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)

23.1.   Related parties: amounts payable to and amounts receivable from (31.1)

• 290.For ‘Loan commitments, financial guarantees and other commitments received’, the amounts that shall be reported shall be the sum of the ‘nominal’ of loan and other commitments received and the ‘maximum amount of the guarantee that can be considered’ of financial guarantees received as defined in paragraph 119.

• 291.‘Accumulated impairment and accumulated negative changes in fair value due to credit risk on non-performing exposures’, as determined in paragraphs 69 to 71, in this Part shall be reported for non-performing exposures only. ‘Provisions on non-performing off-balance sheet exposures’ shall include provisions in accordance with paragraphs 11, 106 and 111 of this Part for exposures which are non-performing, as determined in accordance with paragraphs 213 to 239of this Part.

23.2.   Related parties: expenses and income generated by transactions with (31.2)

• 292.‘Gains or losses on derecognition of other than financial assets’ shall include all the gains and losses on derecognition of non-financial assets generated by transactions with related parties. This item shall include the gains and losses on derecognition of non-financial assets, which have been generated by transactions with related parties and that are part of any of the following line items of the ‘Statement of profit or loss’:

• (a) ‘Gains or losses on derecognition of investments in subsidiaries, joint ventures and associates’, where reporting under national GAAP based on BAD;

• (b) ‘Gains or losses on derecognition of non-financial assets’;

• (c) ‘Profit or loss from non-current assets and disposal groups classified as held for sale not qualifying as discontinued operations’;

• (d) ‘Profit or loss after tax from discontinued operations’.

• 293.‘Impairment or (-) reversal of impairment on non-performing exposures’ shall include impairment losses as defined in paragraphs 51 to 53 of this Part for exposures which are non-performing in accordance with paragraphs 213 to 239 of this Part. ‘Provisions or (-) reversal of provisions on non-performing exposures’ shall include provisions as defined in paragraph 50 of this Part for off-balance sheet exposures which are non-performing as referred in paragraphs 213 to 239 of this Part.

24. GROUP STRUCTURE (40)

• 294.Institutions shall provide, as of the reporting date, detailed information on subsidiaries, joint ventures and associates fully or proportionally consolidated within the scope of accounting consolidation as well as entities reported as ‘Investments in subsidiaries, joint ventures and associates’ in accordance with paragraph 4 of this Part, including those entities in which investments are held for sale under IFRS 5. All entities shall be reported, regardless of the activity they perform.

• 295.Equity instruments that do not meet the criteria to be classified as investments in subsidiaries, joint ventures and associates and in own shares of the reporting institution owned by it (‘Treasury shares’) shall be excluded from this template.

24.1.   Group structure: ‘entity-by-entity’ (40.1)

• 296.The following information shall be reported on a ‘entity-by-entity’ basis and the following requirements shall apply for the purposes of Annexes III and IV as well as this Annex:

• (a) ‘Code’ shall be the identification code of the investee. 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;

• (b) ‘Type of code’: institutions shall identify the type of code reported in the column ‘Code’ as a ‘LEI code’ or ‘Non-LEI code’. The type of code shall always be reported;

• (c) ‘National code’: institutions may additionally report the national code when they report LEI code as identifier in the column ‘Code’;

• (d) ‘Entity name’ shall include the name of the investee;

• (e) ‘Entry date’ shall mean the date on which the investee entered within the ‘scope of the group’;

• (f) ‘Share capital of investee’ shall mean the total amount of capital issued by the investee as of the reference date;

• (g) ‘Equity of investee’, ‘Total assets of the Investee’ and ‘Profit or (loss) of the Investee’ shall include the amounts of those items in the last financial statements approved by the investee’s board of directors or similar authorised body;

• (h) ‘Residence of investee’ shall mean the country of residence of the investee;

• (i) ‘Sector of investee’ shall mean the sector of counterparty referred to in paragraph 42 of Part 1 of this Annex;

• (j) the ‘NACE code’ shall be provided on the basis of the principal activity of the investee. For non-financial corporations, NACE codes shall be reported with the first level of disaggregation (by ‘section’). For financial corporations, NACE codes shall be reported with a two level detail (by ‘division’);

• (k) ‘Accumulated equity interest (%)’ shall be the percentage of ownership instruments held by the institution as of the reference date;

• (l) ‘Voting rights (%)’ shall mean the percentage of voting rights associated to the ownership instruments held by the institution as of the reference date;

• (m) ‘Group structure (relationship)’ shall indicate the relationship between the ultimate parent and the investee (parent or entity with joint control of the reporting institution, subsidiary, joint venture or associate);

• (n) ‘Accounting treatment (Accounting Group)’ shall indicate the relationship between the accounting treatment with the accounting scope of consolidation (full consolidation, proportional consolidation, equity method or other);

• (o) ‘Accounting treatment (CRR Group)’ shall indicate the relationship between the accounting treatment and the CRR scope of consolidation (full consolidation, proportional consolidation, equity method or other);

• (p) ‘Carrying amount’ shall mean the amounts reported on the balance sheet of the institution for investees that are neither fully nor proportionally consolidated;

• (q) ‘Acquisition cost’ shall mean the amount paid by investors;

• (r) ‘Goodwill link to the investee’ shall mean the amount of goodwill reported on the consolidated balance sheet of the reporting institution for the investee in the items ‘goodwill’ or ‘investments in subsidiaries, joint ventures and associated’;

• (s) ‘Fair value of the investments for which there are published price quotations’ shall mean the price at the reference date. It shall be provided only where the instruments are quoted.

24.2.   Group structure: ‘instrument-by-instrument’ (40.2)

• 297.The following information shall be reported on an ‘instrument-by-instrument’ basis:

• (a) ‘Security code’ shall include the ISIN code of the security. For securities without ISIN code, it shall include another code that uniquely identifies the security. ‘Security code’ and ‘Holding company/Code’ shall be a composite row identifier, and together shall be unique for each row in template 40.2;

• (b) ‘Holding company/Code’ shall be the identification code of the entity within the group that holds the investment. 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;

• (c) ‘Holding company/Type of code’: institutions shall identify the type of code reported in the column ‘Holding company/Code’ as a ‘LEI code’ or ‘Non-LEI code’. The type of code shall always be reported;

• (d) ‘Holding company/National code’: institutions may additionally report the national code when they report LEI code as identifier in the column ‘Holding company/Code’;

• (e) ‘Investee/Code’, ‘Investee/Type of code’, ‘Accumulated equity interest (%)’, ‘Carrying amount’ and ‘Acquisition cost’ are defined in paragraph 296 of this Part. The amounts shall correspond to the security held by the related holding company.

25. FAIR VALUE (41)

25.1.   Fair value hierarchy: financial instruments at amortised cost (41.1)

• 298.Information on the fair value of financial instruments measured at amortised cost, using the hierarchy in IFRS 13.72, 76, 81, and 86, shall be reported in this template. Where national GAAP under BAD also requires the allocation of assets measured at fair value between different levels of fair value, institutions under national GAAP shall also report this template.

25.2.   Use of fair value option (41.2)

• 299.Information on the use of fair value option for financial assets and liabilities designated at fair value through profit or loss shall be reported in this template.

• 300.‘Hybrid contracts’ shall, for liabilities, include the carrying amount of hybrid financial instruments classified, as a whole, in the accounting portfolio of financial liabilities designated at fair value through profit or loss It shall thus include non-separated hybrid instruments in their entirety.

• 301.‘Managed for credit risk’ shall include the carrying amount of instruments that are designated at fair value through profit or loss at the occasion of their hedging against credit risk by credit derivatives measured at fair value through profit or loss in accordance with IFRS 9.6.7.

26. TANGIBLE AND INTANGIBLE ASSETS: CARRYING AMOUNT BY MEASUREMENT METHOD (42)

• 302.Property, plant and equipment’, ‘Investment property’ and ‘Other intangible assets’ shall be reported by the criteria used in their measurement.

• 303.‘Other intangible assets’ shall include all intangible assets other than goodwill. Software assets shall be reported within ‘Other intangible assets’ or within ‘Property, plant and equipment’ in accordance with the applicable accounting framework.

• 303i.Where the institution assumes the role of a lessee, it shall provide separate information on lease assets (right-of-use assets).

27. PROVISIONS (43)

• 304.This template shall include reconciliation between the carrying amount of the item ‘Provisions’ at the beginning and end of the period by the nature of the movements, except provisions measured under IFRS 9 that shall instead be reported in template 12.

• 305.‘Other commitments and guarantees given measured under IAS 37 and guarantees given measured under IFRS 4’ shall include provisions measured under IAS 37 and the credit losses of financial guarantees treated as insurance contracts under IFRS 4.

28. DEFINED BENEFIT PLANS AND EMPLOYEE BENEFITS (44)

• 306.These templates shall include accumulated information of all defined benefit plans of the institution. Where there is more than one defined benefit plan, aggregated amount of all plans shall be reported.

28.1.   Components of net defined benefit plan assets and liabilities (44.1)

• 307.The template on components of net defined benefit plan assets and liabilities shall show the reconciliation of the accumulated present value of all net defined benefit liabilities (assets) as well as reimbursement rights (IAS 19.140 (a), (b)).

• 308.‘Net defined benefit assets’ shall include, in the event of a surplus, the surplus amounts that shall be recognised in the balance sheet as they are not affected by the limits set up in IAS 19.63. The amount of this item and the amount recognised in the memo item ‘Fair value of any right to reimbursement recognized as asset’ shall be included in the item ‘Other assets’ of the balance sheet.

28.2.   Movements in defined benefit obligations (44.2)

• 309.The template on movements in defined benefit obligations shall show the reconciliation of opening and closing balances of the accumulated present value of all defined benefit obligations of the institution. The effects of the different elements listed in IAS 19.141 during the period shall be presented separately.

• 310.The amount of ‘Closing balance (present value)’ in the template for movements in defined benefit obligations shall be equal to ‘Present value defined benefit obligations’.

28.3.   Staff expenses by type of benefits (44.3)

• 311.For reporting of staff expenses by type of benefits, the following definitions shall be used:

• (a) ‘Pension and similar expenses’ shall include the amount recognised in the period as staff expenses for any post-employment benefit obligations (both defined contribution plans and defined benefit plans), including post-employment-related contributions to social security funds (pension funds) maintained by the government or social security entities;

• (b) ‘Share based payments’ shall include the amount recognised in the reference period as staff expenses for share based payments;

• (c) ‘Wages and salaries’ shall include the remuneration of the institution’s employees for their labour or services, but shall exclude severance payments and remuneration in the form of share-based items which shall be reported in separate items;

• (d) ‘Social security contributions’ shall include contributions to social security funds, amounts paid to the government or to social security entities in order to receive a future social benefit, but shall exclude post-employment-related contributions to social security funds in terms of pensions (contributions to pension funds);

• (e) ‘Severance payments’ shall mean payments relating to the early termination of a contract and shall include termination benefits as defined in IAS 19.8;

• (f) ‘Other types of staff expenses’ shall include staff expenses that cannot be allocated to any of the categories above.

28.4.   Staff expenses by category of remuneration and category of staff (44.4)

• 311i.For reporting of staff expenses by category of remuneration and category of staff, the following definitions shall be used:

• (a) ‘Fixed remuneration’, ‘variable remuneration’, ‘identified staff’ and ‘management body in its management function’ shall have the same meaning as in the EBA Guidelines ‘on sound remuneration policies under Articles 74(3) and 75(2) of Directive 2013/36/EU and disclosures under Article 450 of Regulation (EU) No 575/2013’ (EBA/GL/2015/22);

• (b) ‘Management body’, ‘management body in its supervisory function’ and ‘senior management’ shall comprise staff as defined in points (7), (8) and (9) of Article 3(1) CRD.

• 311ii.‘Number of staff’ shall include, as of the reporting reference date, the number of staff, expressed in full time equivalents (FTEs), plus the number of members in the management body expressed in terms of headcount for prudential (CRR) scope of consolidation. Of those, the number of identified staff, and the number of representatives in the management body in its management function and in senior management, as well as the number of representatives in the management body in its supervisory function shall be reported separately.

29. BREAKDOWN OF SELECTED ITEMS OF STATEMENT OF PROFIT OR LOSS (45)

29.1.   Gains or losses on financial assets and liabilities designated at fair value through profit or loss by accounting portfolio (45.1)

• 312.‘Financial liabilities designated at fair value through profit or loss’ shall only include the gains and losses due to the change in the own credit risk of issuers of liabilities designated at fair value through profit or loss where the reporting institution has chosen to recognise them in profit or loss because a recognition in other comprehensive income would create or enlarge an accounting mismatch.

29.2.   Gains or losses on derecognition of non-financial assets (45.2)

• 313.‘Gains or losses on derecognition of non-financial assets’ shall be broken down by type of asset. Each line item shall include the gain or the loss on the asset that has been derecognised. ‘Other assets’ shall include other tangible assets, intangible assets and investments not reported elsewhere.

29.3.   Other operating income and expenses (45.3)

• 314.Other operating income and expenses shall be broken down according to the following items: fair value adjustments on tangible assets measured using the fair value model; rental income and direct operating expenses from investment property; income and expenses on operating leases other than investment property and the rest of operating income and expenses.

• 315.‘Operating leases other than investment property’ shall include, for the column ‘income’ the returns obtained, and for the column ‘expenses’ the costs incurred, by the institution as lessor in its operating leasing activities other than those with assets classified as investment property. The costs for the institution as lessee shall be included in the item ‘Other administrative expenses’.

• 316.Gains or losses from derecognition and re-measurements of holdings of gold, other precious metals and other commodities measured at fair value, less costs to sell, shall be reported among the items included in ‘Other operating income. Other’ or ‘Other operating expenses. Other’

30. STATEMENT OF CHANGES IN EQUITY (46)

• 317.The statement of changes in equity shall disclose the reconciliation between the carrying amount at the beginning of the period (opening balance) and the end of the period (closing balance) for each component of equity.

• 318.‘Transfers among components of equity’ shall include all amounts transferred within equity, including both gains and losses due to own-credit risk of liabilities designated at fair value through profit or loss and the accumulated fair value changes of equity instruments measured at fair value through other comprehensive income that are transferred to other components of equity upon derecognition.

31. LOANS AND ADVANCES: ADDITIONAL INFORMATION (23)

• 319.Template 23 presents additional information on loans and advances, excluding loans and advances classified as cash balances at central banks and other demand deposits, held for trading, trading financial assets and debt instruments held for sale.

• 320.For the purposes of determining the ‘number of instruments’, an instrument shall be understood as a banking product with an outstanding balance and, where applicable, a credit limit, typically being associated with an account. An exposure towards a specific counterparty can consist of multiple instruments. The number of instruments shall be determined based on the way the institution manages the exposure. The number of instruments shall be indicated separately for exposures in pre-litigation status and exposures in litigation status as defined in paragraphs 321 and 322 of this Part.

• 321.An exposure shall be ‘in pre-litigation status’ where the debtor has been formally notified that the institution will take legal action against the debtor within a defined time period, unless certain contractual or other payment obligations are met. That shall also include cases where the contract has been terminated by the reporting institution because the debtor is in formal breach of the terms and conditions of the contract and the debtor has been notified accordingly, but no legal action against the debtor has formally been taken by the institution yet. Exposures classified as ‘in pre-litigation status’ can exit this classification if the outstanding amounts are paid or if they enter into litigation status as defined in the following paragraph.

• 322.An exposure shall be ‘in litigation status’ where legal action against the debtor has formally been taken. This comprises cases where a court of law confirmed that formal judiciary proceedings have occurred or the judiciary system has been notified of the intention to commence legal proceedings.

• 323.‘Unsecured loans and advances without guarantees’ refers to exposures for which neither collateral was pledged nor financial guarantees were received; the unsecured part of a partially secured or partially guaranteed exposure shall not be included.

• 324.Loans and advances with an accumulated coverage ratio of more than 90 % shall be reported separately. For that purpose, the ‘accumulated coverage ratio’ shall be the ratio between the accumulated impairments, respectively the accumulated negative changes in fair value due to credit risk related to a loan or advance as numerator, and the gross carrying amount of that loan or advance as denominator.

• 325.Loans collateralised by immovable property as defined in paragraphs 86(a) and 87 of this Part as well as commercial real estate loans as defined in paragraph 239ix of this Part shall be reported broken down by loan/collateral ratio (‘loan-to-value’ (LTV) ratio) as defined in paragraph 239x of this Part.

• 326.Information on collateral held and guarantees received on the loans and advances shall be reported in accordance with paragraph 239 of this Part. Consequently, the sum of the amounts reported for both collateral and guarantees shall be capped at the carrying amount of the related exposure. Immovable property pledged as collateral shall be reported separately in addition.

• 327.By way of derogation from the previous paragraph, ‘collateral received on loans and advances – uncapped amounts’ shall reflect the full value of the collateral received without a cap at the carrying amount of the related exposure.

32. LOANS AND ADVANCES: FLOWS OF NON PERFORMING EXPOSURES, IMPAIRMENTS AND WRITE OFFS SINCE THE END OF THE LAST FINANCIAL YEAR (24)

32.1.   Loans and advances: Inflows and outflows of non-performing exposures (24.1)

• 328.Template 24.1 shall provide a reconciliation of the opening and closing balances of the stock of loans and advances, excluding loans and advances classified as cash balances at central banks and other demand deposits, trading financial assets, held for trading or as held for sale, that are classified as non-performing in accordance with paragraphs 213 to 239 or 260 of this Part and reported in template 18. Inflows and outflows of non-performing loans and advances shall be broken down by type of inflow or outflow.

• 329.Inflows to the category of non-performing exposures shall be reported in accordance with paragraphs 239ii to 239iii and 239vi of this Part, with the exception of inflows to the category ‘held for sale’, which are outside the scope of this template. Inflows shall be broken down by type (source) of inflow. In this context:

• (a) ‘Inflow due to accrued interest’ shall represent interest accrued on non-performing loans and advances that have not been included in any of the other categories of the breakdown by type (source); in this regard, this inflow captures the interest accrued on non-performing loans and advances that were classified as non-performing at the end of the preceding financial year and have been continuously classified as such ever since; interest accrued on exposures that were classified as non-performing in accordance with paragraphs 213 to 239 or 260 of this Part only during the period shall be reported together with the inflow itself in the corresponding type (source) category;

• (b) ‘of which: reclassified from performing forborne exposures under probation previously reclassified from non-performing’ shall include ‘performing forborne exposures under probation reclassified from non-performing’, as defined in paragraph 261 of this Part, that were reclassified again as non-performing in accordance with paragraphs 213 to 239 or 260 of this Part during the period;

• (c) ‘Inflow due to other reasons’ shall capture inflows that cannot be linked to any of the other, specified sources of inflows and shall include, among others, increases in the gross carrying amount of non-performing exposures due to additional amounts disbursed during the period, the capitalisation of past due amounts including capitalised fees and expenses and changes in exchange rates related to non-performing loans and advances that were classified as non-performing at the end of the preceding financial year and have been continuously classified as such ever since.

• 330.The following exposures shall be reported in separate rows:

• (a) ‘Inflow more than once’ shall comprise loans and advances that were reclassified multiple times from non-performing to performing or vice versa during the period;

• (b) ‘Inflow of exposures granted in the past 24 months’ shall represent loans and advances that were granted in the 24 months prior to the reference date and that were classified as non-performing in accordance paragraphs 213 to 239 or 260 of this Part during the period. Of these exposures, those granted during the period shall be reported separately in addition.

• 331.Outflows from the category of non-performing exposures shall be reported in accordance with paragraphs 239iii to 239vi of this Part, and be broken down by type (reason) of the outflow. In this context, ‘outflow due to write-offs’ shall reflect the amount of write-offs made during the period that cannot be linked to any of the other specified outflow types and shall include also write-offs related to the total extinguishment of all the reporting institution’s rights by expiry of the statue-of-limitations period, forgiveness or other causes occurred during the period.

• 332.In those cases where an exposure is partially derecognised and the remaining part is reclassified as performing, the outflow pertaining to the reclassification and the outflow pertaining to the derecognition shall be reported as separate outflows. For outflows due to collateral liquidations, sale of exposures, risk transfers and taking possession of collateral, the net cumulated recoveries obtained shall be reported. If, at the moment of collateral liquidations, sale of exposures, risk transfers and taking possession of collateral, a write-off was made, that amount shall be reported as a part of the related outflow type.

• 333.‘Net cumulated recoveries’ shall mean (i) the amount of cash or cash equivalents collected, net of related costs, in the context of collateral liquidations, of the sale of exposures and of risk transfers, respectively (ii) the value at initial recognition as defined in paragraph 175i of this Part of the collateral obtained in the context of outflows due to taking possession of collateral.

• 334.The outflow pertaining to loans and advances that became non-performing during the period and afterwards ceased to meet the criteria for being classified as non-performing shall be reported separately.

32.2.   Loans and advances: Flow of impairments and accumulated negative changes in fair value due to credit risk on non-performing exposures (24.2)

• 335.Template 24.2 shall contain a reconciliation of the opening and closing balances of the allowance accounts and the stock of accumulated negative changes in fair value due to credit risk pertaining to loans and advances that are or were classified as non-performing in accordance with paragraphs 213 to 239 or 260 of this Part, excluding loans and advances classified as cash balances at central banks and other demand deposits or as held for sale.

• 336.‘Increases during the period’ shall comprise:

• (a) the stock, as of the reference date, of accumulated impairments and accumulated negative changes in fair value due to credit risk pertaining to loans and advances that became non-performing during the period and are still classified as non-performing at the reporting reference date;

• (b) the stock, as of the derecognition date, of accumulated impairments and accumulated negative changes in fair value due to credit risk pertaining to loans and advances that became non-performing during the period and were derecognised during the period; and

• (c) the increase of accumulated impairments and accumulated negative changes in fair value due to credit risk pertaining to loans and advances that were classified as non-performing at the end of the preceding financial year and are either still classified as such at the reporting reference date or were derecognised during the period.

• 337.The part of the increase attributable to impairments and accumulated negative changes in fair value booked against interest accrued shall be reported separately in addition.

• 338.‘Decreases during the period’ shall comprise:

• (a) the stock, as of derecognition date, of accumulated impairments and accumulated negative changes in fair value due to credit risk pertaining to loans and advances that ceased to be non-performing during the period and exited the institution’s portfolio during the period;

• (b) the stock, as of the reference date, of accumulated impairments and accumulated negative changes in fair value due to credit risk pertaining to loans and advances that ceased to be non-performing during the period and are still not classified as non-performing at the reference date;

• (c) the stock, as of the reference date, of accumulated impairments and accumulated negative changes in fair value due to credit risk pertaining to loans and advances that were reclassified as ‘held for sale’ during the period; and

• (d) the decrease of accumulated impairments and accumulated negative changes in fair value due to credit risk pertaining to loans and advances that were classified as non-performing at the end of the preceding financial year and are still classified as such at the reporting reference date.

• 339.The following items shall be reported separately:

• (a) the decrease attributable to the reversal of allowances and the reversal of negative changes in fair value due to credit risk;

• (b) the decrease attributable to the ‘unwinding’ of discounts in the context of application of effective interest rate’s accounting method.

32.3.   Loans and advances: Write-offs of non-performing exposures during the period (24.3)

• 340.Template 24.3 shall be used to report the write-offs as defined in paragraph 74 of this Part to the extent that they (i) were made during the period (inflows) and (ii) refer to loans and advances classified as non-performing in accordance with paragraphs 213 to 239 or 260 of this Part during the period, excluding loans and advances classified as held for trading, trading financial assets or held for sale. Both partial and total write-offs shall be reported. Of these write-offs, those attributable to the forfeiture of the right to legally recover an exposure, or part of it, shall be reported separately.

33. COLLATERAL OBTAINED BY TAKING POSSESSION AND EXECUTION PROCESSES (25)

• 341.‘Collateral obtained by taking possession’ shall include both assets that were pledged by the debtor as collateral and assets that were not pledged by the debtor as collateral, but were obtained in exchange for the cancellation of debt, whether on a voluntary basis or as part of legal proceedings.

33.1.   Collateral obtained by taking possession other than collateral classified as Property Plant and Equipment (PP&E): inflows and outflows (25.1)

• 342.Template 25.1 shall be used to present the reconciliation of the opening balance, as of the beginning of the financial year, and the closing balance of the stock of collateral obtained by taking possession, other than collateral classified as property, plant and equipment (PP&E). In addition, the template shall provide information on the related ‘debt balance reduction’ and the value at initial recognition of collateral obtained by taking possession.

• 343.‘Debt balance reduction’ shall mean the gross carrying amount of the exposure that was derecognised from the balance sheet in exchange for the collateral obtained by taking possession, at the exact moment of the exchange, and the related impairments and negative changes in fair value due to credit risk accumulated at that point in time. Where, at the moment of exchange, a write-off was made, that amount shall be considered part of the debt balance reduction as well. Derecognitions from the balance sheet due to other reasons, such as cash collections, shall not be reported.

• 344.‘Value at initial recognition’ shall have the same meaning as described in paragraph 175i of this Part.

• 345.With regard to the ‘inflows during the period’:

• a) the collateral obtained by taking possession shall include: (i) new collateral obtained by taking possession during the period (since the beginning of the financial year), irrespective of whether the collateral is still recognised in the institution’s balance sheet (held) at the reference date or not and (ii) positive changes in valuation of collateral during the period due to different reasons (such as positive changes in fair value, appreciation, reversal of impairment, changes of accounting policies). These types of inflows shall be reported separately in addition.

• b) the ‘debt balance reduction’ shall reflect the debt balance reduction of the exposure derecognised related to the collateral that was obtained during the period.

• 346.With regard to the ‘outflows during the period’:

• a) the collateral obtained by taking possession shall include: (i) collateral sold for cash during the period; (ii) collateral sold with replacement by financial instruments during the period; and (iii) negative changes in valuation of collateral during the period due to different reasons (such as negative changes in fair value, depreciation, impairment, write-off, changes of accounting policies). Those types of outflows shall be reported separately. Where collateral is derecognised in exchange for both cash and financial instruments, the relevant amounts shall be split and allocated to the two outflow types. ‘Collateral sold with replacement by financial instruments’ shall describe cases where the collateral is sold to a counterparty, and the acquisition by that counterparty is financed by the reporting institution.

• b) the ‘debt balance reduction’ shall reflect the debt balance reduction of the exposure related to cases where the collateral was sold for cash or replaced by financial instruments during the period.

• 347.In case of a sale of collateral for cash, the ‘Outflow for which cash was collected’ shall be equal to the sum of ‘Cash collected net of costs’ and ‘Profits/(-) losses from sale of collateral obtained by taking possession’. ‘Cash collected net of costs’ shall mean the amount of cash received net of transaction costs, such as fees and commissions paid to agents, transfer taxes and duties. ‘Profits/(-) losses from sale of collateral obtained by taking possession’ shall mean the difference between the carrying amount of the collateral measured at the date of derecognition and the amount of cash received net of transaction costs. In case of replacement of collateral with financial instruments as described in paragraph 346 of this Part, the carrying amount of the financing granted shall be reported.

• 348.Collateral obtained by taking possession shall be reported broken down by ‘time passed since the collateral has been recognised in the institution’s balance sheet.

• 349.In the context of the presentation of collateral obtained bytime passed since recognition in the balance sheet, the ‘ageing’ of collateral on the balance sheet, i.e. the migration between the predefined time buckets, shall be reported neither as inflow nor as outflow.

33.2.   Collateral obtained by taking possession other than collateral classified as Property Plant and Equipment (PP&E) – Type of collateral obtained (25.2)

• 350.Template 25.2 shall include a breakdown of the collateral obtained by taking possession as defined in paragraphs 341 of this Part, by type of collateral obtained. The template reflects collateral recognised in the balance sheet at the reference date, irrespective of the point in time when it was obtained. In addition, the template provides information on the related ‘debt balance reduction’ and ‘value at initial recognition’ as defined in paragraphs 343 and 344 of this Part and on the number of collateral obtained by taking possession and recognised in the balance sheet at the reference date. The number of collateral obtained by taking possession shall be calculated regardless of the carrying amount of the collateral and it can be one or more than one for each exposure derecognized from the balance sheet in exchange for the collateral obtained by taking possession.

• 351.The type of collateral shall be the ones referred to in paragraph 173 of this Part with the exception of those in point (b) (i) of that paragraph.

• 352.With regard to collateral in the form of immovable property, the following information shall be reported in separate rows:

• (a) immovable property that is under construction or development;

• (b) with regard to commercial immovable property, collateral in the form of land related to commercial real estate corporations, excluding agricultural land. Separate information on land with and without a planning permission shall be reported in addition.

33.3.   Collateral obtained by taking possession classified as Property Plant and Equipment (PP&E) (25.3)

• 353.In template 25.3, information on collateral obtained by taking possession classified as Property Plant and Equipment (PP&E) shall be reported. In addition, the template shall provide information on the related ‘debt balance reduction’ and ‘value at initial recognition’ as defined in paragraphs 343 and 344 of this Part.

• 354.Information shall be provided on the stock of collateral as of the reference date, irrespective of the point in time it was obtained, and the inflows due to new collateral obtained by taking possession during the period between the beginning and the end of the reference period and that remains recognised in the balance sheet at the reference date. With regard to the ‘debt balance reduction’, the ‘total’ shall reflect the debt balance reduction related to the collateral as of the reference date and the ‘inflows due to new collateral obtained by taking possession’ shall reflect the debt balance reduction related to the collateral that was obtained during the period.

34. FORBEARANCE MANAGEMENT AND QUALITY OF FORBEARANCE (26)

• 355.Template 26 shall include detailed information on loans and advances classified as forborne in accordance with paragraphs 240 to 268 of this Part, excluding instruments classified as cash balances at central banks and other demand deposits or as held for sale. Forborne exposures referring to either a modification of the previous terms and conditions or a total or partial refinancing of a troubled debt contract as defined in paragraph 241 of this Part shall be broken-down in more specific types of forbearance measures.

• 356.The ‘Number of instruments’ shall be determined as defined in paragraph 320of this Part.

• 357.The gross carrying amount of exposures with forbearance measures shall be allocated to a category reflecting the type of forbearance measure. Where multiple forbearance measures have been applied to an exposure, the gross carrying amount of exposures with forbearance measures shall be allocated to the most relevant type of forbearance measure. The latter shall be identified based on the type of forbearance measure which has the highest impact on the Net Present Value (NPV) of the forborne exposure or by using any other methods considered applicable.

• 358.The types of forbearance measures shall be the following:

• (a) grace period/payment moratorium: temporary suspension of repayment obligations with regard to the principal or the interest, with repayments to be resumed at a later point in time;

• (b) interest rate reduction: permanent or temporary reduction of the interest rate (fixed or variable) to a fair and sustainable rate;

• (c) extension of maturity/term: extension of the maturity of the exposure, entailing a reduction in instalment amounts by spreading the repayments over a longer period;

• (d) rescheduled payments: adjustment of the contractual repayment schedule with or without changes to instalment amounts, other than grace periods/payment moratorium, extension of maturity/term and debt forgiveness. That category shall include, among others, capitalisation of arrears and/or accrued interest arrears to the outstanding principal balance for repayment under a sustainable, rescheduled programme; decrease of the amount of principal repayment instalments over a defined period, regardless of whether interests remain to be paid in full or whether they are capitalised or forfeited;

• (e) debt forgiveness: partial cancellation of the exposure by the reporting institution through forfeiture of right to legally recover it;

• (f) debt asset swaps: partial replacement of exposures in the form of debt instruments with assets or equity;

• (g) other forbearance measures, including among others, total or partial refinancing of a troubled debt contract.

• 359.Where the forbearance measure affects the gross carrying amount of an exposure, the gross carrying amount at the reference date, i.e. after application of the forbearance measure, shall be reported. In the case of refinancing, the gross carrying amount of the new contract (‘refinancing debt’) granted which qualifies as a forbearance measure, as well as the gross carrying amount of the old re-paid contract that is still outstanding shall be reported.

• 360.The following items shall be reported in separate rows:

• (a) Instruments that were subject to forbearance measures at multiple points in time, where:
• (i) ‘Loans and advances having been forborne “twice” and ‘more than twice’ shall mean exposures classified as forborne in accordance with paragraphs 240 to 268 of this Part at the reporting reference date, to which forbearance measures have been applied at two, respectively more than two different points in time. That includes, among others, originally forborne exposures that exited the forborne status (cured forborne exposures), but were granted new forbearance measures after that;
• (ii) ‘Loans and advances to which forbearance measures were granted in addition to already existing forbearance measures’ shall mean forborne exposures under probation to which forbearance measures were applied in addition to forbearance measures granted at an earlier point in time, without the exposure having cured in between.

• (b) Non-performing forborne exposures that failed to meet the non-performing exit criteria. That shall comprise non-performing forborne exposures that failed to meet the conditions for ceasing to be non-performing as described in paragraph 232 of this Part at the end of the probation period of 1 year specified in paragraph 231 (b) of this Part.

• 361.Exposures to which forbearance measures have been granted since the end of the last financial year shall be reported in separate columns.

35. LOANS AND ADVANCES: AVERAGE DURATION AND RECOVERY PERIODS (47)

• 362.The information provided in template 47 shall refer to loans and advances, excluding loans and advances classified as cash balances at central banks and other demand deposits, held for trading, trading financial assets or held for sale.

• 363.The ‘weighted average time since past due date (in years)’ shall be calculated as the weighted average of the number of days past due of exposures classified as non-performing in accordance with paragraphs 213 to 239 or 260 of this Part at the reference date. Non-performing exposures that are not past due shall be considered as being zero days past due in this calculation. Exposures shall be weighted by the gross carrying amount measured at the reference date. The weighted average time since past due date shall be expressed in years (with decimals).

• 364.The following information on the results of litigation procedures on non-performing loans and advances concluded during the period shall be reported:

• (a) Net cumulated recoveries: This item shall include recoveries resulting from in-court procedures. Recoveries stemming from voluntary agreements shall not be included.

• (b) Gross carrying amount reduction: This item shall include the gross-carrying amount of non-performing loans and advances derecognised in response to the conclusion of a litigation procedure. This includes related write-offs.

• (c) Average duration of litigation procedures concluded in the period: shall be calculated as the average of the elapsed time between the date of classification of the instrument as ‘in litigation status’ in accordance with paragraph 322 of this Part and the date of the finalisation of legal proceedings; it shall be expressed in years (with decimals).

PART 3

MAPPING OF EXPOSURE CLASSES AND COUNTERPARTY SECTORS

• 1.Tables 2 and 3 map exposure classes to be used to calculate capital requirements in accordance with CRR to counterparty sectors used in FINREP tables.

Table 2

Standardised Approach

SA exposure classes (CRR Article 112)	FINREP counterparty sectors	Comments
(a) Central governments or central banks	(1) Central banks (2) General governments	These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty
(b) Regional governments or local authorities	(2) General governments	These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty
(c) Public sector entities	(2) General governments (3) Credit institutions (4) Other financial corporations (5) Non-financial corporations.	These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty
(d) Multilateral development banks	(3) Credit institutions	These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty
(e) International organisations	(2) General governments	These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty
(f) Institutions (i.e. credit institutions and investment firms)	(3) Credit institutions (4) Other financial corporations	These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty
(g) Corporates	(2) General governments (4) Other financial corporations (5) Non-financial corporations. (6) Households	These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty
(h) Retail	(4) Other financial corporations (5) Non-financial corporations (6) Households	These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty
(i) Secured by mortgages on immovable property	(2) General governments (3) Credit institutions (4) Other financial corporations (5) Non-financial corporations (6) Households	These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty.
(j) In default	(1) Central banks (2) General governments (3) Credit institutions (4) Other financial corporations (5) Non-financial corporations (6) Households	These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty.
(ja) Items associated with particularly high risk	(1) Central banks (2) General governments (3) Credit institutions (4) Other financial corporations (5) Non-financial corporations (6) Households	These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty.
(k) Covered bonds	(3) Credit institutions (4) Other financial corporations (5) Non-financial corporations	These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty.
(l) Securitisation positions	(2) General governments (3) Credit institutions (4) Other financial corporations (5) Non-financial corporations (6) Households	These exposures shall be assigned to FINREP counterparty sectors according to the underlying risk of the securitisation. In FINREP, where securitized positions remain recognised in the balance sheet, the counterparty sectors shall be the sectors of the immediate counterparties of these positions.
(m) Institutions and corporates with a short-term credit assessment	(3) Credit institutions (4) Other financial corporations (5) Non-financial corporations	These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty.
(n) Collective investment undertakings	Equity instruments	Investments in CIU shall be classified as equity instruments in FINREP, regardless of whether the CRR allows look-through.
(o) Equity	Equity instruments	In FINREP, equities shall be separated as instruments under different categories of financial assets
(p) Other items	Various items of the balance sheet	In FINREP, other items may be included under different asset categories.

Table 3

Internal Ratings Based Approach

IRBA exposure classes (CRR Article 147)	FINREP counterparty sectors	Comments
(a) Central governments and central banks	(1) Central banks (2) General governments (3) Credit institutions	These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty
(b) Institutions (i.e. credit institution and investment firms as well as some general governments and multilateral banks)	(2) General governments (3) Credit institutions (4) Other financial corporations	These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty
(c) Corporates	(2) General governments (4) Other financial corporations (5) Non-financial corporations (6) Households	These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty
(d) Retail	(4) Other financial corporations (5) Non-financial corporations (6) Households	These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty
(e) Equity	Equity instruments	In FINREP, equities shall be separated as instruments under different categories of financial assets
(f) Securitisation positions	(2) General governments (3) Credit institutions (4) Other financial corporations (5) Non-financial corporations (6) Households	These exposures shall be assigned to FINREP counterparty sectors according to the underlying risk of the securitisation positions. In FINREP, where securitized positions remain recognised in the balance sheet, the counterparty sectors shall be the sectors of the immediate counterparties of these positions
(g) Other non credit obligations	Various items of the balance sheet	In FINREP, other items may be included under different asset categories.

ANNEX VI

REPORTING ON LOSSES STEMMING FROM LENDING COLLATERALISED BY IMMOVABLE PROPERTY

IP LOSSES TEMPLATES	IP LOSSES TEMPLATES	IP LOSSES TEMPLATES	IP LOSSES TEMPLATES
Template number	Template code	Name of the template /group of templates	Short name
		IP LOSSES	LE
15	C 15.00	Exposures and losses from lending collateralised by immovable property	CR IP LOSSES

C 15.00 — EXPOSURES AND LOSSES FROM LENDING COLLATERALISED BY IMMOVABLE PROPERTY (CR IP LOSSES)

Country:

		Losses	Losses	Losses	Losses	Exposures
		Sum of losses stemming from lending up to the reference percentages	Sum of losses stemming from lending up to the reference percentages	Sum of overall losses	Sum of overall losses	Sum of the exposures
			of which: immovable property valued with mortgage lending value		of which: immovable property valued with mortgage lending value	Sum of the exposures
Row	column	0010	0020	0030	0040	050
Row	collateralised by:
0010	Residential property
0020	Commercial immovable property

ANNEX VII

INSTRUCTIONS FOR REPORTING ON LOSSES STEMMING FROM LENDING COLLATERALISED BY IMMOVABLE PROPERTY

• 1.This Annex contains instructions in relation to the templates included in Annex VI to this Regulation.

• 2.All the general instructions included in Part I of Annex II to this Regulation shall also apply.

1. Reporting scope

• 3.Institutions that use immovable property in accordance with Part Three, Title II of CRR shall report the data specified in Article 430a(1) CRR.

• 4.The template covers all national markets an institution/group of institutions is exposed to (see Article 430a(1) CRR). In accordance with the third sentence of Article 430a(2) the data shall be reported for each property market within the Union separately.

2. Definitions

• 5.‘Loss’ shall mean the loss defined in point (2) of Article 5 CRR, including losses stemming from leased property. The recovery flows stemming from other sources (e.g. bank guarantees, life insurance, etc.) shall not be recognised as reducing the losses when calculating losses stemming from immovable property. Losses of one position shall not be netted with the profit of a successful recovery of another position.

• 6.For exposures secured by residential and commercial property the calculation of economic loss shall start from outstanding exposure value at the reporting date and shall include at least: (i) proceeds from collateral realisation; (ii) direct costs (including interest rates payments and recovery costs linked to the liquidation of the collateral); and (iii) indirect costs (including operating costs of the recovery unit). All components shall be discounted to the reporting reference date.

• 7.The exposure value shall be determined in accordance with the rules stipulated in Title II of Part Three CRR (see Chapter 2 for institutions using the standardised approach, and Chapter 3 for institutions using the IRB approach).

• 8.The property value shall be determined in accordance with the rules stipulated in Title II of Part Three CRR.

• 9.F/X effect: Amounts shall be converted to the reporting currency using the exchange rate at the reporting date. Moreover, the estimates of the economic losses should consider the F/X effect if the exposure or collateral is denominated in a different currency.

3. Geographical breakdown

• 10.Institutions shall report the following templates:

• a) one total template;

• b) one template for each national market in the Union the institution is exposed to, and;

• c) one template aggregating the data for all national markets outside the Union the institution is exposed to.

4. Reporting of exposures and losses

• 11.Exposures: All exposures that are subject to requirements in Title II of Part Three CRR and where the collateral is used to reduce the risk-weighted exposure amount shall be reported in template C 15.00. This also means that the exposures and losses concerned must not reported if the risk mitigation effect of the immovable property is only used for internal purposes (i.e. under Pillar 2) or for large exposures (see Part Four CRR).

• 12.Losses: The institution which has the exposure by the end of the reporting period shall report the losses. Losses shall be reported as soon as provisions are to be booked in accordance with accounting rules. The estimated losses shall also be reported. Losses from exposures collateralised by immovable property shall be calculated on a loan-by-loan basis and aggregated for reporting purposes.

• 13.Reference date: The exposure value at default shall be used.

• a) Losses shall be reported for all defaults on loans secured by real estate property that occur during the reporting period and irrespective of whether the recovery has been completed. Losses to be reported as of 31 December shall refer to the whole calendar year. Since there may be a long time lag between default and the recognition of losses (which includes incomplete recovery process), loss estimates shall be reported in cases where the recovery has not been completed within the reporting period.

• b) For all defaults observed within the reporting period, there are three scenarios: (i) defaulted loan can be restructured so that it is no longer treated as in default (no loss observed); (ii) realization of all collateral is completed (completed recovery, actual loss known); or (iii) incomplete recovery (loss estimates to be used). Loss reporting shall include only losses stemming from scenario (ii) realisation of collateral (observed losses) and scenario (iii) incomplete recovery (estimates of losses).

• c) As losses shall be reported only for exposures having defaulted during the reporting period, changes to losses of exposures having defaulted during previous reporting periods will not be reflected in the reported data, i.e. proceeds from the realisation of the collateral at a later reporting period or lower realised costs than previously estimated shall not be reported.

• 14.Role of the valuation of the property: The latest valuation of the property before the default date of the exposure is needed as reference for reporting the part of exposure secured by mortgages on immovable property. After default, the property might be re-valued. This new value should however not be relevant for identifying the part of the exposure which was originally fully (and completely) secured by the mortgages on immovable property. However, the new value of the property shall be considered in economic loss reporting (a reduced property value is part of economic costs). In other words, the latest valuation of the property before the default date shall be used to determine which part of the loss shall be reported in column 0010 (identification of exposure values which is fully and completely secured) and the re-valued property value for the amount to be reported (estimation of a possible recovery from collateral) in columns 0010 and 0030.

• 15.Treatment of loan sales during the reporting period: The institution which has the exposure by the end of the reporting period shall report losses, but only if a default for that exposure was identified.

5. Instructions concerning specific positions

Columns	Columns
0010	Sum of losses stemming from lending up to the reference percentages Points (a) and (d) of Article 430a(1) CRR respectively, Market value and mortgage lending value in accordance with points (74) and (76) of Article 4(1) CRR This column collects all losses stemming from lending collateralised by residential property or by commercial immovable property up to the part of exposure treated as fully and completely secured in accordance with Article 124(1) CRR.
0020	Of which: immovable property valued with mortgage lending value Reporting of those losses, where the value of the collateral has been calculated as mortgage lending value.
0030	Sum of overall losses Points (b) and (e) of Article 430a(1) CRR respectively; market value and mortgage lending value in accordance with points (74) and (76) of Article 4(1) CRR This column collects all losses stemming from lending collateralised by residential property or by commercial immovable property up to the part of exposure treated as fully secured in accordance with Article 124(1) CRR.
0040	Of which: immovable property valued with mortgage lending value Institutions shall report losses, where the value of the collateral has been calculated as mortgage lending value
0050	Sum of the exposures Points (c) and (f) of Article 430a(1) CRR The value to be reported is only that part of the exposure value which is treated as fully secured by immovable property, i.e. the part that is treated as unsecured is not relevant for the loss reporting. In the event of default, the reported exposure value shall be the exposure value just before the default.
---	---
Rows	Rows
0010	Residential property Residential property as defined in point (75) of Article 4(1) CRR
0020	Commercial immovable property

ANNEX VIII

TEMPLATES FOR REPORTING LARGE EXPOSURES AND CONCENTRATION RISK

LARGE EXPOSURES TEMPLATES	LARGE EXPOSURES TEMPLATES	LARGE EXPOSURES TEMPLATES	LARGE EXPOSURES TEMPLATES
Template number	Template code	Name of the template /group of templates	Short name
		LARGE EXPOSURES	LE
26	C 26.00	Large Exposures limits	LE LIMITS
27	C 27.00	Identification of the counterparty	LE 1
28	C 28.00	Exposures in the non-trading and trading book	LE 2
29	C 29.00	Detail of the exposures to individual clients within groups of connected clients	LE 3

C 26.00 — Large Exposures limits (LE Limits)

		Applicable limit
		010
010	Non institutions
020	Institutions
030	Institutions in %
040	Globally Systemic Important Institutions (G-SIIs)

C 27.00 — Identification of the counterparty (LE 1)

COUNTERPARTY IDENTIFICATION	COUNTERPARTY IDENTIFICATION	COUNTERPARTY IDENTIFICATION	COUNTERPARTY IDENTIFICATION	COUNTERPARTY IDENTIFICATION	COUNTERPARTY IDENTIFICATION	COUNTERPARTY IDENTIFICATION	COUNTERPARTY IDENTIFICATION
Code	Type of code	Name	National code	Residence of the counterparty	Sector of the counterparty	NACE code	Type of counterparty
011	015	021	035	040	050	060	070

C 28.00 — Exposures in the non-trading and trading book (LE 2)

COUNTERPARTY	COUNTERPARTY	COUNTERPARTY	ORIGINAL EXPOSURES	ORIGINAL EXPOSURES	ORIGINAL EXPOSURES	ORIGINAL EXPOSURES	ORIGINAL EXPOSURES	ORIGINAL EXPOSURES	ORIGINAL EXPOSURES	ORIGINAL EXPOSURES	ORIGINAL EXPOSURES	ORIGINAL EXPOSURES	ORIGINAL EXPOSURES	ORIGINAL EXPOSURES	ORIGINAL EXPOSURES	ORIGINAL EXPOSURES	ORIGINAL EXPOSURES	(-) Value adjustments and provisions	(-) Exposures deducted from CET 1 or Additional Tier 1 items	Exposure value before application of exemptions and CRM	Exposure value before application of exemptions and CRM	Exposure value before application of exemptions and CRM	ELIGIBLE CREDIT RISK MITIGATION (CRM) TECHNIQUES	ELIGIBLE CREDIT RISK MITIGATION (CRM) TECHNIQUES	ELIGIBLE CREDIT RISK MITIGATION (CRM) TECHNIQUES	ELIGIBLE CREDIT RISK MITIGATION (CRM) TECHNIQUES	ELIGIBLE CREDIT RISK MITIGATION (CRM) TECHNIQUES	ELIGIBLE CREDIT RISK MITIGATION (CRM) TECHNIQUES	ELIGIBLE CREDIT RISK MITIGATION (CRM) TECHNIQUES	ELIGIBLE CREDIT RISK MITIGATION (CRM) TECHNIQUES	(-) Amounts exempted	Exposure value after application of exemptions and CRM	Exposure value after application of exemptions and CRM	Exposure value after application of exemptions and CRM
Code	Group or individual	Transactions where there is an exposure to underlying assets																(-) Value adjustments and provisions	(-) Exposures deducted from CET 1 or Additional Tier 1 items	Exposure value before application of exemptions and CRM	Exposure value before application of exemptions and CRM	Exposure value before application of exemptions and CRM	(-) Substitution effect of eligible credit risk mitigation techniques	(-) Substitution effect of eligible credit risk mitigation techniques	(-) Substitution effect of eligible credit risk mitigation techniques	(-) Substitution effect of eligible credit risk mitigation techniques	(-) Substitution effect of eligible credit risk mitigation techniques	(-) Substitution effect of eligible credit risk mitigation techniques	(-) Funded credit protection other than substitution effect	(-) Real estate	(-) Amounts exempted	Exposure value after application of exemptions and CRM	Exposure value after application of exemptions and CRM	Exposure value after application of exemptions and CRM
Code	Group or individual	Transactions where there is an exposure to underlying assets			Direct exposures	Direct exposures	Direct exposures	Direct exposures	Direct exposures	Direct exposures	Indirect exposures	Indirect exposures	Indirect exposures	Indirect exposures	Indirect exposures	Indirect exposures	Additional exposures arising from transactions where there is an exposure to underlying assets	(-) Value adjustments and provisions	(-) Exposures deducted from CET 1 or Additional Tier 1 items	Exposure value before application of exemptions and CRM	Exposure value before application of exemptions and CRM	Exposure value before application of exemptions and CRM	(-) Substitution effect of eligible credit risk mitigation techniques	(-) Substitution effect of eligible credit risk mitigation techniques	(-) Substitution effect of eligible credit risk mitigation techniques	(-) Substitution effect of eligible credit risk mitigation techniques	(-) Substitution effect of eligible credit risk mitigation techniques	(-) Substitution effect of eligible credit risk mitigation techniques	(-) Funded credit protection other than substitution effect	(-) Real estate	(-) Amounts exempted	Exposure value after application of exemptions and CRM	Exposure value after application of exemptions and CRM	Exposure value after application of exemptions and CRM
Code	Group or individual	Transactions where there is an exposure to underlying assets	Total original exposure	Of which: defaulted	Debt instruments	Equity instruments	Derivatives	Off balance sheet items	Off balance sheet items	Off balance sheet items	Debt instruments	Equity instruments	Derivatives	Off balance sheet items	Off balance sheet items	Off balance sheet items	Additional exposures arising from transactions where there is an exposure to underlying assets	(-) Value adjustments and provisions	(-) Exposures deducted from CET 1 or Additional Tier 1 items	Total	Of which: Non-trading book	% of Tier 1 capital	(-) Debt instruments	(-) Equity instruments	(-) Derivatives	(-) Off balance sheet items	(-) Off balance sheet items	(-) Off balance sheet items	(-) Funded credit protection other than substitution effect	(-) Real estate	(-) Amounts exempted	Total	Of which: Non-trading book	% of Tier 1 capital
Code	Group or individual	Transactions where there is an exposure to underlying assets	Total original exposure	Of which: defaulted	Debt instruments	Equity instruments	Derivatives	Loan commitments	Financial guarantees	Other commitments	Debt instruments	Equity instruments	Derivatives	Loan commitments	Financial guarantees	Other commitments	Additional exposures arising from transactions where there is an exposure to underlying assets	(-) Value adjustments and provisions	(-) Exposures deducted from CET 1 or Additional Tier 1 items	Total	Of which: Non-trading book	% of Tier 1 capital	(-) Debt instruments	(-) Equity instruments	(-) Derivatives	(-) Loan commitments	(-) Financial guarantees	(-) Other commitments	(-) Funded credit protection other than substitution effect	(-) Real estate	(-) Amounts exempted	Total	Of which: Non-trading book	% of Tier 1 capital
010	020	030	040	050	060	070	080	090	100	110	120	130	140	150	160	170	180	190	200	210	220	230	240	250	260	270	280	290	300	310	320	330	340	350

C 29.00 — Detail of the exposures to individual clients within groups of connected clients (LE 3)