Reporting on own funds and own funds requirements


C 01.00 - OWN FUNDS (CA1) Instructions concerning specific positions



Download 1.36 Mb.
Page3/29
Date31.05.2016
Size1.36 Mb.
1   2   3   4   5   6   7   8   9   ...   29

C 01.00 - OWN FUNDS (CA1)

  1. Instructions concerning specific positions





Row

Legal references and instructions

010

1. Own funds
Articles 4(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 30 of CRR
Includes capital instruments of mutual, cooperative societies or similar institutions (Articles 27 and 29 of CRR).
The amount to be reported shall not include the share premium related to the instruments


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



091


1.1.1.1.4.3 (-) Synthetic holdings of CET1 instruments
Articles 4(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(123) and 26(1) c) of CRR
Article 4(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(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(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


200

1.1.1.4 Other reserves
Articles 4(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(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

1.1.8 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

1.1.9 Adjustments to CET1 due to prudential filters
Articles 32 to 35 of CRR


260

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

1.1.9.2 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

1.1.9.3 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(113), 36(1) point (b) and 37 of CRR


310

1.1.1.10.1 (-) Goodwill accounted for as intangible asset
Articles 4(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(115), 36(1) point (b) and 37 point (a) of CCR
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 gross amount
Articles 4(115) and 36(1) point (b) of CCR
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 and additional value adjustments and other own funds reductions 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(109), 36(1) point (e) and 41 of CRR


400

1.1.1.14.1 (-)Defined benefit pension fund assets gross amount
Articles 4(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(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(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(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(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 1250%.


460

1.1.1.18 (-) Securitisation positions which can alternatively be subject to a 1250% risk weight
Articles 36(1) point (k) (ii), 243(1) point (b), 244(1) point (b) and 258 of CRR
Securitisation positions which are subject to a 1250% 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 1250% 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 1250%.



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 1250%.



480

1.1.1.22 (-) CET1 instruments of financial sector entities where the institution does not have a significant investment
Articles 4(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(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(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(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(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(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(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 85 and 86 of CRR
Sum of all the amounts of qualifying T1 capital of subsidiaries that is included in consolidated AT1.


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(122), 56 point (b) and 58 of CRR
Holdings in AT1 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 longs 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(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(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(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(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(114), 63 point (b), 66 point (a) and 67 of CRR



841

1.2.1.4.3 (-) Synthetic holdings of T2 instruments
Articles 4(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 87 and 88 of CRR
Sum of all the amounts of qualifying own funds of subsidiaries that is included in consolidated T2.



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(122), 66 point (b) and 68 of CRR
Holdings in T2 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 longs 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(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(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(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(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. Share with your friends:
1   2   3   4   5   6   7   8   9   ...   29




The database is protected by copyright ©essaydocs.org 2020
send message

    Main page