Commission Implementing Regulation (EU) 2021/451 of 17 December 2020 laying down implementing technical standards for the application of Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to supervisory reporting of institutions and repealing Implementing Regulation (EU) No 680/2014 (Text with EEA relevance)

• 122.In accordance with Article 273a of Regulation (EU) No 575/2013 an institution may calculate the exposure value of its derivative positions in accordance with the method set out in Part Three Title II, Chapter 6, Section 4 or 5 of Regulation (EU) No 575/2013, provided that the size of its on- and off-balance-sheet derivative business is equal to or less than pre-defined thresholds, respectively. The corresponding assessment is to be carried out on a monthly basis using the data as of the last day of the month. This template provides the information on the compliance with those thresholds and, more generally, important information on the size of the derivative business.

• 123.Month 1, Month 2 and Month 3 refer to the first, second and last month, respectively, of the quarter that is being reported. Information shall be reported only for month-ends after the 28 June 2021.

3.9.2.2.   Instructions concerning specific positions

3.9.3.   C 34.02 - CCR exposures by approach

3.9.3.1.   General remarks

• 124.Institutions shall report the template separately for all CCR exposures and for all CCR exposures excluding exposures to central counterparties (CCPs) as defined for the purpose of template C 34.10.

3.9.3.2.   Instructions concerning specific positions

3.9.4.   C 34.03 - CCR exposures treated with standardised approaches: SA-CCR and Simplified SA-CCR

3.9.4.1.   General remarks

• 125.The template shall be used separately for reporting the CCR exposures calculated with the SA-CCR or the Simplified SA-CCR, as applicable.

3.9.4.2.   Instructions concerning specific positions

3.9.5.   C 34.04 - CCR exposures treated with the Original Exposure Method (OEM)

3.9.5.1.   Instructions concerning specific positions

3.9.6.   C 34.05 – CCR exposures treated with the Internal Model Method (IMM)

3.9.6.1.   Instructions concerning specific positions

3.9.7.   C 34.06 – Top twenty counterparties

3.9.7.1.   General remarks

• 126.Institutions shall report information on the top 20 counterparties with whom they have the highest CCR exposures. The ranking shall be done using the CCR exposure values, as reported in column 0120 of this template, of all netting sets with the respective counterparties. Intra-group exposures or other exposures that give raise to counterparty credit risk but for which the institutions assign a risk weight of zero for the own funds requirements calculation, in accordance with Article 113(6) and 113(7) of Regulation (EU) No 575/2013 of Regulation (EU) No 575/2013, shall still be considered when determining the list of top 20 counterparties.

• 127.Institutions applying the standardised approach (SA-CCR) or the Internal Model Method (IMM) for the calculation of CCR exposures following Part Three, Title II, Chapter 6, Sections 3 and 6 of Regulation (EU) No 575/2013 shall report this template on a quarterly basis. Institutions applying the simplified standardised approach or the original exposure method (OEM) for the calculation of CCR exposures following Part Three, Title II, Chapter 6, Sections 4 and 5 of Regulation (EU) No 575/2013 shall report this template on a semi-annual basis. Instructions concerning specific positions.

3.9.7.2.   Instructions concerning specific positions

3.9.8.   C 34.07 - IRB approach – CCR exposures by exposure class and PD scale

3.9.8.1.   General remarks

• 128.This template shall be reported by institutions using either the advanced or the foundation IRB approach to compute risk weighted exposure amounts for all or part of their CCR exposures in accordance with Article 107 of Regulation (EU) No 575/2013, irrespective of the CCR approach used to determine exposure values in accordance with Part Three, Title II, Chapters 4 and 6 of Regulation (EU) No 575/2013.

• 129.The template shall be reported separately for the total of all exposure classes as well as separately for each of the exposure classes listed in Article 147 of Regulation (EU) No 575/2013. This template excludes exposures cleared through a CCP.

• 130.In order to clarify whether the institution uses its own estimates for LGD and/or credit conversion factors the following information shall be provided for each reported exposure class:

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

‘YES’ = in case own estimates of LGD and credit conversion factors are used (Advanced IRB)

3.9.8.2.   Instructions concerning specific positions

Columns	Columns
0010	Exposure value Exposure value (see instructions to column 0170 in template C 34.02), broken down by the given PD scale
0020	Exposure weighted average PD (%) Average of individual obligor grade PDs weighted by their corresponding exposure value as defined for column 0010
0030	Number of obligors The number of legal entities or obligors allocated to each bucket of the fixed PD scale, which were separately rated, regardless of the number of different loans or exposures granted Where different exposures to the same obligor are separately rated, they shall be counted separately. Such situation may take place if separate exposures to the same obligor are assigned to different obligor grades in accordance with Article 172(1) second sentence, point (e), of Regulation (EU) No 575/2013.
0040	Exposure weighted average LGD (%) Average of obligor grade LGDs weighted by their corresponding exposure value as defined for column 0010 The LGD reported shall correspond to the final LGD estimate used in the calculation of risk weighted exposure amounts obtained after considering any CRM effects and downturn conditions as specified in Part Three, Title II, Chapters 3 and 4 of Regulation (EU) No 575/2013, where relevant. In particular, for institutions applying the IRB approach but not using their own estimates of LGD the risk mitigation effects of financial collateral are reflected in E, the fully adjusted value of the exposure, and then reflected in LGD in accordance with Article 228(2) of Regulation (EU) No 575/2013. If own estimates of LGD are applied, Article 175 and Article 181(1) and (2) of Regulation (EU) No 575/2013 shall be considered. In the case of exposures subject to the double default treatment the LGD to be reported shall correspond to the one selected in accordance with Article 161(4) of Regulation (EU) No 575/2013. For defaulted exposures under A-IRB Approach, provisions laid down in Article 181(1), point (h), of Regulation (EU) No 575/2013 shall be considered. The LGD reported shall correspond to the estimate of LGD in-default.
0050	Exposure weighted average maturity (years) Average of obligor maturities in years weighted by their corresponding exposure value as defined for column 0010 The maturity shall be determined in accordance with Article 162 of Regulation (EU) No 575/2013.
0060	Risk weighted exposure amounts Risk weighted exposure amounts, as defined in Article 92(3) and (4) of Regulation (EU) No 575/2013, for positions whose risk weights are estimated on the basis of the requirements laid down in Part Three, Title II, Chapter 3 of Regulation (EU) No 575/2013 and for which the exposure value for CCR business is calculated in accordance with Part Three, Title II, Chapters 4 and 6 of that Regulation The SME and infrastructure supporting factors laid down in Article 501 and Article 501a of Regulation (EU) No 575/2013 shall be taken into account.
0070	Density of risk weighted exposure amounts Ratio of the total risk weighted exposure amounts (reported in column 0060) to the exposure value (reported in column 0010)

Rows	Rows
0010 - 0170	PD scale CCR exposures (determined at counterparty level) shall be allocated to the appropriate bucket of the fixed PD scale based on the PD estimated for each obligor assigned to this exposure class (without considering any substitution due to the existence of a guarantee or a credit derivative). Institutions shall map exposure by exposure to the PD scale provided in the template, also taking into account continuous scales. All defaulted exposures shall be included in the bucket representing PD of 100 %.

3.9.9.   C 34.08 - Composition of collateral for CCR exposures

3.9.9.1.   General remarks

• 131.This template shall be filled with fair values of collateral (posted or received) used in CCR exposures related to derivative transactions, long settlement transaction or to SFTs, whether or not the transactions are cleared through a CCP and whether or not collateral is posted to a CCP.

3.9.9.2.   Instructions concerning specific positions

Columns	Columns
0010 - 0080	Collateral used in derivative transactions Institutions shall report the collateral (including the initial margin and variation margin collateral) that is used in CCR exposures related to any derivative instrument listed in Annex II of Regulation (EU) No 575/2013 or a long settlement transaction as defined in Article 272, point (2) of the same regulation not qualifying as an SFT.
0090 - 0180	Collateral used in SFTs Institutions shall report the collateral (including the initial margin and variation margin collateral as well as the collateral appearing as security in the SFT) that is used in CCR exposures related to any SFT or a long settlement transaction not qualifying as a derivative.
0010, 0020, 0050, 0060, 0090, 0100, 0140, 0150	Segregated Article 300(1) of Regulation (EU) No 575/2013 Institutions shall report the collateral that is held in a bankruptcy-remote manner as defined in Article 300(1) of Regulation (EU) No 575/2013, further broken down into collateral appearing in the form of initial or variation margin.
0030, 0040, 0070, 0080, 0110, 0120, 0130, 0160, 0170, 0180	Unsegregated Article 300(1) of Regulation (EU) No 575/2013 Institutions shall report the collateral that is not held in a bankruptcy-remote manner as defined in Article 300(1) of Regulation (EU) No 575/2013, further broken down into initial margin, variation margin and the SFT security.
0010, 0030, 0050, 0070, 0090, 0110, 0140, 0160	Initial margin Article 4(1), point (140), of Regulation (EU) No 575/2013 Institutions shall report the fair values of collateral received or posted as initial margin (defined in Article 4(1), point (140), of Regulation (EU) No 575/2013).
0020, 0040, 0060, 0080, 0100, 0120, 0150, 0170	Variation margin Institutions shall report the fair values of collateral received or posted as variation margin.
0130, 0180	SFT security Institutions shall report the fair values of collateral appearing as security in SFTs (e.g. the security leg of the SFT that has been received for column 0130, or posted for column 0180).

Rows	Rows
0010 – 0080	Collateral type Breakdown by different collateral types

3.9.10.   C 34.09 - Credit derivatives exposures

3.9.10.1.   Instructions concerning specific positions

Columns	Columns
0010-0040	CREDIT DERIVATIVE PROTECTION Credit derivative protection bought or sold
0010, 0020	NOTIONAL AMOUNTS Sum of the notional derivative amounts before any netting, broken down by product type
0030, 0040	FAIR VALUES Sum of fair values broken down by protection bough and protection sold

Rows	Rows
0010 – 0050	Product type Breakdown of credit derivatives product types
0060	Total Sum of all product types
0070, 0080	Fair values Fair values broken down by product type as well as assets (positive fair values) and liabilities (negative fair values)

3.9.11.   C 34.10 - Exposures to CCPs

3.9.11.1.   General remarks

• 132.Institutions shall report the information on exposures to CCPs, i.e. to contracts and transactions listed in Article 301(1) of Regulation (EU) No 575/2013 for as long as they are outstanding with a CCP and exposures from CCP-related transactions, in accordance with Article 300(2) of that Regulation, for which the own funds requirements are calculated in accordance with Part Three, Title II, Chapter 6, Section 9 of that Regulation.

3.9.11.2.   Instructions concerning specific positions

Columns	Columns
0010	EXPOSURE VALUE Exposure value for transactions in the scope of Part Three, Title II, Chapter 6, Section 9 of Regulation (EU) No 575/2013 calculated in accordance with the relevant methods laid down in that Chapter and in particular in its section 9 The exposure value reported shall be the amount relevant for the own funds requirements calculation in accordance with Part Three, Title II, Chapter 6, Section 9 of Regulation (EU) No 575/2013, considering the requirements in Article 497 of that Regulation during the transitional period provided for in that article. An exposure can be a trade exposure, as defined in Article 4(1), point (91), of Regulation (EU) No 575/2013.
0020	RISK WEIGHTED EXPOSURE AMOUNTS Risk weighted exposure amounts determined in accordance with Part Three, Title II, Chapter 6, Section 9 of Regulation (EU) No 575/2013, considering the requirements in Article 497 of that Regulation during the transitional period provided for by that Article

Rows	Rows
0010-0100	Qualifying CCP (QCCP) A qualifying central counterparty or ‘QCCP’ as defined in Article 4(1), point (88), of Regulation (EU) No 575/2013
0070, 0080 0170, 0180	Initial margin See instructions for template C 34.08. For the purposes of this template, initial margin shall not include contributions to a CCP for mutualised loss-sharing arrangements (i.e. in cases where a CCP uses initial margin to mutualise losses among the clearing members, it shall be treated as a default fund exposure).
0090, 0190	Prefunded default fund contributions Articles 308 and 309 of Regulation (EU) No 575/2013; a default fund as defined in Article 4(1), point (89), of Regulation (EU) No 575/2013; the contribution to the default fund of a CCP that is paid in by the institution
0100, 0200	Unfunded default fund contributions Articles 309 and 310 of Regulation (EU) No 575/2013; a default fund as defined in Article 4(1), point (89), of Regulation (EU) No 575/2013 Institutions shall report contributions that an institution acting as a clearing member has contractually committed to provide to a CCP after the CCP has depleted its default fund to cover the losses it incurred following the default of one or more of its clearing members.
0070, 0170	Segregated See instructions for template C 34.08.
0080, 0180	Unsegregated See instructions for template C 34.08.

3.9.12.   C 34.11 - Risk weighted exposure amounts (RWEA) flow statements of CCR exposures under the IMM

3.9.12.1.   General remarks

• 133.Institutions using the IMM to compute risk weighted exposure amounts for all or part of their CCR exposures in accordance with Part Three, Title II, Chapter 6 of Regulation (EU) No 575/2013, irrespective of the credit risk approach used to determine the corresponding risk weights shall report this template with the flow statement explaining changes in risk weighted exposure amounts of derivatives and SFTs in the IMM scope differentiated by key drivers and based on reasonable estimations.

• 134.Institutions that shall report this template with quarterly frequency shall fill in only column 0010. Institutions that shall report this template with annually frequency shall fill in only column 0020.

• 135.This template excludes risk weighted exposure amounts for exposures to a central counterparty (Part Three, Title II, Chapter 6, Section 9 of Regulation (EU) No 575/2013).

3.9.12.2.   Instructions concerning specific positions

Columns	Columns
0010, 0020	RISK WEIGHTED EXPOSURE AMOUNTS Risk weighted exposure amounts, as defined in Article 92(3) and (4) of Regulation (EU) No 575/2013, for positions whose risk weights are estimated on the basis of the requirements laid down in Part Three, Title II, Chapters 2 and 3 of that Regulation and for which the institution has been permitted to calculate the exposure value using the IMM in accordance with Part Three, Title II, Chapter 6, Section 6 of that Regulation The SME and infrastructure supporting factors laid down in Article 501 and Article 501a of Regulation (EU) No 575/2013 shall be taken into account.

Rows	Rows
0010	Risk weighted exposure amounts as at the end of the previous reporting period Risk weighted exposure amounts for CCR exposures under the IMM as at the end of the previous reporting period
0020	Asset size Risk weighted exposure amount changes (positive or negative) due to changes in book size and composition resulting from the usual business activity (including the origination of new businesses and maturing exposures) but excluding changes in book size due to acquisitions and disposal of entities
0030	Credit quality of counterparties Risk weighted exposure amount changes (positive or negative) due to changes in the assessed quality of the institution’s counterparties as measured under the credit risk framework, whatever approach the institution uses. This row also includes potential Risk weighted exposure amount changes due to IRB models when the institution uses an IRB approach
0040	Model updates (IMM only) Risk weighted exposure amount changes (positive or negative) due to model implementation, changes in model scope, or any changes intended to address model weaknesses This row addresses only changes in the IMM model.
0050	Methodology and policy (IMM only) Risk weighted exposure amount changes (positive or negative) due to methodological changes in calculations driven by regulatory policy changes, such as new regulations (only in the IMM model)
0060	Acquisitions and disposals Risk weighted exposure amount changes (positive or negative) due to changes in book sizes due to acquisitions and disposal of entities
0070	Foreign exchange movements Risk weighted exposure amount changes (positive or negative) due to changes arising from foreign currency translation movements
0080	Other This category shall be used to capture Risk weighted exposure amount changes (positive or negative) that cannot be attributed to the above categories.
0090	Risk weighted exposure amounts as at the end of the current reporting period Risk weighted exposure amounts for CCR exposures under the IMM as at the end of the current reporting period

4. OPERATIONAL RISK TEMPLATES

4.1   C 16.00 – OPERATIONAL RISK (OPR)

4.1.1   General Remarks

• 136.This template provides information on the calculation of own funds requirements in accordance with Articles 312 to 324 of Regulation (EU) No 575/2013 for Operational Risk under the Basic Indicator Approach (BIA), the Standardised Approach (TSA), the Alternative Standardised Approach (ASA) and the Advanced Measurement Approaches (AMA). An institution cannot apply TSA and ASA for the business lines retail banking and commercial banking at the same time at solo level.

• 137.Institutions using the BIA, TSA or ASA shall calculate their own funds requirement, based on the information at financial year-end. Where audited figures are not available, institutions may use business estimates. Where audited figures are used, institutions shall report the audited figures which are expected to remain unchanged. Deviations from this ‘unchanged’ principle are possible, for instance if during that period the exceptional circumstances, such as recent acquisitions or disposals of entities or activities, are met.

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

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

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

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

4.1.2.   Instructions concerning specific positions

4.2.   OPERATIONAL RISK: DETAILED INFORMATION ON LOSSES IN THE LAST YEAR (OPR DETAILS)

4.2.1.   General Remarks

• 142.Template C 17.01 (OPR DETAILS 1) summarises the information on the gross losses and loss recoveries registered by an institution in the last year by event types and business lines. Template C 17.02 (OPR DETAILS 2) provides detailed information on the largest loss events in the most recent year.

• 143.Operational risk losses that are related to credit risk and are subject to own funds requirements for credit risk (boundary credit-related operational risk events) are neither considered in template C 17.01 nor template C 17.02.

• 144.In case of a combined use of different approaches for the calculation of own funds requirements for operational risk in accordance with Article 314 of Regulation (EU) No 575/2013, losses and recoveries registered by an institution shall be reported in C 17.01 and C 17.02, irrespective of the approach applied to calculate own funds requirements.

• 145.‘Gross loss’ means a loss - as referred to in Article 322(3), point (b), of Regulation (EU) No 575/2013 - stemming from an operational risk event or loss event type before recoveries of any kind, without prejudice to ‘rapidly recovered loss events’ as defined below.

• 146.‘Recovery’ means an independent occurrence related to the original operational risk loss that is separate in time, in which funds or inflows of economic benefits are received from first or third parties, such as insurers or other parties. Recoveries are broken down into recoveries from insurance and other risk transfer mechanisms and direct recoveries.

• 147.‘Rapidly recovered loss events’ means operational risk events that lead to losses that are partly or fully recovered within five working days. In case of a rapidly recovered loss event, only the part of the loss that is not fully recovered (i.e. the loss net of the partial rapid recovery) shall be included into the gross loss definition. As a consequence, loss events that lead to losses that are fully recovered within five working days shall not be included into the gross loss definition, and neither into the OPR DETAILS reporting.

• 148.‘Date of accounting’ means the date when a loss or reserve/provision was first recognised in the Profit and Loss statement, against an operational risk loss. Those date logically follow the ‘Date of occurrence’ (i.e. the date when the operational risk event happened or first began) and the ‘Date of discovery’ (i.e. the date on which the institution became aware of the operational risk event).

• 149.Losses caused by a common operational risk event or by multiple events linked to an initial operational risk event generating events or losses (‘root-event’) are grouped. The grouped events shall be considered and reported as one event, and thus the related gross loss amounts, respectively amounts of loss adjustments, shall be summed up.

• 150.The figures reported in June of the respective year shall be interim figures, while the final figures shall be reported in December. Therefore, the figures in June shall have a six-month reference period (i.e. from 1 January to 30 June of the calendar year) while the figures in December shall have a twelve-month reference period (i.e. from 1 January to 31 December of the calendar year). Both for data reported in June and December, ‘previous reporting reference periods’ shall mean all reporting reference periods until and including the one ending at the preceding calendar year end.

4.2.2.   C 17.01: Operational risk losses and recoveries by business lines and loss event types in the last year (OPR DETAILS 1)

4.2.2.1.   General Remarks

• 151.In template C 17.01, the information shall be presented by distributing the losses and recoveries above internal thresholds amongst business lines (as listed in Article 317, Table 2 of Regulation (EU) No 575/2013, including the additional business line ‘corporate items’ referred to in Article 322(3), point (b), of Regulation (EU) No 575/2013) and loss event types (as referred to in in Article 324 of Regulation (EU) No 575/2013). It is possible that the losses corresponding to one loss event are distributed amongst several business lines.

• 152.Columns present the different loss event types and the totals for each business line, together with a memorandum item that shows the lowest internal threshold applied in the data collection of losses, revealing within each business line the lowest and the highest threshold where there is more than one threshold.

• 153.Rows present the business lines, and within each business line, information on the number of loss events (new loss events), the gross loss amount (new loss events), the number of loss events subject to loss adjustments, the loss adjustments relating to previous reporting periods, the maximum single loss, the sum of the five largest losses and the total loss recoveries (direct loss recoveries as well as recoveries from insurance and other risk transfer mechanisms).

• 154.For the total business lines, data on the number of loss events and the gross loss amount shall also be reported for certain ranges based on set thresholds, that is 10,000, 20,000, 100,000, and 1,000,000. The thresholds are set in EUR and are included for comparability purposes of the reported losses among institutions. Those thresholds do therefore not necessarily relate to the minimum loss thresholds used for the internal loss data collection, to be reported in another section of the template.

4.2.2.2.   Instructions concerning specific positions