EN  . C - CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: STANDARDISED APPROACH TO CAPITAL REQUIREMENTS (CR SA) SA Exposure class ORIGINAL EXPOSURE PRE CONVERSION FACTORS. VALUE ADJUSTMENTS AND PROVISIONS ASSOCIATED WITH THE ORIGINAL EXPOSURE EXPOSURE NET OF VALUE ADJUSTMENTS AND PROVISIONS CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (Ga) FUNDED CREDIT PROTECTION SUBSTITUTION OF THE EXPOSURE DUE TO CRM. GUAR ANTEES. CREDIT DERIVATIVES. FINANCIAL COLLATERAL: SIMPLE METHOD. OTHER FUNDED CREDIT PROTECTION. TOTAL OUTFLOWS TOTAL INFLOWS (+) TOTAL EXPOSURES of which: Defaulted exposures of which: SME of which: Exposures subject to SME- supporting factor of which: Exposures subject to the Infra structure supporting factor of which: Secured by mortgages on immovable property - Residential property of which: Exposures under the permanent partial use of the standardised approachEN.   ORIGINAL EXPOSURE PRE CONVERSION FACTORS. VALUE ADJUSTMENTS AND PROVISIONS ASSOCIATED WITH THE ORIGINAL EXPOSURE EXPOSURE NET OF VALUE ADJUSTMENTS AND PROVISIONS CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (Ga) FUNDED CREDIT PROTECTION SUBSTITUTION OF THE EXPOSURE DUE TO CRM. GUAR ANTEES. CREDIT DERIVATIVES. FINANCIAL COLLATERAL: SIMPLE METHOD. OTHER FUNDED CREDIT PROTECTION. TOTAL OUTFLOWS TOTAL INFLOWS (+) of which: Exposures under the stan dardised approach with prior super visory permission to carry out a sequential IRB implementation BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES: On balance sheet exposures subject to credit risk Off balance sheet exposures subject to credit risk Exposures / Transactions subject to counterparty credit risk Securities Financing Transactions netting sets of which: centrally cleared through a QCCP Derivatives & Long Settlement Transactions netting sets of which: centrally cleared through a QCCPEN  . ORIGINAL EXPOSURE PRE CONVERSION FACTORS. VALUE ADJUSTMENTS AND PROVISIONS ASSOCIATED WITH THE ORIGINAL EXPOSURE EXPOSURE NET OF VALUE ADJUSTMENTS AND PROVISIONS CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (Ga) FUNDED CREDIT PROTECTION SUBSTITUTION OF THE EXPOSURE DUE TO CRM. GUAR ANTEES. CREDIT DERIVATIVES. FINANCIAL COLLATERAL: SIMPLE METHOD. OTHER FUNDED CREDIT PROTECTION. TOTAL OUTFLOWS TOTAL INFLOWS (+) From Contractual Cross Product netting sets BREAKDOWN OF TOTAL EXPOSURES BY RISK WEIGHTS: 0 % 2 % 4 % 10 % 20 % 35 % 50 % 70 % 75 % 100 % 150 % 250 %EN.   ORIGINAL EXPOSURE PRE CONVERSION FACTORS. VALUE ADJUSTMENTS AND PROVISIONS ASSOCIATED WITH THE ORIGINAL EXPOSURE EXPOSURE NET OF VALUE ADJUSTMENTS AND PROVISIONS CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (Ga) FUNDED CREDIT PROTECTION SUBSTITUTION OF THE EXPOSURE DUE TO CRM. GUAR ANTEES. CREDIT DERIVATIVES. FINANCIAL COLLATERAL: SIMPLE METHOD. OTHER FUNDED CREDIT PROTECTION. TOTAL OUTFLOWS TOTAL INFLOWS (+) 370 % 1 250 % Other risk weights BREAKDOWN OF TOTAL EXPOSURES BY APPROACH (CIU): Look-through approach Mandate-based approach Fall-back approach MEMORANDUM ITEMS Exposures secured by mortgages on commercial immovable property Exposures in default subject to a risk weight of 100 % Exposures secured by mortgages on resi dential property Exposures in default subject to a risk weight of 150 %EN  . NET EXPOSURE AFTER CRM SUBSTI TUTION EFFECTS PRE CONVERSION FACTORS CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE EXPOSURE AMOUNT: FUNDED CREDIT PROTECTION. FINANCIAL COLLATERAL COMPREHENSIVE METHOD FULLY ADJUSTED EXPOSURE VALUE (E*) BREAKDOWN OF THE FULLY ADJUSTED EXPOSURE VALUE OF OFF- BALANCE SHEET ITEMS BY CONVERSION FACTORS VOLATILITY ADJUSTMENT TO THE EXPOSURE. FINANCIAL COLLATERAL: ADJUSTED VALUE (Cvam) 0 % 20 % 50 % 100 %. OF WHICH: VOLATILITY AND MATURITY ADJUST MENTS TOTAL EXPOSURES of which: Defaulted exposures of which: SME of which: Exposures subject to SME- supporting factor of which: Exposures subject to the Infra structure supporting factor of which: Secured by mortgages on immovable property - Residential property of which: Exposures under the permanent partial use of the standardised approachEN.   NET EXPOSURE AFTER CRM SUBSTI TUTION EFFECTS PRE CONVERSION FACTORS CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE EXPOSURE AMOUNT: FUNDED CREDIT PROTECTION. FINANCIAL COLLATERAL COMPREHENSIVE METHOD FULLY ADJUSTED EXPOSURE VALUE (E*) BREAKDOWN OF THE FULLY ADJUSTED EXPOSURE VALUE OF OFF- BALANCE SHEET ITEMS BY CONVERSION FACTORS VOLATILITY ADJUSTMENT TO THE EXPOSURE. FINANCIAL COLLATERAL: ADJUSTED VALUE (Cvam) 0 % 20 % 50 % 100 %. OF WHICH: VOLATILITY AND MATURITY ADJUST MENTS of which: Exposures under the stan dardised approach with prior super visory permission to carry out a sequential IRB implementation BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES: On balance sheet exposures subject to credit risk Off balance sheet exposures subject to credit risk Exposures / Transactions subject to counterparty credit risk Securities Financing Transactions netting sets of which: centrally cleared through a QCCP Derivatives & Long Settlement Transactions netting sets of which: centrally cleared through a QCCPEN  . NET EXPOSURE AFTER CRM SUBSTI TUTION EFFECTS PRE CONVERSION FACTORS CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE EXPOSURE AMOUNT: FUNDED CREDIT PROTECTION. FINANCIAL COLLATERAL COMPREHENSIVE METHOD FULLY ADJUSTED EXPOSURE VALUE (E*) BREAKDOWN OF THE FULLY ADJUSTED EXPOSURE VALUE OF OFF- BALANCE SHEET ITEMS BY CONVERSION FACTORS VOLATILITY ADJUSTMENT TO THE EXPOSURE. FINANCIAL COLLATERAL: ADJUSTED VALUE (Cvam) 0 % 20 % 50 % 100 %. OF WHICH: VOLATILITY AND MATURITY ADJUST MENTS From Contractual Cross Product netting sets BREAKDOWN OF TOTAL EXPOSURES BY RISK WEIGHTS: 0 % 2 % 4 % 10 % 20 % 35 % 50 % 70 % 75 % 100 % 150 % 250 %EN.   NET EXPOSURE AFTER CRM SUBSTI TUTION EFFECTS PRE CONVERSION FACTORS CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE EXPOSURE AMOUNT: FUNDED CREDIT PROTECTION. FINANCIAL COLLATERAL COMPREHENSIVE METHOD FULLY ADJUSTED EXPOSURE VALUE (E*) BREAKDOWN OF THE FULLY ADJUSTED EXPOSURE VALUE OF OFF- BALANCE SHEET ITEMS BY CONVERSION FACTORS VOLATILITY ADJUSTMENT TO THE EXPOSURE. FINANCIAL COLLATERAL: ADJUSTED VALUE (Cvam) 0 % 20 % 50 % 100 %. OF WHICH: VOLATILITY AND MATURITY ADJUST MENTS 370 % 1 250 % Other risk weights BREAKDOWN OF TOTAL EXPOSURES BY APPROACH (CIU): Look-through approach Mandate-based approach Fall-back approach MEMORANDUM ITEMS Exposures secured by mortgages on commercial immovable property Exposures in default subject to a risk weight of 100 % Exposures secured by mortgages on resi dential property Exposures in default subject to a risk weight of 150 %EN  . EXPOSURE VALUE RISK WEIGHTED EXPOSURE AMOUNT PRE SUPPORTING FACTORS. ADJUSTMENT TO THE RISK- WEIGHTED EXPOSURE AMOUNT DUE TO SME SUPPORTING FACTOR. ADJUSTMENT TO THE RISK- WEIGHTED EXPOSURE AMOUNT DUE TO THE INFRASTRUCTURE SUPPORTING FACTOR RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS OF WHICH: ARISING FROM COUNTER- PARTY CREDIT RISK OF WHICH: WITH A CREDIT ASSESSMENT BY A NOMINATED ECAI OF WHICH: WITH A CREDIT ASSESSMENT DERIVED FROM CENTRAL GOVERNMENT OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK EXCLUDING EXPOSURES CLEARED THROUGH A CCP TOTAL EXPOSURES Cell linked to CA of which: Defaulted exposures of which: SME of which: Exposures subject to SME- supporting factor of which: Exposures subject to the Infra structure supporting factor of which: Secured by mortgages on immovable property - Residential property of which: Exposures under the permanent partial use of the standardised approachEN.   EXPOSURE VALUE RISK WEIGHTED EXPOSURE AMOUNT PRE SUPPORTING FACTORS. ADJUSTMENT TO THE RISK- WEIGHTED EXPOSURE AMOUNT DUE TO SME SUPPORTING FACTOR. ADJUSTMENT TO THE RISK- WEIGHTED EXPOSURE AMOUNT DUE TO THE INFRASTRUCTURE SUPPORTING FACTOR RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS OF WHICH: ARISING FROM COUNTER- PARTY CREDIT RISK OF WHICH: WITH A CREDIT ASSESSMENT BY A NOMINATED ECAI OF WHICH: WITH A CREDIT ASSESSMENT DERIVED FROM CENTRAL GOVERNMENT OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK EXCLUDING EXPOSURES CLEARED THROUGH A CCP of which: Exposures under the stan dardised approach with prior super visory permission to carry out a sequential IRB implementation BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES: On balance sheet exposures subject to credit risk Off balance sheet exposures subject to credit risk Exposures / Transactions subject to counterparty credit risk Securities Financing Transactions netting sets of which: centrally cleared through a QCCP Derivatives & Long Settlement Transactions netting sets of which: centrally cleared through a QCCPEN  . EXPOSURE VALUE RISK WEIGHTED EXPOSURE AMOUNT PRE SUPPORTING FACTORS. ADJUSTMENT TO THE RISK- WEIGHTED EXPOSURE AMOUNT DUE TO SME SUPPORTING FACTOR. ADJUSTMENT TO THE RISK- WEIGHTED EXPOSURE AMOUNT DUE TO THE INFRASTRUCTURE SUPPORTING FACTOR RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS OF WHICH: ARISING FROM COUNTER- PARTY CREDIT RISK OF WHICH: WITH A CREDIT ASSESSMENT BY A NOMINATED ECAI OF WHICH: WITH A CREDIT ASSESSMENT DERIVED FROM CENTRAL GOVERNMENT OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK EXCLUDING EXPOSURES CLEARED THROUGH A CCP From Contractual Cross Product netting sets BREAKDOWN OF TOTAL EXPOSURES BY RISK WEIGHTS: 0 % 2 % 4 % 10 % 20 % 35 % 50 % 70 % 75 % 100 % 150 % 250 %EN.   EXPOSURE VALUE RISK WEIGHTED EXPOSURE AMOUNT PRE SUPPORTING FACTORS. ADJUSTMENT TO THE RISK- WEIGHTED EXPOSURE AMOUNT DUE TO SME SUPPORTING FACTOR. ADJUSTMENT TO THE RISK- WEIGHTED EXPOSURE AMOUNT DUE TO THE INFRASTRUCTURE SUPPORTING FACTOR RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS OF WHICH: ARISING FROM COUNTER- PARTY CREDIT RISK OF WHICH: WITH A CREDIT ASSESSMENT BY A NOMINATED ECAI OF WHICH: WITH A CREDIT ASSESSMENT DERIVED FROM CENTRAL GOVERNMENT OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK EXCLUDING EXPOSURES CLEARED THROUGH A CCP 370 % 1 250 % Other risk weights BREAKDOWN OF TOTAL EXPOSURES BY APPROACH (CIU): Look-through approach Mandate-based approach Fall-back approach MEMORANDUM ITEMS Exposures secured by mortgages on commercial immovable property Exposures in default subject to a risk weight of 100 % Exposures secured by mortgages on resi dential property Exposures in default subject to a risk weight of 150 %. C – CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: STANDARDISED APPROACH TO CAPITAL REQUIREMENTS (CR SA). General remarks 45. The CR SA templates provide the necessary information on the calculation of own funds requirements for credit risk in accordance with the Standardised approach. In particular, they provide detailed information on: a) the distribution of the exposure values according to the different, exposure types, risk weights and exposure classes; b) the amount and type of credit risk mitigation techniques used for mitigating the risks.. Scope of the CR SA template 46. In accordance with Article 112 CRR each SA exposure shall be assigned to one of the 16 SA exposure classes to calculate the own funds requirements.EN  . 47. The information in CR SA is required for the total exposure classes and individually for each of the exposure classes under the Standardised approach. The total figures as well as the information of each exposure class are reported in a separate dimension. 48. However the following positions are not within the scope of CR SA: (a) Exposures assigned to exposure class ‘items representing securitisation positions’ as referred to in point (m) of Article 112 CRR, which shall be reported in the CR SEC templates. (b) Exposures deducted from own funds. 49. The scope of the CR SA template shall cover the following own funds requirements: (a) Credit risk in accordance with Chapter 2 (Standardised approach) of Title II of Part Three CRR in the banking book, among which Counterparty credit risk in accordance with Chapters 4 and 6 (Counterparty credit risk) of Title II of Part Three CRR in the banking book; (b) Counterparty credit risk in accordance with Chapters 4 and 6 (Counterparty credit risk) of Title II of Part Three CRR in the trading book; (c) Settlement risk arising from free deliveries in accordance with Article 379 CRR in respect of all the business activities. 50. The template shall include all exposures for which the own funds requirements are calculated in accordance with Chapter 2 of Title II of Part Three CRR in conjunction with Chapters 4 and 6 of Title II of Part Three CRR. Institutions that apply Article 94(1) CRR also need to report their trading book positions referred to in point (b) of Article 92(3) CRR in this template when they apply Chapter 2 of Title II of Part Three CRR to calculate the own funds requirements thereof (Chapters 2 and 6 of Title II of Part Three and Title V of Part Three CRR). Therefore the template shall not only provide detailed information on the type of the exposure (e.g. on balance sheet/off balance sheet items), but also information on the allocation of risk weights within the respective exposure class. 51. In addition, CR SA includes memorandum items in rows to to collect further information about exposures secured by mortgages on immovable property and exposures in default. 52. Those memorandum items shall only be reported for the following exposure classes: (a) Central governments or central banks (point (a) of Article 112 CRR); (b) Regional governments or local authorities (point (b) of Article 112 CRR); (c) Public sector entities (point (c) of Article 112 CRR); (d) Institutions (point (f) of Article 112 CRR); (e) Corporates (point (g) of Article 112 CRR); (f) Retail (point (h) of Article 112 CRR). 53. The reporting of the memorandum items shall affect neither the calculation of the risk weighted exposure amounts of the exposure classes referred to in points (a) to (c) and (f) to (h) of Article 112 CRR nor of the exposure classes referred to in points (i) and (j) of Article 112 CRR reported in template CR SA. 54. The memorandum rows provide additional information about the obligor structure of the exposure classes ‘in default’ or ‘secured by immovable property’. Exposures shall be reported in these rows where the obligors would have been reported in the exposure classes ‘Central governments or central banks’, ‘Regional governments or local authorities’, ‘Public sector entities’, ‘Institutions’, ‘Corporates’ and ‘Retail’ of CR SA, if those exposures were not assigned to the exposure classes ‘in default’ or ‘secured by immovable property’. The figures reported, however, are the same as used to calculate the risk weighted exposure amounts in the exposure classes ‘in default’ or ‘secured by immovable property’.EN.   55. E.g. if an exposure, the risk exposure amounts of which are calculated in accordance with Article 127 CRR and the value adjustments are less than 20 %, then that information shall be reported in CR SA, row in the total and in the exposure class ‘in default’. If this exposure, before it defaulted, was an exposure to an institution, then that information shall also be reported in row of exposure class ‘institutions’.. Assignment of exposures to exposure classes under the Standardised approach 56. In order to ensure a consistent categorisation of exposures into the different exposure classes referred to in Article 112 CRR the following sequential approach shall be applied: (a) In a first step, the Original exposure pre-conversion factors shall be classified into the corresponding (original) exposure class referred to in Article 112 CRR, without prejudice to the specific treatment (risk weight) that each specific exposure shall receive within the assigned exposure class. (b) In a second step the exposures may be redistributed to other exposure classes due to the application of credit risk mitigation (CRM) techniques with substitution effects on the exposure (e.g. guarantees, credit derivatives, financial collateral simple method) via inflows and outflows. 57. The following criteria shall apply to for the classification of the Original exposure pre-conversion factors into the different exposure classes (first step) without prejudice to the subsequent redistribution caused by the use of CRM techniques with substitution effects on the exposure or to the treatment (risk weight) that each specific exposure shall receive within the assigned exposure class. 58. For the purpose of classifying the original exposure pre-conversion factor in the first step, the CRM techniques associated to the exposure shall not be considered (note that they shall be considered explicitly in the second phase) unless a protection effect is intrinsically part of the definition of an exposure class as it is the case in the exposure class referred to in point (i) of Article 112 CRR (exposures secured by mortgages on immovable property). 59. Article 112 CRR does not provide criteria for disjoining the exposure classes. This might imply that one exposure could potentially be classified in different exposure classes if no prioritisation in the assessment criteria for the classification is provided. The most obvious case arises between exposures to institutions and corporate with a short-term credit assessment (point (n) of Article 112 CRR) and exposures to institutions (point (f) of Article 112 CRR)/exposures to corporates (point (g) of Article 112 CRR). In that case, it is clear that there is an implicit prioritisation in CRR since it shall be assessed first if a certain exposure is fit for being assigned to Short-term exposures to institutions and corporates and only afterwards assessed if it fits for being assigned to exposures to institutions or exposures to corporates. Otherwise it is obvious that the exposure class referred to in point (n) of Article 112 CRR shall never be assigned an exposure. The example provided is one of the most obvious examples but is not the only one. It is worth noting that the criteria used for establishing the exposure classes under the Standardised approach are different (institutional categorisation, term of the exposure, past due status, etc.) which is the underlying reason for non-disjoint groupings. 60. For a homogeneous and comparable reporting it is necessary to specify prioritisation assessment criteria for the assignment of the Original exposure pre-conversion factor by exposure classes, without prejudice to the specific treatment (risk weight) that each specific exposure shall receive within the assigned exposure class. The prioritisation criteria presented below, using a decision tree scheme, are based on the assessment of the conditions explicitly laid down in CRR for an exposure to fit in a certain exposure class and, if that is the case, on any decision on the part of the reporting institutions or the supervisor on the applicability of certain exposure classes. Therefore, the outcome of the exposure assignment process for reporting purposes shall be in line with CRR provisions. That does not prohibit institutions from applying other internal assignment procedures that may also be consistent with all relevant CRR provisions and its interpretations issued by the appropriate fora.EN  . 61. An exposure class shall be given priority to others in the assessment ranking in the decision tree (i.e. it shall be first assessed if an exposure can be assigned to an exposure class, without prejudice to the outcome of that assessment) if otherwise no exposures would potentially be assigned to it. That will be the case where in the absence of prioritisation criteria one exposure class is a subset of others. Therefore, the criteria graphically depicted in the following decision tree would work on a sequential process. 62. With this background the assessment ranking in the decision tree mentioned below shall follow the following order: 1. Securitisation positions; 2. Items associated with particular high risk; 3. Equity exposures 4. Exposures in default; 5. Exposures in the form of units or shares in collective investment undertakings (‘CIU’)/Exposures in the form of covered bonds (disjoint exposure classes); 6. Exposures secured by mortgages on immovable property; 7. Other items; 8. Exposures to institutions and corporates with a short-term credit assessment; 9. All other exposure classes (disjoint exposure classes) which include Exposures to central governments or central banks; Exposures to regional governments or local authorities; Exposures to public sector entities; Exposures to multilateral development banks; Exposures to international organisations; Exposures to institutions; Exposures to corporate and Retail exposures. 63. In the case of exposures in the form of units or shares in collective investment undertakings and where the look through approach or the mandate-based approach (points (1) and (2) of Article 132a CRR) is used, the underlying individual (in the case of the look through approach) and individual group of (in the case of the mandate-based approach) exposures shall be considered and classified into their corresponding risk weight line according to their treatment. However, all the individual exposures shall be classified within the exposure class of Exposures in the form of units or shares in collective investment undertakings (‘CIU’). 64. ‘nth’ to default credit derivatives, as specified in Article 134(6) CRR that are rated shall be directly classified as securitisation positions. If they are not rated, they shall be considered in the ‘Other items’ exposure class. In that latter case, the nominal amount of the contract shall be reported as the Original exposure pre- conversion factors in the line for ‘Other risk weights’ (the risk weight used shall be that specified by the sum indicated under Article 134(6) CRR. 65. In a second step, as a consequence of credit risk mitigation techniques with substitution effects, exposures shall be reallocated to the exposure class of the protection provider. DECISION TREE ON HOW TO ASSIGN THE ORIGINAL EXPOSURE PRE-CONVERSION FACTORS TO THE EXPOSURE CLASSES OF THE STANDARDISED APPROACH IN ACCORDANCE WITH THE CRR Original exposure pre-conversion factors Does it fit for being assigned to the exposure class of point (m) of Article 112 CRR? YES Securitisation positions NOEN.   Original exposure pre-conversion factors Does it fit for being assigned to the exposure class of point (k) of Article 112 CRR? YES Items associated with particular high risk (see also Article 128 CRR) NO Does it fit for being assigned to the exposure class of point (p) of Article 112 CRR? YES Equity exposures (see also Article 133 CRR) NO Does it fit for being assigned to the exposure class of point (j) of Article 112 CRR? YES Exposures in default NO Does it fit for being assigned to the exposure classes of points (l) and (o) of Article 112 CRR? YES Exposures in the form of units or shares in collective investment undertakings (CIU) Exposures in the form of covered bonds (see also Article 129 CRR) These two exposure classes are disjoint among themselves (see comments on the look- through approach in the answer above). Therefore the assignment to one of them is straightforward. NO Does it fit for being assigned to the exposure class of point (i) of Article 112 CRR? YES Exposures secured by mortgages on immovable property (see also Article 124 CRR) NO Does it fit for being assigned to the exposure class of point (q) of Article 112 CRR? YES Other items NOEN  . Original exposure pre-conversion factors Does it fit for being assigned to the exposure class of point (n) of Article 112 CRR? YES Exposures to institutions and corporates with a short-term credit assessment NO The exposure classes below are disjoint among themselves. Therefore the assignment to one of them is straightforward. Exposures to central governments or central banks Exposures to regional governments or local authorities Exposures to public sector entities Exposures to multilateral development banks Exposures to international organisations Exposures to institutions Exposures to corporates Retail exposures. Clarifications on the scope of some specific exposure classes referred to in Article 112 CRR. Exposure Class ‘Institutions’ 66. Intra-group exposures referred to in paragraphs 6 and 7 of Article 113 CRR shall be reported as follows: 67. Exposures which fulfil the requirements of Article 113(7) CRR shall be reported in the respective exposure classes where they would be reported if they were not intra-group exposures. 68. According to paragraphs 6 and 7 of Article 113 CRR an institution may, subject to the prior approval of the competent authorities, decide not to apply the requirements of paragraph 1 of that Article to the exposures of that institution to a counterparty which is its parent undertaking, its subsidiary, a subsidiary of its parent undertaking or an undertaking linked by a relationship within the meaning of Article 12(1) of Directive 83/349/EEC. That means that intra-group counterparties are not necessarily institutions but also undertakings which are assigned to other exposure classes, e.g. ancillary services undertakings or under takings within the meaning of Article 12(1) of Council Directive 83/349/EEC ( 7 ). Therefore intra-group exposures shall be reported in the corresponding exposure class.. Exposure Class ‘Covered Bonds’ 69. SA exposures shall be assigned to the exposure class ‘covered bonds’ as follows: 70. Bonds referred to in Article 52(4) of Directive /65/EC of the European Parliament and of the Council ( 8 ) shall fulfil the requirements of paragraphs 1 and 2 of Article 129 CRR to be classified in the exposure class ‘Covered Bonds’. The fulfilment of those requirements has to be checked in each case. Nevertheless, bonds referred to in Article 52(4) of Directive /65/EC and issued before 31 December shall also be assigned to the exposure class ‘Covered Bonds’ pursuant to Article 129(6) CRR.EN.   ( 7 ) Seventh Council Directive 83/349/EEC of 13 June based on the Article 54(3)(g) of the Treaty on consolidated accounts (OJ L 193,. , p. 1). ( 8 ) Directive /65/EC of the European Parliament and of the Council of 13 July on the coordination of laws, regulations a nd administrative provisions relating to undertakings for collective investment in transferable securities (UCITS) (OJ L 302, 1., p. 32).. Exposure class ‘Collective Investment Undertakings’ 71. Where the possibility referred to in Article 132a(2) CRR is used, exposures in the form of units or shares in CIUs shall be reported as on balance sheet items in accordance with the first sentence in Article 111(1) CRR.. Instructions concerning specific positions  ORIGINAL EXPOSURE PRE-CONVERSION FACTORS Exposure value calculated in accordance with Article 111 CRR without taking into account value adjustments and provisions, deductions, conversion factors and the effect of credit risk mitigation techniques with the following qualifications stemming from Article 111(2) CRR: 1. For Derivative instruments, repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions subject to counterparty credit risk (Chapter 4 or Chapter 6 of Title II of Part Three CRR) the original exposure shall correspond to the Exposure Value for Counterparty Credit Risk (see instructions to column ). 2. Exposure values for leases shall be subject to Article 134(7) CRR. In particular, the residual value shall be included at its accounting value (i.e. the discounted estimated residual value at the end of the lease term). 3. In the case of on-balance sheet netting as laid down in Article 219 CRR, the exposure values shall be reported taking into account the amount of the received cash collateral. Where institutions make use of the derogation of Article 473a(7a) CRR, they shall report the amount AB SA that is risk weighted at 100 % in the exposure class ‘other items’ in this column.. Value adjustments and provisions associated with the original exposure Article 24 and 111 CRR Value adjustments and provisions for credit losses (credit risk adjustments in accordance with Article 110) made in accordance with the accounting framework to which the reporting entity is subject, as well as prudential value adjustments (additional value adjustments in accordance with Article 34 and 105, amounts deducted in accordance with point (m) Article 36(1) and other own funds reductions related to the asset item). Exposure net of value adjustments and provisions Sum of columns and – CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE Credit risk mitigation techniques as defined in point (57) of Article 4(1) CRR that reduce the credit risk of an exposure or exposures via the substitution of exposures as described below in ‘Substitution of the exposure due to CRM’. Collateral that has an effect on the exposure value (e.g. if used for credit risk mitigation techniques with substitution effects on the exposure) shall be capped at the exposure value. Items to be reported here: — collateral, incorporated in accordance with the Financial Collateral Simple Method; — eligible unfunded credit protection. Please also see instructions of point. EN  .  – Unfunded credit protection: adjusted values (G A) Article 235 CRR Article 239(3) CRR contains the formula for the calculation of the adjusted value G A of an unfunded credit protection. Guarantees Article 203 CRR Unfunded Credit Protection as defined in point (59) of Article 4(1) CRR which does not include Credit Derivatives. Credit derivatives Article 204 CRR – Funded credit protection These columns refer to funded credit protection as defined in point (58) of Article 4(1) CRR and subject to the rules laid down in Articles 196, 197 and 200 CRR. The amounts shall not include master netting agreements (already included in Original Exposure pre-conversion factors). Investments in credit linked notes as referred to in Article 218 CRR and on-balance sheet netting positions resulting from eligible on-balance sheet netting agreements as referred to in Article 219 CRR shall be treated as cash collateral. Financial collateral: simple method Paragraphs 1 and 2 of Article 222 CRR. Other funded credit protection Article 232 CRR. – SUBSTITUTION OF THE EXPOSURE DUE TO CRM Article 222(3), paragraphs 1 and 2 of Article 235 and Article 236 CRR Outflows shall correspond to the covered part of the Original Exposure pre-conversion factors that is deducted from the obligor’s exposure class and subsequently assigned to the protection provider’s exposure class. That amount shall be considered as an inflow into the protection provider’s exposure class. Inflows and outflows within the same exposure classes shall also be reported. Exposures stemming from possible in- and outflows from and to other templates shall be taken into account.EN.    NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE-CONVERSION FACTORS Amount of the exposure net of value adjustments after taking into account outflows and inflows due to CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE - CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE EXPOSURE AMOUNT. FUNDED CREDIT PROTECTION, FINANCIAL COLLATERAL COMPREHENSIVE METHOD Articles 223 to 228 CRR. They also include credit linked notes (Article 218 CRR) Credit linked notes as referred to in Article 218 CRR and on-balance sheet netting positions resulting from eligible on-balance sheet netting agreements as referred to in Article 219 CRR shall be treated as cash collateral. The effect of the collateralization of the Financial Collateral Comprehensive Method applied to an exposure, which is secured by eligible financial collateral, shall be calculated in accordance with Articles 223 to 228 CRR. Volatility adjustment to the exposure Paragraphs 2 and 3 of Article 223 CRR. The amount to be reported is the impact of the volatility adjustment to the exposure (EVA-E) = E*He. Financial collateral adjusted value (Cvam) Article 239(2) CRR. For trading book operations, financial collateral and commodities eligible for trading book exposures in accordance with points (c) to (f) of Article 299(2) CRR shall be included. The amount to be reported corresponds to Cvam = C*(1-Hc-Hfx)*(t-t*)/(T-t*). For a definition of C, Hc, Hfx, t, T and t* see Sections 4 and 5 of Chapter 4 of Title II of Part Three CRR.. Of which: Volatility and maturity adjustments Article 223(1) CRR and Article 239(2) CRR. The amount to be reported is the joint impact of volatility and maturity adjustments (Cvam-C) = C*[(1-Hc-Hfx)*(t-t*)/(T-t*)-1], where the impact of volatility adjustment is (Cva-C) = C*[(1- Hc-Hfx)-1] and the impact of maturity adjustments is (Cvam-Cva) = C*(1-Hc-Hfx)*[(t-t*)/(T-t*)- 1] Fully adjusted exposure value (E*) Article 220(4), Article 223(2) to (5) and Article 228(1) CRR.EN  .  – Breakdown of the fully adjusted exposure value of off-balance sheet items by conversion factors Article 111(1) and point (56) of Article 4(1) CRR. See also Articles 222(3) and 228(1) CRR. The figures reported shall be the fully adjusted exposure values before application of the conversion factor. Exposure value Article 111 CRR and Section 4 of Chapter 4 of Title II of Part Three CRR. Exposure value after taking into account value adjustments, all credit risk mitigants and credit conversion factors that is to be assigned to risk weights in accordance with Article 113 and Section 2 of Chapter 2 of Title II of Part Three CRR. Exposure values for leases are subject to Article 134(7) CRR. In particular, the residual value shall be included at its discounted residual value after taking into account value adjustments, all credit risk mitigants and credit conversion factors. Exposure values for CCR business shall be the same as reported in column. Of which: Arising from Counterparty Credit Risk Exposure value for CCR business calculated in accordance with the methods laid down in Chapter 4 and Chapter 6 of Title II of Part Three CRR, which is the relevant amount for the calculation of risk weighted exposure amounts, i.e. having applied CRM techniques as applicable in accordance with Chapter 4 and Chapter 6 of Title II of Part Three CRR and considering the deduction of the incurred CVA loss as referred to in Article 273(6) CRR. The exposure value for transactions where specific wrong way risk has been identified must be determined in accordance with Article 291 CRR. For cases in which more than one CCR approach is used for a single counterparty, the incurred CVA loss, which is deducted at counterparty level, shall be assigned to the exposure value of the different netting sets in rows – reflecting the proportion of the exposure value post-CRM of the respective netting sets to the total exposure value post- CRM of the counterparty. For this purpose, the exposure value post-CRM as per the instructions to column of template C shall be used. Of which: Arising from Counterparty Credit Risk excluding exposures cleared through a CCP Exposures reported in column excluding those arising from contracts and transactions listed in Article 301(1) CRR as long as they are outstanding with a central counterparty (CCP), including CCP-related transactions defined in point (2) of Article 300 CRR. Risk weighted exposure amount pre supporting factors Paragraphs 1 to 5 of Article 113 CRR, without taking into account the SME and infra structure supporting factors laid down in Article 501 and Article 501a CRR The risk weighted exposure amount of the residual value of leasing assets shall be subject to sentence 5 of Article 134(7) and shall be calculated according to the formula ‘1/t * 100 % * residual value’. In particular, residual value is undiscounted estimated residual value at the end of the lease term which is reassessed periodically to ensure continued appropriateness.EN.   . Adjustment to the risk-weighted exposure amount due to SME supporting factor Deduction of the difference of the risk-weighted exposure amounts for non-defaulted exposures to an SME (RWEA), which are calculated in accordance with Chapter 2 of Title II of Part Three CRR, as applicable and RWEA* in accordance with point (1) of Article 501 CRR. Adjustment to the risk-weighted exposure amount due to the infrastructure supporting factor Deduction of the difference of the risk weighted exposure amounts calculated in accordance with Title II of Part Three CRR and the adjusted RWEA for credit risk for exposures to entities that operate or finance physical structures or facilities, systems and networks that provide or support essential public services in accordance with Article 501a CRR. Risk weighted exposure amount after supporting factors Paragraphs 1 to 5 of Article 113 CRR, taking into account the SME and infrastructure supporting factors laid down in Article 501 and Article 501a CRR The risk weighted exposure amount of the residual value of leasing assets is subject to sentence 5 of Article 134(7) and shall be calculated according to the formula ‘1/t * 100 % * residual value’. In particular, residual value is undiscounted estimated residual value at the end of the lease term which is reassessed periodically to ensure continued appropriateness. Of which: with a credit assessment by a nominated ECAI Points (a) to (d), (f), (g), (l), (n), (o) and (q) of Article 112 CRR Of which: with a credit assessment derived from central government Points (b) to d), (f), (g), (l) and (o) of Article 112 CRR  Total exposures of which: Defaulted exposures in exposure classes ‘items associated with a particular high risk’ and ‘equity exposures’ Article 127 CRR This row shall only be reported in exposure classes ‘Items associated with a particular high risk’ and ‘Equity exposures’. An exposure that is either listed in Article 128(2) CRR or meets the criteria set in Article 128(3) or Article 133 CRR shall be assigned to the exposure class ‘Items associated with particular high risk’ or ‘Equity exposures’. Consequently, there shall be no other allo cation, even in case of an exposure in default as referred to in Article 127 CRR. of which: SME All exposures to SME shall be reported here. of which: Exposures subject to the SME supporting factor Only exposures which meet the requirements of Article 501 CRR shall be reported here.EN  .  of which: Exposures subject to the infrastructure supporting factor Only exposures which meet the requirements of Article 501a CRR shall be reported here. of which: Secured by mortgages on immovable property – Residential property Article 125 CRR Only reported in exposure class ‘Secured by mortgages on immovable property’ of which: Exposures under the permanent partial use of the Standardised approach Exposures to which the Standardised approach has been applied in accordance with Article 150(1) CRR of which: Exposures under the Standardised Approach with prior supervisory permission to carry out a sequential IRB implementation Article 148(1) CRR - BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES Reporting institution's ‘banking book’ positions shall be broken-down, following the criteria provided below, into on-balance sheet exposures subject to credit risk, off-balance sheet exposures subject to credit risk and exposures subject to counterparty credit risk. Exposures to counterparty credit risk arising from the trading book business of the institution as referred to in point (f) of Article 92(3) and Article 299(2) CRR shall be assigned to the exposures subject to counterparty credit risk. Institutions that apply Article 94(1) CRR also break down their ‘trading book’ positions referred to in point (b) of Article 92(3) CRR following the criteria provided below, into on-balance sheet exposures subject to credit risk, off-balance sheet exposures subject to credit risk and exposures subject to counterparty credit risk. On balance sheet exposures subject to credit risk Assets referred to in Article 24 CRR not included in any other category. Exposures that are subject to counterparty credit risk shall be reported in rows --, and therefore shall not be reported in this row. Free deliveries as referred to in Article 379(1) CRR (if not deducted) do not constitute an on- balance sheet item, but nevertheless shall be reported in this row. Off balance sheet exposures subject to credit risk Off-balance sheet positions comprise the items listed in Annex I CRR. Exposures that are subject to counterparty credit risk shall be reported in rows – and therefore shall not be reported in this row. - Exposures/Transactions subject to counterparty credit risk Transactions subject to counterparty credit risk, i.e. derivative instruments, repurchase trans actions, securities or commodities lending or borrowing transactions, long settlement trans actions and margin lending transactions.EN.    Securities Financing Transactions netting sets Netting sets containing only SFTs, as defined in point (139) of Article 4(1) CRR. SFTs that are included in a contractual cross product netting set and therefore reported in row shall not be reported in this row. Of which: centrally cleared through a QCCP Contracts and transactions listed in Article 301(1) CRR as long as they are outstanding with a qualifying central counterparty (QCCP) as defined in point (88) of Article 4(1) CRR, including QCCP-related transactions, for which the risk weighted exposure amounts are calculated in accordance with Section 9 of Chapter 6 of Title II of Part Three CRR. QCCP-related trans action has the same meaning as CCP-related transaction in Article 300(2) CRR, when the CCP is a QCCP. Derivatives and Long Settlement Transactions netting sets Netting sets containing only derivatives listed in Annex II CRR and long settlement trans actions as defined in Article 272(2) CRR. Derivatives and Long Settlement Transactions that are included in a contractual Cross Product Netting set and therefore reported in row , shall not be reported in this row. Of which: centrally cleared through a QCCP See instructions to row. From Contractual Cross Product netting sets Netting sets containing transactions of different product categories (Article 272(11) CRR), i.e. derivatives and SFTs, for which a contractual cross product netting agreement as defined in Article 272(25) CRR exists. - BREAKDOWN OF EXPOSURES BY RISK WEIGHTS 0 % 2 % Article 306(1) CRR 4 % Article 305(3) CRR 10 % 20 % 35 % 50 % 70 % Point (c) of Article 232(3) CRR.EN  .  75 % 100 % 150 % 250 % Articles 133(2) and 48(4) CRR 370 % Article 471 CRR 1 250 % Article 133(2) and Article 379 CRR Other risk weights This row is not available for exposure classes Government, Corporates, Institutions and Retail. For reporting those exposures not subject to the risk weights listed in the template. Paragraphs 1 to 5 of Article 113 CRR. Unrated nth-to-default credit derivatives under the Standardised approach (Article 134(6) CRR) shall be reported in this row under the exposure class ‘Other items’. See also Article 124(2) and point (b) of Article 152(2) CRR. - BREAKDOWN OF TOTAL EXPOSURES BY APPROACH (CIU) These rows shall only be reported for the exposure class Collective investments undertakings (CIU), in line with Articles 132, 132a, 132b and 132c CRR. Look-through approach Article 132a(1) CRR. Mandate-based approach Article 132a(2) CRR. Fall-back approach Article 132(2) CRR. - Memorandum Items For rows to , see also the explanation of the purpose of the memorandum items in the general section of the CR SA.EN.    Exposures secured by mortgages on commercial immovable property Point (i) of Article 112 CRR This is a memorandum item only. Independent from the calculation of risk exposure amounts of exposures secured by commercial immovable property as referred to in Article 124 and 126 CRR the exposures shall be broken down and reported in this row if the exposures are secured by commercial real estate. Exposures in default subject to a risk weight of 100 % Point (j) of Article 112 CRR Exposures included in the exposure class ‘exposures in default’ which shall be included in this exposure class if they were not in default. Exposures secured by mortgages on residential property Point (i) of Article 112 CRR This is a memorandum item only. Independent from the calculation of risk exposure amounts of exposures secured by mortgages on residential property in accordance with Article 124 and 125 CRR the exposures shall be broken down and reported in this row if the exposures are secured by real estate property. Exposures in default subject to a risk weight of 150 % Point (j) of Article 112 CRR Exposures included in the exposure class ‘exposures in default’ which shall be included in this exposure class if they were not in default.. CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO OWN FUNDS REQUIREMENTS (CR IRB). Scope of the CR IRB template 72. The scope of the CR IRB template covers: i. Credit risk in the banking book, among which: — Counterparty credit risk in the banking book; — Dilution risk for purchased receivables; ii. Counterparty credit risk in the trading book; iii. Free deliveries resulting from all business activities. 73. The scope of the template refers to the exposures for which the risk weighted exposure amounts are calculated in accordance with Articles 151 to 157 of Chapter 3 of Title II of Part Three CRR (IRB approach). 74. The CR IRB template does not cover the following data: i. Equity exposures, which are reported in the CR EQU IRB template; ii. Securitisation positions, which are reported in the CR SEC and/or CR SEC Details templates; iii. ‘Other non credit-obligation assets’, as referred to in point (g) of Article 147(2) CRR. The risk weight for this exposure class has to be set at 100 % at any time except for cash in hand, equivalent cash items and exposures that are residual values of leased assets, in accordance with Article 156 CRR. The risk weighted exposure amounts for this exposure class shall be reported directly in the CA-Template; iv. Credit valuation adjustment risk, which is reported on the CVA Risk template; The CR IRB template does not require a geographical breakdown of IRB exposures by residence of the counterparty. This breakdown shall be reported in the template CR GB.EN  . Items i) and iii) do not apply to template CR IRB 7. 75. In order to clarify whether the institution uses its own estimates for LGD and/or credit conversion factors, the following information shall be provided for each reported exposure class: ‘NO’ = in case the supervisory estimates of LGD and credit conversion factors are used (Foundation IRB) ‘YES’ = in case own estimates of LGD and credit conversion factors are used (Advanced IRB). This includes all retail portfolios. In case an institution uses own estimates of LGDs to calculate risk weighted exposure amounts for a part of its IRB exposures as well as supervisory LGDs to calculate risk weighted exposure amounts for the other part of its IRB exposures, an CR IRB Total for F-IRB positions and one CR IRB Total for A-IRB positions has to be reported.. Breakdown of the CR IRB template 76. The CR IRB consists of seven templates. CR IRB 1 provides a general overview of IRB exposures and the different methods to calculate risk weighted exposure amounts as well as a breakdown of total exposures by exposure types. CR IRB 2 provides a breakdown of total exposures assigned to obligor grades or pools (exposures reported under row of CR IRB 1). CR IRB 3 provides all relevant parameters used for the calculation of credit risk capital requirements for IRB models. CR IRB 4 presents a flow statement explaining changes in risk weighted exposure amounts determined under the IRB approach for credit risk. CR IRB 5 provides information on the results of backtesting of PDs for the models reported. CR IRB 6 provides all relevant parameters used for the calculation of credit risk capital requirements under the slotting criteria for specialised lending. CR IRB 7 provides an overview of percentage of exposure value subject to SA or IRB approaches for each relevant exposure class. The templates CR IRB 1, CR IRB 2, CR IRB 3 and CR IRB 5 shall be reported separately for the following exposure and sub-exposure classes: 1. Total (The Total template must be reported for the Foundation IRB approach and, separately for the Advanced IRB approach.) 2. Central banks and central governments (point (a) of Article 147(2) CRR) 3. Institutions (point (b) of Article 147(2) CRR) ) Corporate – SME (point (c) of Article 147(2) CRR). For the purpose of classification to this sub-exposure class the reporting entities shall use their internal definition of SME as applied in internal risk management processes. ) Corporate – Specialised lending (Article 147(8) CRR) ) Corporate – Other (All exposures to corporates as referred to in point (c) of Article 147(2) CRR, not reported under and ). ) Retail – Secured by immovable property SME (Retail exposures as referred to in point (d) of Article 147(2) CRR in conjunction with Article 154(3) CRR which are secured by immovable property). For the purpose of classification to this sub- exposure class the reporting entities shall use their internal definition of SME as applied in internal risk management processes.EN.   ) Retail – Secured by immovable property non-SME (Retail exposures as referred to in point (d) of Article 147(2) CRR which are secured by immovable property and not reported under ). Under and , retail exposures secured by immovable property shall be considered any retail exposures secured by immovable property recognised as collateral, regardless of the ratio of the value of collateral to the exposure or of the purpose of the loan. ) Retail – Qualifying revolving (Retail exposures as referred to in point (d) of Article 147(2) CRR in conjunction with Article 154(4) CRR). ) Retail – Other SME (Retail exposures as referred to in point (d) of Article 147(2) CRR not reported under and ). For the purpose of classification to this sub-exposure class the reporting entities shall use their internal definition of SME as applied in internal risk management processes. ) Retail – Other non – SME (Retail exposures as referred to in point (d) of Article 147(2) CRR which were not reported under and ).