ANNEX II

Legal references and instructions

Column number

Explanation

a

Total risk exposure amounts (TREA)

Total risk exposure amount calculated in accordance with Articles 92(3) and Articles 95, 96 and 98 CRR

b

TREA (T-1)

TREA as disclosed in the previous disclosure period

c

Total own funds requirements

Own fund requirements corresponding to the RWEAs for the different risk categories

Legal references and instructions

Row number

Explanation

1

Credit risk (excluding CCR)

RWEAs and own funds requirements calculated in accordance with Chapters 1 to 4 of Title II of Part Three CRR, and with Article 379 CRR. RWEAs for securitisation exposures in the non-trading book and for CCR are excluded and disclosed in rows 6 and 16 of this template. Institutions shall include, in the amount disclosed in this row, RWEAs and own funds requirements for free deliveries risk calculated in accordance with Article 379 CRR.

2

Credit risk (excluding CCR) - Of which the standardised approach

RWEAs and own funds requirements calculated in accordance with the CR standardised approach (Chapter 2 of Title II of Part Three CRR and Article 379 CRR).

3

Credit risk (excluding CCR) - Of which the Foundation IRB (F-IRB) approach

RWEAs and own funds requirements calculated in accordance with the CR – Foundation Internal Ratings Based Approach (Chapter 3 of Title II of Part Three CRR), excluding the RWEAs disclosed in row 4 for specialised lending exposures subject to the slotting approach, and in row EU 4a for equities under the simple risk weighted approach, and including the RWEAs and own funds requirements calculated in accordance with Article 379 CRR.

4

Credit risk (excluding CCR) - Of which: slotting approach

RWEAs and own funds requirements for specialised lending exposures subject to the slotting approach calculated in accordance with Article 153(5) CRR.

EU 4a

Credit risk (excluding CCR) - Of which: equities under the simple risk weighted approach

RWEAs and own funds requirements for equities under the simple risk weighted approach calculated in accordance with Article 155(2) CRR.

5

Credit risk (excluding CCR) - Of which the Advanced IRB (A-IRB) approach

RWEAs and own funds requirements calculated in accordance with the CR – Advanced Internal Ratings Based Approach (Chapter 3 of Title II of Part Three CRR), excluding the RWEAs disclosed in row 4 for specialised lending exposures subject to the slotting approach and in row EU 4a for equities under the simple risk weighted approach and including the RWEAs and own funds requirements calculated in accordance with Article 379 CRR.

6

Counterparty credit risk – CCR

RWEAs and own funds requirements calculated in accordance with Chapter 6 of Title II of Part Three CRR for counterparty credit risk.

7

CCR - Of which the standardised approach

RWEAs and own funds requirements calculated in accordance with Section 3 of Chapter 6 of Title II of Part Three CRR.

8

CCR - Of which internal model method (IMM)

RWEAs and own funds requirements calculated in accordance with Article 283 CRR.

EU 8a

CCR – Of which exposures to a CCP

RWEAs and own funds requirements calculated in accordance with Section 9 of Chapter 6 of Title II of Part Three CRR.

EU 8b

CCR – Of which credit valuation adjustment – CVA

RWEAs and own funds requirements calculated in accordance with Title VI of Part Three CRR.

9

CCR - Of which other CCR

CCR RWEAs and own funds requirements that are not disclosed under rows 7, 8, EU 8a and EU 8b.

10

Not applicable

11

Not applicable

12

Not applicable

13

Not applicable

14

Not applicable

15

Settlement risk

Risk exposure amount (REA) and own funds requirements calculated for settlement/delivery risk in accordance with Article 378 CRR.

16

Securitisation exposures in the non-trading book (after the cap)

RWEAs and own funds requirements calculated in accordance with Chapter 5 of Title II of Part Three CRR.

17

Securitisation - Of which SEC-IRBA approach

RWEAs and own funds requirements calculated in accordance with the SEC-IRBA regulatory approach, used in accordance with the hierarchy of approaches set out in Article 254 CRR.

18

Securitisation - Of which SEC-ERBA (including IAA)

RWEAs and own funds requirements calculated in accordance with the SEC-ERBA (including IAA) regulatory approach, used in accordance with the hierarchy of approaches set out in Article 254 CRR.

19

Securitisation - Of which SEC-SA approach

RWEAs and own funds requirements calculated in accordance with the SEC-SA regulatory approach, used in accordance with the hierarchy of approaches set out in Article 254 CRR.

EU 19a

Securitisation - Of which 1 250  % / deduction

RWEAs and own funds requirements for securitisation exposures on the non-trading book risk-weigh at 1 250  % or deducted from own funds in accordance with Chapter 5 of Title II of Part Three CRR.

20

Position, foreign exchange and commodities risks (Market risk)

RWEAs and own funds requirements calculated in accordance with Title IV of Part Three CRR.

21

Market risk - Of which the standardised approach

RWEAs and own funds requirements calculated in accordance with Chapters 2 to 4 of Title IV of Part Three CRR.

22

Market risk - Of which IMA

REA and own funds requirements calculated in accordance with Chapter 5 of Title IV of Part Three CRR.

EU 22a

Large exposures

REA and own funds requirements calculated in accordance with point (b)(ii) of Article 92(3) CRR.

23

Operational risk

REA and own funds requirements calculated in accordance with Title III of Part Three CRR.

EU 23a

Operational risk - Of which basic indicator approach

REA and own funds requirements calculated in accordance with Chapter 2 of Title III of Part Three CRR.

EU 23b

Operational risk - Of which standardised approach

REA and own funds requirements calculated in accordance with Chapter 3 of Title III of Part Three CRR.

EU 23c

Operational risk - Of which advanced measurement approach

REA and own funds requirements calculated in accordance with Chapter 4 of Title III of Part Three CRR.

24

Amount below the thresholds for deduction (subject to 250% risk weight)

The amount shall correspond to the sum of amounts of the items subject to a 250% risk weight referred to in Article 48(4) CRR after application of the 250% risk weight. Those amounts include:

The information in this row is disclosed for information purposes only as the amount included here is also included in row 1, where institutions are asked to disclose information on credit risk.

25

Not applicable

26

Not applicable

27

Not applicable

28

Not applicable

29

Total

Total risk exposure amount calculated in accordance with Article 92(3) and Articles 95, 96 and 98 CRR.

Legal references and instructions

Column number

Explanation

a - e

Disclosure periods T, T-1, T-2, T-3 and T-4 are defined as quarterly periods and shall be populated depending on the frequency set by Articles 433a, 433b and 433c CRR.

Institutions disclosing the information contained in this template on a quarterly basis shall provide data for periods T, T-1, T-2, T-3 and T-4; institutions disclosing the information in this template on a semi-annual basis shall provide data for periods T, T-2 and T-4; and institutions disclosing the information in this template on an annual basis shall provide data for periods T and T-4.

Institutions shall disclose the dates corresponding to the disclosure periods.

The disclosure of data for previous periods is not required when data are disclosed for the first time.

Legal references and instructions

Row number

Explanation

1

Common Equity Tier 1 (CET1) capital

Amount of CET1 capital shall be the amount disclosed by institutions inf Annex VII to this Implementing Regulation (row 29 of template EU CC1 Composition of regulatory own funds)

2

Tier 1 capital

Amount of Tier 1 capital shall be the amount disclosed by institutions in Annex VII to this Implementing Regulation (row 45 of template EU CC1 Composition of regulatory own funds)

3

Total capital

Amount of total capital shall be the amount disclosed by institutions in Annex VII to this Implementing Regulation (row 59 of template EU CC1 Composition of regulatory own funds)

4

Total risk exposure amount

Amount of total risk exposure amount (TREA) shall be the amount disclosed by institutions in Annex VII to this Implementing Regulation (row 60 of template EU CC1 Composition of regulatory own funds)

5

Common Equity Tier 1 ratio (%)

CET1 capital ratio shall be the value disclosed by institutions in Annex VII to this Implementing Regulation (row 61 of template EU CC1 Composition of regulatory own funds)

6

Tier 1 ratio (%)

Tier 1 capital ratio shall be the value disclosed by institutions in Annex VII to this Implementing Regulation (row 62 of template EU CC1 Composition of regulatory own funds)

7

Total capital ratio (%)

Total capital ratio shall be the value disclosed by institutions in Annex VII to this Implementing Regulation (row 63 of template EU CC1 Composition of regulatory own funds)

EU 7a

Additional own funds requirements to address risks other than the risk of excessive leverage (%)

Additional own funds requirements to address risks other than the risk of excessive leverage imposed by the competent authority under point (a) of Article 104(1) CRD, expressed as a percentage of the total risk exposure amount.

EU 7b

of which: to be made up of CET1 capital (percentage points)

The part of the additional own funds requirements to address risks other than the risk of excessive leverage imposed by the competent authority under point (a) of Article 104(1) CRD, which has to be met with Common Equity Tier 1 capital in accordance with the first and third subparagraph of Article 104a(4).

EU 7c

of which: to be made up of Tier 1 capital (percentage points)

The part of the additional own funds requirements to address risks other than the risk of excessive leverage imposed by the competent authority under point (a) of Article 104(1) CRD, which has to be met with Tier 1 capital in accordance with the first and third subparagraph of Article 104a(4).

EU 7d

Total SREP own funds requirements (TSCR ratio) (%)

The sum of values determined under points (i) and (ii) as follows:

(i)  the total capital ratio (8%) as specified in point (c) of Article 92(1) CRR;

(ii)  the additional own funds requirements to address risks other than the risk of excessive leverage (Pillar 2 Requirements – P2R) imposed by the competent authority under point (a) of Article 104(1) CRD and determined in accordance with the criteria specified in the EBA Guidelines on common procedures and methodologies for the supervisory review and evaluation process and supervisory stress testing (1) (‘EBA SREP GL’), expressed as a percentage of the total RWEAs.

This item shall reflect the total SREP capital requirement (TSCR) ratio as communicated to the institution by the competent authority. The TSCR is defined in Section 1.2 EBA SREP GL.

Where no additional own funds requirements imposed to address risks other than the risk of excessive leverage were communicated by the competent authority, only point (i) shall be disclosed.

8

Capital conservation buffer (%)

Amount of own funds that institutions are required to maintain in accordance with Article 128(1) and Article 129 CRD, expressed as a percentage of total RWEAs.

EU 8a

Conservation buffer due to macro-prudential or systemic risk identified at the level of a Member State (%)

Amount of the conservation buffer due to macro-prudential or systemic risk identified at the level of a Member State, which can be requested in accordance with Article 458 CRR in addition to the capital conservation buffer, expressed as a percentage of total RWEAs.

9

Institution specific countercyclical capital buffer (%)

Amount of own funds that institutions are required to maintain in accordance with Article 128(2), Article 130, and Articles 135 to 140 CRD, expressed as a percentage of total RWEAs.

The percentage shall reflect the amount of own funds needed to fulfil the respective capital buffer requirements at the disclosure date.

EU 9a

Systemic risk buffer (%)

Amount of own funds that institutions are required to maintain in accordance with Article 128(5), Articles 133 and 134 CRD, expressed as a percentage of total RWEAs.

The percentage shall reflect the amount of own funds needed to fulfil the respective capital buffer requirements at the disclosure date.

10

Global Systemically Important Institution buffer (%)

Amount of own funds that institutions are required to maintain in accordance with Article 128 (3) and Article 131 CRD, expressed as a percentage of total RWEAs.

The percentage shall reflect the amount of own funds needed to fulfil the respective capital buffer requirements at the disclosure date.

EU 10a

Other Systemically Important Institution buffer (%)

Amount of own funds that institutions are required to maintain in accordance with Article 128(4) and Article 131 CRD, expressed as a percentage of total RWEAs.

The percentage shall reflect the amount of own funds needed to fulfil the respective capital buffer requirements at the disclosure date.

11

Combined buffer requirement (%)

In accordance with point (6) of Article 128 CRD, expressed as a percentage of total RWEAs.

EU 11a

Overall capital requirements (OCR) (%)

The sum of (i) and (ii) as follows:

(i)  the TSCR ratio referred to in row EU 7d;

(ii)  to the extent it is legally applicable, the combined buffer requirement ratio referred to in point (6) of Article 128 CRD.

This item shall reflect the Overall Capital Requirement (OCR) ratio as defined in Section 1.2 EBA SREP GL.

Where no buffer requirement is applicable, only point (i) shall be disclosed.

12

CET1 available after meeting the total SREP own funds requirements (%)

13

Total exposure measure

Total exposure measure in accordance with the amount disclosed by institutions in Annex XI to this Implementing Regulation (row 24 of template EU LR2 - LRCom: Leverage ratio common disclosure)

14

Leverage ratio (%)

Leverage ratio in accordance with the value disclosed by institutions in Annex XI to this Implementing Regulation (row 25 of template EU LR2 - LRCom: Leverage ratio common disclosure)

EU 14a

Additional own funds requirements to address the risk of excessive leverage (%)

The additional own funds requirements to address the risk of excessive leverage imposed by the competent authority under point (a) of Article 104(1) CRD, expressed as a percentage of the total exposure measure.

Additional own funds requirements in accordance with the value disclosed by institutions in Annex XI to this Implementing Regulation (row EU-26a of template EU LR2 - LRCom: Leverage ratio common disclosure).

EU 14b

of which: to be made up of CET1 capital (percentage points)

The part of the additional own funds requirements to address the risk of excessive leverage imposed by the competent authority under point (a) of Article 104(1) CRD, which has to be met with CET1 capital in accordance with the third subparagraph of Article 104a(4).

Additional own funds requirements in accordance with the value disclosed by institutions in Annex XI to this Implementing Regulation (row EU-26b of template EU LR2 - LRCom: Leverage ratio common disclosure).

EU 14c

Total SREP leverage ratio requirements (%)

The sum of (i) and (ii) as follows:

(i)  the minimum leverage ratio requirement as specified in point (d) of Article 92(1) CRR or the adjusted leverage ratio requirement calculated in accordance with Article 429a(7) CRR, as applicable;

(ii)  the additional own funds requirements to address the risk of excessive leverage (Pillar 2 Requirements – P2R) imposed by the competent authority under point (a) of Article 104(1) CRD, expressed as a percentage of the total exposure measure.

This item shall reflect the total SREP leverage ratio requirement (TSLRR) as communicated to the institution by the competent authority.

If no additional own funds requirements to address the risk of excessive leverage were imposed by the competent authority, only point (i) shall be disclosed.

EU 14d

Leverage ratio buffer requirement (%)

Article 92(1a) CRR

Applicable leverage ratio buffer in accordance with the value disclosed by institutions in Annex XI to this Implementing Regulation (row 27 of template EU LR2 - LRCom: Leverage ratio common disclosure)

EU 14e

Overall leverage ratio requirement (%)

Sum of rows EU 14c and EU 14d

15

Total high-quality liquid assets (HQLA) (Weighted value - average)

Institutions shall disclose as the weighted value the value of the liquid assets in accordance with Article 9 of Commission Delegated Regulation (EU) 2015/61 (2) before applying the adjustment mechanism set out in Article 17(2) of Delegated Regulation (EU) 2015/61.

EU 16a

Cash outflows - Total weighted value

Institutions shall disclose the sum of the weighted value of their cash outflows, as disclosed in Annex XIII (row 16 of Template EU LIQ1 - Quantitative information of LCR).

EU 16b

Cash inflows - Total weighted value

Institutions shall disclose the sum of the weighted value of their cash inflows, as disclosed in Annex XIII (row 20 of Template EU LIQ1 - Quantitative information of LCR.

16

Total net cash outflows (Adjusted value)

Institutions shall disclose as the adjusted value the net liquidity outflow which equals total outflows less the reduction for fully exempt inflows less the reduction for inflows subject to the 90% cap less the reduction for inflows subject to the 75% cap.

17

Liquidity coverage ratio (%)

Institutions shall disclose as the adjusted value the percentage of the item 'Liquidity coverage ratio (%)' as defined in Article 4(1) of Delegated Regulation (EU) 2015/61.

The liquidity coverage ratio shall be equal to the ratio of a credit institution's liquidity buffer to its net liquidity outflows over a 30 calendar days stress period and shall be expressed as a percentage.

18

Total available stable funding

Institutions shall disclose the amount of available stable funding calculated in accordance with Chapter 3 of Title IV of Part Six CRR, as disclosed in Annex XIII (row 14 of Template EU LIQ2 – Net Stable Funding Ratio).

19

Total required stable funding

Institutions shall disclose the amount of required stable funding calculated in accordance with Chapter 4 of Title IV of Part Six CRR, as disclosed in Annex XIII (row 33 of Template EU LIQ2 – Net Stable Funding Ratio).

20

NSFR ratio (%)

NSFR ratio calculated in accordance with Article 428b CRR.

Legal references and instructions

Column number

Explanation

a

Exposure value

Exposure value of own fund instruments held in any insurance undertaking, re-insurance undertaking or insurance holding company that the institutions do not deduct from their own funds in accordance with Article 49 CRR when calculating their capital requirements on an individual, sub-consolidated and consolidated basis.

b

Risk exposure amount

Risk exposure amount of own fund instruments held in any insurance undertaking, re-insurance undertaking or insurance holding company that the institutions do not deduct from their own funds in accordance with Article 49 CRR when calculating their capital requirements on an individual, sub-consolidated and consolidated basis.

Legal references and instructions

Row number

Explanation

1

Supplementary own fund requirements of the financial conglomerate (amount)

The amount of supplementary own fund requirements of the financial conglomerate calculated in accordance with Article 6 of Directive (EC) 2002/87 of European Parliament and of the Council (1) and Annex I to that Directive where methods 1 or 2 set out in Annex I are applied.

2

Capital adequacy ratio of the financial conglomerate (%)

The capital adequacy ratio of the financial conglomerate calculated in accordance with Article 6 of Directive (EC) 2002/87 and Annex I to that Directive where methods 1 or 2 set out in Annex I are applied.

Legal references and instructions

Row number

Explanation

(a)

Approach to assessing the adequacy of their internal capital

Institutions shall disclose a summary of their approach to assessing the adequacy of their internal capital to support current and future activities.

(b)

Upon demand from the relevant competent authority, the result of the institution's internal capital adequacy assessment process

This information shall only be disclosed by institutions when required by the relevant competent authority.