EN  . C - CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS (CR IRB 1) IRB Exposure class: Own estimates of LGD and/or conversion factors: INTERNAL RATING SCALE ORIGINAL EXPOSURE PRE CONVERSION FACTORS CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE UNFUNDED CREDIT PROTECTION. OTHER FUNDED CREDIT PROTECTION SUBSTITUTION OF THE EXPOSURE DUE TO CRM PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%) OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES. GUAR ANTEES. CREDIT DERIVATIVES. TOTAL OUTFLOWS TOTAL INFLOWS (+) TOTAL EXPOSURES of which: Exposures subject to SME-supporting factor of which: Exposures subject to the Infrastructure supporting factor BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES: On balance sheet items subject to credit risk Off balance sheet items subject to credit risk Exposures / Transactions subject to counterparty credit riskEN.   INTERNAL RATING SCALE ORIGINAL EXPOSURE PRE CONVERSION FACTORS CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE UNFUNDED CREDIT PROTECTION. OTHER FUNDED CREDIT PROTECTION SUBSTITUTION OF THE EXPOSURE DUE TO CRM PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%) OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES. GUAR ANTEES. CREDIT DERIVATIVES. TOTAL OUTFLOWS TOTAL INFLOWS (+) Securities Financing Transactions netting sets Derivatives & Long Settlement Transactions netting sets From Contractual Cross Product netting sets EXPOSURES ASSIGNED TO OBLIGOR GRADES OR POOLS: TOTAL SPECIALIZED LENDING SLOTTING APPROACH: TOTAL ALTERNATIVE TREATMENT: SECURED BY REAL ESTATE EXPOSURES FROM FREE DELIVERIES APPLYING RISK WEIGHTS UNDER THE ALTERNATIVE TREATMENT OR 100% AND OTHER EXPOSURES SUBJECT TO RISK WEIGHTS DILUTION RISK: TOTAL PURCHASED RECEIV ABLESEN  . EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS EXPOSURE VALUE OF WHICH: OFF BALANCE SHEET ITEMS OF WHICH: OFF BALANCE SHEET ITEMS OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES TOTAL EXPOSURES of which: Exposures subject to SME-supporting factor of which: Exposures subject to the Infrastructure supporting factor BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES: On balance sheet items subject to credit risk Off balance sheet items subject to credit risk Exposures / Transactions subject to counterparty credit riskEN.   EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS EXPOSURE VALUE OF WHICH: OFF BALANCE SHEET ITEMS OF WHICH: OFF BALANCE SHEET ITEMS OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES Securities Financing Transactions netting sets Derivatives & Long Settlement Transactions netting sets From Contractual Cross Product netting sets EXPOSURES ASSIGNED TO OBLIGOR GRADES OR POOLS: TOTAL SPECIALIZED LENDING SLOTTING APPROACH: TOTAL ALTERNATIVE TREATMENT: SECURED BY REAL ESTATE EXPOSURES FROM FREE DELIVERIES APPLYING RISK WEIGHTS UNDER THE ALTERNATIVE TREATMENT OR 100% AND OTHER EXPOSURES SUBJECT TO RISK WEIGHTS DILUTION RISK: TOTAL PURCHASED RECEIV ABLESEN  . CREDIT RISK MITIGATION TECHNIQUES TAKEN INTO ACCOUNT IN LGD ESTIMATES EXCLUDING DOUBLE DEFAULT TREATMENT OWN ESTIMATES OF LGD'S ARE USED: UNFUNDED CREDIT PROTECTION FUNDED CREDIT PROTECTION GUAR ANTEES CREDIT DERI VATIVES OWN ESTIMATES OF LGD'S ARE USED: OTHER FUNDED CREDIT PROTECTION ELIGIBLE FINANCIAL COLLATERAL OTHER ELIGIBLE COLLATERAL CASH ON DEPOSIT LIFE INSURANCE POLICIES INSTRUMENT S HELD BY A THIRD PARTY REAL ESTATE OTHER PHYSICAL COLLATERAL RECEIV ABLES TOTAL EXPOSURES of which: Exposures subject to SME-supporting factor of which: Exposures subject to the Infrastructure supporting factor BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES: On balance sheet items subject to credit risk Off balance sheet items subject to credit risk Exposures / Transactions subject to counterparty credit riskEN.   CREDIT RISK MITIGATION TECHNIQUES TAKEN INTO ACCOUNT IN LGD ESTIMATES EXCLUDING DOUBLE DEFAULT TREATMENT OWN ESTIMATES OF LGD'S ARE USED: UNFUNDED CREDIT PROTECTION FUNDED CREDIT PROTECTION GUAR ANTEES CREDIT DERI VATIVES OWN ESTIMATES OF LGD'S ARE USED: OTHER FUNDED CREDIT PROTECTION ELIGIBLE FINANCIAL COLLATERAL OTHER ELIGIBLE COLLATERAL CASH ON DEPOSIT LIFE INSURANCE POLICIES INSTRUMENT S HELD BY A THIRD PARTY REAL ESTATE OTHER PHYSICAL COLLATERAL RECEIV ABLES Securities Financing Transactions netting sets Derivatives & Long Settlement Transactions netting sets From Contractual Cross Product netting sets EXPOSURES ASSIGNED TO OBLIGOR GRADES OR POOLS: TOTAL SPECIALIZED LENDING SLOTTING APPROACH: TOTAL ALTERNATIVE TREATMENT: SECURED BY REAL ESTATE EXPOSURES FROM FREE DELIVERIES APPLYING RISK WEIGHTS UNDER THE ALTERNATIVE TREATMENT OR 100% AND OTHER EXPOSURES SUBJECT TO RISK WEIGHTS DILUTION RISK: TOTAL PURCHASED RECEIV ABLESEN  . SUBJECT TO DOUBLE DEFAULT TREATMENT EXPOSURE WEIGHTED AVERAGE LGD (%) EXPOSURE WEIGHTED AVERAGE LGD (%) FOR LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES EXPOSURE- WEIGHTED AVERAGE MATURITY VALUE (DAYS) RISK WEIGHTED EXPOSURE AMOUNT PRE SUPPORTING FACTORS. ADJUSTMENT TO RISK-WEIGHTED EXPOSURE AMOUNT DUE TO SME SUPPORTING FACTOR. ADJUSTMENT TO RISK-WEIGHTED EXPOSURE AMOUNT DUE TO THE INFRA STRUCTURE SUPPORTING FACTOR UNFUNDED CREDIT PROTECTION TOTAL EXPOSURES of which: Exposures subject to SME-supporting factor of which: Exposures subject to the Infrastructure supporting factor BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES: On balance sheet items subject to credit risk Off balance sheet items subject to credit risk Exposures / Transactions subject to counterparty credit riskEN.   SUBJECT TO DOUBLE DEFAULT TREATMENT EXPOSURE WEIGHTED AVERAGE LGD (%) EXPOSURE WEIGHTED AVERAGE LGD (%) FOR LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES EXPOSURE- WEIGHTED AVERAGE MATURITY VALUE (DAYS) RISK WEIGHTED EXPOSURE AMOUNT PRE SUPPORTING FACTORS. ADJUSTMENT TO RISK-WEIGHTED EXPOSURE AMOUNT DUE TO SME SUPPORTING FACTOR. ADJUSTMENT TO RISK-WEIGHTED EXPOSURE AMOUNT DUE TO THE INFRA STRUCTURE SUPPORTING FACTOR UNFUNDED CREDIT PROTECTION Securities Financing Transactions netting sets Derivatives & Long Settlement Transactions netting sets From Contractual Cross Product netting sets EXPOSURES ASSIGNED TO OBLIGOR GRADES OR POOLS: TOTAL SPECIALIZED LENDING SLOTTING APPROACH: TOTAL ALTERNATIVE TREATMENT: SECURED BY REAL ESTATE EXPOSURES FROM FREE DELIVERIES APPLYING RISK WEIGHTS UNDER THE ALTERNATIVE TREATMENT OR 100% AND OTHER EXPOSURES SUBJECT TO RISK WEIGHTS DILUTION RISK: TOTAL PURCHASED RECEIV ABLESEN  . RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS MEMORANDUM ITEMS: EXPECTED LOSS AMOUNT. VALUE ADJUSTMENTS AND PROVISIONS NUMBER OF OBLIGORS PRE-CREDIT DERI VATIVES RISK WEIGHTED EXPOSURE AMOUNT OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES TOTAL EXPOSURES Cell linked to CA of which: Exposures subject to SME-supporting factor of which: Exposures subject to the Infrastructure supporting factor BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES: On balance sheet items subject to credit risk Off balance sheet items subject to credit risk Exposures / Transactions subject to counterparty credit riskEN.   RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS MEMORANDUM ITEMS: EXPECTED LOSS AMOUNT. VALUE ADJUSTMENTS AND PROVISIONS NUMBER OF OBLIGORS PRE-CREDIT DERI VATIVES RISK WEIGHTED EXPOSURE AMOUNT OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES Securities Financing Transactions netting sets Derivatives & Long Settlement Transactions netting sets From Contractual Cross Product netting sets EXPOSURES ASSIGNED TO OBLIGOR GRADES OR POOLS: TOTAL SPECIALIZED LENDING SLOTTING APPROACH: TOTAL ALTERNATIVE TREATMENT: SECURED BY REAL ESTATE EXPOSURES FROM FREE DELIVERIES APPLYING RISK WEIGHTS UNDER THE ALTERNATIVE TREATMENT OR 100% AND OTHER EXPOSURES SUBJECT TO RISK WEIGHTS DILUTION RISK: TOTAL PURCHASED RECEIV ABLESEN  . C - CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BREAKDOWN BY OBLIGOR GRADES OR POOLS (CR IRB 2) IRB Exposure class: Own estimates of LGD and/or conversion factors: OBLIGOR GRADE (ROW IDENTIFIER) INTERNAL RATING SCALE ORIGINAL EXPOSURE PRE CONVERSION FACTORS CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE UNFUNDED CREDIT PROTECTION. OTHER FUNDED CREDIT PROTECTION SUBSTITUTION OF THE EXPOSURE DUE TO CRM PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%) OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES. GUARANTEES. CREDIT DERIVATIVES. TOTAL OUTFLOWS TOTAL INFLOWS (+) EXPOSURE AFTER CRM SUBSTI TUTION EFFECTS PRE CONVERSION FACTORS EXPOSURE VALUE OF WHICH: OFF BALANCE SHEET ITEMS OF WHICH: OFF BALANCE SHEET ITEMS OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES 0140EN.   CREDIT RISK MITIGATION TECHNIQUES TAKEN INTO ACCOUNT IN LGD ESTIMATES EXCLUDING DOUBLE DEFAULT TREATMENT OWN ESTIMATES OF LGD'S ARE USED: UNFUNDED CREDIT PROTECTION FUNDED CREDIT PROTECTION GUARANTEES CREDIT DERIVATIVES OWN ESTIMATES OF LGD'S ARE USED: OTHER FUNDED CREDIT PROTECTION ELIGIBLE FINANCIAL COLLATERAL OTHER ELIGIBLE COLLATERAL CASH ON DEPOSIT LIFE INSURANCE POLICIES INSTRUMENTS HELD BY A THIRD PARTY REAL ESTATE OTHER PHYSICAL COLLATERAL RECEIVABLES SUBJECT TO DOUBLE DEFAULT TREATMENT EXPOSURE WEIGHTED AVERAGE LGD (%) EXPOSURE WEIGHTED AVERAGE LGD (%) FOR LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES EXPOSURE-WEIGHTED AVERAGE MATURITY VALUE (DAYS) RISK WEIGHTED EXPOSURE AMOUNT PRE SUPPORTING FACTORS. ADJUSTMENT TO RISK- WEIGHTED EXPOSURE AMOUNT DUE TO SME SUPPORTING FACTOR. ADJUSTMENT TO RISK- WEIGHTED EXPOSURE AMOUNT DUE TO THE INFRASTRUCTURE SUPPORTING FACTOR UNFUNDED CREDIT PROTECTION RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS MEMORANDUM ITEMS: EXPECTED LOSS AMOUNT. VALUE ADJUSTMENTS AND PROVISIONS NUMBER OF OBLIGORS PRE-CREDIT DERIVATIVES RISK WEIGHTED EXPOSURE AMOUNT OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES 0310EN  . C - CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BREAKDOWN BY PD RANGES (CR IRB 3) IRB Exposure class: Own estimates of LGD and/or conversion factors: PD RANGE ON-BALANCE SHEET EXPOSURES OFF- BALANCE- SHEET EXPOSURES PRE- CONVERSION FACTORS EXPOSURE WEIGHTED AVERAGE CONVERSION FACTORS EXPOSURE VALUE POST CONVERSION FACTORS AND POST CRM EXPOSURE WEIGHTED AVERAGE PD (%) NUMBER OF OBLIGORS EXPOSURE WEIGHTED AVERAGE LGD (%) EXPOSURE WEIGHTED AVERAGE MATURITY (YEARS) RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS EXPECTED LOSS AMOUNT VALUE ADJUST- MENTS AND PROVISIONS to < to < to < to < to < to < to < to < to <2.5EN.   PD RANGE ON-BALANCE SHEET EXPOSURES OFF- BALANCE- SHEET EXPOSURES PRE- CONVERSION FACTORS EXPOSURE WEIGHTED AVERAGE CONVERSION FACTORS EXPOSURE VALUE POST CONVERSION FACTORS AND POST CRM EXPOSURE WEIGHTED AVERAGE PD (%) NUMBER OF OBLIGORS EXPOSURE WEIGHTED AVERAGE LGD (%) EXPOSURE WEIGHTED AVERAGE MATURITY (YEARS) RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS EXPECTED LOSS AMOUNT VALUE ADJUST- MENTS AND PROVISIONS to <10 to <5 5 to <10 10 to <100 10 to <20 20 to <30 30 to <100 100 (Default) C - CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: RWEA FLOW STATEMENTS (CR IRB 4) RISK WEIGHTED EXPOSURE AMOUNT RISK WEIGHTED EXPOSURE AMOUNT AT THE END OF THE PREVIOUS REPORTING PERIOD ASSET SIZE (+/-) ASSET QUALITY (+/-) MODEL UPDATES (+/-) METHODOLOGY AND POLICY (+/-) ACQUISITIONS AND DISPOSALS (+/-) FOREIGN EXCHANGE MOVEMENTS (+/-) OTHER (+/-) RISK WEIGHTED EXPOSURE AMOUNT AT THE END OF THE REPORTING PERIODEN  . C - CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BACK-TESTING OF PD (CR IRB 5) IRB Exposure class: Own estimates of LGD and/or conversion factors: PD RANGE ARITHMETIC AVERAGE PD (%) NUMBER OF OBLIGORS AT THE END OF THE PREVIOUS YEAR OBSERVED AVERAGE DEFAULT RATE (%) AVERAGE HISTORICAL ANNUAL DEFAULT RATE (%) OF WHICH: DEFAULTED DURING THE YEAR to < to < to < to < to < to < to < to < to < to <10 to <5 5 to <10 10 to <100 10 to <20 20 to <30 30 to <100 100 (Default)EN.   EN  . C - CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BACK-TESTING OF PD ACCORDING TO POINT (f) OF ARTICLE 180(1) (CR IRB 5) IRB Exposure class: Own estimates of LGD and/or conversion factors: PD RANGE EXTERNAL RATING EQUIVALENT ARITHMETIC AVERAGE PD (%) NUMBER OF OBLIGORS AT THE END OF THE PREVIOUS YEAR OBSERVED AVERAGE DEFAULT RATE (%) AVERAGE HISTORICAL ANNUAL DEFAULT RATE (%) OF WHICH: DEFAULTED DURING THE YEAR 0050EN.   C - CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: SPECIALISED LENDING SLOTTING APPROACH (CR IRB 6) Type of specialised lending: ORIGINAL EXPOSURE PRE CONVERSI ON FACTORS EXPOSURE AFTER CRM SUBSTI TUTION EFFECTS PRE CONVERSI ON FACTORS EXPOSURE VALUE RISK WEIGHT RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS MEMORANDUM ITEMS: EXPECTED LOSS AMOUNT. VALUE ADJUSTME NTS AND PROVI SIONS OF WHICH: OFF BALANCE SHEET ITEMS OF WHICH: OFF BALANCE SHEET ITEMS OF WHICH: ARISING FROM COUNTERPA RTY CREDIT RISK CATEGORY 1 LESS THAN YEARS 50 % EQUAL TO OR MORE THAN YEARS 70 % CATEGORY 2 LESS THAN YEARS 70 % EQUAL TO OR MORE THAN YEARS 90 % CATEGORY 3 LESS THAN YEARS 115 % EQUAL TO OR MORE THAN YEARS 115 % CATEGORY 4 LESS THAN YEARS 250 % EQUAL TO OR MORE THAN YEARS 250 %EN  . ORIGINAL EXPOSURE PRE CONVERSI ON FACTORS EXPOSURE AFTER CRM SUBSTI TUTION EFFECTS PRE CONVERSI ON FACTORS EXPOSURE VALUE RISK WEIGHT RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS MEMORANDUM ITEMS: EXPECTED LOSS AMOUNT. VALUE ADJUSTME NTS AND PROVI SIONS OF WHICH: OFF BALANCE SHEET ITEMS OF WHICH: OFF BALANCE SHEET ITEMS OF WHICH: ARISING FROM COUNTERPA RTY CREDIT RISK CATEGORY 5 LESS THAN YEARS — EQUAL TO OR MORE THAN YEARS — TOTAL LESS THAN YEARS EQUAL TO OR MORE THAN YEARSEN.   C - CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: SCOPE OF USE OF IRB AND SA APPROACHES (CR IRB 7) TOTAL EXPOSURE VALUE AS DEFINED IN ART 166 CRR TOTAL EXPOSURE VALUE SUBJECT TO SA AND IRB PERCENTAGE OF TOTAL EXPOSURE VALUE SUBJECT TO PERMANENT PARTIAL USE OF SA (%) PERCENTAGE OF TOTAL EXPOSURE VALUE SUBJECT TO A ROLL-OUT PLAN (%) PERCENTAGE OF TOTAL EXPOSURE VALUE SUBJECT TO IRB APPROACH (%) CENTRAL GOVERNMENTS OR CENTRAL BANKS OF WHICH: REGIONAL GOVERNMENTS OR LOCAL AUTHORITIES OF WHICH: PUBLIC SECTOR ENTITIES INSTITUTIONS CORPORATES OF WHICH: CORPORATES - SPECIALISED LENDING, EXCLUDING SLOTTING APPROACH OF WHICH: CORPORATES - SPECIALISED LENDING, INCLUDING SLOTTING APPROACH OF WHICH: CORPORATES - SMES RETAIL OF WHICH RETAIL – SECURED BY REAL ESTATE SMESEN  . TOTAL EXPOSURE VALUE AS DEFINED IN ART 166 CRR TOTAL EXPOSURE VALUE SUBJECT TO SA AND IRB PERCENTAGE OF TOTAL EXPOSURE VALUE SUBJECT TO PERMANENT PARTIAL USE OF SA (%) PERCENTAGE OF TOTAL EXPOSURE VALUE SUBJECT TO A ROLL-OUT PLAN (%) PERCENTAGE OF TOTAL EXPOSURE VALUE SUBJECT TO IRB APPROACH (%) OF WHICH RETAIL – SECURED BY REAL ESTATE NON-SMES OF WHICH RETAIL – QUALIFYING REVOLVING OF WHICH RETAIL – OTHER SMES OF WHICH RETAIL – OTHER NON-SMES EQUITY OTHER NON-CREDIT OBLIGATION ASSETS TOTAL ) . C – Credit and counterparty credit risks and free deliveries: IRB approach to Capital Requirements (CR IRB 1). Instructions concerning specific positions  Instructions INTERNAL RATING SCALE/PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%) The PD assigned to the obligor grade or pool to be reported shall be based on the provisions laid down in Article 180 CRR. For each individual grade or pool, the PD assigned to the specific obligor grade or pool shall be reported. For figures corresponding to an aggregation of obligor grades or pools (e.g. total exposures), the exposure weighted average of the PDs assigned to the obligor grades or pools included in the aggregation shall be provided. The exposure value (column ) shall be used for the calculation of the exposure-weighted average PD. For each individual grade or pool, the PD assigned to the specific obligor grade or pool shall be reported. All reported risk parameters shall be derived from the risk parameters used in the internal rating scale approved by the respective competent authority. It is neither intended nor desirable to have a supervisory master scale. If the reporting institution applies a unique rating scale or is able to report in accordance with an internal master scale, that scale shall be used. Otherwise, the different rating scales shall be merged and ordered in accordance with the following criteria: Obligor grades of the different rating scales shall be pooled and ordered from the lower PD assigned to each obligor grade to the higher. Where the institution uses a large number of grades or pools, a reduced number of grades or pools to be reported may be agreed with the competent authorities. The same applies for continuous rating scales: a reduced number of grades to be reported shall be agreed with the competent authorities. Institutions shall contact their competent authority in advance if they want to report a different number of grades in comparison with the internal number of grades. The last rating grade or grades shall be dedicated for defaulted exposures with PD of 100 %. For the purposes of weighting the average PD, the exposure value reported in column 110 shall be used. The exposure weighted average PD shall be computed taking into account all exposures reported in a given row. In the row where only defaulted exposures are reported the average PD shall be of 100 %.EN  .  Instructions ORIGINAL EXPOSURE PRE-CONVERSION FACTORS Institutions shall report the exposure value before taking into account any value adjustments, provisions, effects due to credit risk mitigation techniques or credit conversion factors. The original exposure value shall be reported in accordance with Article 24 CRR and para graphs 1, 2, 4, 5, 6 and 7 of Article 166 CRR. The effect resulting from Article 166(3) CRR (effect of on balance sheet netting of loans and deposits) shall be reported separately as Funded Credit Protection and shall therefore not reduce the Original Exposure. 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 arising from counterparty credit risk (see instructions to column ). OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES Breakdown of the original exposure pre-conversion factor for all exposures of entities referred to in points (4) and (5) of Article 142(1) CRR subject to the higher coefficient of correlation determined in accordance with Article 153(2) CRR. - CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE Credit risk mitigation 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 defined below in ‘SUB STITUTION OF THE EXPOSURE DUE TO CRM’. - UNFUNDED CREDIT PROTECTION Unfunded credit protection as defined in point (59) of Article 4(1) CRR. Unfunded credit protection that has an effect on the exposure (e.g. used for credit risk mitigation techniques with substitution effects on the exposure) shall be capped at the exposure value. GUARANTEES: Where own estimates of LGD are not used, the Adjusted Value (G A ) as defined in Article 236(3) CRR shall be provided. When own estimates of LGD are used in accordance with Article 183 CRR (except for paragraph 3), the relevant value used in the internal model shall be reported. Guarantees shall be reported in column where the adjustment is not made in the LGD. Where the adjustment is made in the LGD, the amount of the guarantee shall be reported in column. Regarding exposures subject to the double default treatment, the value of unfunded credit protection shall be reported in column. EN.    Instructions CREDIT DERIVATIVES: Where own estimates of LGD are not used, the Adjusted Value (G A ) as defined in Article 236(3) CRR shall be provided. Where own estimates of LGD are used in accordance with paragraph 3 of Article 183 CRR, the relevant value used in the internal modelling shall be reported. Where the adjustment is made in the LGD, the amount of the credit derivatives shall be reported in column. Regarding exposures subject to the double default treatment, the value of unfunded credit protection shall be reported in column. OTHER FUNDED CREDIT PROTECTION Collateral that has an effect on the PD of the exposure shall be capped at the value of the original exposure pre conversion factors. Where own estimates of LGD are not used, Article 232(1) CRR applies. Where own estimates of LGD are used, those credit risk mitigation techniques that have effects on PD shall be reported. The relevant nominal or market value shall be reported. Where an adjustment is made in the LGD, that amount shall be reported in column 170. - SUBSTITUTION OF THE EXPOSURE DUE TO CRM Outflows shall correspond to the covered part of the original exposure pre-conversion factors, that is deducted from the obligor’s exposure class and, where relevant, obligor grade or pool, and subsequently assigned to the guarantor’s exposure class and, where relevant, obligor grade or pool. That amount shall be considered as an inflow into the guarantor’s exposure class and, where relevant, obligor grades or pools. Inflows and outflows within the same exposure classes and, where relevant, obligor grades or pools, shall also be considered. Exposures stemming from possible in- and outflows from and to other templates shall be taken into account. These columns shall only be used where institutions have obtained permission from their competent authority to treat these secured exposures under the permanent partial use of the Standardised approach in accordance with Article 150 CRR or to classify the exposures to exposure classes in accordance with the characteristic of the guarantor. EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE-CONVERSION FACTORS Exposure assigned in the corresponding obligor grade or pool and exposure class after taking into account outflows and inflows due to CRM techniques with substitution effects on the exposure. , Of which: Off Balance Sheet Items See CR-SA instructions EXPOSURE VALUE The exposure values determined in accordance with Article 166 CRR and the second sentence of Article 230(1) CRR shall be reported. For the instruments referred to in Annex I, credit conversion factors and percentages in accordance with paragraphs 8, 9 and 10 of Article 166 CRR are applied, irrespective of the approach chosen by the institution. Exposure values for CCR business shall be the same as reported in column. EN  .  Instructions Of which: Arising from counterparty Credit Risk See the corresponding CR SA instructions in column. OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES Breakdown of the exposure value for all exposures to entities referred to in points (4) and (5) of Article 142(1) CRR subject to the higher coefficient of correlation determined in accordance with Article 153(2) CRR. - CREDIT RISK MITIGATION TECHNIQUES TAKEN INTO ACCOUNT IN LGD ESTIMATES EXCLUDING DOUBLE DEFAULT TREATMENT CRM techniques that have an impact on LGD estimates as a result of the application of the substitution effect of CRM techniques shall not be included in these columns. Where own estimates of LGD are not used, Article 228(2), Article 230(1) and (2) and Article 231 CRR shall be taken into account. Where own estimates of LGD are used: — Regarding unfunded credit protection, for exposures to central governments and central banks, institutions and corporates, Article 161(3) CRR shall be taken into account. For retail exposures, Article 164(2) CRR shall be taken into account. — Regarding funded credit protection, the collateral shall be taken into account in the LGD estimates in accordance with points (e) and (f) of Article 181(1) CRR. GUARANTEES See instructions to column. CREDIT DERIVATIVES See instructions to column. OWN ESTIMATES OF LGDS ARE USED: OTHER FUNDED CREDIT PROTECTION The relevant value used in the internal modelling of the institution. Those credit risk mitigants that comply with the criteria in Article 212 CRR. CASH ON DEPOSIT Point (a) of Article 200 CRR Cash on deposit with, or cash assimilated instruments held by third party institution in a non- custodial arrangement and pledged to the lending institution. The value of collateral reported shall be limited to the value of the exposure at the level of an individual exposure. LIFE INSURANCE POLICIES Point (b) of Article 200 CRR The value of collateral reported shall be limited to the value of the exposure at the level of an individual exposure.EN.    Instructions INSTRUMENTS HELD BY A THIRD PARTY Point (c) of Article 200 CRR This includes instruments issued by a third party institution, which will be repurchased by that institution on request. The value of collateral reported shall be limited to the value of the exposure at the level of an individual exposure. This column shall exclude those exposures covered by instruments held by a third party where, in accordance with Article 232(4) CRR, institutions treat instruments repurchased on request that are eligible under point (c) of Article 200 CRR as a guarantee by the issuing institution. ELIGIBLE FINANCIAL COLLATERAL For trading book operations, financial instruments and commodities eligible for trading book exposures in accordance with points (c) to (f) of Article 299(2) CRR shall be included. Credit linked notes and on -balance sheet netting in accordance with Section 4 of Chapter 4 of Title II of Part Three CRR shall be treated as cash collateral. Where own estimates of LGD are not used, for eligible financial collateral in accordance with Article 197 CRR,the adjusted value (Cvam) as set out in Article 223(2) CRR shall be reported. Where own estimates of LGD are used, the financial collateral shall be taken into account in the LGD estimates in accordance with points (e) and (f) of Article 181(1) CRR. The amount to be reported shall be the estimated market value of the collateral. - OTHER ELIGIBLE COLLATERAL Where own estimates of LGD are not used, values shall be determined in accordance with paragraphs 1 to 8 of Article 199 CRR and Article 229 CRR. Where own estimates of LGD are used, other collateral shall be taken into account in the LGD estimates in accordance with points (e) and (f) of Article 181(1) CRR. REAL ESTATE Where own estimates of LGD are not used, values shall be determined in accordance with paragraphs 2, 3 and 4 of Article 199 CRR and shall be reported in this column. Leasing of real estate property shall also be included (see Article 199(7) CRR). See also Article 229 CRR. Where own estimates of LGD are used, the amount to be reported shall be the estimated market value. OTHER PHYSICAL COLLATERAL Where own estimates of LGD are not used, values shall be determined in accordance with paragraphs 6 and 8 of Article 199 CRR and shall be reported in this column. Leasing of property different from real estate shall also be included (see Article 199(7) CRR). See also Article 229(3) CRR. Where own estimates of LGD are used, the amount to be reported shall be the estimated market value of collateral. RECEIVABLES Where own estimates of LGD are not used, values shall be determined in accordance with Articles 199(5) and 229(2) CRR and shall be reported in this column. Where own estimates of LGD are used, the amount to be reported shall be the estimated market value of collateral.EN  .  Instructions SUBJECT TO DOUBLE DEFAULT TREATMENT: UNFUNDED CREDIT PROTECTION Guarantees and credit derivatives covering exposures subject to the double default treatment in accordance with Article 153(3) CRR and taking into account Article 202 and Article 217(1) CRR. The values to be reported shall not exceed the value of the corresponding exposures. EXPOSURE WEIGHTED AVERAGE LGD (%) All the impact of CRM techniques on LGD values as specified in Chapters 3 and 4 of Title II of Part Three CRR shall be considered. In case of exposures subject to the double default treatment, the LGD to be reported shall correspond to the LGD selected in accordance with Article 161(4) CRR. For defaulted exposures, point (h) of Article 181(1) CRR shall be taken into account. The exposure value referred to in column shall be used for the calculation of the exposure-weighted averages. All effects shall be considered (so the effects of the floor applicable to exposures secured by immovable property in accordance with Article 164(4) CRR shall be included in the repor ting). For institutions applying the IRB approach but not using their own estimates of LGD, the risk mitigation effects of financial collateral shall be reflected in E*, the fully adjusted value of the exposure, and then reflected in LGD* as referred to in Article 228(2) CRR. The exposure weighted average LGD associated to each PD ‘obligor grade or pool’ shall result from the average of the prudential LGDs, assigned to the exposures of that PD grade/pool, weighted by the respective exposure value of column. Where own estimates of LGD are applied, Article 175 and paragraphs 1 and 2 of Article 181 CRR shall be taken into account. In case of exposures subject to the double default treatment, the LGD to be reported shall correspond to the LGD selected in accordance with Article 161(4) CRR. The calculation of the exposure weighted average LGD shall be derived from the risk parameters really used in the internal rating scale approved by the respective competent authority. Data shall not be reported for specialised lending exposures referred to in Article 153(5) CRR. Where PD is estimated for specialised lending exposures, data shall be reported based on own estimates of LGDs or regulatory LGDs. Exposures and the respective LGDs for large regulated financial sector entities and unregulated financial entities shall not be included in the calculation of column , but only be included in the calculation of column. EXPOSURE WEIGHTED AVERAGE LGD (%) FOR LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES Exposure weighted average LGD (%) for all exposures to large financial sector entities as defined in point (4) of Article 142(1) CRR and to unregulated financial sector entities as defined in point (5) of Article 142(1) CRR subject to the higher coefficient of correlation determined in accordance with Article 153(2) CRREN.    Instructions EXPOSURE-WEIGHTED AVERAGE MATURITY VALUE (DAYS) The value reported shall be determined in accordance with Article 162 CRR. The exposure value (column ) shall be used for the calculation of the exposure-weighted averages. The average maturity shall be reported in days. This data shall not be reported for the exposure values for which the maturity is not an element in the calculation of risk weighted exposure amounts. That means that this column shall not be filled in for the exposure class ‘retail’. RISK WEIGHTED EXPOSURE AMOUNT PRE SUPPORTING FACTORS For central governments and central banks, corporate and institutions, see paragraphs 1, 2, 3 and 4 of Article 153 CRR; For retail, see Article 154(1) CRR The SME and infrastructure supporting factors laid down in Articles 501 and 501a CRR shall not be taken into account.. 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 3 of Title II of Part Three CRR, as applicable and RWEA* in accordance with Article 501 CRR.. ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO THE INFRA STRUCTURE 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 For central governments and central banks, corporate and institutions, see paragraphs 1, 2, 3 and 4 of Article 153 CRR. For retail, see Article 154(1) CRR. The SME and infrastructure supporting factors laid down in Articles 501 and 501a CRR shall be taken into account. OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES Breakdown of the risk weighted exposure amount after SME supporting factor for all exposures to large financial sectors entities as defined in point (4) of Article 142(1) CRR and to unregulated financial sector entities as defined in point (5) of Article 142(1) CRR, subject to the higher coefficient of correlation determined in accordance with Article 153(2) CRR. EXPECTED LOSS AMOUNT For the definition of Expected Loss, see Article 5(3) CRR and, for the calculation of expected loss amounts, see Article 158 CRR. For defaulted exposures, see point (h) of Article 181(1) CRR. The expected loss amount to be reported shall be based on the risk parameters really used in the internal rating scale approved by the respective competent authority.EN  .  Instructions. VALUE ADJUSTMENTS AND PROVISIONS Value Adjustments as well as specific and general credit risk adjustments in accordance with Article 159 CRR shall be reported. General credit risk adjustments shall be reported by assigning the amount pro rata on the basis of the expected loss of the different obligor grades. NUMBER OF OBLIGORS Paragraphs 1 and 2 of Article 172 CRR. For all exposure classes, with the exception of the exposure class retail and the cases mentioned in the second sentence of point (e) of Article 172(1) CRR, the institution shall report the number of legal entities/obligors which were separately rated, regardless of the number of different loans or exposures granted. Within the exposure class retail, or if separate exposures to the same obligor are assigned to different obligor grades in accordance with the second sentence of point (e) of Article 172(1) CRR in other exposure classes, the institution shall report the number of exposures which were separately assigned to a certain rating grade or pool. In case Article 172(2) CRR applies, an obligor may be considered in more than one grade. As this column deals with an element of the structure of the rating scales, it relates to the original exposures pre-conversion factor assigned to each obligor grade or pool without taking into account the effect of CRM techniques (in particular redistribution effects). PRE-CREDIT DERIVATIVES RISK WEIGHTED EXPOSURE AMOUNT Institutions shall report hypothetical risk weighted exposure amount to be calculated as the RWEA without the recognition of the eligible credit derivative as a CRM technique as specified in Article 204 CRR. The amounts shall be presented in the exposure classes relevant for the exposures to the original obligor.  TOTAL EXPOSURES of which: Exposures subject to the SME supporting factor Only exposures which meet the requirements of Article 501 CRR shall be reported here. of which: Exposures subject to the infrastructure supporting factor Only exposures which meet the requirements of Article 501a CRR shall be reported here. - BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES: On balance sheet items subject to credit risk Assets referred to in Article 24 CRR shall not be 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.EN.    Off balance sheet items subject to credit risk Off-balance sheet items shall comprise items in accordance with Article 166(8) CRR, as well as those items that are listed in Annex I CRR. Exposures that are subject to counterparty credit risk shall be reported in rows - and, therefore, shall not be in this row. - Exposures/Transactions subject to counterparty credit risk See the corresponding CR SA instructions in rows -. Securities Financing Transactions netting sets See the corresponding CR SA instructions in row. Derivatives and Long Settlement Transactions netting sets See the corresponding CR SA instructions in row. From Contractual Cross Product netting sets See the corresponding CR SA instructions in row. EXPOSURES ASSIGNED TO OBLIGOR GRADES OR POOLS: TOTAL For exposures to corporates, institutions and central governments and central banks, see point (6) of Article 142(1) and point (c) of Article 170(1) CRR. For retail exposures see point (b) of Article 170(3) CRR. For exposures arising from purchased receivables, see Article 166(6) CRR. Exposures for dilution risk of purchased receivables shall not be reported by obligor grades or pools and shall be reported in row. Where the institution uses a large number of grades or pools, a reduced number of grades or pools to be reported may be agreed with the competent authorities. A supervisory master scale is not used. Instead, institutions shall determine the scale to be used themselves. SPECIALISED LENDING SLOTTING APPROACH: TOTAL Article 153(5) CRR. This shall only apply to the exposure classe corporate – specialised lending. ALTERNATIVE TREATMENT: SECURED BY REAL ESTATE Paragraphs 1 and 2 of Article 193, paragraphs 1 to 7 of Article 194 and Article 230(3) CRR. This alternative is available only for institutions using Foundation-IRB approach. EXPOSURES FROM FREE DELIVERIES APPLYING RISK WEIGHTS UNDER THE ALTERNATIVE TREATMENT OR 100 % AND OTHER EXPOSURES SUBJECT TO RISK WEIGHTS Exposures arising from free deliveries for which the alternative treatment referred to in the last sentence of the first subparagraph of Article 379(2) CRR is used, or for which a 100 % risk weight is applied in accordance with the last subparagraph of Article 379(2) CRR. Unrated nth-to-default credit derivatives in accordance with Article 153(8) CRR and any other exposure subject to risk weights not included in any other row shall be reported in this row.EN  .  DILUTION RISK: TOTAL PURCHASED RECEIVABLES See point (53) of Article 4(1) CRR for a definition of dilution risk. For calculation of risk weighted exposure amounts for dilution risk see Article 157 CRR. Dilution risk shall be reported for corporate and retail purchased receivables.. C – Credit and counterparty credit risks and free deliveries: IRB approach to capital requirements: breakdown by obligor grades or pools (CR IRB 2 template) Column Instructions Obligor grade (row identifier) This is a row identifier and shall be unique for each row on a particular sheet of the template. It shall follow the numerical order 1, 2, 3, etc. The first grade (or pool) to be reported is the best, then the second-best and so on. The last reported grade or grades (or pool) shall be that of exposures in default. - Instructions for each of these columns are the same as for the corresponding numbered columns in CR IRB 1 template. Row Instructions - – -NNNN Values reported in these rows must be filled in in the order corresponding to the PD assigned to the obligor grade or pool. PD of obligors in default shall be 100 %. Exposures subject to the alternative treatment for real estate collateral (only available when not using own estimates for the LGD) shall not be assigned in accordance with the PD of the obligor and shall not be reported in this template.. C – Credit risk and free deliveries: IRB approach to Capital Requirements (breakdown by PD ranges (CR IRB 3)). General remarks 77. Institutions shall report the information included in this template in application of points (i) to (v) of Article 452(g) CRR, in order to provide information on the main parameters used for the calculation of capital requirements for IRB approach. Information reported in this template shall not include data on specialised lending referred to in article 153(5) CRR, which is included in template C. This template excludes counterparty credit risk (CCR) exposures (Chapter 6 of Title II of Part Three CRR).. Instructions concerning specific positions  Instructions ON-BALANCE SHEET EXPOSURES Exposure value calculated in accordance with Article 166(1) to (7) CRR without taking into account any credit risk adjustmentsEN.    Instructions OFF-BALANCE SHEET EXPOSURES PRE-CONVERSION FACTORS Exposure value in accordance with paragraphs (1) to (7) of Article 166 CRR, without taking into account any credit risk adjustments and any conversion factors, neither own estimates nor conversion factors specified in Article 166(8) CRR, or any percentages specified in Article 166(10) CRR Off balance sheet exposures shall comprise all committed but undrawn amounts and all off- balance sheet items, as listed in Annex I CRR. EXPOSURE WEIGHTED AVERAGE CONVERSION FACTORS For all exposures included in each bucket of the fixed PD range, the average conversion factor used by institutions in their calculation of risk-weighted exposure amounts, weighted by the off-balance sheet exposure pre-CCF as reported in column EXPOSURE VALUE POST CONVERSION FACTORS AND POST CRM Exposure value in accordance with Article 166 CRR This column shall include the sum of exposure value of on-balance sheet exposures and off- balance sheet exposures post conversion factors in accordance with paragraphs (8) to (10) of Article 166 CRR and after CRM techniques. EXPOSURE WEIGHTED AVERAGE PD (%) For all exposures included in each bucket of the fixed PD range, the average PD estimate of each obligor, weighted by the exposure value post-CCF and CRM as reported in column NUMBER OF OBLIGORS The number of legal entities or obligors allocated to each bucket of the fixed PD range The number of obligors shall be counted in accordance with the instructions in column of template C. Joint obligors shall be treated the same as for the purpose of PD calibration. EXPOSURE WEIGHTED AVERAGE LGD (%) For all exposures included in each bucket of the fixed PD range, the average of the LGD estimates for each exposure, weighted by the exposure value post-CCF and post-CRM as reported in column The LGD reported shall correspond to the final LGD estimate used in the calculation of risk weighted amounts obtained after considering any CRM effects and downturn conditions where relevant. For retail exposures secured by immovable properties the LGD reported shall take into account the floors specified in Article 164(4) CRR. In the case of exposures subject to the double default treatment the LGD to be reported shall correspond to the one selected in accordance with Article 161(4) CRR. For defaulted exposures under A-IRB approach, provisions laid down in point (h) of Article 181(1) CRR shall be considered. The LGD reported shall correspond to the estimate of LGD in-default in accordance with the applicable estimation methodologies.EN  .  Instructions EXPOSURE-WEIGHTED AVERAGE MATURITY (YEARS) For all exposures included in each bucket of the fixed PD range, the average maturity of each exposure, weighted by the exposure value post-CCF as reported in column The maturity value reported shall be determined in accordance with Article 162 CRR. The average maturity shall be reported in years. This data shall not be reported for the exposure values for which the maturity is not an element in the calculation of risk weighted exposure amounts in accordance with Chapter 3 of Title II of Part Three CRR. This means that this column shall not be filled in for the exposure class ‘retail’. RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS For exposures to central governments and central banks, institutions and corporates, the risk weighted exposure amount calculated in accordance with paragraphs (1) to (4) of Article 153; for retail exposures, the risk weighted exposure amount calculated in accordance with Article 154 CRR The SME and infrastructure supporting factors laid down in Articles 501 and Article 501a CRR shall be taken into account. EXPECTED LOSS AMOUNT The expected loss amount calculated in accordance with Article 158 CRR The expected loss amount to be reported shall be based on the actual risk parameters used in the internal rating scale approved by the respective competent authority. VALUE ADJUSTMENTS AND PROVISIONS Specific and general credit risk adjustments in accordance with the Commission Delegated Regulation (EU) No 183/, additional value adjustments in accordance with Articles 34 and 110 CRR, as well as other own funds reductions related to the exposures allocated to each bucket on the fixed PD range These value adjustments and provisions shall be those considered for the implementation of Article 159 CRR. General provisions shall be reported by assigning the amount pro rata – in accordance with the expected loss of different obligor grades.  PD RANGE Exposures shall be allocated to an appropriate bucket of the fixed PD range based on the PD estimated for each obligor assigned to this exposure class (without considering any substi tution effects due to CRM). Institutions shall map exposure by exposure to the PD range provided in the template, also taking into account continuous scales. All defaulted exposures shall be included in the bucket representing PD of 100 %.. C – Credit risk and free deliveries: IRB approach to Capital Requirements (RWEA flow statements (CR IRB 4)). General remarks 78. Institutions shall report the information included in this template in application of point (h) of Article 438 CRR. This template excludes counterparty credit risk (CCR) exposures (Chapter 6 of Title II of Part Three CRR).EN.   79. Institutions shall report the flows of RWEA as the changes between the risk-weighted exposure amounts at the reference date and the risk-weighted exposure amounts at the prior reference date. In the case of quarterly reporting, end-of-quarter prior to the quarter of the reporting reference date shall be reported.. Instructions concerning specific positions Column Instructions RISK WEIGHTED EXPOSURE AMOUNT Total risk weighted exposure amount for credit risk calculated under the IRB approach, taking into account supporting factors in accordance with Article 501 and 501a CRR.  RISK WEIGHTED EXPOSURE AMOUNT AT THE END OF THE PREVIOUS REPORTING PERIOD Risk weighted exposure amount at the end of the previous reporting period after the appli cation of the SME and infrastructure supporting factors laid down in Articles 501 and 501a CRR ASSET SIZE (+/-) Change in the risk weighted exposure amount between the end of the previous reporting period and the end of the current reporting period, due to asset size, i.e. organic changes in book size and composition (including the origination of new businesses and maturing loans) but excluding changes in book size due to acquisitions and disposal of entities Increases in risk weighted exposure amounts shall be reported as a positive amount and decreases in risk weighted exposure amounts shall be reported as a negative amount. ASSET QUALITY (+/-) Change in the risk weighted exposure amount between the end of the previous reporting period and the end of the current reporting period, due to asset quality, i.e. changes in the assessed quality of the institution’s assets due to changes in borrower risk, such as rating grade migration or similar effects Increases in risk weighted exposure amounts shall be reported as a positive amount and decreases in risk weighted exposure amounts shall be reported as a negative amount. MODEL UPDATES (+/-) Change in the risk weighted exposure amount between the end of the previous reporting period and the end of the current reporting period, due to model updates, i.e changes due to implementation of new models, changes in the models, changes in model scope, or any other changes intended to address model weaknesses Increases in risk weighted exposure amounts shall be reported as a positive amount and decreases in risk weighted exposure amounts shall be reported as a negative amount. METHODOLOGY AND POLICY (+/-) Change in the risk weighted exposure amount between the end of the previous reporting period and the end of the current reporting period, due to methodology and policy i.e. changes due to methodological changes in calculations driven by regulatory policy changes, including both revisions to existing regulations and new regulations, excluding changes in models, which are included in row Increases in risk weighted exposure amounts shall be reported as a positive amount and decreases in risk weighted exposure amounts shall be reported as a negative amount.EN  .  ACQUISITIONS AND DISPOSALS (+/-) Change in the risk weighted exposure amount between the end of the previous reporting period and the end of the current reporting period, due to acquisitions and disposals, i.e. changes in book sizes due to acquisitions and disposal of entities Increases in risk weighted exposure amounts shall be reported as a positive amount and decreases in risk weighted exposure amounts shall be reported as a negative amount. FOREIGN EXCHANGE MOVEMENTS (+/-) Change in the risk weighted exposure amount between the end of the previous reporting period and the end of the current reporting period, due to foreign exchange movements, i.e. changes arising from foreign currency translation movements Increases in risk weighted exposure amounts shall be reported as a positive amount and decreases in risk weighted exposure amounts shall be reported as a negative amount. OTHER (+/-) Change in the risk weighted exposure amount between the end of the previous reporting period and the end of the current reporting period, due to other drivers This category shall be used to capture changes that cannot be attributed to any other category. Increases in risk weighted exposure amounts shall be reported as a positive amount and decreases in risk weighted exposure amounts shall be reported as a negative amount. RISK WEIGHTED EXPOSURE AMOUNT AT THE END OF THE REPORTING PERIOD Risk weighted exposure amount in the reporting period after the application of the SME and infrastructure supporting factors laid down in Articles 501 and 501a CRR. C – Credit risk and free deliveries: IRB approach to Capital Requirements (Back-testing of PD (CR IRB 5)). General remarks 80. Institutions shall report the information included in this template in application of point (h) of Article 452 CRR. Institution shall consider the models used within each exposure class and they shall explain the percentage of risk weighted exposure amount of the relevant exposure class covered by the models for which back-testing results are reported here. This template excludes counterparty credit risk (CCR) exposures (Chapter 6 of Title II of Part Three CRR).. Instructions concerning specific positions  Instructions ARITHMETIC AVERAGE PD (%) Arithmetic average of PD at the beginning of the reporting period of the obligors that fall within the bucket of the fixed PD range and counted in column (average weighted by the number of obligors) NUMBER OF OBLIGORS AT THE END OF THE PREVIOUS YEAR Number of obligors at the end of the previous year subject to reporting All obligors carrying a credit obligation at the relevant point in time shall be included. The number of obligors shall be counted in accordance with the instructions in column of template C. Joint obligors shall be treated the same as for the purpose of PD calibration.EN.    Instructions OF WHICH: DEFAULTED DURING THE YEAR Number of obligors which defaulted during the year (i.e. the observation period of the default rate calculation) Defaults shall be determined in accordance with Article 178 CRR. Each defaulted obligor is counted only once in the numerator and denominator of the one- year default rate calculation, even if the obligor defaulted more than once during the relevant one-year period. OBSERVED AVERAGE DEFAULT RATE (%) One-year default rate referred to in point (78) Article 4(1) CRR Institutions shall ensure: (a) that the denominator consists of the number of non-defaulted obligors with any credit obligation observed at the beginning of the one-year observation period (i.e. beginning of the year prior to the reporting reference date); in this context a credit obligation refers to both of the following: (i) any on-balance sheet item, including any amount of principal, interest and fees; (ii) any off-balance sheet items, including guarantees issued by the institution as a guarantor. (b) that the numerator includes all those obligors considered in the denominator that had at least one default event during the one-year observation period (year prior to the reporting reference date). Regarding the calculation of the number of obligors see column of template C. AVERAGE HISTORICAL ANNUAL DEFAULT RATE (%) The simple average of the annual default rate of the five most recent years (obligors at the beginning of each year that are defaulted during that year/total obligors at the beginning of the year) is a minimum. The institution may use a longer historical period that is consistent with the institution’s actual risk management practices.  PD RANGE Exposures shall be allocated to an appropriate bucket of the fixed PD range based on the PD estimated at the beginning of the reporting period for each obligor assigned to this exposure class (without considering any substitution effects due to CRM). Institutions shall map exposure by exposure to the PD range provided in the template, also taking into account continuous scales. All defaulted exposures shall be included in the bucket representing PD of 100 %.. C – Credit risk and free deliveries: IRB approach to Capital Requirements: Back-testing of PD (CR IRB 5B). Instructions concerning specific positions 81. In addition to template C , institutions shall report information included in template C in case that they apply point (f) of Article 180(1) CRR for PD estimation and only for PD estimates in accordance with the same Article. Instructions are the same than for template C , with the following exceptions:  Instructions PD RANGE Institutions shall report the PD ranges in accordance with their internal grades that they map to the scale used by the external ECAI, instead of a fixed external PD range.EN  .  Instructions EXTERNAL RATING EQUIVALENT Institutions shall report one column for each ECAI considered following point (f) of Article 180(1) CRR. Institutions shall include in these columns the external rating to which their internal PD ranges are mapped.. C – Credit risk and free deliveries: IRB approach to Capital Requirements (Specialised lending slotting approach (CR IRB 6)). General remarks 82. Institutions shall report the information included in this template in application of point (e) of Article 438 CRR. Institutions shall report information on the following types of specialised lending exposures referred to in Table 1 of Article 153(5): (a) Project finance (b) Income-producing real estate and high volatility commercial real estate (c) Object finance (d) Commodities finance. Instructions concerning specific positions  Instructions ORIGINAL EXPOSURE PRE CONVERSION FACTORS See CR-IRB instructions. EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS See CR-IRB instructions. , OF WHICH: OFF-BALANCE SHEET ITEMS See CR-SA instructions. EXPOSURE VALUE See CR-IRB instructions. OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK See CR SA instructions. RISK WEIGHT Article 153(5) CRR This is a fixed column for information purposes. It shall not be altered. RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS See CR-IRB instructions. EXPECTED LOSS AMOUNT See CR-IRB instructions.EN.    Instructions. VALUE ADJUSTMENTS AND PROVISIONS See CR-IRB instructions.  - Exposures shall be allocated to the appropriate category and maturity in accordance with table 1 of Article 153(5) CRR.. C – Credit risk and free deliveries: IRB approach to Capital Requirements (Scope of use of IRB and SA approaches (CR IRB 7)). General remarks 83. For the purpose of this template, institutions calculating the risk-weighted exposure amounts under the IRB approach to credit risk shall allocate their exposures subject to Standardised approach laid down in Chapter 2 of Title II of Part Three CRR or to the IRB approach laid down in Chapter 3 of Title II of Part Three CRR, as well as the part of each exposure class subject to a roll-out plan. Institutions shall include the information in this template by exposure classes, in accordance with the breakdown of exposure classes included in the rows of the template. 84.  to should cover the full spectrum of exposures, so the sum of each row for those three columns should be 100 % of all exposure classes except of securitisation positions and deducted positions.. Instructions concerning specific positions  Instructions TOTAL EXPOSURE VALUE AS DEFINED IN ART 166 CRR Institutions shall use the exposure value before CRM in accordance with Article 166 CRR. TOTAL EXPOSURE VALUE SUBJECT TO SA AND IRB Institutions shall use the exposure value before CRM in accordance with Article 429(4) CRR to report the total exposure value, including both the exposures under the standardized approach and the exposures under the IRB approach. PERCENTAGE OF TOTAL EXPOSURE VALUE SUBJECT TO PERMANENT PARTIAL USE OF SA (%) Part of exposure for each exposure class subject to the Standardised approach (exposure subject to the Standardised approach before CRM over the total exposure in that exposure class in column ), respecting the scope of permission for permanent partial use of the Standardised approach received from a competent authority in accordance with Article 150 CRR.EN  .  Instructions PERCENTAGE OF TOTAL EXPOSURE VALUE SUBJECT TO A ROLL-OUT PLAN (%) Part of exposure for each exposure class subject to the sequential implementation of IRB approach pursuant to Article 148 CRR. This shall include: — both exposures where institutions plan to apply IRB approach with or without their own estimation of LGD and conversion factors (F-IRB and A-IRB); — immaterial equity exposures not included in columns or ; — exposures already under F-IRB where an institution is planning to apply A-IRB in the future; — specialised lending exposures under the supervisory slotting approach not included in column. PERCENTAGE OF TOTAL EXPOSURE VALUE SUBJECT TO IRB APPROACH (%) Part of exposure for each exposure class subject to the IRB approach (exposure subject to the IRB approach before CRM over the total exposure in that exposure class), respecting the scope of permission received from a competent authority to use the IRB Approach in accordance with Article 143 CRR. This shall include both exposures where institutions have the permission to use their own estimation of LGD and conversion factors or not (F-IRB and A-IRB), including supervisory slotting approach for specialised lending exposures and equity exposures under the simple risk weight approach, as well as those exposures reported in row of template C.  EXPOSURE CLASSES Institutions shall include the information in this template by exposure classes, in accordance with the breakdown of exposure classes included in the rows of the template.