commodities, all derivatives transactions with a link to the performance of equities or equity indices shall be reported in the equity category. Equity deals with exposure to foreign exchange or interest rates should be included in this category.
(c) Foreign exchange and gold: 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

69. The ‘carrying amount’ for all derivatives (hedging or trading) is the fair value under IFRS. 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’).
Under the relevant National GAAP based on BAD, the reported carrying amount shall be the carrying amount including accruals, premium values and provisions if applicable under National GAAP. In addition to carrying amounts market values shall be reported by reporting institutions under National GAAP based on BAD.

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:
(a) For contracts with variable nominal or notional principal amounts, the basis for reporting is the nominal or notional principal amounts at the reference date;
(b) The notional amount value to be reported for a derivative contract with a multiplier component is the contract effective notional amount or par value;
(c) 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;
(d) 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;
(e) Credit derivatives: The contract amount to be reported for credit derivatives is the nominal value of the relevant reference credit;
(f) Digital options have a predefined payoff which can be either a monetary amount or a number of contracts of an underlying. The notional amount for digital options 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.
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).

10.3. Derivatives classified as ‘economic hedges’
73. Derivatives that are not effective hedging instruments in accordance with IAS 39 or with the accounting framework under National GAAP based on BAD 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 or with the accounting framework under National GAAP based on BAD to be effective hedging instruments as well as to derivatives linked to unquoted equity instruments whose fair value cannot be measured reliably.
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.

10.4. Breakdown of derivatives by counterparty sector

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:
(a) ‘credit institutions’,
(b) ‘other financial corporations’, and
(c) ‘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.

11. MOVEMENTS IN ALLOWANCES FOR CREDIT LOSSES AND IMPAIRMENT OF EQUITY INSTRUMENTS (12)
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.
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.

12. COLLATERAL AND GUARANTEES RECEIVED (13)

12.1. Breakdown of loans and advances by collateral and guarantees (13.1)
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.
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.

81. For reporting loans and advances according to the type of pledge the following definitions shall be used:
(a) 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;
(b) within ‘Other collateralised loans’, ‘Cash [Debt instruments issued]’ shall include: (a) deposits in the reporting institution that have been pledged as collateral for a loan; (b) or debt securities issued by the reporting institution which have been pledged as collateral for a loan. ‘Rest’ includes pledges of other securities issued by any third party or pledges of other assets;
(c) ‘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.

12.2. Collateral obtained by taking possession during the period [held at the reporting date] (13.2)
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.

12.3. Collateral obtained by taking possession [tangible assets] accumulated (13.3)
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’.

13. FAIR VALUE HIERARCHY: FINANCIAL INSTRUMENTS AT FAIR VALUE (14)
85. Institutions shall report the value of financial instruments measured at fair value according to the hierarchy provided by in IFRS 13.72.
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.
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.

14. DERECOGNITION AND FINANCIAL LIABILITIES ASSOCIATED WITH TRANSFERRED FINANCIAL ASSETS (15)
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.
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.
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.

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:
(a) Amounts received in exchange for securities temporarily transferred to a third party in the form of securities lending against cash collateral;
(b) Amounts received in exchange for securities temporarily transferred to a third party in the form of sale/buy-back agreement.
92. ‘Repurchase agreements’ (‘repos’) and ‘reverse repurchase loans’ (‘reverse repos’) involve cash received or loaned out by the institution.
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.

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

15.1. Interest income and expenses by instrument and counterparty sector (16.1)
95. The interests shall be broken down both by interest income on financial and other assets as well as on financial liabilities with negative effective interest rate, and interest expenses on financial and other liabilities as well as on financial assets with negative effective interest rate. Interest income on financial assets and on financial liabilities with a negative effective interest rate includes interest income on derivatives held for trading, debt securities, and loans and advances, as well as on deposits, debt securities issued, and other financial liabilities with a negative effective interest rate. Interest expenses on financial liabilities and on financial assets with a negative effective interest rate includes interest expenses on derivatives held for trading, deposits, debt securities issued and other financial liabilities, as well as on debt securities and loans and advances with a negative effective interest rate. 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.
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.

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)
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. Gains and losses of financial instruments classified as trading under the relevant National GAAP based on BAD shall not be reported in this template regardless of the valuation rules applicable for these instruments.

15.3. Gains or losses on financial assets and liabilities held for trading by instrument (16.3)
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. Gains and losses from foreign currency trading on the spot market, excluding exchange of foreign notes and coins, should be included as trading gains and losses. Gains and losses from precious metal trading should not be included in trading gains and losses as precious metals are not financial instruments.

15.4. Gains or losses on financial assets and liabilities held for trading by risk (16.4)

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:
(a) Interest rate: including trading of loans and advances, deposits and debt securities (held or issued);
(b) Equity: including trading of shares, quotas of UCITS and other equity instruments;
(c) Foreign exchange trading: including exclusively trading on foreign exchanges;
(d) Credit risk: including trading of credit link notes;
(e) Commodities: this item includes only derivatives because commodities held with trading intent shall be reported under ‘Other assets’ not under ‘Financial assets held for trading’.
(f) 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)
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).

15.6. Gains or losses from hedge accounting (16.6)
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.

15.7. Impairment on financial and non-financial assets (16.7)
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.

16. RECONCILIATION BETWEEN ACCOUNTING AND CRR SCOPE OF CONSOLIDATION (17)
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.
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 consolidated
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.
106. Liabilities under insurance and reinsurance contracts’ shall include liabilities under insurance and reinsurance contracts issued.

17. GEOGRAPHICAL BREAKDOWN (20)
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.
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’.
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 to157 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’).

18. TANGIBLE AND INTANGIBLE ASSETS: ASSETS SUBJECT TO OPERATING LEASE (21)
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.
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.

19. ASSET MANAGEMENT, CUSTODY AND OTHER SERVICE FUNCTIONS (22)
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’.

19.1. Fee and commission income and expenses by activity (22.1)

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:
(a) amounts considered for the calculation of the effective interest of financial instruments [IFRS 7.20.(c)] and
(b) 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].
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.

116. Institutions shall report fee and commission income and expenses according to the following criteria:
(a) ‘Securities. Issuances’ includes fees and commissions received for the involvement in the origination or issuance of securities not originated or issued by the institution;
(b) ‘Securities. Transfer orders’ includes fees and commissions generated by the reception, transmission and execution on behalf of customers of orders to buy or sell securities;
(c) ‘Securities. Other’ includes fees and commissions generated by the institution providing other services related with securities not originated or issued by the institution;
(d) ‘Clearing and settlement’ includes fee and commission income (expenses) generated by (charged to) the institution when participating in counterparty, clearing and settlement facilities;
(e) ‘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;
(f) ‘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;
(g) ‘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;
(h) ‘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’;
(i) ‘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;
(j) ‘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)

117. Business related to asset management, custody functions, and other services provided by the institution shall be reported using the following definitions:
(a) ‘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;
(b) ‘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;
(c) ‘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;
(d) ‘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;
(e) ‘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;
(f) ‘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;
(g) ‘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)
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.

21. RELATED PARTIES (31)
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.
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.

21.1. Related parties: amounts payable to and amounts receivable from (31.1)
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.

21.2. Related parties: expenses and income generated by transactions with (31.2)

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’:
(a) ‘Gains or losses on de-recognition of investments in subsidiaries, joint ventures and associates’;
(b) ‘Gains or losses on de-recognition of non-financial assets other than held for sale’;
(c) ‘Profit or loss from non-current assets and disposal groups classified as held for sale not qualifying as discontinued operations’, and;
(d) ‘Profit or loss after tax from discontinued operations’.

22. GROUP STRUCTURE (40)
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.

22.1. Group structure: ‘entity-by-entity’ (40.1)

124. The following information shall be reported on a ‘entity-by-entity’ basis:
(a) ‘LEI code’ includes the LEI code of the investee;
(b) ‘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.
(c) ‘Entity name’ includes the name of the investee;
(d) ‘Entry date’ means the date in which the investee entered within the ‘scope of the group’;
(e) ‘Share capital’ means the total amount of capital issued by the investee as at the reference date;
(f) ‘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;
(g) ‘Residence of investee’ means the country of residence of the investee.
(h) ‘Sector of investee’ means the sector of counterparty as defined in paragraph 35 of Part 1;
(i) ‘NACE code’ shall be provided on the basis of the principal activity of the investee. For non-financial corporations, NACE codes shall be reported with the first level of disaggregation (by ‘section’); for financial corporations, NACE codes shall be reported with a two level detail (by ‘division’);
(j) ‘Accumulated equity interest (%)’ is the percentage of ownership instruments held by the institution as of the reference date;
(k) ‘Voting rights (%)’ means the percentages of voting rights associated to the ownership instruments held by the institution as of the reference date.
(l) ‘Group structure [relationship]’ shall indicate the relationship between the parent and the investee (subsidiary, joint venture or associate);
(m) ‘Accounting treatment [Accounting Group]’ shall indicate the accounting treatment with the accounting scope of consolidation (full consolidation, proportional consolidation, equity method or other);
(n) ‘Accounting treatment [CRR Group]’ shall indicate the accounting treatment with the CRR scope of consolidation (full consolidation, proportional consolidation, equity method or other);
(o) ‘Carrying amount’ means amounts reported on the balance sheet of the institution for investees that are neither fully nor proportionally consolidated;
(p) ‘Acquisition cost’ means the amount paid by the investors;
(q) ‘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’;
(r) ‘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)

125. The following information shall be reported on an ‘instrument-by-instrument’ basis:
(a) ‘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;
(b) ‘Holding company code’ is the identification code of the entity within the group that holds the investment;
(c) ‘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)

23.1. Fair value hierarchy: financial instruments at amortised cost (41.1)
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.

23.2. Use of fair value option (41.2)
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.

23.3. Hybrid financial instruments not designated at fair value through profit or loss (41.3)
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.
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.
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.

24. TANGIBLE AND INTANGIBLE ASSETS: CARRYING AMOUNT BY MEASUREMENT METHOD (42)
131. ‘Property, plant and equipment’, ‘Investment property’ and ‘Other intangible assets’ shall be reported by the criteria used in their measurement.
132. ‘Other intangible assets’ include all other intangible assets than goodwill.

25. PROVISIONS (43)
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.

26. DEFINED BENEFIT PLANS AND EMPLOYEE BENEFITS (44)
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.

26.1. Components of net defined benefit plan assets and liabilities (44.1)
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)].
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.

26.2. Movements in defined benefit obligations (44.2)
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.
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’.

26.3. Memo items [related to staff expenses] (44.3)

139. For reporting of memorandum items related to staff expenses, the following definitions shall be used:
(a) ‘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.
(b) ‘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)

27.1. Gains or losses on de-recognition of non-financial assets other than held-for-sale (45.2)
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. Under the relevant national GAAP based on BAD, this template shall cover gains or losses on de-recognition of all non-financial assets.

27.2. Other operating income and expenses (45.3)
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.
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’.
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’

28. STATEMENT OF CHANGES IN EQUITY (46)
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.

29. NON-PERFORMING EXPOSURES (18)

145. For the purpose of template 18, non-performing exposures are those that satisfy any of the following criteria:
(a) material exposures which are more than 90 days past due;
(b) the debtor is assessed as unlikely to pay 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.
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.
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.

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:
(a) loan commitments given;
(b) financial guarantees given;
(c) other commitments given.
Exposures include non-current assets and disposal groups classified as held for sale in accordance with IFRS 5.
Under the relevant National GAAP based on BAD, portfolios ‘Non-trading debt instruments at a cost based method’ and ‘Other non-trading non-derivative financial assets’ shall be reported in the rows for ‘debt instruments at amortised cost’. Portfolios ‘Non-trading non-derivative financial assets measured at fair value through profit or loss’ and ‘Non-trading non-derivative financial assets measured at fair value to equity’ shall be reported in the rows for ‘Debt instruments at fair value other than HFT’.
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.
151. For the purpose of template 18, ‘debtor’ means an obligor within the meaning of Article 178 of CRR.
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.
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.

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:
(a) for non-performing exposures classified as defaulted in accordance with Article 178 of CRR, the categorisation approach of Article 178 shall be applied;
(b) for exposures that are classified as non-performing due to impairment under the applicable accounting framework, the recognition criteria for impairment under the applicable accounting framework shall be applied;
(c) for other non-performing exposures that are neither classified as defaulted nor as impaired, the provisions of Article 178 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.

156. Exposures shall be considered to have ceased being non-performing when all of the following conditions are met:
(a) the exposure meets the exit criteria applied by the reporting institution for the discontinuation of the impairment and default classification;
(b) 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;
(c) 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, those exposures shall be considered to have ceased being non-performing where all the following conditions are met:
Non performing exposures with forbearance measures refer to exposures listed in paragraph 180.
(a) exposures are not considered to be impaired or defaulted;
(b) one year has passed since the forbearance measures were applied;
(c) there is not, following the forbearance measures, any past-due amount or concern regarding the full repayment of the exposure according to the post-forbearance conditions. The absence of concerns shall be determined after an analysis of the debtor’s financial situation by the institution. Concerns may be considered as no longer existing where the debtor has paid, via its regular payments in accordance with the post-forbearance conditions, a total equal to the amount that was previously past-due (where there were past-due amounts) or that has been written-off (where there were no past-due amounts) under the forbearance measures or the debtor has otherwise demonstrated its ability to comply with the post-forbearance conditions.
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.

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.
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:
(a) 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;
(b) 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.
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.

30. FORBORNE EXPOSURES (19)
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’).

164. For the purpose of template 19, a concession refers to either of the following actions:
(a) 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;
(b) 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:
(a) a difference in favour of the debtor between the modified terms of the contract and the previous terms of the contract;
(b) inclusion in a modified contract of more favourable terms than other debtors with a similar risk profile could have obtained from the same institution at 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.
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.
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.

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.
Under the relevant National GAAP based on BAD, portfolios ‘Non-trading debt instruments at a cost based method’ and ‘Other non-trading non-derivative financial assets’ shall be reported in the rows for ‘debt instruments at amortised cost’. Portfolios ‘Non-trading non-derivative financial assets measured at fair value through profit or loss’ and ‘Non-trading non-derivative financial assets measured at fair value to equity’ shall be reported in the rows for ‘Debt instruments at fair value other than HFT’.
170. For the purpose of template 19, ‘exposure’ has the same meaning as given for ‘debt’ in paragraph 169.
171. For the purpose of template 19, ‘institution’ means the institution which applied the forbearance measures.

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:
(a) a modified contract that has been classified as non-performing before the modification or would in the absence of modification be classified as non-performing;
(b) the modification that has been made to a contract involves a total or partial cancellation by write-offs of the debt;
(c) the institution approves the use of embedded forbearance clauses for a debtor who is non-performing or who would be considered as non-performing without the use of those clauses;
(d) simultaneously with or close in time to the concession of additional debt by the institution, the debtor made payments of principal or interest on another contract with the institution that was non-performing or would in the absence of refinancing be classified as non-performing.
173. A modification involving repayments made by taking possession of collateral shall be treated as a forbearance measure where that modification constitutes a concession.

174. There is a rebuttable presumption that forbearance has taken place in the following circumstances:
(a) 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;
(b) simultaneously with or close in time to the concession of additional debt by the institution, the debtor made payments of principal or interest on another contract with the institution that was totally or partially past due by 30 days at least once during the three months prior to its refinancing;
(c) the institution approves the use of embedded forbearance clauses for 30 days past due debtors or debtors who would be 30 days past due without the exercise of those clauses.
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.

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:
(a) 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;
(b) a minimum two year probation period has passed from the date the forborne exposure was considered to be performing;
(c) regular payments of more than an insignificant aggregate amount of principal or interest have been made during at least half of the probation period;
(d) none of the exposures to the debtor is more than 30 days past due at the end of the probation period.
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.

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:
(a) that extension has not led the exposure to be classified as non-performing;
(b) the exposure was not considered to be a non-performing exposure at the date the forbearance measures were extended.
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.

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’.
‘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:
(a) exposures which have become non-performing due to the application of forbearance measures;
(b) exposures which were non-performing prior to the extension of forbearance measures;
(c) forborne exposures which have been reclassified from the performing category, including exposures reclassified in application of paragraph 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.
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.
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.

PART 3 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.
Table 2		
Standardised Approach		
SA exposure classes (CRR Article 112)	FINREP counterparty sectors	Comments
(a) Central governments or central banks	(1) Central banks (2) General governments	These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty
(b) Regional governments or local authorities	(2) General governments	
(c) Public sector entities	(2) General governments	
(d) Multilateral development banks	(3) Credit institutions	
(e) International organisations	(2) General governments	
(f) Institutions (i.e. credit institutions and investment firms)	(3) Credit institutions (4) Other financial corporations	These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty
(g) Corporates	(2) General governments (4) Other financial corporations (5) Non financial corporations. (6) Households	
(h) Retail	(4) Other financial corporations (5) Non financial corporations (6) Households	These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty
(i) Secured by mortgages on immovable property	(2) General governments (3) Credit institutions (4) Other financial corporations (5) Non-financial corporations (6) Households	These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty.
(j) In default	(1) Central banks (2) General governments (3) Credit institutions (4) Other financial corporations (5) Non-financial corporations (6) Households	These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty.
(ja) Items associated with particularly high risk	(1) Central banks (2) General governments (3) Credit institutions (4) Other financial corporations (5) Non-financial corporations (6) Households	These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty.
(k) Covered bonds	(3) Credit institutions (4) Other financial corporations (5) Non-financial corporations	These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty.
(l) Securitisation positions	(2) General governments (3) Credit institutions (4) Other financial corporations (5) Non-financial corporations (6) Households	These exposures should be assigned to FINREP counterparty sectors according to the underlying risk of the securitisation. In FINREP, when securitized positions remain recognised in the balance sheet, the counterparty sectors are the sectors of the immediate counterparties of these positions.
(m) Institutions and corporates with a short-term credit assessment	(3) Credit institutions (4) Other financial corporations (5) Non-financial corporations	These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty.
(n) Collective investment undertakings	Equity instruments	Investments in CIU shall be classified as equity instruments in FINREP, regardless of whether the CRR allows look-through.
(o) Equity	Equity instruments	In FINREP, equities are separated as instruments under different categories of financial assets
(p) Other items	Various items of the balance sheet	In FINREP, other items may be included under different asset categories.
Table 3		
Internal Ratings Based Approach		
IRBA exposure classes(CRR Article 147)	FINREP counterparty sectors	Comments
(a) Central governments and central banks	(1) Central banks (2) General governments (3) Credit institutions	These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty
(b) Institutions (i.e. credit institution and investment firms as well as some general governments and multilateral banks)	(2) General governments (3) Credit institutions (4) Other financial corporations	These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty
(c) Corporates	(4) Other financial corporations (5) Non-financial corporations (6) Households	These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty
(d) Retail	(4) Other financial corporations (5) Non financial corporations (6) Households	These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty
(e) Equity	Equity instruments	In FINREP, equities are separated as instruments under different categories of financial assets
(f) Securitisation positions	(2) General governments (3) Credit institutions (4) Other financial corporations (5) Non-financial corporations (6) Households	These exposures shall be assigned to FINREP counterparty sectors according to the underlying risk of the securitisation positions. In FINREP, when securitized positions remain recognised in the balance sheet, the counterparty sectors are the sectors of the immediate counterparties of these positions
(g) Other non credit obligations	Various items of the balance sheet	In FINREP, other items may be included under different asset categories.’

ANNEX VI

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

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

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

3. Geographical breakdown

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

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

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

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

ANNEX VII

‘ANNEX IX INSTRUCTIONS FOR REPORTING LARGE EXPOSURES AND CONCENTRATION RISK

PART I: GENERAL INSTRUCTIONS

1. Structure and conventions

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

PART II: TEMPLATE RELATED INSTRUCTIONS
In this Annex, instructions relating to the reporting of Large Exposures shall also apply to the reporting of significant exposures required by Articles 9 and 11, in accordance with the scope defined in those Articles.

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

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

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

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

16. ‘Exposures’ are defined in Article 389 of CRR.
(a) any asset or off-balance sheet items in the non-trading and trading book including items set out in Article 400 of CRR, but excluding items which fall under effect of points (a) to (d) of Article 390(6) of CRR.
(b) ‘indirect exposures’ are those exposures allocated to the guarantor or to the issuer of the collateral rather than to the immediate borrower in accordance with Article 403 of CRR. The definitions here may not differ in any possible respect from the definitions provided in the basic act.]
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.
18. The ‘value of an exposure’ shall be calculated according to Article 390 of CRR.
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.
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.

4. C 26.00 — LE Limits template

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

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

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

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

6.1. Instructions concerning specific columns
Column	Legal references and instructions
010	Code For a group of connected clients, if a unique code is available at national level, this code shall be reported as the code of the group of connected clients. Where there is no unique code at the national level, the code that shall be reported shall be the code of the parent company in C 27.00. In the cases where the group of connected clients does not have a parent, the code that shall be reported shall be the code of the individual entity which is considered by the institution as the most significant within the group of connected clients. In any other case, the code shall correspond to the individual counterparty. The codes shall be used in a consistent way across time. The composition of the code depends on the national reporting system, unless a uniform codification is available in the EU.
020	Group or individual The institution shall report ‘1’ for the reporting of exposures to individual clients or ‘2’ for the reporting of exposures to groups of connected clients.
030	Transactions where there is an exposure to underlying assets Article 390(7) of CRR In accordance with further technical specifications by the national competent authorities, when the institution has exposures to the reported counterparty through a transaction where there is an exposure to underlying assets, the equivalent to ‘Yes’ shall be reported; otherwise the equivalent to ‘No’ shall be reported.
040-180	Original exposures Articles 24, 389, 390 and 392 of CRR. The institution shall report in this block of columns the original exposures of direct exposures, indirect exposures, and additional exposures arising from transactions where there is an exposure to underlying assets. According to Article 389 of CRR, assets and off balance sheet items shall be used without risk weights or degrees of risk. Specifically, credit conversion factors shall not be applied to off balance sheet items. These columns shall contain the original exposure, i.e. the exposure value without taking into account value adjustments and provisions, which shall be deducted in column 210. The definition and calculation of the exposure value is set out in Articles 389 and 390 of CRR. The valuation of assets and off-balance-sheet items shall be effected in accordance with the accounting framework to which the institution is subject, according to Article 24 of CRR. Exposures deducted from own funds, which are not exposures according to Article 390(6)(e), shall be included in these columns. These exposures shall be deducted in column 200. Exposures referred to in points (a) to (d) of Article 390(6)of CRR shall not be included in these columns. Original exposures shall include any asset and off-balance sheet items according to Article 400 of CRR. The exemptions shall be deducted for the purpose of Article 395(1) of CRR in column 320. Exposures from both non-trading and trading book shall be included. For the breakdown of the exposures in financial instruments, where different exposures arising from netting agreements constitute a single exposure, the latter shall be allocated to the financial instrument corresponding to the principal asset included in the netting agreement (in addition, see the introductory section).
040	Total original exposure The institution shall report the sum of direct exposures and indirect exposures as well as the additional exposures that arise from the exposure to transactions where there is an exposure to underlying assets.
050	Of which: defaulted Article 178 of CRR. The institution shall report the part of the total original exposure corresponding to defaulted exposures.
060-110	Direct exposures Direct exposures shall mean the exposures on ‘immediate borrower’ basis.
060	Debt instruments Regulation (EC) No 25/2009 (‘ECB/2008/32’) Annex II, Part 2, table, categories 2 and 3. Debt instruments shall include debt securities, and loans and advances. The instruments included in this column shall be those qualified as ‘loans of up to and including one year/over one year and up to and including five years/of over five years’ original maturity’, or as ‘securities other than shares’, according to ECB/2008/32. Repurchase transactions, securities or commodities lending or borrowing transactions (securities financing transactions) and margin lending transactions shall be included in this column.
070	Equity instruments ECB/2008/32 Annex II, Part 2, table, categories 4 and 5. The instruments included in this column shall be those qualified as ‘Shares and other equities’ or as ‘MMF shares/units’ according to ECB/2008/32.
080	Derivatives Article 272(2) and Annex II of CRR. The instruments that shall be reported in this column shall include derivatives listed in Annex II of CRR and long settlement transactions, as defined in Article 272(2) of CRR. Credit derivatives that are subject to counterparty credit risk shall be included in this column.
090-110	Off balance sheet items Annex I of CRR. The value that shall be reported in these columns shall be the nominal value before any reduction of specific credit risk adjustments and without application of conversion factors.
090	Loan commitments Annex I, points 1(c) and (h), 2(b)(ii), 3(b)(i) and 4(a) of CRR. 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.
100	Financial guarantees Annex I, points 1(a),(b) and (f), of CRR. Financial guarantees are contracts that require the issuer to make specified payments to reimburse the holder for 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. Credit derivatives that are not included in the column ‘derivatives’ shall be reported in this column.
110	Other commitments Other commitments are the items in Annex I to CRR that are not included in the previous categories. The exposure value of a single legal obligation arising from the contractual cross-product netting agreement with a counterparty of the institution shall be reported in this column.
120-180	Indirect exposures Article 403 of CRR. According to Article 403 of CRR, a credit institution may use the substitution approach where an exposure to a client is guaranteed by a third party, or secured by collateral issued by a third party. The institution shall report in this block of columns the amounts of the direct exposures that are re-assigned to the guarantor or the issuer of collateral provided that the latter would be assigned an equal or lower risk weight than the risk weight which would be applied to the third party under Part Three, Title II, Chapter 2 of CRR. The protected reference original exposure (direct exposure) shall be deducted from the exposure to the original borrower in the columns of ‘Eligible credit risk mitigation techniques’. The indirect exposure shall increase the exposure to the guarantor or issuer of collateral via substitution effect. This shall apply also to guarantees given within a group of connected clients. The institution shall report the original amount of the indirect exposures in the column that corresponds to the type of direct exposure guaranteed or secured by collateral such as, when the direct exposure guaranteed is a debt instrument, the amount of ‘Indirect exposure’ assigned to the guarantor shall be reported under the column ‘Debt instruments’. Exposures arising from credit-linked notes shall also be reported in this block of columns, according to Article 399 of CRR.
120	Debt instruments See column 060.
130	Equity instruments See column 070.
140	Derivatives See column 080.
150-170	Off balance sheet items The value of these columns shall be the nominal value before any reduction of specific credit risk adjustments and conversion factors are applied.
150	Loan commitments See column 090.
160	Financial guarantees See column 100.
170	Other commitments See column 110.
180	Additional exposures arising from transactions where there is an exposure to underlying assets Article 390(7) of CRR. Additional exposures that arise from transactions where there is an exposure to underlying assets.
190	(-) Value adjustments and provisions Articles 34, 24, 110 and 111 of CRR. Value adjustment and provisions included in the corresponding accounting framework (Directive 86/635/EEC or Regulation (EC) No 1606/2002) that affect the valuation of exposures according to Articles 24 and 110 of CRR. Value adjustments and provisions against the gross exposure given in column 040 shall be reported in this column.
200	(-) Exposures deducted from own funds Article 390(6)(e) of CRR. Exposures deducted from own funds, which shall be included in the different columns of Total original exposure, shall be reported.
210-230	Exposure value before application of exemptions and CRM Article 394(1)(b) of CRR. Institutions shall report the exposure value before taking into account the effect of the credit risk mitigation, where applicable.
210	Total The exposure value to be reported in this column shall be the amount used for determining whether an exposure is a large exposure according to the definition in Article 392 of CRR. This shall include the original exposure after subtracting value adjustments and provisions and the amount of the exposures deducted from own funds.
220	Of which: Non-trading book The amount of the non-trading book from the total exposure before exemptions and CRM.
230	% of eligible capital Articles 4(1)(71)(b) and 395 of CRR. The amount that shall be reported is the percentage of the exposure value before application of exemptions and CRM related to the eligible capital of the institution, as defined in Article 4(1)(71)(b) of CRR.
240-310	(-) Eligible credit risk mitigation (CRM) techniques Articles 399 and 401 to 403 of CRR. CRM techniques as defined in Article 4(1)(57) of CRR. For the purposes of this reporting, the CRM techniques recognised in Part Three, Title II, Chapter 3 and 4, of CRR shall be used in accordance with Articles 401 to 403 of CRR. CRM techniques may have three different effects in the LE regime: substitution effect; funded credit protection other than substitution effect; and real estate treatment.
240-290	(-) Substitution effect of eligible credit risk mitigation techniques Article 403 of CRR. The amount of funded and unfunded credit protection that shall be reported in these columns shall correspond to the exposures guaranteed by a third party, or secured by collateral issued by a third party, where the institution decides to treat the exposure as incurred with the guarantor or the issuer of collateral.
240	(-) Debt instruments See column 060.
250	(-) Equity instruments See column 070.
260	(-) Derivatives See column 080.
270-290	(-) Off balance sheet items The value of these columns shall be without application of conversion factors.
270	(-) Loan commitments See column 090.
280	(-) Financial guarantees See column 100.
290	(-) Other commitments See column 110.
300	(-) Funded credit protection other than substitution effect Article 401 of CRR. The institution shall report the amounts of funded credit protection, as defined in Article 4(1)(58) of CRR, that are deducted from the exposure value due to the application of Article 401 of CRR.
310	(-) Real estate Article 402 of CRR. The institution shall report the amounts deducted from the exposure value due to the application of Article 402 of CRR.
320	(-) Amounts exempted Article 400 of CRR. The institution shall report the amounts exempted from the LE regime.
330-350	Exposure value after application of exemptions and CRM Article 394(1)(d) of CRR. The institution shall report the exposure value after taking into account the effect of the exemptions and credit risk mitigation calculated for the purpose of Article 395(1) of CRR.
330	Total This column shall include the amount to be taken into account in order to comply with the large exposures limit set out in Article 395 of CRR.
340	Of which: Non-trading book The institution shall report the total exposure after application of exemptions and after taking into account the effect of CRM belonging to the non-trading book.
350	% of eligible capital The institution shall report the percentage of the exposure value after application of exemptions and CRM related to the eligible capital of the institution, as defined in Article 4(1)(71)(b) of CRR.

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

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

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

8.1. Instructions concerning specific columns
Column	Legal references and instructions
010	Code The code is a row identifier and must be unique for each row in the table. See column 010 of template LE1.
020-250	Maturity buckets of the exposure Article 394(2)(e) of CRR The institution shall report this information for the ten largest exposures to institutions and the ten largest exposures to unregulated financial sector entities. The maturity buckets are defined with a monthly interval up to one year, with a quarterly interval from one year up to three years and with larger intervals from three years onwards. Each exposure value before application of exemptions and CRM (column 210 of LE2 template) shall be reported with the whole outstanding amount in the respective maturity bucket of its expected residual maturity. In case of several separate relationships constituting an exposure to a client, each of these parts of the exposure shall be reported with the whole outstanding amount in the respective maturity bucket of its expected residual maturity. Instruments which do not have a fixed maturity, like equity, shall be included in the column ‘undefined maturity’. The expected maturity of the exposure shall be reported for both direct and indirect exposures. For direct exposures, when allocating expected amounts of equity instruments, debt instruments and derivatives into the different maturity buckets of this template, the instructions of the maturity ladder template of the additional metrics on liquidity shall be used (see consultation paper CP18 published on 23.05.2013). In the case of off-balance sheet items, the maturity of the underlying risk shall be used in the allocation of expected amounts to maturity buckets. More specifically, for forward deposits that means the maturity structure of the deposit; for financial guarantees, the maturity structure of the underlying financial asset; for undrawn facilities of loan commitments, the maturity structure of the loan; and for other commitments, the maturing structure of the commitment. In the case of indirect exposures, the allocation into maturity buckets shall be based on the maturity of the guaranteed operations which generate the direct exposure. In case an exposure or a part of an exposure is to be regarded as defaulted and is reported as such in template C 28.00 (LE 2, column 050) and C 29.00 (LE 3, column 060), the expected run-off of the defaulted exposure must be allocated to the respective maturity buckets as follows: When the reporting entity, in spite of the default, has a clear calendar of expected repayments of the exposure, it shall allocate them into the respective buckets accordingly. When the reporting entity does not have a reasoned view of when defaulted amounts will be repaid (if ever), it shall allocate them into the category ‘undefined maturity’.

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

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

Regulation: power to modify conferred (11.7.2023) by Financial Services and Markets Act 2023 (c. 29), ss. 3, 86(3), Sch. 1 Pts. 1, 3; S.I. 2023/779, reg. 2(d)