Reporting on own funds and own funds requirements


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



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

  1. General remarks


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.

17.CA5 is structured as follows:



    1. 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.

    2. Template 5.2 provides further details on the calculation of those grandfathered instruments which do not constitute state aid.

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.

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

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.

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


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.

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.

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).

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.

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.

        1. Instructions concerning specific positions





Columns

010

Adjustments to CET1


020

Adjustments to AT1


030

Adjustments to T2


040

Adjustments included in RWAs
Column 050 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 of CRR
According to Art. 468 (1) sentence 3, the residual amount shall be treated according to Art. 481 CRR, i.e. as additional filters and deductions depending on the implementation of 2006/48/EC, and therefore shall be reported under item 1.3.3 of this template.
The amount to be reported in column 060 of this row shall be the amount of unrealised gains related to assets or liabilities measured at fair value and reported on the balance sheet, excluding those referred to in Article 33 and all other unrealised gains with the exception of those related to investment properties reported as part of the profit and loss account (Article 468 (1) CRR).


130

1.3.1.2 Unrealised losses
Article 467 of CRR
The amount to be reported in column 060 of this row shall be the amount of unrealised losses related to assets or liabilities measured at fair value and reported on the balance sheet, excluding those referred to in Article 30 and all other unrealised losses reported as part of the profit and loss account, 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 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 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 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 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 Article 36(1)(f) of CRR.



211

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, Article 469 (1) (b), 472 (8) (a) of CRR.


212

of which: Indirect 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, Article 469 (1) (b), 472 (8) (b) of CRR.


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 Article 56 (a) of CRR.


221

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

of which: Indirect 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, 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 deduction 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 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 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 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 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 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 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 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 Article 56 (d) of CRR


420

1.3.2.10.2 AT1 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 Article 66 (d) of CRR


425

1.3.2.11 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.


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.






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