4. C – LE Limits template. Instructions concerning specific rows Rows Legal references and instructions 010 Non institutions Article 395(1), Article 458(2), point (d)(ii), Article 458(10) and Article 459, point (b), CRR The amount of the applicable limit for counterparties other than institutions shall be reported. This amount is 25 % of Tier 1 capital, which is reported in row 015 of template C of Annex I, unless a more restrictive percentage applies due to the application of national measures in accordance with Article 458 CRR or the delegated acts adopted in accordance with Article 462 with respect to the requirements referred to in Article 459, point (b), CRR. 020 Institutions Article 395(1), Article 458(2), point (d)(ii), Article 458(10) and Article 459, point (b), CRR Institutions shall report the amount of the applicable limit for counterparties that are institutions. In accordance with Article 395(1) CRR, this amount shall be the following: — if the 25 % of the Tier 1 capital is greater than EUR 150 million (or a lower limit than EUR 150 million set out by the competent authority in accordance with the third subparagraph of Article 395(1) CRR), 25 % of the Tier 1 capital shall be reported; — if EUR 150 million (or a lower limit set out by the competent authority in accordance with the third paragraph of Article 395(1) CRR) is greater than 25 % of the institution’s Tier 1 capital, EUR 150 million (or the lower limit if set out by the competent authority) shall be reported. If the institution has determined a lower limit in terms of its Tier 1 capital, required by the second subparagraph of Article 395(1) of CRR, that limit shall be reported. These limits may be stricter in case of application of national measures in accordance with Article 395(6) or Article 458 CRR or the delegated acts adopted in accordance with Article 462 with respect to the requirements referred to in Article 459, point (b), CRR. 030 Institutions in % Articles 395(1) and 459, point (a), CRR The amount that shall be reported is the absolute limit (reported in row 020) expressed as a percentage of the Tier 1 capital. 040 Global Systemically Important Institutions (G-SIIs) Articles 395(1) of CRR The amount of the applicable limit for counterparties which are institution or group identified as a G-SII or as a non-EU G-SII shall be reported. In accordance with Article 395(1) CRR, this limit shall be the following: — a G-SII shall not incur an exposure to another institution or group identified as a G-SII or a non-EU G-SII, the value of which, after taking into account the effect of credit risk mitigation, exceeds 15 % of its Tier 1 capital.EN L 97/ .
C — Identification of the counterparty (LE 1) COUNTERPARTY IDENTIFICATION Code Type of code Name National code Residence of the counter party Sector of the counterparty NACE code Type of counterparty 011 015 021 035 040 050 060 070EN L 97/ . 5. C – Identification of the counterparty (LE1). Instructions concerning specific columns Column Legal references and instructions 010-070 Counterparty Identification: Institutions shall report the identification of any counterparty for which information is being submitted in any of the templates C to C. The identification of the group of connected clients shall not be reported, unless the national reporting system provides a unique code for the group of connected clients. According to the third subparagraph of Article 394(1) CRR, institutions shall report the identification of the counterparty to which they have exposures of a value greater than or equal to EUR 300 million but less than 10 % of their Tier 1 capital. According to Article 394(1), point (a), CRR, institutions shall report the identification of the counterparty to which they have a large exposure as defined in Article 392 CRR. According to Article 394(2), point (a) CRR, institutions shall report the identification of the counterparty to which they have the largest exposures (in the cases where the counterparty is an institution or a shadow banking entity). 011 Code The code as part of a row identifier must be unique for each reported entity. For institutions and insurance undertakings, the code shall be the LEI code. For other entities the code shall be the LEI code, or if not available, a national code. The code shall be unique and used consistently across the templates and across time. The code shall always have a value. 015 Type of code The institutions shall identify the type of code reported in column 010 as a ‘LEI code’ or ‘Non-LEI code’. The type of code shall always be reported. 021 Name The name shall correspond to the name of the group whenever a group of connected clients is reported. In any other case, the name shall correspond to the individual counterparty. For a group of connected clients, the name that shall be reported shall be the name of the parent company or, when the group of connected clients does not have a parent, it shall be the group’s commercial name. 035 National code Institutions may additionally report the national code when they report LEI code as identifier in the ‘Code’ column. 040 Residence of the counterparty The ISO code -1-alpha-2 of the country of incorporation of the counterparty shall be used (including pseudo-ISO codes for international organisations, available in the last edition of the Eurostat’s ‘Balance of Payments Vademecum’) For groups of connected clients, no residence shall be reported. 050 Sector of the counterparty One sector shall be allocated to every counterparty on the basis of FINREP, Annex V, Part 1, paragraph 42, economic sector classes and splitting other financial corporations into investment firms and other financial corporations as follows: (i) Central Banks; (ii) General Governments;EN.  L 97/ Column Legal references and instructions (iii) Credit institutions; (iv) Investment firms as defined in Article 4(1)(2) CRR; (v) Other financial corporations (excluding investment firms); (vi) Non-financial corporations; (vii) Households. For groups of connected clients, no sector shall be reported. 060 NACE code For the economic sector, the NACE codes (Nomenclature statistique des activités économiques dans l’Union européenne = Statistical Classification of Economic Activities in the European Union) shall be used. This column shall apply only for the counterparties ‘Other financial corporations (excluding investment firms)’ and ‘Non-financial corporations’. NACE codes shall be used for ‘Non-financial corporations’ with one level detail (e.g. ‘F – Construction’) and for ‘Other financial corporations (excluding investment firms)’ with a two level detail, which provides separate information on insurance activities (e.g. ‘K65 – Insurance, reinsurance and pension funding, except compulsory social security’). The ‘Other financial corporations (excluding investment firms)’ and ‘Non-financial corporations’ economic sectors shall be derived from FINREP counterparty breakdown. For groups of connected clients, no NACE code shall be reported. 070 Type of counterparty Article 394(2) CRR The type of the counterparty of the ten largest exposures to institutions and the ten largest exposures to shadow banking entities shall be specified by using ‘I’ for institutions or ‘S’ for shadow banking entities, which carry out banking activities outside the regulated framework.
EN.  L 97/ C — Exposures in the non-trading and trading book (LE 2) COUNTERPARTY ORIGINAL EXPOSURES Code Group or individual Transactions where there is an exposure to underlying assets Direct exposures Total original exposure Of which: defaulted Debt instruments Equity instruments Derivatives Off balance sheet items Loan commitments Financial guarantees Other commitments 010 020 030 040 050 060 070 080 090 100 110 ORIGINAL EXPOSURES. Value adjustments and provisions. Exposures deducted from CET 1 or Additional Tier 1 items Exposure value before application of exemptions and CRM Indirect exposures Additional exposures arising from transactions where there is an exposure to underlying assets Debt instruments Equity instruments Derivatives Off balance sheet items Total Of which: Non- trading book % of Tier 1 capital Loan commitments Financial guarantees Other commitments 120 130 140 150 160 170 180 190 200 210 220 230 ELIGIBLE CREDIT RISK MITIGATION (CRM) TECHNIQUES. Amounts exempted Exposure value after application of exemptions and CRM. Substitution effect of eligible credit risk mitigation techniques. Funded credit protection other than substitution effect. Real estate. Debt instruments. Equity instruments. Derivatives. Off balance sheet items Total Of which: Non- trading book % of Tier 1 capital. Loan commitments. Financial guarantees. Other commitments 240 250 260 270 280 290 300 310 320 330 340 350 Column Legal references and instructions  6. C — Exposures in the non-trading and trading book (LE2). Instructions concerning specific columns Column Legal references and instructions 010 Code For a group of connected clients, if a unique code is available at national level, this code shall be reported as the code of the group of connected clients. Where there is no unique code at the national level, the code that shall be reported shall be the code of the parent company in C. In the cases where the group of connected clients does not have a parent, the code that shall be reported shall be the code of the individual entity which is considered by the institution as the most significant within the group of connected clients. In any other case, the code shall correspond to the individual counterparty. The codes shall be used in a consistent way across time. The composition of the code depends on the national reporting system, unless a uniform codification is available in the EU. 020 Group or individual The institution shall report "1" for the reporting of exposures to individual clients and "2" for the reporting of exposures to groups of connected clients.EN L 97/ . Column Legal references and instructions 030 Transactions where there is an exposure to underlying assets Article 390(7) CRR In accordance with further technical specifications by the national competent authorities, when the institution has exposures to the reported counterparty through a transaction where there is an exposure to underlying assets, the equivalent to "Yes " shall be reported; otherwise the equivalent to ‘No’ shall be reported. 040-180 Original exposures Articles 24, 389, 390 and 392 CRR The institution shall report in this block of columns the original exposures of direct exposures, indirect exposures, and additional exposures arising from transactions where there is an exposure to underlying assets. According to Article 389 CRR, assets and off balance sheet items shall be used without risk weights or degrees of risk. Specifically, credit conversion factors shall not be applied to off balance sheet items. These columns shall contain the original exposure, i.e. the exposure value without taking into account value adjustments and provisions, which shall be deducted in column 210. The definition and calculation of the exposure value is set out in Articles 389 and 390 CRR. The valuation of assets and off-balance-sheet items shall be effected in accordance with the accounting framework to which the institution is subject, according to Article 24 CRR. Exposures deducted from Common Equity Tier 1 items or Additional Tier 1 items, which are not exposures referred to in Article 390(6), point (e), CRR, shall be included in these columns. These exposures shall be deducted in column 200. Exposures referred to in Article 390(6), points (a) to (d), CRR shall not be included in these columns. Original exposures shall include any asset and off-balance sheet items. The exemptions of Article 400 CRR shall be deducted for the purpose of Article 395(1) CRR in column 320. Exposures from both non-trading and trading book shall be included. The net position calculated in accordance with point (b) of Article 390(3) CRR shall be reported as direct exposure and included in the column (060 or 070 or 080), that corresponds to the dominant instrument type. The dominant instrument shall be determined based on the value of the net position in each instrument type. For the breakdown of the exposures in financial instruments, where different exposures arising from netting agreements constitute a single exposure, the latter shall be allocated to the financial instrument corresponding to the principal asset included in the netting agreement (in addition, see the introductory section). 040 Total original exposure The institution shall report the sum of direct exposures and indirect exposures as well as the additional exposures that arise from the exposure to transactions where there is an exposure to underlying assets. 050 Of which: defaulted Article 178 CRR The institution shall report the part of the total original exposure corresponding to defaulted exposures. 060-110 Direct exposures Direct exposures shall mean the exposures on ‘immediate borrower’ basis.EN.  L 97/ Column Legal references and instructions 060 Debt instruments Regulation (EU) No / (‘ECB//33’) Annex II, Part 2, table, categories 2 and 3 Debt instruments shall include debt securities, and loans and advances. The instruments included in this column shall be those qualified as ‘loans of up to and including one year/over one year and up to and including five years/of over five years’ original maturity’, or as ‘debt securities’, according to ECB//33. Repurchase transactions, securities or commodities lending or borrowing transactions (securities financing transactions) and margin lending transactions shall be included in this column. 70 Equity instruments ECB//33 Annex II, Part 2, table, categories 4 and 5 The instruments included in this column shall be those qualified as ‘Equity’ or as ‘Investment fund shares/units’ in accordance with ECB//33. 080 Derivatives Article 272(2) and Annex II CRR The instruments that shall be reported in this column shall include derivatives listed in Annex II CRR and long settlement transactions, as defined in Article 272(2) CRR. Credit derivatives that are subject to counterparty credit risk shall be included in this column. 090-110 Off balance sheet items Annex I to CRR The value that shall be reported in these columns shall be the nominal value before any reduction of specific credit risk adjustments and without application of conversion factors. 090 Loan commitments Annex I, points 1(c) and (h), 2(b)(ii), 3(b)(i) and 4(a), CRR Loan commitments are firm commitments to provide credit under pre-specified terms and conditions, except those that are derivatives because they can be settled net in cash or by delivering or issuing another financial instrument. 100 Financial guarantees Annex I, points 1(a), (b) and (f), CRR Financial guarantees are contracts that require the issuer to make specified payments to reimburse the holder for a loss it incurs because a specified debtor fails to make payment when due in accordance with the original or modified terms of a debt instrument. Credit derivatives that are not included in the column ‘derivatives’ shall be reported in this column. 110 Other commitments Other commitments are the items in Annex I to CRR that are not included in the previous categories. The exposure value of a single legal obligation arising from the contractual cross-product netting agreement with a counterparty of the institution shall be reported in this column.EN L 97/ . Column Legal references and instructions 120-170 Indirect exposures Article 403 of CRR In accordance with Article 403 CRR, a credit institution shall use the substitution approach where an exposure to a client is guaranteed by a third party, or secured by collateral issued by a third party. The institution shall report in this block of columns the amounts of the direct exposures that are re- assigned to the guarantor or the issuer of collateral provided that the latter would be assigned an equal or lower risk weight than the risk weight which would be applied to the client under Part Three, Title II, Chapter 2, CRR. In the case of exposures secured by collateral issued by a third party, Article 403(3) CRR offers an alternative treatment. The protected reference original exposure (direct exposure) shall be deducted from the exposure to the original borrower in the columns of ‘Eligible credit risk mitigation techniques’. The indirect exposure shall increase the exposure to the guarantor or issuer of collateral via substitution effect. This shall apply also to guarantees given within a group of connected clients. The institution shall report the original amount of the indirect exposures in the column that corresponds to the type of direct exposure guaranteed or secured by collateral such as, when the direct exposure guaranteed is a debt instrument, the amount of ‘Indirect exposure’ assigned to the guarantor shall be reported under the column ‘Debt instruments’. Exposures arising from credit-linked notes shall also be reported in this block of columns, according to Article 399 CRR. 120 Debt instruments See column 060. 130 Equity instruments See column 070. 140 Derivatives See column 080. 150-170 Off balance sheet items The value of these columns shall be the nominal value before any reduction of specific credit risk adjustments and conversion factors are applied. 150 Loan commitments See column 090. 160 Financial guarantees See column 100. 170 Other commitments See column 110. 180 Additional exposures arising from transactions where there is an exposure to underlying assets Article 390(7) CRR Additional exposures that arise from transactions where there is an exposure to underlying assets.EN.  L 97/ Column Legal references and instructions 190. Value adjustments and provisions Articles 34, 24, 110 and 111 CRR Value adjustment and provisions included in the corresponding accounting framework (Directive 86/635/EEC or Regulation (EC) No /) that affect the valuation of exposures shall be determined in accordance with Articles 24 and 110 CRR. Value adjustments and provisions against the gross exposure given in column 040 shall be reported in this column. 200. Exposures deducted from Common Equity Tier 1 or Additional Tier 1 items Article 390(6), point (e), CRR Exposures deducted from Common Equity Tier 1 or Additional Tier 1 items, which shall be included in the different columns of Total original exposure, shall be reported. 210-230 Exposure value before application of exemptions and CRM Article 394(1), point (b), CRR Institutions shall report the exposure value before taking into account the effect of the credit risk mitigation, where applicable. 210 Total The exposure value to be reported in this column shall be the amount used for determining whether an exposure is a large exposure according to the definition in Article 392 of CRR. This shall include the original exposure after subtracting value adjustments and provisions and the amount of the exposures deducted from Common Equity Tier 1 or Additional Tier 1 items. 220 Of which: Non-trading book The amount of the non-trading book from the total exposure before exemptions and CRM 230 % of Tier 1 capital Articles 392 and 395 CRR The amount that shall be reported is the percentage of the exposure value before application of exemptions and CRM related to Tier 1 capital of the institution, as defined in Article 25 CRR. 240-310. Eligible credit risk mitigation (CRM) techniques Articles 399 and 401 to 403, CRR; CRM techniques as defined in Article 4(1), point (57), CRR The CRM techniques recognised in Part Three, Title II, Chapter 3 and 4, CRR shall be used in accordance with Articles 401 to 403, CRR. CRM techniques may have three different effects in the LE regime: substitution effect; funded credit protection other than substitution effect; and real estate treatment.EN L 97/ . Column Legal references and instructions 240-290. Substitution effect of eligible credit risk mitigation techniques Article 403 CRR The amount of funded and unfunded credit protection that shall be reported in these columns shall correspond to the exposures guaranteed by a third party, or secured by collateral issued by a third party, where the institution shall treat the portion of the exposure which is guaranteed and/or collat eralised by the market value of recognised collateral as incurred with the guarantor or the issuer of collateral. 240. Debt instruments See column 060. 250. Equity instruments See column 070. 260. Derivatives See column 080. 270-290. Off balance sheet items The value of these columns shall be without application of conversion factors. 270. Loan commitments See column 090. 280. Financial guarantees See column 100. 290. Other commitments See column 110. 300. Funded credit protection other than substitution effect Article 401 CRR The institution shall report the amounts of funded credit protection, as defined in Article 4(1), point (58), CRR, that are deducted from the exposure value due to the application of Article 401 CRR. In accordance with Article 401(1) CRR, volatility adjustments shall be applied to the exposure value and shall be reported as an increase in the exposure value. 310. Real estate Article 402 CRR The institution shall report the amounts deducted from the exposure value due to the application of Article 402 CRR. 320. Amounts exempted Article 400 CRR The institution shall report the amounts exempted from the LE regime.EN.  L 97/ Column Legal references and instructions 330-350 Exposure value after application of exemptions and CRM Article 394(1), point (d), CRR The institution shall report the exposure value after taking into account the effect of the exemptions and credit risk mitigation calculated for the purpose of Article 395(1) CRR. 330 Total This column shall include the amount to be taken into account in order to comply with the large exposures limit set out in Article 395 CRR. 340 Of which: Non-trading book The institution shall report the total exposure after application of exemptions and after taking into account the effect of CRM belonging to the non-trading book. 350 % of Tier 1 capital The institution shall report the percentage of the exposure value after application of exemptions and CRM related to the Tier 1 capital of the institution, as defined in Article 25 CRR.
EN L 97/ . C — Detail of the exposures to individual clients within groups of connected clients (LE 3) COUNTERPARTY ORIGINAL EXPOSURES Code Group code Transactions where there is an exposure to underlying assets Direct exposures Total original exposure Of which: defaulted Debt instruments Equity instruments Derivatives Off balance sheet items Loan commitments Financial guarantees Other commitments 010 020 030 050 060 070 080 090 100 110 120 ORIGINAL EXPOSURES. Value adjustments and provisions. Exposures deducted from CET 1 or Additional Tier 1 items Exposure value before application of exemptions and CRM Indirect exposures Additional exposures arising from transactions where there is an exposure to underlying assets Debt instruments Equity instruments Derivatives Off balance sheet items Total Of which: Non- trading book % of Tier 1 capital Loan commitments Financial guarantees Other commitments 130 140 150 160 170 180 190 200 210 220 230 240 ELIGIBLE CREDIT RISK MITIGATION (CRM) TECHNIQUES. Amounts exempted Exposure value after application of exemptions and CRM. Substitution effect of eligible credit risk mitigation techniques. Funded credit protection other than substitution effect. Real estate. Debt instruments. Equity instruments. Derivatives. Off balance sheet items Total Of which: Non- trading book % of Tier 1 capital. Loan commitments. Financial guarantees. Other commitments 250 260 270 280 290 300 310 320 330 340 350 360 7. C – Details of the exposures to individual clients within groups of connected clients (LE3). Instructions concerning specific columns Column Legal references and instructions 010-360 The institution shall report in template LE3 the data of the individual clients belonging to the groups of connected clients included in the rows of template LE2. 010 Code  010 and 020 are a composite row identifier, and together must be unique for each row in the table. The code of the individual counterparty belonging to the groups of connected clients shall be reported. The codes shall be used in a consistent way across time. 020 Group code  010 and 020 are a composite row identifier, and together must be unique for each row in the table. If a unique code for a group of connected clients is available at national level, this code shall be reported. Where there is no unique code at the national level, the code that shall be reported shall be the code used for reporting exposures to the Group of Connected clients in C (LE2). Where a client belongs to several groups of connected clients, it shall be reported as a member of all the groups of connected clients.EN L 97/ . Column Legal references and instructions 030 Transactions where there is an exposure to underlying assets See column 030 of template LE2. 050-360 When financial instruments in template LE2 are provided to the whole group of connected clients they shall be allocated to the individual counterparties in template LE3 in accordance with the business criteria of the institution. The remaining instructions are the same as for template LE2.EN.  L 97/