LegalizeCommission Implementing Regulation (EU) 2022/1994 of 21 November 2022 amending the implementing technical standards laid down in Implementing Regulation (EU) 2021/451 as regards own funds, asset encumbrance, liquidity and reporting for the purposes of identifying global systemically important institutions (Text with EEA relevance)
This is the act as published. Later amendments are not folded into the text below: each one is a separate act in this repository and an entry in this law's history.
| Columns | Columns |
| 0010 | Adjustments to CET1 |
| 0020 | Adjustments to AT1 |
| 0030 | Adjustments to T2 |
| 0040 | Adjustments included in RWAs Column 0040 includes the relevant amounts adjusting the total risk exposure amount of Article 92(3) of Regulation (EU) No 575/2013 due to transitional provisions. The amounts reported shall consider the application of provisions of Part Three, Title II, Chapter 2 or 3 or of Part Three, Title IV in accordance with Article 92(4) of Regulation (EU) No 575/2013. That means that transitional amounts subject to Part Three, Title II, Chapter 2 or 3 shall be reported as risk weighted exposure amounts, whereas transitional amounts subject to Part Three, Title IV shall represent the own funds requirements multiplied by 12,5. Whereas columns 0010 to 0030 have a direct link to the CA1 template, the adjustments to the total risk exposure amount do not have a direct link to the relevant templates for credit risk. If there are adjustments stemming from the transitional provisions to the total risk exposure amount, those adjustments shall be included directly in the CR SA, CR IRB, CR EQU IRB, MKR SA TDI, MKR SA EQU or MKR IM. Additionally, those effects shall be reported in column 0040 of CA5.1. As a consequence, those amounts shall be memorandum items only. |
| 0050 | Applicable percentage |
| 0060 | Eligible amount without transitional provisions This column includes the amount of each instrument prior the application of transitional provisions, i.e. the basis amount relevant to calculate the adjustments. |
| --- | --- |
| Rows | Rows |
| 0010 | 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 those adjustments |
| 0020 | 1.1 Grandfathered instruments Articles 483 to 491 of Regulation (EU) No 575/2013 This row reflects the overall effect of instruments transitionally grandfathered in the different types of capital. |
| 0060 | 1.1.2 Instruments not constituting state aid The amounts to be reported shall be obtained from column 060 of CA5.2 template |
| 0061 | 1.1.3 Instruments issued through special purpose vehicles Article 494a of Regulation (EU) No 575/2013 |
| 0062 | 1.1.4 Instruments issued before 27 June 2019 that do not meet the eligibility criteria related to write-down and conversion powers pursuant to Article 59 of Directive 2014/59/EU or are subject to set-off or netting arrangements Article 494b of Regulation (EU) No 575/2013 Institutions shall report the amount of instruments within the scope of Article 494b of Regulation (EU) No 575/2013 that do not meet one or several eligibility criteria of Article 52(1), points (p), (q) and (r), of that Regulation or Article 63 points (n), (o) and (p), of that Regulation, as applicable. In case of Tier 2 instruments eligible in accordance with Article 494b(2) of Regulation (EU) No 575/2013, the amortisation provisions of Article 64 of that Regulation shall be observed. |
| 0063 | 1.1.4.1 of which: Instruments without legally or contractually mandatory write-down or conversion upon exercise of powers in accordance with Article 59 of Directive 2014/59/EU* Article 494b, Article 52(1), point (p) and Article 63, point (n), of Regulation (EU) No 575/2013 Institutions shall report the amount of instruments within the scope of Article 494b of Regulation (EU) No 575/2013 that do not meet the eligibility criteria of Article 52(1), point (p) or point (n), of Article 63 of that Regulation, as applicable. This shall also include instruments that additionally do not meet the eligibility criteria of Article 52(1), points (q) or (r), of Regulation (EU) No 575/2013 or Article 63, points (o) or (p), of that Regulation , as applicable. |
| 0064 | 1.1.4.2 of which: Instruments governed by third-country law without effective and enforceable exercise of powers in accordance with Article 59 of Directive 2014/59/EU* Article 494b, Article 52(1), point (q) and Article 63, point (o), of Regulation (EU) No 575/2013 Institutions shall report the amount of instruments within the scope of Article 494b of Regulation (EU) No 575/2013 that do not meet the eligibility criteria of Article 52(1), point (q) or Article 63, point (o), of that Regulation, as applicable. This shall include also instruments that additionally do not meet the eligibility criteria of Article 52(1), points (p) or (r), of Regulation (EU) No 575/2013 or Article 63, points (n) or (p), of that Regulation , as applicable. |
| 0065 | 1.1.4.3 of which: Instruments subject to set-off or netting arrangements* Article 494b, Article 52(1), point (r) and Article 63, point (p), of Regulation (EU) No 575/2013 Institutions shall report the amount of instruments within the scope of Article 494b of Regulation (EU) No 575/2013 that do not meet the eligibility criteria of Article 52(1), point (r), of that Regulation or Article 63, point (p), of the Regulation, as applicable. This shall also include instruments that additionally do not meet the eligibility criteria of Article 52(1), point (p) or (q) of Regulation (EU) No 575/2013 or Article 63, points (n) or (o), of that Regulation, as applicable. |
| 0070 | 1.2 Minority interests and equivalents Articles 479 and 480 of Regulation (EU) No 575/2013 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. |
| 0080 | 1.2.1 Capital instruments and items that do not qualify as minority interests Articles 479 of Regulation (EU) No 575/2013 The amount to be reported in column 060 of this row shall be the amount qualifying as consolidated reserves in accordance with prior regulation. |
| 0090 | 1.2.2 Transitional recognition in consolidated own funds of minority interests Articles 84 and 480 of Regulation (EU) No 575/2013 The amount to be reported in column 0060 of this row shall be the eligible amount without transitional provisions. |
| 0091 | 1.2.3 Transitional recognition in consolidated own funds of qualifying Additional Tier 1 capital Articles 85 and 480 of Regulation (EU) No 575/2013 The amount to be reported in column 0060 of this row shall be the eligible amount without transitional provisions. |
| 0092 | 1.2.4 Transitional recognition in consolidated own funds of qualifying Tier 2 capital Articles 87 and 480 of Regulation (EU) No 575/2013 The amount to be reported in column 0060 of this row shall be the eligible amount without transitional provisions. |
| 0100 | 1.3 Other transitional adjustments Articles 468 to 478 and Article 481 of Regulation (EU) No 575/2013 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. |
| 0111 | 1.3.1.6 Unrealised gains and losses from certain debt exposures to central governments, regional governments, local authorities and PSEs Article 468 of Regulation (EU) No 575/2013 |
| 0112 | 1.3.1.6.1 of which: amount A The amount A, as calculated in accordance with the formula referred to in Article 468(1) of Regulation (EU) No 575/2013 |
| 0140 | 1.3.2 Deductions Article 36(1) and Articles 469 to 478 of Regulation (EU) No 575/2013 This row reflects the overall effect of transitional provisions on deductions. |
| 0170 | 1.3.2.3. Deferred tax assets that rely on future profitability and do not arise from temporary differences Article 36(1), point (c), Articles 469(1) and 472(5) and Article 478 of Regulation (EU) No 575/2013 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 Regulation (EU) No 575/2013 relating to the reduction of DTA by deferred tax liabilities. The amount to be reported in column 0060 of this row: Total amount in accordance with Article 469(1) of Regulation (EU) No 575/2013. |
| 0380 | 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, paragraphs 2 and 3 of Regulation (EU) No 575/2013 The amount to be reported in column 0060 of this row: Article 470(1) of Regulation (EU) No 575/2013 |
| 0385 | Deferred tax assets that are dependent on future profitability and arise from temporary differences Article 469(1), point (c) ,Article 472(5) and Article 478 of Regulation (EU) No 575/2013 Part of deferred tax assets that rely in future profitability and arise from temporary differences which exceeds the 10 % threshold in Article 470(2), point (a), of Regulation (EU) No 575/2013. |
| 0425 | 1.3.2.11 Exemption from deduction of Equity Holdings in Insurance Companies from CET 1 Items Article 471 of Regulation (EU) No 575/2013 |
| 0430 | 1.3.3 Additional filters and deductions Article 481 of Regulation (EU) No 575/2013 This row reflects the overall effect of transitional provisions on additional filters and deductions. In accordance with Article 481 of Regulation (EU) No 575/2013, 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. |
| 0440 | 1.3.4 Adjustments due to IFRS 9 transitional arrangements Article 473a of Regulation (EU) No 575/2013 Institutions shall report information in relation with the transitional arrangements due to IFRS 9 in accordance with the applicable legal provisions. |
| 0441 | Memorandum item: ECL impact of the static component The sum of A2,SA and A2, IRB as referred to in Article 473a(1) of Regulation (EU) No 575/2013 In case of A2, IRB the amount reported is the amount net of expected lossess as required by Article 473a(5), point (a), of Regulation (EU) No 575/2013. |
| 0442 | Memorandum item: ECL impact of the dynamic component for the period 01/01/2018 – 31/12/2019 The sum of and as referred to in Article 473a(1) of Regulation (EU) No 575/2013 |
| 0443 | Memorandum item: ECL impact of the dynamic component for the period starting on 01/01/2020 The sum of A4,SA and A4, IRB as referred to in Article 473a(1) of Regulation (EU) No 575/2013 In case of A4, IRB the amount reported is the amount net of expected losses as required by Article 473a (5), points (b) and (c), of Regulation (EU) No 575/2013. |
1.6.3 C 05.02 - Grandfathered instruments: instruments not constituing state aid (CA5.2)
| 26. | Institutions shall report information in relation with the transitional provisions of grandfathered instruments not constituting state aid (Articles 484 to 491 of Regulation (EU) No 575/2013). |
1.6.3.1 Instructions concerning specific positions
| Columns | Columns |
| 0010 | Amount of instruments plus related share premium Article 484, paragraphs 3, 4 and 5 of Regulation (EU) No 575/2013 Instruments which are eligible for each respective row, including their related share premiums. |
| 0020 | Base for calculating the limit Article 486, paragraphs 2, 3 and 4 of Regulation (EU) No 575/2013 |
| 0030 | Applicable percentage Article 486(5) of Regulation (EU) No 575/2013 |
| 0040 | Limit Article 486, paragraphs 2 to 5 of Regulation (EU) No 575/2013 |
| 0050 | (-) Amount that exceeds the limits for grandfathering Article 486(2) to (5) of Regulation (EU) No 575/2013 |
| 0060 | Total grandfathered amount The amount to be reported shall be equal to the amounts reported in the respective columns in row 060 of CA5.1. |
| --- | --- |
| Rows | Rows |
| 0010 | 1. Instruments that qualified for Article 57, point (a), of Directive 2006/48/EC Article 484(3) of Regulation (EU) No 575/2013 The amount to be reported shall include the related share premium accounts. |
| 0020 | 2. Instruments that qualified for Article 57, point (ca) and Article 154(8) and (9) of Directive 2006/48/EC, subject to the limit of Article 489 of Regulation (EU) No 575/2013 Article 484(4) of Regulation (EU) No 575/2013 |
| 0030 | 2.1 Total instruments without a call or an incentive to redeem Article 484(4) and Article 489 of Regulation (EU) No 575/2013 The amount to be reported shall include the related share premium accounts. |
| 0040 | 2.2 Grandfathered instruments with a call and incentive to redeem Article 489 of Regulation (EU) No 575/2013 |
| 0050 | 2.2.1 Instruments with a call exercisable after the reporting date, and which meet the conditions in Article 52 of Regulation (EU) No 575/2013 after the date of effective maturity Article 489(3) and Article 491, point (a), of Regulation (EU) No 575/2013 The amount to be reported shall include the related share premium accounts. |
| 0060 | 2.2.2 Instruments with a call exercisable after the reporting date, and which do not meet the conditions in Article 52 of Regulation (EU) No 575/2013 after the date of effective maturity Article 489(5) and Article 491, point (a), of Regulation (EU) No 575/2013 The amount to be reported shall include the related share premium accounts. |
| 0070 | 2.2.3 Instruments with a call exercisable prior to or on 20 July 2011, and which do not meet the conditions in Article 52 of Regulation (EU) No 575/2013 after the date of effective maturity Article 489(6) and Article 491, point (c), of Regulation (EU) No 575/2013 The amount to be reported shall include the related share premium accounts |
| 0080 | 2.3 Excess on the limit of CET1 grandfathered instruments Article 487(1) of Regulation (EU) No 575/2013 The excess on the limit of CET1 grandfathered instruments may be treated as instruments which can be grandfathered as AT1 instruments. |
| 0090 | 3. Items that qualified for Article 57, points (e), (f), (g) or (h), of Directive 2006/48/EC, subject to the limit of Article 490 of Regulation (EU) No 575/2013 Article 484(5) of Regulation (EU) No 575/2013 |
| 0100 | 3.1 Total items without an incentive to redeem Article 490 of Regulation (EU) No 575/2013 |
| 0110 | 3.2 Grandfathered items with an incentive to redeem Article 490 of Regulation (EU) No 575/2013 |
| 0120 | 3.2.1 Items with a call exercisable after the reporting date, and which meet the conditions in Article 63 of Regulation (EU) No 575/2013 after the date of effective maturity Article 490(3) and Article 491, point (a), of Regulation (EU) No 575/2013 The amount to be reported shall include the related share premium accounts. |
| 0130 | 3.2.2 Items with a call exercisable after the reporting date, and which do not meet the conditions in Article 63 of Regulation (EU) No 575/2013 after the date of effective maturity Article 490(5) and Article 491, point (a) of Regulation (EU) No 575/2013 The amount to be reported shall include the related share premium accounts. |
| 0140 | 3.2.3 Items with a call exercisable prior to or on 20 July 2011, and which do not meet the conditions in Article 63 of Regulation (EU) No 575/2013 after the date of effective maturity Article 490(6) and Article 491, point (c), of Regulation (EU) No 575/2013 The amount to be reported shall include the related share premium accounts. |
| 0150 | 3.3 Excess on the limit of AT1 grandfathered instruments Article 487(2) of Regulation (EU) No 575/2013 The excess on the limit of AT1 grandfathered instruments may be treated as instruments which can be grandfathered as T2 instruments. |
2. GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS)
2.1. GENERAL REMARKS
| 27. | Templates C 06.01 and C 06.02 shall be reported if own funds requirements are calculated on a consolidated basis. Template C 06.02 consists of four parts in order to gather different information on all individual entities (including the reporting institution) included in the scope of consolidation. (a) Entities within the scope of consolidation; (b) Detailed group solvency information; (c) Information on the contribution of individual entities to group solvency; (d) Information on capital buffers; | |
| --- | --- | --- |
| 28. | Institutions that obtained a waiver in accordance with Article 7 of Regulation (EU) No 575/2013 shall only report the columns 0010 to 0060 and 0250 to 0400. | |
| --- | --- | --- |
| 29. | The figures reported take into account all applicable transitional provisions of Regulation (EU) No 575/2013 which are applicable at the respective reporting date. |
2.2. DETAILED GROUP SOLVENCY INFORMATION
| 30. | The second part of template C 06.02 (detailed group solvency information) in columns 0070 to 0210 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. | |
| --- | --- | --- |
| 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. |
2.3. INFORMATION ON THE CONTRIBUTIONS OF INDIVIDUAL ENTITIES TO GROUP SOLVENCY
| 32. | The objective of the third part of template C 06.02 and template C 06.01 (information on the contributions of all entities within Regulation (EU) No 575/2013 scope of consolidation to group solvency), including those that are not subject to particular solvency requirements on an individual basis, in columns 0250 to 0400, 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. | |
| --- | --- | --- |
| 33. | The third part also includes the amounts of minority interests, qualifying AT1, and qualifying T2 eligible in the consolidated own funds. | |
| --- | --- | --- |
| 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. | |
| --- | --- | --- |
| 35. | The principle is to delete the cross-exposures within the same groups in a homogeneous way both in terms of risks or own funds, in order to cover the amounts reported in the group’s consolidated CA template by adding the amounts reported for each entity in “Group Solvency” template. A direct link to the CA template is not possible where the 1 % threshold is not exceeded. | |
| --- | --- | --- |
| 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. | |
| --- | --- | --- |
| 37. | It is possible for one consolidated group to be included within another consolidated group. That means that the entities within a subgroup shall be reported entity-by-entity in the GS of the entire group, even if the sub-group itself is subject to reporting requirements. A subgroup that is subject to reporting requirements shall also report the GS template on an entity-by-entity basis, although those details are included in the GS template of a higher consolidated group. | |
| --- | --- | --- |
| 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. That threshold does not apply in the case of subsidiaries or subgroups that provide own funds (in the form of minority interests or qualifying AT1 or T2 instruments included in own funds) to the group. |
2.4. C 06.01 – GROUP SOLVENCY: INFORMATION ON AFFILIATES – TOTAL (GS TOTAL)
| Columns | Instructions |
|---|---|
| 0250-0400 | ENTITIES WITHIN SCOPE OF CONSOLIDATION See instructions for C 06.02 |
| 0410-0480 | CAPITAL BUFFERS See instructions for C 06.02 |
| Rows | Instructions |
| --- | --- |
| 0010 | TOTAL The Total shall represent the sum of the values reported in all rows of template C 06.02. |
2.5. C 06.02 – GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS)
| Columns | Instructions |
|---|---|
| 0011-0060 | ENTITIES WITHIN SCOPE OF CONSOLIDATION This template is designed to gather information on all entities on an entity-by-entity-basis within the scope of consolidation in accordance with Part One, Title II, Chapter 2 of Regulation (EU) No 575/2013. |
| 0011 | NAME Name of the entity within the scope of consolidation. |
| 0021 | CODE The code as part of a row identifier must be unique for each reported entity. For institutions and insurance undertakings the code shall be the LEI code. For other entities the code shall be the LEI code, or if not available, a national code. The code shall be unique and used consistently across the templates and across time. The code shall always have a value. |
| 0026 | TYPE OF CODE The institutions shall identify the type of code reported in column 0021 as a “LEI code” or “Non-LEI code”. The type of code shall always be reported. |
| 0027 | NATIONAL CODE Institutions may additionally report the national code when they report LEI code as identifier in the “Code” column. |
| 0030 | INSTITUTION OR EQUIVALENT (YES / NO) “YES” shall be reported where the entity is subject to own funds requirements pursuant to Regulation (EU) No 575/2013 and Directive 2013/36/EU or provisions at least equivalent to Basel provisions. “NO” shall be reported otherwise. Image omitted; see official source Minority interests: Article 81(1), point (a)(ii) and Article 82(1), point (a)(ii) of Regulation (EU) No 575/2013 To the effects of minority interests and AT1 and T2 instruments issued by subsidiaries, the subsidiaries whose instruments can be eligible shall be institutions or undertakings subject to the requirements of Regulation (EU) No 575/2013 by virtue of applicable national law. |
| 0035 | TYPE OF ENTITY The type of entity shall be reported based on the following categories: (a) credit institution Article 4(1), point (1), of Regulation (EU) No 575/2013; (b) investment firm Article 4(1), point (2), of Regulation (EU) No 575/2013; (c) financial institution (other) Article 4(1), points (20), (21) and (26), of Regulation (EU) No 575/2013 Financial institutions within the meaning of Article 4(1), point (26), of Regulation (EU) No 575/2013 which are not included in any of the categories (d), (f) or (g); (d) (mixed) financial holding company Article 4(1), points (20) and (21), of Regulation (EU) No 575/2013; (e) ancillary services undertaking Article 4(1), point (18), of Regulation (EU) No 575/2013; (f) securitisation special purpose entity (SSPE), Article 4(1), point (66), of Regulation (EU) No 575/2013; (g) covered bond company Entity set up to issue covered bonds or to hold the collateral securing a covered bond, if not included in any of the categories (a), (b) or (d) to (f) above; (h) other type of entity Entity other than those referred to in points (a) to (g). Where an entity is not subject to Regulation (EU) No 575/2013 and Directive 2013/36/EU, but subject to provisions at least equivalent to Basel provisions, the relevant category shall be determined on a best effort basis. |
| 0040 | SCOPE OF DATA: SOLO FULLY CONSOLIDATED (SF) OR SOLO PARTIALLY CONSOLIDATED (SP) “SF” shall be reported for individual subsidiaries fully consolidated. “SP” shall be reported for individual subsidiaries partially consolidated. |
| 0050 | COUNTRY CODE Institutions shall report the two-letter country code referred to in ISO 3166-2. |
| 0060 | SHARE OF HOLDING (%) This percentage refers to the actual share of capital the parent undertaking holds in subsidiaries. In case of full consolidation of a direct subsidiary, the actual share is e.g. 70 %. In accordance with Article 4(1), point (16), of Regulation (EU) No 575/2013, the share of holding of a subsidiary to be reported results from a multiplication of the shares between the subsidiaries concerned. |
| 0070-0240 | INFORMATION ON ENTITIES SUBJECT TO OWN FUNDS REQUIREMENT The section of detailed information (i.e. columns 0070 to 0240) shall gather information only on those entities and subgroups which, being within the scope of consolidation (Part One, Title II, Chapter 2 of Regulation (EU) No 575/2013), are effectively subject to solvency requirements laid down in Regulation (EU) No 575/2013 or provisions at least equivalent to Basel provisions (i.e, reported yes in column 0030). Information shall be included about all individual institutions of a consolidated group that are subject to own funds requirements, regardless where they are located. The information reported in this part shall reflect the local solvency rules of the jurisdiction in which the institution is operating (therefore, for this template, it is not necessary to do a double calculation on an individual basis on the basis of the parent institution’s rules). When local solvency rules differ from Regulation (EU) No 575/2013 and a comparable breakdown is not given, the information shall be completed where data are available in the respective granularity. Therefore, this part is a factual template that summarises the calculations that the individual institutions of a group shall carry out, bearing in mind that some of those institutions may be subject to different solvency rules. Reporting of fixed overheads of investment firms: Investment firms shall include own funds requirements related to fixed overheads in their calculation of capital ratio pursuant to Articles 95, 96, 97 and 98 of Regulation (EU) No 575/2013. The part of the total risk exposure amount related to fixed overheads shall be reported in column 0100 of this template. |
| 0070 | TOTAL RISK EXPOSURE AMOUNT The sum of the columns 0080 to 0110 shall be reported. |
| 0080 | CREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/DELIVERY RISK The amount to be reported in this column shall correspond to the sum of risk weighted exposure amounts that are equal or equivalent to the ones that must be reported in row 0040 “RISK WEIGHTED EXPOSURE AMOUNTS FOR CREDIT, COUNTERPARTY CREDIT AND DILUTION RISKS AND FREE DELIVERIES” and the amounts of own funds requirements that are equal or equivalent to the ones that must be reported in row 0490 “TOTAL RISK EXPOSURE AMOUNT FOR SETTLEMENT/DELIVERY RISKS” of template CA2. |
| 0090 | POSITION, FX AND COMMODITY RISKS The amount to be reported in this column shall correspond to the amount of own funds requirements that are equal or equivalent to the ones that must be reported in row 0520 “TOTAL RISK EXPOSURE AMOUNT FOR POSITION, FOREIGN EXCHANGE AND COMMODITIES RISKS” of template CA2. |
| 0100 | OPERATIONAL RISK The amount to be reported in this column shall correspond to the risk exposure amount that is equal or equivalent to the one that shall be reported in row 0590 “TOTAL RISK EXPOSURE AMOUNT FOR OPERATIONAL RISKS (OpR)” of the template CA2. Fixed overheads shall be included in this column including the row 0630 “ADDITIONAL RISK EXPOSURE AMOUNT DUE TO FIXED OVERHEADS” of template CA2. |
| 0110 | OTHER RISK EXPOSURE AMOUNTS The amount to be reported in this column shall correspond to the risk exposure amount not especially listed above. It shall be the sum of the amounts of rows 0640, 0680 and 0690 of template CA2. |
| 0120-0240 | DETAILED INFORMATION ON GROUP SOLVENCY OWN FUNDS The information reported in the following columns shall reflect the local solvency rules of the Member State in which the entity or subgroup is operating. |
| 0120 | OWN FUNDS The amount to be reported in this column corresponds to the amount of own funds that are equal or equivalent to the ones that must be reported in row 0010 “OWN FUNDS” of the template CA1. |
| 0130 | OF WHICH: QUALIFYING OWN FUNDS Article 82 of Regulation (EU) No 575/2013 This column shall only be provided for the subsidiaries reported on an individual basis that are fully consolidated and that are institutions. Qualifying holdings are, for the subsidiaries specified above, the instruments (plus related retained earnings, share premium accounts and other reserves) owned by persons other than the undertakings and included in the of Regulation (EU) No 575/2013 consolidation. The amount to be reported shall include the effects of any transitional provisions. It shall be the eligible amount on the date of reporting. |
| 0140 | RELATED OWN FUNDS INSTRUMENTS, RELATED RETAINED EARNINGS, SHARE PREMIUM ACCOUNTS AND OTHER RESERVES Article 87(1), point (b), of Regulation (EU) No 575/2013 |
| 0150 | TOTAL TIER 1 CAPITAL Article 25 of Regulation (EU) No 575/2013 |
| 0160 | OF WHICH: QUALIFYING TIER 1 CAPITAL Article 82 of Regulation (EU) No 575/2013 This column shall only be provided for the subsidiaries reported on an individual basis that are fully consolidated and that are institutions. Qualifying holdings are, for the subsidiaries specified above, the instruments (plus related retained earnings and share premium accounts) owned by persons other than the undertakings included in the Regulation (EU) No 575/2013 consolidation. The amount to be reported shall include the effects of any transitional provision. It shall be the eligible amount on the date of reporting. |
| 0170 | RELATED T1 INSTRUMENTS, RELATED RETAINED EARNINGS AND SHARE PREMIUM ACCOUNTS of Article 85(1), point (b), of Regulation (EU) No 575/2013 |
| 0180 | COMMON EQUITY TIER 1 CAPITAL Article 50 of Regulation (EU) No 575/2013 |
| 0190 | OF WHICH: MINORITY INTERESTS Article 81 of Regulation (EU) No 575/2013 This column shall only be reported for subsidiaries that are fully consolidated and that are institutions, except for the subsidiaries referred to in Article 84(3) of Regulation (EU) No 575/2013. Each subsidiary shall be considered on a sub-consolidated basis for all the calculations required by Article 84 of Regulation (EU) No 575/2013, where relevant, in accordance with Article 84(2), otherwise on a solo basis. Minority interests are, for the subsidiaries specified above, the CET1 instruments (plus related retained earnings and share premium accounts) owned by persons other than the undertakings included in the Regulation (EU) No 575/2013 consolidation. The amount to be reported shall include the effects of any transitional provisions. It shall be the eligible amount on the date of reporting. |
| 0200 | RELATED OWN FUNDS INSTRUMENTS, RELATED RETAINED EARNINGS, SHARE PREMIUM ACCOUNTS AND OTHER RESERVES Article 84(1), point (b), of Regulation (EU) No 575/2013 |
| 0210 | ADDITIONAL TIER 1 CAPITAL Article 61 of Regulation (EU) No 575/2013 |
| 0220 | OF WHICH: QUALIFYING ADDITIONAL TIER 1 CAPITAL Articles 82 and 83 of Regulation (EU) No 575/2013 This column shall only be provided for the subsidiaries that are fully consolidated and that are institutions, except for the subsidiaries referred to in Article 85(2) of Regulation (EU) No 575/2013. Each subsidiary shall be considered on a sub-consolidated basis for all the calculations required in Article 85 of Regulation (EU) No 575/2013, where relevant, in accordance with Article 85(2), otherwise on a solo basis. Minority interests are, for the subsidiaries specified above, the AT1 instruments (plus related retained earnings and share premium accounts) owned by persons other than the undertakings included in the Regulation (EU) No 575/2013 consolidation. The amount to be reported shall include the effects of any transitional provisions. It shall be the eligible amount on the date of reporting. |
| 0230 | TIER 2 CAPITAL Article 71 of Regulation (EU) No 575/2013 |
| 0240 | OF WHICH: QUALIFYING TIER 2 CAPITAL Articles 82 and 83 of Regulation (EU) No 575/2013 This column shall only be provided for the subsidiaries that are fully consolidated and that are institutions, except for subsidiaries referred to in Article 87(2) of Regulation (EU) No 575/2013. Each subsidiary shall be considered on a sub-consolidated basis for the purpose of all the calculations required in Article 87 of Regulation (EU) No 575/2013, if relevant, in accordance with Article 87(2) of that Regulation , otherwise on a solo basis. Minority interests are, for the subsidiaries specified above, the T2 instruments (plus related retained earnings and share premium accounts) owned by persons other than the undertakings included in the Regulation (EU) No 575/2013 consolidation. The amount to be reported shall include the effects of any transitional provisions. It shall be the eligible amount on the reference date. |
| 0250-0400 | INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP |
| 0250-0290 | CONTRIBUTION TO RISKS The information reported in the following columns shall be in accordance with the solvency rules applicable to the reporting institution. |
| 0250 | TOTAL RISK EXPOSURE AMOUNT The sum of the columns 0260 to 0290 shall be reported. |
| 0260 | CREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/DELIVERY RISK The amount to be reported shall be the risk weighted exposure amounts for credit risk and own funds requirements of settlement/delivery risk in accordance with Regulation (EU) No 575/2013, excluding any amount related to transactions with other entities included in the group consolidated solvency ratio computation. |
| 0270 | POSITION, FX AND COMMODITY RISKS Risk exposure amounts for market risks are to be computed at each entity level in accordance with Regulation (EU) No 575/2013. Entities shall report the contribution to the total risk exposure amounts for position, FX and commodity risk of the group. The sum of amounts reported here shall correspond to the amount reported in row 0520 “TOTAL RISK EXPOSURE AMOUNTS FOR POSITION, FOREIGN EXCHANGE AND COMMODITY RISKS” of the consolidated report. |
| 0280 | OPERATIONAL RISK In case of AMA, the reported risk exposure amounts for operational risk shall include the effect of diversification. Fixed overheads shall be included in this column. |
| 0290 | OTHER RISK EXPOSURE AMOUNTS The amount to be reported in this column shall correspond to the risk exposure amount for risks other than listed above. |
| 0300-0400 | CONTRIBUTION TO OWN FUNDS This part of the template is not intended to impose on institutions a full computation of the total capital ratio at the level of each entity. Columns 0300 to 0350 shall be reported for those consolidated entities which contribute to own funds by minority interest, qualifying Tier 1 capital or qualifying own funds. Subject to the threshold referred to in the last paragraph of chapter 2.3 of Part II above, columns 0360 to 0400 shall be reported for all consolidated entities which contribute to the consolidated own funds. Own funds brought to an entity by the rest of entities included within the scope of the reporting entity shall not to be taken into account, only the net contribution to the group own funds shall be reported in this column (mainly the own funds raised from third parties and accumulated reserves). The information reported in the following columns shall be in accordance with the solvency rules applicable to the reporting institution. |
| 0300-0350 | QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS The amount to be reported as “QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS” shall be the amount as derived from Part Two, Title II of Regulation (EU) No 575/2013, excluding any fund brought in by other group entities. |
| 0300 | QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS Article 87 of Regulation (EU) No 575/2013 |
| 0310 | QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 1 CAPITAL Article 85 of Regulation (EU) No 575/2013 |
| 0320 | MINORITY INTERESTS INCLUDED IN CONSOLIDATED COMMON EQUITY TIER 1 CAPITAL Article 84 of Regulation (EU) No 575/2013 The amount to be reported shall the amount of minority interests of a subsidiary that is included in consolidated CET1 in accordance with the Regulation (EU) No 575/2013. |
| 0330 | QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED ADDITIONAL TIER 1 CAPITAL Article 86 of Regulation (EU) No 575/2013 The amount to be reported shall the amount of qualifying T1 capital of a subsidiary that is included in consolidated AT1 in accordance with the Regulation (EU) No 575/2013. |
| 0340 | QUALIFYING OWN FUNDS INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 2 CAPITAL Article 88 of Regulation (EU) No 575/2013 The amount to be reported shall the amount of qualifying own funds of a subsidiary that is included in consolidated T2 in accordance with the Regulation (EU) No 575/2013. |
| 0350 | MEMORANDUM ITEM: GOODWILL (-) / (+) NEGATIVE GOODWILL |
| 0360-0400 | CONSOLIDATED OWN FUNDS Article 18 of Regulation (EU) No 575/2013 The amount to be reported as “CONSOLIDATED OWN FUNDS” shall be the amount as derived from the balance sheet, excluding any fund brought in by other group entities. |
| 0360 | CONSOLIDATED OWN FUNDS |
| 0370 | OF WHICH: COMMON EQUITY TIER 1 |
| 0380 | OF WHICH: ADDITIONAL TIER 1 |
| 0390 | OF WHICH: CONRIBUTIONS TO CONSOLIDATED RESULT The contribution of each entity to the consolidated result (profit or loss (-)) shall be reported. That includes the results attributable to minority interests. |
| 0400 | OF WHICH: (-) GOODWILL / (+) NEGATIVE GOODWILL Goodwill or negative goodwill of the reporting entity on the subsidiary shall be reported here. |
| 0410-0480 | CAPITAL BUFFERS The structure of the reporting of capital buffers for the GS template shall follow the general structure of the template CA4, using the same reporting concepts. When reporting the capital buffers for the GS template, the relevant amounts shall be reported in accordance with the provisions applicable to determine the buffer requirement for the consolidated situation of a group. Therefore, the reported amounts of capital buffers shall represent the contributions of each entity to group capital buffers. The amounts reported shall be based on the national provisions transposing Directive 2013/36/EU and on Regulation (EU) No 575/2013, including any transitional provisions provided for therein. |
| 0410 | COMBINED BUFFER REQUIREMENT Article 128, point (6) of Directive 2013/36/EU |
| 0420 | CAPITAL CONSERVATION BUFFER Article 128, point (1) and Article 129 of Directive 2013/36/EU In accordance with Article 129(1) of Directive 2013/36/EU, the capital conservation buffer is an additional amount of Common Equity Tier 1 capital. Due to the fact that the capital conservation buffer rate of 2.5 % is stable, an amount shall be reported in this cell. |
| 0430 | INSTITUTION SPECIFIC COUNTERCYCLICAL CAPITAL BUFFER Article 128, point (2), Article 130 and Articles 135 to 140 of Directive 2013/36/EU The concrete amount of the countercyclical buffer shall be reported in this cell. |
| 0440 | CONSERVATION BUFFER DUE TO MACRO-PRUDENTIAL OR SYSTEMIC RISK IDENTIFIED AT THE LEVEL OF A MEMBER STATE Article 458(2),point (d)(iv) of Regulation (EU) No 575/2013 The amount of the conservation buffer due to macro-prudential or systemic risk identified at the level of a Member State, which can be requested in accordance with Article 458 of Regulation (EU) No 575/2013 in addition to the capital conservation buffer, shall be reported in this cell. |
| 0450 | SYSTEMIC RISK BUFFER Article 128, point (5), Articles 133 and 134 of Directive 2013/36/EU The amount of the systemic risk buffer shall be reported in this cell. |
| 0470 | GLOBAL SYSTEMICALLY IMPORTANT INSTITUTION BUFFER Article 128, point (3) and Article 131 of Directive 2013/36/EU The amount of the Global Systemically Important Institution buffer shall be reported in this cell. |
| 0480 | OTHER SYSTEMICALLY IMPORTANT INSTITUTION BUFFER Article 128, point (4) and Article 131 of Directive 2013/36/EU The amount of the Other Systemically Important Institution buffer shall be reported in this cell. |
3. CREDIT RISK TEMPLATES
3.1. GENERAL REMARKS
| 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 set out in Article 5(5) of this Implementing Regulation is exceeded. |
3.1.1. Reporting of CRM techniques with substitution effect
| 40. | Exposures to obligors (immediate counterparties) and guarantors which are assigned to the same exposure class shall be reported as an inflow as well as an outflow to the same exposure class. | |
| --- | --- | --- |
| 41. | The exposure type shall not change because of unfunded credit protection. | |
| --- | --- | --- |
| 42. | If an exposure is secured by an unfunded credit protection, the secured part shall be assigned as an outflow e.g. in the exposure class of the obligor and as an inflow in the exposure class of the guarantor. However, the type of the exposure shall not change due to the change of the exposure class. | |
| --- | --- | --- |
| 43. | 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 shall be risk weighted in accordance with the Standardised approach and shall be reported in the CR SA template. |
3.1.2. Reporting of Counterparty Credit Risk
| 44. | Exposures stemming from Counterparty Credit Risk positions shall be reported in templates CR SA or CR IRB independent from whether they are Banking Book items or Trading Book items. |
3.2. C 07.00 - CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: STANDARDISED APPROACH TO CAPITAL REQUIREMENTS (CR SA)
3.2.1. General remarks
| 45. | The CR SA templates provide the necessary information on the calculation of own funds requirements for credit risk in accordance with the Standardised approach. In particular, they provide detailed information on: a) the distribution of the exposure values according to the different, exposure types, risk weights and exposure classes; b) the amount and type of credit risk mitigation techniques used for mitigating the risks. |
3.2.2. Scope of the CR SA template
| 46. | In accordance with Article 112 of Regulation (EU) No 575/2013 each SA exposure shall be assigned to one of the 16 SA exposure classes to calculate the own funds requirements. | |
| --- | --- | --- |
| 47. | The information in CR SA is required for the total exposure classes and individually for each of the exposure classes under the Standardised approach. The total figures as well as the information of each exposure class are reported in a separate dimension. | |
| --- | --- | --- |
| 48. | However the following positions are not within the scope of CR SA: (a) Exposures assigned to exposure class “items representing securitisation positions” as referred to in Article 112, point (m), of Regulation (EU) No 575/2013, which shall be reported in the CR SEC templates. (b) Exposures deducted from own funds. | |
| --- | --- | --- |
| 49. | The scope of the CR SA template shall cover the following own funds requirements: (a) Credit risk in accordance with Chapter 2 (Standardised approach) of Part Three, Title II of Regulation (EU) No 575/2013 in the banking book, among which Counterparty credit risk in accordance with Part Three, Title II, Chapters 4 and 6 of that Regulation in the banking book; (b) Counterparty credit risk in accordance with Part Three, Title II, Chapters 4 and 6 of Regulation (EU) No 575/2013 in the trading book; (c) Settlement risk arising from free deliveries in accordance with Article 379 of Regulation (EU) No 575/2013 in respect of all the business activities. | |
| --- | --- | --- |
| 50. | The template shall include all exposures for which the own funds requirements are calculated in accordance with Part Three, Title II, Chapter 2 of Regulation (EU) No 575/2013 in conjunction with Part Three, Title II, Chapters 4 and 6 of Regulation (EU) No 575/2013. Institutions that apply Article 94(1) of Regulation (EU) No 575/2013 also need to report their trading book positions referred to in Article 92(3), point (b), of that Regulation in this template when they apply Part Three, Title II, Chapter 2 of that Regulation to calculate the own funds requirements thereof (Part Three, Title II, Chapters 2 and 6 and Part Three, Title V of that Regulation). Therefore the template shall not only provide 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. | |
| --- | --- | --- |
| 51. | In addition, CR SA includes memorandum items in rows 0290 to 0320 to collect further information about exposures secured by mortgages on immovable property and exposures in default. | |
| --- | --- | --- |
| 52. | Those memorandum items shall only be reported for the following exposure classes: (a) Central governments or central banks (Article 112, point (a), of Regulation (EU) No 575/2013 of Regulation (EU) No 575/2013); (b) Regional governments or local authorities (Article 112, point (b), of Regulation (EU) No 575/2013); (c) Public sector entities (Article 112, point (c), of Regulation (EU) No 575/2013); (d) Institutions (Article 112, point (f), of Regulation (EU) No 575/2013); (e) Corporates (Article 112, point (g), of Regulation (EU) No 575/2013); (f) Retail (Article 112, point (h), of Regulation (EU) No 575/2013). | |
| --- | --- | --- |
| 53. | The reporting of the memorandum items shall affect neither the calculation of the risk weighted exposure amounts of the exposure classes referred to in Article 112, points (a) to (c) and (f) to (h), of Regulation (EU) No 575/2013 nor of the exposure classes referred to in Article 112, points (i) and (j), of that Regulation reported in template CR SA. | |
| --- | --- | --- |
| 54. | The memorandum rows provide additional information about the obligor structure of the exposure classes “in default” or “secured by immovable property”. Exposures shall be reported in these rows 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”. The figures reported, however, are the same as used to calculate the risk weighted exposure amounts in the exposure classes “in default” or “secured by immovable property”. | |
| --- | --- | --- |
| 55. | E.g. if an exposure, the risk exposure amounts of which are calculated in accordance with Article 127 of Regulation (EU) No 575/2013and the value adjustments are less than 20 %, then that information shall be reported in CR SA, row 0320 in the total and in the exposure class “in default”. If this exposure, before it defaulted, was an exposure to an institution, then that information shall also be reported in row 0320 of exposure class “institutions”. |
3.2.3. Assignment of exposures to exposure classes under the Standardised approach
| 56. | In order to ensure a consistent categorisation of exposures into the different exposure classes referred to in Article 112 of Regulation (EU) No 575/2013 the following sequential approach shall be applied: (a) In a first step, the Original exposure pre-conversion factors shall be classified into the corresponding (original) exposure class referred to in Article 112 of Regulation (EU) No 575/2013, without prejudice to the specific treatment (risk weight) that each specific exposure shall receive within the assigned exposure class. (b) In a second step the exposures may be redistributed to other exposure classes due to the application of credit risk mitigation (CRM) techniques with substitution effects on the exposure (e.g. guarantees, credit derivatives, financial collateral simple method) via inflows and outflows. | |
| --- | --- | --- |
| 57. | The following criteria shall apply to 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. | |
| --- | --- | --- |
| 58. | 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 referred to in Article 112, point (i), of Regulation (EU) No 575/2013 (exposures secured by mortgages on immovable property). | |
| --- | --- | --- |
| 59. | Article 112 of Regulation (EU) No 575/2013 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 Regulation (EU) No 575/2013) and exposures to institutions (Article 112, point (f), of Regulation (EU) No 575/2013)/ exposures to corporates ( Article 112, point (g), of Regulation (EU) No 575/2013). In that case, it is clear that there is an implicit prioritisation in that Regulation since it shall be assessed first if a certain exposure is fit for being assigned to Short-term exposures to institutions and corporates and only afterwards assessed if it fits for being assigned to exposures to institutions or exposures to corporates. Otherwise it is obvious that the exposure class referred to in Article 112, point (n), of Regulation (EU) No 575/2013 shall never be assigned an exposure. The example provided is one of the most obvious examples but is 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. | |
| --- | --- | --- |
| 60. | 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 Regulation (EU) No 575/2013 for an exposure to fit in a certain exposure class and, if that is the case, on any decision on the part of the reporting institutions or the supervisor on the applicability of certain exposure classes. Therefore, the outcome of the exposure assignment process for reporting purposes shall be in line with Regulation (EU) No 575/2013 provisions. That does not prohibit institutions from applying other internal assignment procedures that may also be consistent with all relevant Regulation (EU) No 575/2013 provisions and its interpretations issued by the appropriate fora. | |
| --- | --- | --- |
| 61. | 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 an exposure class, without prejudice to the outcome of that assessment) if otherwise no exposures would potentially be assigned to it. That will be the case where in the absence of prioritisation criteria one exposure class is a subset of others. Therefore, the criteria graphically depicted in the following decision tree would work on a sequential process. | |
| --- | --- | --- |
| 62. | With this background the assessment ranking in the decision tree mentioned below shall follow the following order: 1. Securitisation positions; 2. Items associated with particular high risk; 3. Equity exposures 4. Exposures in default; 5. Exposures in the form of units or shares in collective investment undertakings (“CIU”)/ Exposures in the form of covered bonds (disjoint exposure classes); 6. Exposures secured by mortgages on immovable property; 7. Other items; 8. Exposures to institutions and corporates with a short-term credit assessment; 9. All other exposure classes (disjoint exposure classes) which include Exposures to central governments or central banks; Exposures to regional governments or local authorities; Exposures to public sector entities; Exposures to multilateral development banks; Exposures to international organisations; Exposures to institutions; Exposures to corporate and Retail exposures. | |
| --- | --- | --- |
| 63. | In the case of exposures in the form of units or shares in collective investment undertakings and where the look through approach or the mandate-based approach (Article 132a, points (1) and (2), of Regulation (EU) No 575/2013) is used, the underlying individual (in the case of the look through approach) and individual group of (in the case of the mandate-based approach) exposures shall be considered and classified into their corresponding risk weight line according to their treatment. However, all the individual exposures shall be classified within the exposure class of Exposures in the form of units or shares in collective investment undertakings (“CIU”). | |
| --- | --- | --- |
| 64. | “nth” to default credit derivatives, as specified in Article 134(6) of Regulation (EU) No 575/2013 that are rated shall be directly classified as securitisation positions. If they are not rated, they shall be considered in the “Other items” exposure class. In that 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 Regulation (EU) No 575/2013. | |
| --- | --- | --- |
| 65. | In a second step, as a consequence of credit risk mitigation techniques with substitution effects, exposures shall be reallocated to the exposure class of the protection provider. |
DECISION TREE ON HOW TO ASSIGN THE ORIGINAL EXPOSURE PRE-CONVERSION FACTORS TO THE EXPOSURE CLASSES OF THE STANDARDISED APPROACH IN ACCORDANCE WITH REGULATION (EU) No 575/2013
| Original exposure pre-conversion factors | ||
| Does it fit for being assigned to the exposure class of Article 112, point (m), of Regulation (EU) No 575/2013? | YES Image omitted; see official source | Securitisation positions |
| NO Image omitted; see official source | ||
| Does it fit for being assigned to the exposure class of Article 112, point (k), of Regulation (EU) No 575/2013? | YES Image omitted; see official source | Items associated with particular high risk (see also Article 128 of Regulation (EU) No 575/2013) |
| NO Image omitted; see official source | ||
| Does it fit for being assigned to the exposure class of Article 112, point (p), of Regulation (EU) No 575/2013? | YES Image omitted; see official source | Equity exposures (see also Article 133 of Regulation (EU) No 575/2013) |
| NO Image omitted; see official source | ||
| Does it fit for being assigned to the exposure class of Article 112, point (j), of Regulation (EU) No 575/2013? | YES Image omitted; see official source | Exposures in default |
| NO Image omitted; see official source | ||
| Does it fit for being assigned to the exposure classes of Article 112, points (l) and (o), of Regulation (EU) No 575/2013? | YES Image omitted; see official source | Exposures in the form of units or shares in collective investment undertakings (CIU) Exposures in the form of covered bonds (see also Article 129 of Regulation (EU) No 575/2013) These two exposure classes are disjoint among themselves (see comments on the look-through approach in the answer above). Therefore the assignment to one of them is straightforward. |
| NO Image omitted; see official source | ||
| Does it fit for being assigned to the exposure class of Article 112, point (i), of Regulation (EU) No 575/2013? | YES Image omitted; see official source | Exposures secured by mortgages on immovable property (see also Article 124 of Regulation (EU) No 575/2013) |
| NO Image omitted; see official source | ||
| Does it fit for being assigned to the exposure class of Article 112, point (q), of Regulation (EU) No 575/2013? | YES Image omitted; see official source | Other items |
| NO Image omitted; see official source | ||
| Does it fit for being assigned to the exposure class of Article 112, point (n), of Regulation (EU) No 575/2013? | YES Image omitted; see official source | Exposures to institutions and corporates with a short-term credit assessment |
| NO Image omitted; see official source | ||
| The exposure classes below are disjoint among themselves. Therefore the assignment to one of them is straightforward. Exposures to central governments or central banks Exposures to regional governments or local authorities Exposures to public sector entities Exposures to multilateral development banks Exposures to international organisations Exposures to institutions Exposures to corporates Retail exposures | The exposure classes below are disjoint among themselves. Therefore the assignment to one of them is straightforward. Exposures to central governments or central banks Exposures to regional governments or local authorities Exposures to public sector entities Exposures to multilateral development banks Exposures to international organisations Exposures to institutions Exposures to corporates Retail exposures | The exposure classes below are disjoint among themselves. Therefore the assignment to one of them is straightforward. Exposures to central governments or central banks Exposures to regional governments or local authorities Exposures to public sector entities Exposures to multilateral development banks Exposures to international organisations Exposures to institutions Exposures to corporates Retail exposures |
3.2.4. Clarifications on the scope of some specific exposure classes referred to in Article 112 of Regulation (EU) No 575/2013
3.2.4.1. Exposure Class “Institutions”
| 66. | Intra-group exposures referred to in Article 113, paragraphs 6 and 7 of Regulation (EU) No 575/2013 shall be reported as follows: | |
| --- | --- | --- |
| 67. | Exposures which fulfil the requirements of Article 113(7) of Regulation (EU) No 575/2013 shall be reported in the respective exposure classes where they would be reported if they were not intra-group exposures. | |
| --- | --- | --- |
| 68. | According to Article 113, paragraphs 6 and 7 of Regulation (EU) No 575/2013 an institution may, subject to the prior approval of the competent authorities, decide not to apply the requirements of paragraph 1 of that 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. That 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 Council Directive 83/349/EEC 12. Therefore intra-group exposures shall be reported in the corresponding exposure class. |
3.2.4.2. Exposure Class “Covered Bonds”
| 69. | SA exposures shall be assigned to the exposure class “covered bonds” as follows: | |
| --- | --- | --- |
| 70. | Bonds referred to in Article 52(4) of Directive 2009/65/EC of the European Parliament and of the Council 13 shall fulfil the requirements of Article 129, paragraphs 1 and 2 of Regulation (EU) No 575/2013 to be classified in the exposure class “Covered Bonds”. The fulfilment of those requirements has to be checked in each case. Nevertheless, bonds referred to in Article 52(4) of Directive 2009/65/EC and issued before 31 December 2007 shall also be assigned to the exposure class “Covered Bonds” pursuant to Article 129(6) of Regulation (EU) No 575/2013. |
3.2.4.3. Exposure class “Collective Investment Undertakings”
| 71. | Where the possibility referred to in Article 132a (2) of Regulation (EU) No 575/2013 is used, exposures in the form of units or shares in CIUs shall be reported as on balance sheet items in accordance with the first sentence in Article 111(1) of Regulation (EU) No 575/2013. |
3.2.5. Instructions concerning specific positions
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