EN.   C - GEOGRAPHICAL BREAKDOWN OF EXPOSURES BY RESIDENCE OF THE OBLIGOR: SA EXPOSURES (CR GB 1) Country: ORIGINAL EXPOSURE PRE CONVERSION FACTORS Observed new defaults for the period General credit risk adjustments Specific credit risk adjustments Write offs Additional value adjustments and other own funds reductions Defaulted exposures Central governments or central banks Regional governments or local authorities Public sector entities Multilateral Development Banks International Organisations Institutions Corporates of which: SME Retail of which: SME Secured by mortgages on immovable property of which: SMEEN  . ORIGINAL EXPOSURE PRE CONVERSION FACTORS Observed new defaults for the period General credit risk adjustments Specific credit risk adjustments Write offs Additional value adjustments and other own funds reductions Defaulted exposures Exposures in default Items associated with particularly high risk Covered bonds Claims on institutions and corporates with a short-term credit assessment Collective investments undertakings (CIU) Look-through approach Mandate-based approach Fall-back approach Equity exposures Other exposures Total exposuresEN.   Credit risk adjust ments/write-offs for observed new defaults 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 INFRA STRUCTURE SUPPORTING FACTOR RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS Central governments or central banks Regional governments or local authorities Public sector entities Multilateral Development Banks International Organisations Institutions Corporates of which: SME Retail of which: SME Secured by mortgages on immovable property of which: SMEEN  . Credit risk adjust ments/write-offs for observed new defaults 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 INFRA STRUCTURE SUPPORTING FACTOR RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS Exposures in default Items associated with particularly high risk Covered bonds Claims on institutions and corporates with a short-term credit assessment Collective investments undertakings (CIU) Look-through approach Mandate-based approach Fall-back approach Equity exposures Other exposures Total exposuresEN.   C - GEOGRAPHICAL BREAKDOWN OF EXPOSURES BY RESIDENCE OF THE OBLIGOR: IRB EXPOSURES (CR GB 2) Country: ORIGINAL EXPOSURE PRE CONVERSION FACTORS Observed new defaults for the period General credit risk adjustments Specific credit risk adjustments Write off Credit risk adjustments/ write-offs for observed new defaults PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%) Of which: defaulted Central governments or central banks Institutions Corporates Of Which: Specialised Lending (excl. SL under the slotting approach) Of Which: Specialised Lending under the slotting approach Of Which: SME Retail Secured by immovable property SME Non-SMEEN  . ORIGINAL EXPOSURE PRE CONVERSION FACTORS Observed new defaults for the period General credit risk adjustments Specific credit risk adjustments Write off Credit risk adjustments/ write-offs for observed new defaults PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%) Of which: defaulted Qualifying Revolving Other Retail SME Non-SME Equity Total exposuresEN.   EXPOSURE WEIGHTED AVERAGE LGD (%) EXPOSURE VALUE RISK WEIGHTED EXPOSURE AMOUNT PRE SUPPORTING FACTORS. ADJUSTMEN T TO RISK- WEIGHTED EXPOSURE AMOUNT DUE TO SME SUPPORTING FACTOR. ADJUSTMENT TO RISK- WEIGHTED EXPOSURE AMOUNT DUE TO THE INFRASTRUCTURE SUPPORTING FACTOR RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS EXPECTED LOSS AMOUNT Of which: defaulted Of which: defaulted Central governments or central banks Institutions Corporates Of Which: Specialised Lending (excl. SL under the slotting approach) Of Which: Specialised Lending under the slotting approach Of Which: SME Retail Secured by immovable property SME Non-SMEEN  . EXPOSURE WEIGHTED AVERAGE LGD (%) EXPOSURE VALUE RISK WEIGHTED EXPOSURE AMOUNT PRE SUPPORTING FACTORS. ADJUSTMEN T TO RISK- WEIGHTED EXPOSURE AMOUNT DUE TO SME SUPPORTING FACTOR. ADJUSTMENT TO RISK- WEIGHTED EXPOSURE AMOUNT DUE TO THE INFRASTRUCTURE SUPPORTING FACTOR RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS EXPECTED LOSS AMOUNT Of which: defaulted Of which: defaulted Qualifying Revolving Other Retail SME Non-SME Equity Total exposures C - BREAKDOWN OF CREDIT EXPOSURES RELEVANT FOR THE CALCULATION OF THE COUNTERCYCLICAL BUFFER BY COUNTRY AND INSTITUTION-SPECIFIC COUNTERCYCLICAL BUFFER RATE (CCB) Country: Amount Percentage Qualitative information Relevant credit exposures - Credit Risk Exposure value under the Standardised Approach Exposure value under the IRB Approach Relevant credit exposures – Market risk Sum of long and short positions of trading book exposures for standardised approaches Value of trading book exposures for internal models Relevant credit exposures – Securitisation Exposure value of securitisation positions in the banking book Own funds requirements and weights Total own funds requirements for CCB Own funds requirements for relevant credit exposures – Credit risk Own funds requirements for relevant credit exposures – Market risk Own funds requirements for relevant credit exposures – Securitisation positions in the banking book Own funds requirements weights Countercyclical capital buffer rates Countercyclical capital buffer rate set by the Designated Authority Countercyclical capital buffer rate applicable for the country of the institutionEN.   Amount Percentage Qualitative information Institution-specific countercyclical capital buffer rate Use of 2 % threshold Use of 2 % threshold for general credit exposure Use of 2 % threshold for trading book exposureEN  ..  C – Geographical breakdown of exposures by residence of the obligor: SA exposures (CR GB 1). Instructions concerning specific positions  ORIGINAL EXPOSURE PRE-CONVERSION FACTORS Same definition as for column of CR SA template Defaulted exposures Original exposure pre-conversion factors for those exposures which have been classified as ‘exposures in default’ and for defaulted exposures assigned to the exposure classes ‘exposures associated with particularly high risk’ or ‘equity exposures’. This ‘memorandum item’ shall provide additional information about the obligor structure of defaulted exposures. Exposures classified as ‘exposures in default’ as referred to in point (j) of Article 112 CRR shall be reported where the obligors would have been reported if those exposures were not assigned to the exposure classes ‘exposures in default’. This information is a ‘memorandum item’ – hence does not affect the calculation of risk weighted exposure amounts of exposure classes ‘exposures in default’, ‘exposures associated with particularly high risk’ or ‘equity exposures’ as referred to in points (j), (k) and (p) of Article 112 CRR. Observed new defaults for the period The amount of original exposures which have moved into exposure class ‘Exposures in default’ during the 3-month period since the last reporting reference date shall be reported against the exposure class to which the obligor originally belonged. General credit risk adjustments Credit risk adjustments as referred to in Article 110 CRR, as well as Regulation (EU) No 183/. This item shall include the general credit risk adjustments that are eligible for inclusion in T2 capital, before the application of the cap referred to in point (c) of Article 62 CRR. The amount to be reported shall be gross of tax effects. Specific credit risk adjustments Credit risk adjustments as referred to in Article 110 CRR, as well as Regulation (EU) No 183/. Write-offs Write-offs as referred to in IFRS and B5.. Additional value adjustments and other own funds reductions In line with Article 111 CRR. Credit risk adjustments/write-offs for observed new defaults Sum of credit risk adjustments and write-offs for those exposures which were classified as ‘defaulted exposures’ during the 3-month period since the last data submission.EN  .  Exposure value Same definition as for column of CR SA template RISK WEIGHTED EXPOSURE AMOUNT PRE SUPPORTING FACTORS Same definition as for column of CR SA template. ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO THE SME SUPPORTING FACTOR Same definition as for column of CR SA template. ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO THE INFRA STRUCTURE SUPPORTING FACTOR Same definition as for column of CR SA template RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS Same definition as for column of CR SA template Rows Central governments or central banks Point (a) of Article 112 CRR Regional governments or local authorities Point (b) of Article 112 CRR Public sector entities Point (c) of Article 112 CRR Multilateral developments banks Point (d) of Article 112 CRR International organisations Point (e) of Article 112 CRR Institutions Point (f) of Article 112 CRR Corporates Point (g) of Article 112 CRR of which: SME Same definition as for row of CR SA templateEN.   Rows Retail Point (h) of Article 112 CRR of which: SME Same definition as for row of CR SA template Secured by mortgages on immovable property Point (i) of Article 112 CRR of which: SME Same definition as for row of CR SA template Exposures in default Point (j) of Article 112 CRR Items associated with particularly high risk Point (k) of Article 112 CRR Covered bonds Point (l) of Article 112 CRR Claims on institutions and corporates with a short-term credit assessment Point (n) of Article 112 CRR Collective investments undertakings (CIU) Point (o) of Article 112 CRR Sum of rows to Look-through approach Same definition as for row of CR SA template Mandate-based approach Same definition as for row of CR SA template Fall-back approach Same definition as for row of CR SA template Equity exposures Point (p) of Article 112 CRREN  . Rows Other exposures Point (q) of Article 112 CRR Total exposures. C – Geographical breakdown of exposures by residence of the obligor: IRB exposures (CR GB 2). Instructions concerning specific positions  ORIGINAL EXPOSURE PRE-CONVERSION FACTORS Same definition as for column of CR IRB template Of which defaulted Original exposure value for those exposures which have been classified as defaulted exposures in accordance with Article 178 CRR Observed new defaults for the period Original exposure value for those exposures, which have been classified as defaulted defaulted exposures in accordance with Article 178 CRR during the 3-month period since the last reporting reference date, shall be reported against the exposure class to which the obligor belongs. General credit risk adjustments Credit risk adjustments as referred to in Article 110 CRR, as well as Regulation (EU) No 183/ Specific credit risk adjustments Credit risk adjustments as referred to in Article 110 CRR, as well as Regulation (EU) No 183/ Write-offs Write-offs as referred to in IFRS and B5. Credit risk adjustments/write-offs for observed new defaults Sum of credit risk adjustments and write-offs for those exposures which were classified as ‘defaulted exposures’ during the 3-month period since the last data submission INTERNAL RATING SCALE/PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%) Same definition as for column of CR IRB template EXPOSURE WEIGHTED AVERAGE LGD (%) Same definition as for columns and of CR IRB template: the exposure weighted average LGD (%) shall refer to all exposures, including exposures to large financial sector entities and unregulated financial entities. Point (h) of Article 181(1) CRR shall apply. For specialised lending exposures where the PD is estimated, the reported value should be either the estimated or the regulatory LGD. For specialised lending exposures referred to in Article 153(5) CRR, data cannot be reported as it is not available.EN.    Of which: defaulted Exposure weighted LGD for those exposures which have been classified as defaulted exposures in accordance with Article 178 CRR Exposure value Same definition as for column of CR IRB template RISK WEIGHTED EXPOSURE AMOUNT PRE SUPPORTING FACTORS Same definition as for column of CR IRB template Of which defaulted Risk weighted exposure amount for those exposures which have been classified as defaulted exposures in accordance with Article 178(1) CRR. ADJUSTMENT TO RISK-WEIGHTED EXPOSURE AMOUNT DUE TO SME SUPPORTING FACTOR Same definition as for column of CR IRB template. ADJUSTMENT TO RISK-WEIGHTED EXPOSURE AMOUNT DUE TO THE INFRA STRUCTURE SUPPORTING FACTOR Same definition as for column of CR IRB template RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS Same definition as for column of CR IRB template EXPECTED LOSS AMOUNT Same definition as for column of CR IRB template Rows Central banks and central governments Point (a) of Article 147(2) CRR Institutions Point (b) of Article 147(2) CRR Corporates All exposures to corporates as referred to in point (c) of Article 147(2) CRR Of which: Specialised lending (excl. SL subject under the slotting approach) Point (a) of Article 147(8) CRR Data shall not be reported for specialised lending exposures as referred to in Article 153(5) CRR.EN  . Rows Of which: Specialised lending under the slotting approach Point (a) of Article 147(8) and Article 153(5) CRR Of which: SME Point (c) of Article 147(2) CRR Under the IRB approach, the reporting entities shall use their internal definition of SME, as applied in internal risk management processes. Retail All retail exposures as referred to in point (d) of Article 147(2) CRR Retail – Secured by immovable property Retail exposures as referred to in point (d) of Article 147(2) CRR which are secured by real estate Retail exposures secured by immovable property will 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. SME Retail exposures as referred to in point (d) of Article 147(2) and Article 154(3) CRR which are secured by real estate non-SME Retail exposures as referred to in point (d) of Article 147(2) CRR which are secured by real estate Retail – Qualifying revolving Retail exposures as referred to in point (d) of Article 147(2) in conjunction with Article 154(4) CRR Other Retail Other retail exposures as referred to in point (d) of Article 147(2) CRR which are not reported in rows – SME Other retail exposures to SMEs as referred to in point (d) of Article 147(2) CRR non-SME Other retail exposures to individuals as referred to in point (d) of Article 147(2) CRR Equity Equity exposures as referred to in point (e) of Article 147(2) CRR Total exposuresEN.  . C – Breakdown of credit exposures relevant for the calculation of the countercyclical buffer by country and institution-specific countercyclical buffer rate (CCB). General remarks 88. This template aims at receiving more information regarding the elements of the institution-specific countercyclical capital buffer. The information required refers to the own funds requirements determined in accordance with Title II and Title IV of Part Three CRR and the geographical location for credit exposures, securitisation exposures and trading book exposures relevant for the calculation of the insti tution-specific countercyclical capital buffer (CCB) in accordance with Article 140 CRD (relevant credit exposures). 89. Information in template C shall be reported for the ‘Total’ of relevant credit exposures across all jurisdictions where those exposures are located and individually for each of the jurisdictions in which relevant credit exposures are located. The total figures as well as the information of each jurisdiction shall be reported in a separate dimension. 90. The threshold set in Article 5(5) of this Implementing Regulation shall not apply for the reporting of this breakdown. 91. In order to determine the geographical location, the exposures shall be allocated on an immediate obligor basis as provided for in Commission Delegated Regulation (EU) No / ( 9 ). Therefore, CRM tech niques shall not change the allocation of an exposure to its geographical location for the purpose of reporting information set out in this template.. Instructions concerning specific positions  Amount The value of the relevant credit exposures and their associated own-funds requirements determined in accordance with the instructions for the respective row. Percentage Qualitative Information This information shall only be reported for the country of residence of the institution (the jurisdiction corresponding to its home Member State) and the ‘Total’ of all countries. Institutions shall report either {y} or {n} in accordance with the instructions for the relevant row. Rows - Relevant credit exposures – Credit risk Relevant credit exposures as referred to in point (a) of Article 140(4) CRD. Exposure value under the Standardised approach Exposure value calculated in accordance with Article 111 CRR for relevant credit exposures as referred to in point (a) of Article 140(4) CRD. The exposure value of securitisation positions in the banking book shall be excluded from this row and reported in row. Exposure value under the IRB approach Exposure value calculated in accordance with Article 166 CRR for relevant credit exposures as referred to in point (a) of Article 140(4) CRD. The exposure value of securitisation positions in the banking book shall be excluded from this row and reported in row. EN  . ( 9 ) Commission Delegated Regulation (EU) No / of 4 June supplementing Directive /36/EU of the European Parliament and of the Council with regard to regulatory technical standards on the identification of the geographical location of the relevant credit exposures for calculating institution-specific countercyclical capital buffer rates (OJ L 309,. , p. 5). Rows - Relevant credit exposures – Market risk Relevant credit exposures as referred to in point (b) of Article 140(4) CRD. Sum of long and short positions of trading book exposures for Standardised approach Sum of net long and net short positions in accordance with Article 327 CRR of relevant credit exposures as referred to in point (b) of Article 140(4) CRD subject to own funds requirements under Chapter 2 of Title IV of Part Three CRR: — exposures to debt instruments other than securitisation; — exposures to securitisation positions in the trading book; — exposures to correlation trading portfolios; — exposures to equity securities; — exposures to CIUs where capital requirements are calculated in accordance with Article 348 CRR. Value of trading book exposures under internal models For relevant credit exposures as referred to in point (b) of Article 140(4) CRD subject to own funds requirements under Chapters 2 and 5 of Title IV of Part Three CRR, the sum of the following shall be reported: — Fair value of non-derivative positions, that represent relevant credit exposures as referred to in point (b) of Article 140(4) CRD, determined in accordance with Article 104 CRR. — Notional value of derivatives, that represent relevant credit exposures as referred to in point (b) of Article 140(4) CRD. Relevant credit exposures – Securitisation positions in the banking book Exposure value calculated in accordance with Article 248 CRR for relevant credit exposures as referred to in point (c) of Article 140(4) CRD. - Own funds requirements and weights Total own funds requirements for CCB The sum of rows , and. Own funds requirements for relevant credit exposures – Credit risk Own funds requirements calculated in accordance with Chapters 1 to 4 and Chapter 6 of Title II of Part Three CRR for relevant credit exposures as referred to in point (a) of Article 140(4) CRD, in the country in question. Own fund requirements for securitisation positions in the banking book shall be excluded from this row and reported in row. The own-funds requirements are 8 % of the risk-weighted exposure amount determined in accordance with Chapters 1 to 4 and Chapter 6 of Title II of Part Three CRR.EN.   Rows Own funds requirements for relevant credit exposures – Market risk Own funds requirements calculated in accordance with Chapter 2 of Title IV of Part Three CRR for specific risk, or in accordance with Chapter 5 of Title IV of Part Three CRR for incremental default and migration risk for relevant credit exposures as referred to in point (b) of Article 140(4) CRD, in the country in question. The own funds requirements for relevant credit exposures under the market risk framework shall include, among others, the own fund requirements for securitisation positions calculated in accordance with Chapter 2 of Title IV of Part Three, CRR and the own funds requirements for exposures to Collective Investment Undertakings determined in accordance with Article 348 CRR. Own funds requirements for relevant credit exposures – Securitisation positions in the banking book Own funds requirements calculated in accordance with Chapter 5 of Title II of Part Three CRR for relevant credit exposures as referred to in point (c) of Article 140(4) CRD in the country in question. The own-funds requirements are 8 % of the risk-weighted exposure amount calculated in accordance with Chapter 5 of Title II of Part Three, CRR. Own funds requirements weights The weight applied to the countercyclical buffer rate in each country shall be calculated as a ratio of own fund requirements, determined as follows: 1. Numerator: The total own funds requirements that relate to the relevant credit exposures in the country in question [r0070; c0010; country sheet], 2. Denominator: The total own funds requirements that relate to all credit exposures relevant for the calculation of the countercyclical buffer as referred to in Article 140(4) CRD [r0070; c0010; ‘Total’]. Information on the Own fund requirements weights shall not be reported for the ‘Total’ of all countries. - Countercyclical buffer rates Countercyclical capital buffer rate set by the Designated Authority Countercyclical capital buffer rate set for the country in question by the Designated Authority of that country in accordance with Articles 136, 137, 139, points (a) and (c) of Article 140(2) and point (b) of Article 140(3) CRD. This row shall be left empty when no countercyclical buffer rate was set for the country in question by the Designated Authority of that country. Countercyclical capital buffer rates that were set by the Designated Authority but are not yet applicable in the country in question at the reporting reference date shall not be reported. Information on the Countercyclical capital buffer rate set by the Designated Authority shall not be reported for the ‘Total’ of all countries.EN  . Rows Countercyclical capital buffer rate applicable for the country of the institution Countercyclical capital buffer rate applicable for the country in question which was set by the Designated Authority of the country of residence of the institution, in accordance with Articles 137, 138, 139 and point (b) of Article 140(2) and point (a) of Article 140(3) CRD. Counter cyclical capital buffer rates that are not yet applicable at the reporting reference date shall not be reported. Information on the Countercyclical capital buffer rate applicable in the country of the insti tution shall not be reported for the ‘Total’ of all countries. Institution-specific countercyclical capital buffer rate Institution-specific countercyclical capital buffer rate, calculated in accordance with Article 140(1) CRD. The institution-specific countercyclical capital buffer rate shall be calculated as the weighted average of the countercyclical buffer rates that apply in the jurisdictions where the relevant credit exposures of the institution are located or are applied for the purposes of Article 140 by virtue of paragraphs 2 or 3 of Article 139 CRD. The relevant countercyclical buffer rate shall reported in [r0120; c0020; country sheet], or [r0130; c0020; country sheet], as applicable. The weight applied to the countercyclical buffer rate in each country shall be the share of own funds requirements in total own funds requirements, and shall be reported in [r0110; c0020; country sheet]. Information on the institution-specific countercyclical capital buffer rate shall only be reported for the ‘Total’ of all countries and not for each country separately. – Use of the 2 % threshold Use of 2 % threshold for general credit exposure In accordance with point (b) of Article 2(5) of Commission Delegated Regulation (EU) No /, foreign general credit risk exposures, the aggregate of which does not exceed 2 % of the aggregate of the general credit, trading book and securitisation exposures of that institution, may be allocated to the institutions’ home Member State. The aggregate of the general credit, trading book and securitisation exposures shall be calculated by excluding the general credit exposures located in accordance with point (a) of Article 2(5) and Article 2(4) of Commission Delegated Regulation (EU) No /. If the institution makes use of this derogation, it shall indicate ‘y’ in the template for the jurisdiction corresponding to its home Member State and for the ‘Total’ of all countries. If an institution does not make use of this derogation, it shall indicate ‘n’ in the respective cell. Use of 2 % threshold for trading book exposure In accordance with Article 3(3) of Commission Delegated Regulation (EU) No /, institutions may allocate trading book exposures to their home Member State where the total trading book exposures do not exceed 2 % of their total general credit, trading book and securitisation exposures. If the institution makes use of this derogation, it shall indicate ‘y’ in the template for the jurisdiction corresponding to its home Member State and for the ‘Total’ of all countries. If an institution does not make use of this derogation, it shall indicate ‘n’ in the respective cell.EN.