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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)

Type Implementing Regulation

Publication 2021-03-19

Last updated 2024-09-01

State In force

Department European Commission, FISMA

Source EUR-Lex

articles 24

Reform history JSON API

		ALL POSITIONS	ALL POSITIONS	(-) POSITIONS DEDUCTED FROM OWN FUNDS	(-) POSITIONS DEDUCTED FROM OWN FUNDS	NET POSITIONS	NET POSITIONS	BREAKDOWN OF THE NET POSITION (LONG) ACCORDING TO RISK WEIGHTS	BREAKDOWN OF THE NET POSITION (LONG) ACCORDING TO RISK WEIGHTS	BREAKDOWN OF THE NET POSITION (LONG) ACCORDING TO RISK WEIGHTS	BREAKDOWN OF THE NET POSITION (LONG) ACCORDING TO RISK WEIGHTS	BREAKDOWN OF THE NET POSITION (LONG) ACCORDING TO RISK WEIGHTS	BREAKDOWN OF THE NET POSITION (LONG) ACCORDING TO RISK WEIGHTS	BREAKDOWN OF THE NET POSITION (LONG) ACCORDING TO RISK WEIGHTS	BREAKDOWN OF THE NET POSITION (LONG) ACCORDING TO RISK WEIGHTS	BREAKDOWN OF THE NET POSITION (LONG) ACCORDING TO RISK WEIGHTS	BREAKDOWN OF THE NET POSITION (LONG) ACCORDING TO RISK WEIGHTS	BREAKDOWN OF THE NET POSITION (LONG) ACCORDING TO RISK WEIGHTS	BREAKDOWN OF THE NET POSITION (SHORT) ACCORDING TO RISK WEIGHTS	BREAKDOWN OF THE NET POSITION (SHORT) ACCORDING TO RISK WEIGHTS	BREAKDOWN OF THE NET POSITION (SHORT) ACCORDING TO RISK WEIGHTS	BREAKDOWN OF THE NET POSITION (SHORT) ACCORDING TO RISK WEIGHTS	BREAKDOWN OF THE NET POSITION (SHORT) ACCORDING TO RISK WEIGHTS	BREAKDOWN OF THE NET POSITION (SHORT) ACCORDING TO RISK WEIGHTS	BREAKDOWN OF THE NET POSITION (SHORT) ACCORDING TO RISK WEIGHTS	BREAKDOWN OF THE NET POSITION (SHORT) ACCORDING TO RISK WEIGHTS	BREAKDOWN OF THE NET POSITION (SHORT) ACCORDING TO RISK WEIGHTS	BREAKDOWN OF THE NET POSITION (SHORT) ACCORDING TO RISK WEIGHTS	BREAKDOWN OF THE NET POSITION (SHORT) ACCORDING TO RISK WEIGHTS	BREAKDOWN OF THE NET POSITION ACCORDING TO APPROACHES	BREAKDOWN OF THE NET POSITION ACCORDING TO APPROACHES	BREAKDOWN OF THE NET POSITION ACCORDING TO APPROACHES	BREAKDOWN OF THE NET POSITION ACCORDING TO APPROACHES	BREAKDOWN OF THE NET POSITION ACCORDING TO APPROACHES	BREAKDOWN OF THE NET POSITION ACCORDING TO APPROACHES	BEFORE CAP	BEFORE CAP	AFTER CAP	AFTER CAP	TOTAL OWN FUNDS REQUIRE-MENTS
		LONG	SHORT	(-) LONG	(-) SHORT	LONG	SHORT	[0 - 10%]	[10 - 12%]	[12 - 20%]	[20 - 40%]	[40 - 100%]	[100 - 250%]	[250 - 350%]	[350 - 425%]	[425 - 650%]	[650 - 1250%]	1250%	[0 - 10%]	[10 - 12%]	[12 - 20%]	[20 - 40%]	[40 - 100%]	[100 - 250%]	[250 - 350%]	[350 - 425%]	[425 - 650%]	[650 - 1250%]	1250%	SEC-IRBA	SEC-SA	SEC-ERBA	INTERNAL ASSESS-MENT APPROACH	SPECIFIC TREATMENT FOR SENIOR TRANCHES OF QUALIFYING NPE SECURITI-SATIONS	OTHER (RW = 1250%)	WEIGHTED NET LONG POSITIONS	WEIGHTED NET SHORT POSITIONS	WEIGHTED NET LONG POSITIONS	WEIGHTED NET SHORT POSITIONS	TOTAL OWN FUNDS REQUIRE-MENTS
		0010	0020	0030	0040	0050	0060	0071	0072	0073	0074	0075	0076	0077	0078	0079	0081	0082	0086	0087	0088	0089	0091	0092	0093	0094	0095	0096	0097	0402	0403	0404	0405	0900	0406	0410	0420	0430	0440	0450
0010	TOTAL EXPOSURES																																							Cell linked to MKR SA TDI {0330:0060}
	SECURITISATION POSITIONS:	SECURITISATION POSITIONS:	SECURITISATION POSITIONS:	SECURITISATION POSITIONS:	SECURITISATION POSITIONS:	SECURITISATION POSITIONS:	SECURITISATION POSITIONS:	SECURITISATION POSITIONS:	SECURITISATION POSITIONS:	SECURITISATION POSITIONS:	SECURITISATION POSITIONS:	SECURITISATION POSITIONS:	SECURITISATION POSITIONS:	SECURITISATION POSITIONS:	SECURITISATION POSITIONS:	SECURITISATION POSITIONS:	SECURITISATION POSITIONS:	SECURITISATION POSITIONS:	SECURITISATION POSITIONS:	SECURITISATION POSITIONS:	SECURITISATION POSITIONS:	SECURITISATION POSITIONS:	SECURITISATION POSITIONS:	SECURITISATION POSITIONS:	SECURITISATION POSITIONS:	SECURITISATION POSITIONS:	SECURITISATION POSITIONS:	SECURITISATION POSITIONS:	SECURITISATION POSITIONS:	SECURITISATION POSITIONS:	SECURITISATION POSITIONS:	SECURITISATION POSITIONS:	SECURITISATION POSITIONS:	SECURITISATION POSITIONS:	SECURITISATION POSITIONS:	SECURITISATION POSITIONS:	SECURITISATION POSITIONS:	SECURITISATION POSITIONS:	SECURITISATION POSITIONS:	SECURITISATION POSITIONS:
0020	ORIGINATOR: TOTAL EXPOSURES
0030	SECURITISATIONS
0040	OTHER CTP POSITIONS
0050	INVESTOR: TOTAL EXPOSURES
0060	SECURITISATIONS
0070	OTHER CTP POSITIONS
0080	SPONSOR: TOTAL EXPOSURES
0090	SECURITISATIONS
0100	OTHER CTP POSITIONS
	N-TH-TO-DEFAULT CREDIT DERIVATIVES:	N-TH-TO-DEFAULT CREDIT DERIVATIVES:	N-TH-TO-DEFAULT CREDIT DERIVATIVES:	N-TH-TO-DEFAULT CREDIT DERIVATIVES:	N-TH-TO-DEFAULT CREDIT DERIVATIVES:	N-TH-TO-DEFAULT CREDIT DERIVATIVES:	N-TH-TO-DEFAULT CREDIT DERIVATIVES:	N-TH-TO-DEFAULT CREDIT DERIVATIVES:	N-TH-TO-DEFAULT CREDIT DERIVATIVES:	N-TH-TO-DEFAULT CREDIT DERIVATIVES:	N-TH-TO-DEFAULT CREDIT DERIVATIVES:	N-TH-TO-DEFAULT CREDIT DERIVATIVES:	N-TH-TO-DEFAULT CREDIT DERIVATIVES:	N-TH-TO-DEFAULT CREDIT DERIVATIVES:	N-TH-TO-DEFAULT CREDIT DERIVATIVES:	N-TH-TO-DEFAULT CREDIT DERIVATIVES:	N-TH-TO-DEFAULT CREDIT DERIVATIVES:	N-TH-TO-DEFAULT CREDIT DERIVATIVES:	N-TH-TO-DEFAULT CREDIT DERIVATIVES:	N-TH-TO-DEFAULT CREDIT DERIVATIVES:	N-TH-TO-DEFAULT CREDIT DERIVATIVES:	N-TH-TO-DEFAULT CREDIT DERIVATIVES:	N-TH-TO-DEFAULT CREDIT DERIVATIVES:	N-TH-TO-DEFAULT CREDIT DERIVATIVES:	N-TH-TO-DEFAULT CREDIT DERIVATIVES:	N-TH-TO-DEFAULT CREDIT DERIVATIVES:	N-TH-TO-DEFAULT CREDIT DERIVATIVES:	N-TH-TO-DEFAULT CREDIT DERIVATIVES:	N-TH-TO-DEFAULT CREDIT DERIVATIVES:	N-TH-TO-DEFAULT CREDIT DERIVATIVES:	N-TH-TO-DEFAULT CREDIT DERIVATIVES:	N-TH-TO-DEFAULT CREDIT DERIVATIVES:	N-TH-TO-DEFAULT CREDIT DERIVATIVES:	N-TH-TO-DEFAULT CREDIT DERIVATIVES:	N-TH-TO-DEFAULT CREDIT DERIVATIVES:	N-TH-TO-DEFAULT CREDIT DERIVATIVES:	N-TH-TO-DEFAULT CREDIT DERIVATIVES:	N-TH-TO-DEFAULT CREDIT DERIVATIVES:	N-TH-TO-DEFAULT CREDIT DERIVATIVES:	N-TH-TO-DEFAULT CREDIT DERIVATIVES:
0110	N-TH-TO-DEFAULT CREDIT DERIVATIVES
0120	OTHER CTP POSITIONS

C 21.00 - MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES (MKR SA EQU)

National market:

		POSITIONS	POSITIONS	POSITIONS	POSITIONS	POSITIONS	OWN FUNDS REQUIREMENTS	TOTAL RISK EXPOSURE AMOUNT
		ALL POSITIONS	ALL POSITIONS	NET POSITIONS	NET POSITIONS	POSITIONS SUBJECT TO CAPITAL CHARGE	OWN FUNDS REQUIREMENTS	TOTAL RISK EXPOSURE AMOUNT
		LONG	SHORT	NET POSITIONS	NET POSITIONS	POSITIONS SUBJECT TO CAPITAL CHARGE	OWN FUNDS REQUIREMENTS	TOTAL RISK EXPOSURE AMOUNT
		LONG	SHORT	LONG	SHORT	POSITIONS SUBJECT TO CAPITAL CHARGE	OWN FUNDS REQUIREMENTS	TOTAL RISK EXPOSURE AMOUNT
		0010	0020	0030	0040	0050	0060	0070
0010	EQUITIES IN TRADING BOOK							Cell linked to CA
0020	General risk
0021	Derivatives
0022	Other assets and liabilities
0030	Exchange traded stock-index futures broadly diversified subject to particular approach
0040	Other equities than exchange traded stock-index futures broadly diversified
0050	Specific risk
0090	Additional requirements for options (non-delta risks)
0100	Simplified method
0110	Delta plus approach - additional requirements for gamma risk
0120	Delta plus approach - additional requirements for vega risk
0125	Delta plus approach - non-continuous options and warrants
0130	Scenario matrix approach

C 22.00 - MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK (MKR SA FX)

		ALL POSITIONS	ALL POSITIONS	NET POSITIONS	NET POSITIONS	POSITIONS SUBJECT TO CAPITAL CHARGE (Including redistribution of unmatched positions in non-reporting currencies subject to special treatment for matched positions)	POSITIONS SUBJECT TO CAPITAL CHARGE (Including redistribution of unmatched positions in non-reporting currencies subject to special treatment for matched positions)	POSITIONS SUBJECT TO CAPITAL CHARGE (Including redistribution of unmatched positions in non-reporting currencies subject to special treatment for matched positions)	OWN FUNDS REQUIREMENTS	TOTAL RISK EXPOSURE AMOUNT
		LONG	SHORT	LONG	SHORT	LONG	SHORT	MATCHED	OWN FUNDS REQUIREMENTS	TOTAL RISK EXPOSURE AMOUNT
		0020	0030	0040	0050	0060	0070	0080	0090	0100
0010	TOTAL POSITIONS									Cell linked to CA
0020	Currencies closely correlated
0025	of which: reporting currency
0030	All other currencies (including CIUs treated as different currencies)
0040	Gold
0050	Additional requirements for options (non-delta risks)
0060	Simplified method
0070	Delta plus approach - additional requirements for gamma risk
0080	Delta plus approach - additional requirements for vega risk
0085	Delta plus approach - non-continuous options and warrants
0090	Scenario matrix approach
BREAKDOWN OF TOTAL POSITIONS (REPORTING CURRENCY INCLUDED) BY EXPOSURE TYPES	BREAKDOWN OF TOTAL POSITIONS (REPORTING CURRENCY INCLUDED) BY EXPOSURE TYPES	BREAKDOWN OF TOTAL POSITIONS (REPORTING CURRENCY INCLUDED) BY EXPOSURE TYPES	BREAKDOWN OF TOTAL POSITIONS (REPORTING CURRENCY INCLUDED) BY EXPOSURE TYPES	BREAKDOWN OF TOTAL POSITIONS (REPORTING CURRENCY INCLUDED) BY EXPOSURE TYPES	BREAKDOWN OF TOTAL POSITIONS (REPORTING CURRENCY INCLUDED) BY EXPOSURE TYPES	BREAKDOWN OF TOTAL POSITIONS (REPORTING CURRENCY INCLUDED) BY EXPOSURE TYPES	BREAKDOWN OF TOTAL POSITIONS (REPORTING CURRENCY INCLUDED) BY EXPOSURE TYPES	BREAKDOWN OF TOTAL POSITIONS (REPORTING CURRENCY INCLUDED) BY EXPOSURE TYPES	BREAKDOWN OF TOTAL POSITIONS (REPORTING CURRENCY INCLUDED) BY EXPOSURE TYPES	BREAKDOWN OF TOTAL POSITIONS (REPORTING CURRENCY INCLUDED) BY EXPOSURE TYPES
0100	Other assets and liabilities other than off-balance sheet items and derivatives
0110	Off-balance sheet items
0120	Derivatives
Memorandum items: CURRENCY POSITIONS	Memorandum items: CURRENCY POSITIONS	Memorandum items: CURRENCY POSITIONS	Memorandum items: CURRENCY POSITIONS	Memorandum items: CURRENCY POSITIONS	Memorandum items: CURRENCY POSITIONS	Memorandum items: CURRENCY POSITIONS	Memorandum items: CURRENCY POSITIONS	Memorandum items: CURRENCY POSITIONS	Memorandum items: CURRENCY POSITIONS	Memorandum items: CURRENCY POSITIONS
0130	Euro
0140	Lek
0150	Argentine Peso
0160	Australian Dollar
0170	Brazilian Real
0180	Bulgarian Lev
0190	Canadian Dollar
0200	Czech Koruna
0210	Danish Krone
0220	Egyptian Pound
0230	Pound Sterling
0240	Forint
0250	Yen
0270	Lithuanian Litas
0280	Denar
0290	Mexican Peso
0300	Zloty
0310	Rumanian Leu
0320	Russian Ruble
0330	Serbian Dinar
0340	Swedish Krona
0350	Swiss Franc
0360	Turkish Lira
0370	Hryvnia
0380	US Dollar
0390	Iceland Krona
0400	Norwegian Krone
0410	Hong Kong Dollar
0420	New Taiwan Dollar
0430	New Zealand Dollar
0440	Singapore Dollar
0450	Won
0460	Yuan Renminbi
0470	Other
0480	Croatian Kuna

C 23.00 - MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES (MKR SA COM)

		ALL POSITIONS	ALL POSITIONS	NET POSITIONS	NET POSITIONS	POSITIONS SUBJECT TO CAPITAL CHARGE	OWN FUNDS REQUIREMENTS	TOTAL RISK EXPOSURE AMOUNT
		LONG	SHORT	NET POSITIONS	NET POSITIONS	POSITIONS SUBJECT TO CAPITAL CHARGE	OWN FUNDS REQUIREMENTS	TOTAL RISK EXPOSURE AMOUNT
		LONG	SHORT	LONG	SHORT	POSITIONS SUBJECT TO CAPITAL CHARGE	OWN FUNDS REQUIREMENTS	TOTAL RISK EXPOSURE AMOUNT
		0010	0020	0030	0040	0050	0060	0070
0010	TOTAL POSITIONS IN COMMODITIES							Cell linked to CA
0020	Precious metals (except gold)
0030	Base metals
0040	Agricultural products (softs)
0050	Others
0060	Of which energy products (oil, gas)
0070	Maturity ladder approach
0080	Extended maturity ladder approach
0090	Simplified approach: All positions
0100	Additional requirements for options (non-delta risks)
0110	Simplified method
0120	Delta plus approach - additional requirements for gamma risk
0130	Delta plus approach - additional requirements for vega risk
0135	Delta plus approach - non-continuous options and warrants
0140	Scenario matrix approach

C 24.00 - MARKET RISK INTERNAL MODELS (MKR IM)

		VaR	VaR	STRESSED VaR	STRESSED VaR	INCREMENTAL DEFAULT AND MIGRATION RISK CAPITAL CHARGE	INCREMENTAL DEFAULT AND MIGRATION RISK CAPITAL CHARGE	ALL PRICE RISKS CAPITAL CHARGE FOR CTP	ALL PRICE RISKS CAPITAL CHARGE FOR CTP	ALL PRICE RISKS CAPITAL CHARGE FOR CTP	OWN FUNDS REQUIREMENTS	TOTAL RISK EXPOSURE AMOUNT	Number of overshootings during previous 250 working days	VaR Multiplication Factor (mc)	SVaR Multiplication Factor (ms)	ASSUMED CHARGE FOR CTP FLOOR - WEIGHTED NET LONG POSITIONS AFTER CAP	ASSUMED CHARGE FOR CTP FLOOR - WEIGHTED NET SHORT POSITIONS AFTER CAP
		MULTIPLICATION FACTOR (mc) x AVERAGE OF PREVIOUS 60 WORKING DAYS (VaRavg)	PREVIOUS DAY (VaRt-1)	MULTIPLICATION FACTOR (ms) x AVERAGE OF PREVIOUS 60 WORKING DAYS (SVaRavg)	LATEST AVAILABLE (SVaRt-1)	12 WEEKS AVERAGE MEASURE	LAST MEASURE	FLOOR	12 WEEKS AVERAGE MEASURE	LAST MEASURE	OWN FUNDS REQUIREMENTS	TOTAL RISK EXPOSURE AMOUNT	Number of overshootings during previous 250 working days	VaR Multiplication Factor (mc)	SVaR Multiplication Factor (ms)	ASSUMED CHARGE FOR CTP FLOOR - WEIGHTED NET LONG POSITIONS AFTER CAP	ASSUMED CHARGE FOR CTP FLOOR - WEIGHTED NET SHORT POSITIONS AFTER CAP
		0030	0040	0050	0060	0070	0080	0090	0100	0110	0120	0130	0140	0150	0160	0170	0180
0010	TOTAL POSITIONS											Cell linked to CA
	Memorandum items: BREAKDOWN OF MARKET RISK	Memorandum items: BREAKDOWN OF MARKET RISK	Memorandum items: BREAKDOWN OF MARKET RISK	Memorandum items: BREAKDOWN OF MARKET RISK	Memorandum items: BREAKDOWN OF MARKET RISK	Memorandum items: BREAKDOWN OF MARKET RISK	Memorandum items: BREAKDOWN OF MARKET RISK	Memorandum items: BREAKDOWN OF MARKET RISK	Memorandum items: BREAKDOWN OF MARKET RISK	Memorandum items: BREAKDOWN OF MARKET RISK	Memorandum items: BREAKDOWN OF MARKET RISK	Memorandum items: BREAKDOWN OF MARKET RISK	Memorandum items: BREAKDOWN OF MARKET RISK	Memorandum items: BREAKDOWN OF MARKET RISK	Memorandum items: BREAKDOWN OF MARKET RISK	Memorandum items: BREAKDOWN OF MARKET RISK	Memorandum items: BREAKDOWN OF MARKET RISK
0020	Traded debt instruments
0030	TDI - General risk
0040	TDI - Specific Risk
0050	Equities
0060	Equities - General risk
0070	Equities - Specific Risk
0080	Foreign Exchange risk
0090	Commodities risk
0100	Total amount for general risk
0110	Total amount for specific risk

C 25.00 - CREDIT VALUE ADJUSTMENT RISK (CVA)

		EXPOSURE VALUE	EXPOSURE VALUE	EXPOSURE VALUE	VaR	VaR	STRESSED VaR	STRESSED VaR	OWN FUNDS REQUIREMENTS	TOTAL RISK EXPOSURE AMOUNT	MEMORANDUM ITEMS	MEMORANDUM ITEMS	MEMORANDUM ITEMS	CVA RISK HEDGE NOTIONALS	CVA RISK HEDGE NOTIONALS
			of which: OTC Derivatives	of which: SFT	MULTIPLICATION FACTOR (mc) x AVERAGE OF PREVIOUS 60 WORKING DAYS (VaRavg)	PREVIOUS DAY (VaRt-1)	MULTIPLICATION FACTOR (ms) x AVERAGE OF PREVIOUS 60 WORKING DAYS (SVaRavg)	LATEST AVAILABLE (SVaRt-1)	OWN FUNDS REQUIREMENTS	TOTAL RISK EXPOSURE AMOUNT	Number of counterparties	of which: proxy was used to determine credit spread	INCURRED CVA	SINGLE NAME CDS	INDEX CDS
		0010	0020	0030	0040	0050	0060	0070	0080	0090	0100	0110	0120	0130	0140
0010	CVA risk total									Link to {CA2;r640;c010}
0020	According to Advanced method									Link to {CA2;r650;c010}
0030	According to Standardised method									Link to {CA2;r660;c010}
0040	Based on OEM									Link to {CA2;r670;c010}

C 32.01 - Prudent Valuation: Fair-Valued Assets and Liabilities (PRUVAL 1)

			FAIR-VALUED ASSETS AND LIABILITIES		FAIR-VALUED ASSETS AND LIABILITIES EXCLUDED BECAUSE OF PARTIAL IMPACT ON CET1	FAIR-VALUED ASSETS AND LIABILITIES EXCLUDED BECAUSE OF PARTIAL IMPACT ON CET1	FAIR-VALUED ASSETS AND LIABILITIES EXCLUDED BECAUSE OF PARTIAL IMPACT ON CET1	FAIR-VALUED ASSETS AND LIABILITIES EXCLUDED BECAUSE OF PARTIAL IMPACT ON CET1	FAIR-VALUED ASSETS AND LIABILITIES EXCLUDED BECAUSE OF PARTIAL IMPACT ON CET1	FAIR-VALUED ASSETS AND LIABILITIES INCLUDED IN ART. 4(1) THRESHOLD
			FAIR-VALUED ASSETS AND LIABILITIES	OF WHICH: TRADING BOOK	EXACTLY MATCHING	HEDGE ACCOUNTING	PRUDENTIAL FILTERS	OTHER	COMMENTS FOR OTHER	FAIR-VALUED ASSETS AND LIABILITIES INCLUDED IN ART. 4(1) THRESHOLD	OF WHICH: TRADING BOOK
			0010	0020	0030	0040	0050	0060	0070	0080	0090
0010	1	TOTAL FAIR-VALUED ASSETS AND LIABILITIES
0020	1.1	TOTAL FAIR-VALUED ASSETS
0030	1.1.1	FINANCIAL ASSETS HELD FOR TRADING
0040	1.1.2	TRADING FINANCIAL ASSETS
0050	1.1.3	NON-TRADING FINANCIAL ASSETS MANDATORILY AT FAIR VALUE THROUGH PROFIT OR LOSS
0060	1.1.4	FINANCIAL ASSETS DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS
0070	1.1.5	FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME
0080	1.1.6	NON-TRADING NON-DERIVATIVE FINANCIAL ASSETS MEASURED AT FAIR VALUE THROUGH PROFIT OR LOSS
0090	1.1.7	NON-TRADING NON-DERIVATIVE FINANCIAL ASSETS MEASURED AT FAIR VALUE TO EQUITY
0100	1.1.8	OTHER NON-TRADING NON-DERIVATIVE FINANCIAL ASSETS
0110	1.1.9	DERIVATIVES - HEDGE ACCOUNTING
0120	1.1.10	FAIR VALUE CHANGES OF THE HEDGED ITEMS IN PORTFOLIO HEDGE OF INTEREST RATE RISK
0130	1.1.11	INVESTMENTS IN SUBSIDIARIES, JOINT VENTURES AND ASSOCIATES
0140	1.1.12	(-) HAIRCUTS FOR TRADING ASSETS AT FAIR VALUE
0142	1.1.13	OTHER ASSETS
0143	1.1.14	NON-CURRENT ASSETS AND DISPOSAL GROUPS CLASSIFIED AS HELD FOR SALE
0150	1.2	TOTAL FAIR-VALUED LIABILITIES
0160	1.2.1	FINANCIAL LIABILITIES HELD FOR TRADING
0170	1.2.2	TRADING FINANCIAL LIABILITIES
0180	1.2.3	FINANCIAL LIABILITIES DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS
0190	1.2.4	DERIVATIVES - HEDGE ACCOUNTING
0200	1.2.5	FAIR VALUE CHANGES OF THE HEDGED ITEMS IN PORTFOLIO HEDGE OF INTEREST RATE RISK
0210	1.2.6	HAIRCUTS FOR TRADING LIABILITIES AT FAIR VALUE
0220	1.2.7	OTHER LIABILITIES
0230	1.2.8	LIABILITIES INCLUDED IN DISPOSAL GROUPS CLASSIFIED AS HELD FOR SALE

C 32.02 - PRUDENT VALUATION: CORE APPROACH (PRUVAL 2)

			CATEGORY LEVEL AVA	CATEGORY LEVEL AVA	CATEGORY LEVEL AVA	CATEGORY LEVEL AVA	CATEGORY LEVEL AVA	CATEGORY LEVEL AVA	CATEGORY LEVEL AVA	CATEGORY LEVEL AVA	CATEGORY LEVEL AVA	CATEGORY LEVEL AVA	TOTAL AVA	UPSIDE UNCERTAINTY	FAIR-VALUED ASSETS AND LIABILITIES	FAIR-VALUED ASSETS AND LIABILITIES	QTD REVENUE	IPV DIFFE-RENCE	FAIR VALUE ADJUSTMENTS	FAIR VALUE ADJUSTMENTS	FAIR VALUE ADJUSTMENTS	FAIR VALUE ADJUSTMENTS	FAIR VALUE ADJUSTMENTS	FAIR VALUE ADJUSTMENTS	FAIR VALUE ADJUSTMENTS	FAIR VALUE ADJUSTMENTS	FAIR VALUE ADJUSTMENTS	DAY 1 P&L	EXPLANATION DESCRIPTION
			MARKET PRICE UNCERTAINTY		CLOSE-OUT COSTS		MODEL RISK		CONCENTRATED POSITIONS	FUTURE ADMINIS-TRATIVE COSTS	EARLY TERMINATION	OPERATIONAL RISK	TOTAL AVA	UPSIDE UNCERTAINTY	FAIR-VALUED ASSETS	FAIR-VALUED LIABILITIES	QTD REVENUE	IPV DIFFE-RENCE	MARKET PRICE UNCERTAINTY	CLOSE-OUT COSTS	MODEL RISK	CONCENTRATED POSITIONS	UN-EARNED CREDIT SPREADS	INVES-TING AND FUNDING COSTS	FUTURE ADMINIS-TRATIVE COSTS	EARLY TERMINATION	OPERATIONAL RISK	DAY 1 P&L	EXPLANATION DESCRIPTION
			MARKET PRICE UNCERTAINTY	OF WHICH: CALCULATED USING THE EXPERT BASED APPROACH	CLOSE-OUT COSTS	OF WHICH: CALCULATED USING THE EXPERT BASED APPROACH	MODEL RISK	OF WHICH: CALCULATED USING THE EXPERT BASED APPROACH	CONCENTRATED POSITIONS	FUTURE ADMINIS-TRATIVE COSTS	EARLY TERMINATION	OPERATIONAL RISK	TOTAL AVA	UPSIDE UNCERTAINTY	FAIR-VALUED ASSETS	FAIR-VALUED LIABILITIES	QTD REVENUE	IPV DIFFE-RENCE	MARKET PRICE UNCERTAINTY	CLOSE-OUT COSTS	MODEL RISK	CONCENTRATED POSITIONS	UN-EARNED CREDIT SPREADS	INVES-TING AND FUNDING COSTS	FUTURE ADMINIS-TRATIVE COSTS	EARLY TERMINATION	OPERATIONAL RISK	DAY 1 P&L	EXPLANATION DESCRIPTION
			0010	0020	0030	0040	0050	0060	0070	0080	0090	0100	0110	0120	0130	0140	0150	0160	0170	0180	0190	0200	0210	0220	0230	0240	0250	0260	0270
0010	1	TOTAL CORE APPROACH
0020		*OF WHICH: TRADING BOOK*
0030	1.1	PORTFOLIOS UNDER ARTICLES 9 TO 17 - TOTAL CATEGORY LEVEL POST-DIVERSIFICATION
0040	1.1.1	TOTAL CATEGORY LEVEL PRE-DIVERSIFICATION
0050	1.1.1*	*OF WHICH: UNEARNED CREDIT SPREADS AVA*
0060	1.1.1**	*OF WHICH: INVESTMENT AND FUNDING COSTS AVA*
0070	1.1.1***	*OF WHICH: AVA ASSESSED TO HAVE ZERO VALUE UNDER ARTICLE 9(2) OF DELEGATED REGULATION (EU) 2016/101*
0080	1.1.1	*OF WHICH: AVA ASSESSED TO HAVE ZERO VALUE UNDER ARTICLE 10(2) AND (3) OF DELEGATED REGULATION (EU) 2016/101*
0090	1.1.1.1	INTEREST RATES
0100	1.1.1.2	FOREIGN EXCHANGE
0110	1.1.1.3	CREDIT
0120	1.1.1.4	EQUITIES
0130	1.1.1.5	COMMODITIES
0140	1.1.2	(-) DIVERSIFICATION BENEFITS
0150	1.1.2.1	(-) DIVERSIFICATION BENEFIT CALCULATED USING METHOD 1
0160	1.1.2.2	(-) DIVERSIFICATION BENEFIT CALCULATED USING METHOD 2
0170	1.1.2.2*	MEMORANDUM ITEM: PRE-DIVERSIFICATION AVAS REDUCED BY MORE THAN 90% BY DIVERSIFICATION UNDER METHOD 2
0180	1.2	PORTFOLIOS UNDER THE FALL-BACK APPROACH
0190	1.2.1	100% OF NET UNREALISED PROFIT
0200	1.2.2	10% OF NOTIONAL VALUE
0210	1.2.3	25% OF INCEPTION VALUE

C 32.03 - Prudent Valuation: Model Risk AVA (PRUVAL 3)

RANK	MODEL	RISK CATEGORY	PRODUCT	OBSER-VABILITY	MODEL RISK AVA			AGGREGATED AVA CALCULATED UNDER METHOD 2	FAIR-VALUED ASSETS AND LIABILITIES	FAIR-VALUED ASSETS AND LIABILITIES	IPV DIFFERENCE (OUTPUT TESTING)	IPV COVERAGE (OUTPUT TESTING)	FAIR VALUE ADJUSTMENTS	FAIR VALUE ADJUSTMENTS	DAY1 P&L
RANK	MODEL	RISK CATEGORY	PRODUCT	OBSER-VABILITY	MODEL RISK AVA	OF WHICH: USING THE EXPERT BASED APPROACH	OF WHICH: AGGRE-GATED USING METHOD 2	AGGREGATED AVA CALCULATED UNDER METHOD 2	FAIR VALUED ASSETS	FAIR VALUED LIABILITIES	IPV DIFFERENCE (OUTPUT TESTING)	IPV COVERAGE (OUTPUT TESTING)	MODEL RISK	EARLY TERMINATION	DAY1 P&L
0005	0010	0020	0030	0040	0050	0060	0070	0080	0090	0100	0110	0120	0130	0140	0150

C 32.04 - Prudent Valuation: Concentrated Positions AVA (PRUVAL 4)

RANK	RISK CATEGORY	PRODUCT	UNDERLYING	CONCEN-TRATED POSITION SIZE	SIZE MEASURE	MARKET VALUE	PRUDENT EXIT PERIOD	CONCEN-TRATED POSITIONS AVA	CONCEN-TRATED POSITION FAIR VALUE ADJUSTMENT	IPV DIFFERENCE
0005	0010	0020	0030	0040	0050	0060	0070	0080	0090	0100

C 33.00 - GENERAL GOVERNMENTS EXPOSURES BY COUNTRY OF THE COUNTERPARTY (GOV)

Country:

		Direct exposures	Direct exposures	Direct exposures	Direct exposures	Direct exposures	Direct exposures	Direct exposures	Direct exposures	Direct exposures	Direct exposures	Direct exposures	Direct exposures	Direct exposures	Direct exposures	Direct exposures	Direct exposures	Direct exposures	Direct exposures	Direct exposures	Direct exposures	Direct exposures	Direct exposures	Direct exposures	Direct exposures	Direct exposures	Direct exposures	Memorandum item: credit derivatives sold on general government exposures	Memorandum item: credit derivatives sold on general government exposures	Exposure value	Risk weighted exposure amount
		On-balance sheet exposures	On-balance sheet exposures	On-balance sheet exposures	On-balance sheet exposures	On-balance sheet exposures	On-balance sheet exposures	On-balance sheet exposures	On-balance sheet exposures	On-balance sheet exposures	On-balance sheet exposures	On-balance sheet exposures	On-balance sheet exposures	On-balance sheet exposures	On-balance sheet exposures	Accumulated impairment		Accumulated negative changes in fair value due to credit risk			Derivatives	Derivatives	Derivatives	Derivatives	Off-balance sheet exposures	Off-balance sheet exposures	Off-balance sheet exposures	Memorandum item: credit derivatives sold on general government exposures	Memorandum item: credit derivatives sold on general government exposures	Exposure value	Risk weighted exposure amount
		Total gross carrying amount of non-derivative financial assets	Total carrying amount of non-derivative financial assets (net of short positions)	Non-derivative financial assets by accounting portfolios	Non-derivative financial assets by accounting portfolios	Non-derivative financial assets by accounting portfolios	Non-derivative financial assets by accounting portfolios	Non-derivative financial assets by accounting portfolios	Non-derivative financial assets by accounting portfolios	Non-derivative financial assets by accounting portfolios	Non-derivative financial assets by accounting portfolios	Non-derivative financial assets by accounting portfolios	Non-derivative financial assets by accounting portfolios	Short positions		Accumulated impairment		Accumulated negative changes in fair value due to credit risk			Derivatives with positive fair value	Derivatives with positive fair value	Derivatives with negative fair value	Derivatives with negative fair value	Nominal amount	Provisions	Accumulated negative changes in fair value due to credit risk	Derivatives with positive fair value - Carrying amount	Derivatives with negative fair value - Carrying amount	Exposure value	Risk weighted exposure amount
		Total gross carrying amount of non-derivative financial assets	Total carrying amount of non-derivative financial assets (net of short positions)	Financial assets held for trading	Trading financial assets	Non-trading financial assets mandatorily at fair value through profit or loss	Financial assets designated at fair value through profit or loss	Non-trading non-derivative financial assets measured at fair value through profit or loss	Financial assets at fair value through other comprehensive income	Non-trading non-derivative financial assets measured at fair value to equity	Financial assets at amortised cost	Non-trading non-derivative financial assets measured at a cost-based method	Other non-trading non-derivative financial assets	Short positions	Of which: Short positions from reverse repurchased loans classified as held for trading or trading financial assets	Accumulated impairment	of which: from financial assets at fair value through other comprehensive income or from non-trading non-derivative financial assets measured at fair value to equity	Accumulated negative changes in fair value due to credit risk	of which: from non-trading financial assets mandatorily at fair value through profit or loss, financial assets designated at fair value through profit or loss or from non-trading financial assets measured at fair value through profit or loss	of which: from financial assets at fair value through other comprehensive income or from non-trading non-derivative financial assets measured at fair value to equity	Carrying amount	Notional amount	Carrying amount	Notional amount	Nominal amount	Provisions	Accumulated negative changes in fair value due to credit risk	Derivatives with positive fair value - Carrying amount	Derivatives with negative fair value - Carrying amount	Exposure value	Risk weighted exposure amount
		0010	0020	0030	0040	0050	0060	0070	0080	0090	0100	0110	0120	0130	0140	0150	0160	0170	0180	0190	0200	0210	0220	0230	0240	0250	0260	0270	0280	0290	0300
0010	Total exposures
BREAKDOWN OF TOTAL EXPOSURES BY RISK, REGULATORY APPROACH AND EXPOSURE CLASSES:	BREAKDOWN OF TOTAL EXPOSURES BY RISK, REGULATORY APPROACH AND EXPOSURE CLASSES:	BREAKDOWN OF TOTAL EXPOSURES BY RISK, REGULATORY APPROACH AND EXPOSURE CLASSES:	BREAKDOWN OF TOTAL EXPOSURES BY RISK, REGULATORY APPROACH AND EXPOSURE CLASSES:	BREAKDOWN OF TOTAL EXPOSURES BY RISK, REGULATORY APPROACH AND EXPOSURE CLASSES:	BREAKDOWN OF TOTAL EXPOSURES BY RISK, REGULATORY APPROACH AND EXPOSURE CLASSES:	BREAKDOWN OF TOTAL EXPOSURES BY RISK, REGULATORY APPROACH AND EXPOSURE CLASSES:	BREAKDOWN OF TOTAL EXPOSURES BY RISK, REGULATORY APPROACH AND EXPOSURE CLASSES:	BREAKDOWN OF TOTAL EXPOSURES BY RISK, REGULATORY APPROACH AND EXPOSURE CLASSES:	BREAKDOWN OF TOTAL EXPOSURES BY RISK, REGULATORY APPROACH AND EXPOSURE CLASSES:	BREAKDOWN OF TOTAL EXPOSURES BY RISK, REGULATORY APPROACH AND EXPOSURE CLASSES:	BREAKDOWN OF TOTAL EXPOSURES BY RISK, REGULATORY APPROACH AND EXPOSURE CLASSES:	BREAKDOWN OF TOTAL EXPOSURES BY RISK, REGULATORY APPROACH AND EXPOSURE CLASSES:	BREAKDOWN OF TOTAL EXPOSURES BY RISK, REGULATORY APPROACH AND EXPOSURE CLASSES:	BREAKDOWN OF TOTAL EXPOSURES BY RISK, REGULATORY APPROACH AND EXPOSURE CLASSES:	BREAKDOWN OF TOTAL EXPOSURES BY RISK, REGULATORY APPROACH AND EXPOSURE CLASSES:	BREAKDOWN OF TOTAL EXPOSURES BY RISK, REGULATORY APPROACH AND EXPOSURE CLASSES:	BREAKDOWN OF TOTAL EXPOSURES BY RISK, REGULATORY APPROACH AND EXPOSURE CLASSES:	BREAKDOWN OF TOTAL EXPOSURES BY RISK, REGULATORY APPROACH AND EXPOSURE CLASSES:	BREAKDOWN OF TOTAL EXPOSURES BY RISK, REGULATORY APPROACH AND EXPOSURE CLASSES:	BREAKDOWN OF TOTAL EXPOSURES BY RISK, REGULATORY APPROACH AND EXPOSURE CLASSES:	BREAKDOWN OF TOTAL EXPOSURES BY RISK, REGULATORY APPROACH AND EXPOSURE CLASSES:	BREAKDOWN OF TOTAL EXPOSURES BY RISK, REGULATORY APPROACH AND EXPOSURE CLASSES:	BREAKDOWN OF TOTAL EXPOSURES BY RISK, REGULATORY APPROACH AND EXPOSURE CLASSES:	BREAKDOWN OF TOTAL EXPOSURES BY RISK, REGULATORY APPROACH AND EXPOSURE CLASSES:	BREAKDOWN OF TOTAL EXPOSURES BY RISK, REGULATORY APPROACH AND EXPOSURE CLASSES:	BREAKDOWN OF TOTAL EXPOSURES BY RISK, REGULATORY APPROACH AND EXPOSURE CLASSES:	BREAKDOWN OF TOTAL EXPOSURES BY RISK, REGULATORY APPROACH AND EXPOSURE CLASSES:	BREAKDOWN OF TOTAL EXPOSURES BY RISK, REGULATORY APPROACH AND EXPOSURE CLASSES:	BREAKDOWN OF TOTAL EXPOSURES BY RISK, REGULATORY APPROACH AND EXPOSURE CLASSES:	BREAKDOWN OF TOTAL EXPOSURES BY RISK, REGULATORY APPROACH AND EXPOSURE CLASSES:	BREAKDOWN OF TOTAL EXPOSURES BY RISK, REGULATORY APPROACH AND EXPOSURE CLASSES:
0020	Exposures under the credit risk framework
0030	Standardised Approach
0040	Central governments
0050	Regional governments or local authorities
0060	Public sector entities
0070	International Organisations
0075	Other general government exposures subject to Standardised Approach
0080	IRB Approach
0090	Central governments
0100	Regional governments or local authorities [Central governments]
0110	Regional governments or local authorities [Institutions]
0120	Public sector entities [Central governments]
0130	Public sector entities [Institutions]
0140	International Organisations [Central governments]
0155	Other general government exposures subject to IRB approach
0160	Exposures under the market risk framework
BREAKDOWN OF TOTAL EXPOSURES BY RESIDUAL MATURITY:	BREAKDOWN OF TOTAL EXPOSURES BY RESIDUAL MATURITY:	BREAKDOWN OF TOTAL EXPOSURES BY RESIDUAL MATURITY:	BREAKDOWN OF TOTAL EXPOSURES BY RESIDUAL MATURITY:	BREAKDOWN OF TOTAL EXPOSURES BY RESIDUAL MATURITY:	BREAKDOWN OF TOTAL EXPOSURES BY RESIDUAL MATURITY:	BREAKDOWN OF TOTAL EXPOSURES BY RESIDUAL MATURITY:	BREAKDOWN OF TOTAL EXPOSURES BY RESIDUAL MATURITY:	BREAKDOWN OF TOTAL EXPOSURES BY RESIDUAL MATURITY:	BREAKDOWN OF TOTAL EXPOSURES BY RESIDUAL MATURITY:	BREAKDOWN OF TOTAL EXPOSURES BY RESIDUAL MATURITY:	BREAKDOWN OF TOTAL EXPOSURES BY RESIDUAL MATURITY:	BREAKDOWN OF TOTAL EXPOSURES BY RESIDUAL MATURITY:	BREAKDOWN OF TOTAL EXPOSURES BY RESIDUAL MATURITY:	BREAKDOWN OF TOTAL EXPOSURES BY RESIDUAL MATURITY:	BREAKDOWN OF TOTAL EXPOSURES BY RESIDUAL MATURITY:	BREAKDOWN OF TOTAL EXPOSURES BY RESIDUAL MATURITY:	BREAKDOWN OF TOTAL EXPOSURES BY RESIDUAL MATURITY:	BREAKDOWN OF TOTAL EXPOSURES BY RESIDUAL MATURITY:	BREAKDOWN OF TOTAL EXPOSURES BY RESIDUAL MATURITY:	BREAKDOWN OF TOTAL EXPOSURES BY RESIDUAL MATURITY:	BREAKDOWN OF TOTAL EXPOSURES BY RESIDUAL MATURITY:	BREAKDOWN OF TOTAL EXPOSURES BY RESIDUAL MATURITY:	BREAKDOWN OF TOTAL EXPOSURES BY RESIDUAL MATURITY:	BREAKDOWN OF TOTAL EXPOSURES BY RESIDUAL MATURITY:	BREAKDOWN OF TOTAL EXPOSURES BY RESIDUAL MATURITY:	BREAKDOWN OF TOTAL EXPOSURES BY RESIDUAL MATURITY:	BREAKDOWN OF TOTAL EXPOSURES BY RESIDUAL MATURITY:	BREAKDOWN OF TOTAL EXPOSURES BY RESIDUAL MATURITY:	BREAKDOWN OF TOTAL EXPOSURES BY RESIDUAL MATURITY:	BREAKDOWN OF TOTAL EXPOSURES BY RESIDUAL MATURITY:	BREAKDOWN OF TOTAL EXPOSURES BY RESIDUAL MATURITY:
0170	[ 0 - 3M]
0180	[ 3M - 1Y]
0190	[ 1Y - 2Y]
0200	[ 2Y - 3Y]
0210	[3Y - 5Y]
0220	[5Y - 10Y]
0230	[10Y - more]

C 35.01 - NPE LOSS COVERAGE: THE CALCULATION OF DEDUCTIONS FOR NON-PERFORMING EXPOSURES (NPE LC1)

		Time passed since exposures classified as non-performing	Time passed since exposures classified as non-performing	Time passed since exposures classified as non-performing	Time passed since exposures classified as non-performing	Time passed since exposures classified as non-performing	Time passed since exposures classified as non-performing	Time passed since exposures classified as non-performing	Time passed since exposures classified as non-performing	Time passed since exposures classified as non-performing	Time passed since exposures classified as non-performing	Total
		<= 1 year	> 1 year <= 2 years	> 2 years <= 3 years	> 3 years <= 4 years	> 4 years <= 5 years	> 5 years <= 6 years	> 6 years <= 7 years	> 7 years <= 8 years	> 8 years <= 9 years	> 9 years	Total
		0010	0020	0030	0040	0050	0060	0070	0080	0090	0100	0110
0010	Applicable amount of insufficient coverage
MINIMUM COVERAGE REQUIREMENT	MINIMUM COVERAGE REQUIREMENT	MINIMUM COVERAGE REQUIREMENT	MINIMUM COVERAGE REQUIREMENT	MINIMUM COVERAGE REQUIREMENT	MINIMUM COVERAGE REQUIREMENT	MINIMUM COVERAGE REQUIREMENT	MINIMUM COVERAGE REQUIREMENT	MINIMUM COVERAGE REQUIREMENT	MINIMUM COVERAGE REQUIREMENT	MINIMUM COVERAGE REQUIREMENT	MINIMUM COVERAGE REQUIREMENT	MINIMUM COVERAGE REQUIREMENT
0020	Total minimum coverage requirement
0030	Unsecured part of NPEs
0040	Secured part of NPEs
0050	Exposure value
0060	Unsecured part of NPEs
0070	Secured part of NPEs
AVAILABLE COVERAGE	AVAILABLE COVERAGE	AVAILABLE COVERAGE	AVAILABLE COVERAGE	AVAILABLE COVERAGE	AVAILABLE COVERAGE	AVAILABLE COVERAGE	AVAILABLE COVERAGE	AVAILABLE COVERAGE	AVAILABLE COVERAGE	AVAILABLE COVERAGE	AVAILABLE COVERAGE	AVAILABLE COVERAGE
0080	Total provisions and adjustments or deductions (capped)
0090	Total provisions and adjustments or deductions (uncapped)
0100	Specific credit risk adjustments
0110	Additional valuation adjustments
0120	Other own funds reductions
0130	IRB shortfall
0140	Difference between the purchase price and the amount owed by the debtor
0150	Amounts written-off by the institution since the exposure was classified as non-performing

C 35.02 - NPE LOSS COVERAGE: MINIMUM COVERAGE REQUIREMENTS AND EXPOSURE VALUES OF NON-PERFORMING EXPOSURES EXCLUDING FORBORNE EXPOSURES THAT FALL UNDER ARTICLE 47C (6) CRR (NPE LC2)

		Time passed since exposures classified as non-performing	Time passed since exposures classified as non-performing	Time passed since exposures classified as non-performing	Time passed since exposures classified as non-performing	Time passed since exposures classified as non-performing	Time passed since exposures classified as non-performing	Time passed since exposures classified as non-performing	Time passed since exposures classified as non-performing	Time passed since exposures classified as non-performing	Time passed since exposures classified as non-performing	Total
		<= 1 year	> 1 year <= 2 years	> 2 years <= 3 years	> 3 years <= 4 years	> 4 years <= 5 years	> 5 years <= 6 years	> 6 years <= 7 years	> 7 years <= 8 years	> 8 years <= 9 years	> 9 years	Total
		0010	0020	0030	0040	0050	0060	0070	0080	0090	0100	0110
0010	TOTAL MINIMUM COVERAGE REQUIREMENT
0020	Unsecured part of NPEs
0030	Part of NPEs secured by immovable property or residential loan guaranteed by an eligible protection provider
0040	Part of NPEs secured by other funded or unfunded credit protection
0050	Part of NPEs guaranteed or insured by an official export credit agency
0060	EXPOSURE VALUE
0070	Unsecured part of NPEs
	*Factor*			0.35	1	1	1	1	1	1	1
0080	Part of NPEs secured by immovable property or residential loan guaranteed by an eligible protection provider
	*Factor*				0.25	0.35	0.55	0.7	0.8	0.85	1
0090	Part of NPEs secured by other funded or unfunded credit protection
	*Factor*				0.25	0.35	0.55	0.8	1	1	1
0100	Part of NPEs guaranteed or insured by an official export credit agency
	*Factor*								1	1	1

C 35.03 - NPE LOSS COVERAGE: MINIMUM COVERAGE REQUIREMENTS AND EXPOSURE VALUES OF NON-PERFORMING FORBORNE EXPOSURES THAT FALL UNDER ARTICLE 47C (6) CRR (NPE LC3)

		Time passed since exposures classified as non-performing	Time passed since exposures classified as non-performing	Time passed since exposures classified as non-performing	Time passed since exposures classified as non-performing	Time passed since exposures classified as non-performing	Time passed since exposures classified as non-performing	Time passed since exposures classified as non-performing	Time passed since exposures classified as non-performing	Time passed since exposures classified as non-performing	Time passed since exposures classified as non-performing	TOTAL
		<= 1 year	> 1 year <= 2 years	> 2 years <= 3 years	> 3 years <= 4 years	> 4 years <= 5 years	> 5 years <= 6 years	> 6 years <= 7 years	> 7 years <= 8 years	> 8 years <= 9 years	> 9 years	TOTAL
		0010	0020	0030	0040	0050	0060	0070	0080	0090	0100	0110
0010	TOTAL MINIMUM COVERAGE REQUIREMENT
0020	Unsecured part of NPEs
0030	Part of NPEs secured by immovable property or residential loan guaranteed by an eligible protection provider
0040	Part of NPEs secured by other funded or unfunded credit protection
0050	EXPOSURE VALUE
0060	Unsecured part of NPEs First forbearance measure applied between 1 year and 2 years after classification as non-performing (>1 year; <=2 years)
	*Factor*		0	0	1	1	1	1	1	1	1
0070	Part of NPEs secured by immovable property or residential loan guaranteed by an eligible protection provider Breakdown by point in time of granting the first forbearance measure
0080	> 2 and <= 3 years after classification as NPE
	*Factor*			0	0	0.35	0.55	0.7	0.8	0.85	1
0090	> 3 and <= 4 years after classification as NPE
	*Factor*				0.25	0.25	0.55	0.7	0.8	0.85	1
0100	> 4 and <= 5 years after classification as NPE
	*Factor*					0.35	0.35	0.7	0.8	0.85	1
0110	> 5 and <= 6 years after classification as NPE
	*Factor*						0.55	0.55	0.8	0.85	1
0120	Part of NPEs secured by other funded or unfunded credit protection Breakdown by point in time of granting the first forbearance measure
0130	> 2 and <= 3 years after classification as NPE
	*Factor*			0	0	0.35	0.55	0.8	1	1	1
0140	> 3 and <= 4 years after classification as NPE
	*Factor*				0.25	0.25	0.55	0.8	1	1	1
0150	> 4 and <= 5 years after classification as NPE
	*Factor*					0.35	0.35	0.8	1	1	1
0160	> 5 and <= 6 years after classification as NPE
	*Factor*						0.55	0.55	1	1	1

ANNEX II

INSTRUCTIONS FOR REPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS


Table of Contents	Table of Contents
	PART I: GENERAL INSTRUCTIONS
1.	STRUCTURE AND CONVENTIONS
1.1.	STRUCTURE
1.2.	NUMBERING CONVENTION
1.3.	SIGN CONVENTION
	PART II: TEMPLATE RELATED INSTRUCTIONS
1.	CAPITAL ADEQUACY OVERVIEW (‘CA’)
1.1.	GENERAL REMARKS
1.2.	C 01.00 - OWN FUNDS (CA1)
1.2.1.	INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
1.3.	C 02.00 - OWN FUNDS REQUIREMENTS (CA2)
1.3.1.	INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
1.4.	C 03.00 - CAPITAL RATIOS AND CAPITAL LEVELS (CA3)
1.4.1.	INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
1.5.	C 04.00 - MEMORANDUM ITEMS (CA4)
1.5.1.	INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
1.6.	TRANSITIONAL PROVISIONS AND GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUTING STATE AID (CA5)
1.6.1.	GENERAL REMARKS
1.6.2.	C 05.01 - TRANSITIONAL PROVISIONS (CA5.1)
1.6.2.1.	INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
1.6.3.	C 05.02 - GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUING STATE AID (CA5.2)
1.6.3.1.	INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
2.	GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS)
2.1.	GENERAL REMARKS
2.2.	DETAILED GROUP SOLVENCY INFORMATION
2.3.	INFORMATION ON THE CONTRIBUTIONS OF INDIVIDUAL ENTITIES TO GROUP SOLVENCY
2.4.	C 06.01 – GROUP SOLVENCY: INFORMATION ON AFFILIATES – TOTAL (GS TOTAL)
2.5.	C 06.02 – GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS)
3.	CREDIT RISK TEMPLATES
3.1.	GENERAL REMARKS
3.1.1.	REPORTING OF CRM TECHNIQUES WITH SUBSTITUTION EFFECT
3.1.2.	REPORTING OF COUNTERPARTY CREDIT RISK
3.2.	C 07.00 - CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: STANDARDISED APPROACH TO CAPITAL REQUIREMENTS (CR SA)
3.2.1.	GENERAL REMARKS
3.2.2.	SCOPE OF THE CR SA TEMPLATE
3.2.3.	ASSIGNMENT OF EXPOSURES TO EXPOSURE CLASSES UNDER THE STANDARDISED APPROACH
3.2.4.	CLARIFICATIONS ON THE SCOPE OF SOME SPECIFIC EXPOSURE CLASSES REFERRED TO IN ARTICLE 112 OF REGULATION (EU) No 575/2013
3.2.4.1.	EXPOSURE CLASS ‘INSTITUTIONS’
3.2.4.2.	EXPOSURE CLASS ‘COVERED BONDS’
3.2.4.3.	EXPOSURE CLASS ‘COLLECTIVE INVESTMENT UNDERTAKINGS’
3.2.5.	INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
3.3.	CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO OWN FUNDS REQUIREMENTS (CR IRB)
3.3.1.	SCOPE OF THE CR IRB TEMPLATE
3.3.2.	BREAKDOWN OF THE CR IRB TEMPLATE
3.3.3.	C 08.01 - CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS (CR IRB 1)
3.3.3.1	INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
3.3.4.	C 08.02 - CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BREAKDOWN BY OBLIGOR GRADES OR POOLS (CR IRB 2 TEMPLATE)
3.3.1.	C 08.03 - CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS (BREAKDOWN BY PD RANGES (CR IRB 3))
3.3.1.1.	GENERAL REMARKS
3.3.1.2.	INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
3.3.2.	C 08.04 - CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS (RWEA FLOW STATEMENTS (CR IRB 4))
3.3.2.1.	GENERAL REMARKS
3.3.2.2.	INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
3.3.3.	C 08.05 - CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS (BACK-TESTING OF PD (CR IRB 5))
3.3.3.1.	GENERAL REMARKS
3.3.3.2.	INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
3.3.4.	C 08.05.1 - CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BACK-TESTING OF PD IN ACCORDANCE WITH ARTICLE 180(1), POINT (F), OF REGULATION (EU) No 575/2013 (CR IRB 5B)
3.3.4.1.	INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
3.3.5.	C 08.06 - CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS (SPECIALISED LENDING SLOTTING APPROACH (CR IRB 6))
3.3.5.1.	GENERAL REMARKS
3.3.5.2.	INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
3.3.6.	C 08.07 - CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS (SCOPE OF USE OF IRB AND SA APPROACHES (CR IRB 7))
3.3.6.1.	GENERAL REMARKS
3.3.6.2.	INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
3.4.	CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: INFORMATION WITH GEOGRAPHICAL BREAKDOWN
3.4.1.	C 09.01 – GEOGRAPHICAL BREAKDOWN OF EXPOSURES BY RESIDENCE OF THE OBLIGOR: SA EXPOSURES (CR GB 1)
3.4.1.1.	INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
3.4.2.	C 09.02 – GEOGRAPHICAL BREAKDOWN OF EXPOSURES BY RESIDENCE OF THE OBLIGOR: IRB EXPOSURES (CR GB 2)
3.4.2.1.	INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
3.4.3.	C 09.04 – BREAKDOWN OF CREDIT EXPOSURES RELEVANT FOR THE CALCULATION OF THE COUNTERCYCLICAL BUFFER BY COUNTRY AND INSTITUTION-SPECIFIC COUNTERCYCLICAL BUFFER RATE (CCB)
3.4.3.1.	GENERAL REMARKS
3.4.3.2.	INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
3.5.	C 10.01 AND C 10.02 – EQUITY EXPOSURES UNDER THE INTERNAL RATINGS BASED APPROACH (CR EQU IRB 1 AND CR EQU IRB 2)
3.5.1.	GENERAL REMARKS
3.5.2.	INSTRUCTIONS CONCERNING SPECIFIC POSITIONS (APPLICABLE TO BOTH CR EQU IRB 1 AND CR EQU IRB 2)
3.6.	C 11.00 – SETTLEMENT/DELIVERY RISK (CR SETT)
3.6.1.	GENERAL REMARKS
3.6.2.	INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
3.7.	C 13.01 - CREDIT RISK – SECURITISATIONS (CR SEC)
3.7.1.	GENERAL REMARKS
3.7.2.	INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
3.8.	DETAILED INFORMATION ON SECURITISATIONS (SEC DETAILS)
3.8.1.	SCOPE OF THE SEC DETAILS TEMPLATE
3.8.2	BREAKDOWN OF THE SEC DETAILS TEMPLATE
3.8.3	C 14.00 – DETAILED INFORMATION ON SECURITISATIONS (SEC DETAILS)
3.8.4.	C 14.01 – DETAILED INFORMATION ON SECURITISATIONS (SEC DETAILS 2)
3.9.	COUNTERPARTY CREDIT RISK
3.9.1.	SCOPE OF THE COUNTERPARTY CREDIT RISK TEMPLATES
3.9.2.	C 34.01 - SIZE OF THE DERIVATIVE BUSINESS
3.9.2.1.	GENERAL REMARKS
3.9.2.2.	INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
3.9.3.	C 34.02 - CCR EXPOSURES BY APPROACH
3.9.3.1.	GENERAL REMARKS
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
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
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
3.9.8.2.	INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
3.9.9.	C 34.08 - COMPOSITION OF COLLATERAL FOR CCR EXPOSURES
3.9.9.1.	GENERAL REMARKS
3.9.9.2.	INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
3.9.10.	C 34.09 - CREDIT DERIVATIVES EXPOSURES
3.9.10.1.	INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
3.9.11.	C 34.10 - EXPOSURES TO CCPS
3.9.11.1.	GENERAL REMARKS
3.9.11.2.	INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
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
3.9.12.2.	INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
4.	OPERATIONAL RISK TEMPLATES
4.1.	C 16.00 – OPERATIONAL RISK (OPR)
4.1.1.	GENERAL REMARKS
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
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
4.2.2.2.	INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
4.2.3.	C 17.02: OPERATIONAL RISK: DETAILED INFORMATION ON THE LARGEST LOSS EVENTS IN THE LAST YEAR (OPR DETAILS 2)
4.2.3.1.	GENERAL REMARKS
4.2.3.2.	INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
5.	MARKET RISK TEMPLATES
5.1.	C 18.00 – MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS (MKR SA TDI)
5.1.1.	GENERAL REMARKS
5.1.2.	INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
5.2.	C 19.00 - MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS (MKR SA SEC)
5.2.1.	GENERAL REMARKS
5.2.2.	INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
5.3.	C 20.00 - MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK FOR POSITIONS ASSIGNED TO THE CORRELATION TRADING PORTFOLIO (MKR SA CTP)
5.3.1.	GENERAL REMARKS
5.3.2.	INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
5.4.	C 21.00 - MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES (MKR SA EQU)
5.4.1.	GENERAL REMARKS
5.4.2.	INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
5.5.	C 22.00 - MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK (MKR SA FX)
5.5.1.	GENERAL REMARKS
5.5.2.	INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
5.6.	C 23.00 - MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES (MKR SA COM)
5.6.1.	GENERAL REMARKS
5.6.2.	INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
5.7.	C 24.00 - MARKET RISK INTERNAL MODEL (MKR IM)
5.7.1.	GENERAL REMARKS
5.7.2.	INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
5.8.	C 25.00 - CREDIT VALUATION ADJUSTMENT RISK (CVA)
5.8.1.	INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
6.	PRUDENT VALUATION (PRUVAL)
6.1.	C 32.01 - PRUDENT VALUATION: FAIR-VALUED ASSETS AND LIABILITIES (PRUVAL 1)
6.1.1.	GENERAL REMARKS
6.1.2.	INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
6.2.	C 32.02 - PRUDENT VALUATION: CORE APPROACH (PRUVAL 2)
6.2.1.	GENERAL REMARKS
6.2.2.	INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
6.3.	C 32.03 - PRUDENT VALUATION: MODEL RISK AVA (PRUVAL 3)
6.3.1.	GENERAL REMARKS
6.3.2.	INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
6.4	C 32.04 - PRUDENT VALUATION: CONCENTRATED POSITIONS AVA (PRUVAL 4)
6.4.1.	GENERAL REMARKS
6.4.2.	INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
7.	C 33.00 - EXPOSURES TO GENERAL GOVERNMENTS (GOV)
7.1.	GENERAL REMARKS
7.2.	SCOPE OF THE TEMPLATE ON EXPOSURES TO ‘GENERAL GOVERNMENTS’
7.3.	INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
8.	NPE LOSS COVERAGE (NPE LC)
8.1.	GENERAL REMARKS
8.2.	C 35.01 – THE CALCULATION OF DEDUCTIONS FOR NON-PERFORMING EXPOSURES (NPE LC1)
8.2.1.	INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
8.3.	C 35.02 – MINIMUM COVERAGE REQUIREMENTS AND EXPOSURE VALUES OF NON-PERFORMING EXPOSURES EXCLUDING FORBORNE EXPOSURES THAT FALL UNDER ARTICLE 47C (6) OF REGULATION (EU) No 575/2013 (NPE LC2)
8.3.1.	INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
8.4.	C 35.03 – MINIMUM COVERAGE REQUIREMENTS AND EXPOSURE VALUES OF NON-PERFORMING FORBORNE EXPOSURES THAT FALL UNDER ARTICLE 47C (6) OF REGULATION (EU) No 575/2013 (NPE LC3)
8.4.1.	INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

PART I: GENERAL INSTRUCTIONS

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