Reporting on own funds and own funds requirements



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ANNEX II

REPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS

Table of Contents



Table of Contents 1

PART I: GENERAL INSTRUCTIONS 2

1.Structure and conventions 2

1.1.Structure 2

1.Overall, the framework consists of five blocks of templates: 2

a)Capital adequacy, an overview of regulatory capital; total risk exposure amount; 2

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 2

c)Credit risk (including counterparty, dilution and settlement risks); 2

d)Market risk (including position risk in trading book, foreign exchange risk, commodities risk and CVA risk); 2

e)Operational risk. 2

2.For each template legal references are provided. Further detailed information regarding more general aspects of the reporting of each block of templates, instructions concerning specific positions as well as examples and validation rules are included in these Guidelines for implementation of the Common Reporting framework. 2

3.Institutions report only those templates that are relevant depending on the approach used for determining own funds requirements. 2

1.2.Numbering convention 2

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. 2

5.The following general notation is followed in the instructions: {Template;Row;Column}. 2

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}. 2

7.In the case of templates with only one column, only rows are referred to. {Template;Row} 2

8.An asterisk sign is used to express that the validation is done for the rows or columns specified before. 2

1.3.Sign convention 2

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. 2

PART II: TEMPLATE RELATED INSTRUCTIONS 3

1.Solvency Overview (CA) 3

1.1.General remarks 3

11.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: 3

12.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. 3

13.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). 3

14.Transitional provisions are treated as follows in CA templates: 3

15.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. 3

a)The templates CA1, CA2 or CA5 only contain data on Pillar I issues. 3

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. 3

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. 3

1.2.C 01.00 - OWN FUNDS (CA1) 4

1.2.1.Instructions concerning specific positions 4

1.3.C 02.00 - OWN FUNDS REQUIREMENTS (CA2) 17

1.3.1.Instructions concerning specific positions 17

1.4.C 03.00 - CAPITAL RATIOS AND CAPITAL LEVELS (CA3) 24

1.4.1.Instructions concerning specific positions 24

1.5.C 04.00 - MEMORANDUM ITEMS (CA4) 25

1.5.1.Instructions concerning specific positions 25

1.6.TRANSITIONAL PROVISIONS and GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUING STATE AID (CA 5) 38

1.6.1.General remarks 38

16.CA5 summarizes the calculation of own funds elements and deductions subject to the transitional provisions laid down in Articles 465 to 491 of CRR. 38

17.CA5 is structured as follows: 38

18.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. 38

19.Institutions shall only report elements in CA5 during the period where transitional provisions in accordance with Part Ten of CRR apply. 39

20.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. 39

1.6.2.C 05.01 - TRANSITIONAL PROVISIONS (CA5.1) 39

21.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. 39

22.Institutions shall report in column 020 information in relation with the transitional provisions of grandfathered instruments. The own funds instruments, eligible as Common Equity, Additional Tier 1 or Tier 2 capital, include: The figures to be reported in columns 010 to 060 of CA 5.1 can be derived from the respective sections of CA 5.2. 39

23.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). 39

24.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. 39

25.The 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. 39

1.6.2.1.Instructions concerning specific positions 39

26.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. 47

1.6.3.C 05.02 - GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUING STATE AID (CA5.2) 47

27.Institutions shall report information in relation with the transitional provisions of grandfathered instruments not constituting state aid (Article 484 to 491 of CRR). 47

1.6.3.1.Instructions concerning specific positions 47

2.C 06.00 - GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS) 50

2.1.General remarks 50

28.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 of the reporting entity. 50

a)Entities within the scope of consolidation; 50

b)Detailed group solvency information; 50

c)Information on the contribution of individual entities to group solvency 50

d)Information on capital buffers 50

29.Institutions waived according to Article 7 of CRR shall only report the columns 010 to 060 and 250 to 400. 50

2.2.Detailed group solvency information; 50

30.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. 50

31.In the case of proportional consolidation of participations, the figures related to own funds requirements and own funds shall reflect the respective proportional amounts. 50

2.3.Information on the contributions of individual entities to group solvency 50

32.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. 50

33.The third part also includes the amounts of minority interests, qualifying AT1, and qualifying T2 eligible in the consolidated own funds. 50

34.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. 50

35.The principle is to delete the crossed-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. 50

36.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. 50

37.Institutions which calculate their own funds requirements on a consolidated basis shall report the GS template. It is possible for one consolidated group to be included within another consolidated group in which case the consolidated entity will have their details included in a higher consolidated group's GS template. 51

38.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. 51

2.4.Instructions concerning specific positions 51

3.Credit Risk Templates 59

3.1.General remarks 59

39.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. 59

3.1.1.Reporting of CRM techniques with substitution effect 59

40.Article 235 of CRR describes the computation procedure of the exposure which is fully protected by unfunded protection. 59

41.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. 59

42.Articles 196, 197 and 200 of CRR regulate the funded credit protection. 59

43.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. 59

44.The exposure type does not change because of unfunded credit protection. 59

45.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. 59

46.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. 59

3.1.2.Reporting of Counterparty Credit Risk 59

47.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. 59

3.2.C 07.00 - Credit and counterparty credit risks and free deliveries: Standardised Approach to Own funds Requirements (CR SA) 59

3.2.1.General remarks 59

48.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: 59

3.2.2.Scope of the CR SA template 59

49.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. 59

50.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. 60

51.However the following positions are not within the scope of CR SA: 60

52.The scope of the CR SA template covers the following own funds requirements: 60

53.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. 60

54.In addition CR SA includes memorandum items in rows 220 to 250 in order to collect further information about exposures secured by mortgages on immovable property and exposures in default. 60

55.These memorandum items shall only be reported for the following exposure classes: 60

56.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,. 60

57.The memorandum rows provide additional information about the obligor structure of the exposure classes 'in default' or 'secured by immovable property'. Here exposures shall be reported where
the obligors would have been reported in the exposure classes ‘Central governments or central banks’, ‘Regional governments or local authorities’, ‘Public sector entities’, ‘Institutions’, ‘Corporates’ and ‘Retail’ of CR SA, if those exposures were not assigned to the exposure classes 'in default' or 'secured by immovable property'. 60


58.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, rows 220 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 220 of exposure class 'institutions'. 60

3.2.3. Assignment of exposures to exposure classes under the Standardised Approach 60

59.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: 60

60.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. 61

61.For the purpose of classifying the original exposure pre conversion factor in the first step, the CRM techniques associated to the exposure shall not be considered (note that they shall be considered explicitly in the second phase) unless a protection effect is intrinsically part of the definition of an exposure class as it is the case in the exposure class mentioned in Article 112 point (i) of CRR (exposures secured by mortgages on immovable property). 61

62.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

63.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. 61

64.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. 61

65.With this background the assessment ranking in the decision tree mentioned below would follow the following order: 61

66.In the case of exposures in the form of 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 collective investment undertakings (‘CIU’). 62

67.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. 62

68.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. 62

3.2.4.Clarifications on the scope of some specific exposure classes referred to in Article 112 of CRR 64

3.2.4.1.Exposure Class “Institutions” 64

69.Reporting of intra-group exposures according to Article 113 (6) to (7) of CRR shall be done as follows: 64

70.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. 64

71.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. 64

3.2.4.2.Exposure Class “Covered Bonds” 64

72.The assignment of SA exposures to the exposure class “covered bonds” shall be done as follows: 64

73.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. 64

3.2.4.3.Exposure class “Collective Investment Undertakings” 64

74.Where the possibility according to Article 132 (5) of CRR is used, exposures in the form of CIUs shall be reported as on balance sheet items according to Article 111 (1) sentence 1 of CRR. 64

3.2.5.Instructions concerning specific positions 64

3.3.Credit and counterparty credit risks and free deliveries: IRB Approach to Own funds Requirements (CR IRB) 70

3.3.1.Scope of the CR IRB template 70

75.The scope of the CR IRB template covers own funds requirements for: 70

76.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). 70

77.The CR IRB template does not cover the following data: 70

78.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: 70

3.3.2.Breakdown of the CR IRB template 71

79.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: 71

3.3.3.C 08.01 - Credit and counterparty credit risks and free deliveries: IRB Approach to Own funds Requirements (CR IRB 1) 71

3.3.3.1Instructions concerning specific positions 71

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) 78

3.4.Credit and counterparty credit risks and free deliveries: Information with geographical breakdown (CR GB) 80

80.Institutions fulfilling the threshold set in Article 5 (a) (4) 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. 80

81.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. 80

82.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. 80

3.4.1.C 09.01 – Geographical breakdown of exposures by residence of the obligor: SA exposures (CR GB 1) 80

3.4.1.1.Instructions concerning specific positions 80

3.4.2.C 09.02 – Geographical breakdown of exposures by residence of the obligor: IRB exposures (CR GB 2) 82

3.4.2.1.Instructions concerning specific positions 82

3.4.3.C 09.03 – Breakdown of total own funds requirements for credit risk of relevant credit exposures by country (CR GB 3) 84

3.4.3.1.General remarks 84

83.According to Article 128 (7) in connection with Articles 130 and 140 (1) CRD the countercyclical buffer rate is the ‘weighted average of the countercyclical buffer rates that apply in the jurisdiction where the relevant credit exposures of the institution are located’. The weighted average is calculated as follows: 84

a)Numerator: Total own funds requirements for credit risk determined in accordance with Part Three, Titles II and IV of CRR that relate to the relevant credit exposures in the territory in question 84

b)Denominator: Total own funds requirements for credit risk that relate to the relevant credit exposures 84

84.This table is implemented in order to receive more information regarding the elements of the institution specific countercyclical buffer. The information requested refers to the own funds requirements determined in accordance with Part Three , Title II of the CRR which includes credit risk and securitisation calculated on the basis of the relevant credit exposures broken down by country. 84

85.The information shall be reported by each country. The threshold set in Article 5 (a) (4) is not relevant for the reporting of this breakdown. 85

3.4.3.2.Instructions concerning specific positions 85

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) 86

3.5.1.General remarks 86

86.The CR EQU IRB template consists of two templates: CR EQU IRB 1 provides a general overview of IRB exposures of the equity exposure class and the different methods to calculate total risk exposure amounts. CR EQU IRB 2 provides a breakdown of total exposures assigned to obligor grades in the context of the PD/LGD approach. “CR EQU IRB” refers to both “CR EQU IRB 1” and “CR EQU IRB 2” templates, as applicable, in the following instructions. 86

87.The CR EQU IRB template provides information on the calculation of risk weighted exposure amounts for credit risk (Article 92 (3) point (a) of CRR) according to the IRB method (Part Three, Title II, Chapter 3 of CRR) for equity exposures referred to in Article 147(2) point (e) of CRR. 86

88.According to Article 147 (6) of CRR, the following exposures shall be assigned to the equity exposure class: 86

89.Collective investment undertakings treated according to the simple risk weight approach as referred to in Article 152 of CRR shall also be reported in the CR EQU IRB template. 86

90.In accordance with Article 151(1) of CRR, institutions shall provide the CR EQU IRB template when applying one of the three approaches referred to in Article 155 of CRR: 86

91.The following equity claims shall not be reported in the CR EQU IRB template: 86

3.5.2.Instructions concerning specific positions (applicable to both CR EQU IRB 1 and CR EQU IRB 2) 87

92.In accordance with Article 155 of CRR, institutions may employ different approaches (Simple Risk Weight approach, PD/LGD approach or Internal Models approach) to different portfolios when they use these different approaches internally. Institutions shall also report in the CR EQU IRB 1 template riskweighted exposure amounts for those equity exposures which attract a fixed riskweight 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). 88

3.6.C 11.00 – Settlement/Delivery Risk (CR SETT) 90

3.6.1.General remarks 90

93.This template requests information on both trading and non-trading book transactions which are unsettled after their due delivery dates, and their corresponding own funds requirements for settlement risk according to Articles 92(3) Point c) ii) and 378 of CRR. 90

94.Institutions report in the CR SETT template information on the settlement/delivery risk in connection with debt instruments, equities, foreign currencies and commodities held in their trading or non-trading book. 90

95.According to Article 378 of CRR, repurchase transactions, securities or commodities lending and securities or commodities borrowing in connection with debt instruments, equities, foreign currencies and commodities are not subject to settlement/delivery risk. Note however that, derivatives and long settlement transactions unsettled after their due delivery dates are nevertheless subject to own funds requirements for settlement/delivery risk as determined in Article 378 of CRR. 90

96.In the case of unsettled transactions after the due delivery date, institutions calculate the price difference to which they are exposed. This is the difference between the agreed settlement price for the debt instrument, equity, foreign currency or commodity in question and its current market value, where the difference could involve a loss for the institution. 90

97.Institutions multiply this difference by the appropriate factor of Table 1 of Article 378 of CRR to determine the corresponding own funds requirements. 90

98.According to Article 92(4) Point (b), the own funds requirements for settlement/delivery risk shall be multiplied by 12.5 to calculate the risk exposure amount. 90

99.Note that own funds requirements for free deliveries as laid down in Article 379 of CRR are not within the scope of the CR SETT template; the latter shall be reported in the credit risk templates (CR SA, CR IRB). 90

3.6.2.Instructions concerning specific positions 90

3.7.C 12.00 – Credit Risk: Securitisation - Standardised Approach to Own Funds Requirements (CR SEC SA) 93

3.7.1.General remarks 93

100.The information in this template is requested for all securitisations 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. 93

101.The CR SEC SA template gathers joint information on both traditional and synthetic securitisations held in the banking book, as defined in Article 242 (10) and (11) of CRR, respectively. 93

3.7.2.Instructions concerning specific positions 93

102.The CR SEC SA template is divided into three major blocks of rows which gather data on the originated / sponsored / retained or purchased exposures by originators, investors and sponsors. For each of them, the information is broken down by on-balance sheet items and off-balance sheet items and derivatives as well as by securitisations and re-securitisations. 98

103.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. 98

3.8.C 13.00 - Credit Risk – Securitisations : Internal Ratings Based approach to Own Funds Requirements (CR SEC IRB) 100

3.8.1.General remarks 100

104.The information in this template is requested for all securitisations in which the reporting institution is involved in a securitisation treated under the Internal Ratings Based Approach. 100

105.The information to be reported is contingent on the role of the institution as for the securitisation. As such, specific reporting items are applicable for originators, sponsors and investors. 100

106.The CR SEC IRB template has the same scope as the CR SEC SA, it gathers joint information on both traditional and synthetic securitisations held in the banking book. 100

3.8.2.Instructions concerning specific positions 100

107.The CR SEC IRB template is divided into three major blocks of rows which gather data on the originated / sponsored / retained or purchased exposures by originators, investors and sponsors. For each of them, the information is broken down by on-balance sheet items and off-balance sheet items and derivatives, as well as by risk weight groupings of securitisations and re-securitisations. 104

108.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. 105

3.9.C 14.00 – Detailed information on securitisations (SEC DETAILS) 107

3.9.1.General remarks 107

109.This template gathers information on a transaction basis (versus the aggregate information reported in CR SEC SA, CR SEC IRB, MKR SA SEC and MKR SA CTP templates) on all securitisations the reporting institution is involved. The main features of each securitisation, such as the nature of the underlying pool and the own funds requirements are requested. 107

110.This template is to be reported for: 107

111.This template has to be rendered on a consolidated basis, i.e. only 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. 107

112.On account of Article 406 (1) of CRR, which establishes that institutions investing in securitisation positions shall acquire a great deal of information on them in order to comply with due diligence requirements the reporting scope of the template is applied to a limited extent to investors. In particular, they shall report columns 010-040; 070-110; 160; 190; 290-400; 420-470. 107

113.Institutions playing the role of original lenders (not performing also the role of originators or sponsors in the same securitisation) shall generally report the template to the same extent as investors. 107

3.9.2.Instructions concerning specific positions 107

4.Operational Risk Templates 117

4.1.C 16.00 – Operational Risk (OPR) 117

4.1.1.General Remarks 117

114.This template provides information on the calculation of own funds requirements according to Articles 312 to 324 of CRR for Operational Risk under the Basic Indicator Approach (BIA), the Standardised Approach (TSA), the Alternative Standardised Approach (ASA) and the Advanced Measurement Approaches (AMA). An institution can not apply TSA and ASA for the business lines retail banking and commercial banking at the same time at solo level 117

115.Institutions using the BIA, TSA and/or ASA shall calculate their own funds requirement, based on the information at financial year end. When audited figures are not available, institutions may use business estimates. If audited figures are used, institutions shall report the audited figures which should remain unchanged. Deviations from this "unchanged" principle are possible, for instance if during that period the exceptional circumstances, such as recent acquisitions or disposals of entities or activities, are met. 117

116.If an institution can justify its competent authority that – due to exceptional circumstances such as a merger or a disposal of entities or activities – using a three year average to calculating the relevant indicator would lead to a biased estimation for the own funds requirement for operational risk,, the competent authority may permit the institution to modify the calculation in a way that would take into account such events. Also the competent authority may on its own initiative, require an institution to modify the calculation. Where an institution has been in operation for less than three years it may use forward looking business estimates in calculating the relevant indicator, provided that it starts using historical data as soon as they are available. 117

117.By columns, this template presents information, for the three most recent years, on the amount of the relevant indicator of the banking activities subject to operational risk and on the amount of loans and advances (the latter only applicable in the case of ASA). Next, information on the amount of own funds requirement for operational risk is reported. If applicable, it must be detailed which part of this amount is due to an allocation mechanism. Regarding AMA, memorandum items are added to present a detail of the effect of the expected loss, diversification and mitigation techniques on own funds requirement for operational risk. 117

118.By rows, information is presented by method of calculation of the operational risk own funds requirement detailing business lines for TSA and ASA. 117

119.This template shall be submitted by all institutions subject to operational risk own funds requirement. 117

4.1.2.Instructions concerning specific positions 117

4.2.C 17.00 – Operational Risk: Gross Losses by Business Lines and Event Types in the last year (OPR Details) 120

4.2.1.General Remarks 120

120.This template summarises the information on the gross losses registered by an institution in the last year according to event types and business lines, based on the first accounting date of the loss. 120

121.The information is presented by distributing the gross losses 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. 120

122.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. 120

123.Rows present the business lines, and within each business line, information on the number of events, the amount of the total loss, the maximum single loss and the sum of the five largest losses (regardless the number of losses). 120

124.This template shall be reported by institutions using AMA or TSA/ASA for the calculation of their own funds requirements. 120

125.Institutions subject to Article 5 point (b) (2) ii may only report the following information for the sum of all event types (column 080) of the OPR Details template: 120

a.Number of events (row 910), 120

b.Total loss amount (row 920), 120

c.Maximum single loss (row 930) and 120

d.Sum of the five largest losses (row 940). 120

4.2.2.Instructions concerning specific positions 120

5.Market Risk Templates 123

126.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. 123

127.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. 123

5.1.C 18.00 – Market Risk: Standardised Approach for Position Risks in Traded Debt Instruments (MKR SA TDI) 123

5.1.1.General Remarks 123

128.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. . 123

129.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, HUF, ISK, JPY, LVL, LTL, MKD, NOK, PLN, RON, RUB, RSD, SEK, CHF, TRY, UAH, USD and one residual template for all other currencies. 123

5.1.2.Instructions concerning specific positions 123

5.2.C 19.00 - MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS (MKR SA SEC) 125

5.2.1.General Remarks 125

130.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. 125

131.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. 125

132.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. 125

5.2.2.Instructions concerning specific positions 126

5.3.C 20.00 - MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK FOR POSITIONS ASSIGNED TO THE CORRELATION TRADING PORTFOLIO (MKR SA CTP) 128

5.3.1.General Remarks 128

133.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. 128

134.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. 128

135.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". 128

136.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. 128

5.3.2.Instructions concerning specific positions 128

5.4.C 21.00 - Market Risk: Standardised Approach for Position Risk in Equities (MKR SA EQU) 130

5.4.1.General Remarks 130

137.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. 130

138.The template has to be filled out separately for the “Total”, plus a static, pre-defined list of following markets: Austria, Belgium, Bulgaria, Cyprus, Czech Republic, Denmark, Estonia, Egypt, Finland, France, Germany, Greece, Hungary, Iceland, Ireland, Italy, Latvia, Lithuania, Liechtenstein, Luxembourg, Malta, Netherlands, Norway, Poland, Portugal, Romania, Slovakia, Slovenia, Spain, Sweden, United Kingdom, Albania, Japan, Former Yugoslav Republic of Macedonia, Russian Federation, Serbia, Switzerland, Turkey, Ukraine, USA plus one residual template for all other markets. For the purpose of this reporting requirement the term “market” shall be read as “country”. 130

5.4.2.Instructions concerning specific positions 131

5.5.C 22.00 - Market Risk: Standardised Approaches for Foreign Exchange Risk (MKR SA FX) 132

5.5.1.General Remarks 132

139.This template request information on the positions in each currency (reporting currency included) and the corresponding own funds requirements for foreign exchange and treated under the standardised approach. The position is calculated for each currency (including euro), gold, and positions to CIUs. 132

140.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. 132

5.5.2.Instructions concerning specific positions 133

5.6.C 23.00 - Market Risk: Standardised Approaches for Commodities (MKR SA COM) 134

5.6.1.General Remarks 134

141.This template request information on the positions in commodities and the corresponding own funds requirements treated under the standardised approach. 134

5.6.2.Instructions concerning specific positions 135

5.7.C 24.00 - Market Risk Internal Model (MKR IM) 136

5.7.1.General Remarks 136

142.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. 136

143.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. 136

5.7.2.Instructions concerning specific positions 136

5.8.C 25.00 - CREDIT VALUATION ADJUSTMENT RISK (CVA) 139

5.8.1.Instructions concerning specific positions 139




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