Basel Committee

on Banking Supervision

Instructions for Basel III

monitoring

23 January 2024
 This publication is available on the BIS website (www.bis.org/bcbs/qis/).
Grey underlined text in this publication shows where hyperlinks are available in the electronic version.

© Bank for International Settlements 2024. All rights reserved. Brief excerpts may be reproduced or
translated provided the source is stated.

ISSN 92-9197- 870-1 (print)

ISSN 92-9131- 870-1 (online)
Contents

1. Introduction ...................................................................................................................................................................... 1

2. General ................................................................................................................................................................................ 2
2.1 Scope of the exercise .................................................................................................................................. 2
2.2 Filling in the data .......................................................................................................................................... 2
2.3 Process .............................................................................................................................................................. 4
2.4 Reporting date ............................................................................................................................................... 4
2.5 Structure of the Excel questionnaire ..................................................................................................... 4

3. General information ....................................................................................................................................................... 6

3.1 General bank data (panel A) .................................................................................................................... 6
3.2 Current capital (panel B) .......................................................................................................................... 10
3.3 Capital distribution data (panel C) ....................................................................................................... 11

4. Risk-weighted assets, exposures and TLAC ........................................................................................................ 12

4.1 Overall capital requirements and actual capital ratios (worksheet “Requirements”) ...... 12
4.3 Additional information on TLAC ........................................................................................................... 15

5. Leverage ratio ................................................................................................................................................................. 17

5.1 On-balance sheet items (panel A) ....................................................................................................... 17
5.2 Derivatives and off-balance sheet items (panel B) ........................................................................ 20
5.3 Adjusted notional exposures for written credit derivatives (panel C) ................................... 22
5.4 Additional information (panel D) ......................................................................................................... 23
5.5 Memo: calculation of revised leverage ratio (panel E)................................................................. 24
5.7 Calculation of averaged leverage ratio exposures (panel G) .................................................... 28

6. The Net Stable Funding Ratio .................................................................................................................................. 29

6.1 Introduction .................................................................................................................................................. 29
6.2 Available stable funding (panel A) ....................................................................................................... 31
6.3 Required stable funding (panel B) ....................................................................................................... 36

7. Monitoring credit risk reforms................................................................................................................................. 53

7.1 Overview ........................................................................................................................................................ 53
7.2 Worksheet “Credit risk (SA)”................................................................................................................... 54
7.3 Worksheet “Credit risk (IRB)” ................................................................................................................. 59
7.4 Worksheet “Securitisation” ..................................................................................................................... 64

8. Operational risk ............................................................................................................................................................. 69

8.1 Balance sheet and other items (panel A) .......................................................................................... 70

Instructions for Basel III monitoring iii

 8.2 Income statement (panel B) ...................................................................................................................70
8.3 Operational losses (panel C)...................................................................................................................73
8.4 Standardised approach component calculations (panel D) .......................................................76
8.5 Risk-weighted assets and regulatory add-ons (panel E) .............................................................77

9. Trading book...................................................................................................................................................................78
9.1 Worksheet “TB” ............................................................................................................................................79
9.2 Worksheet “TB risk class” ...................................................................................................................... 101
9.3 Worksheet “TB IMA Backtesting-P&L” ............................................................................................ 113

10. CCR and CVA ............................................................................................................................................................... 118

10.1 Panel A: Exposures subject to counterparty credit risk ............................................................ 119
10.2 Panel B: Credit valuation adjustments ............................................................................................. 122

11. Cryptoassets ................................................................................................................................................................. 127

12. Sovereign exposures ................................................................................................................................................. 132

12.1 General remarks ....................................................................................................................................... 132
12.2 Definitions................................................................................................................................................... 132
12.3 Specific instructions for panel A to D .............................................................................................. 133
12.4 Illustrative example for breakdowns for panels A and D ......................................................... 134

13. Interest rate risk in the banking book ................................................................................................................ 134

Annex: Main changes .................................................................................................................................................................. 137

iv Instructions for Basel III monitoring

Quantitative Impact Study Working Group
of the Basel Committee on Banking Supervision

Chairman Martin Birn, Secretariat of the Basel Committee on Banking Supervision,

Bank for International Settlements, Basel

Argentina Griselda Amalia Martiarena Central Bank of Argentina

Australia Duncan McEwin Australian Prudential Regulation Authority
Belgium Sabina Bernardo National Bank of Belgium
Brazil Felipe Rocha Central Bank of Brazil
Canada Louis Bélisle Office of the Superintendent of Financial Institutions
China Shijie Zhou China Banking and Insurance Regulatory Commission
France Lucas Vernet French Prudential Supervisory Authority
Germany Ingo Torchiani Deutsche Bundesbank
Michael Schöppe Federal Financial Supervisory Authority (BaFin)
India Manoj Kumar Poddar Reserve Bank of India
Indonesia Tony Indonesia FSA (OJK)
Italy Mauro Marinelli Bank of Italy
Japan Asuka Watanabe Bank of Japan
Kaori Yamamoto Financial Services Agency
Korea TaeRi Lee Financial Supervisory Service
Luxembourg Natalia Katilova Surveillance Commission for the Financial Sector
Mexico Estefania Guadalupe Arellano Bank of Mexico
Martínez
Daniela Montes de Oca National Banking and Securities Commission
Netherlands Monique Smit De Nederlandsche Bank
Saudi Arabia Mohammad Alsuhaibani Saudi Arabian Monetary Agency
Singapore Sandy Ho Monetary Authority of Singapore
South Africa Tebogo Ntseane South African Reserve Bank
Spain David Barra Bank of Spain
Sweden Andreas Borneus Finansinspektionen
Switzerland Philippe Brügger Swiss Financial Market Supervisory Authority FINMA
Türkiye Aydan Aydin Inan Banking Regulation and Supervision Agency
United Kingdom Faith Bannier Prudential Regulation Authority
United States Anlon Panzarella Board of Governors of the Federal Reserve System
Carolyn Gordon Federal Reserve Bank of New York
Paul Vigil Federal Deposit Insurance Corporation
Benjamin Pegg Office of the Comptroller of the Currency

Instructions for Basel III monitoring v

European Central Pär Torstensson ECB
Bank Kallol Sen ECB Single Supervisory Mechanism

Observers Lampros Kalyvas European Banking Authority

Markus Wintersteller European Commission
Peik Granlund Finnish Financial Supervisory Authority

Secretariat Verena Seidl Bank for International Settlements

Irina Barakova
Renzo Corrias
Pablo de Carvalho
Tomas Edlund
Markus Grimpe
Yuka Kanai
Noel Reynolds
Isabella Cha
Bettina Farkas
Helga Koo
Roberto Ottolini
Eleonora Scognamiglio
Vasileia Xezonaki
Markus Zoss

vi Instructions for Basel III monitoring

Instructions for Basel III monitoring

1. Introduction

The Basel Committee on Banking Supervision (“the Committee”) is monitoring the impact of the final
Basel III framework (“the Basel III standards”) on participating banks. Furthermore, the Committee is
monitoring the overall impact of Total Loss Absorbing Capacity (TLAC). 1 For market risk, the Committee is
0F

also collecting data from selected banks on backtesting and profit and loss (P&L) accounts related to the
revised internal models-based approach (IMA) for calculating minimum capital requirements for market
risk more specifically. Unless noted otherwise, all paragraph references refer to the Basel Framework
applicable at the reporting date. 2 The Basel II framework 3 is explicitly mentioned in all references to older
1F 2F

standards.
While the final Basel III standards were set to be implemented starting from January 2022, in light
of the Covid-19 pandemic implementation was deferred by one year to January 2023. Also,
implementation dates in individual jurisdictions may differ. Since these instructions refer to the
consolidated Basel III framework, the final Basel III framework is referred to as the framework applicable in
2023.
The Committee will treat all individual bank data collected in this exercise as strictly confidential
and will not attribute them to individual banks.
The descriptions of data items in these instructions intend to facilitate the completion of
the monitoring questionnaire and are not to be construed as an official interpretation of other
documents published by the Committee.
This version of the instructions refers to versions 5.1.0 or later of the reporting template
which should be used for the end-December 2023 reporting date. Changes compared to the previous
version of the reporting template are highlighted in the Annex.
The remainder of this document is organised as follows. Sections 2 and 3 discuss general issues
such as the scope of the exercise, the process and the overall structure of the quantitative questionnaire.
Section 4 discusses the worksheets for data collection on TLAC and banks’ holdings of TLAC instruments
as well as capital requirements. Sections 5 and 6 discuss the Basel III leverage ratio and liquidity,
respectively. Section 7 describes the worksheets for the collection of data relevant to the Committee’s
monitoring work on the credit risk framework whereas Section 8 introduces the worksheet for operational
risk. Sections 9 and 10 introduce the worksheets to collect data on the revised minimum capital
requirements for market risk as well as counterparty credit risk (CCR) and credit valuation adjustment
(CVA), respectively. Finally, Sections 11 to 13 provide instructions on the data collections on crypto assets,
sovereign exposures and interest rate risk in the banking book.
Parts which have been added since the previous version of the document are shaded yellow;
parts which have been revised materially (other than updated cell or paragraph references) are shaded
red.

1
See Financial Stability Board, Total Loss-Absorbing Capacity (TLAC): Principles and Term Sheet, 9 November 2015,
www.fsb.org/2015/11/total-loss-absorbing-capacity-tlac-principles-and-term-sheet/.
2
See www.bis.org/basel_framework.
3
Basel Committee on Banking Supervision, Basel II: International convergence of capital measurement and capital standards: a
revised framework - comprehensive version, June 2006, www.bis.org/publ/bcbs128.htm.

Instructions for Basel III monitoring 1

2. General

2.1 Scope of the exercise

Participation in the monitoring exercise is voluntary. The Committee expects both large internationally
active banks and smaller institutions to participate in the study, as all of them will be materially affected
by some or all of the revisions of the various standards. Where applicable and unless noted otherwise,
data should be reported for consolidated 4 groups. 3F

The monitoring exercise is targeted at banks under the Basel II/III frameworks. 5 However, as 4F

outlined in the remainder of these instructions some parts of the questionnaire are only relevant to banks
applying a particular approach. Unless stated otherwise, banks should calculate capital requirements
based on the national implementation of the Basel Framework. Unless stated otherwise, all elements
of the Basel Framework should be reflected to the extent they are part of the applicable regulatory
framework in a bank’s home jurisdiction at the reporting date.
Where specified in the reporting template and instructions, banks should also reflect
elements of the Basel Framework that are not applicable rules at the reporting date, such as the
Committee’s finalisation of post-crisis reforms agreed in December 2017, referred to as the “final
Basel III framework” or the “final Basel III standards”. 6 5F

This data collection exercise should be completed on a best-efforts basis. Ideally, banks should
include all their consolidated assets in this exercise. However, due to data limitations, inclusion of some
assets (for example the portfolio of a minor subsidiary) may turn out to be an unsurpassable hurdle. In
these cases, banks should consult their relevant national supervisor to determine how to proceed.

2.2 Filling in the data

The Basel III monitoring workbook available for download on the Committee’s website is for information
purposes only. While the structure of the workbooks used for the Basel III monitoring exercise is the same
in all participating countries, it is important that banks only use the workbook obtained from their
respective national supervisory agency to submit their returns. Only these workbooks are adjusted to
reflect the particularities of the regulatory frameworks in participating countries. National supervisory
agencies may also provide additional instructions if deemed necessary.
Data should only be entered in the yellow and green shaded cells. There are also some pink cells,
which will be completed by the relevant national supervisory agency. It is important to note that any
modification to the worksheets might render the workbook unusable both for the validation of the results
and the subsequent aggregation process.

4
This refers to the consolidation for regulatory rather than accounting purposes.
5
If Basel I figures are used, they should be calculated based on the national implementation, referred to as “Basel I” in this
document. In some countries, supervisors may have implemented additional rules beyond the 1988 Accord or may have made
modifications to the Accord in their national implementation, and these should be considered in the calculation of “Basel I”
capital requirements for the purposes of this exercise. See Basel Committee on Banking Supervision, International convergence
of capital measurement and capital standards (updated to April 1998), 1998, www.bis.org/publ/bcbsc111.htm.
6
Basel Committee on Banking Supervision, High-level summary of Basel III reforms, December 2017, www.bis.org/bcbs/publ/
d424_hlsummary.pdf; Basel Committee on Banking Supervision, Basel III: Finalising post-crisis reforms, December 2017,
www.bis.org/bcbs/publ/d424.htm.

2 Instructions for Basel III monitoring

 Cell colours used in the Basel III monitoring reporting template
Colour Worksheet(s) Content
Yellow All Mandatory input cell.
Green Requirements To be completed if requested by the national supervisor or in order to
calculate the capital ratios in panel C.
TLAC To be filled in if necessary based on the national implementation of the
definition of capital or TLAC.
Leverage ratio, Additional information needed to monitor the Basel III leverage ratio and its
Leverage ratio components during the transition period, in accordance with the Basel III
additional leverage ratio framework. Banks are encouraged to fill in green cells on a best-
efforts basis as well. For G-SIBs, the green cells on the “Leverage ratio
additional” worksheet are mandatory.
NSFR To be completed if requested by the national supervisor in light of national
discretion choices.
Credit risk (SA), Additional information to be completed on a best efforts basis.
Credit risk (IRB)
Securitisation Additional information needed to monitor the revised securitisation
framework (for EU only).
CCR and CVA Additional information to be completed on a best efforts basis.
OpRisk Additional information to be provided at the request of the national
supervisor.
Other Additional information to be completed on a best efforts basis.
Pink All To be completed by the supervisor.
White, orange All Calculation result or consistency check. Must not be changed.
Grey All Empty cell.
Grey pattern All Check that cannot yet be evaluated due to missing input data.

Where information is not available, the corresponding cell should be left empty. No text
such as “na” should be entered in these cells. In addition, banks must not fill in any arbitrary
numbers to avoid error messages or warnings that may be provided by their supervisors. However,
leaving a cell empty could trigger exclusion from some or all of the analyses if the respective item
is required, ie it should be aimed at providing data for all yellow cells. The automated calculations in the
workbook indicate whether or not a certain item can be calculated using the data provided. The national
supervisor will provide guidance on which of the green cells should be filled in by a particular bank.
Data can be reported in the most convenient currency. The currency that has been used should
be recorded in the “General Info” worksheet (see Section 3.1). Supervisors will provide the relevant
exchange rate for converting the reporting currency to euros. If 1,000 or 1,000,000 currency units are used
for reporting, this should also be indicated in this worksheet. When choosing the reporting unit, it should
be considered that the worksheet shows all amounts as integers. The same currency and unit should be
used for all currency amounts throughout the workbook, irrespective of the currency of the underlying
exposures. The unit conversion does not apply to any numbers provided in the worksheet that are not
currency amounts.
Percentages should be reported as decimals and will be converted to percentages
automatically. For example, 1% should be entered as 0.01. 7 Where banks are required to provide
6F

text, banks should use English language and avoid revealing their identity in their responses.

7
Depending on the regional options of the operating system used, it might be necessary to use a different decimal symbol. It
might also be necessary to switch off the option “Enable automatic percent entry” in the Tools/Options/Edit dialog of Excel if
percentages cannot be entered correctly.

Instructions for Basel III monitoring 3

 Banks using the Basel II internal ratings-based (IRB) approaches should, where applicable, report
risk-weighted assets (RWA) after applying the scaling factor of 1.06 to credit RWA.
The reporting template includes checks in several of the worksheets. If one of these checks shows
“No”, “Warning” or “Fail”, please refer to the explanatory text and the formula in the check cell and correct
the input data to which the check refers. An overview of the results of all checks is provided on the “Checks”
worksheet.
The Committee is aware that some banks might not yet have implemented some of the models
and processes required for the calculations. In such cases, banks may provide quantitative data on a “best-
efforts” basis. In case of doubt, they should discuss with the relevant national supervisor how to proceed.
Where the approach used for the Basel III monitoring differs materially from the final implementation, this
should be explained in a separate note.
Unless noted otherwise, banks should only report data for the approach they are currently using
or are intending to use. Cells provided for various approaches are in general intended to facilitate partial
use and do not require banks to conduct alternative calculations for the same set of exposures.

2.3 Process

The Basel Committee or its Secretariat will not collect any data directly from banks. Therefore, banks in
participating countries should contact their supervisory agency to discuss how the completed workbooks
should be submitted. National supervisors will forward the relevant data to the Secretariat of the Basel
Committee where individual bank data will be treated as strictly confidential and will not be attributed to
individual banks.
Similarly, banks should direct all questions related to this study, the related rules, standards and
consultative documents to their national supervisory agencies. Where necessary, they will coordinate their
responses through the Secretariat of the Basel Committee to provide responses that are consistent across
countries. A document with responses to frequently asked questions will be maintained on the Basel
Committee’s website. 8 7F

Banks should specify any instance where they had to deviate from the instructions provided in
an additional document.

2.4 Reporting date

If possible, and unless the national supervisor has provided different guidance, generally all data should
be reported as of end-December or end-June, as applicable. If data availability does not allow a bank to
use these reporting dates or if the financial year differs from the calendar year, suitable alternatives should
be discussed with the relevant national supervisor.

2.5 Structure of the Excel questionnaire

All banks participating in the impact study should generally complete all relevant input worksheets among
them. Some banks may be directed by their supervisor to complete only certain parts of the workbook.
Finally, the “Checks” worksheet provides an overview of all the checks included on the other worksheets
but does not require any input. The worksheets requiring data input are the following:
• The “Supervisory information” worksheet captures general information regarding the bank,
which will be completed by the relevant supervisory authority.

8
www.bis.org/bcbs/qis/.

4 Instructions for Basel III monitoring

• The “General Info” worksheet is intended to capture general information regarding the bank,
approaches used, eligible capital and deductions as well as capital distribution data. This
worksheet should be completed by all banks.
• The “Requirements” worksheet captures overall capital requirements and actual capital ratios.
This worksheet should be completed by all banks.
• The “TLAC holdings” worksheet captures information on regulatory adjustments for holdings of
other TLAC liabilities.
• The “TLAC” worksheet captures data on instruments that are not eligible for regulatory capital
but that are eligible to meet minimum TLAC requirements.
• The “Leverage ratio” worksheet captures data necessary for the calculation of the changes to
the Basel III leverage ratio framework, which are part of the final Basel III framework.
• The “Leverage ratio additional” collects data for the calculation of averaged leverage ratio
exposures. It should only be filled in for year-end reporting dates.
• The “NSFR” worksheets are intended to capture key data regarding the net stable funding ratio
(NSFR).
• The “Credit risk (SA)” worksheet collects information on the current credit risk exposures under
the SA subject to the current national rules and the revised framework.
• The “Credit risk (IRB)” worksheet exclusively collects data on IRB exposures.
• The “Securitisation” worksheet collects data on the revised securitisation framework including
the capital treatment for simple, transparent and comparable (STC) securitisation structures.
• The “CCR and CVA” worksheet collects data on exposures subject to CCR, to central
counterparties (CCPs) and on the impact of the revisions to the minimum capital requirements
for CVA risk.
• The “TB” and “TB risk class” worksheets collect data to calculate the overall impact of the revised
minimum capital requirements for market risk.
• The “TB IMA Backtesting-P&L” worksheet collects data on backtesting and P&L related to the
revised internal models-based approach in the trading book at the end-year reporting dates.
This worksheet is relevant only to those banks with internal model approval under the
current framework that have been asked by their supervisor to complete the worksheet. It
should only be filled in for year-end reporting dates.
• The “OpRisk” worksheet collects data on the revised standardised measurement approach.
• The “Crypto” worksheet gathers information on banks’ exposures to and liquidity risk emerging
from crypto assets.
• The ”Sovereign exposures” worksheet is intended to capture data regarding the banks’
exposures to sovereigns at the end-year reporting dates. This worksheet is optional; banks should
fill it in following the instructions in Section 12 if requested by their supervisory agency and only
for year-end reporting dates.
• The worksheet “IRRBB” is also optional and has been added to assess the impact of the proposed
changes set out in the December 2023 consultative document Recalibration of shocks for interest
rate risk in the banking book.

Instructions for Basel III monitoring 5

3. General information

The “General Info” worksheet gathers basic information that is needed to process and interpret the survey
results. Banks only providing data for liquidity are only required to fill in panels A and B.

3.1 General bank data (panel A)

Panel A of the “General Info” worksheet deals with bank and reporting data conventions.

Row Column Heading Description

A.1 Reporting data
4 C Reporting date Date as of which all data are reported in worksheets.
(yyyy-mm-dd)
5 C Reporting currency for this Three-character ISO code of the currency in which all data
survey (ISO code) are reported (eg USD, EUR).
6 C Reporting currency used in the Three-character ISO code of the currency in which the bank
bank’s financial statements prepares its financial statements (eg USD, EUR). In some
(ISO code) instances, this may be different from the currency used for
reporting the data in the monitoring exercise.
7 C Unit (1, 1000, 1000000) Units (single currency units, thousands, millions) in which
results are reported.
8 C Accounting standard Indicate the accounting standard used.
A.2 Approaches for credit risk
A.2.a General, under the current framework
Banks using more than one approach to calculate RWA for credit risk should select all those approaches in rows 11 to
14. However, if a bank uses the foundation IRB approach for all non-retail asset classes subject to the IRB approach for
the retail asset class, “foundation IRB” should be selected as the only IRB approach (and additionally the standardised
approach if applicable). If an IRB bank has only retail exposures and no other exposures subject to an IRB approach, then
“advanced IRB” should be selected as the only IRB approach (and additionally the standardised approach if applicable).
11 C Standardised approach Indicate whether the standardised approach is used to
calculate capital requirements for a portion of the exposures
reported in this study.
12 C FIRB approach Indicate whether the foundation IRB approach is used to
calculate capital requirements for a portion of the exposures
reported in this study.
13 C AIRB approach Indicate whether the advanced IRB approach is used to
calculate capital requirements for a portion of the exposures
reported in this study.
14 C Guaranteed IRB exposures Indicate guaranteed IRB exposures for which loss given
default (LGD) adjustment has been applied and where
guarantor asset class is subject to partial use of the
standardised approach
15 C Supervisory slotting criteria Indicate whether the supervisory slotting approach is used to
approach for specialised calculate capital requirements for a portion of the specialised
lending exposures lending exposures reported in this study.

6 Instructions for Basel III monitoring

 Row Column Heading Description
A.2.b Counterparty credit risk
Indicate the relevant approaches used under the current rules and the Basel Framework as applicable in 2023 by
selecting “yes” or “no” on the dropdown menu in rows 19 to 22.
Derivatives exposures
19 C Internal Model Method Indicate whether, under current rules, the Internal Model
Method (IMM) as set out in CRE53.6 to CRE53.60 is used to
calculate the CCR exposure amounts associated with
derivative contracts for a portion of the exposures reported
in this study.
19 D Internal Model Method Indicate whether, under the Basel Framework as applicable in
2023, the Internal Model Method (IMM) is used to calculate
the CCR exposure amounts associated with derivative
contracts for a portion of the exposures reported in this
study.
20 C Current Exposure Method Indicate whether, under current rules, the Current Exposure
Method (CEM) as set out in paragraphs 91 to 96(v) of
Annex 4 of the Basel II framework is used to calculate the
counterparty credit risk (CCR) exposure amounts associated
with derivative contracts for a portion of the exposures
reported in this study.
21 C Standardised Method Indicate whether, under current rules, the Standardised
Method (SM) as set out in paragraphs 69 to 90 of Annex 4 of
the Basel II framework is used to calculate the CCR exposure
amounts associated with derivative contracts for a portion of
the exposures reported in this study.
22 C SA-CCR Indicate whether, under current rules, the SA-CCR is used to
calculate the CCR exposure amounts associated with
derivative contracts for a portion of the exposures reported
in this study.
22 D SA-CCR Indicate whether, under the Basel Framework as applicable in
2023, the SA-CCR is used to calculate the CCR exposure
amounts associated with derivative contracts for a portion of
the exposures reported in this study.
22 E National version Banks in EU member countries should fill in whether they use
a national version of SA-CCR under the Basel Framework as
applicable in 2023. Banks in all other countries can leave this
cell empty, unless their supervisor asked them to fill it in.
SFT exposures
24 C Internal Model Method Indicate whether, under current rules, the Internal Model
Method (IMM) as set out in CRE53.6 to CRE53.60 is used to
calculate the CCR exposure amounts associated with
securities financing transactions (SFTs) for a portion of the
exposures reported in this study.
24 D Internal Model Method Indicate whether, under the Basel Framework as applicable in
2023, the Internal Model Method (IMM) is used to calculate
the CCR exposure amounts associated with securities
financing transactions (SFTs) for a portion of the exposures
reported in this study.
25 C Repo-VaR Indicate whether, under current rules, Repo-VaR is used to
calculate the CCR exposure amounts associated with
securities financing transactions (SFTs) for a portion of the
exposures reported in this study.

Instructions for Basel III monitoring 7

 Row Column Heading Description
25 D Repo-VaR Indicate whether, under the Basel Framework as applicable in
2023, Repo-VaR is used to calculate the CCR exposure
amounts associated with securities financing transactions
(SFTs) for a portion of the exposures reported in this study.
26 C Collateral Comprehensive Indicate whether, under current rules, the Collateral
Approach with own estimates Comprehensive Approach with own estimates of haircuts
of haircuts (CA(OE)) (CA(OE)) is used to calculate the CCR exposure amounts
associated with securities financing transactions (SFTs) for a
portion of the exposures reported in this study.
27 C Collateral Comprehensive Indicate whether, under current rules, the Collateral
Approach with supervisory Comprehensive Approach with supervisory haircuts (CA(SH))
haircuts (CA(SH)) is used to calculate the CCR exposure amounts associated
with securities financing transactions (SFTs) for a portion of
the exposures reported in this study.
27 D Collateral Comprehensive Indicate whether, under the Basel Framework as applicable in
Approach with supervisory 2023, the Collateral Comprehensive Approach with
haircuts (CA(SH)) supervisory haircuts (CA(SH)) is used to calculate the CCR
exposure amounts associated with securities financing
transactions (SFTs) for a portion of the exposures reported in
this study.
Cross-product netting
28 C Use of cross-product netting Indicate whether, under the current rules, the bank makes
use of the cross-product netting as set out in CRE53.62 to
CRE53.71 (under IMM only).
A.2.c Credit risk mitigation
30 C Simple approach for financial Indicate whether the simple approach for financial collateral
collateral as set out in CRE22.78–80 is used to calculate capital
requirements for a portion of the exposures reported in this
study.
31 C Comprehensive approach for Indicate whether the comprehensive approach for financial
financial collateral collateral (CRE22.21 to CRE22.30 and CRE22.40 to CRE22.77
of the Basel Framework) is used to calculate capital
requirements for a portion of the exposures reported in this
study.
32 C if yes: own estimates of If the comprehensive approach for financial collateral is used,
haircuts indicate whether own estimates of haircuts (CRE22.48 to
CRE22.59) are used to calculate capital requirements for a
portion of the exposures reported in this study.
33 C if yes: repo VaR If the comprehensive approach for financial collateral is used,
indicate whether repo value-at-risk (VaR) (CRE22.30 and
CRE22.40 to CRE22.77) is used to calculate capital
requirements for a portion of the exposures reported in this
study.
34 C if yes: carve-out for repo style If the comprehensive approach for financial collateral is used,
transactions indicate whether the carve-out for repo style transactions
(CRE22.66 to CRE22.68) is used to calculate capital
requirements for a portion of the exposures reported in this
study.
35 C Is CRM applied before or after Please indicate whether credit risk mitigation (CRM) is
CCF? applied before or after credit conversion factors (CCF).
A.3 Approaches for CVA
38 C Advanced CVA Indicate whether, under current rules, the advanced CVA
approach is used to calculate CVA for a portion of the
exposures reported in this study.

8 Instructions for Basel III monitoring

 Row Column Heading Description
39 C Standardised CVA Indicate whether, under current rules, the standardised CVA
approach is used to calculate CVA for a portion of the
exposures reported in this study.
40 D Reduced BA-CVA Indicate whether, under the final Basel III standards, the
reduced BA-CVA approach is used to calculate CVA for a
portion of the exposures reported in this study.
41 D Full BA-CVA Indicate whether, under the final Basel III standards, the full
BA-CVA approach is used to calculate CVA for a portion of
the exposures reported in this study.
42 D SA-CVA Indicate whether, under the final Basel III standards, the SA-
CVA approach is used to calculate the CVA for a portion of
the exposures reported in this study.
A.4 Securitisation
44 C Has the bank implemented the Indicate whether the bank has implemented the revised
revised securitisation securitisation framework.
framework?
A.5 Approaches to market risk
47 C Revised market risk framework Indicate whether the revised market risk framework definition
definition of TB-BB boundary of the trading book banking book boundary per RBC25 (2023
version) has been used for reporting data on the “TB” and
“TB IMA Backtesting-P&L” worksheets.
48 C Standardised measurement Indicate whether the standardised measurement method is
method, current framework used under the current framework to calculate capital
requirements for a portion of the market risk positions
reported in this study.
48 D Standardised measurement Indicate whether the standardised measurement method is
method, revised framework used under the revised framework to calculate capital
requirements for a portion of the market risk positions
reported in this study.
Banks using the simplified standardised approach under the
revised framework should select “Yes (simplified SA)”. For the
purpose of this exercise, the criteria set out in MAR11.7 are
deemed applicable. Banks that do not meet the criteria but
indicate to use simplified SA will not be considered in the
analysis.
49 C Internal models approach, Indicate whether the internal models approach is used under
current framework the current framework to calculate capital requirements for a
portion of the market risk positions reported in this study.
49 D Internal models approach, Indicate whether the internal models approach is used under
revised framework the revised framework to calculate capital requirements for a
portion of the market risk positions reported in this study.
50 C Effective regulatory multiplier Please provide the current effective regulatory multiplier for
for VaR VaR applicable as of the reporting date if you are using the
internal models approach. Banks not using the internal
models approach for market risk should leave this cell blank.
51 C Effective regulatory multiplier Please provide the current effective regulatory multiplier for
for stressed VaR stressed VaR applicable as of the reporting date if you are
using the internal models approach. Banks not using the
internal models approach for market risk should leave this
cell blank.

Instructions for Basel III monitoring 9

 Row Column Heading Description
A.6 Operational risk
53 C Which definition of the TB-BB Indicate whether the bank has used an accounting definition
boundary is used for the net of the TB-BB boundary for the split of net profits into
profit split? banking and trading books in panel B of the “OpRisk”
worksheet or alternatively the old or revised market risk
framework definition of the boundary.
A.7 Accounting information
55 C Accounting total assets Total assets following the relevant accounting balance sheet
(considering the regulatory consolidation).

3.2 Current capital (panel B)

Panel B of the “General Info” worksheet deals with information on eligible capital and deductions
according to the national implementation of the Basel standards. This calculation should be conducted in
the same way as the calculation of eligible capital for solvency reporting to the national supervisory agency
at the reporting date.
The regulatory adjustments should be assigned to the tier of capital from which they are
actually taken. For example, if a bank has not enough additional Tier 2 capital to make all those regulatory
adjustments which can be made to Tier 2 capital, the adjustment should be reported as an adjustment to
the relevant higher tier of capital.

Row Column Heading Description

Total Common Equity Tier 1 capital
62 C Prior to regulatory Amount of gross Common Equity Tier 1 capital. This line
adjustments, national rules as should not include any regulatory adjustments.
at reporting date
63 C Regulatory adjustments, All regulatory adjustments to Common Equity Tier 1 capital
national rules as at reporting elements.
date Banks should generally not report regulatory adjustments in
this row that are applied to total Tier 1 capital as these
should generally be reported in row 64. The only exception
to this is in cases where the deductions in row 64 would
otherwise exceed the Additional Tier 1 instruments reported
in row 63.
Additional Tier 1 capital
65 C Prior to regulatory Amount of gross Additional Tier 1 capital. This line should
adjustments, national rules as not include any regulatory adjustments.
at reporting date
66 C Regulatory adjustments, All regulatory adjustments to Additional Tier 1 capital
national rules as at reporting elements. If the sum of the regulatory adjustments exceeds
date the amount reported in row 63 the excess should be
reported in row 61 (ie the regulatory adjustments reported in
row 64 must not exceed the capital reported in this row).
Tier 2 capital
70 C Prior to regulatory Amount of gross Tier 2 capital. This line should not include
adjustments, national rules as any regulatory adjustments.
at reporting date

10 Instructions for Basel III monitoring

 Row Column Heading Description
71 C Regulatory adjustments, All regulatory adjustments to Tier 2 capital elements and to
national rules as at reporting total capital elements. If the sum of the regulatory
date adjustments exceeds the amount reported in row 68 the
excess should be reported in row 64 (ie the regulatory
adjustments reported in this row must not exceed the capital
reported in row 68).

3.3 Capital distribution data (panel C)

Panel C of the “General Info” worksheet deals with data on banks’ income, capital distributions and capital
raised. In contrast to previous exercises, all data should be provided for both the six- month period
ending on the reporting date (in column C) and the 12-month period ending on the reporting date
(in column D). Distributions and buybacks should be reported in the period in which they reduce
regulatory capital.

Row Column Heading Description

Income
77 C, D Profit after tax Total amount of profit (loss) after tax. This should include
profits attributable to minority shareholders.
78 C, D Profit after tax prior to the Total amount of profit (loss) after tax including profits
deduction of relevant (ie attributable to minority shareholders, but prior to the
expensed) distributions below relevant distributions listed in the section below. The
relevant distributions are only those which were included in
the income statement in such a way as to reduce profit after
tax as set out in row 60 (ie items that were expensed), and
thus the relevant distributions are not necessarily the sum of
the items listed below. The line seeks to collect the profit
after tax, which would have been reported had none of the
distributions listed below been paid. As such, any tax impact
of making such payments should also be reversed in this line.
Distributions
80 C, D Dividends on CET1 instruments Total dividend payments on CET1 instruments. The amount
entered should be the amount paid in cash, not stock.
81 C, D Other coupon/dividend Total coupon/dividend payments paid to other Tier 1
payments on Tier 1 instruments. The amount entered should be the amount paid
instruments in cash, not stock. It should include both amounts reported
in the income statement as an interest expense and amounts
reported as a distribution of profits.
82 C, D Considered as expenses Of the amount reported in the row above, the amount
considered as expenses (ie deducted from earnings).
83 C, D Common stock share buybacks Total common stock share buybacks (effective amounts).
84 C, D Other Tier 1 buyback or Total gross buyback or repayment of other Tier 1 instruments
repayment (gross) (effective amounts).

Instructions for Basel III monitoring 11

 Row Column Heading Description
85 C, D Discretionary staff Total amount of discretionary staff bonuses and other
compensation/bonuses discretionary staff compensation. These amounts should be
included if and when they result in a reduction of Tier 1
capital.
For purposes of the Basel III monitoring exercise,
discretionary staff bonuses and other discretionary
compensation include all variable compensation to staff that
the bank is not contractually obliged to make. Banks should
only include such amounts if they result in a reduction in
Tier 1 capital or would have resulted in an increase in Tier 1
capital if they had not been made. For example, under US
GAAP, a bank is required to classify as a liability certain
shares that give employees the right to require their
employer to repurchase shares in exchange for cash equal to
the fair value of the shares. As such, discretionary
compensation results in a reduction in GAAP equity and
consequently Tier 1 capital, it would be included in this row.
Similarly, discretionary compensation made out of retained
net income would have resulted in an increase in Tier 1
capital if it had not been made and therefore should also be
included in this row. By contrast, compensation to employees
in the form of newly issued shares may in certain
circumstances result in an increase in the number of
outstanding shares with no change in GAAP equity and
consequently no reduction in Tier 1 capital. These amounts
should not be included in this row.
86 C, D Tier 2 buyback or repayment Total gross buyback or repayment of Tier 2 instruments
(gross) (effective amounts).
Capital raised (gross)
Since these are cells to report newly issued capital amounts, the amounts of capital raised must always be positive or
zero. Banks should apply the Basel Framework’s definition of capital in all reporting periods.
Profit retention should not be included in the amounts of capital raised reported in this panel.
88 C, D CET1 Total gross Common Equity Tier 1 capital issued.
89 C, D Additional Tier 1 Total gross Additional Tier 1 capital issued.
90 C, D Tier 2 Total gross Tier 2 capital issued.

4. Risk-weighted assets, exposures and TLAC

4.1 Overall capital requirements and actual capital ratios (worksheet

“Requirements”)

The “Requirements” worksheet deals with overall capital requirements and actual capital ratios. Most of
the data are pulled from the various worksheets and provide a summary of the information reported by
banks. Banks are encouraged to check the consistency of data provided and reconcile them with data
provided in supervisory reporting where possible. Furthermore, a limited number of data items should be
entered in rows 39, 40, 124, 131 to 134 and 142. Rows 155 and 157 allow banks to enter additional items
on an optional basis to reconcile numbers with regulatory reporting.
Panel A reports data on all exposures subject to credit risk. Panel A.1 shows the totals, panel A.2
exposures which are and remain subject to the standardised approach for credit risk, panel A.3 exposures
which are and remain subject to the IRB approaches for credit risk while panel A.4 shows exposures which

12 Instructions for Basel III monitoring

are currently subject to the IRB approaches for credit risk but will become subject to the standardised
approach after implementation of the Basel Framework as applicable in 2023. In particular,
• In columns C to J, exposures, RWA and expected loss (EL) amounts (for IRB exposures) under the
current national rules, the final Basel III framework for credit risk and the output floor (fully
phased-in) are automatically reported;
• In columns L to S, a set of indicators is calculated. These indicators measure the percentage
changes of exposures, RWA and EL amounts (if relevant) between the current and the final
frameworks as well as between the current framework and the output floor;
• In columns U to AA, checks are reported. These checks are based on the indicator values and may
report an error or a warning message in case the absolute value of indicators is considered high
or relevant.
Banks should pay attention to the check results as they aim at helping banks in ensuring the
consistency of data provided. Accordingly, a limited number of errors and warning messages is expected.
The remaining input cells are described below.

Row Column Heading Description

A. Credit risk requirements (including counterparty credit risk and non-trading credit risk)
If no such exposures exist, 0 should be entered in the relevant cell.
39 C–D Current, trade exposures RWA for trade exposures to CCPs, calculated applying current
national rules at the reporting date.
39 F–G Final Basel III, trade exposures RWA for trade exposures to CCPs, assuming any changes
following on the implementation of the Basel Framework as
applicable in 2023 following CRE54.7–16.
39 I–J Non-modelling approaches, RWA for trade exposures to CCPs, assuming any changes
trade exposures following on the implementation of the Basel Framework as
applicable in 2023 following CRE54.7–16, limited to non-
modelling approaches.
40 C–D Current, default fund Exposures and RWA for default fund exposures to CCPs,
exposures calculated applying current national rules at the reporting
date.
40 F–G Final Basel III, default fund Exposures and RWA for default fund exposures to CCPs,
exposures assuming any changes following on the implementation of
the Basel Framework as applicable in 2023 following
CRE54.24-39.
B. All risk types
Capital requirements should be converted to risk-weighted assets.
123 G Final Basel III, RWA for topics To the extent banks are no longer required by their national
subject to the final framework supervisors to provide data for topics that are already in force
and not reported above and subject to supervisory reporting, banks may enter the
total RWA amount under the actual approaches of the final
framework for those topics that are no longer reported
elsewhere in the Basel III monitoring reporting template.
Note that this cell is optional and only needed for the
calculations in row 125 and panel D of the worksheet.
123 J Non-modelling approaches, The related RWA amount, limited to non-modelling
RWA for topics subject to the approaches.
final framework and not If no such requirements exist, 0 should be entered in the
reported above relevant cell.

Instructions for Basel III monitoring 13

 Row Column Heading Description
124 D Current, Other Pillar 1 RWA for other Pillar 1 capital requirements according to
requirements national discretion, calculated applying current national rules
at the reporting date.
If no such requirements exist, 0 should be entered in the
relevant cell.
124 G Final Basel III, Other Pillar 1 RWA for other Pillar 1 capital requirements according to
requirements national discretion, assuming any changes following on the
implementation of the Basel Framework as applicable in 2023.
If no such requirements exist, 0 should be entered in the
relevant cell.
124 J Non-modelling approaches, RWA for other Pillar 1 capital requirements according to
Other Pillar 1 requirements national discretion, assuming any changes following on the
implementation of the Basel Framework as applicable in 2023,
limited to non-modelling approaches.
If no such requirements exist, 0 should be entered in the
relevant cell.
C. RWA effects from phase-in arrangements
129 C, D RWA impact of any phase-in Incremental RWA impact of full implementation of any phase-
arrangements in arrangements. If the national framework has already been
fully phased-in or no such phase-in arrangements exist, banks
should report 0.
D) Total risk-weighted assets and capital ratios
135 D Total risk-weighted assets Total RWA after application of the transitional floors under
after application of the the fully phased-in national implementation of the current
transitional floors (national Basel Framework. Note that for banks subject to the EU
implementation) Regulation 575/2013 (CRR), any transactions currently
excluded from the CVA capital requirements calculation
should be reintegrated in total RWA. This is discussed in more
detail in the second paragraph of Section 10.2 below.
E) Reconciliation with regulatory reporting
147 D Total risk-weighted assets Total RWA before application of the transitional floors as in
before application of the regulatory reporting. This optional cell allows the calculation
transitional floors as in of RWA not covered in the monitoring exercise without using
regulatory reporting regulatory reporting information.
149 D Total risk-weighted assets Total RWA after application of the transitional floors as in
after application of the regulatory reporting. This optional cell allows the calculation
transitional floors as in of the current transitional floor for all exposures covered in
regulatory reporting regulatory reporting in the monitoring exercise, without using
regulatory reporting information.

4.2 Information on TLAC holdings

In order to calculate regulatory capital correctly, the “TLAC holdings” worksheet should be completed
by all banks.
The amounts in rows 5 and 6 should reflect only the amount deducted after applying the
thresholds, not the full amounts of the holdings. The deductions in row 6 are measured on a gross long
basis. The deductions in other rows are measured on a net long basis (ie the gross long position net of
short positions in the same underlying exposure where the maturity of the short position either matches
the maturity of the long position or has a residual maturity of at least one year).

14 Instructions for Basel III monitoring

4.3 Additional information on TLAC

In order to analyse the impact of total loss absorbing capacity (TLAC) requirements on participating banks,
the “TLAC” worksheet should be completed by all participating G-SIBs as well as all other banks
which have been asked to do so by their national supervisory authority. Data should be provided for
the entire banking group at the consolidated level, ie the TLAC resources should include all TLAC qualifying
resources across all resolution groups within the G-SIB (after the application of the applicable deductions
for inter-resolution group holdings).
The worksheet collects the data necessary to calculate non-regulatory-capital TLAC under the
nationally implemented rules (“National implementation”). The instructions below are based on the
international standard. Banks should consult national rules, where they differ from the TLAC Term Sheet,
to complete this worksheet.

Row Column Heading Description

A. Adjustments to regulatory capital for TLAC calculation purposes
4 C Amortised portion of Tier 2 This row recognises that as long as the remaining maturity of
instruments where remaining a Tier 2 instrument is above the one-year residual maturity
maturity > 1 year requirement of the TLAC term sheet, 9 the full amount may
8F

be included in TLAC, even if the instrument is partially

derecognised in regulatory capital via the requirement to
amortise the instrument in the five years before maturity.
Only the amount not recognised in regulatory capital but
meeting all TLAC eligibility criteria should be reported in this
row.
6 C Additional Tier 1 instruments Additional Tier 1 instruments issued out of subsidiaries to
issued out of subsidiaries to third parties that are ineligible as TLAC. According to
third parties Section 8c of the TLAC term sheet, such instruments could be
recognised to meet minimum TLAC until 31 December 2021.
7 C Tier 2 instruments issued out Tier 2 instruments issued out of subsidiaries to third parties
of subsidiaries to third parties that are ineligible as TLAC. According to Section 8c of the
TLAC term sheet, such instruments could be recognised to
meet minimum TLAC until 31 December 2021.
8 C all other All elements of regulatory capital, other than reported in
rows 6 and 7 above that are ineligible as TLAC. For example,
some jurisdictions recognise an element of Tier 2 capital in
the final year before maturity, but such amounts are
ineligible as TLAC. Another example is regulatory capital
instruments issued by funding vehicles issued on or after
1 January 2022 as set out in Section 8 of the TLAC term
sheet.

9
See Financial Stability Board, Total Loss-Absorbing Capacity (TLAC): Principles and Term Sheet, 9 November 2015,
www.fsb.org/2015/11/total-loss-absorbing-capacity-tlac-principles-and-term-sheet/.

Instructions for Basel III monitoring 15

 Row Column Heading Description
B. Non-regulatory capital elements of TLAC and adjustments
13 C External TLAC instruments External TLAC instruments issued directly by the G-SIB or
issued directly by the G-SIB resolution entity (as the case may be) and subordinated to
that meet the subordination Excluded Liabilities. To be reported here instruments must
requirement in Section 11 of meet the subordination requirements set out in points (a) to
the TLAC term sheet (c) of Section 11 of the TLAC term sheet, or be exempt from
this requirement by meeting the conditions set out in points
(i) to (iv) of the same section. The latter conditions provide a
limited subordination exemption in relation to a de minimis
amount of non-TLAC liabilities meeting certain requirements.
External TLAC instruments that rank pari passu or junior to
such a de minimis amount of non-TLAC liabilities should be
considered to be subordinated for this monitoring exercise
and hence should be reported in this row.
14 C External TLAC instruments External TLAC instruments issued directly by the G-SIB or
issued directly by the G-SIB resolution entity (as the case may be), that are not
which are not subordinated to subordinated to Excluded Liabilities and that do not satisfy
Excluded Liabilities but meet all the conditions relating to the de minimis exemption in points
other TLAC term sheet (i) to (iv) of Section 11 of the TLAC term sheet, but meet the
requirements prior to the other TLAC term sheet requirements. The amount reported
application of the caps here should be subject to recognition as a result of the
described in the penultimate application of the penultimate and antepenultimate
paragraph of Section 11 of the paragraphs of Section 11 of the TLAC term sheet. The full
TLAC term sheet amounts should be reported in this row, ie without applying
the 2.5% and 3.5% caps set out the penultimate paragraph.
15 C of which: amount eligible as The amount reported in row 14 above after the application
TLAC after application of the of the 2.5% and 3.5% caps set out in the penultimate
caps in the penultimate paragraph of Section 11 of the TLAC term sheet. If the
paragraph of Section 11 external TLAC instruments are eligible for recognition under
the antepenultimate paragraph of Section 11 (rather than
under the capped exemption in the penultimate paragraph),
then the amount reported in this row will be the same as in
row 14.
17 C External TLAC instruments External TLAC instrument issued by a funding vehicle prior to
issued by funding vehicles 1 January 2022.
prior to 1 January 2022
18 C Eligible ex ante commitments Eligible ex ante commitments that meet the conditions set
to recapitalise a G-SIB in out in the second paragraph of Section 7 of the TLAC term
resolution sheet, up to an amount equivalent to 3.5% RWA.
19 C Deduction for investments in CAP30.18–20 requires G-SIB resolution entities to deduct
own other TLAC liabilities holdings of their own other TLAC liabilities when calculating
(excluding amounts already TLAC resources. “Other TLAC liabilities” is defined in
derecognised under the CAP30.3–5. The amount reported in this row should be
relevant accounting standards) entered as a positive number.
20 C Other TLAC adjustments Adjustments according to national rules that are not based
on the TLAC term sheet.
D. TLAC raised in the six month period ending on the reporting date
29 C Issued up to three months The amounts reported should be gross of any exchanges or
before the reporting date redemptions. Since these are cells to report newly issued
non-regulatory-capital TLAC amounts, the amounts must
always be positive or zero.
30 C Issued more than three but less The amounts reported should be gross of any exchanges or
than six months before the end redemptions. Since these are cells to report newly issued
of the reporting date non-regulatory-capital TLAC amounts, the amounts must
always be positive or zero.

16 Instructions for Basel III monitoring

5. Leverage ratio

The “Leverage ratio” and “Leverage ratio additional” worksheets collect data on the exposure measure of
the Basel III leverage ratio (the denominator of the ratio) as defined by the January 2014 Basel III leverage
ratio framework, 10 the Frequently asked questions on the Basel III leverage ratio framework 11 and the
9F 10F

December 2017 Basel III leverage ratio framework. 12 Unless otherwise mentioned, the Basel framework
11F

references in this chapter refer to the 2023 version. The “Leverage ratio additional” worksheet is only part
of year-end exercises.
As for other parts of the reporting template, exposures are to be reported in the worksheet
on a group-wide consolidated basis for all entities that are consolidated by the bank for risk-based
regulatory purposes.
When filling the worksheets the following rules should be applied:
• “0” means no exposure.
• A cell left “blank” means that there are exposures but the bank is unable to provide them. Where
a cell is left blank, the bank has to provide information about the materiality and the reasons why
the information cannot be completed in a separate document.
Yellow cells are fundamental to the calculation of the Basel III leverage ratio per the January 2014
framework or the December 2017 framework.
The green cells collect additional information necessary to monitor the Basel III leverage ratio
and its components.
Data on the capital measure of the Basel III leverage ratio (the numerator of the ratio) are
collected in the “General Info” worksheet and from regulatory reporting.

5.1 On-balance sheet items (panel A)

5.1.1 Accounting values as reported in the banks’ financial statements

Column H requires data as reported in the banks’ financial statements prepared in accordance with the
applicable accounting standards. Data in this column should correspond to figures as reported in the
financial statements (considering the regulatory scope of consolidation). These data should be net of
specific provisions and valuation adjustments and include the effects of balance sheet offsetting as a result
of netting agreements and credit risk mitigation only when permitted under the applicable accounting
standards.

5.1.2 Gross values

Column I requires data to be entered using the sum of accounting values (net of specific provisions and
valuation adjustments), assuming no accounting netting or credit risk mitigation effects (ie gross values). 13 12F

10
Basel Committee on Banking Supervision, Basel III leverage ratio framework and disclosure requirements, January 2014,
www.bis.org/publ/bcbs270.htm. Available in the Basel Framework under the LEV standard, 2019 version.
11
Basel Committee on Banking Supervision, Frequently asked questions on the Basel III leverage ratio framework, April 2016,
www.bis.org/bcbs/publ/d364.htm.
12
Basel Committee on Banking Supervision, Basel III: Finalising post-crisis reforms, December 2017, www.bis.org/bcbs/publ/
d424.htm. Available in the Basel Framework under the LEV standard, 2023 version.
13
For example, if a bank is permitted to net cash collateral against the net derivatives exposure amount under the applicable
accounting standards (as reported in column H), then the bank must take that cash collateral out (ie gross up its exposure
amount) for purposes of column I.

Instructions for Basel III monitoring 17

Items that are not eligible for accounting netting or subject to credit risk mitigation should be the same
as those reported in column H.

5.1.3 Counterparty credit risk exposure after applying the regulatory netting standards
Column K requires reporting of derivative exposure replacement costs according to the modified version
of the standardised approach to counterparty credit risk (SA-CCR) (hereafter “modified SA-CCR”) as
specified in the December 2017 leverage ratio framework.
CRE52.76 states that where a single margin agreement applies to several netting sets, the PFE
add-on must be calculated according to the unmargined methodology. Accordingly, CRE52.76 applies in
the event collateral exchanged on a net basis as a consequence of a global netting agreement (ie a legally
enforceable netting agreement that enables a bank to net and margin client positions across products and
across the bank’s legal entities) is insufficient to cover exposures arising from associated derivative
transactions.

5.1.4 Description of the data

The following table provides a description of the data to be entered in each row.

Row Column Heading Description

6 K Exempted leg of derivatives Amount of replacement cost per modified SA-CCR with the
for which the bank provides legs of derivative exposures that may be excluded per
clearing services within a LEV30.26.
multi-level client structure: The alpha factor of 1.4 must not be applied by the bank.
replacement cost (RC)
7 K Exempted leg of derivatives Amount of replacement cost per modified SA-CCR for the
for which the bank provides legs of derivative exposures which may be excluded per
clearing services within a LEV30.29 that are associated with entities affiliated with the
multi-level client structure: bank but that are outside the scope of regulatory
replacement cost (RC); Of consolidation and for which the bank acts as a clearing
which Associated with member per LEV30.29.
entities affiliated with the The alpha factor of 1.4 must not be applied by the bank.
bank outside the scope of
regulatory consolidation for
which the bank acts as a
clearing member
8 K Check: total ≥ amounts Non-data entry row. Provides a check that the amount
associated with affiliated reported in row 6 is greater than or equal to the amount
entities reported in row 7.
9 K, L Replacement cost (RC) for all RC for all derivatives transactions (ie non-client cleared
derivative transactions derivatives and client-cleared derivatives) as calculated per
the SA-CCR.
Do not apply the 1.4 alpha multiplier.
10 K, L of which: RC for client RC for client cleared derivatives only as calculated per the
cleared derivatives only SA-CCR.
Do not apply the 1.4 alpha multiplier.
11 H, I Securities financing Non entry cells: Items in rows 12 and 13 provide a
transactions breakdown of SFTs and should sum to total SFTs.

18 Instructions for Basel III monitoring

 Row Column Heading Description
12 H, I, J SFT agent transactions Only SFT agent transactions where the bank acting as agent
eligible for the exceptional provides an indemnity or guarantee to a customer or
treatment counterparty that is limited to the difference between the
value of the security or cash the customer has lent and the
value of collateral the borrower has provided are eligible for
this exceptional treatment, see LEV30.42–43.
Column H must be reported net of specific provisions and
valuation adjustments and include the effects of netting
agreements and credit risk mitigation only as per the
relevant accounting standards.
Column I must be reported with no recognition of
accounting netting of (cash) payables against (cash)
receivables as permitted under relevant accounting
standards.
SFT traded OTC, on an exchange and through a CCP should
all be included.
Column J provides a check that the amount reported in
column I is greater than or equal to the amount reported in
column H.
13 H, I, J Other SFTs SFTs other than SFT agent transactions reported in row 12.
Column H must be reported net of specific provisions and
valuation adjustments and include the effects of netting
agreements and credit risk mitigation only as per the
relevant accounting standards.
Column I must be reported with no recognition of
accounting netting of (cash) payables against (cash)
receivables as permitted under relevant accounting
standards.
SFT traded OTC, on an exchange and through a CCP should
all be included.
Column J provides a check that the amount reported in
column I is greater than or equal to the amount reported in
column H.
14 Other assets Non-data entry row.
15 I On-balance sheet specific Gross amounts for on-balance sheet specific provisions and
provisions and valuation valuation adjustments according to LEV30.9.
adjustments under the 2014
LR framework
16 I Deduction of eligible general Eligible general provisions and general loan loss reserves that
provisions and general loan may be deducted from the exposure measure according to
loss reserves from on- LEV30.9.
balance sheet exposures
17 I Deduction of eligible Eligible PVAs or exposures to less liquid positions (other than
prudential valuation those related to liabilities) that are deduced from Tier 1
adjustments (PVAs) capital and may be deducted from the exposure measure
according to LEV30.3.
18 I Trade date accounting: For banks that utilise trade date accounting, the amount of
amount of gross cash gross cash receivables taking into account offsetting only per
receivables less offsetting the criteria in LEV30.10 (ie not the offsetting that may be
permitted under the bank’s accounting framework).
19 G–J Cash pooling transactions Amounts for all cash pooling transactions exposure value (ie
those that meet and those that do not meet the criteria of
LEV30.12).

Instructions for Basel III monitoring 19

 Row Column Heading Description
20 G– J Of which: cash pooling Cash pooling amounts that meet the conditions of LEV30.12.
transactions that meet the
criteria of LEV30.12
21 G–I Check: total ≥ of which Non-data entry row. Provides a check that amounts reported
amount in row 19 are greater than or equal to amounts reported in
row 20.
22 I Check: gross ≥ exposure Non-data entry row. Provides a check the exposure values of
value ≥ net value cash pooling transactions as reported on rows 19 and 20 is
less than or equal to the gross amounts reported on row 19
and is greater than or equal to the net amount reported on
row 20.
23 I Check: consistent reporting Non-data entry row. Provides a check that amounts in rows
in rows 19 and 20 19 and 20 are reported consistently.
24 I Securitised assets meeting Gross amounts for securitised assets meeting operational
SRT criteria requirements for the recognition of risk transference (SRT
criteria) according to CRE40.24 (2019 version).
25 I Total central bank reserves Gross amount of total central bank reserves.
26 I Central bank reserves eligible Gross amount of central bank reserves that the bank’s
for deduction from revised supervisor has exempted from the exposure measure on a
LR exposure measure temporary basis according to LEV30.7.
27 I Check: total ≥ of which Non-data entry row. Provides a check that the amount of
amount central bank reserves exempted from the exposure measure
is less than or equal to total central bank reserves maintained
by the bank.

5.2 Derivatives and off-balance sheet items (panel B)

The following table provides a description of the data to be entered in each row associated with the
potential future exposure, notional amount or modified SA-CCR measurement for derivative exposures
and off-balance sheet items.

Row Column Heading Description

Derivatives
32 H, I Exempted CCP leg of client- Potential future exposure using the current exposure method
cleared trade exposures and assuming no netting or CRM associated with exempted
(potential future exposure) CCP leg of client-cleared trade exposures (potential future
exposure fulfilling the exemption criteria laid down in
LEV30.26.
33 J Potential future exposure: Potential future exposure of all derivative transactions
with maturity factor (margined and unmargined) calculated according to
unchanged and without LEV30.16(3).
collateral The amount of PFE per modified SA-CCR associated with the
CCP-leg of clearing members’ client-cleared trade exposures
to a QCCP as set out in LEV30.26 may be excluded.
The alpha factor of 1.4 must not be applied by the bank.
34 H Potential future exposure: Report PFE as determined per the use of CEM, assuming no
with use of CEM, of which netting or CRM.
PFE of centrally cleared
trades

20 Instructions for Basel III monitoring

 Row Column Heading Description
34 J Potential future exposure: Amount included in row 33 associated with centrally cleared
with maturity factor client trades, where the bank acts as clearing member.
unchanged and without The alpha factor of 1.4 must not be applied by the bank.
collateral, of which PFE of
centrally cleared trades
34 K Potential future exposure: Report PFE as determined per the use of unmodified SA-CCR
with use of unmodified SA- as used for the risk-based framework as finalised in the June
CCR, of which PFE of 2019 publication Leverage ratio treatment of client-cleared
centrally cleared trades derivatives and set out in LEV30.27.
Do not apply the 1.4 alpha multiplier.
34 L Check: SA-CCR ≤ modified Non-data entry row. Provides a check that the exposure
CCR amount reported for SA-CCR is lower than or equal to that
for modified SA-CCR.
35 J–K Check: total ≥ of which Non-data entry row. Provides a check that the amount
amount reported in row 33 is greater than or equal to the amount
reported in row 34.
36 J Exempted leg of derivatives Amount of PFE per modified SA-CCR associated with the legs
for which the bank provides of derivative exposures that may be excluded per LEV30.26
clearing services within a The alpha factor of 1.4 must not be applied by the bank.
multi-level client structure:
potential future exposure
(PFE)
37 J Exempted leg of derivatives Amount of PFE per modified SA-CCR associated with the legs
for which the bank provides of derivative exposures which may be excluded per LEV30.26
clearing services within a that are associated with entities affiliated with the bank but
multi-level client structure: that are outside the scope of regulatory consolidation and for
potential future exposure which the bank acts as a clearing member per LEV30.29.
(PFE); of which associated The alpha factor of 1.4 must not be applied by the bank.
with entities affiliated with
the bank outside the scope
of regulatory consolidation
for which the bank acts as a
clearing member
38 J Check: total ≥ of which Non-data entry row. Provides a check that the amount
amount reported in row 36 is greater than or equal to the amount
reported in row 37.
Off-balance sheet items under the 2014 leverage ratio framework
40 I Off-balance sheet items with Off-balance sheet items with a 10% CCF under the 2014 LR
a 10% CCF under the 2014 framework
LR framework
41 I Off-balance sheet items with Credit cards commitments that are unconditionally
a 10% CCF under the 2014 cancellable at any time by the bank without prior notice
LR framework; of which (UCC) that receive a 10% CCF under LEV30.46 (2019 version).
unconditionally cancellable Credit card commitments that effectively provide for
credit cards commitments; automatic cancellation due to deterioration in a borrower’s
Notional amount creditworthiness but that are not UCC should not be included
in this row.
42 I Off-balance sheet items with Other commitments that are unconditionally cancellable at
a 10% CCF under the 2014 any time by the bank without prior notice that receive a 10%
LR framework; of which other CCF under LEV30.46 or LEV30.53 (both 2019 version).
unconditionally cancellable Commitments that effectively provide for automatic
commitments; Notional cancellation due to deterioration in a borrower’s
amount creditworthiness but that are not UCC should be included in
this row.

Instructions for Basel III monitoring 21

 Row Column Heading Description
43 I Off-balance sheet Notional amounts for off-balance sheet securitisation
securitisation exposures exposures that meet the criteria of LEV30.53 (2019 version).
under the 2014 LR
framework
44 I Reported unsettled financial Drop down menu. Select ‘yes’ if a positive amount of
asset purchases as OBS items unsettled financial asset purchases were reported as OBS
with 100% CCF under the items with a 100% CCF as per LEV30.47–48 (2019 version).
2014 LR framework? Otherwise, select ‘No’. Select ‘No’ if the associated amounts
are zero.
Off-balance sheet items under the revised leverage ratio framework
46 I Off-balance sheet items with Off-balance sheet items that would be assigned a 10% credit
a 10% CCF conversion factor as specified in LEV30.54.
47 I Off-balance sheet items with Off-balance sheet items that would be assigned a 20% credit
a 20% CCF conversion factor as specified in LEV30.53.
48 I Off-balance sheet items with Off-balance sheet items that would be assigned a 40% credit
a 40% CCF conversion factor as specified in LEV30.52.
49 I Off-balance sheet items with Off-balance sheet items that would be assigned a 50% credit
a 50% CCF conversion factor as specified in LEV30.50-51.
50 I Off-balance sheet items with Off-balance sheet items that would be assigned a 100%
a 100% credit conversion factor as specified in LEV30.49.
51 I Off-balance sheet Off-balance sheet securitisation exposures as specified in
securitisation exposures LEV30.56
52 I Deduction of eligible specific Amounts of specific and general provisions set aside against
and general provisions from off-balance sheet exposures that have decreased Tier 1
off-balance sheet items capital that may be deduced from credit exposure equivalent
amounts as specified in LEV30.48.
53 I Banks using settlement date For banks that use settlement date accounting, the exposure
accounting: amount of gross amount associated with unsettled financial asset purchases
commitments to pay for less cash to be received for unsettled trades that meet the
unsettled purchases less cash criteria of LEV30.49.
to be received for unsettled
trades
54 I Check: sum of OBS items ≥ Non-data entry row. It checks that amount of off-balance
deduction of eligible specific sheet items reported in rows 46 through 51 is greater than or
and general provisions in equal to amounts eligible specific and general provisions to
row 50 be deducted from off-balance sheet items

5.3 Adjusted notional exposures for written credit derivatives (panel C)

Panel C collects information on the impact of the additional criteria specified in LEV30.30–35 regarding
the eligibility of credit protection purchased through credit derivatives to reduce the effective notional
amount of written credit derivatives in the leverage ratio exposure measure.
Regarding the scope of instruments to be reported in this panel, banks must apply the proposed
definition for written credit derivatives as set out in LEV30.31–32.

22 Instructions for Basel III monitoring

 Row Column Heading Description
58 I Credit derivatives Non-data entry row. Total capped notional amount.
59 I Credit derivatives (protection Capped notional of written credit derivatives as set out in
sold); Capped notional LEV30.31 to excluding any exempted legs associated with
amount; Total client-cleared trades or the provision of clearing services in a
multi-level client services structure.
60 I Credit derivatives (protection Capped notional of written credit derivatives that meet the
sold); Capped notional conditions of LEV30.31 to be excluded from the calculation
amount; Of which: exempted of the exposure measure as exempted legs associated with
legs associated with client- client-cleared trades or the provision of clearing services in a
cleared trades or the multi-level client services structure.
provision of clearing services
in a multi-level client services
structure
61 I Credit derivatives (protection Capped notional of credit protection purchased through
bought); Capped notional credit derivatives.
amount; Total
61 J Credit derivatives (protection Capped notional of credit protection purchased through
bought); Capped notional credit derivatives that feature the same reference name as
amount; same reference written credit derivatives and which are not excluded
name (non-exempted) according to LEV30.31.
61 K Credit derivatives (protection Capped notional of credit protection purchased through
bought); Capped notional credit derivatives that meet all criteria of LEV30.31–32 to
amount (meeting all criteria serve as offset for written credit derivatives and which are
of para 45 of the revised LR not excluded according to LEV30.31.
framework, non-exempted)
62 J Credit derivatives (protection Non-data entry cell. Calculates the difference between
sold less protection bought); written and purchased credit protection on the same
Capped notional amount underlying names, regardless of the other criteria of
(same reference name; non- LEV30.31.
exempted)
62 K Credit derivatives (protection Non-data entry cell. Calculates the difference between
sold less protection bought); written and purchased credit protection on the same
Capped notional amount underlying names, based upon all criteria of LEV30.31.
(meeting all criteria of para
45 of the revised LR
framework, non-exempted))
63 I, J, K Check: credit derivatives are Non-data entry row. Provide checks that the notional
consistently filled-in amounts of credit derivatives as described above are
consistently filled-in per reporting instructions.

5.4 Additional information (panel D)

Panel D requests additional data for regulatory adjustments. The following tables provide a description of
the data to be entered in each row.

Row Column Heading Description

1. Exclusions from total exposures that are only reflected in total exposure and not in the individual line items
94 H Amount excluded due to Amount excluded from total exposures due to Covid-19.
Covid-19 These amounts should not be reflected in panels A to C and
column H of panel E.
Exclusions should be reported as positive values.

Instructions for Basel III monitoring 23

 Row Column Heading Description
95 H Other amounts excluded Other amounts excluded from total exposures that are not
(that are not related to reflected in panels A to C and column H of panel E. Please do
Covid-19) not include in this line any exclusions due to Covid-19, as
well as any exclusions that are reflected in these panels
already.
Exclusions should be reported as positive values.
2. Regulatory adjustments related to the asset side
98 J Cash flow hedge reserve to Amount of cash flow hedge reserve to be deducted from (or
be deducted from (or added added to if negative) Common Equity Tier 1 according to
to if negative) Common CAP30.11–12 (2022 national implementation).
Equity Tier 1 capital related
to the asset side
98 K Cash flow hedge reserve to Amount of cash flow hedge reserve to be deducted from (or
be deducted from (or added added to if negative) Common Equity Tier 1 according to
to if negative) Common Basel III CAP30.11–12 (2022 Basel III pure).
Equity Tier 1 capital related
to the asset side
99 J Deductions for prudent Amount of deductions for prudent valuation associated with
valuation related to the asset CAP50.14, but related to the asset side only (2022 national
side implementation).
99 K Deductions for prudent Amount of deductions for prudent valuation associated with
valuation related to the asset CAP50.14, but related to the asset side only (2022 Basel III
side pure).

5.5 Memo: calculation of revised leverage ratio (panel E)

Panel E allows the banks to see the actual calculated leverage ratio based on the data as requested in the
below table per the 2017 framework. The following tables provide a description of the data to be entered
in each row. Data reporting is not mandatory for the Committee’s analyses but required in order to
calculate the leverage ratio within the reporting template. Data for all cells in column H are to be provided
per the 2014 version of the leverage ratio framework.

Row Column Heading Description

103 H Leverage ratio exposure Exposure measure after application of regulatory
measure post regulatory adjustments permitted per LEV30.6 (2019 version).
adjustments
104 H Derivatives counterparty Replacement cost of derivatives as determined per the LEV
credit risk exposure standard (2019 version).
105 H Derivatives, potential future Potential future exposure of derivatives as determined per
exposure (current exposure the LEV standard (2019 version).
method; apply regulatory
netting)

24 Instructions for Basel III monitoring

 Row Column Heading Description
106 H Credit derivatives (protection Capped notional amounts including the full treatment set
sold less protection bought), out in LEV30.14 (2019 version) (capping add-on at unpaid
capped notional amount premiums).
Where the effective notional amount of written credit
derivatives is included in the exposure measure and not
offset pursuant to LEV30.34 (2019 version), banks may
choose to set the individual potential future exposure
amounts relating to those written credit derivatives to zero.
Less: capped notional amounts of purchased credit
derivatives (ie where the bank is buys credit protection from
a counterparty)
107 H Other assets Non-entry row.
108 H Off-balance sheet items with Off-balance sheet items that would be assigned a 0% credit
a 0% CCF in the RSA, conversion factor as defined in the standardised approach to
notional amount credit risk in the Basel II framework. That is commitments
that are unconditionally cancellable at any time by the bank
without prior notice (UCC), or that effectively provide for
automatic cancellation due to deterioration in a borrower’s
creditworthiness (see CRE20.37 (2019 version) and the
footnote to this paragraph).
109 H Off-balance sheet items with Off-balance sheet items that would be assigned a 20% credit
a 20% CCF in the RSA, conversion factor as defined in the standardised approach to
notional amount credit risk (see CRE20.37 and CRE20.44 and the footnote to
CRE20.37, all 2019 version).
110 H Off-balance sheet items with Off-balance sheet items that would be assigned a 50% credit
a 50% CCF in the RSA, conversion factor as defined in the standardised approach to
notional amount credit risk (see CRE20.37 and CRE20.42–43).
This includes liquidity facilities and other commitments to
securitisations incorporating the changes according to the
Enhancements to the Basel II framework. That is the CCF for
all eligible liquidity facilities in the securitisation framework is
50% regardless of the maturity.
111 H Off-balance sheet items with Off-balance sheet items that would be assigned a 100%
a 100% CCF in the RSA, credit conversion factor as defined in the standardised
notional amount approach to credit risk (see CRE20.38-41, 2019 version).
This includes liquidity facilities and other commitments to
securitisations incorporating the changes according to the
Enhancements to the Basel II framework.
112 J Leverage ratio exposure Non-entry cell, 2017 framework calculated amount.
measure post regulatory
adjustments, 2017 framework
pre-exclusions
112 K Leverage ratio exposure
measure post regulatory
adjustments, Exclusions
112 L Leverage ratio exposure
measure post regulatory
adjustments, 2017 framework
post-exclusions
113 J Leverage ratio (approx), 2017 Non-entry row, 2017 framework calculated leverage ratio.
framework pre-exclusions
113 L Leverage ratio (approx), 2017
framework post-exclusions

Instructions for Basel III monitoring 25

5.6 Business model categorisation under the 2014 leverage ratio framework
(panel F)

Panel F provides additional data for the purposes of the categorisation of business models. The definitions
for the line items correspond as far as possible with those provided in the Basel II framework (cross
references as provided below).
The following table provides a description of the data to be entered in each row. All values are
to correspond to the amounts included in the January 2014 leverage ratio framework and should be
provided without application of any associated regulatory adjustments.

Row Column Heading Description

117 K Total exposures; of which: Non-data entry row. Rows 118, 122 and 149 provide a
breakdown of total exposures.
118 K Total trading book Non-data entry row. Items in rows 119 to 121 provide a
exposures; of which: breakdown of the Basel III leverage ratio exposure amount
for exposures that meet the definition in RBC25 and
MAR10.8 (all 2019 version).
119 K Derivatives Basel III leverage ratio exposure amount for derivatives that
belong to the trading book according to RBC25 and
MAR10.8 (all 2019 version).
120 K SFTs Basel III leverage ratio exposure amount for SFTs that belong
to the trading book according to RBC25 and MAR10.8 (all
2019 version).
121 K Other trading book Basel III leverage ratio exposure amount for instruments that
exposures belong to the trading book according to RBC25 and
MAR10.8 (all 2019 version) other than derivatives and SFT.
122 K Total banking book Non-data entry row. Items in rows 123 to 126 provide a
exposures; of which: breakdown of the Basel III leverage ratio exposure amount
for all exposures that do not meet the definition in RBC25
and MAR10.8 (all 2019 version).
123 K Derivatives Basel III leverage ratio exposure amount for derivatives.
124 K SFTs Basel III leverage ratio exposure amount for SFTs.
125 K Investments in covered Basel III leverage ratio exposure amount for covered bonds.
bonds
126 K Other banking book Non-data entry row. Items in rows 127, 134, 135, 140 and
exposures; of which: 146 provide a breakdown of the Basel III leverage exposure
amount of banking book exposures other than derivatives,
SFT and covered bonds.
127 K Sovereigns; of which: Non-data entry row. Basel III leverage ratio exposure amount
for exposures that meet the definition in CRE30.18 (2019
version), as well as Basel III leverage ratio exposures that
meet the definition of claims on domestic PSEs and of
exposures to MDBs in CRE30.19 (2019 version). Items in rows
128, 132 and 133 provide a breakdown of the sovereign
exposures.
128 K Public sector entities (PSEs); Basel III leverage ratio exposure amount for exposures to
of which: PSEs referred to in CRE30.18–19 (2019 version).
129 K PSE guaranteed by central Basel III leverage ratio exposure amount for PSE exposures
government guaranteed by central government (of which item, also to be
included in row 128).

26 Instructions for Basel III monitoring

 Row Column Heading Description
130 K PSEs not guaranteed by Basel III leverage ratio exposure amount for PSEs not
central government but guaranteed by central government but treated as a
treated as a sovereign under sovereign under CRE30.18 (2019 version) (of which item, also
CRE30.18 (2019 version) to be included in row 128).
131 K Check row Non-data entry row. It checks that the sum of the exposure
amounts in rows 129 and 130 is smaller than or equal the
amount of total PSE exposures in row 128.
132 K MDBs Basel III leverage ratio exposure amount for exposures to
MDBs referred to in CRE30.18–19 (2019 version).
133 K Other sovereign exposures Basel III leverage ratio exposure amount for sovereigns
exposures, excluding exposures to PSEs and MDBs.
134 K Banks Basel III leverage ratio exposure amount for exposures which
meet the definition in CRE30.19 (2019 version), excluding
exposures to PSEs and MDBs.
135 K Retail exposures; of which: Non-data entry row. Items in rows 136 to 139 provide a
breakdown of the Basel III leverage ratio exposure amount
for exposures that meet the definition in CRE30.20–24 (2019
version).
136 K Residential real estate Basel III leverage ratio exposure amount for exposures that
exposures meet the definition in CRE30.21(2) (2019 version).
137 K SME exposures Basel III leverage ratio exposure amount for exposures that
meet the definition in CRE30.21(3) (2019 version) and
CRE30.22 (2019 version).
138 K Qualifying revolving retail Basel III leverage ratio exposure amount for exposures that
exposures meet the definition in CRE30.24 (2019 version).
139 K Other retail exposures Basel III leverage ratio exposure amount for retail exposures
other than residential real estate, SME and qualifying
revolving retail exposures.
140 K Corporate ; of which: Non-data entry row. Items in rows 141 and 142 provide a
breakdown of Basel III leverage ratio exposure amount for
exposures that meet the definition in CRE30.7–17 (2019
version).
141 K Financial Basel III leverage ratio exposure amount for corporate
exposures that meet the definition in CRE31.8 (2019 version).
142 K Non-financial; of which: Non-data entry row. Items in rows 143 to 145 provide a
breakdown of non-financial exposures.
143 K SME exposures Basel III leverage ratio exposure amount for exposures that
meet the definition in CRE31.9 excluding exposures that
meet the definition in CRE30.21(3) and CRE30.22 (all 2019
version).
144 K Commercial real estate Basel III leverage ratio exposure amount for commercial real
estate exposures that meet the definition in CRE30.8–17
(2019 version).
145 K Other corporate non- Basel III leverage ratio exposure amount for non-financial
financial corporate exposures that meet the definition in CRE30.8–17
(2019 version), other than SME and commercial real estate
exposures.
146 K Other exposures (eg equity Basel III leverage ratio exposure amount for banking book
and other non-credit exposures other than sovereigns, banks, retail and corporate
obligation assets); of which: exposures.
147 K Securitisation exposures Basel III leverage ratio exposure amount for securitisation
exposures (of which item).

Instructions for Basel III monitoring 27

 Row Column Heading Description
148 K Check row Non-data entry row. It checks that the exposure amount for
securitisation exposures reported in row 147 is smaller than
or equal the amount of total other exposures reported in row
146.
149 K Exposure amounts resulting Basel III leverage ratio exposure amount for capped notional
from the additional amounts for credit derivatives (panel E).
treatment for credit
derivatives
151 K Memo item: Trade finance Basel III leverage ratio exposure amount for issued and
exposures confirmed import and export letters of credit that are short-
term and self-liquidating, and similar transactions. Trade
finance exposures should also be included in one of the rows
119 to 149.
152 K Memo item: Client clearing Basel III leverage ratio exposure amount for the client leg of
derivative exposures centrally cleared derivative exposures. These exposures
should also be included in one of the rows 119 to 149.
153 K Memo item: Client clearing Basel III leverage ratio exposure amount for the client leg of
SFT exposures centrally cleared SFT exposures. These exposures should also
be included in one of the rows 119 to 149.

5.7 Calculation of averaged leverage ratio exposures (panel G)

This worksheet should only be filled in for the reporting dates at the end of each year.
Panel G on the “Leverage ratio additional” worksheet requests additional data on the leverage ratio
exposure measure as measured over the course of the quarter that corresponds to the reporting date used
throughout the worksheet. The rows of this panel are associated with the total leverage ratio exposure
measure and primary components and sub-components as determined per the January 2014 Basel III
leverage ratio framework. Panel G.1 requests data based on monthly data, while panel G.2 asks for data
based on daily data. For G-SIBs, the green cells in panel G.2 are mandatory.

Rows Column Heading Description

5, 10 C–K SFTs – adjusted gross assets Amount of adjusted gross SFT assets as per LEV30.37(1)
(2019 version).
6, 11 C–K Derivatives replacement cost Amount of the replacement cost for all derivative exposures
as per LEV30.9–32 (2019 version).
7, 12 C–K Central bank reserves Amount of central bank reserves included in the measure of
included on-balance sheet on-balance sheet exposure as per LEV30.5–7 (2019 version).
5–7, C Average Average amount of exposure over the reporting quarter.
10–12
5–7, D Median Median amount of exposure over the reporting quarter.
10–12
5–7, E Max Maximum amount of exposure over the reporting quarter.
10–12
5–7, F Min Minimum amount of exposure over the reporting quarter.
10–12

28 Instructions for Basel III monitoring

 Rows Column Heading Description
5–7 G Quarter-end Quarter-end amount of exposure under the same definition
as used for columns C–F.
If the bank uses estimation for columns C–F (eg without
regulatory netting and only including major subsidiaries),
then report the quarter-end amount corresponding to the
same definitions as used for columns C–F.
Alternatively, if the bank does not use any estimation for
columns D–G, then report the quarter-end amount of
exposure as calculated under the LEV standard (2019
version).
5–7, H Standard deviation Standard deviation of the exposure over the reporting
10–12 quarter.
5–7, I Does the bank use Select response from drop down menu. If “yes” is selected,
10–12 estimations to calculate the please provide detail on the estimation process in a
exposure of the LR supplementary explanatory document.
component? [Y/N]
5–7 J Would the production of Indicate whether the bank would be able within the next
daily average values for these 12 months to produce the mean value for the exposure type
exposure items be as calculated as of each day of the reporting quarter. Select
operationally feasible within response from drop down menu. If “no” is selected, please
the next 12 months? [Y/N] provide an explanation in column K.
5–7, O Specify the key challenges Free text entry. Specify key challenges or impediments the
10–12 and any impediments to the bank would face to operationalise regular reporting of
implementation of an average values of the exposure measure/exposure
averaging methodology component. In the event the bank has already implemented
regular reporting of average values of the exposure
measure/exposure component and did not face any
associated challenges or impediments, please input “no
challenges”.

6. The Net Stable Funding Ratio

Please refer to guidance from the national supervisor as to whether it is necessary to fill in this
worksheet.

6.1 Introduction

This chapter of the Instructions regards the NSFR as specified in Basel III: The Net Stable Funding Ratio,
published by the Committee in October 2014. This document is referred to in the remainder of this chapter
as the “Basel III NSFR standards”. Purpose of this exercise is to collect information that enables the
Committee to monitor banks’ migration towards compliance with the NSFR as specified in the Basel III
NSFR standards.
All specifications and criteria specified in the Basel III Liquidity Coverage Ratio (LCR) standards
and the Basel III NSFR standards apply. The instructions indicate which paragraph of these documents the
data requested refer to. If the instruction contradicts these documents, the standards overrule the
instructions. Where the instructions provide further specification on the requested data beyond the
standards, however, these instructions should be followed.
The worksheet should be filled in on a consolidated basis following the existing scope of
application set out in SCO10 (NSF10.4). Consistent with all other worksheets, data for the “NSFR”

Instructions for Basel III monitoring 29

worksheet should be reported in the most convenient currency. The currency that has been used should
be recorded in the “General Info” worksheet (see Section 2.2).
The NSFR has been developed to ensure a stable funding profile in relation to the characteristics
of the composition of an institution’s assets and off-balance sheet activities. A sustainable funding
structure is intended to reduce the likelihood that disruptions to a bank’s regular sources of funding will
erode its liquidity position in a way that would increase the risk of its failure and potentially lead to broader
systemic stress. This metric establishes a minimum level of stable funding based on the liquidity
characteristics of an institution’s on- and off-balance sheet items over a one-year horizon.
The NSFR is defined as the ratio of the amount of available stable funding to the amount of
required stable funding. Available stable funding is defined as the portion of capital and liabilities expected
to be reliable over the time horizon considered by the NSFR, which extends to one year. The amount of
such funding required of a specific institution is a function of the liquidity characteristics and residual
maturities of the various assets held by that institution as well as those of its off-balance sheet exposures.
All references to LCR definitions in the NSFR refer to the definitions in the LCR standard of the
Basel Framework. Supervisors who have chosen to implement a more stringent definition in their domestic
LCR rules than those set out in the Basel Committee’s LCR standard have discretion over whether to apply
this stricter definition for the purposes of implementing the NSFR requirements in their jurisdiction.
The template asks banks to allocate their liabilities and capital as reported on their balance sheet
to the specific Available Stable Funding (ASF) categories outlined below. Banks should allocate the assets
reported on their balance sheet to specific Required Stable Funding (RSF) categories according to:
(i) their remaining maturity;
(ii) whether they are unencumbered or encumbered; and,
(iii) if they are encumbered, the duration of the encumbrance.

6.1.1 Treatment of securities financing transactions

Use of balance sheet and accounting treatments should generally result in banks excluding, from their
assets, securities which they have borrowed in securities financing transactions (such as reverse repos and
collateral swaps) where they do not have beneficial ownership. In contrast, banks should include securities
they have lent in securities financing transactions (such as repos or collateral swaps) where they retain
beneficial ownership.
Banks should also exclude any securities they have received through collateral swaps if these
securities do not appear on their balance sheets.
Where banks have encumbered securities in repos or other securities financing transactions, but
have retained beneficial ownership and those assets remain on the bank’s balance sheet, the bank should
allocate such securities to the appropriate RSF category.
Securities financing transactions with a single counterparty may be measured net when
calculating the NSFR, provided that the netting conditions set out in LEV30.37(1) are met. Amounts
receivables and payable under these securities financing transactions should generally be reported on a
gross basis, meaning that the gross amount of such receivables and payables should be reported on the
RSF side and ASF side, respectively. The only exception, as per NSF30.22, is that “securities financing
transactions with a single counterparty may be measured on a net basis when calculating the NSFR,
provided that the netting conditions for securities financing transactions set out in LEV30 are met”.

6.1.2 Treatment of encumbrance

In accordance with the principle that a bank cannot derive liquidity benefit from assets that they have
encumbered, banks are required to identify whether specific assets have been encumbered and for what
duration. For each category of assets, banks should report in separate lines the balances of encumbered

30 Instructions for Basel III monitoring

and unencumbered assets in the appropriate column, depending on the residual maturity of the asset.
Assets encumbered for exceptional central bank liquidity operations 14 where national supervisors and
13F

central banks have agreed to a reduced RSF factor (not lower than the RSF factor applied to the equivalent
asset that is unencumbered) should report such values separately as described below.
Further details of how encumbrance is to be reported are included at the start of
Section 6.3.

6.1.3 Treatment of derivatives payables and derivatives receivables

A bank will usually have both derivatives liabilities (ie payables) and derivative assets (ie receivables) on its
balance sheet. Derivative liabilities are calculated first based on the replacement cost for derivative
contracts (obtained by marking to market) where the contract has a negative value. When an eligible
bilateral netting contract is in place that meets the conditions as specified in LEV30.20–21, the replacement
cost for the set of derivative exposures covered by the contract will be the net replacement cost. In
calculating NSFR derivative liabilities, collateral posted in the form of variation margin in connection with
derivatives contracts, regardless of the asset type, must be deducted from the negative replacement cost
amount. 15, 16
14F 15F

Derivative assets are calculated first based on the replacement cost for derivative contracts
(obtained by marking to market) where the contract has a positive value. When an eligible bilateral netting
contract is in place that meets the conditions as specified in LEV30.20–21, the replacement cost for the set
of derivative exposures covered by the contract will be the net replacement cost.
In calculating NSFR derivatives assets, collateral received in connection with derivatives contracts
may not offset the positive replacement cost amount, regardless of whether or not netting is permitted
under the bank’s operative accounting or risk-based framework, unless it is received in the form of cash
variation margin and meets the conditions as specified in LEV30.28 or further specified in the related FAQs.
Any remaining balance sheet liability associated with (a) variation margin received that does not meet the
criteria above or (b) initial margin received may not offset derivative assets and should be assigned a 0%
ASF factor.
Some central bank operations may involve the use of derivative transactions such as foreign
exchange swaps. A limited national discretion allows derivative transactions with central banks arising from
the latter’s short-term monetary policy and liquidity operations to be excluded from the reporting bank’s
NSFR computation and to offset unrealised capital gains and losses related to these derivative transactions
from ASF. These transactions include foreign exchange derivatives such as foreign exchange swaps and
should have a maturity of less than six months at inception. As such, the bank’s NSFR would not change
due to entering a short-term derivative transaction with its central bank for the purpose of short-term
monetary policy and liquidity operations.

6.2 Available stable funding (panel A)

The available amount of stable funding is calculated by first assigning the carrying value of an institution’s
capital and liabilities to the categories below, which are also listed in NSF99.1. Carrying value represents

14
In general, exceptional central bank liquidity operations are considered non-standard, temporary operations conducted by the
central bank in order to achieve its mandate in a period of market-wide financial stress and/or exceptional macroeconomic
challenges.
15
NSFR derivative liabilities = (derivative liabilities) – (total collateral posted as variation margin on derivative liabilities)
16
To the extent the bank’s accounting framework reflects on balance sheet, in connection with a derivatives contract, an asset
associated with collateral posted as variation margin that is deducted from the replacement cost amount for purposes of the
NSFR, that asset should not be included in the calculation of a bank’s RSF to avoid any double counting.

Instructions for Basel III monitoring 31

the amount at which a liability or equity instrument is recorded before the application of any regulatory
deductions, filters or other adjustments and is the amount prior to the application of any ASF factors.
Some amendments have been made to the definitions in the Basel III NSFR standards to take into
account the collection of data in maturity buckets.
• Institutions should report all capital and liabilities to the appropriate columns based on maturity.
• When determining the maturity of an instrument, investors are assumed to redeem a call option
at the earliest possible date. For funding with options exercisable at the bank’s discretion
supervisors should take into account reputational factors that may limit a bank’s ability not to
exercise the option. 17 In particular, where the market expects certain liabilities to be redeemed
16F

before their legal final maturity date, banks and supervisors should assume such behaviour for
the purpose of the NSFR and include these liabilities in the corresponding ASF category. For long-
dated liabilities, only the portion of cash flows falling at or beyond the six-month and one-year
time horizons should be treated as having an effective residual maturity of six months or more
and one year or more, respectively. In line with the treatment for the LCR, but with a different
relevant horizon, deposits maturing below one year, or which can be withdrawn early without a
significant penalty that are classified as retail term deposits in the LCR should, for purposes of
the NSFR, be classified according to their characteristics (eg insured, held in transactional account
etc) as stable or less stable. Retail term deposits maturing over one year and which cannot be
withdrawn early without significant penalty are subject to a 100% ASF.
• For retail and small business customers the same methodology for determining maturity should
be followed in the NSFR as in the LCR.
• Deposits with a fixed term should be allocated to the appropriate maturity bucket; non-maturity
(demand) deposits should be reported in the column for less than six months.

Row Heading Description Basel III

Framework NSF
7 Tier 1 and 2 capital (Basel III Total amount of regulatory capital, before the application 30.10(1)
2022), before the application of capital deductions, as defined in CAP10.1, excluding the
of capital deductions and proportion of Tier 2 instruments with residual maturity of
excluding the proportion of less than one year.
Tier 2 instruments with Standards governing Tier 1 and Tier 2 capital are described
residual maturity of less than in the CAP10.
one year
9 Capital instruments not Total amount of any capital instrument not included in 30.10(2)
included above with an row 7 that has an effective residual maturity of one year or
effective residual maturity of more but excluding any instruments with explicit or
one year or more embedded options that, if exercised, would reduce the
expected maturity to less than one year.

17
This could reflect a case where a bank may imply that it would be subject to funding risk if it did not exercise an option on its
own funding.

32 Instructions for Basel III monitoring

 Row Heading Description Basel III
Framework NSF
Funding from retail and small business customers
11 Unsecured “Stable” (as “Stable” non-maturity (demand) deposits and/or term 30.10(3), 30.11
defined in the LCR) demand deposits (as defined in the LCR40.7–12) provided by retail
and/or term deposits customers and small business customers.
Term deposits, regardless of the residual contractual
maturity, which may be withdrawn early without entailing a
withdrawal penalty significantly greater than the loss of
interest should be reported in the <6 months column.
In line with the treatment for the LCR, but with a different
relevant horizon, deposits maturing below one year, or
which can be withdrawn early without a significant penalty
that are classified as retail term deposits in the LCR should,
for purposes of the NSFR, be classified according to their
characteristics (eg insured, held in transactional account
etc) as stable or less stable. Retail term deposits maturing
over one year and which cannot be withdrawn early without
significant penalty are subject to a 100% ASF.
12 Unsecured “Less stable” (as “Less stable” (as defined in the LCR40.13–15) non-maturity 30.10(3), 30.12
defined in the LCR) demand (demand) deposits and/or term deposits provided by retail
and/or term deposits and small business customers.
Term deposits, regardless of the residual contractual
maturity, which may be withdrawn early without entailing a
withdrawal penalty significantly greater than the loss of
interest should be reported in the <6 months column.
In line with the treatment for the LCR, but with a different
relevant horizon, deposits maturing below one year, or
which can be withdrawn early without a significant penalty
that are classified as retail term deposits in the LCR should,
for purposes of the NSFR, be classified according to their
characteristics (eg insured, held in transactional account
etc) as stable or less stable. Retail term deposits maturing
over one year and which cannot be withdrawn early without
significant penalty are subject to a 100% ASF.
13 Secured borrowings and Secured borrowings and liabilities (including secured term
liabilities (including secured deposits) provided by retail and small business customers.
term deposits)
Funding from non-financial corporates
16 Unsecured funding Unsecured funding, non-maturity deposits and/or term 30.10(3),
deposits provided by non-financial corporates (excluding 30.13(1)
small business customers).
17 Secured borrowings and Secured borrowings and liabilities (including secured term
liabilities (including secured deposits) provided by non-financial corporates (excluding
term deposits) small business customers).
Funding from central banks
20 Unsecured funding Unsecured funding, non-maturity deposits and/or term 30.10(3),
deposits provided by central banks. 30.13(2),
30.13(4),
30.14(1)
23 Secured borrowings and Secured borrowings and liabilities (including secured term
liabilities (including secured deposits) provided by central banks.
term deposits)

Instructions for Basel III monitoring 33

 Row Heading Description Basel III
Framework NSF
Funding from sovereigns/PSEs/MDBs/NDBs
26 Unsecured funding Unsecured funding, non-maturity deposits and/or term 30.10(3),
deposits provided by sovereigns, public sector entities 30.13(3)
(PSEs), multilateral development banks (MDBs) and national
development banks (NDBs).
Banks should include in this line unsecured funding
received from the Bank for International Settlements, the
International Monetary Fund and the European
Commission.
Banks should refer to guidance from their supervisors to
determine if any NDBs in their jurisdictions or abroad can
qualify for the treatment under NSF30.13. These entities
would likely include banks that provide financing for
development projects. Contrary to multilateral
development banks, whose membership and operation
involve several countries, national development banks
typically belong to or are controlled by the state in which
they are incorporated.
27 Secured borrowings and Secured borrowings and liabilities (including secured term
liabilities (including secured deposits) provided by sovereigns, public sector entities
term deposits) (PSEs), multilateral development banks (MDBs) and national
development banks (NDBs).
Funding from other legal entities (including financial corporates and financial institutions other than banks that are
members of the same cooperative network of banks)
30 Unsecured funding Total amount of unsecured borrowings and liabilities 30.10(3),
(including term deposits) not reported in rows 13 to 28, 30.13(2),
comprising funding from other legal entities (including 30.13(4),
financial corporates and financial institutions (other than 30.14(1)
banks that are members of the same cooperative network
of banks).
Consistent with LCR40.64 (4) and (5) and NSF10.2, banks,
securities firms, insurance companies, fiduciaries (defined in
this context as a legal entity that is authorised to manage
assets on behalf of a third party, including asset
management entities such as pension funds and other
collective investment vehicles), and beneficiaries (defined in
this context as a legal entity that receives, or may become
eligible to receive, benefits under a will, insurance policy,
retirement plan, annuity, trust, or other contract) are
considered as financial institutions for the application of the
NSFR standard.
33 Secured borrowings and Secured borrowings and liabilities (including secured term
liabilities (including secured deposits) provided by other legal entities.
term deposits)

34 Instructions for Basel III monitoring

 Row Heading Description Basel III
Framework NSF
Other available stable funding
35 Deposits from members of In accordance with footnote 7 of NSF30.14, this section 30.14FN7,
the same cooperative network should only be used to report deposits that exist between 30.10(3)
of banks subject to national banks within the same cooperative network, provided they
discretion are either (a) required by law in some jurisdictions to be
placed at the central organisation and are legally
constrained within the cooperative bank network as
minimum deposit requirements, or (b) in the context of
common task sharing and legal, statutory or contractual
arrangements, so long as the bank that has received the
monies and the bank that has deposited participate in the
same institutional network’s mutual protection scheme
against illiquidity and insolvency of its members.
Any deposits that are operational deposits according to
LCR40.23–36 or other deposits from members of their
institutional networks of cooperative networks would be
reported in row 36.
36 Other deposits from members Any deposits from banks that are members of the same
of a cooperative network of cooperative network of banks that are operational deposits
banks according to LCR40.23–36 or other deposits from members
of their cooperative networks that are not included in
row 35.
37 NSFR net derivative liabilities In calculating net NSFR derivative liabilities, derivative 30.8, 30.9,
assets and collateral posted in the form of variation margin 30.9FN2
in connection with derivatives contracts, regardless of the
asset type, is deducted from the negative replacement cost
amount or the negative net replacement cost where
applicable. 18 Zero must be reported if the result of the
17F

calculation is negative.
38 Total initial margin received All cash, securities or other assets received as initial margin
for all derivative contracts (eg, including any independent
amount received in relation to OTC contracts).
40 Deferred tax liabilities (DTLs) Amount of deferred tax liabilities, reported according to the 30.14(2)
nearest possible date in which such liabilities could be
realised.
41 Minority interest Amount of minority interest, reported according to the 30.14(2)
term of the instrument, usually in perpetuity.
42 Trade date payables Amount of payables arising from purchases of financial 30.14(4)
instruments, foreign currencies and commodities that (i) are
expected to settle within the standard settlement cycle or
period that is customary for the relevant exchange or type
of transaction, or (ii) have failed to, but are still expected to,
settle.

18
NSFR derivative liabilities = (derivative liabilities) – (total collateral posted as variation margin on derivative liabilities).

Instructions for Basel III monitoring 35

 Row Heading Description Basel III
Framework NSF
43 Interdependent liabilities National supervisors have discretion in limited 30.35
circumstances to determine interdependent assets and
liabilities in accordance with NSF30.35–37.
Report here liability items which, on the basis of contractual
arrangements, are interdependent on corresponding assets
report in row 283 below such that: the liability cannot fall
due while the asset remains on the balance sheet, the
principal payment flows from the asset cannot be used for
something other than repaying the liability, and the liability
cannot be used to fund other assets. For interdependent
items, supervisors may adjust RSF and ASF factors so that
they are both 0%, subject to the following criteria:
• The individual interdependent asset and liability items
must be clearly identifiable.
• The maturity and principal amount of both the liability
and its interdependent asset should be the same.
• The bank is acting solely as a pass-through unit to
channel the funding received (the interdependent
liability) into the corresponding interdependent asset.
• The counterparties for each pair of interdependent
liabilities and assets should not be the same.
Consistent with NSF30.35 FAQ1, interdependent assets and
liabilities are not intended to be applied to derivative
transactions, since it is rarely the case that derivatives would
meet all conditions in NSF30.35–37.
44 All other liability and equity All other liabilities of the institution (not otherwise reported 30.10(3),
categories not included above in above categories) should be accounted for in this row at 30.13(4),
their carrying value. The value of short positions and open 30.14(1),
maturity positions should be reported in the < 6 month 30.14(2)
column.
Note: deductions from capital should not be included in the
amount reported in this line item and should instead be
reported according to the instructions in row 281 below.

6.3 Required stable funding (panel B)

The amount of required stable funding (RSF) is measured using assumptions on the broad characteristics
of the liquidity risk profile of an institution’s assets and off-balance sheet exposures. The amount of
required stable funding is calculated by first assigning the carrying value of an institution’s assets to the
categories below, which are also listed in NSF99.2 Table 2. The amount assigned to each category is then
multiplied by an RSF factor and the total RSF is the sum of the weighted amounts added to the amount
of off-balance sheet activity (or potential liquidity exposure) multiplied by its associated RSF factor.
The RSF factor applied to the reported values of each asset or off-balance sheet exposure is
intended to approximate the amount of a particular asset that would have to be funded, either because it
will be rolled over or because it could not be monetised through sale or used as collateral in a secured
borrowing transaction over the course of one year without significant expense. Under the standard, such
amounts are expected to be supported by stable funding.
In completing this section of the template banks should allocate the assets recorded on their
balance sheet to the appropriate RSF category. For purposes of determining its required stable funding,
an institution should (i) include financial instruments, foreign currencies and commodities for which a
purchase order has been executed, and (ii) exclude financial instruments, foreign currencies and

36 Instructions for Basel III monitoring

commodities for which a sales order has been executed, even if such transactions have not been reflected
in the balance sheet under a settlement-date accounting model, provided that (i) such transactions are
not reflected as derivatives or secured financing transactions in the institution’s balance sheet, and (ii) the
effects of such transactions will be reflected in the institution’s balance sheet when settled.
Assets that are owned by banks but segregated to satisfy statutory requirements for the
protection of customer equity in margined trading accounts, should be reported (consistent with NSF99.5)
in accordance with the underlying exposure, whether or not the segregation requirement is separately
classified on a bank’s balance sheet. However, those assets should also be treated according to NSF30.20.
That is, they could be subject to a higher RSF depending on (the term of) encumbrance. The (term of)
encumbrance should be determined by authorities, taking into account whether the institution can freely
dispose or exchange such assets and the term of the liability to the bank’s customer(s) that generates the
segregation requirement.

Treatment of encumbrance
Where indicated, banks should report assets according to:
(i) whether they are encumbered or unencumbered; and,
(ii) if they are encumbered, according to the period of encumbrance.
(iii) In determining encumbrance where it is not tied to specific assets, eg the encumbrance is
allocated against a pool of assets that includes different RSF categories, the bank should assume
that the highest RSF factor assets are encumbered first.
Where a bank has rehypothecated assets in which it has both positions it owns outright and
borrowed positions, a bank should assume it has encumbered the borrowed securities first, unless it has
an internal process for making this allocation, or it has applied a different methodology for determining
the encumbrance of positions in the LCR. For example, if for the LCR the bank assumes positions held
outright are encumbered before borrowed positions in order to recognise inflows from maturing
borrowed positions, then the bank must use an equivalent approach for these transactions in the NSFR.
For their encumbered assets, banks should first report their value in the appropriate column according to
residual maturity at the carrying value on the balance sheet, and not the value assigned to it for the
purposes of the encumbrance transaction. If the bank is required to over-collateralise transactions, for
example due to the application of haircuts, or to achieve a desired credit-rating on a funding instrument,
then these excess assets should be reported as encumbered.
The bank should then report that same value according to the remaining period of
encumbrance in the same column of the appropriate row beneath. Banks should consider whether specific
assets have a remaining term of encumbrance period (or residual encumbrance period) that is longer than
the maturity of the asset, eg where in practice there is a requirement to encumber additional assets at the
contracted maturity date of the currently encumbered asset. For example, if debt is secured on loans of a
shorter maturity and the bank will be required to pledge additional collateral to maintain appropriate
collateralisation levels, as may be the case with mortgage-backed securities.
Consistent with FAQ2 to NSF30.20, to the extent that the bank’s accounting framework reflects
on balance sheet, in connection with a derivative contract, an asset associated with collateral posted as
initial margin for purposes of the NSFR, that asset should not be counted as an encumbered asset in the
calculation of a bank’s RSF to avoid any double-counting.
Collateral should be considered encumbered for the term of the repo or secured transaction,
even if the actual maturity of the collateral is shorter than that of the repo or secured transaction. This
follows because the collateral would have to be replaced once it matures. Thus, collateral with a remaining
maturity of less than one year that is pledged under a transaction maturing beyond one year should be
subject to a RSF factor of 100%.

Instructions for Basel III monitoring 37

 Where loans are only partially secured and are therefore separated into secured and unsecured
portions, the specific characteristics of these portions of loans should be taken into account for the
calculation of the NSFR: the secured and unsecured portions of a loan should each be treated according
to its characteristics and assigned the corresponding RSF factor. If it is not possible to draw the distinction
between the secured and unsecured part of the loan, the higher RSF factor should apply to the whole loan.
For example, if a bank had a non-financial corporate loan that had a value of 50 with a residual
maturity of 10 months, 25 of which were encumbered for a remaining period of two months, and 25 of
which were encumbered for a remaining period of for seven months, it would complete the template as
follows:

Amount
≥ 6 months to
< 6 months < 1 year ≥1 year
Loans to non-financial corporate clients with residual
maturities less than one year
Unencumbered
Remaining period of encumbrance < 6 months 25
Remaining period of encumbrance ≥ 6 months to < 1
25
year
Remaining period of encumbrance ≥ 1 year
Encumbered for exceptional CB liquidity operations, ≥ 6
months to < 1 year
Encumbered for exceptional CB liquidity operations, ≥ 1
year

Assets encumbered for exceptional central bank liquidity operations 19 where national supervisors
18F

and central banks have agreed to a reduced RSF factor (not lower than the RSF factor applied to the
equivalent asset that is unencumbered) should report such values separately in the last two rows of each
section. In accordance with NSF30.20 and its FN12, these rows should only include those balances
where the supervisor and central bank have agreed to a reduced RSF factor. All other banks should
leave these rows blank. Values reported in these rows should not be included in any other rows to avoid
double counting.

19
In general, exceptional central bank liquidity operations are considered non-standard, temporary operations conducted by the
central bank in order to achieve its mandate in a period of market-wide financial stress and/or exceptional macroeconomic
challenges.

38 Instructions for Basel III monitoring

 Row Heading Description Basel
Framework
NSF
B. Required stable funding
The required amount of stable funding is calculated by first assigning the carrying value of an institution’s assets to the
categories below, which are also listed in NSF99.2. The amount assigned to each category is to be multiplied by an RSF
factor and the total RSF is the sum of the weighted amounts. The carrying value of an asset item should generally be
recorded by following its accounting value, ie net of specific provisions, in line with CRE20.1 and LEV30.1 and disclosure
requirements.
Of note, definitions in the NSFR mirror those in the LCR, unless otherwise specified. In addition, for purposes of calculating
the NSFR, HQLA is defined as all HQLA (defined in LCR30 and LCR31) without regard to LCR operational requirements
(defined in LCR30.13–28) and LCR caps on Level 2 and Level 2B assets that may limit the ability of some HQLA to be
included as eligible HQLA in the calculation of the LCR.
Assets that are deducted from capital should be reported in the relevant asset categories below.
Treatment of maturity
• Institutions should allocate all assets to the appropriate columns based on their residual maturity or liquidity value.
• When determining the maturity of an instrument, investors are assumed to exercise any option to extend maturity.
• For assets with options exercisable at the bank’s discretion, supervisors should take into account reputational factors
that may limit a bank’s ability not to exercise the option. 20 In particular, where the market expects certain assets to
19F

be extended in their maturity, banks and supervisors should assume such behaviour for the purpose of the NSFR
and include these assets in the corresponding RSF category.
• If there is a contractual provision with a review date to determine whether a given facility or loan is renewed or not,
supervisors may authorise, on a case by case basis, banks to use the next review date as the maturity date. In doing
so, supervisors must consider the incentives created and the actual likelihood that such facilities/loans will not be
renewed. In particular, options by a bank not to renew a given facility should generally be assumed not to be
exercised when there may be reputational concerns.
• For amortising loans, the portion that comes due within the one-year horizon can be treated in the less than one
year residual maturity categories. Note that the portion of any loan or claim that comes due in a given time bucket
has to be assigned to the corresponding maturity and is subject to the corresponding RSF factor.
B.1 On-balance sheet items
54 Coins and banknotes Coins and banknotes currently held and immediately available to 30.25(1)
meet obligations.
Banks should not report loans to counterparties in this row.
55 Total central bank reserves; Total amount held in central bank reserves (including required 30.25(2)
of which: and excess reserves) including banks’ overnight deposits with the
central bank and term deposits with the central bank.
56 Required central bank Total amount held in central bank reserves related to minimum See
reserves deposit requirements. Supervisors may agree with the relevant 30.25FN14
central bank on the RSF factor to be assigned to required reserves,
based in particular on consideration of whether or not the reserve
requirement must be satisfied at all times and thus the extent to
which reserve requirements in that jurisdiction exist on a longer-
term horizon and therefore require associated stable funding.
Please refer to the instructions from your supervisor for the
specification of this item.

20
This could reflect a case where a bank may imply that it would be subject to funding risk if it did not exercise an option to
extend the maturity of its own assets.

Instructions for Basel III monitoring 39

 Row Heading Description Basel
Framework
NSF
Securities held where the institution has an offsetting reverse repurchase transaction when the security on each
transaction has the same unique identifier (eg ISIN number or CUSIP) and such securities are reported on the balance
sheet of the reporting institutions
This category is only applicable for jurisdictions where accounting standards would require both the reverse repo
transaction and the collateral to be reported on-balance sheet. Where this is the case, banks should report in this category,
any securities reported on their balance sheet that are borrowed in reverse repurchase transactions.
Reverse repo transactions that appear on their balance sheets as secured cash loans and deposits placed should not be
reported in this category, rather should be reported with loans to financial institutions.
Securities in default should not be reported in this category.
60 Unencumbered All such unencumbered assets in the appropriate column
according to their residual maturity.
61 Remaining period of All such assets that have been encumbered should in addition be
encumbrance < 6 months allocated to a cell in one of the five rows according to the
remaining period of encumbrance and, in jurisdictions where
62 Remaining period of
this is relevant, depending on whether assets are encumbered for
encumbrance ≥ 6 months
exceptional central bank liquidity operations.
to < 1 year
Attention is drawn to the worked example at the start of this
63 Remaining period of
section.
encumbrance ≥ 1 year
64 Encumbered for
exceptional CB liquidity
operations, ≥ 6 months to
< 1 year
65 Encumbered for
exceptional CB liquidity
operations, ≥ 1 year
Deposits held at other banks which are members of the same cooperative network of banks and which are subject to
national discretion according to NSF30.FN7
68 Deposits held at other In accordance with footnote 7 of NSF30.14, this section should 30.14FN7,
banks which are members only be used to report deposits that exist between banks within 30.32(3)
of the same cooperative the same cooperative network, provided they are received in the
network of banks and context of common task sharing and legal, statutory or
which are subject to contractual arrangements, and so long as the bank that has
national discretion received the monies and the bank that has deposited participate
according to NSF30.14FN7 in the same institutional network’s mutual protection scheme
against illiquidity and insolvency of its members. Such deposits
can be assigned an ASF up to the RSF factor assigned by
regulation for the same deposits to the depositing bank, not to
exceed 85%.
Deposits reported in this category should not be reported in any
other RSF category.
This category does not apply to banks in jurisdictions where
deposits are required by law to be placed at the central
organisation and are legally constrained within the cooperative
bank network as minimum deposit requirements.
Other deposits at other banks which are members of the same cooperative network of banks
This section should only be used to report other deposits that exist between banks within the same cooperative network,
provided they are received in the context of common task sharing and legal, statutory or contractual arrangements that
are not included above.
70 Unencumbered All such unencumbered assets in the appropriate column
according to their residual maturity.

40 Instructions for Basel III monitoring

 Row Heading Description Basel
Framework
NSF
71 Remaining period of All such asses that have been encumbered should in addition be
encumbrance < 6 months allocated to a cell in one of the three rows according to the
remaining period of encumbrance.
72 Remaining period of
encumbrance ≥ 6 months Attention is drawn to the worked example at the start of this
to < 1 year section.

73 Remaining period of
encumbrance ≥ 1 year
Loans to financial institutions secured by Level 1 collateral and where the bank has the ability to freely rehypothecate
the received collateral for the life of the loan
All loans to financial institutions where the loan is secured against Level 1 assets, as defined in LCR30.41, and where the
bank has the ability to freely rehypothecate the received collateral for the life of the loan.
Report loans to financial institutions secured by Level 1 assets where the bank does not have the ability to freely
rehypothecate the received collateral for the life of the loan in rows 79ff below.
Non-performing loans should not be included in this category; rather these should be reported in row 277.
78 Unencumbered All such unencumbered assets in the appropriate column
according to their residual maturity.
79 Remaining period of All such assets that have been encumbered should in addition be
encumbrance < 6 months allocated to a cell in one of the five rows according to the
remaining period of encumbrance and, in jurisdictions where
80 Remaining period of
this is relevant, depending on whether assets are encumbered for
encumbrance ≥ 6 months
exceptional central bank liquidity operations.
to < 1 year
Attention is drawn to the worked example at the start of this
81 Remaining period of
section.
encumbrance ≥ 1 year
82 Encumbered for
exceptional CB liquidity
operations, ≥ 6 months to
< 1 year
83 Encumbered for
exceptional CB liquidity
operations, ≥ 1 year
All other secured loans to financial institutions
All other secured loans to financial institutions, including both loans secured against collateral other than Level 1 assets
and loans secured by Level 1 assets where the bank does not have the ability to freely rehypothecate the received
collateral for the life of the loan.
Non-performing loans should not be included in this category; rather these should be reported in row 277.
87 Unencumbered All such unencumbered assets in the appropriate column
according to their residual maturity.
This includes both unencumbered loans secured against collateral
other than Level 1 assets and unencumbered loans secured by
Level 1 assets where the bank does not have the ability to freely
rehypothecate the received collateral for the life of the loan.
88 Remaining period of All such assets that have been encumbered should in addition be
encumbrance < 6 months allocated to a cell in one of the five rows according to the
remaining period of encumbrance and, in jurisdictions where
89 Remaining period of
this is relevant, depending on whether assets are encumbered for
encumbrance ≥ 6 months
exceptional central bank liquidity operations.
to < 1 year
Attention is drawn to the worked example at the start of this
90 Remaining period of section.
encumbrance ≥ 1 year

Instructions for Basel III monitoring 41

 Row Heading Description Basel
Framework
NSF
91 Encumbered for
exceptional CB liquidity
operations, ≥ 6 months to
< 1 year
92 Encumbered for
exceptional CB liquidity
operations, ≥ 1 year
Unsecured loans to financial institutions
All loans to financial institutions that are unsecured.
Non-performing loans should not be included in this category; rather these should be reported in row 277.
96 Unencumbered All such unencumbered assets in the appropriate column
according to their residual maturity.
97 Remaining period of All such assets that have been encumbered should in addition be
encumbrance < 6 months allocated to a cell in one of the five rows according to the
remaining period of encumbrance and, in jurisdictions where
98 Remaining period of
this is relevant, depending on whether assets are encumbered for
encumbrance ≥ 6 months
exceptional central bank liquidity operations.
to < 1 year
Attention is drawn to the worked example at the start of this
99 Remaining period of section.
encumbrance ≥ 1 year
100 Encumbered for
exceptional CB liquidity
operations, ≥ 6 months to
< 1 year
101 Encumbered for
exceptional CB liquidity
operations, ≥ 1 year
Securities eligible as Level 1 HQLA for the LCR
Securities that, if unencumbered, would qualify as Level 1 liquid assets according to LCR30.41. Consistent with NSF30.26
FAQ1, sovereign bonds issued in foreign currencies that are excluded from HQLA according to LCR 30.41(5) (applying to
those sovereign or central bank debt securities issued in foreign currencies which are not computable given that their
amount exceeds the bank’s stressed net cash outflows in that currency and country) can be treated as Level 1 for the
NSFR.
Securities that would otherwise qualify according to that paragraph, but are excluded for operational or other reasons,
are reported in this category. Coins and banknotes, and central bank reserves should be reported in lines 84, 85 and 86
respectively and not in this category.
Securities in default should not be included in this category; rather these should be reported in row 277.
115 Unencumbered All such unencumbered assets in the appropriate column
according to their residual maturity.

42 Instructions for Basel III monitoring

 Row Heading Description Basel
Framework
NSF
116 Remaining period of All such assets that have been encumbered should in addition be
encumbrance < 6 months allocated to a cell in one of the five rows according to the
remaining period of encumbrance and, in jurisdictions where
117 Remaining period of
this is relevant, depending on whether assets are encumbered for
encumbrance ≥ 6 months
exceptional central bank liquidity operations.
to < 1 year
Attention is drawn to the worked example at the start of this
118 Remaining period of
section.
encumbrance ≥ 1 year
119 Encumbered for
exceptional CB liquidity
operations, ≥ 6 months to
< 1 year
120 Encumbered for
exceptional CB liquidity
operations, ≥ 1 year
Securities eligible for Level 2A HQLA for the LCR
Securities that, if unencumbered, would qualify as Level 2A liquid assets, according to LCR30.43.
Securities that would otherwise qualify according to that paragraph, but are excluded for exceeding the 40% cap, or for
operational or other reasons, are reported in this category.
Securities in default should not be included in this category; rather these should be reported in row 277.
124 Unencumbered All such unencumbered assets in the appropriate column
according to their residual maturity.
125 Remaining period of All such assets that have been encumbered should in addition be
encumbrance < 6 months allocated to a cell in one of the five rows according to the
remaining period of encumbrance and, in jurisdictions where
126 Remaining period of
this is relevant, depending on whether assets are encumbered for
encumbrance ≥ 6 months
exceptional central bank liquidity operations.
to < 1 year
Attention is drawn to the worked example at the start of this
127 Remaining period of
section.
encumbrance ≥ 1 year
128 Encumbered for
exceptional CB liquidity
operations, ≥ 6 months to
< 1 year
129 Encumbered for
exceptional CB liquidity
operations, ≥ 1 year
Securities eligible for Level 2B HQLA for the LCR
Securities that, if unencumbered, would qualify as Level 2B liquid assets, according to LCR30.45.
Securities that would otherwise qualify according to that paragraph, but are excluded for exceeding the 15% or 40% caps,
or for operational or other reasons, are reported in this category.
Securities in default should not be included in this category; rather these should be reported in row 277.
133 Unencumbered All such unencumbered assets in the appropriate column
according to their residual maturity.

Instructions for Basel III monitoring 43

 Row Heading Description Basel
Framework
NSF
134 Remaining period of All such assets that have been encumbered should in addition be
encumbrance < 6 months allocated to a cell in one of the five rows according to the
remaining period of encumbrance and, in jurisdictions where
135 Remaining period of
this is relevant, depending on whether assets are encumbered for
encumbrance ≥ 6 months
exceptional central bank liquidity operations.
to < 1 year
Attention is drawn to the worked example at the start of this
136 Remaining period of
section.
encumbrance ≥ 1 year
137 Encumbered for
exceptional CB liquidity
operations, ≥ 6 months to
< 1 year
138 Encumbered for
exceptional CB liquidity
operations, ≥ 1 year
Deposits held at financial institutions for operational purposes
Deposits held at financial institutions, including banks subject to prudential supervision, for operational purposes, as
defined in LCR40.26–36. Non-operational deposits held at other financial institutions should be included with loans to
financial institutions (above), taking into account the term of the operation. That is, demand deposits and term deposits
with residual maturities of less than six months are assigned a 15% RSF factor; and term deposits with residual maturity
of between six months and less than one year have a 50% RSF factor or 100% if the maturity is beyond one year.
151 Unencumbered All such unencumbered assets in the appropriate column
according to their residual maturity.
152 Remaining period of All such assets that have been encumbered should in addition be
encumbrance < 6 months allocated to a cell in one of the five rows according to the
remaining period of encumbrance and, in jurisdictions where
153 Remaining period of
this is relevant, depending on whether assets are encumbered for
encumbrance ≥ 6 months
exceptional central bank liquidity operations.
to < 1 year
Attention is drawn to the worked example at the start of this
154 Remaining period of section.
encumbrance ≥ 1 year
155 Encumbered for
exceptional CB liquidity
operations, ≥ 6 months to
< 1 year
156 Encumbered for
exceptional CB liquidity
operations, ≥ 1 year
Loans to non-financial corporate clients
Non-performing loans should not be included in this category; rather these should be reported in row 277.
Performing loans to non-financial corporate clients with a residual maturity of less than one year and with a greater than
35% risk weight under CRE20.41–51 (2023 version) should be reported in this category and not in rows 223–229.
Performing loans are considered those that are not past due for more than 90 days in accordance with CRE20.104 (2023
version). Conversely, non-performing loans are considered to be loans that are more than 90 days past due.
161 Unencumbered All such unencumbered assets in the appropriate column
according to their residual maturity.

44 Instructions for Basel III monitoring

 Row Heading Description Basel
Framework
NSF
162 Remaining period of All such assets that have been encumbered should in addition be
encumbrance < 6 months allocated to a cell in one of the five rows according to the
remaining period of encumbrance and, in jurisdictions where
163 Remaining period of
this is relevant, depending on whether assets are encumbered for
encumbrance ≥ 6 months
exceptional central bank liquidity operations.
to < 1 year
Attention is drawn to the worked example at the start of this
164 Remaining period of
section.
encumbrance ≥ 1 year
165 Encumbered for
exceptional CB liquidity
operations, ≥ 6 months to
< 1 year
166 Encumbered for
exceptional CB liquidity
operations, ≥ 1 year
Loans to central banks with a residual maturity of less than one year
Loans to central banks having a residual maturity of less than one year that do not qualify to meet local reserve
requirements. Balances (including term placements) that qualify toward reserve requirements should be considered as
“total central bank reserves” and reported in row 55, even if these balances are in excess of the required level of reserves.
Performing loans to central banks with a residual maturity of less than one year and a greater than 35% risk weight under
CRE20.7–9 (2023 version) should be reported in this category and not in rows 223–229.
Non-performing loans should not be included in this category; rather these should be reported in row 277. Performing
loans are considered those that are not past due for more than 90 days in accordance with CRE20.104 (2023 version).
Conversely, non-performing loans are considered to be loans that are more than 90 days past due.
Consistent with NSF30.25(3) and NSF30FN15, all claims on central banks with residual maturities of less than six months
receives a 0% RSF factor. For balances reported in this row with residual maturities less than six months, note that the
term “claims” is broader than loans. The term “claims” in NSF30.25(3) also includes central bank bills and the asset account
created on banks’ balance sheets by entering into repo transactions with central banks.
170 Unencumbered All such unencumbered assets in the appropriate column
according to their residual maturity.
171 Remaining period of All such assets that have been encumbered should in addition be
encumbrance < 6 months allocated to a cell in one of the five rows according to the
remaining period of encumbrance and, in jurisdictions where
172 Remaining period of
this is relevant, depending on whether assets are encumbered for
encumbrance ≥ 6 months
exceptional central bank liquidity operations.
to < 1 year
Attention is drawn to the worked example at the start of this
173 Remaining period of
section.
encumbrance ≥ 1 year
174 Encumbered for
exceptional CB liquidity
operations, ≥ 6 months to
< 1 year
175 Encumbered for
exceptional CB liquidity
operations, ≥ 1 year

Instructions for Basel III monitoring 45

 Row Heading Description Basel
Framework
NSF
Loans to sovereigns, PSEs, MDBs and NDBs with a residual maturity of less than one year
Loans to sovereigns, PSEs, MDBs and NDBs having a residual maturity of less than one year. Loans to the Bank for
International Settlements, the International Monetary Fund and the European Commission should also be reported in this
category.
Non-performing loans should not be included in this category; rather these should be reported in row 277. Performing
loans are considered those that are not past due for more than 90 days in accordance with CRE20.104 (2023 version).
Conversely, non-performing loans are considered to be loans that are more than 90 days past due.
Performing loans to sovereigns, PSEs, MDBs and NDBs with a residual maturity of less than one year and a greater than
35% risk weight under CRE20.10–15 (2023 version) should be reported in this category and not in rows 223–229.
179 Unencumbered All such unencumbered assets in the appropriate column
according to their residual maturity.
180 Remaining period of All such assets that have been encumbered should in addition be
encumbrance < 6 months allocated to a cell in one of the five rows according to the
remaining period of encumbrance and, in jurisdictions where
181 Remaining period of
this is relevant, depending on whether assets are encumbered for
encumbrance ≥ 6 months
exceptional central bank liquidity operations.
to < 1 year
Attention is drawn to the worked example at the start of this
182 Remaining period of
section.
encumbrance ≥ 1 year
183 Encumbered for
exceptional CB liquidity
operations, ≥ 6 months to
< 1 year
184 Encumbered for
exceptional CB liquidity
operations, ≥ 1 year
Residential mortgages of any maturity that would qualify for the 35% or lower risk weight under the standardised
approach for credit risk
Residential mortgages of any maturity that would qualify for the 35% or lower risk weight under the standardised approach
to credit risk (Basel II or CRE20.69–84 (2023 version)).
According to NSF30.17, “investors should be assumed to exercise any option to extend maturity”. As such, include balances
for floating rate loans without a stated final maturity where the borrower may repay the loan in full and without penalty
charges at the next rate reset date as having an effective residual maturity of greater than one year.
Non-performing residential mortgages should not be included in this category; rather these should be reported in row
277. Performing residential mortgages are considered those that are not past due for more than 90 days in accordance
with CRE20.104 (2023 version). Conversely, non-performing residential mortgages are considered to be loans that are
more than 90 days past due.
188 Unencumbered All such unencumbered assets in the appropriate column
according to their residual maturity.

46 Instructions for Basel III monitoring

 Row Heading Description Basel
Framework
NSF
189 Remaining period of All such assets that have been encumbered should in addition be
encumbrance < 6 months allocated to a cell in one of the five rows according to the
remaining period of encumbrance and, in jurisdictions where
190 Remaining period of
this is relevant, depending on whether assets are encumbered for
encumbrance ≥ 6 months
exceptional central bank liquidity operations.
to < 1 year
Attention is drawn to the worked example at the start of this
191 Remaining period of
section.
encumbrance ≥ 1 year
192 Encumbered for
exceptional CB liquidity
operations, ≥ 6 months to
< 1 year
193 Encumbered for
exceptional CB liquidity
operations, ≥ 1 year
Other loans, excluding loans to financial institutions, with a residual maturity of one year or greater that would qualify
for the 35% or lower risk weight under the standardised approach for credit risk
All other loans, excluding loans to financial institutions, with a residual maturity of one year or more, that would qualify
for the 35% or lower risk weight under the standardised approach to credit risk (CRE.20).
According to NSF30.17, “investors should be assumed to exercise any option to extend maturity”. As such, include balances
for floating rate loans without a stated final maturity where the borrower may repay the loan in full and without penalty
charges at the next rate reset date as having an effective residual maturity of greater than one year.
Non-performing loans should not be included in this category; rather these should be reported in row 277. Performing
loans are considered those that are not past due for more than 90 days in accordance with CRE20.104 (2023 version).
Conversely, non-performing loans are considered to be loans that are more than 90 days past due.
197 Unencumbered All such unencumbered assets in the appropriate column
according to their residual maturity. Columns D and E are only
required if an RSF factor greater than zero is applicable in the
national rules applicable to the bank.
198 Remaining period of All such assets that have been encumbered should in addition be
encumbrance < 6 months allocated to a cell in one of the five rows according to the
remaining period of encumbrance and, in jurisdictions where
199 Remaining period of
this is relevant, depending on whether assets are encumbered for
encumbrance ≥ 6 months
exceptional central bank liquidity operations. Columns D and E are
to < 1 year
only required if an RSF factor greater than zero is applicable in the
200 Remaining period of national rules applicable to the bank.
encumbrance ≥ 1 year
Attention is drawn to the worked example at the start of this
201 Encumbered for section.
exceptional CB liquidity
operations, ≥ 6 months to
< 1 year
202 Encumbered for
exceptional CB liquidity
operations, ≥ 1 year

Instructions for Basel III monitoring 47

 Row Heading Description Basel
Framework
NSF
Loans to retail and small business customers (excluding residential mortgages reported above) with a residual maturity
of less than one year
Loans to retail (eg natural persons) and small business customers (as defined in the LCR) having a residual maturity of less
than one year with a greater than 35% risk weight under the standardised approach for credit risk.
Non-performing loans should not be included in this category; rather these should be reported in row 277. Performing
loans are considered those that are not past due for more than 90 days in accordance with CRE20.104 (2023 version).
Conversely, non-performing loans are considered to be loans that are more than 90 days past due.
Performing loans to retail and small business customers with a residual maturity of less than one year with a greater than
35% risk weight under CRE20.47 and CRE20.63–68 (2023 version) should also be reported in this category and not in rows
223–229.
215 Unencumbered All such unencumbered assets in the appropriate column
according to their residual maturity.
216 Remaining period of All such assets that have been encumbered should in addition be
encumbrance < 6 months allocated to a cell in one of the five rows according to the
remaining period of encumbrance and, in jurisdictions where
217 Remaining period of
this is relevant, depending on whether assets are encumbered for
encumbrance ≥ 6 months
exceptional central bank liquidity operations.
to < 1 year
Attention is drawn to the worked example at the start of this
218 Remaining period of
section.
encumbrance ≥ 1 year
219 Encumbered for
exceptional CB liquidity
operations, ≥ 6 months to
< 1 year
220 Encumbered for
exceptional CB liquidity
operations, ≥ 1 year
Performing loans (except loans to financial institutions and loans reported in above categories) with risk weights greater
than 35% under the standardised approach for credit risk
Performing loans, not captured by one of the above categories, with a greater than 35% risk weight under CRE20, excluding
loans to financial institutions.
Non-performing loans should not be included in this category; rather these should be reported in row 277. Performing
loans are considered those that are not past due for more than 90 days in accordance with CRE20.104 (2023 version).
Conversely, non-performing loans are considered to be loans that are more than 90 days past due.
According to NSF30.17, “investors should be assumed to exercise any option to extend maturity”. As such, include balances
for floating rate loans without a stated final maturity where the borrower may repay the loan in full and without penalty
charges at the next rate reset date as having an effective residual maturity of greater than one year.
224 Unencumbered All such unencumbered assets in the appropriate column
according to their residual maturity.

48 Instructions for Basel III monitoring

 Row Heading Description Basel
Framework
NSF
225 Remaining period of All such assets that have been encumbered should in addition be
encumbrance < 6 months allocated to a cell in one of the five rows according to the
remaining period of encumbrance and, in jurisdictions where
226 Remaining period of
this is relevant, depending on whether assets are encumbered for
encumbrance ≥ 6 months
exceptional central bank liquidity operations.
to < 1 year
Attention is drawn to the worked example at the start of this
227 Remaining period of
section.
encumbrance ≥ 1 year
228 Encumbered for
exceptional CB liquidity
operations, ≥ 6 months to
< 1 year
229 Encumbered for
exceptional CB liquidity
operations, ≥ 1 year
Non-HQLA exchange traded equities
Exchange traded equities that do not qualify as Level 2B assets. This includes exchange traded FI equities as well as
exchange traded non-FI equities that do not meet all of the requirements outlined in LCR30.45(3).
Amounts related to non-HQLA exchange traded equities that are deducted from capital should not be reported here;
rather these should be reported in the ≥ 1 year column in row 281.
242 Unencumbered All such unencumbered assets in the appropriate column
according to their residual maturity.
243 Remaining period of All such assets that have been encumbered should in addition be
encumbrance < 6 months allocated to a cell in one of the five rows according to the
remaining period of encumbrance and, in jurisdictions where
244 Remaining period of
this is relevant, depending on whether assets are encumbered for
encumbrance ≥ 6 months
exceptional central bank liquidity operations. Columns D and E are
to < 1 year
only required if an RSF factor greater than zero is applicable in the
245 Remaining period of national rules applicable to the bank.
encumbrance ≥ 1 year
Attention is drawn to the worked example at the start of this
246 Encumbered for section.
exceptional CB liquidity
operations, ≥ 6 months to
< 1 year
247 Encumbered for
exceptional CB liquidity
operations, ≥ 1 year
Non-HQLA securities not in default
Securities that are not eligible for HQLA treatment as defined by the Basel LCR framework, other than non-HQLA exchange
traded equities, which should be reported in rows 242 to 247, and which are not in default.
Securities in default should not be reported in this category; rather these should be reported in row 277.
251 Unencumbered All such unencumbered assets in the appropriate column
according to their residual maturity.
252 Remaining period of All such assets that have been encumbered should in addition be
encumbrance < 6 months allocated to a cell in one of the five rows according to the
remaining period of encumbrance and, in jurisdictions where
253 Remaining period of
this is relevant, depending on whether assets are encumbered for
encumbrance ≥ 6 months
exceptional central bank liquidity operations.
to < 1 year
Attention is drawn to the worked example at the start of this
254 Remaining period of
section.
encumbrance ≥ 1 year

Instructions for Basel III monitoring 49

 Row Heading Description Basel
Framework
NSF
255 Encumbered for
exceptional CB liquidity
operations, ≥ 6 months to
< 1 year
256 Encumbered for
exceptional CB liquidity
operations, ≥ 1 year
Physical traded commodities including gold
Total balance of physical traded commodities including gold. No maturity breakdown is required in this section.
260 Unencumbered All such unencumbered assets.
261 Remaining period of All such assets that have been encumbered should in addition be
encumbrance < 6 months allocated to a cell in one of the five rows according to the
remaining period of encumbrance and, in jurisdictions where
262 Remaining period of
this is relevant, depending on whether assets are encumbered for
encumbrance ≥ 6 months
exceptional central bank liquidity operations.
to < 1 year
Attention is drawn to the worked example at the start of this
263 Remaining period of section.
encumbrance ≥ 1 year
264 Encumbered for
exceptional CB liquidity
operations, ≥ 6 months to
< 1 year
265 Encumbered for
exceptional CB liquidity
operations, ≥ 1 year
Other short-term unsecured instruments and transactions with a residual maturity of less than one year
Balances of other short-term unsecured instruments with outstanding maturities of less than one year.
Such instruments include but are not limited to: short-term government and corporate bills, notes, and obligations;
commercial paper; negotiable CDs; bankers’ acceptances; money market mutual funds.
Please do not report in this row any central bank reserves, Level 1, Level 2A and Level 2B assets, unsecured
interbank and other money market placements (eg federal funds or euro currencies sold) or instruments in default.
These are reported elsewhere on the template.
269 Unencumbered All such unencumbered assets in the appropriate column
according to their residual maturity.
270 Remaining period of All such assets that have been encumbered should in addition be
encumbrance < 6 months allocated to a cell in one of the five rows according to the
remaining period of encumbrance and, in jurisdictions where
271 Remaining period of
this is relevant, depending on whether assets are encumbered for
encumbrance ≥ 6 months
exceptional central bank liquidity operations.
to < 1 year
Attention is drawn to the worked example at the start of this
272 Remaining period of
section.
encumbrance ≥ 1 year
273 Encumbered for
exceptional CB liquidity
operations, ≥ 6 months to
< 1 year
274 Encumbered for
exceptional CB liquidity
operations, ≥ 1 year

50 Instructions for Basel III monitoring

 Row Heading Description Basel
Framework
NSF
Other items
277 Defaulted securities and All defaulted securities and non-performing loans should be 30.31FN17,
non-performing loans reported in this line and not in one of the above categories. 30.32(3)
Performing loans are considered those that are not past due for
more than 90 days in accordance with CRE20.104 (2023 version).
Conversely, non-performing loans are considered to be loans that
are more than 90 days past due.
278 NSFR net derivative assets In calculating net NSFR derivatives assets, collateral received in 30.24,
connection with derivatives contracts may not offset the positive 30.24FN13
replacement cost amount, regardless of whether or not netting is
permitted under the bank’s operative accounting or risk-based
framework, unless it is received in the form of cash variation
margin and meets the conditions as specified in LEV30.28 or
further specified in any related FAQ. 21 The value reported here
20F

should be net of derivative liabilities and variation margin

received. Zero must be reported if the result of the calculation
is negative.
Note that, consistent with NSF30.24 FAQ1, the existence of
minimum thresholds of transfer amounts for exchange of
collateral in derivative contracts does not automatically preclude
such contracts from being considered for the condition of
NSF30.24 to allow an offsetting of collateral received (in particular
regarding the daily calculation and exchange of variation
margins).
279 Required stable funding Non-entry field. In accordance with NSF30.32(5), the value here 30.32(5)
associated with derivative equals 20% of derivative liabilities (ie negative replacement cost
liabilities amounts or negative net replacement cost where applicable)
before deducting variation margin posted.
280 Required stable funding Non-entry field. In accordance with NSF30.31(1), required stable 30.31(1)
associated with initial funding associated with initial margin posted and cash or other
margin posted and cash or assets provided to contribute to the default fund of a CCP.
other assets provided to
contribute to the default
fund of a CCP
281 Items deducted from Includes all items deducted from Basel III regulatory capital 30.32(3)
regulatory capital according to CAP30.
282 Trade date receivables Amount of receivables arising from sales of financial instruments, 30.25(4)
foreign currencies and commodities that (i) are expected to settle
within the standard settlement cycle or period that is customary
for the relevant exchange or type of transaction, or (ii) have failed
to, but are still expected to, settle.

21
NSFR derivative assets = (derivative assets) – (cash collateral received as variation margin on derivative assets).

Instructions for Basel III monitoring 51

 Row Heading Description Basel
Framework
NSF
283 Interdependent assets National supervisors have discretion in limited circumstances to 30.35
determine interdependent assets and liabilities in accordance with
NSF30.35.
Report here asset items which, on the basis of contractual
arrangements, are interdependent on corresponding liabilities
report above in row 43 such that: the liability cannot fall due while
the asset remains on the balance sheet, the principal payment
flows from the asset cannot be used for something other than
repaying the liability, and the liability cannot be used to fund other
assets. For interdependent items, supervisors may adjust RSF and
ASF factors so that they are both 0%, subject to the following
criteria:
• The individual interdependent asset and liability items must
be clearly identifiable.
• The maturity and principal amount of both the liability and
its interdependent asset should be the same.
• The bank is acting solely as a pass-through unit to channel
the funding received (the interdependent liability) into the
corresponding interdependent asset.
• The counterparties for each pair of interdependent liabilities
and assets should not be the same.
Consistent with NSF30.35 FAQ1, interdependent assets and
liabilities are not intended to be applied to derivative transactions,
since it is rarely the case that derivatives would meet all conditions
in NSF30.35.
285 All other assets not Carrying value of all other assets not included in the above 30.32(3)
included in above categories. If this number cannot be calculated, contrary to
categories that qualify for general Basel III monitoring instruction, please input 0 in the
100% treatment template for these cells and indicate in an anonymised remarks
document that you are unable to calculate these values.
B.2 Off-balance sheet items
291 Irrevocable and Balances of undrawn committed liquidity facilities extended by 30.34, 99.3
conditionally revocable the bank that are either irrevocable or conditionally revocable.
liquidity facilities
292 Irrevocable and Balances of undrawn committed credit facilities extended by the 30.34, 99.3
conditionally revocable bank that are either irrevocable or conditionally revocable.
credit facilities
293 Unconditionally revocable Balances of undrawn liquidity facilities where the bank has the 30.34, 99.3
liquidity facilities right to unconditionally revoke the undrawn portion of these
facilities.
294 Unconditionally revocable Balances of undrawn credit facilities where the bank has the right 30.34, 99.3
credit facilities to unconditionally revoke the undrawn portion of these facilities.
295 Trade finance-related Balances of trade finance-related obligations (including 30.34, 99.3
obligations (including guarantees and letters of credit)
guarantees and letters of
credit)
296 Guarantees and letters of Balances of guarantees and letters of credit unrelated to trade 30.34, 99.3
credit unrelated to trade finance obligations.
finance obligations
297 Non-contractual Non-entry row. 30.34, 99.3
obligations, such as:

52 Instructions for Basel III monitoring

 Row Heading Description Basel
Framework
NSF
298 Debt-buy back requests Potential requests for debt repurchases of the bank’s own debt or 30.34, 99.3
(incl related conduits) that of related conduits, securities investment vehicles and other
such financing facilities.
299 Structured products Structured products where customers anticipate ready 30.34, 99.3
marketability, such as adjustable rate notes and variable rate
demand notes (VRDNs).
300 Managed funds Managed funds that are marketed with the objective of 30.34, 99.3
maintaining a stable value such as money market mutual funds or
other types of stable value collective investment fund, etc.
301 Other non-contractual Other non-contractual obligations not entered above. 30.34, 99.3
obligations
302 All other off balance-sheet All other off balance-sheet obligations not reported in lines 291 30.34, 99.3
obligations not included in to 301 above. Please refer to the instructions from your
the above categories supervisor for the specification of this item.

7. Monitoring credit risk reforms

Please refer to guidance from the national supervisor as to whether it is necessary to fill in these
worksheets.

7.1 Overview

This section aims to monitor the compound impact of the credit risk reforms including: (i) the revised
standardised approach (SA) and the internal ratings-based (IRB) approaches in CRE20 to CRE36 (2023
versions); (ii) the replacement of the Basel I-based floor by the output floor fully based on non-modelling
approaches as set out in RBC20.11–13 (2023 version) 22; (iii) the standardised approach for measuring
21F

counterparty credit risk (SA-CCR) set out in CRE52 (2023 version); (iv) the final standard on the capital
treatment of bank exposures to central counterparties (CCPs) set out in CRE54 (2023 version); and (v) the
new framework for securitisation exposures, including the alternative capital treatment for “simple,
transparent and comparable” (STC) securitisations set out in CRE40 to CRE44 (2023 versions).
Credit risk exposures in the respective worksheets refer to all exposures in the banking book
and to counterparty credit risk (CCR) exposures in the trading book. All worksheets under this section
should be completed before considering any output floors (eg Basel I-based floor) but after considering
any parameter (eg PD, LGD) floors the bank is currently subject to in its jurisdiction. Unless stated
otherwise, all exposures should be reported taking into account the effect of unfunded credit protections
(ie guarantees and credit derivatives), and should hence be reported after substitution of the original
obligor by the protection provider as applied in the current national rules. For exposures under the SA for
credit risk, exposures should also be reported after substitution of the original obligor by the issuer of the
collateral in case the bank uses the simple approach for collateralised transactions. Additional guidance is
provided in the instructions for each worksheet.
Regarding the reporting of exposures CCPs in the credit risk worksheets, both trade exposures
and default fund exposures to CCPs should be excluded as these should instead be reported in rows 38

22
The calculations ignore the transitional arrangements set out in RBC90 (2023 version).

Instructions for Basel III monitoring 53

and 39 of the “Requirements” worksheet. Please note that trade exposures to CCPs should also be included
in the “CCR and CVA” worksheet.
Panels in the worksheets collect data under the current national rules as well as the final Basel III
framework and require information for calculating output floors. The following provides a brief overview
for the ongoing monitoring of the credit risk reforms:
• Credit risk (SA). This worksheet collects information on the current credit risk exposures under
the SA subject to the current national rules and the final Basel III framework.
• Credit risk (IRB). This worksheet exclusively collects data on IRB exposures. Given that SA-CCR
has not yet been implemented in some jurisdictions, banks are allowed to calculate CCR
exposures for derivatives according to current methods in use until they are able to apply the SA-
CCR. Specific instructions are provided for ensuring the consistency of data collected between
different reporting dates.
• Securitisation. This worksheet collects information on the securitisation exposures (also when
subject to current national rules that are different from the revised securitisation framework),
including STC securitisation exposures.
Only banks using the SA (as indicated in cell C11 of the “General Info” worksheet) have to
complete the “Credit risk (SA)” worksheet. Similarly, only banks using the IRB approach (as
indicated in cells C12 and C13 of the “General Info” worksheet) need to complete the “Credit risk
(IRB)” worksheet. IRB banks with partial use of the standardised approach have to complete both
worksheets.
Required data are conditional on the approaches to credit risk entered in panel A.2 of the
“General Info” worksheet; therefore, this should be completed first.
The “Requirements” worksheet provides a summary of the information provided in the
worksheets described below. It includes indicators and checks on changes between the current and final
Basel III capital frameworks for credit risk.

7.2 Worksheet “Credit risk (SA)”

Panel A.1 and panel A.2 collect information on current credit risk exposures (with the exception of
securitisation exposures) in the banking book and on CCR exposures in the trading book under the
SA subject to the current national rules in place at the reporting date. Banks are also expected to report
figures for the revised SA and the full non-modelling approaches where applicable. Panel A.2 is a memo
item: collects further data on equity exposures under the SA.
To note that banks in jurisdictions requiring parallel calculations of RWA under the IRB and SA
are expected to provide in panel A.1 exposures for which internal models have currently not been adopted.
Exposures subject to adopted IRB models should be reported in panel A.1 of the “Credit risk (IRB)”
worksheet.

7.2.1 Panel A.1: Standardised approach

Panel A.1 requires the reporting of information on exposures under the SA under the current national rules
and the final Basel III framework following the definition of asset classes under the final Basel III
framework (ie the 2023 version of CRE20).

54 Instructions for Basel III monitoring

 Row Heading Description
19–23 Sovereigns, PSEs, MDBs These rows report all exposures to sovereigns, MDBs and PSEs, as defined
in CRE20.7–15).
24–50 Banks (excluding covered For jurisdictions allowing the use of external ratings for the calculation of
bonds) RWA, rated bank exposures (other than in the form of covered bonds) are
to be reported from rows 26 to 38 applying the classification of the External
Credit Risk Assessment Approach (ECRA) while unrated banks exposures
should be reported in rows 39 to 50 according to the relevant grade under
the Standardised Credit Risk Assessment Approach (SCRA).
For jurisdictions where external ratings are not allowed, exposures are to be
reported in rows 39 to 50 following the SCRA classification, and rows 26 to
38 can be left empty. Claims on banks that belong to the same institutional
protection scheme and treated according to footnote 14 of the final Basel III
framework should be reported in row 25.
51–65 Covered bonds Exposures to covered bonds with external credit assessments/ratings are to
be reported from rows 52 to 57, while unrated exposures are to be reported
from rows 58 to 65.
For jurisdictions where external ratings are not allowed, rows 53 to 57 can
be left empty.
68–79 Corporates (excluding SMEs) Corporate exposures (excluding small and medium-sized enterprises –
SMEs) in jurisdictions allowing the use of external credit assessments/ratings
for the calculation of RWA are to be reported from rows 69 to 76. Banks in
other jurisdictions can leave those rows empty.
For jurisdictions where external ratings are not allowed, exposures are to be
reported in rows 77 to 79. Banks in other jurisdictions can leave those rows
empty.
80 Corporate SME exposures Exposures to SMEs treated as corporates are to be reported here.
81–88 Specialised lending Banks are expected to report specialised lending exposures as follows:
(i) row 82 for exposures with an issue-specific external rating in jurisdictions
that allow the use of external ratings for regulatory purposes; (ii) rows 83 to
86 for exposures to project finance transactions; (iii) row 87 for exposures
to object finance transactions; (iv) row 88 for exposures to commodity
finance transactions. Please note that project finance exposures are to be
reported separately for the “pre-operational”, “operational phase” and
“operational phase (high quality)” cases. For further details, see CRE20.48–
52.
89–93 Equity exposures Banks are expected to report exposures to equities (excluding equity
investments in funds) split into: (i) speculative unlisted equity (row 88);
(ii) equity exposures to certain legislative programs (row 91); (iii) other
equity exposures (row 92). Please refer to CRE20.53–59 and CRE20.61–62 for
further details on the treatment for equity exposures.
Equity exposures currently subject to the IRB approach, which will move to
the SA, should not be reported here.
94 Subordinated debt and capital Subordinated debt and capital instruments other than equity should be
instrument other than equity reported here. Any other asset qualifying as TLAC liabilities not deducted
from Tier 2 capital under the TLAC holdings standard should also be
included here. Please refer to CRE20.60.

Instructions for Basel III monitoring 55

 Row Heading Description
95–97 Equity investments in funds Equity investments in funds are to be reported here (see CRE60). In
particular, exposures under the SA look-through approach are to be
reported directly in the relevant asset class of the fund’s underlying
exposures. In rows 95 and 96, exposures under the mandate approach and
the fall back approach are to be reported, respectively.
Risk weights applied must include the leverage adjustment where
applicable.
In the current framework, banks in jurisdictions that have not yet
implemented the above-mentioned standards are expected to report
exposures under current national rules in row 95 unless the current rules
involve a look-through approach in which case the fund’s underlying
exposures may be reported directly in their relevant asset class.
98–101 Retail exposures Banks have to split their retail exposures in different rows depending on the
following regulatory retail criteria: (i) transactors (row 99); (ii) regulatory
retail (row 100); (iii) other retail (row 101). Please refer to CRE20.63–68 for
more details.
Risk weights must include the currency mismatch multiplier where
applicable.
102–140 Exposures secured by real With certain prescribed exceptions, banks have to split their exposures
estate secured by real estate according to five different sub-asset classes as
defined in CRE20.69–91:
(i) from rows 103 to 115, “Regulatory residential real estate” exposures that
are not “materially dependent on cash flows generated by the property”;
(ii) from rows 116 to 124, “Regulatory commercial real estate” exposures
that are not “materially dependent on cash flows generated by the
property”;
(iii) from rows 125 to 132, “Regulatory residential real estate” exposures that
are “materially dependent on cash flows generated by the property”;
(iv) from row 133 to 137, “Regulatory commercial real estate” exposures
that are “materially dependent on cash flows generated by the property”;
(v) from row 1388 to 140, “Land acquisition, development and construction
(ADC)” exposures.
The prescribed exceptions referred to above are as follows:
• “Other real estate” exposures are defined by CRE20.88 as
exposures that do not meet the criteria set out in CRE20.71 to be
classified as a “regulatory real estate” exposure and are not ADC
exposures. Such exposures should be reported in one of the
following rows that are labelled “requirements not met”: row 115,
row 124, row 132 and row 137.

• Certain “regulatory commercial real estate” exposures that are

“materially dependent on cash flows generated by the property”
may be treated as “regulatory commercial real estate” exposures
that are not “materially dependent on cash flows generated by
the property” if they meet the conditions set out in footnote 39
to CRE20.87. Such exposures should be reported in row 118 to
row 123.

Risk weights must include the currency mismatch multiplier where

applicable.
141– Defaulted exposures Exposures to defaulted assets, derivatives and off-balance sheet items are
1429 to be reported in row 141. Banks are also requested to report those
defaulted exposures with provisioning rates below 20% of the gross
exposure separately as a memo item.
144 Failed trades and non-DVP In this row, all unsettled and failed transactions according to CRE70 need to
transactions be reported.

56 Instructions for Basel III monitoring

 Row Heading Description
145 Other assets Includes all other SA exposures that are not reported in any of the rows
above, including fixed assets and unassigned exposures. Banks using the IRB
approach must report their other assets in panel A.1 of the “Credit risk (IRB)”
worksheet and enter zero here.
148 Memo item: SA exposures For banks reporting data using the revised market risk framework’s
reported in the banking book definition of the TB-BB boundary, positions that were previously held in the
in regulatory reporting but no banking book but are held in the trading book under the revised definition
longer included above due to should only be reported in this. This row is mandatory for banks that report
the application of the revised data using the revised market risk framework’s definition of the TB-BB
market risk framework boundary; all other banks should fill in zero.
definition of TB-BB boundary
149 Memo item: SA exposures For banks reporting data using the revised market risk framework’s
reported in the trading book definition of the TB-BB boundary, positions that were previously held in the
in regulatory reporting that trading book but are held in the banking book under the revised definition
are included above due to the should be reported in this row as well as in other rows of the “Credit risk
application of the revised (SA)” worksheet as relevant. This row is mandatory for banks that report data
market risk framework using the revised market risk framework’s definition of the TB-BB boundary;
definition of TB-BB boundary all other banks should fill in zero.

Banks should provide data for the above groups of exposures computed according to:
• The current national rules in place at the reporting date (columns C to P). In particular, the
current CRM framework and CCF for off-balance sheet items should be applied. Institutions
subject to the EU Regulation 575/2013 (CRR) should report RWA (columns J to M) after the SME-
supporting factor in accordance with Article 501 of the CRR;
• The final Basel III SA and the SA-CCR (columns R to AC). Banks should apply the CRM and
CCF frameworks of the final Basel III framework on a best effort basis.
For calculating CCR exposures, banks that do not adopt the IMM are expected to apply the SA-
CCR. In jurisdictions where the SA-CCR has not yet been implemented, the SA-CCR should be
applied on best effort basis. In case banks are not able to measure CCR exposures using the SA-
CCR, they may use one of the current non-internal model methods. Note that once these banks
will be able to apply the SA-CCR, they will be required to do a parallel computation for measuring
CCR exposures (to report in columns AD and AE) under the current methods and the SA-CCR as
described in Box 1 in Section 7.3.2;
• Full non-modelling approach (ie SA for credit risk and SA-CCR/non-internal model methods to
CCR exposures and collateral) for the computation of the output floor (columns AF to AH). These
columns are relevant for banks using the IMM under the final Basel III framework. For further
details to fill in these columns, please see the instruction for the “Credit risk (IRB)” worksheet. For
banks that will not use IMM the computation of the output floor will be based on columns W, S
and AA instead; therefore, columns AF to AH should be left empty.
Cells in column AI to AK are specific to banks in the European Union and should be left
empty by banks in all other jurisdictions.
The data to be reported for each asset class are set out in the following table. Exposures should
be reported after substitution as applied in the current national rules, ie according to the credit
protection providers for guaranteed exposures or for exposures guaranteed by credit derivatives,
or according to the issuer of the collateral for collateralised transactions treated according to the
simple approach. In other words, all exposures should be reported in the row of the protection
provider, both pre and post credit risk mitigation, ie there is no change of the row because of
unfunded credit protection or the financial collateral simple method.

Instructions for Basel III monitoring 57

 Column Heading Description
D, R On-balance sheet On-balance sheet exposures other than CCR exposures, after substitution
exposures (post- (including the simple approach) and CRM.
CRM)
E, S, AG CCR Counterparty credit risk exposures (ie associated with derivatives and SFTs) in
both the banking book and the trading book.
F, T Of which: CCR Of the amount reported in columns E and S, the exposure amount that has been
internal models calculated with CCR internal models.
H, V Off-balance sheet Off-balance sheet exposures after application of credit conversion factors and
exposures (post- credit risk mitigation.
CRM)
I, W, AD, AF Exposure (post- Total credit exposure after application of credit conversion factors and credit risk
CCF, post-CRM) mitigation. It is calculated automatically as the sum of the previous columns for
columns referring to the current and final Basel III SA frameworks.
J, X RWA, on-balance RWA related to the on-balance sheet exposures above, after application of credit
sheet exposures conversion factors and of credit risk mitigation.
K, Y RWA, CCR RWA related to the CCR exposures above, after application of credit conversion
factors and of credit risk mitigation.
L, Z RWA, off-balance RWA related to the off-balance sheet exposures above, after application of credit
sheet exposures conversion factors and of credit risk mitigation.
AE Difference in RWA The difference in RWA according to the standards applied in the revised
framework in column AA compared to the application of the previous non-internal
method. The reported RWA difference should be positive if the previous non-
internal method results in a higher number, otherwise negative.
AH RWA, total Total RWA related to the exposures reported in column AF, after application of
credit conversion factors and of credit risk mitigation. Only standardised
approaches should be applied for the calculation of RWA reported in this column
(“full non-modelling approach”).
N Defaulted Provide on best efforts basis defaulted exposures split by asset classes.
exposures
O Specific provisions Specific provisions assigned to the relevant asset class.
P General provisions General provisions assigned to the relevant asset class.

It is worth noting that the standardised approach contains a number of options for the treatment
of certain asset classes (eg exposure to banks, corporates and exposures secured by real estate). In
columns corresponding to the current SA (ie blue part of the panel, from column C to column P), banks
should only report data under the current national rules. For the columns corresponding to the final
Basel III SA (columns R to AC), banks should report data for approaches or options (eg including or
excluding the use of external ratings) that are expected to be implemented in their jurisdiction or in the
jurisdiction of the exposure, if different. National supervisors will provide additional guidance.
For exposures to general residential real estates in jurisdictions adopting the loan splitting
approach, banks are expected to provide data computed under the current national rules and the final
Basel III framework, splitting exposures between: (i) the part of the exposures up to 55% of the property
value (rows 113 and 122); and (ii) the other part of exposures above 55% of the property value (rows 114
and 123). 23 To note that under the current national rules the current RWA should be reported (columns C
22F

to P) while under the final Basel III framework (columns R to AC) a 20% risk weight is applied to exposures

23
For instance, for an exposure to general residential real estate equal to 100 secured by a property with a value of 55 would be
reported in rows 109 and 110 split in 55 and 45, respectively.

58 Instructions for Basel III monitoring

up to 55% of the property value (rows 113 and 122) and the obligor risk weight is applied to other
exposures (rows 114, 115, 123 and 124). 24 23F

Banks in jurisdictions that are not adopting the loan splitting approach can leave rows 113 to 115
and 122 to 124 empty.

7.2.2 Panel A.2: Memo item: Equity exposures under the current treatment
Panel A.2 collects information on equity exposures treated under the SA under the current national rules.
The panel further distinguishes between those equity exposures treated under the SA following the Basel II
grandfathering provisions and all other equity exposures currently under the SA. This information will be
used to disentangle the effects of the equity grandfathering expiring shortly from the effects of the final
Basel III framework.

7.3 Worksheet “Credit risk (IRB)”

Banks adopting IRB models are to fill in this worksheet. It collects information on current credit risk
exposures (except securitisation) in the banking book and to CCR in the trading book under the IRB
approach subject to the current national rules in place at the reporting date and the revisions to internal
models as well as the output floor.

7.3.1 Panel A
Panel A requires the reporting of information on exposures subject to the IRB approach according to the
following exposure classes, as defined under the IRB section of the Basel Framework (ie the 2023 versions
of CRE30 to CRE36).

Row Headings Description

17 Sovereigns Sovereign exposures should be reported here, as defined in CRE30.17.
18 Banks Bank exposures should be reported here, as defined in CRE30.18.
21–23 Large and mid- These rows report all exposures to corporates with the following exceptions: specialised
market general lending (SL) exposures (to be reported in row 27 to row 45), small-and medium-sized
corporates entities (SME) exposures that are treated as corporates (to be reported in row 26), financial
institutions that are treated as corporates (to be reported in row 24) and corporate eligible
purchased receivables under the IRB approach (to be reported in row 76). The exposures
must be split into the following two segments or (sub-)asset classes:
• Exposures to corporates belonging to consolidated groups with annual revenues
greater than €500 million.
• Exposures to corporates belonging to consolidated groups annual revenues less than
or equal to €500 million.
In all cases above, the thresholds apply at the reporting date using the applicable exchange
rate at that date and are based on total assets or total revenues numbers reported in the
most recent set of audited financial statements of the consolidated group to which the
corporate belongs.
24 Financial All exposures to financial institutions treated as corporate exposures should be reported
institutions here. This will include financial institutions that are treated as corporates due to the
treated as application of CRE20.40. It includes exposures to insurance companies.
corporates
26 SME treated as All exposures included in the IRB corporate asset class that benefit from the firm-size
corporate adjustment for SME must be reported here. That is, all exposures that benefit from the
exposures. treatment outlined in CRE31.9–10.

24
The risk weight applied is the risk weight to be assigned to an unsecured exposure to that counterparty. For further details, see
CRE20.83.

Instructions for Basel III monitoring 59

 Row Headings Description
27–39 Specialised All exposures that are currently within the IRB definition of specialised lending (ie Project
lending Finance, Object Finance, Commodities Finance, Income-Producing Real Estate and High-
exposures Volatility Commercial Real Estate), as defined in CRE30.7–16.
48–51 Equity exposures; All exposures to equities (as defined in CRE30.26) different from equity investments in funds
of which: (as defined in CRE60) are to be in this row. Exposures to equity investments in funds are
speculative to be reported in rows 56 to 58. Please note that the IRB approach is no longer allowed for
unlisted, these exposure under CRE30.34 so that exposures to equities should be reported in this
exposures to panel under the current framework (columns C to AO, blue area) as well as in columns BY
certain legislative to CK under the final Basel III standards. For further details, please refer to the new
programs and standards of SA and IRB approaches.
others Equity exposures which are currently subject to the IRB approach but will be moving to the
SA should be reported here (in columns C to M and BY to CK) and not be in the worksheet
“Credit risk (SA)”, panel A.
56–58 Equity Equity investments in funds are to be reported here according to CRE60. In particular,
investments in exposures under the look-through approach are to be reported in the relevant asset class
funds; of which: of the fund’s underlying exposures. If the IRB approach is applied, the exposures are to be
mandate-based reported in this panel while exposures under SA should be reported in panel A.1 of the
approach and fall worksheet “Credit risk (SA)”. In rows 57 and 58, exposures under the mandate-based
back approach approach and the fall back approach are to be reported, respectively.
Risk weights must include the leverage adjustment where applicable.
In the current framework, banks in jurisdictions that have not implemented yet the above-
mentioned standards are expected to report exposures under current national rules in row
58 unless the current rules involve an IRB look-through approach in which case the fund’s
underlying exposures may be reported directly in their relevant asset class.
60 Retail residential Exposures to retail residential mortgages should be reported here, as defined in CRE30.19
mortgages to CRE30.23.
61–67 Other retail Other retail exposures (as defined in CRE30.23) should be split by exposures that are fully
exposures unsecured (row 62) and those exposures that are secured by collateral (row 65). In addition,
in rows 63 and 66 data on SME exposures that meet the conditions to be considered retail
exposures should be provided.
68–70 QRRE exposures Qualifying revolving retail exposures (QRRE) should be split by “transactors” (row 69) and
“revolvers” (row 70), as defined in CRE30.24–25.
75–77 Eligible All eligible purchased receivables (as defined in CRE30.27–31) split into corporate
purchased receivables (row 76); and retail receivables (row 77) should be reported in these rows. RWAs
receivables and EL amounts should include credit as well as dilution risk (CRE34.8–9).
79 Failed trades and In this row, all unsettled and failed transactions need to be reported, as defined in CRE70.
non-DVP
transactions.
80–81 Other assets These rows are to be used for all other IRB exposures that are not reported in any of the
rows above, including fixed assets and unassigned exposures. Row 81 is for the amounts
reported in row 80 that do not relate to credit obligations (eg fixed assets, non-guaranteed
residual values of leasing contracts).
92 Memo item: IRB For banks reporting data using the revised market risk framework’s definition of the TB-BB
exposures boundary, positions that were previously held in the banking book but are held in the
reported in the trading book under the revised definition should only be reported in this. This row is
banking book in mandatory for banks that report data using the revised market risk framework’s definition
regulatory of the TB-BB boundary; all other banks should fill in zero.
reporting but no
longer included
above due to the
application of the
revised market
risk framework
definition of TB-
BB boundary

60 Instructions for Basel III monitoring

 Row Headings Description
93 Memo item: IRB For banks reporting data using the revised market risk framework’s definition of the TB-BB
exposures boundary, positions that were previously held in the trading book but are held in the
reported in the banking book under the revised definition should be reported in this row as well as in other
trading book in rows of the “Credit risk (IRB)” worksheet as relevant. This row is mandatory for banks that
regulatory report data using the revised market risk framework’s definition of the TB-BB boundary; all
reporting that are other banks should fill in zero.
included above
due to the
application of the
revised market
risk framework
definition of TB-
BB boundary

Banks are to provide data for the above groups of exposures computed according to:
• The current national rules in place at the reporting date (columns C to AO). Total IRB exposures
are reported in columns C to M. For most asset classes, they are calculated automatically as the
sum of exposures reported as FIRB and AIRB, which are in columns N to Y and Z to AK,
respectively. Banks subject to the EU Regulation 575/2013 (CRR) should report RWA (columns I
to L, T to W, AF to AI) after the SME-supporting factor in accordance with Article 501 of the CRR.
• The proposed revisions to IRB approaches and the SA-CCR (columns AP to CK). Total IRB
exposures are in columns AP to AZ. For most asset classes, they are calculated automatically as
the sum of exposures reported as FIRB and AIRB that are reported in columns BM to BX and BA
to BL, respectively. Exposures which are subject to the AIRB or FIRB approach under current
national rules, but which, under the final Basel III standards move to the SA, either due to the
application of rules of recognition of guarantees and credit derivatives (specified in CRE32.27,
CRE32.28 and CRE32.60), or because they are equity exposures, should be reported in columns
BY to CK.
• CCR exposures evaluated under SA-CCR for exposures currently subject to another non-internal
model method (columns CL to CN); and
• Full non-modelling approach, ie the final Basel III SA for credit risk, the SA-CCR/non-internal
model methods to counterparty credit risk exposures and collateral (columns CO to CS).
The data to be reported for each asset class and for each approach (FIRB, AIRB, SA and total IRB)
are set out in the following table. Exposures should be reported after substitution, ie according to the
credit protection providers for guaranteed exposures or for exposures guaranteed by credit
derivatives. In particular: (i) in cases where the guarantee is currently recognised through a substitution
approach, the guaranteed part of the exposure will be reported in the exposure class of the guarantor; (ii)
in cases where the guarantee is recognised through a PD or LGD adjustment or by using the double default
formula, the whole exposure will be reported in the exposure class of the obligor. Exposures should be
reported in the same row across all columns (ie they should neither move across rows between the pre
and post CRM columns, nor between the current and final Basel III framework columns). This means that
new substitutions in the final Basel III framework should not imply a change in the reporting line
of the exposure.

Column Headings Description

C, N, Z, AP, BA, On-balance sheet exposures (post- On-balance sheet exposures other than CCR exposures, after
BM and BZ CRM) substitution (including the simple approach) and other CRM.
D, O, AA, AQ, CCR, total CCR exposures (ie associated with derivatives and SFTs) in both
BB, BN and CA the banking book and the trading book.

Instructions for Basel III monitoring 61

 E, P, AB, AR, BC, CCR, of which internal models Of the amount reported in the “CCR, total” column, the
BO and CB exposure amount which has been calculated with CCR internal
models.
G, R, AD, AT, Off-balance sheet exposures (post- Off-balance sheet exposures after application of CCF and CRM.
BE, BQ and CD CCF post-CRM)
H, S, AE, AU, BF, EAD (post-CCF, post-CRM) Total credit exposure after application of CCF and CRM. In
BR and CE most cases, it is calculated automatically as the sum of the
previous columns.
I, T, AF, AV, BG, RWA, on-balance sheet exposures RWA related to the on-balance sheet exposures above, after
BS and CF application of CCF and of CRM. For the national rules in place
at the reporting date, where relevant, the IRB scaling
factor (1.06) needs to be applied in the computation of
current RWA (columns I, T, AF).
J, U, AG, AW, RWA, CCR RWA related to the CCR exposures above, after application of
BH, BT and CG CCF and of CRM. For the national rules in place at the
reporting date, where relevant, the IRB scaling factor
(1.06) needs to be applied in the computation of current
RWA (columns J, U, AG).
K, V, AH, AX, BI, RWA, off-balance sheet exposures RWA related to the off-balance sheet exposures above, after
BU and CH application of CCF and of CRM. For the national rules in place
at the reporting date, where relevant, the IRB scaling
factor (1.06) needs to be applied in the computation of
current RWA (columns K, V, AH).
L, W, AI, AY, BJ, RWA, total Total RWA related to the exposures above, after application of
BV and CI CCF and of CRM. For the national rules in place at the
reporting date, where relevant, the IRB scaling factor
(1.06) needs to be applied in the computation of current
RWA (columns L, W, AI). It is calculated automatically as the
sum of the previous column
M, X, AJ, AZ, BK EL amounts (total) Total expected loss amounts related to the exposures above.
and BW
Y, AK Of which EL amounts for defaulted Of the relevant total expected loss amounts, the amounts
assets related to defaulted assets.
AL Specific provisions, non-defaulted Specific provisions assigned to the non-defaulted exposures of
exposures the relevant asset class.
AM Specific provisions, defaulted Specific provisions assigned to the defaulted exposures of the
exposures relevant asset class.
AN General provisions, non-defaulted General provisions assigned to the non-defaulted exposures of
exposures the relevant asset class.
AO General provisions, defaulted General provisions assigned to the defaulted exposures of the
exposures relevant asset class.
CJ Average risk weight Average SA risk weight, calculated automatically.

It is worth noting that:

• From columns C to AO, the current CRM framework to collateralised exposures and the current
CCF to off-balance sheet exposures are to be applied. For counterparty credit risk, banks are to
apply approaches currently used: the internal model method (IMM) or non-internal model
methods. In addition, for the national rules in place at the reporting date and where
relevant, banks are expected to apply the 1.06 scaling factor in the computation of RWA;
• From columns AL to AO, data on current specific and general provisions, for both non-defaulted
and defaulted assets are to be reported. This information is needed to calculate the provision
shortfall (excess) that must be deducted (added) from capital (to capital). The shortfall/excess is

62 Instructions for Basel III monitoring

 given by the difference between eligible provisions and expected losses; expected losses are
impacted by the IRB revisions, while the accounting provisions remain unchanged. Note that the
bank should use internal rules for attributing general provisions across IRB and standardised
approaches as well as across exposures or asset classes or, as a fallback, attribute on a pro-rata
of credit RWA basis (see also CAP10.18–19 and CRE35.4–7 for the definition and allocation of
provisions). In case the operative accounting framework allows for general provisions for
defaulted assets, these have to be reported in column AL.
• From columns AP to CK, banks should apply on best effort basis the final Basel III framework for
the IRB, CRM and CCF. Banks are expected: (i) to move exposures to banks, financial institutions
treated as corporates and large and mid-market general corporates belonging to consolidated
groups with annual revenues greater than €500 million currently under the AIRB approach to the
FIRB approach (columns BM to BX); (ii) to move equity exposures to SA (columns BY to CK); 25 24F

(iii) to move to the SA (columns BM to BX) the guaranteed portion of exposures in cases
where the a direct exposure to the guarantor would be treated according to the SA (see
CRE32.27); (iv) to apply the final Basel III standards, including the CRM framework for
collateralised exposures and CCF for off-balance sheet exposures. In particular, for off-balance
sheet exposures under the FIRB approach, CCF of the SA are to be used; while for off-balance
sheet exposures under the AIRB approach, CCF/EAD would still be modelled but a floor (equal to
50% of off-balance sheet exposures computed with the CCF of the SA) is applied; (v) to remove
the IRB scaling factor (1.06) for reporting of RWA under the final Basel III framework.
• For calculating CCR exposures, banks that do not adopt the IMM are expected to apply the SA-
CCR. In jurisdictions where the SA-CCR has not yet been implemented, the SA-CCR should be
applied on best effort basis. In case banks are not able to measure CCR exposures using the SA-
CCR, they may use one of the current non-internal model methods. Note that once these banks
will be able to apply the SA-CCR, they will be required to do a parallel computation for measuring
CCR exposures (to report in columns CL to CN) under the current methods and the SA-CCR as
described in Box 1 in Section 7.3.2;
From columns CO to CS, banks should apply the full non-modelling approach for credit and
counterparty credit risk and the collateral to all exposures reported in columns AP to CK of the relevant
row as follows.

Column Headings Description

CO Exposures (post-CCF, post-CRM), Credit exposures are computed according to the final
(AF in “Credit total standards for CRM (the simple approach or the comprehensive
risk (SA)” approach with supervisory haircut) and CCF of the final Basel III
worksheet) SA. To note that exposures reported here are to include
defaults and non-performing loans.
Counterparty credit risk exposures are computed applying: (i)
CA(SH) or simple approach to SFTs; (ii) the SA-CCR to
derivatives exposures.
CP Exposures (post-CCF, post-CRM), of Of the amount reported in column CO, the CCR exposure
(AG in “Credit which: CCR amount.
risk (SA)”
worksheet)
CQ RWA Total RWA computed under the final Basel III SA related to the
(AH in “Credit exposures in column CO.
risk (SA)”
worksheet)

25
Such exposures should not be reported in panel A of the worksheet “Credit risk (all banks)”, which includes exposures currently
subject to the standardised approach, but instead in Columns BY to CK of panel A of the worksheet “Credit risk (IRB)”, as well
as in columns C to J of panel B of the worksheet “Credit risk (IRB)”.

Instructions for Basel III monitoring 63

 Cells in column CT to CY are specific to banks in the European Union and should be left
empty by banks in all other jurisdictions.

7.3.2 Panel B: Memo item: Equity exposures under the current treatment
Panel B collects information on equity exposures treated under the IRB approach and under the current
national rules. The panel further distinguishes between those equity exposures subject to the Basel II
grandfathering provisions and all other equity exposures currently under the IRB approach.

Box 1

Changes in CCR exposures evaluated under SA-CCR compared to the current non-
internal model methods
0B

Banks whose jurisdictions have not yet implemented the SA-CCR are allowed to measure counterparty credit
exposures under the final Basel III framework applying the current CCR methods as long as they are not able to use
the SA-CCR to measure counterparty credit risk exposures. When they will be able to apply the SA-CCR (and/or it will
be implemented in their own jurisdictions), banks will be required to use it to compute data under the final Basel III
framework (part of panel A.1 with green heading) and to still provide information on the changes in CCR exposures,
and consequently in RWA and EL amounts, coming from the application of the SA-CCR instead of the non-internal
model method currently used.

This information would disentangle the effects of the final Basel III framework to credit risk from the changes
to CCR. To allow consistent analysis between different reference dates, such data will be requested for all reporting
periods since the bank is able to apply the SA-CCR. This means that:

• As long as current non-internal model methods are applied (please pay attention to the flags set in the
“General Info” worksheet) cells in columns CL, CM and CN should not be compiled;

• Since the SA-CCR is applied, banks should report: (i) data in panel A.1 (columns referring to the final Basel III
framework) under the SA-CCR and; (ii) in column CL the CCR exposures using the non-internal model
methods used before application of SA-CCR, applied to the same set of exposures to which SA-CCR is now
applied; (ii) in columns CM and CN the resulting differences in RWA and EL amounts (where relevant)
according to the standards applied in the final Basel III framework for the IRB in columns AY, BJ, BV and CI
of the “Credit risk (IRB)” worksheet and for the SA in column AA of the “Credit risk (SA)” worksheet, compared
to the application of the previous non-internal method. The reported RWA and EL differences should be
positive if the previous non-internal method results in a higher number, otherwise negative.

Please note that these columns should be compiled for all the periods since banks are able to apply the SA-
CCR (independently from the implementation date in the relevant jurisdiction). Banks adopting the IMM for all CCR
exposures do not have to fill in these cells.

7.4 Worksheet “Securitisation”

This “Securitisation” worksheet collects information to assess the whether the objectives of the revised
securitisation framework, including simple, transparent and comparable (STC) securitisation exposures 26 25F

and the capital treatment of securitisations of non-performing loans (CRE45 (2023 version)), 27 are being 26F

met, and to evaluate the impact of the implementation of these standards in the jurisdictions which have
not yet implemented it. When providing the information, zeros should be indicated in the mandatory

26
Basel Committee on Banking Supervision, Revisions to the securitisation framework, amended to include the alternative capital
treatment for “simple, transparent and comparable” securitisations, July 2016, www.bis.org/bcbs/publ/d374.htm; Basel
Committee on Banking Supervision and Board of the International Organization of Securities Commissions, Criteria for
identifying simple, transparent and comparable securitisations, July 2015, www.bis.org/bcbs/publ/d332.htm.
27
Basel Committee on Banking Supervision, Capital treatment of securitisations of non-performing loans, technical amendment,
November 2020, www.bis.org/bcbs/publ/d511.htm.

64 Instructions for Basel III monitoring

(yellow) cells when there are no exposures/RWA (none of the yellow cells should be kept empty), except
where explicitly noted below with respect to panel A.1.
Securitisation exposures in the trading book should be reported in the worksheets
associated with trading book positions. For banks reporting data using the revised market risk
framework’s definition of the TB-BB boundary (ie “General Info” C47 = “Yes”), positions which were
previously held in the banking book but are held in the trading book under the revised definition
should only be reported in row 42. Conversely, positions which were previously held in the trading
book but are held in the banking book under the revised definition should be reported on the
securitisation worksheet where relevant and also in row 43.
Securitisation exposures retained by the originator banks in a securitisation transaction not
meeting the requirements for the recognition of risk transference (as set out in CRE40.24–25) are
not to be reported in this worksheet.
Banks should provide additional information in the case of securitisation transactions which are
eligible in national securitisation frameworks previous to the revised securitisation framework, but will no
longer meet the requirements for the recognition of risk transference once the revised securitisation
framework are implemented (or in the reverse case, if applicable) and hence would not be reported in this
worksheet. For more details, see the instructions to column I in panel A.2.
Panel A.2 collects information on all securitisation exposures in the banking book under the
revised standards (and its treatment under the national implementation where it the revised securitisation
framework was not yet implemented), except for securitisation exposures deducted from capital. The
calculation for the revised standards should reflect CRE45 (2023 version).
Banks in jurisdictions that have partially or fully implemented the revised securitisation framework
should proceed as follows:
• Banks in jurisdictions that have fully implemented the revised securitisation framework including
the output floor do not need to complete panels A.1 and A.2.
• Banks in jurisdictions that have implemented the revised securitisation framework but not yet the
output floor only have to fill in panel A.1 and columns I, P and Q of panel A.2.
• Banks in jurisdictions which have partially implemented the revised securitisation framework
should generally report the same information under the “current” and “final” rules in panel A.2
(ie the information reported in columns C, D and I will be the same as columns M, N and P) and
should apply the revised framework to determine the required information. However, in the rows
for STC securitisations, “current” and “final” columns may still differ, as only the latter should
reflect CRE45 (2023 version). In the case of jurisdictions which have implemented the revised
securitisation framework with a grandfathering rule for certain positions, data provided in
columns C to L will be a mixture of the old framework (for positions subject to grandfathering)
and the revised framework (position not subject to any grandfathering rule).
Please observe that the final Basel III framework makes some adjustments to the
calculation of Kirb for the purpose of the application of the SEC-IRBA (CRE44.2–5 (2023 version))
and the caps (CRE44.50 and CRE40.52–53 (2023 versions)). In contrast to the 2019 versions of these
paragraphs, the scaling factor of 1.06 will no longer be applied in this context.

Instructions for Basel III monitoring 65

 EU banks should complete this template according to EU Regulations 2017/2401 28 and 27F

2017/2402 29. Columns C to L (“Current framework”, “Securitisation” worksheet) should be consistent with
28F

the COREP submissions. More specifically, banks should consider the transitional arrangements foreseen
by Art 2 of Regulation (EU) 2017/2401. Furthermore, both outstanding transactions (submitted according
to the old framework) and new transactions (submitted according to the new framework) should be
reported. Columns M to Q (“Final standards”, “Securitisation” worksheet) should be based on the fully-
loaded framework (ie disregarding transitional arrangements of Art 2 of Regulation (EU) 2017/2401).
Columns M to P are intended for both outstanding and new transactions.

7.4.1 Panel A.1: Current securitisation requirements (full portfolio)

In panel A.1, a bank should report their current securitisation RWA for their full set of exposures,
irrespective of whether or not the bank had to use a subset of exposures for providing data in panel A.2.

Row Column Heading Description

14 F Standardised approach, RWA RWA for exposures currently subject to the standardised
approach.
15 F IRB approaches, RWA RWA for exposures currently subject to the IRB approach.

7.4.2 Panel A.2: Securitisation exposures – information on approaches

Panel A.2 requires the reporting of information on securitisation exposures split by the hierarchy of
approaches as defined in the final standards: (i) the internal ratings-based approach (SEC-IRBA); (ii) the
external ratings-based approach (SEC-ERBA); (iii) the internal assessment approach (IAA); and (iv) the
standardised approach (SEC-SA). In addition, banks are expected to identify between their own exposures
those that are STC securitisations, applying the criteria on a best effort basis. Resecuritisation as well as
securitisation exposures not eligible to any of the approaches and hence receiving a 1250% risk weight
are collected separately.
To note that the allocation of exposures to a specific row is only dependent on its treatment
under the final standards, and independent of the approach used under the current rules if different from
the final standards. This means that, for the same securitisation exposure, the results under the
current and final rules will be reported in the same row based on the approach used under the final
rules according to the hierarchy of approaches. Under no circumstance should one exposure be
reported in more than one row.

Row Headings Description

22 and of which: Securitisation exposures that meet the criteria to be treated under the SEC-IRBA according
28 internal to the revised securitisation framework standards (CRE44.1–26) should be reported here.
ratings-based Securitisation exposures that would fulfil STC criteria should be reported in row 28
approach (SEC- (CRE40.66–71 and CRE44.27–29), while non-STC qualifying securitisation exposures should
IRBA) be reported in row 22.

28
Regulation (EU) 2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No
575/2013 on prudential requirements for credit institutions and investment firms, eur-lex.europa.eu/legal-
content/en/ALL/?uri=CELEX:32017R2401.
29
Regulation (EU) 2017/2402 of the European Parliament and of the Council of 12 December 2017 laying down a general
framework for securitisation and creating a specific framework for simple, transparent and standardised securitisation, and
amending Directives 2009/65/EC, 2009/138/EC and 2011/61/EU and Regulations (EC) No 1060/2009 and (EU) No 648/2012,
eur-lex.europa.eu/legal-content/en/ALL/?uri=CELEX:32017R2402.

66 Instructions for Basel III monitoring

 Row Headings Description
23 and of which: Securitisation exposures that meet the criteria to be treated under the SEC-ERBA according
29 external to the revised securitisation framework (CRE42.1–10) should be reported here.
ratings-based Securitisation exposures that would fulfil STC criteria (CRE40.66-71 and CRE42.12-13)
approach (SEC- should be reported in row 29 while the non-STC qualifying securitisation exposures in row
ERBA) 23.
24 and of which: Specific information on ABCP transactions under the IAA should be reported in row 24 and
30 internal 30 (CRE43.1–4). Securitisation exposures that would fulfil STC criteria (CRE40.66-71 and
assessment CRE42.12-13) should be reported in row 30 while the non-STC qualifying securitisation
approach (SEC- exposures in row 24.
IAA)
25, 26 of which: Securitisation exposures that meet the criteria to be treated under the SEC-SA according
and 31 standardised to the revised securitisation framework (CRE41.1–15) should be reported here.
approach (SEC- Securitisation exposures that would fulfil STC criteria (CRE40.66-71 and CRE41.21) should
SA) be reported in row 31, while non-STC qualifying securitisation exposures in row 25. Specific
information on resecuritisation transactions is collected in row 26 (CRE40.48 and CRE41.16–
19).
32 Others (1250% Securitisation exposures to which none of the approaches set in the final standards can be
RW) applied and hence receive a risk weight of 1250% (CRE40.41) are to be reported here. 30 29F

34 Of the non-STC Corresponding amounts of columns E, F and I to L that are related to NPL securitisations
securitisations: as defined in CRE45.1 should be reported in this row.
NPL
securitisations
35 Of which: NPL Corresponding amounts of columns E, F and I to L that are related to NPL securitisations
securitisations subject to CRE45.5 should be reported in this row.
subject to
CRE45.5

In jurisdictions that have not yet implemented the revised securitisation standards, banks are
expected to classify securitisation exposures on a best effort basis referring to the revised securitisation
standards. Banks not currently allowed to use the internal ratings-based approach will classify exposures
under one of the non-modelling approaches of the revised framework. Similarly, banks in jurisdictions
permitting the use of external ratings would classify their exposures under the SEC-ERBA if currently not
allowed to use the IRB on the underlying exposures. The IAA is allowed only for ABCP exposures that are
also currently treated under this approach. Panel A.2 also requires the reporting of information based on
current rules on securitisation exposures after considering credit risk mitigation divided into originator,
investor and sponsoring positions.
Additionally, it is worth noting that:
• from columns C to L, current national rules are applied. Columns C to H collect data on the
securitisation exposures, including overlapping exposures, while columns I to L collect data on
RWA. To note that in column D the amount of overlapping exposures should be reported;
• from columns M to Q, banks are expected to apply the revised securitisation framework. 31 Data 30F

on exposure amounts (included overlapping exposures) are reported from columns M to O, while
RWA are reported in columns P and Q.
The following table provides further details on the data to be reported in single columns.

30
Securitisations transactions to which 1250% risk weight is currently applied (because not eligible for the approaches in the
current national rules) but that will be eligible for one of the approaches set in the final standards are not to be reported here
but in the row of the relevant approach of the revised securitisation framework.
31
Basel Committee on Banking Supervision, Revisions to the securitisation framework, amended to include the alternative capital
treatment for “simple, transparent and comparable” securitisations, July 2016, www.bis.org/bcbs/publ/d374.htm.

Instructions for Basel III monitoring 67

 Column Headings Description
C and M Exposures (post CRM Securitisation exposures amount of all transactions, included overlapping
post CCF post exposures calculated: (i) in column C according to the current national rules
substitution and net of for securitisation, counterparty credit risk (CCR), CRM and CCF; (ii) in the
provisions) column G following CRE40.19–20.
Note that securitisation transactions reported in columns C are the
same reported in columns M. Differences in exposure amounts reported
in columns C and M should come from the application of current national
rules versus the revised securitisation framework.
D and N of which: Overlapping securitisation exposures should be reported here (CRE40.38–
overlapping exposures 40). Referring to the example set in CRE40.38, in the case a bank’s
exposure A overlaps another exposure B, exposure B should be
reported in these columns while the sum of A and B should be
reported in columns C and M.
E and O Exposure amounts This amount corresponds to the exposures considered for risk capital
purposes as defined in CRE40.19–20. To note that these columns are
automatically computed as the difference between the previous two
columns (columns C and D and M and N for columns E and O, respectively).
F Exposure amounts; of Of the exposure in column E, amount for originator positions.
which: originator
G Exposure amounts; of Of the exposure in column E, amount for investor positions.
which: investor
H Exposure amounts; of Of the exposure in column E, amount for sponsor positions.
which: sponsor
I and P RWA RWA according to the current national rules and the revised securitisation
framework. Note that caps for risk weights and capital requirements as
set out in the current rules as well as in the revised framework
(CRE40.50–55) should be reflected in the RWA.
For non-STC securitisations, RWA under the revised framework in column P
should reflect the impact of CRE45 (2023 version).
J RWA; of which: Of the RWA in column I, amount for originator positions.
originator
K RWA; of which: investor Of the RWA in column I, amount for investor positions.
L RWA; of which: sponsor Of the RWA in column I, amount for sponsor positions.
Q Corresponding RWA As described in RBC20.11–12 (2023 version), banks are expected to apply
under the SEC- the external ratings approach (SEC-ERBA) to the exposure amounts which
ERBA/SEC-SA they have applied the internal ratings-based approach (SEC-IRBA) if (i) the
bank is located in a jurisdiction that permits use of external credit
assessment for regulatory purpose and (ii) the exposure has an external
credit assessment that meets the operational credit assessment or there is
an inferred rating that meets the operational requirements for inferred
ratings in CRE42.8–10.
Banks are expected to apply the SEC-SA to all the exposure amounts which
they have applied the SEC-IRBA which do not qualify for the use of the SEC-
ERBA as described above and all the exposure amounts which they have
applied the Internal Assessment Approach (IAA).
Note that in performing the computation, banks should use the
exposure amounts reported in column M (ie the application of the
SEC-ERBA or SEC-SA should not result in changes to the exposure
amount or the outcome of significant risk transfers).
For non-STC securitisations, RWA under the revised framework in column J
should reflect the impact of CRE45 (2023 version).

68 Instructions for Basel III monitoring

7.4.3 Panel B: Securitisation exposures (only exposures are subject to the final standards)
Row Headings Description
42 Memo item: For banks reporting data using the revised market risk framework’s definition of the TB-BB
securitisation boundary, positions that were previously held in the banking book but are held in the
exposures trading book under the revised definition should only be reported in row 39. This row is
reported in the mandatory for banks that report data using the revised market risk framework’s definition
banking book of the TB-BB boundary; all other banks should fill in zero.
in regulatory
reporting but
no longer
included above
due to the
application of
the revised
market risk
framework
definition of
TB-BB
boundary
43 Memo item: For banks reporting data using the revised market risk framework’s definition of the TB-BB
securitisation boundary, positions that were previously held in the trading book but are held in the
exposures banking book under the revised definition should be reported in row 39 as well as in other
reported in the rows of the “Securitisation” worksheet as relevant. This row is mandatory for banks that
trading book in report data using the revised market risk framework’s definition of the TB-BB boundary; all
regulatory other banks should fill in zero.
reporting that
are included
above due to
the application
of the revised
market risk
framework
definition of
TB-BB
boundary

8. Operational risk

Please refer to guidance from the national supervisor as to whether it is necessary to fill in this
worksheet.
To support the Committee’s work of on operational risk, the “OpRisk” worksheet collects data on four
panels: balance sheet and other items (panel A), income statement (panel B), operational losses (panel C)
and RWA along with regulatory add-ons (panel E). Panel D, presents calculations for each of the main
components of the Standardised Measurement Approach (SMA), and accounts for the treatment of losses
in national implementation.
Panels from A to E should be completed by all the banks on a best effort basis. If the information
is not available, a corresponding cell should be left blank as per QIS general principle.
As for other parts of the Basel III monitoring template, the data in the “OpRisk” worksheet should
be reported on a group-wide consolidated basis for all entities that are consolidated by the bank for risk-
based regulatory purposes. Data should be reported in the reporting currency and unit as set out in the
“General Info” worksheet as of the relevant reference date. Banks should enter the calendar year of the

Instructions for Basel III monitoring 69

most recent end of the bank’s financial year in cell N3 of the “OpRisk” worksheet. Banks should provide
the data in panels A to D and E2 in exactly the same way as it would feed into the calculation of regulatory
capital requirements if the final Basel III framework was already in place at the reporting date.

8.1 Balance sheet and other items (panel A)

Panel A collects information on specific items of the balance sheet. To the extent possible these items
should already include M&A-activities (see OPE25.34) and exclude divested activities (see OPE 25.33).

Row Column Heading Description

6 L–N Total assets Total on-balance sheet assets.
7 L–N of which: interest-earning Total on-balance sheet assets generating interest income,
assets (including lease assets) including total gross outstanding loans, advances and
interest-bearing securities (including government bonds)
measured at the end of each financial year. It also includes
assets subject to operating lease.

At the request of the national supervisor only, data for the two previous years should be
provided in columns J and K of panel A.

8.2 Income statement (panel B)

Panel B collects information on specific items of the income statement. To the extent possible these items
should already include M&A-activities (see OPE25.34) and exclude divested activities (see OPE 25.33).. 32 31F

Row Column Heading Description Sub-items

12 L–N Interest income Interest income coming from all Interest income from:
(including financial assets and other interest • Loans and advances, assets
financial and income. Interest income from available for sale, assets held to
operational lease) financial and operating lease maturity, and trading assets
should be included in this item. • Hedge accounting derivatives
• Financial and operating leases
• Other interest income
13 L–N Income from Of the amount reported in row 12,
financial and income from financial and
operational lease operational lease.
Only to be provided at the
request of the national
supervisor.
14 L–N Interest expenses Interest expense coming from all Interest expenses from:
(including financial liabilities and other • Deposits
financial and interest expenses. Interest • Debt securities issued
operating lease) expenses from financial and
• Hedge accounting derivatives
operating lease should be included
in this item. (this item should be • Financial and operating leases
reported as a positive value) • Other interest expenses

32
Any adjustments like M&A, divestments or OPE10.3 should already be considered in case of the application of the final
standards and the correct reporting should not create any additional burden. Nevertheless, for banks where the new standard
is not yet in force, such adjustments may not be necessary or be different from the final Basel III standards and could cause
significant additional burden (eg creation of consolidated P&Ls and balance sheets for the past years). Thus, such adjustments
should at least be considered in the P&L and balance sheet items on best effort basis to get an impression of the real future BI
and thus the potential capital requirement.

70 Instructions for Basel III monitoring

 Row Column Heading Description Sub-items
15 L–N Expenses from Of the amount reported in row 14,
financial and expenses from financial and
operational lease operational lease.
Only to be provided at the
request of the national
supervisor.
17 L–N Dividend income Dividend income from investment
in stocks and funds not
consolidated in the bank’s financial
statements, including dividend
income from non-consolidated
subsidiaries, associates and joint
ventures.
18 L–N Fee and Income received for providing fee- Fee and commission income from:
commission based advices and services. • Securities (issuance,
income Includes income received by the origination, reception,
bank as outsourcer of financial transmission, execution of
services. orders on behalf of customers)
• Clearing and settlement
• Asset management
• Custody
• Fiduciary transactions
• Payment services
• Structured finance
• Servicing of securitisations
• Loan commitments and
guarantees given
• Foreign transactions
19 L–N Fee and Expenses paid for receiving advice Fee and commission expenses from:
commission and services. Includes outsourcing • Clearing and settlement
expenses fees paid by the bank for the • Custody
supply of financial services, but not
• Servicing of securitisations
outsourcing fees paid for the
supply of non-financial services • Loan commitments and
(eg, logistical, IT, human resources) guarantees received
(this item should be reported as a • Foreign transactions
positive value)

Instructions for Basel III monitoring 71

 Row Column Heading Description Sub-items
20 L–N Net profit (loss) To distinguish trading from non- • Net profit/loss on trading
on financial trading books items, the criteria in assets and liabilities
operations the Committee’s new Minimum (derivatives, debt securities,
(trading book) capital requirements for market equity securities, loans and
risk 33 should be used. Gains advances, short positions, other
21 L–N Net profit (loss)
32F

should be reported in positive assets and liabilities).

on financial
values and losses in negative • Net profit/loss on financial
operations (non-
values. assets or liabilities measured at
trading book)
fair value through profit or loss.
• Realised net gains/losses on
financial assets and liabilities
not measured at fair value
through profit or loss (loans
and advances, assets available
for sale, assets held to maturity,
financial liabilities measured at
amortised cost).
• Net profit/loss from hedge
accounting.
• Net profit/loss from exchange
differences.
22 L–N Other operating Income from ordinary banking • Rental income from investment
income operations not included in other properties.
Panel B items. Income from • Gains from non-current assets
operating lease should not be and disposal groups classified
included in this item. as held for sale not qualifying
as discontinued operations
(IFRS 5.37).
23 L–N Net adjustments Amount of net adjustments to
to gross income gross income allowed in a bank’s
jurisdiction. Upon these
adjustments, the gross income
figures calculated in row 11 should
correspond to the gross income
figures used in the bank’s
jurisdiction for calculation of the
operational risk capital
requirement and should consider
changes in a bank’s activity due to
divestment or mergers and
acquisition as long as these values
are still reported in panel B.

33
Basel Committee on Banking Supervision, Minimum capital requirements for market risk, January 2019,
www.bis.org/bcbs/publ/d457.htm.

72 Instructions for Basel III monitoring

 Row Column Heading Description Sub-items
24 L–N Other operating Expenses and losses from ordinary • Losses from non-current assets
expenses banking operations not included in and disposal groups classified
other Panel B items and from as held for sale not qualifying
operational risk events. Expenses as discontinued operations
from operating lease should not (IFRS 5.37).
be included in this item. (this item • Losses incurred as a
should be reported as a positive consequence of operational
value) loss events (eg fines, penalties,
settlements, replacement cost
of damaged assets), which
have not been
provisioned/reserved for in
previous years.
• Expenses related to
establishing
provisions/reserves for
operational loss events.

The following sub-items should not contribute to any of the items requested in panel B (see
OPE10.3):
• Income and expenses from insurance or reinsurance businesses
• Premiums paid and reimbursements/payments received from insurance or reinsurance policies
purchased
• Administrative expenses, including staff expenses, outsourcing fees paid for the supply of non-
financial services (eg logistical, IT, human resources), and other administrative expenses (eg, IT,
utilities, telephone, travel, office supplies, postage)
• Recovery of administrative expenses including recovery of payments on behalf of customers (eg
taxes debited to customers)
• Expenses of premises and fixed assets (except when these expenses result from operational loss
events)
• Depreciation/amortisation of tangible and intangible assets (except depreciation related to
operating lease assets, which should be included in financial and operating lease expenses)
• Provisions/reversal of provisions (eg on pensions, commitments and guarantees given) except
for provisions related to operational loss events
• Expenses due to share capital repayable on demand
• Impairment/reversal of impairment (eg on financial assets, non-financial assets, investments in
subsidiaries, joint ventures and associates)
• Changes in goodwill recognised in profit or loss
• Corporate income tax (tax based on profits including current tax and deferred tax).

At the request of the national supervisor only, data for the two previous years should be
provided in columns J and K of panel B.

8.3 Operational losses (panel C)

Panel C collects aggregated data on the number and amount of operational losses for the bank as a whole
per the following criteria in columns E to N and should already consider losses due to M&A (see OPE25.34):

Instructions for Basel III monitoring 73

• Loss events should be included if they meet the definition of operational loss – as set out in the
Basel framework – and if their net impact inside the 10 years of the collection period is larger
than the reporting threshold (ie €20,000 in some rows and €100,000 in other rows). Losses for
both the €20,000 and €100,000 thresholds should be reported regardless of national
implementation.
• In grouping losses into operational loss events, banks should follow the principles set out in the
Committee’s Supervisory Guidelines for the AMA of June 2011. 34 33F

• Loss events often result in multiple accounting impacts. These accounting impacts could be losses
or recoveries, and may be spread out across multiple years. To determine whether a loss event
meets the reporting threshold, the net aggregate impact of the loss event inside the 10-year
window of the QIS should be calculated. For example, if a loss event results in a loss impact of
€16,000 in 2012 and €7,000 in 2013, this loss event should be included in the rows where loss
events above €20,000 are collected (but not in rows where only loss events above €100,000 are
collected). On the other hand, if a loss event that produces a loss of €1 billion in 2005 (outside of
the QIS window), a loss of €300 million in 2010 (inside the QIS window), and a recovery of €500
million in 2012 (inside the QIS window), the loss of €300 million and the recovery of €500 million
should not be included in panel C because the total net impact of this loss event inside the QIS
window is negative and, thus, less than €20,000.
• Recoveries include insurance recoveries. Recoveries should only be included if payback has been
received (ie unpaid receivables should not be counted as recoveries).
• Loss impacts (recoveries) should be introduced to total gross loss amounts (total recovery
amounts) of the years where they produced an accounting impact. For example, if a loss event
results in a loss impact of €1 billion in 2012, a loss impact of €2 billion in 2013, and a recovery of
€500 million in 2014, the bank should add €1 billion to the total gross loss amount of 2012, add
€2 billion to the total gross loss amount of 2013, and add €500 million to the total recovered
amount of 2014.
• The impact of a loss event on a particular year may be smaller than €20,000 or €100,000, but
these impacts should still reported in total gross loss amounts if the net aggregate impact of the
loss event inside the 10-year QIS window is above the appropriate reporting threshold.
• For purposes of panel C, provision/reserve increases associated with an operational loss event
should be treated as gross losses, and provision/reserve releases associated with an operational
loss event should be treated as recoveries.
Note: If recoveries outweigh losses in a year, such year will have negative net total losses.
However, the sum of the 10 years must be non-negative, because all loss impacts and recoveries included
should stem from loss events with a net impact over the 10 years of at least €20,000.

34
Basel Committee on Banking Supervision, Operational Risk – Supervisory Guidelines for the Advanced Measurement Approaches,
June 2011, www.bis.org/publ/bcbs196.htm.

74 Instructions for Basel III monitoring

 Row Column Heading Description
29 E–N Data available Please indicate whether loss data for a particular year are
available and if yes, whether
• no losses occurred ≥ €20,000 (please fill in zeros in
rows 30 to 59) and set this flag to ”Yes, but no
losses ≥ 20k”;
• losses occurred ≥ €20,000 but < €100,000 (please
fill in zeros in rows 47 to 59) and set this flag to
“Yes, losses ≥ 20k but < 100k only”;
• losses occurred also ≥ €100,000 and set this flag to
“Yes, also losses ≥ 100k”.
If no comprehensive loss data are available, please set this
flag to “No” and keep the loss reporting cells of that year
blank. This information is used to check for consistency of
the data provided in panel C.
31, 47 E–N Total amount of gross losses Total amount of gross losses in the reference year that
originate from loss events with a net impact above €20,000
(or €100,000 in row 45) in the 10 years of the QIS window.
The amount should include the amount of net losses
qualifying for exclusion reported in row 41 or 57,
respectively.
Notes: A loss event may contribute less than €20,000 (or
€100,000 in row 45) to the gross losses of a given year, but
its impacts must still be included in the gross losses of such
year if the loss event results in more than €20,000 (or
€100,000 in row 45) of net loss in the 10 years of the QIS
window. Gross losses related to loss events that do not meet
the reporting threshold should not be included.
32, 48 E–N Total amount of loss Total amount of loss recoveries in the reference year that
recoveries originate from loss events with a net impact above €20,000
(or €100,000 in row 46) in the 10 years of the QIS window.
The amount should include the amount of recoveries related
to net losses qualifying for exclusion reported in row 41 or
57, respectively.
Note: Recoveries related to loss events that do not meet the
reporting threshold should not be included.
33, 49 E–N Of which: insurance Total amount of insurance recoveries in the reference year
recoveries that originate from loss events with a net impact above
€20,000 (or €100,000 in row 47) in the 10 years of the QIS
window. The amount should include the amount of insurance
recoveries related to net losses qualifying for exclusion
reported in row 41 or 57, respectively.
Note: Recoveries related to loss events that do not meet the
reporting threshold should not be included.
36, 52 E–N Number of loss events Number of loss events contributing to total net losses in the
contributing to total net reference year. Loss events should only be included if their
losses net impact is above €20,000 (or €100,000 in row 50) in the 10
years of the QIS window.
Note: Loss events may contribute losses to multiple years,
thus they may be counted in multiple years. However, loss
events should only be counted once in each year even if they
originate multiple loss impacts in the year.

Instructions for Basel III monitoring 75

 Row Column Heading Description
38, 54 E Number of net loss events in Number of net loss events with net impact is above €20,000
the 10-year window (or €100,000 in row 52) in the 10 years of the QIS window.
Note: Loss events should only be counted once even if they
have impacts in multiple years. Thus, if at least one loss event
produces a loss impact in more than one year, the “Number
of loss events in the 10-year window” should be smaller than
the sum over the 10 years of the “Number of loss events
contributing to total net losses.”
41, 57 E–N Total amount of net losses Total amount of net losses qualifying for exclusion in the
qualifying for exclusion (per reference year. The bank should assess which loss events
supervisory approval) qualify for exclusion from the internal loss multiplier under
the revised standardised approach, and obtain supervisory
approval before excluding losses.
Notes: Loss events should be excluded as a whole including
the recoveries. Given that excluded loss events may have
recoveries larger than loss impacts in some years, the total
amount of net losses qualifying for exclusion may be
negative for some years; but the sum over the 10 years must
be positive and above the threshold for which the loss
contributed.
Example: A loss event may contribute €100 million to the
gross losses of a given year. In the next year, €50 million
were recovered. In case this loss is excluded, eg due to
divested activities, this loss contributes €100 million to row
41/57 for the given year and €-50 million for the next year.
43, 59 E Number of net loss events Number of net loss events qualifying for loss exclusion in the
qualifying for exclusion in the 10 years of the QIS window. The bank should assess which
10 year window loss events qualify for exclusion from the internal loss
multiplier under the revised standardised approach, and
obtain supervisory approval before excluding losses.
Note: Excluded loss events should only be counted once
even if they have impacts in multiple years.

At the request of the national supervisor only, data for two additional years should be
provided in columns C and D of panel C.

8.4 Standardised approach component calculations (panel D)

Panel D calculates the main components of the standardised approach and takes into account the
treatment of losses per national discretion.

Row Column Heading Description

72 N BI not considering divested BI not considering divested business activities for which
activities (per supervisory supervisory approval has been received. Put differently, BI
approval) should be reported as if divested activities had not been
divested.
Please fill the value of N69 in this cell in case there are no
divested activities. In case there are divested activities please
consider the divested activities and recalculate and report
the BI as it would with the divested activities.

At the request of the national supervisor only, data for the two previous years should be
provided in columns L and M of row 72.

76 Instructions for Basel III monitoring

8.5 Risk-weighted assets and regulatory add-ons (panel E)

Panel E.1 collects information on RWA calculated under the current framework. Report RWA for
approaches used to set operational risk capital requirements (eg, if all operational RWA of the bank are
set according to the Basic Indicator Approach, the cells for the other approaches should be set to zero).

Row Column Heading Description

90 N RWA for operational risk RWA for operational risk at the reporting date (before
(before application of the application of the regulatory add-ons and before application
regulatory add-ons and of the transitional floors, where applicable) set according to
before the application of the the Basic Indicator Approach (BIA). The minimum capital
transitional floors); of which: requirements should be converted to RWA.
Basic Indicator Approach
(BIA)
91 N RWA for operational risk RWA for operational risk at the reporting date (before
(before application of the application of the regulatory add-ons and before application
regulatory add-ons and of the transitional floors, where applicable) set according to
before the application of the the Standardised Approach (TSA). The minimum capital
transitional floors); of which: requirements should be converted to RWA.
Standardised Approach (TSA)
92 N RWA for operational risk RWA for operational risk at the reporting date (before
(before application of the application of the regulatory add-ons and before application
regulatory add-ons and of the transitional floors, where applicable) set according to
before the application of the the Alternative Standardised Approach (ASA). The minimum
transitional floors); of which: capital requirements should be converted to RWA.
Alternative Standardised
Approach (ASA)
93 N RWA for operational risk RWA for operational risk at the reporting date (before
(before application of the application of the regulatory add-ons and before application
regulatory add-ons and of the transitional floors, where applicable) set according to
before the application of the the Advanced Measurement Approach (AMA). The minimum
transitional floors); of which: capital requirements should be converted to RWA.
Advanced Measurement
Approaches (AMA)
94 N RWA for operational risk RWA for operational risk at the reporting date (before
(before application of the application of the regulatory add-ons and before application
regulatory add-ons and of the transitional floors, where applicable) set according to
before the application of the the new Standardised Approach. The minimum capital
transitional floors); of which: requirements should be converted to RWA.
new Standardised Approach
(SA)
97 N Regulatory add-ons; of RWA corresponding to add-ons set by the supervisory
which: agency over BIA requirements at the reporting date. Capital
Basic Indicator Approach requirements should be converted to RWA.
(BIA)
98 N Regulatory add-ons; of RWA corresponding to add-ons set by the supervisory
which: agency over TSA requirements at the reporting date. Capital
Standardised Approach (TSA) requirements should be converted to RWA.

99 N Regulatory add-ons; of RWA corresponding to add-ons set by the supervisory

which: agency over ASA requirements at the reporting date. Capital
Alternative Standardised requirements should be converted to RWA.
Approach (ASA)

Instructions for Basel III monitoring 77

 Row Column Heading Description
100 N Regulatory add-ons; of RWA corresponding to add-ons set by the supervisory
which: agency over AMA requirements at the reporting date. Capital
Advanced Measurement requirements should be converted to RWA.
Approaches (AMA)
101 N Regulatory add-ons; of RWA corresponding to add-ons set by the supervisory
which: agency over new Standardised Approach requirements at the
new Standardised Approach reporting date. Capital requirements should be converted to
(SA) RWA.

102 N Regulatory add-ons; of RWA corresponding to add-ons set by the supervisory

which: agency non-specific to any approach at the reporting date.
Other (non-specific to any Capital requirements should be converted to RWA.
approach)

Panel E.2, collects information on reporting date risk-weighted assets corresponding to add-ons
set by the supervisory agency non-specific to any approach. If there are no regulatory add-ons for
operational risk, please report zero.

Row Column Heading Description

107 N Regulatory add-ons RWA corresponding to add-ons set by the supervisory
agency over standardised approach requirements at the
reporting date. Capital requirements should be converted to
RWA.

At the request of the national supervisor only, data for the reporting dates one and two
years earlier should be provided in columns L and M of panel E.

9. Trading book

The trading book worksheets focus on the impact of the revised market risk framework on the entire
trading book. Please refer to guidance from the national supervisor as to whether it is necessary to
fill in these worksheets.
Data are to be reported as of the same date as the bank’s regulatory reporting to its
national supervisor, and should include all assets subject to the market risk capital requirement. If
providing parameters as of the regulatory reporting date or the inclusion of all assets subject to
market risk framework present unsurpassable hurdles, due to operational or other limitations, the
bank must supplement its submission with an explanatory document describing all deviations.
All computations should be consistent with the framework outlined in the finalised market risk
standard published by the Committee in January 2019 (revised market risk framework) 35, including the 34F

revised boundary, unless explicitly instructed to follow the current market risk standards or to use
alternative methodology.
The “TB” worksheet collects data on the overall impact of the revised minimum capital
requirements for market risk, except for the boundary impact. In other words, the same boundary
between banking book and trading book should be used when making the calculations under the
current and the revised market risk frameworks. The “TB IMA Backtesting-P&L” worksheet collects
desk-level and firm-wide (ie top-of-the house) data on the internal models approach.

35
Basel Committee on Banking Supervision, Minimum capital requirements for market risk, January 2019,
www.bis.org/bcbs/publ/d457.htm.

78 Instructions for Basel III monitoring

 The scope of this exercise covers all positions and trading desks, regardless of materiality and
current model approval status. All computations must be performed exclusive of CVA hedges.

9.1 Worksheet “TB”

Required data are conditional on the approaches to market risk entered in panel A.3 of the “General
Info” worksheet; therefore, this should be completed first. The “TB” worksheet should be
completed applying the revised market risk framework published in January 2019.
When reporting values in the “TB” worksheet, zeros should be entered only where the risk does
not exist, or the calculation leads to a zero, or the calculation leads to a figure the bank does not deem to
be material. Cells that are left blank will be understood to mean that the calculation was not possible due
to system limitations despite having material risks in the portfolio and may result in automated calculation
formulas in some cells of the worksheet to not populate the associated totals. Banks should provide an
explanation for any cells that are left blank in an explanatory document accompanying the submission. In
such an explanation, the bank should indicate the reason for the risk was not being reported (eg significant
operational challenges, modelling challenges).
Broadly, the “TB” worksheet collects data on the global impact of the revised minimum capital
requirements for market risk. All calculations must be performed for the entire global portfolio (ie all
positions subject to market risk), ideally as defined by the revised boundary. Where the bank is unable to
apply the boundary definition of the minimum capital requirements for market risk, the current boundary
definition may be used as a proxy.
The reporting institution must ensure that the relevant boundary definition is identified in cell
C47 of the “General Info” worksheet (ie “Yes” if the revised boundary definition is used and “No” otherwise).
Please note that a single boundary definition should be applied consistently across all panels in this
worksheet (ie banks are expected to use either the revised boundary or the current boundary definition
when reporting market risk parameters), with the exception of cells F28 to F55 which should use the
boundary definition consistent with the bank’s regulatory reporting scope.
As noted in the introduction, the scope of this exercise covers all trading desks regardless of
materiality and current model approval status. However, eligible CVA hedges capitalised under the market
risk CVA framework must be excluded from the set of positions in scope for regulatory capital calculation
in panels B.1 through B.3.
Banks must indicate – by means of flags set out in rows 48 and 49 of the “General Info”
worksheet – their use of the standardised approach (SA) and internal models approach for reporting
purposes under the current market risk framework and also their use of the SA, simplified SA and internal
models approach under the January 2019 market risk framework. Where the scope of the application of
approaches differs materially between the reporting of the current and January 2019 market risk
frameworks (eg the bank expects to apply the SA to a significantly greater portion of its trading
book under the January 2019 market risk framework compared to under the current framework),
the bank should provide a supplemental document to explain the rationale for the change in
approaches.
Only banks that satisfy the criteria set out in MAR11.7 may indicate the simplified SA and
such banks should only complete panel B.1.a. For such banks, data submitted in panels B.1.b, B.2,
B.3, B.4 and C (ie capital requirements under the revised SA or internal models approach) will be
ignored.

Instructions for Basel III monitoring 79

9.1.1 Panel A: Summary

Panel A.1: Minimum capital requirements

Row Column Heading Description
6 H Revised market risk capital Banks using the IMA under the revised market risk
requirement, assuming framework should indicate whether they consider their data
under the current or intended model approval status more
reliable. For the option chosen, banks must at least provide
data assuming all trading desks are in the BT and PLA test
green zone.
If banks chose the current model approval status, they must
at least fill in columns G to I of panels B.2 and B.3.
If banks chose the intended model approval status, they
must at least fill in columns O to Q of panels B.2 and B.3.
7 H Revised market risk capital Banks using the IMA under the revised market risk
requirement, assuming current framework that are, under exceptional circumstances, unable
model approval status, all to provide data assuming current model approval status,
trading desks are in the BT and assuming all trading desks are in the BT and PLA test green
PLA test green zone – Data zone, should enter “No” in this cell. All other banks should
available keep the “Yes” default setting.
8 H Revised market risk capital Banks using the IMA under the revised market risk
requirement, assuming current framework that are, under exceptional circumstances, unable
model approval status, to provide data assuming current model approval status,
reflecting the consequences of reflecting the consequences of failing BT and PLA test,
failing BT and PLA test – Data should enter “No” in this cell. All other banks should keep the
available “Yes” default setting.
9 H Revised market risk capital Banks using the IMA under the revised market risk
requirement, assuming framework that are, under exceptional circumstances, unable
intended model approval to provide data assuming intended model approval status,
status, all trading desks are in assuming all trading desks are in the BT and PLA test green
the BT and PLA test green zone zone, should enter “No” in this cell. All other banks should
– Data available keep the “Yes” default setting.
10 H Revised market risk capital Banks using the IMA under the revised market risk
requirement, assuming framework that are, under exceptional circumstances, unable
intended model approval to provide data assuming intended model approval status,
status, reflecting the reflecting the consequences of failing BT and PLA test,
consequences of failing BT and should enter “No” in this cell. All other banks should keep the
PLA test – Data available “Yes” default setting.
11 G Revised market risk capital Bank-wide level capital requirement measured using the SA
requirement (assuming SA for as outlined in the January 2019 market risk framework. The
the global portfolio) SA capital requirement reported here must be calculated
based on the global trading book (ie all positions subject to
market risk), exclusive of eligible CVA hedges. The reporting
institution must calculate all components of the SA capital
requirement including SBM, DRC and RRAO and, where
allowable, taking into account diversification effects within
and across sub-portfolios. The sum of these components
equals the SA capital requirement for the global trading
book requested in this line item.
Banks using the simplified SA under the revised framework
should leave this cell empty.

80 Instructions for Basel III monitoring

9.1.2 Panel B: Overall minimum capital requirements (8% of RWA)
Please note, when reporting values in panels B.1 through B.4 of the “TB” worksheet, zeros should be
entered only where the risk does not exist, or the calculation leads to a zero, or the calculation leads
to a figure the bank does not deem to be material. Cells that are left blank will be understood to mean
that calculation was not possible due to system limitations despite having material risks in the portfolio.

Panel B.1: Current market risk capital requirements (assuming current model approval status)

Capital requirement (QIS scope, column G)

When calculating the capital requirement in column G of panel B.1, reporting institutions must exclude
any eligible CVA hedges from the scope of covered positions. Furthermore, the capital requirement under
the internal models approach reported in column G should be based on the reporting date and not on
the last 60-day average. The boundary definition should be applied as identified in cell C47of the
“General Info” worksheet. Therefore, if the bank applies the revised boundary to calculate the revised
market risk capital requirement (ie moved certain positions from the banking book to the trading book),
the bank must also recalculate the current capital requirement based on the same, revised trading book
portfolios in column G of panel B.1. In this case, the bank must set the "Revised market risk framework
definition of TB-BB boundary" in the worksheet "General Info" to "Yes". Conversely, a bank does not apply
the revised boundary (ie General Info!C47 = "No"), the bank must limit the revised market risk capital
requirement calculation to the current trading portfolios as reported in column F. A bank must not use
different set of portfolios under the current and revised market risk capital requirement in this worksheet.
Capital requirement components reported in column G of panel B.1 should be calculated based
on the current model approval status of traded products in the firm’s global portfolio. That is, only the
products for which the bank currently has internal model permission may be modelled for capital
purposes. Capital requirement for products that currently do not have internal model approval must be
calculated according to the standardised measurement method. Any market risk capital amount that the
bank is unable to assign to a category in panel B.1.a or panel B.1.b should be entered in panel B.1.c. This
“Other” capital requirement must be noted and described in an explanatory document
accompanying the submission.
As mentioned in the introduction, data reported in this panel must be ‘as of’ the same date
as the bank’s regulatory reporting to its national supervisor, and should include all assets subject
to the market risk capital requirement. If providing parameters as of the regulatory reporting date
or the inclusion of all assets subject to market risk framework present unsurpassable hurdles, due
to operational or other limitations, the bank must supplement its submission with a qualitative
document describing all deviations.

Capital requirement (regulatory reporting scope, column F)

In column F of panel B.1, the same information should be provided but using the same scope as for the
regulatory reporting for market risk. In particular, irrespective of the boundary definition used in column G
and elsewhere in this workbook, the current definition of the trading book/banking boundary should be
used, and eligible CVA hedges should not be excluded from the scope of covered positions. Furthermore,
the capital requirement for the internal models approach reported in column F should also reflect the
averaging over the last 60 trading days.
The sum of capital requirements calculated in column F of sections (a), (b) and (c) of panel B.1
should equal to the total market risk capital requirement (ie total current capital requirement for the global
portfolio). Per instructions above, ideally, this figure should equal the official regulatory market risk capital
figure reported by the bank to its national supervisor. There may be valid reasons for the divergence of
the two figures. In such a case, the bank must describe the source of this difference in a separate
explanatory document.

Instructions for Basel III monitoring 81

 Row Column Heading Description
a) Standardised measurement method
Banks that are not using the standardised measurement method under the current rules should leave this panel empty.
28 F, G Standardised measurement Capital requirement based on the standardised measurement
method method as applicable at the reporting date. The value
reported should: (i) be based on products which currently do
not have internal model approval; and (ii) include any specific
risk surcharges for currently modelled products where
specific risk surcharge is calculated using the standardised
methodology (eg specific risk of eligible securitisation
positions should be included here).
30 F, G Total general interest rate risk Minimum capital requirements for general interest rate risk
based on the standardised measurement method as
applicable at the reporting date. The minimum capital
requirements should be inclusive of all risks covered by the
standardised measurement method for general interest rate
risk.
32–34 F, G Total specific interest rate risk Minimum capital requirements for specific interest rate risk
based on the standardised measurement method as
applicable at the reporting date by type of instrument (non-
securitisation, securitisation non-correlation trading,
securitisation correlation trading). The minimum capital
requirements should be inclusive of all risks covered by the
standardised measurement method for specific interest rate
risk.
35 F, G Additional requirements for Minimum capital requirements for non-delta risks in debt
option risks for debt option positions. Delta equivalent positions should be
instruments (non-delta risks) included in the calculation of the minimum capital
requirements for general and specific debt instruments.
37 F, G Total general equity risk Minimum capital requirements for general equity position
risk based on the standardised measurement method as
applicable at the reporting date.
38 F, G Total specific equity risk Minimum capital requirements for specific equity position
risk based on the standardised measurement method as
applicable at the reporting date. The minimum capital
requirements should be inclusive of all risks covered by the
standardised measurement method for specific equity
position risk.
39 F, G Additional requirements for Minimum capital requirements for non-delta risks in equity
option risks for equity option positions. Delta equivalent positions should be
instruments (non-delta risks) included in the calculation of the minimum capital
requirements for general and specific equity instruments.
41 F, G Total general foreign exchange Minimum capital requirements for foreign exchange position
risk risk based on the standardised measurement method as
applicable at the reporting date. The minimum capital
requirements should be inclusive of all foreign exchange
risks.
42 F, G Additional requirements for Minimum capital requirements for non-delta risks in FX
option risks for FX instruments option positions. Delta equivalent positions should be
(non-delta risks) included in the calculation of the minimum capital
requirements for FX.
44 F, G Total general commodity risk Minimum capital requirements for commodities position risk
based on the standardised measurement method as
applicable at the reporting date. The minimum capital
requirements should be inclusive commodities risks.

82 Instructions for Basel III monitoring

 Row Column Heading Description
45 F, G Additional requirements for Minimum capital requirements for non-delta risks in
option risks for commodity commodity option. Delta equivalent positions should be
instruments (non-delta risks) included in the calculation of the minimum capital
requirements for commodity.
b) Internal models approach
Banks that are not using the internal models approach under the current rules should leave this panel empty.
47 F, G Internal models approach (VaR Capital requirement for general market risk based on internal
and SVaR-based measures), models and inclusive of all products that receive IMA
actual capital requirement treatment. The value reported should reflect the firm’s VaR
and SVaR-based measures calculated per requirements
outlined in the Revisions to the market risk framework and
should reflect the current effective multiplier. Please note,
this measure must be inclusive of modelled specific risk
requirement for products that currently have model approval
from the bank’s national supervisor.
48 F, G Current 10-day 99% value-at- The reported value-at-risk estimate should represent the
risk (without applying the bank’s estimate of the 10-day, 99% value-at-risk of the
multiplier) bank’s trading book portfolio as of the reporting date,
excluding the regulatory multiplier.
50 F, G 10-day 99% stressed value-at- The reported stressed value-at-risk estimate should
risk (without applying the represent the bank’s estimate of the 10-day, 99% stressed
multiplier) value-at-risk of the bank’s trading book portfolio as of the
reporting date, excluding the regulatory multiplier.
52 F, G Incremental risk charge Capital requirement for incremental risk of all eligible
positions in the trading book.
53 F, G Comprehensive risk measure Capital requirement for comprehensive risk measure of all
eligible positions in the trading book.
54 F, G Risks not in VaR A value for RNiV capital should only be provided if the
reporting institution’s national supervisor directly requires
that any risks not captured in the bank’s VaR model be
included as part of the bank’s regulatory capital calculation.
Otherwise, if the bank merely monitors materiality of its RNiV
but does not include RNiV capital in its regulatory capital
calculation, zero should be reported.
c) Other
55 F, G Other A capital requirement component that the bank is unable to
assign to sections (a) and (b) of this panel should be reported
here. Any amount reported in this cell must be described in
an explanatory document accompanying the submission.

Panel B.2: Revised market risk capital requirement

When calculating the capital requirement in panel B.2, reporting banks must exclude any eligible CVA
hedges from the scope of covered positions.
Capital requirement components reported in panel B.2 should be reported based upon both
current and intended model approval status of the bank’s regulatory trading desks. For reporting capital
requirements based on current model approval status, only the trading desks for which the bank currently
has internal model permission may be modelled for capital purposes. In that case, capital requirements
for trading desks that currently do not have internal model approval must be calculated according to the
SA.
If the bank is unable to categorise its global trading book based on the current status of desk-
level model approval, current product-level model approval status may be used as a proxy. In this case,

Instructions for Basel III monitoring 83

product-level model approval must be used to partition the global portfolio into two distinct, non-
overlapping sub-portfolios: (i) the sub-portfolio of all products which currently have model approval from
the bank’s national supervisor; and (ii) the sub-portfolio of all products which currently do not have model
approval.
For reporting capital requirements based on intended model approval status, the bank should
report capital requirements assuming that the trading desks that it intends to model are within the IMA
while the other desks are within the SA. If the bank does not have a plan for which desks it intends to
model, then it should specify that intended model approval is “Unknown” in panel C and leave the capital
requirements based on intended model approval blank in panel B.2.
Banks that use the IMA are requested to compute and submit the capital requirement under the
SA and IMA capital requirements reflecting the performance of trading desk level backtesting and P&L
attribution (PLA) test in columns K to M and S to U in addition to the existing data assuming all IMA trading
desks are in the PLA test green zone (columns G to I and O to Q). Per MAR32 and MAR33, failing the PLA
test leads to three tiered “traffic light” consequences. Trading desks in the “green zone” are considered to
have passed the PLA test and may use the IMA. Trading desks in the “amber zone” may continue to use
the IMA but will be subject to a capital surcharge. Trading desks in the “red zone” are considered to have
failed the PLA test and are not permitted to use the IMA; instead, they must use the SA for determining
their market risk capital requirements. Trading desks that fail the desk level backtesting must use the SA.
Data reported in this panel must be as of the same date as data reported in panel B.1. The sum
of capital requirements calculated in sections (a) through (e) of panel B.2 should equal to the total market
risk capital requirement (ie total capital requirement under the January 2019 market risk framework for
the global portfolio).
If, under exceptional circumstances, a bank using the IMA is unable to provide data for one of
the four variants, the relevant flag in panel A.1 should be adjusted accordingly.

Row Column Heading Description

a) Revised standardised approach (inclusive of securitisations)
The SA capital requirement must be calculated based on the sub-portfolio of products that currently do not have
internal model approval from the bank’s national supervisor. Where the bank is unable to categorise its global trading
book based on the current status of desk-level model approval, current product-level model approval may be used as a
proxy.
Banks that use the IMA for part of their trading portfolios should report the SA capital requirements in two cases –
(i) assuming current model approval status and (ii) assuming intended or forthcoming model approval status. For each
of those two cases, banks should further report SA capital requirements in two variants – (i) assuming that all IMA
trading desks are in the BT and PLA test green zone and (ii) including the capital requirements for IMA trading desks
that fail the BT and PLA test (ie red zone). In total, banks should report capital requirements under four cases.
For the sub-portfolio of non-modellable trading desks, the reporting bank must calculate all components of the SA
capital requirement including: sensitivities based method (SbM), default risk charge (DRC) and residual risk add-on
(RRAO) at the granularity outlined in this section.
While banks are not required to report results of each correlation scenario, it is expected that the standardised capital
requirement is to be calculated based on the methodology (ie correlation scenario assumption) which yields the
greatest capital requirement at the portfolio-level (ie across the global portfolio). The bank must consistently apply this
single scenario to relevant calculations throughout the entire panel.
63, 69, 75 G, K, O, General interest rate risk (delta, Capital requirement as defined in the revised market risk
S vega and curvature risks, standard.
respectively)
64, 70, 76 G, K, O, Credit spread risk: (delta, vega Capital requirement as defined in the revised market risk
S and curvature risks standard.
respectively) for non-
securitisation and securitisation
products held in the bank’s
trading book

84 Instructions for Basel III monitoring

 Row Column Heading Description
65, 71, 77 G, K, O, Equity risk (delta, vega and Capital requirement as defined in the revised market risk
S curvature risks, respectively) standard.
66, 72, 78 G, K, O, Commodity risk (delta, vega Capital requirement as defined in the revised market risk
S and curvature risks, standard.
respectively)
67, 73, 79 G, K, O, Foreign exchange risk (delta, Capital requirement as defined in the revised market risk
S vega and curvature risks, standard.
respectively)
80 G, K, O, Residual risk for prepayment Aggregate notional amount of instruments bearing
S prepayment risk before the application of the risk weight.
82–85 G, K, O, Residual risk add-on (excluding Aggregate notional amount of instruments bearing gap,
S prepayment): gap, correlation, correlation, behavioural and exotic risks. In other words, the
behavioural and exotic risk weight should not be used and notional value should
underlying risk, respectively reported at the granularity outlined in this section.
86 G, K, O, Standardised approach, default Capital requirement as defined in the revised market risk
S risk capital requirement standard.
b) Revised IMA, expected shortfall (exclusive of securitisations)
The IMA capital requirement should be calculated based on the sub-portfolio of products that currently have internal
model approval from the bank’s national supervisor. Where the bank is unable to categorise its global trading book
based on the current status of desk-level model approval, current product-level model approval status may be used as a
proxy.
Banks that use the IMA for part of their trading portfolios should report the IMA capital requirements in two cases – (i)
assuming current model approval status and (ii) assuming intended or forthcoming model approval status. For each of
those two cases, banks should further report IMA capital requirements in two variants – (i) assuming that all IMA trading
desks are in the BT and PLA test green zone and (ii) reflecting the consequences of failing BT and PLA test (ie amber
desks subject to capital surcharge and red desks subject to SA capital requirement). In total, banks should report capital
requirements under four cases.
While we acknowledge that some banks model the capital requirement of CTP securitisation positions under the current
framework, per revised market risk standards these positions are out of scope for internal models approach under the
revised minimum capital requirements for market risk.
For the sub-portfolio of modellable trading desks, the reporting bank must calculate all components of the IMA capital
requirement including internally modelled capital charge (IMCC), SES and DRC at the granularity outlined in this
panel.
For the calculation of SES for non-modellable risk factors, banks in the European Union should use the EBA Stress
Scenario Risk Measure (SSRM) methodology described in the Final Draft RTS. 36 35F

No multiplier should be applied to values reported in this panel. The multiplier is applied in the automatic
aggregation process.
89 G, K, O, IMCC(C) at the trading book Capital requirement as defined in the revised market risk
S level (inclusive of full standard. The trading book level IMCC capital requirement
diversification effects) must be calculated assuming there are no constraints with
respect to diversification benefits. That is, a fully diversified
ES value should be reported. Further, the diversified IMCC
capital requirement must exclude the multiplication factor
mc. That is, for purposes of this QIS, the multiplier should
not be applied to the trading book level ES values
reported.

36
European Banking Authority, Final Draft RTSF on the calculation of the stress scenario risk measure under Article 325bk(3) of
Regulation (EU) No 575/2013 (Capital Requirements Regulation 2 – CRR2), 17 December 2020, www.eba.europa.eu/sites/default/
documents/files/document_library/Publications/Draft%20Technical%20Standards/2020/RTS/961600/
Final%20draft%20RTS%20on%20the%20calculation%20of%20stress%20scenario%20risk%20measure.pdf.

Instructions for Basel III monitoring 85

 Row Column Heading Description
91 G, K, O, Interest rate risk IMCC(Ci) (at Capital requirement as defined in the revised market risk
S the risk factor class level) standard. The risk factor class level IMCC capital requirement
must be calculated assuming no diversification benefits. That
is, an undiversified ES value should be reported for each
asset class. Further, the risk factor class level IMCC capital
requirement must exclude the multiplication factor mc. That
is, for purposes of this QIS, the multiplier should not be
applied to the risk class level ES values reported.
92 G, K, O, 10-day ES R, S: risk factors with ES at a base liquidity horizon of 10 days measured based on
S liquidity horizon ≥ 10 days the most severe 12-month period of stress available over the
(reduced set of risk factors, observation horizon using the reduced set of risk factors with
stress period, interest rate risk) a liquidity horizon of 10 days or longer per MAR33.12.
93 G, K, O, 10-day ES R, S: risk factors with ES at a base liquidity horizon of 10 days measured based on
S liquidity horizon ≥ 20 days the most severe 12-month period of stress available over the
(reduced set of risk factors, observation horizon using the reduced set of risk factors with
stress period, interest rate risk) a liquidity horizon of 20 days or longer per MAR33.12. For
reporting these data, ES must not be scaled using the
formula specified in MAR33.4.
94 G, K, O, 10-day ES R, S: risk factors with ES at a base liquidity horizon of 10 days measured based on
S liquidity horizon ≥ 40 days the most severe 12-month period of stress available over the
(reduced set of risk factors, observation horizon using the reduced set of risk factors with
stress period, interest rate risk) a liquidity horizon of 40 days or longer per MAR33.12. For
reporting these data, ES must not be scaled using the
formula specified in MAR33.4.
95 G, K, O, 10-day ES R, S: risk factors with ES at a base liquidity horizon of 10 days measured based on
S liquidity horizon ≥ 60 days the most severe 12-month period of stress available over the
(reduced set of risk factors, observation horizon using the reduced set of risk factors with
stress period, interest rate risk) a liquidity horizon of 60 days or longer per MAR33.12. For
reporting these data, ES must not be scaled using the
formula specified in MAR33.4.
96 G, K, O, Credit spread risk IMCC(Ci) (at Capital requirement as defined in the revised market risk
S the risk factor class level) standard. The risk factor class level IMCC capital requirement
must be calculated assuming no diversification benefits. That
is, an undiversified ES value should be reported for each
asset class. Further, the risk factor class level IMCC capital
requirement must exclude the multiplication factor mc. That
is, for purposes of this QIS, the multiplier should not be
applied to the risk class level ES values reported.
97 G, K, O, 10-day ES R, S: risk factors with ES at a base liquidity horizon of 10 days measured based on
S liquidity horizon ≥ 10 days the most severe 12-month period of stress available over the
(reduced set of risk factors, observation horizon using the reduced set of risk factors with
stress period, credit spread a liquidity horizon of 10 days or longer per MAR33.12.
risk)
98 G, K, O, 10-day ES R, S: risk factors with ES at a base liquidity horizon of 10 days measured based on
S liquidity horizon ≥ 20 days the most severe 12-month period of stress available over the
(reduced set of risk factors, observation horizon using the reduced set of risk factors with
stress period, credit spread a liquidity horizon of 20 days or longer per MAR33.12. For
risk) reporting these data, ES must not be scaled using the
formula specified in MAR33.4.
99 G, K, O, 10-day ES R, S: risk factors with ES at a base liquidity horizon of 10 days measured based on
S liquidity horizon ≥ 40 days the most severe 12-month period of stress available over the
(reduced set of risk factors, observation horizon using the reduced set of risk factors with
stress period, credit spread a liquidity horizon of 40 days or longer per MAR33.12. For
risk) reporting these data, ES must not be scaled using the
formula specified in MAR33.4.

86 Instructions for Basel III monitoring

 Row Column Heading Description
100 G, K, O, 10-day ES R, S: risk factors with ES at a base liquidity horizon of 10 days measured based on
S liquidity horizon ≥ 60 days the most severe 12-month period of stress available over the
(reduced set of risk factors, observation horizon using the reduced set of risk factors with
stress period, credit spread a liquidity horizon of 60 days or longer per MAR33.12. For
risk) reporting these data, ES must not be scaled using the
formula specified in MAR33.4.
101 G, K, O, 10-day ES R, S: risk factors with ES at a base liquidity horizon of 10 days measured based on
S liquidity horizon ≥ 120 days the most severe 12-month period of stress available over the
(reduced set of risk factors, observation horizon using the reduced set of risk factors with
stress period, credit spread a liquidity horizon of 120 days or longer per MAR33.12. For
risk) reporting these data, ES must not be scaled using the
formula specified in MAR33.4.
102 G, K, O, Equity risk IMCC(Ci) (at the risk Capital requirement as defined in the revised market risk
S factor class level) standard. The risk factor class level IMCC capital requirement
must be calculated assuming no diversification benefits. That
is, an undiversified ES value should be reported for each
asset class. Further, the risk factor class level IMCC capital
requirement must exclude the multiplication factor mc. That
is, for purposes of this QIS, the multiplier should not be
applied to the risk class level ES values reported.
103 G, K, O, 10-day ES R, S: risk factors with ES at a base liquidity horizon of 10 days measured based on
S liquidity horizon ≥ 10 days the most severe 12-month period of stress available over the
(reduced set of risk factors, observation horizon using the reduced set of risk factors with
stress period, equity risk) a liquidity horizon of 10 days or longer per MAR33.12.
104 G, K, O, 10-day ES R, S: risk factors with ES at a base liquidity horizon of 10 days measured based on
S liquidity horizon ≥ 20 days the most severe 12-month period of stress available over the
(reduced set of risk factors, observation horizon using the reduced set of risk factors with
stress period, equity risk) a liquidity horizon of 20 days or longer per MAR33.12. For
reporting these data, ES must not be scaled using the
formula specified in MAR33.4.
105 G, K, O, 10-day ES R, S: risk factors with ES at a base liquidity horizon of 10 days measured based on
S liquidity horizon ≥ 40 days the most severe 12-month period of stress available over the
(reduced set of risk factors, observation horizon using the reduced set of risk factors with
stress period, equity risk) a liquidity horizon of 40 days or longer per MAR33.12. For
reporting these data, ES must not be scaled using the
formula specified in MAR33.4.
106 G, K, O, 10-day ES R, S: risk factors with ES at a base liquidity horizon of 10 days measured based on
S liquidity horizon ≥ 60 days the most severe 12-month period of stress available over the
(reduced set of risk factors, observation horizon using the reduced set of risk factors with
stress period, equity risk) a liquidity horizon of 60 days or longer per MAR33.12. For
reporting these data, ES must not be scaled using the
formula specified in MAR33.4.
107 G, K, O, Commodity risk IMCC(Ci) (at Capital requirement as defined in the revised market risk
S the risk factor class level) standard. The risk factor class level IMCC capital requirement
must be calculated assuming no diversification benefits. That
is, an undiversified ES value should be reported for each
asset class. Further, the risk factor class level IMCC capital
requirement must exclude the multiplication factor mc. That
is, for purposes of this QIS, the multiplier should not be
applied to the risk class level ES values reported.
108 G, K, O, 10-day ES R, S: risk factors with ES at a base liquidity horizon of 10 days measured based on
S liquidity horizon ≥ 10 days the most severe 12-month period of stress available over the
(reduced set of risk factors, observation horizon using the reduced set of risk factors with
stress period, commodity risk) a liquidity horizon of 10 days or longer per MAR33.12.

Instructions for Basel III monitoring 87

 Row Column Heading Description
109 G, K, O, 10-day ES R, S: risk factors with ES at a base liquidity horizon of 10 days measured based on
S liquidity horizon ≥ 20 days the most severe 12-month period of stress available over the
(reduced set of risk factors, observation horizon using the reduced set of risk factors with
stress period, commodity risk) a liquidity horizon of 20 days or longer per MAR33.12. For
reporting these data, ES must not be scaled using the
formula specified in MAR33.4.
110 G, K, O, 10-day ES R, S: risk factors with ES at a base liquidity horizon of 10 days measured based on
S liquidity horizon ≥ 40 days the most severe 12-month period of stress available over the
(reduced set of risk factors, observation horizon using the reduced set of risk factors with
stress period, commodity risk) a liquidity horizon of 40 days or longer per MAR33.12. For
reporting these data, ES must not be scaled using the
formula specified in MAR33.4.
111 G, K, O, 10-day ES R, S: risk factors with ES at a base liquidity horizon of 10 days measured based on
S liquidity horizon ≥ 60 days the most severe 12-month period of stress available over the
(reduced set of risk factors, observation horizon using the reduced set of risk factors with
stress period, commodity risk) a liquidity horizon of 60 days or longer per MAR33.12. For
reporting these data, ES must not be scaled using the
formula specified in MAR33.4.
112 G, K, O, 10-day ES R, S: risk factors with ES at a base liquidity horizon of 10 days measured based on
S liquidity horizon ≥ 120 days the most severe 12-month period of stress available over the
(reduced set of risk factors, observation horizon using the reduced set of risk factors with
stress period, commodity risk) a liquidity horizon of 120 days or longer per MAR33.12. For
reporting these data, ES must not be scaled using the
formula specified in MAR33.4.
113 G, K, O, Foreign exchange risk IMCC(Ci) Capital requirement as defined in the revised market risk
S (at the risk factor class level) standard. The risk factor class level IMCC capital requirement
must be calculated assuming no diversification benefits. That
is, an undiversified ES value should be reported for each
asset class. Further, the risk factor class level IMCC capital
requirement must exclude the multiplication factor mc. That
is, for purposes of this QIS, the multiplier should not be
applied to the risk class level ES values reported.
114 G, K, O, 10-day ES R, S: risk factors with ES at a base liquidity horizon of 10 days measured based on
S liquidity horizon ≥ 10 days the most severe 12-month period of stress available over the
(reduced set of risk factors, observation horizon using the reduced set of risk factors with
stress period, foreign exchange a liquidity horizon of 10 days or longer per MAR33.12.
risk)
115 G, K, O, 10-day ES R, S: risk factors with ES at a base liquidity horizon of 10 days measured based on
S liquidity horizon ≥ 20 days the most severe 12-month period of stress available over the
(reduced set of risk factors, observation horizon using the reduced set of risk factors with
stress period, foreign exchange a liquidity horizon of 20 days or longer per MAR33.12. For
risk) reporting these data, ES must not be scaled using the
formula specified in MAR33.4.
116 G, K, O, 10-day ES R, S: risk factors with ES at a base liquidity horizon of 10 days measured based on
S liquidity horizon ≥ 40 days the most severe 12-month period of stress available over the
(reduced set of risk factors, observation horizon using the reduced set of risk factors with
stress period, foreign exchange a liquidity horizon of 40 days or longer per MAR33.12. For
risk) reporting these data, ES must not be scaled using the
formula specified in MAR33.4.
118 G, K, O, SES, of which: Interest rate Capital requirement as defined in the revised market risk
S non-modellable risk factors standard. For general interest rate risk, sum of the SES of
each non-modellable risk factor.
118 H, L, P, T ∑SES2: Interest rate non- Capital requirement as defined in the revised market risk
modellable risk factors standard. For general interest rate risk, sum of the squared
SES of each non-modellable risk factor.

88 Instructions for Basel III monitoring

 Row Column Heading Description
119 G, K, O, SES, of which: Credit spread Capital requirement as defined in the revised market risk
S non-modellable risk factors standard. For credit spread risk, sum of the SES of each non-
modellable risk factor, excluding idiosyncratic risk factors (ie
∑non-idiosyncratic SES).
119 H, L, P, T ∑SES2: Credit spread non- Capital requirement as defined in the revised market risk
modellable risk factors standard. For credit spread risk, sum of the squared SES of
each non-modellable risk factor, excluding idiosyncratic risk
factors (ie ∑(non-idiosyncratic SES)2).
119 I, M, Q, ∑ISES2: Idiosyncratic credit Capital requirement as defined in the revised market risk
U spread non-modellable risk standard. For credit spread risk, sum of the squared ISES of
factors each idiosyncratic non-modellable risk factor.
120 G, K, O, SES, of which: Equity non- Capital requirement as defined in the revised market risk
S modellable risk factors standard. For equity risk, sum of the SES of each non-
modellable risk factor, excluding idiosyncratic risk factors (ie
∑non-idiosyncratic SES).
120 H, L, P, T ∑SES2: Equity non-modellable Capital requirement as defined in the revised market risk
risk factors standard. For equity risk, sum of the squared SES of each
non-modellable risk factor, excluding idiosyncratic risk
factors (ie ∑(non-idiosyncratic SES)2).
120 I, M, Q, ∑ISES2: Idiosyncratic equity Capital requirement as defined in the revised market risk
U non-modellable risk factors standard. For equity risk, sum of the squared ISES of each
idiosyncratic non-modellable risk factor.
121 G, K, O, SES, of which: Commodity non- Capital requirement as defined in the revised market risk
S modellable risk factors standard. For commodity risk, sum of the SES of each non-
modellable risk factor.
121 H, L, P, T ∑SES2: Commodity non- Capital requirement as defined in the revised market risk
modellable risk factors standard. For commodity risk, sum of the squared SES of
each non-modellable risk factor.
122 G, K, O, SES, of which: Foreign Capital requirement as defined in the revised market risk
S exchange non-modellable risk standard. For FX risk, sum of the SES of each non-modellable
factors risk factor.
122 H, L, P, T ∑SES2: Foreign exchange non- Capital requirement as defined in the revised market risk
modellable risk factors standard. For FX risk, sum of the squared SES of each non-
modellable risk factor.
123 G, K, O, Internal models approach, Capital requirement as defined in the revised market risk
S default risk capital requirement standard.
124 K, S Capital surcharge for amber Capital requirement for trading desks that are in the PLA
desks “amber zone” as defined in MAR33.45.

Panel B.3: Revised market risk framework – modelled desks analysis

This panel should only be filled in by IMA banks.
When calculating the capital requirement in panels B.2 and B.3, reporting banks must exclude
any eligible CVA hedges from the scope of covered positions.
Panels B.3.a and B.3.b require reporting capital requirements only for trading desks using
internal models under four cases:
• assuming current model approval status and that all trading desks are in the BT and PLA test
green zones;
• assuming current model approval status and reflecting the consequences of failing BT and PLA
test;

Instructions for Basel III monitoring 89

• assuming intended model approval status and that all trading desks are in the BT and PLA test
green zones; and
• assuming intended model approval status and reflecting the consequences of failing BT and PLA
test.
The scope of panels B.3.a and B.3.b covers trading desks for which the bank is using internal
models in the specified case, which is either based on current or intended model approval status. The
scope of trading desks in panel B.3.b must be identical to the scope of trading desks used to calculate IMA
capital requirement in the corresponding section of panel B.2.b. Further, data reported in this panel must
be as of the same date as data reported in panel B.2.b.
With regard to the consequences of trading desk level model eligibility tests reflected in
panel B.2, banks are to provide multiple sets of corresponding SA capital requirements. In columns G and
O, banks should report the corresponding SA capital requirements for all trading desks that are using
internal models, assuming all trading desks are in the green zone (ie corresponding to columns G to I and
O to Q in panel B.2). In columns K and S, banks should report the corresponding SA capital requirements
for trading desks that are in the “green zone” or “amber zone” of the PLA test and passed the trading desk
level backtesting (ie corresponding to columns K to M and S to U in panel B.2).

Row Column Heading Description

b) SA for modelled desks – applicable to IMA banks only
The SA capital requirement must be calculated based on the same set of desks used to calculate capital requirement
reported in section (a) of this panel. The capital requirements reported in section (b) are calculated for the
corresponding sets of trading desks in panel B.2 in two cases – (i) assuming current model approval status and (ii)
assuming intended or forthcoming model approval status. For each of those two cases, banks should further report IMA
capital requirements in two variants – (i) assuming all trading desks are in the BT and PLA test green zone and (ii)
reflecting the consequences of failing BT and PLA test. For these trading desks, the reporting bank must calculate all
components of the SA capital requirement including SBM, DRC and RRAO at the granularity outlined in this section. In
total, banks should report capital requirements under four cases.
135, 141, G, K, O, Modelled desks, General Capital requirement as defined in the revised market risk
147 S interest rate risk (delta, vega standard only for the desks that are modelled.
and curvature risks,
respectively)
136, 142, G, K, O, Modelled desks, Credit spread Capital requirement as defined in the revised market risk
148 S risk: (delta, vega and curvature standard only for the desks that are modelled. This capital
risks respectively) requirement should reflect credit spread risk of non-
securitisation products.
137, 143, G, K, O, Modelled desks, Equity risk Capital requirement as defined in the revised market risk
149 S (delta, vega and curvature risks, standard only for the desks that are modelled.
respectively)
138, 144, G, K, O, Modelled desks, Commodity Capital requirement as defined in the revised market risk
150 S risk (delta, vega and curvature standard only for the desks that are modelled.
risks, respectively)
139, 145, G, K, O, Modelled desks, Foreign Capital requirement as defined in the revised market risk
151 S exchange risk (delta, vega and standard only for the desks that are modelled.
curvature risks, respectively)
152 G, K, O, Modelled desks, Residual risk The residual risk add-on only for the desks that are modelled
S add-on Total (inclusive of after the application of relevant risk weights
prepayment and other risks)
153 G, K, O, Standardised approach, default Capital requirement as defined in the revised market risk
S risk capital requirement standard only for the desks that are modelled

90 Instructions for Basel III monitoring

Panel B.4: Securitisations
This panel collects information on securitisation exposures and the effects of the revised framework,
including Simple, Transparent and Comparable (STC). 37 Banks are asked to provide current and revised
36F

market risk capital requirement for a sub-set of securitisation positions: section (a) covers the portfolio of
securitisation positions that are non-CTP and are unlikely to qualify as STC exposures; section (b) covers
non-CTP securitisation positions that are likely to qualify for the STC designation; and section (c) covers
the correlation trading portfolio.
Securitisation hedges which themselves are not securitisations are in scope for this panel.

Row Column Heading Description

a) Non-CTP, non-STC
Non-CTP securitisation exposures that would not fulfil the STC criteria.
158 G Total current market risk Total capital requirement assessed to non-CTP, non-STC
capital requirement portfolio of exposures under the current market risk
framework.
159 G Total revised market risk Total SBM capital requirement assessed to non-CTP, non-STC
capital SBM (delta, vega and portfolio of exposures under requirement as defined in the
curvature) requirement revised new market risk framework, inclusive of all applicable
hedges.
b) Non-CTP, STC
Non-CTP securitisation exposures that would fulfil the STC criteria.
161 G Total current market risk Total capital requirement assessed to non-CTP, STC portfolio
capital requirement of exposures under the current market risk framework.
162 G Total revised market risk Total SBM capital requirement assessed to non-CTP, STC
capital SBM (delta, vega and portfolio of exposures under requirement as defined in the
curvature) requirement revised new market risk framework, inclusive of all applicable
hedges.
c) CTP
164 G Total current market risk Total capital requirement assessed to correlation trading
capital requirement (inclusive portfolio of exposures under the current market risk
of CRM) framework inclusive of the comprehensive risk measure
capital requirement).
165 G Total revised market risk Total SBM capital requirement assessed to correlation
capital SBM (delta, vega and trading portfolio of exposures under requirement as defined
curvature) requirement in the revised new market risk framework, inclusive of all
applicable hedges.

9.1.3 Panel C: Trading desks

This panel collects information on trading activities of reporting banks as well as provides a structure for
desk-level reporting information requested in the “TB IMA Backtesting-P&L” worksheet.
In order to conduct meaningful analysis on the desk level data reported in all panels of the “TB
IMA Backtesting-P&L” worksheet of the Basel III monitoring template, there must be intertemporal
consistency in trading desk IDs across reporting periods. Specifically, the unique desk IDs (as well as
regulatory trading desk names) submitted for each trading desk should be consistent across BM
submissions for the same trading desk.

37
Basel Committee on Banking Supervision, Revisions to the securitisation framework, amended to include the alternative capital
treatment for “simple, transparent and comparable” securitisations, July 2016, www.bis.org/bcbs/publ/d374.htm.

Instructions for Basel III monitoring 91

 For a given trading desk, a bank must use identical, numeric “Unique desk ID” that is consistent
over time in order to ensure that a usable time series for each desk can be constructed across all
submissions of the Basel III monitoring template. If, for any reason, capital requirements are not provided
for a given trading desk in a monitoring exercise, this desk’s Unique ID should not be used for a different
trading desk in this or any subsequent exercise (ie each trading desk should be associated with a “Unique
ID” regardless of the exercise).
Any newly introduced desk (ie a desk not reported in previous Basel III monitoring data collection
exercises) should receive a new ID (ie IDs from closed trading desks should not be reused to identify newly
formed trading desks) and any desk which has been closed should no longer be reported (implicitly
resulting in a zero position desk from a technical perspective).
In a case where the desk structure has changed from the previous reporting date, banks must re-
allocate positions of the previous one year based on the desk structure as standing at the reporting date.
For example, if trading desks 001 and 002 in the end-December 2019 exercise are merged into a new
trading desk 100 in the end-December 2020 exercise, when reporting data for the end-December 2020
exercise, the bank must report trading desk 100, while trading desks 001 and 002 should no longer be
reported.
For a given desk, the response provided in column I must be based on current model approval
status of that desk. We acknowledge that some banks may not be in a position to provide information
about desk-level model approval at this time. As such, please provide an explanation in a separate
document accompanying the submission regarding the basis for the bank’s responses regarding model
approval (eg desk-level modellability determined according to market/notional value-based threshold for
the desk’s products that feature current model approval).

92 Instructions for Basel III monitoring

 Row Column Heading Description
170–369 C Unique desk ID Numeric unique desk ID for each trading desk.
170–369 D Description (name internally Description of each trading desk (name internally used).
used)
170–369 G Description (regulatory trading Please use the dropdown menu to select from the list the
desk name) most relevant description for each trading desk (regulatory
trading desk name).
170–369 I Current internal models Please use the dropdown menu to select from the list the
permission response that most accurately reflects whether a given desk
has internal models permission under the current
framework.
170–369 J Intended/forthcoming internal Please use the dropdown menu to select from the list the
models permission response that most accurately reflects the intended or
forthcoming internal models permission status of that
desk. Select "Unknown", “Yes" or "No".
170–369 K Trading desk-level SbM + The standalone SbM and RRAO component of the SA capital
RRAO requirement for each trading desk required per MAR11.8(2)
as of the reporting date.
170–369 L Trading desk-level SA DRC The standalone DRC requirement component of the SA
requirement capital requirement for each trading desk required per
MAR11.8(2) as of the reporting date.
170-369 M Trading desk-level IMCC The standalone internally modelled capital charge (IMCC)
requirement calculated separately for each trading desk as of the
reporting date. Do not apply any multipliers.
170-369 N Trading desk-level NMRF The standalone NMRF requirement component of the IMA
requirement capital requirement for each trading desk as of the reporting
date.
170-369 O Trading desk-level IMA DRC The standalone DRC requirement component of the IMA
requirement capital requirement for each trading desk as of the reporting
date.

9.1.4 Panel D: Closed-form questions

The Committee has specified closed form questions below. For each question, a set of up to 100 answers
is available. Banks have to pick in the list the answer relevant to them. Additional questions up to 100 in
total may be specified by the Committee in due course.

Row Column Heading Description

373–472 C Answer Please use the dropdown menu to select the relevant answer
from the list (as defined in due course by a document to be
sent by the Committee, if deemed necessary).
373–472 D Remarks Any remarks pertaining to the responses in column C should
be entered here.

Instructions for Basel III monitoring 93

 Default risk capital requirement (DRC)
Q-1 For the purpose of this QIS, is your bank able to calculate and report the default risk capital (DRC)
requirement under the January 2019 market risk framework standardised approach (SA)?
• 1: Yes, bank is able to calculate the DRC consistent with the January 2019 market risk framework
for all positions subject to this capital requirement.
• 2: No, bank is unable to calculate the DRC for all or some positions or the calculation is
inconsistent with the January 2019 market risk framework (eg proxy use).
Q-2 If you selected “2: No” in Q-1, what did your bank report for SA DRC in this QIS?
• 1: Used a proxy. (Please describe the methodology in a supplementary qualitative document.)
• 2: Reported zero because the relevant default risk does not exist or is deemed immaterial for the
portfolio.
• 3: Did not report a figure (ie left the cell blank).
Q-3 For the purpose of this QIS, is your bank able to calculate and report the DRC under the January 2019
market risk framework internal models approach (IMA)?
• 1: Yes, bank is able to calculate the DRC consistent with the January 2019 market risk framework
for all positions subject to this capital requirement.
• 2: No, bank is unable to calculate the DRC for all or some positions or the calculation is
inconsistent with the January 2019 market risk framework.
• 3: Not applicable. Bank does not use IMA.
Q-4 If you selected “2: No” in Q-3, what did your bank report for IMA DRC in this QIS?
• 1: Used a proxy. (Please describe the methodology in a supplementary qualitative document.)
• 2: Reported zero because the relevant default risk does not exist or is deemed immaterial for the
portfolio.
• 3: Did not report a figure (ie left the cell blank).
Residual risk add-on (RRAO)
Q-5 For the purpose of this QIS, is your bank able to calculate the residual risk add-on (RRAO) under the
January 2019 market risk framework Standardised Approach (SA)?
• 1: Yes, bank is able to calculate RRAO for every risk type (gap risk, correlation risk, etc) consistent
with the January 2019 market risk framework and reported accordingly.
• 2: No, bank is able to calculate the notional amount of products subject to RRAO, but unable to
allocate the share of total RRAO to each risk type.
• 3: No, bank is unable to calculate the notional amount of products subject to RRAO.
Q-6 If you selected “2: No” in Q-5, how did your bank report the figure for the residual risk add-on in this
QIS?
• 1: Assumed that all residual risks are with exotic underlying and applied a 1.0% multiplier to the
notional.
• 2: Assumed that no residual risks are with exotic underlying and applied a 0.1% multiplier to the
notional.
• 3: Reported zero because there is no residual risk (ie the notional amount is zero).
• 4: Did not report a figure (ie left the cell blank).
Standardised approach (SA)
Q-7 For the purpose of this QIS, is your bank able to calculate all components of the SBM capital
requirement (Delta, Vega and Curvature) using full revaluation methodology?
• 1: Yes, bank is able to calculate capital requirement of all components precisely.
• 2: No, bank is unable to calculate one or more sub-components for all or some positions or the
calculation relies on approximations (eg Taylor expansion).
Note: If your answer is “2: No”, please list risk classes affected and corresponding methodology in a
supplementary qualitative document.

94 Instructions for Basel III monitoring

 Expected shortfall (ES) and non-modellable risk factor (NMRF)
Q-8 For the purpose of this QIS, does the ES value reported include only eligible risk factors (ie risk factors
deemed non-modellable are excluded from the calculation)?
• 1: Yes, only those risk factors that are modellable per January 2019 market risk framework are
included in the ES calculation.
• 2: No, all risk factors currently included in the firm’s VaR model are also included in the ES
calculation regardless of eligibility per MAR31.12 to MAR31.26. (Please describe in a
supplementary qualitative document.)
Q-9 For the purpose of this QIS, is your bank able to calculate ES for FX allowing for triangulation of non-
liquid currency pairs?
• 1: Yes, bank calculated ES directly using the shorter liquidity horizon (LH) where relevant.
• 2: No. (eg scaled down ES for FX status quo due to technical limitations) (Please describe the
methodology in a supplementary qualitative document.)
Q-10 For the purpose of this QIS, is your bank able to apply the liquidity horizon adjustment defined in
MAR33.4 (8) of the January 2019 market risk framework?
• 1: Yes, bank is able to apply a liquidity horizon adjustment consistent with the January 2019 market
risk framework and reported accordingly.
• 2: No, bank assumed a constant 10-day liquidity horizon for all risk factors.
• 3: No, bank made other assumptions. (Please describe in a supplementary qualitative document.)
Q-11 For the purpose of this QIS, is your bank able to calculate the stressed Expected Shortfall using a
reduced set of risk factors (ESR,S)?
• 1: Yes, bank is able to calculate ESR,S consistent with the January 2019 market risk framework and
reported accordingly.
• 2: No, bank made other assumptions (eg full set of risk factors is used directly). (Please describe in
a supplementary qualitative document.)
Q-12 For the purpose of this QIS, is your bank able to calculate the current Expected Shortfall using a full set
of risk factors (ESF,C)?
• 1: Yes, bank is able to calculate ESF,C consistent with the January 2019 market risk framework and
reported accordingly.
• 2: No, bank made other assumptions. (Please describe in a supplementary qualitative document.)
• 3: Not applicable. Bank calculated stressed Expected Shortfall directly using the full set of risk
factors.
Q-13 For the purpose of this QIS, is your bank able to calculate the current Expected Shortfall using a
reduced set of risk factors (ESR,C)?
• 1: Yes, bank is able to calculate ESR,C consistent with the January 2019 market risk framework and
reported accordingly.
• 2: No, bank made other assumptions. (Please describe in a supplementary qualitative document.)
• 3: Not applicable (ie bank calculated stressed Expected Shortfall directly using the full set of risk
factors).
Q-14 For the purpose of this QIS, is the stressed period used different from the current period (ie ESR,S ≠
ESR,C)?
• 1: Yes.
• 2: No. (Please describe in a supplementary qualitative document.)
Q-15 For the purpose of this QIS, is the stressed period used to calculate stressed Expected Shortfall different
from the period of significant financial stress used to calibrate SVaR?
• 1: Yes.
• 2: No.

Instructions for Basel III monitoring 95

 Q-16 For the purpose of this QIS, is your bank able to calculate the capital requirement for non-modellable
risk factors (NMRF) in the IMA?
• 1: Yes, bank is able to calculate the SES for every NMRF consistent with the January 2019 market
risk framework standard and reported accordingly.
• 2: No, bank is unable to calculate the SES for every NMRF per the January 2019 market risk
framework standard.
• 3: Not applicable, because all risk factors are modellable as a result of the risk factor eligibility test
(ie reported zero for all risk factors).
• 4: No, because the bank is unable to perform the risk factor eligibility test.
Q-17 If you selected “2: No” in Q-16, were you able to provide complete figures?
• 1: Yes, bank provided complete figures.
• 2: No, bank did not report a complete figure and left some or all cells blank. (Please describe the
nature of the challenge in a supplementary qualitative document.)
Q-18 If you selected “2: No” in Q-16, how did your bank report the figure for SES in this QIS?
• 1: Used proxy methodology broadly based on the ES/Var/RNiV methodology.
• 2: Other methodologies. (Please describe in a supplementary qualitative document.)
Q-19 If you selected “2: No” in Q-16, to your best estimation, what would be the expected change in the total
NMRF capital requirement was calculated consistent with January 2019 market risk framework
standards?
• 1: Generally unchanged.
• 2: Increase. (Please explain and, where possible, provide a quantitative estimate.)
• 3: Decrease. (Please explain and, where possible, provide a quantitative estimate.)
Q-20 How confident is your bank regarding the accuracy of the SES figures reported in this QIS?
• 1: Very confident. (Figures provided are indicative of the actual expected capital requirement.)
• 2: Reasonably confident (subject to some uncertainty).
• 3: Minimally confident (subject to significant uncertainty).
Note: If your answer is either “2: Reasonably confident” or “3: Minimally confident”, please describe the
source of uncertainty in a supplementary document.
Q-21 Please select the modellability criteria applied to available price data in order to determine the scope of
NMRF in this QIS.
• 1: Per January 2019 market risk framework text, (i) at least 24 observations per year with no 90-day
period in which fewer than four real price observations are available or (ii) a minimum of 100 real
price observations in the previous 12 months.
• 2: Assessing only whether at least 24 observations per year are available.
• 3: Other. (Please describe in a supplementary qualitative document.)
Q-22 Please select the price data used for modellability checks.
• 1: Own price data only.
• 2: Own price data and assumed benefit of data pooling.
• 3: Other. (Please describe in a supplementary qualitative document.)
Q-23 Is the granularity of risk factors used to determine the scope of NMRF the same as the granularity of
pricing model used to calculate the ES?
• 1: Yes, consistent granularity is used for all risk factors.
• 2: No. (Please describe in a supplementary qualitative document.)
Q-24 Please select the methodology used to identify the Liquidity Horizon for each NMRF.
• 1: Consistent with the SES methodology (ie the greater of the LH specified in MAR33.12 and 20
days).
• 2: Applied supervisory LH specified in MAR33.12.
• 3: Other. (Please describe in a supplementary qualitative document.)

96 Instructions for Basel III monitoring

 Q-25 Please select the stress scenario applied to NMRFs.
• 1: Consistent with the SES methodology (ie common 12-month stress period for risk factors in the
same risk class)
• 2: One stress scenario selected for all NMRFs.
• 3: Different stress scenarios selected per NMRF.
• 4: Other. (Please describe in a supplementary qualitative document.)
Q-26 Please select the correlation assumption applied in aggregating the NMRF capital requirement.
• 1: Consistent with the SES methodology in accordance to MAR33.17.
• 2: Other. (Please describe in a supplementary qualitative document.)
Q-27 For the purpose of this QIS, for modellable desks in panel B.3, is the combined set of products in scope
for NMRF and ES identical to the set of products in scope for SBM?
• 1: Yes.
• 2: No (eg there are risks that are captured by the NMRF framework but are absent from the SBM
calculation of a corresponding risk class).
Note: If your answer is “2: No”, please describe the source of misalignment in a supplementary document.
Q-28 Please leave blank.
Q-29 General Interest Rate Risk NMRF. For information purposes only, please provide the share of GIRR risk
factors in the current portfolio that are, per January 2019 market risk framework, considered as NMRF
relative to all GIRR risk factors under the IMA (ie number of NMRF / number of all RF) on a best effort
basis.
• 1: No NMRF.
• 2: share of NMRF of less than 10%.
• 3: share of NMRF between 10% and 20%.
• 4: share of NMRF between 20% and 30%.
• 5: share of NMRF between 30% and 40%.
• 6: share of NMRF between 40% and 50%.
• 7: share of NMRF of equal to or more than 50%.
Note: please report the share and the numbers of NMRF and all RF in the “Remarks” column (eg
1000/5000=20%).
Q-30 Credit Spread Risk NMRF. For information purposes only, please provide the share of CSR risk factors in
the current portfolio that are, per January 2019 market risk framework, considered as NMRF relative to
all CSR risk factors (ie number of NMRF / number of all RF) on a best effort basis.
• 1: No NMRF.
• 2: share of NMRF of less than 10%.
• 3: share of NMRF between 10% and 20%.
• 4: share of NMRF between 20% and 30%.
• 5: share of NMRF between 30% and 40%.
• 6: share of NMRF between 40% and 50%.
• 7: share of NMRF of equal to or more than 50%.
Note: please report the share and the numbers of NMRF and all RF in the “Remarks” column (eg
1000/5000=20%).
Q-31 Equity Risk NMRF. For information purposes only, please provide the share of Equity risk factors in the
current portfolio that are, per January 2019 market risk framework, considered as NMRF relative to all
Equity risk factors (ie number of NMRF / number of all RF) on a best effort basis.
• 1: No NMRF.
• 2: share of NMRF of less than 10%.
• 3: share of NMRF between 10% and 20%.
• 4: share of NMRF between 20% and 30%.
• 5: share of NMRF between 30% and 40%.
• 6: share of NMRF between 40% and 50%.
• 7: share of NMRF of equal to or more than 50%.
Note: please report the share and the numbers of NMRF and all RF in the “Remarks” column (eg
1000/5000=20%).

Instructions for Basel III monitoring 97

 Q-32 Commodity Risk NMRF. For information purposes only, please provide the share of Commodity risk
factors in the current portfolio that are, per January 2019 market risk framework, considered as NMRF
relative to all Commodity risk factors (ie number of NMRF / number of all RF) on a best effort basis.
• 1: No NMRF.
• 2: share of NMRF of less than 10%.
• 3: share of NMRF between 10% and 20%.
• 4: share of NMRF between 20% and 30%.
• 5: share of NMRF between 30% and 40%.
• 6: share of NMRF between 40% and 50%.
• 7: share of NMRF of equal to or more than 50%.
Note: please report the share and the numbers of NMRF and all RF in the “Remarks” column (eg
1000/5000=20%).
Q-33 Foreign Exchange Risk NMRF. For information purposes only, please provide the share of FX risk factors
in the current portfolio that are, per January 2019 market risk framework, considered as NMRF relative
to all FX risk factors (ie number of NMRF / number of all RF) on a best effort basis.
• 1: No NMRF.
• 2: share of NMRF of less than 10%.
• 3: share of NMRF between 10% and 20%.
• 4: share of NMRF between 20% and 30%.
• 5: share of NMRF between 30% and 40%.
• 6: share of NMRF between 40% and 50%.
• 7: share of NMRF of equal to or more than 50%.
Note: please report the share and the numbers of NMRF and all RF in the “Remarks” column (eg
1000/5000=20%).
TB IMA Backtesting-P&L
Q-34 For the purpose of this QIS, is your bank able to calculate the 99% VaR for all trading desks in scope for
the IMA?
• 1: Yes, bank is able to calculate the 99% VaR and reported accordingly.
• 2: No. (Please explain the nature of the challenge in a supplementary qualitative document.)
Q-35 For the purpose of this QIS, is your bank able to calculate the 97.5% VaR for all trading desks in scope
for the IMA?
• 1: Yes, bank is able to calculate the 97.5% VaR and reported accordingly.
• 2: No. (Please describe the nature of the challenge in a supplementary qualitative document.)
Q-36 For the purpose of this QIS, is your bank able to calculate the 97.5% ES for all trading desks in scope for
the IMA?
• 1: Yes, bank is able to calculate the 97.5% ES and reported accordingly.
• 2: No. (Please describe the nature of the challenge in a supplementary qualitative document.)
Q-37 For the purpose of this QIS, is your bank able to calculate p-values for all trading desks in scope for the
IMA?
• 1: Yes, bank is able to calculate p-values consistent with the January 2019 market risk framework
and reported accordingly.
• 2: Yes, bank is able to calculate p-values, but calculation reported deviates from the January 2019
market risk framework. (Please describe the nature of the deviation in a supplementary qualitative
document.)
• 3: No, bank is unable to calculate p-values. (Please describe the nature of the challenge in a
supplementary qualitative document.)

98 Instructions for Basel III monitoring

 Q-38 For the purpose of this QIS, is your bank able to calculate Actual P&L (APL) for all trading desks in
scope for the IMA?
• 1: Yes, bank is able to calculate APL consistent with the January 2019 market risk framework and
reported accordingly.
• 2: Yes, bank is able to calculate APL, but calculation reported deviates from the January 2019
market risk framework. (Please describe the nature of the deviation in a supplementary qualitative
document.)
• 3: No, bank is unable to calculate APL. (Please describe the nature of the challenge in a
supplementary qualitative document.)
Q-39 For the purpose of this QIS, is your bank able to calculate Hypothetical P&L (HPL) for all trading desks
in scope for the IMA?
• 1: Yes, bank is able to calculate HPL consistent with the January 2019 market risk framework and
reported accordingly.
• 2: Yes, bank is able to calculate HPL, but calculation reported deviates from the January 2019
market risk framework. (Please describe the nature of the deviation in a supplementary qualitative
document.)
• 3: No, bank is unable to calculate HPL. (Please describe the nature of the challenge in a
supplementary qualitative document.)
Q-40 For the purpose of this QIS with regard to TB IMA Backtesting-P&L, is your bank able to calculate risk-
theoretical P&L (RTPL) for any trading desks in scope for the IMA?
• 1: Yes, bank is able to calculate RTPL consistent with the January 2019 market risk framework and
reported accordingly.
• 2: Yes, bank is able to calculate RTPL, but calculation reported deviates from the January 2019
market risk framework standard. (Please describe the nature of the deviation in a supplementary
qualitative document.)
• 3: No, bank is unable to calculate RTPL. (Please describe the nature of the challenge in a
supplementary qualitative document.)
Q-41 Are data inputs for the bank’s risk management model and front-office pricing model identical? (ie do
you use identical data for the purposes of calculating RTPL and HPL?)
• 1: Yes, they are identical for all desks.
• 2: No, they are identical for some desks, but not all.
• 3: No, they are not identical for any desks.
• 4: Not Applicable (Unable to calculate RTPL and/or HPL)
Q-42 For the purpose of this QIS, in case when the risk models and the front office pricing models use
different input data (see MAR32.31), did your bank align risk theoretical P&L (RTPL) input data for risk
factors with the data used in hypothetical P&L (HPL)?
• 1: Yes, the RTPL input data for risk factors were adjusted to be aligned with the HPL input data
consistent with MAR32 of the January 2019 market risk framework standard.
• 2: No, the bank used different, unaligned input data for RTPL and HPL.
• 3: Not applicable, because there is no difference between the RTPL and HPL input data.
Q-43 Are the valuation engines in the bank’s risk management model and front-office pricing models
identical? (ie do you use identical models for the purposes of calculating RTPL and HPL?)
• 1: Yes, they are identical for all desks.
• 2: No, they are identical for some desks, but not all.
• 3: No, they are not identical for any desks.
• 4: Not Applicable. (Unable to calculate RTPL and/or HPL)
Q-44 Are the risk factors for the bank’s risk management model and front-office pricing model identical? (ie
do you use an identical set of risk factors for the purposes of calculating RTPL and HPL?)
• 1: Yes, they are identical for all desks.
• 2: No, they are identical for some desks, but not all.
• 3: No, they are not identical for any desks.
• 4: Not Applicable. (Unable to calculate RTPL and/or HPL)

Instructions for Basel III monitoring 99

 Equity investments in funds
Q-45 What percentage (by gross market value) of your overall trading book risk exposure consists of equity
investments in funds or products whose payoffs are linked to these investments?
• 1: No equity investments in funds.
• 2: Between 0% and 5%.
• 3: Between 5% and 10%.
• 4: Between 10% and 20%.
• 5: Between 20% and 30%.
• 6: Between 30% and 40%.
• 7: Greater than 40%.
Q-46 What percentage (by gross market value) of your equity investments in funds or products whose payoffs
are linked to these investments falls under the Internal Models Approach?
• 1: Not applicable (no equity investments in funds).
• 2: Exactly 0%.
• 3: Greater than 0% up to 20%.
• 4: Between 20% and 40%.
• 5: Between 40% and 60%.
• 6: Between 60% and 80%.
• 7: Between 80% and 100%.
Q-47 Of your equity investments in funds or products whose payoffs are linked to these investments, what
percentage (by gross market value) can be looked through on at least a weekly basis?
• 1: Not applicable (no equity investments in funds).
• 2: Exactly 0%.
• 3: Greater than 0% up to 20%.
• 4: Between 20% and 40%.
• 5: Between 40% and 60%.
• 6: Between 60% and 80%.
• 7: Between 80% and 100%.
Q-48 Of your equity investments in funds or products whose payoffs are linked to these investments, what
percentage (by gross market value) can be looked through on at least a monthly basis?
• 1: Not applicable (no equity investments in funds).
• 2: Exactly 0%.
• 3: Greater than 0% up to 20%.
• 4: Between 20% and 40%.
• 5: Between 40% and 60%.
• 6: Between 60% and 80%.
• 7: Between 80% and 100%.
Q-49 Of your equity investments in funds or products whose payoffs are linked to these investments, what
percentage (by gross market value) can be looked through on at least a quarterly basis?
• 1: Not applicable (no equity investments in funds).
• 2: Exactly 0%.
• 3: Greater than 0% up to 20%.
• 4: Between 20% and 40%.
• 5: Between 40% and 60%.
• 6: Between 60% and 80%.
• 7: Between 80% and 100%.

100 Instructions for Basel III monitoring

 Q-50 What percentage (by gross market value) of your equity investments in funds or products whose payoffs
are linked to these investments falls under the revised Internal Models Approach?
• 1: Not applicable (no equity investments in funds).
• 2: Exactly 0%.
• 3: Greater than 0% up to 20%.
• 4: Between 20% and 40%.
• 5: Between 40% and 60%.
• 6: Between 60% and 80%.
• 7: Between 80% and 100%.
Q-51 What percentage (by gross market value) of your equity investments in funds or products whose payoffs
are linked to these investments is placed in the “Other sector” bucket following MAR21.36(3)?
• 1: Not applicable (no equity investments in funds).
• 2: Exactly 0%.
• 3: Greater than 0% up to 20%.
• 4: Between 20% and 40%.
• 5: Between 40% and 60%.
• 6: Between 60% and 80%.
• 7: Between 80% and 100%.
Q-52 What percentage (by gross market value) of your equity investments in funds or products whose payoffs
are linked to these investments falls under the approach described in MAR21.36(2)?
• 1: Not applicable (no equity investments in funds).
• 2: Exactly 0%.
• 3: Greater than 0% up to 20%.
• 4: Between 20% and 40%.
• 5: Between 40% and 60%.
• 6: Between 60% and 80%.
• 7: Between 80% and 100%.
Q-53 What percentage (by gross market value) of your equity investments in funds or products whose payoffs
are linked to these investments falls under the approach described in MAR21.35(1)?
• 1: Not applicable (no equity investments in funds).
• 2: Exactly 0%.
• 3: Greater than 0% up to 20%.
• 4: Between 20% and 40%.
• 5: Between 40% and 60%.
• 6: Between 60% and 80%.
• 7: Between 80% and 100%.

9.2 Worksheet “TB risk class”

“TB risk class” worksheet collects data on the components of the market risk standardised approach capital
requirements calculation separately for each risk class, including the default risk capital (DRC) requirement.
Regardless of a bank's use of the internal models approach for part or all of the trading portfolio,
all standardised approach capital requirement calculations reported in this worksheet must be performed
for the global portfolio (ie all positions subject to market risk framework) as specified in MAR11.8(1).The
bank must use the same boundary definition as in the worksheet “TB” (and also expressed in the worksheet
"General Info". Quantities should be reported with their real sign: positive numbers as positive, negative
numbers as negative.
All banks are expected report values (including zeros in case the bank does not have positions)
in panels A to C and E to H. Banks that do not have positions in correlation trading portfolio may not fill
in panel D.

Instructions for Basel III monitoring 101

 Per each risk class of the sensitivities-based method (ie panels A to G, with an exception for
foreign exchange risk delta risks), banks are required to report the risk bucket-level capital requirement
(Kb) for medium, high and low correlation scenarios.
For banks that use the standardised approach (SA) for its global portfolio, the sensitivities-based
method (SbM) and default risk capital (DRC) requirement under the selected scenario in the worksheet
"TB risk class" must be consistent with the corresponding value reported in the worksheet TB. For banks
that use the internal models approach, the granular components reported in the worksheet "TB risk class"
for the global portfolio are expected to be higher than the corresponding data reported in the worksheet
"TB" for the SA portfolio. In addition, for all banks, the revised market risk capital requirement calculated
assuming SA for the global portfolio reported in the worksheet "TB" must be consistent with the
recalculated SA capital requirement using granular components reported in the worksheets "TB" and "TB
risk class". This worksheet includes a number of in-template checks to ensure these consistencies.

9.2.1 Panel A: General interest rate risk

Row Column Heading Description Remarks
21 F Was preferential risk weight applied to eligible Please select “Yes” or “No”, as
currencies? appropriate, reflecting the
approach used to calculate the
weighted sensitivities in panel A.
59–68 C OTHER 1 to OTHER 10 refer to currencies other than those listed in rows 25 to 58 in which the
bank has exposure to GIRR.
• If the bank has fewer than 10 such currencies, the bank should fill in any excess rows
with zeroes.
• If the bank has more than 10 such currencies, the bank should fill in rows 59 to 68 with
the 10 most material currencies (other than those listed in rows 25 to 58) in which the
bank has exposure to GIRR.
25–68 F–H Delta risks Kb Risk position for delta bucket b, • Aggregation of weighted
(Medium, High, calculated per MAR21.4(4) sensitivities to risk factors
Low correlations)   within a bucket, ie “bucket-
max  0, ∑WSk2 + ∑∑ρklWSkWSl  level capital requirement”.
 k k k ≠l 
• The weighted sensitivities in
each bucket must be
aggregated using the
applicable value(s) of
corresponding prescribed
correlation ρkl.
• The quantity with the
square root function is
floored at zero.
25–68 I–K Vega risks Kb Risk position for vega bucket b, • Aggregation of weighted
(Medium, High, calculated per MAR21.4(4) sensitivities to risk factors
Low correlations)   within a bucket, ie “bucket-
max  0, ∑WSk2 + ∑∑ρklWSkWSl  level capital requirement”.
 k k k ≠l 
• The weighted sensitivities in
each bucket must be
aggregated using the
applicable value(s) of
corresponding prescribed
correlation ρkl.
• The quantity with the
square root function is
floored at zero.

102 Instructions for Basel III monitoring

 Row Column Heading Description Remarks
25–68 L–N Curvature risks Risk position for curvature bucket b, • Parameter is calculated
Kb (Medium, calculated per MAR21.5(3)(b) consistent with definitions
High, Low in MAR21.5 and
correlations)
( )
K b = max K b+ , K b− , where
MAR21.100.

Aggregation of weighted
( )
 2  •
 0, ∑ k max CVRk ,0
+
 
 +  sensitivities to risk factors
+
K b
= max  + ∑ ∑ ρklCVRk CVRl 
+
within a bucket, ie “bucket-
l ≠k k
  

 
(
ψ CVRk , CVRl
+ +


) level capital requirement”.
 • The weighted
sensitivities in each
( )
 2 

 0, ∑ k max CVRk ,0
−
  bucket must be
 −  −
K b max  + ∑ ∑ ρklCVRk CVRl  aggregated using the
−
=
l ≠k k
   applicable value(s) of

 
(
ψ CVRk , CVRl
− −


) ρ and ψ.
• The quantity with the
(
where ψ CVRk CVRl ) is a function
square root function is
that takes the value 0 if CVRk and floored at zero.
CVRl both have negative signs. In all
(
other cases ψ CVRk CVRl takes the )
value of 1
Total GIRR capital requirement
73–75 F Delta capital At the risk class level, aggregate GIRR delta capital requirement under
requirement medium, high, low correlation scenarios per the 2019 framework.
77–79 F Vega capital At the risk class level, aggregate GIRR vega capital requirement under
requirement medium, high, low correlation scenarios per the 2019 framework.
81–83 F Curvature capital At the risk class level, aggregate GIRR curvature capital requirement
requirement under medium, high, low correlation scenarios per the 2019 framework.

9.2.2 Panel B: Credit spread risk: non-securitisations

Row Column Heading Description Remarks
88–105 F–H Delta risks Kb Risk position for each delta • Aggregation of weighted
(Medium, High, bucket b, calculated per sensitivities to risk factors within
Low correlations) MAR21.4(4) with the exception of a bucket, ie “bucket-level capital
the "Other bucket" which is requirement”.
calculated per MAR21.56. • The weighted sensitivities in
  each bucket must be
max  0, ∑WSk2 + ∑∑ρklWSkWSl  aggregated using the applicable
 k k k ≠l 
value(s) of corresponding
prescribed correlation ρkl.
• The quantity with the square
root function is floored at zero.
88–105 I–K Vega risks Kb Risk position for each vega • Aggregation of weighted
(Medium, High, bucket b, calculated per sensitivities to risk factors within
Low correlations) MAR21.4(4) with the exception of a bucket, ie “bucket-level capital
the Other bucket, which is requirement”.
calculated per MAR21.56. • The weighted sensitivities in
  each bucket must be
max  0, ∑WSk2 + ∑∑ρklWSkWSl  aggregated using the applicable
 k k k ≠l 
value(s) of corresponding
prescribed correlation ρkl.
• The quantity with the square
root function is floored at zero.

Instructions for Basel III monitoring 103

 Row Column Heading Description Remarks
88–105 L–N Curvature risks Kb Risk position for each curvature • Parameter calculated consistent
(Medium, High, bucket b, calculated per with definitions in MAR21.5 and
Low correlations) MAR21.5(3)(b) with the exception MAR21.100.
of the "Other bucket" which is • Aggregation of weighted
calculated per MAR21.56. sensitivities to risk factors within
( )
K b = max K b+ , K b− , where a bucket, ie “bucket-level capital

requirement”.
( )
 2 
 0, ∑ k max CVRk ,0 The weighted sensitivities in
+
  •
 +  
K b
= max  + ∑ ∑ ρklCVRk+CVRl+  each bucket must be
l ≠k k
   aggregated using the applicable

 
(
ψ CVRk , CVRl
+ +


) value(s) of ρkl and ψ.

The quantity with the square
( )
2
   •
 0, ∑ k max CVRk ,0
−
 
 −  −
root function is floored at zero.
K b max  + ∑ ∑ ρklCVRk CVRl 
−
=
l ≠k k
  

 
(
ψ CVRk , CVRl
− −


)
(
where ψ CVRk CVRl is a function)
that takes the value 0 if CVRk and
CVRl both have negative signs. In
all other cases ψ CVRk CVRl( )
takes the value of 1
Total CSR non-securitisations capital requirement
110–112 F Delta capital At the risk class level, aggregate CSR non-securitisations delta capital
requirement requirement under medium, high and low correlation scenarios per the
2019 framework.
114–116 F Vega capital At the risk class level, aggregate CSR non-securitisations vega capital
requirement requirement under medium, high and low correlation scenarios per the
2019 framework.
118–120 F Curvature capital At the risk class level, aggregate CSR non-securitisations curvature capital
requirement requirement under medium, high and low correlation scenarios per the
2019 framework.

9.2.3 Panel C: Credit spread risk: securitisations (non-CTP)

Row Column Heading Description Remarks
125–149 F–H Delta risks Kb Risk position for each delta • Aggregation of weighted
(Medium, High, bucket b, calculated per sensitivities to risk factors within
Low correlations) MAR21.4(4) with the exception of a bucket, ie “bucket-level capital
the "Other bucket" which is requirement”.
calculated per MAR21.69. • The weighted sensitivities in
  each bucket must be
max  0, ∑WSk2 + ∑∑ρklWSkWSl  aggregated using the applicable
 k k k ≠l 
value(s) of corresponding
prescribed correlation ρkl.
• The quantity with the square
root function is floored at zero.

104 Instructions for Basel III monitoring

 Row Column Heading Description Remarks
125–149 I–K Vega risks Kb Risk position for each vega bucket • Aggregation of weighted
(Medium, High, b, calculated per MAR 21.4(4) with sensitivities to risk factors within
Low correlations) the exception of the "Other a bucket, ie “bucket-level capital
bucket" which is calculated per requirement”.
MAR21.69. • The weighted sensitivities in
  each bucket must be
max  0, ∑WSk2 + ∑∑ρklWSkWSl  aggregated using the applicable
 k k k ≠l 
value(s) of corresponding
prescribed correlation ρkl.
• The quantity with the square
root function is floored at zero.
125–149 L–N Curvature risks Kb Risk position for each curvature • Parameter calculated consistent
(Medium, High, bucket b, calculated per with definitions in MAR21.5 and
Low correlations) MAR21.5(3)(b) with the exception MAR21.100 of the 2019
of the "Other bucket" which is framework.
calculated per MAR21.69. • Aggregation of weighted
( )
K b = max K b+ , K b− , where sensitivities to risk factors within

a bucket, ie “bucket-level capital
( )
 2 
  0, ∑ k max CVRk ,0
+
 requirement”.
 +  
K b
= max  + ∑ ∑ ρklCVRk+CVRl+  • The weighted sensitivities in
l ≠k k
   each bucket must be

 
(
ψ CVRk , CVRl
+ +


) aggregated using the applicable

value(s) of ρkl and ψ.
( )
 2 

 0, ∑ k max CVRk ,0
−
 
 −   • The quantity with the square
K b
= max  + ∑ ∑ ρklCVRk−CVRl− 
l ≠k k root function is floored at zero.
  

 
(
ψ CVRk , CVRl
− −


)
(
where ψ CVRk CVRl is a function)
that takes the value 0 if CVRk and
CVRl both have negative signs. In
all other cases ψ CVRk CVRl( )
takes the value of 1
Total CSR securitisations (non-CTP) capital requirement
154–156 F Delta capital At the risk class level, aggregate CSR securitisations (non-CTP) delta capital
requirement requirement under medium, high and low correlation scenarios per the
2019 framework.
158–160 F Vega capital At the risk class level, aggregate CSR securitisations (non-CTP) vega capital
requirement requirement under medium, high and low correlation scenarios per the
2019 framework.
162–164 F Curvature capital At the risk class level, aggregate CSR securitisations (non-CTP) curvature
requirement capital requirement under medium, high and low correlation scenarios per
the 2019 framework.

9.2.4 Panel D: Credit spread risk: securitisations (CTP)

This panel is to be filled in only the banks that hold correlation trading portfolios.

Instructions for Basel III monitoring 105

 Row Column Heading Description Remarks
168 F Memo box: Non-data entry cell. Memo shows the bank's current securitisations (CTP)
Current CTP and capital requirement value reported in the work sheet "TB".
CRM capital
requirements
169 F Memo box: Panel Non-data entry cell. Memo signals whether the bank is expected to fill in
D to be filled in? the panel D. Banks with no current CTP positions are not required to fill
in this panel.
173–188 F–H Delta risks Kb Risk position for each delta • Aggregation of weighted
(Medium, High, bucket b, calculated per sensitivities to risk factors within
Low correlations) MAR21.4(4) with the exception of a bucket, ie “bucket-level capital
the "Other bucket" which is requirement”.
calculated per MAR 21.56. • The weighted sensitivities in
  each bucket must be
max  0, ∑WSk2 + ∑∑ρklWSkWSl  aggregated using the applicable
 k k k ≠l 
value(s) of corresponding
prescribed correlation ρkl.
• The quantity with the square
root function is floored at zero.
173–188 I–K Vega risks Kb Risk position for each vega • Aggregation of weighted
(Medium, High, bucket b, calculated per sensitivities to risk factors within
Low correlations) MAR21.4(4) with the exception of a bucket, ie “bucket-level capital
the "Other bucket" which is requirement”.
calculated per MAR21.56. • The weighted sensitivities in
  each bucket must be
max  0, ∑WSk2 + ∑∑ρklWSkWSl  aggregated using the applicable
 k k k ≠l 
value(s) of corresponding
prescribed correlation ρkl.
• The quantity with the square
root function is floored at zero.
173–188 L–N Curvature risks Kb Risk position for each curvature • Parameters to be calculated
(Medium, High, bucket b, calculated per consistent with definitions in
Low correlations) MAR21.5(3)(b) with the exception MAR21.5 and MAR21.100.
of the "Other bucket" which is • Aggregation of weighted
calculated per MAR21.56. sensitivities to risk factors within
( )
K b = max K b+ , K b− , where a bucket, ie “bucket-level capital

requirement”.
( )
 2 
 0, ∑ k max CVRk ,0 The weighted sensitivities in
+
  •
 +  
K b
= max  + ∑ ∑ ρklCVRk+CVRl+  each bucket must be
l ≠k k
   aggregated using the applicable

 
(
ψ CVRk , CVRl
+ +


) value(s) of ρkl and ψ.

The quantity with the square
( )
2
   •
 0, ∑ k max CVRk ,0
−
 
 −   root function is floored at zero.
K b
= max  + ∑ ∑ ρklCVRk−CVRl− 
l ≠k k
  

 
(
ψ CVRk , CVRl
− −


)
(
where ψ CVRk CVRl is a function)
that takes the value 0 if CVRk and
CVRl both have negative signs. In
all other cases ψ CVRk CVRl( )
takes the value of 1
Total CSR securitisations (CTP) capital requirement
193–195 F Delta capital At the risk class level, aggregate CSR non-securitisations delta capital
requirement under medium, high and low correlation scenarios per the 2019
framework.

106 Instructions for Basel III monitoring

 Row Column Heading Description Remarks
168 F Memo box: Non-data entry cell. Memo shows the bank's current securitisations (CTP)
Current CTP and capital requirement value reported in the work sheet "TB".
CRM capital
requirements
169 F Memo box: Panel Non-data entry cell. Memo signals whether the bank is expected to fill in
D to be filled in? the panel D. Banks with no current CTP positions are not required to fill
in this panel.
197–199 F Vega capital At the risk class level, aggregate CSR non-securitisations vega capital
requirement under medium, high and low correlation scenarios per the 2019
framework.
201–203 F Curvature capital At the risk class level, aggregate CSR non-securitisations curvature capital
requirement under medium, high and low correlation scenarios per the 2019
framework.

9.2.5 Panel E: Equity risk

Row Column Heading Description Remarks
208–221 F–H Delta risks Kb Risk position for each delta • Aggregation of weighted
(Medium, High, Low bucket b, calculated per sensitivities to risk factors
Correlations) MAR21.4(4) with the exception within a bucket, ie “bucket-
of the "Other bucket" which is level capital requirement”.
calculated per MAR21.79. • The weighted sensitivities in
  each bucket must be
max  0, ∑WSk2 + ∑∑ρklWSkWSl  aggregated using the
 k k k ≠l 
applicable value(s) of
corresponding prescribed
correlation ρkl.
• The quantity with the square
root function is floored at
zero.
• The row “Other sector; of
which: equity investments in
funds” should report values
specifically for equity
investments in funds that are
placed in the “Other sector”
bucket following MAR21.36(3)
or for products whose payoffs
are linked to such
investments.

Instructions for Basel III monitoring 107

 Row Column Heading Description Remarks
208–221 I–K Vega risks Kb Risk position for each vega • Aggregation of weighted
(Medium, High, Low bucket b, calculated per sensitivities to risk factors
correlations) MAR21.4(4) with the exception within a bucket, ie “bucket-
of the "Other bucket" which is level capital requirement”.
calculated per MAR21.79. • The weighted sensitivities in
  each bucket must be
max  0, ∑WSk2 + ∑∑ρklWSkWSl 
aggregated using the
 k k k ≠l 
applicable value(s) of
corresponding prescribed
correlation ρkl.
• The quantity with the square
root function is floored at
zero.
• The row “Other sector; of
which: equity investments in
funds” should report values
specifically for equity
investments in funds that are
placed in the “Other sector”
bucket following MAR21.36(3)
or for products whose payoffs
are linked to such
investments.
208–221 L–N Curvature risks Kb Risk position for each curvature • Parameter to be calculated
(Medium, High, Low bucket b, calculated per consistent with definitions in
correlations) MAR21.5(3)(b) with the MAR21.5 and MAR21.100.
exception of the "Other bucket" • Aggregation of weighted
which is calculated per sensitivities to risk factors
MAR21.79. within a bucket, ie “bucket-
( )
K b = max K b+ , K b− , where level capital requirement”.
 • The weighted sensitivities in
( )
 2 
 0, ∑ k max CVRk ,0
+

 +
 each bucket must be
 
K b
= max  + ∑ ∑ ρklCVRk+CVRl+ 
l ≠k k
aggregated using the



(
ψ CVRk , CVRl
+ +
)


applicable value(s) of the


  correlation parameter ρkl and
 
(
2 
) ψ.
 0, ∑ k max CVRk ,0
−
 
 −   • The quantity with the square
K b
= max  + ∑ ∑ ρklCVRk−CVRl− 
 
l ≠k k
 root function is floored at

 
(
ψ CVRk , CVRl
− −
) 
 zero.
• The row “Other sector; of
(
where ψ CVRk CVRl is a ) which: equity investments in
function that takes the value 0 if funds” should report values
CVRk and CVRl both have specifically for equity
negative signs. In all other cases investments in funds that are
ψ ( CVRk CVRl ) takes the value of placed in the “Other sector”
bucket following MAR21.36(3)
1 or for products whose payoffs
are linked to such
investments.
Total equity risk capital requirement
226–228 F Delta capital At the risk class level, aggregate equity risk delta capital under
requirement medium, high and low correlation scenarios per the 2019 framework.
230–232 F Vega capital At the risk class level, aggregate equity risk vega capital under
requirement Medium, high and low correlation scenarios per the 2019 framework.
234–236 F Curvature capital At the risk class level, aggregate equity risk curvature capital under
requirement Medium, high and low correlation scenarios per the 2019 framework.

108 Instructions for Basel III monitoring

9.2.6 Panel F: Commodity risk
Row Column Heading Description Remarks
241–251 F–H Delta risks Kb Risk position for each delta • Aggregation of weighted
(Medium, High, Low bucket b, calculated per sensitivities to risk factors within
correlations) MAR21.4(4) a bucket, ie “bucket-level capital
 
requirement”.
max  0, ∑WSk2 + ∑∑ρklWSkWSl  • The weighted sensitivities in
 k k k ≠l 
each bucket must be
aggregated using the applicable
value(s) of corresponding
prescribed correlation ρkl.
• The quantity with the square
root function is floored at zero.
241–251 I-K Vega risks Kb Risk position for each vega • Aggregation of weighted
(Medium, High, Low bucket b, calculated per sensitivities to risk factors within
correlations) MAR21.4(4) a bucket, ie “bucket-level capital
  requirement”.
max  0, ∑WSk2 + ∑∑ρklWSkWSl 
 k k k ≠l  • The weighted sensitivities in
each bucket must be
aggregated using the applicable
value(s) of corresponding
prescribed correlation ρkl.
• The quantity with the square
root function is floored at zero.
241–251 L-N Curvature risks Kb Risk position for each • Parameter calculated consistent
(Medium, High, Low curvature bucket b, calculated with definitions in MAR21.5 and
correlations) per MAR21.5(3)(b) MAR21.100.
( )
K b = max K b+ , K b− , where • Aggregation of weighted
 sensitivities to risk factors within
( )
  2
 0, ∑ k max CVRk ,0 a bucket, ie “bucket-level capital
+
 
 +  +
K b
= max  + ∑ ∑ ρklCVRk CVRl 
l ≠k k
+
requirement”.
  

 
(
ψ CVRk , CVRl
+ +


) • The weighted sensitivities in
 each bucket must be
( )
 2 

 0, ∑ k max CVRk ,0 aggregated using the applicable
−
 
 
 −
K b
= max  + ∑ ∑ ρklCVRk−CVRl− 
l ≠k k
value(s) of the correlation
 
(
ψ CVRk , CVRl
− −

)

parameter ρkl and ψ.

 
 • The quantity with the square
(
where ψ CVRk CVRl is a ) root function is floored at zero.

function that takes the value 0

if CVRk and CVRl both have
negative signs. In all other
(
cases ψ CVRk CVRl takes the )
value of 1
Total commodity risk capital requirement
256–258 F Delta capital At the risk class level, aggregate commodity risk delta capital under
requirement medium, high and low correlation scenarios per the 2019 framework.
260–262 F Vega capital At the risk class level, aggregate commodity risk vega capital under
requirement medium, high and low correlation scenarios per the 2019 framework.
264–266 F Curvature capital At the risk class level, aggregate commodity risk curvature capital
requirement under medium, high and low correlation scenarios per the 2019
framework.

Instructions for Basel III monitoring 109

9.2.7 Panel G: Foreign exchange risk
Row Column Heading Description Remarks
Reporting currency
271 G Reporting currency No data input required.
272 G Was preferential risk weight applied to eligible currency Please select “Yes” or “No”, as
pairs? appropriate, reflecting the approach
used to calculate the weighted
sensitivities in panel G.
273 G Reporting or base currency used Please select “Reporting currency” or
“Base currency”, reflecting the
currency the bank used for FX risk
calculation per MAR21.14.
274 G Base currency (when the bank opts to use the base If the bank opts to use the base
currency, ISO code) currency, please provide the ISO
currency code.
275 G Currency No data input required. This memo shows the ISO currency code of either
reporting or base currency the bank used to calculate the FX risks.
276 G 1.5 scalar applied to eligible curvature sensitivities? Please select “No”, “Yes, only for
options not referencing
base/reporting currency” or “Yes,
only for options not referencing
base/reporting currency”. PER
MAR21.98, the selection should
reflect the treatment the bank used
to calculate the FX risks for options
that do not reference the bank's
reporting (or base) currency.
317–346 C OTHER 1 to OTHER 30 refers to all other currencies other than those listed in cells B280 to
B315 in which the bank has exposure to FX risk and which cannot be represented via liquid
currency pairs with respect to reporting (or base) currency of the bank. If the bank holds
such positions, please provide the ISO currency code in C316:C345.
These selected currency codes are relevant for delta risks (in cells C316:F345) and curvature
risks (in cells M316:O345).
281–346 F Delta risks ∑ WS Sum of weighted sensitivities to • The weighted sensitivity WSk is
risk factor k per each bucket, the product of the net sensitivity
calculated per MAR21.4(3). sk and the corresponding risk
weight RWk.
∑WS k
k • Sum the derived values for WSk
for all risk factors within a
bucket.
• Do not report the effects of any
triangulation in this column
even if column G indicates that
triangulation is possible.
281–316 G Triangulation via
liquid pairs is No data input required.
possible (Yes/No)

110 Instructions for Basel III monitoring

 Row Column Heading Description Remarks
281–313 I–K Vega risks Kb Risk position for each vega • Aggregation of weighted
(Medium, High, bucket b, calculated per sensitivities to risk factors within
Low correlations) MAR21.4(4) a bucket, ie “bucket-level capital
  requirement”.
max  0, ∑WSk2 + ∑∑ρklWSkWSl  • The weighted sensitivities in
 k k k ≠l 
each bucket must be
aggregated using the applicable
value(s) of corresponding
prescribed correlation ρkl.
• The quantity with the square
root function is floored at zero.
302, 307, H LIQUID refers to currency pairs that can be represented as a combination of liquid pairs, where
308, 'liquid' refers to 'selected' currency pairs referenced in footnote 22 to MAR21.88;
310–313 ILLIQUID refers to currency pairs that cannot be represented as a combination of liquid pairs;
CROSS LIQUID refers to currency pairs that are not on the list of 'selected' currency pairs, but
which can be created by triangulation of currencies that are referenced in any of the currency
pairs in the list of 'selected' currency pairs. This row should be calculated as the simple sum of all
such pairs; and CROSS ILLIQUID refers to currency pairs that are not on the list of 'selected'
currency pairs, and which cannot be created by triangulation of currencies that are referenced in
any of the currency pairs in the list of 'selected' currency pairs. This row should be calculated as
the simple sum of all such pairs.
281–346 M-O Curvature risks Kb Risk position for each curvature • Parameters to be calculated
(Medium, High, bucket b, calculated per consistent with definitions in
Low correlations) MAR21.5(3)(b). For FX, the Kb+ MAR21.5 and MAR21.100.
and Kb- would simplify down in
the formula below to the absolute
value of CVRb+ and the absolute
value of CVRb- respectively.
( )
K b = max K b+ , K b− , where

( )
 2 
 0, ∑ k max CVRk ,0
+
 
 +  
K b
= max  + ∑ ∑ ρklCVRk+CVRl+ 
l ≠k k
  

 
(
ψ CVRk , CVRl
+ +
) 


( )
 2 

 0, ∑ k max CVRk ,0
−
 
 −  −
K b max  + ∑ ∑ ρklCVRk CVRl 
−
=
l ≠k k
  

 
(
ψ CVRk , CVRl
− −
) 


Total FX risk capital requirement

351–353 F Delta capital At the risk class level, aggregate FX risk delta capital under medium, high
requirement and low correlation scenarios per the 2019 framework.
355–357 F Vega capital At the risk class level, aggregate FX risk vega capital under medium, high
requirement and low correlation scenarios per the 2019 framework.
359–361 F Curvature capital At the risk class level, aggregate FX risk curvature capital under medium,
requirement high and low correlation scenarios per the 2019 framework.

Instructions for Basel III monitoring 111

9.2.8 Panel H: Default risk capital (DRC) requirement
Row Column Heading Description Remarks
366 F Non-securitisation: Corporates DRC requirement for corporates as defined in MAR22.9-
capital requirement MAR22.26.
367 F Non-securitisation: Sovereigns DRC requirement for sovereigns as defined in MAR22.9-
capital requirement MAR22.26.
368 F Non-securitisation: Local DRC requirement for local governments and municipalities as
governments and defined in MAR22.9-MAR22.26.
municipalities capital
requirement
369 F Securitisation (non-CTP) DRC requirement for securitisation (non-CTP) as defined in
MAR22.27 to MAR22.35.
370 F Securitisation (CTP) DRC requirement for securitisation (CTP) as defined in
MAR22.36 to MAR22.45.
371 F Total No data input required.

Panel H.1 DRC: non-securitisation exposures

Row Column Heading Description Remarks

373 I Are claims on No data input required. National supervisors provide “Yes” or “No”, as
sovereigns, public appropriate, reflecting if claims on sovereigns, public sector entities and
sector entities and multilateral development banks may be subject to a zero default risk
multilateral weight per the national discretion in MAR22.7 for the calculation of capital
development banks requirements in panel H.
subject to a zero
default risk weight
per the national
discretion in
MAR22.7?
374 I Has this national Please answer “Yes” or “No” depending on whether the national discretion
discretion choice choice specified by national supervisors in the rows above has been
been reflected in reflected in the calculations for panel H.1.
the calculations for
the panel below?
377–385 F Corporates (net Net long jump-to-default exposure per credit quality category for the
long JTD) corporates bucket in the non-securitisation portfolio as defined in
MAR22.19 to 22.21. Risk weights should not be applied.
377–385 G Corporates (net Net short jump-to-default exposure per credit quality category for the
long JTD) corporates bucket in the non-securitisation portfolio as defined in
MAR22.19 to 22.21. Risk weights should not be applied.
377–385 H Sovereigns (net Net long jump-to-default exposure per credit quality category for
long JTD) sovereigns bucket in the non-securitisation portfolio as defined in
MAR22.19 to MAR22.21. Risk weights should not be applied.
377–385 I Sovereigns (net Net short jump-to-default exposure per credit quality category for
short JTD) sovereigns bucket in the non-securitisation portfolio as defined in
MAR22.19 to MAR22.21. Risk weights should not be applied.
377–385 J Local governments Net long jump-to-default exposure per credit quality category for local
and municipalities governments and municipalities bucket in the non-securitisation portfolio
(net long JTD) as defined in MAR22.19 to MAR22.21. Risk weights should not be applied.
377–385 K Local governments Net short jump-to-default exposure per credit quality category for local
and municipalities governments and municipalities bucket in the non-securitisation portfolio
(net short JTD) as defined in MAR22.19 to MAR22.21. Risk weights should not be applied.

112 Instructions for Basel III monitoring

9.2.9 Panel I: Memo panel equity investments in funds
This panel provides some additional breakdown for equity investments in funds. It should only be
completed by banks in the European Union and others if directed to do so by their supervisors due to the
materiality of such exposures.
The columns are the same as in panel E, described in Section 9.2.5 above. However, data should
be provided separately for equity investments in funds reported in panel E using the mandate-based
approach (row 391), equity investments in funds reported in panel E using the index-based approach (row
392) and equity investments in funds reported in panel E using the simplified standardised approach (row
393). Finally, if possible, banks should also provide the capital requirement if the simplified standardised
approach was used for all exposures in row 394.

9.3 Worksheet “TB IMA Backtesting-P&L”

This worksheet should only be filled in for the reporting dates at the end of each year.
“TB IMA Backtesting-P&L” worksheet collects data on risk measures and P&L related to the revised
internal models-based approach in the trading book.
The worksheet collects trading desk-level and bank-wide (ie top-of-the house) risk measures and
backtesting data. Please note that trading desk information reflected in all panels is pulled from panel C
in the “TB” worksheet.
In a case where the desk structure has changed from the previous reporting date, banks must re-
allocate positions of the previous one year based on the desk structure as standing at the reporting date.
Backtesting and P&L results in worksheet “TB IMA Backtesting-P&L” will therefore have to be generated
irrespective of the structure in place at a particular trading date. For example, if trading desks 001 and 002
in June of the reporting year are merged into a new trading desk 100 by December of the reporting year,
when reporting data for the end-year data collection exercise, the bank must report re-calculated values
for a full year for trading desk 100, while data for trading desks 001 and 002 should no longer be reported
for any trading days in that year.
The data collected on the worksheet are important to facilitate monitoring the design and
calibration of the metrics (ie hypothetical P&L (HPL) and risk-theoretical P&L (RTPL)) and its parameters
utilised in the P&L attribution test. The data are also used to inform understanding of trends in the level
and characteristics of trading activities and their relationship to VaR and ES risk measures.
Data should be reported for trading desks in the global trading book for which the bank has
model approval status granted by its national supervisor. For purposes of reporting, definitions of
terminology used in the worksheets “TB” and “TB IMA Backtesting-P&L” are intended to be consistent with
definitions specified in the January 2019 market risk framework. Securitisation positions that are not
allowed to be capitalised using the internal models approach under the January 2019 market risk
framework, must not be included in the calculation of the risk measures or P&Ls reported in this worksheet.
Row 6 of the worksheet collects the reporting date for each data point recorded in the worksheet.
Banks are requested to report the longest time series available within the twelve-month period before
the reporting date. Dates must be reported under the format yyyy-mm-dd.
The end of this time series must match the reporting date of the bank (or the last trading day
before the reporting date if the reporting date is not a trading day). For example, if a bank reports the
market risk capital requirement in worksheet “TB” as of 31 March, the bank should provide data for trading
dates that fall between 1 April of the previous year and 31 March of the current year.

Instructions for Basel III monitoring 113

 Row Column Heading Description
6 H–KB Reporting date Date related to the entries in this column of the worksheet.

In panels A and B, risk measures (ie VaR and ES) in panel A and P&Ls in panel B should be basically
based on the same set of positions in terms of date. For example, the VaR and ES are measured based on
the positions held at the end of the previous day (“t-1”). So the comparable P&L should be based on the
positions held at the end of the previous day, but then the P&L would be derived at the end of the “t”
reporting date. HPL and RTPL are calculated based on the assumption that the positions of the previous
day remained, while the APL also includes potential changes in positions on day “t”.

9.2.1 Risk measures

Risk measures reported in panels A.1 through A.3 (VaR and ES) should be reported as positive values. No
multiplier should be applied.

Panel A.1: 1-day 99% VaR

This panel collects the current period 1-day 99% VaR at the trading desk-level and the firm-wide level.

Row Column Heading Description

11–210 C Unique desk ID The text here will be automatically taken from entries in
panel C of the “TB” worksheet.
11–210 D Description (name internally The text here will be automatically taken from entries in
used) panel C of the “TB” worksheet.
11–210 E Description (regulatory trading The text here will be automatically taken from entries in
desk name) panel C of the “TB” worksheet.
11–210 F Internal models permission The text here will be automatically taken from entries in
panel C of the “TB” worksheet.
11–210 G Hedging strategy (is this desk The text here will be automatically taken from entries in
considered to be "well panel C of the “TB” worksheet.
hedged"?)
11–210 H–KB 1-day 99% VaR (desk level) For the reporting date in row 6, the current period one-day
VaR with a 99% confidence interval for that desk.
211 H–KB 1-day 99% VaR (firm-wide For the reporting date in row 6, the current period one-day
level) VaR with a 99% confidence interval for the entire firm-wide
portfolio. The numbers for the firm-wide VaR shall only
include modelled desks.

Panel A.2: 1-day 97.5% VaR

This panel collects the current period 1-day 97.5% VaR at desk level and firm-wide level.

114 Instructions for Basel III monitoring

 Row Column Heading Description
214–413 C Unique desk ID The text here will be automatically taken from entries in
panel C of the “TB” worksheet.
214–413 D Description (name internally The text here will be automatically taken from entries in
used) panel C of the “TB” worksheet.
214–413 E Description (regulatory trading The text here will be automatically taken from entries in
desk name) panel C of the “TB” worksheet.
214–413 F Internal models permission The text here will be automatically taken from entries in
panel C of the “TB” worksheet.
214–413 G Hedging strategy (is this desk The text here will be automatically taken from entries in
considered to be "well panel C of the “TB” worksheet.
hedged"?)
214–413 H–KB 1-day 97.5% VaR (desk level) For the reporting date in row 6, the current period one-day
VaR with a 97.5% confidence interval for that desk.
414 H–KB 1-day 97.5% VaR (firm-wide For the reporting date in row 6, the current period one-day
level) VaR with a 97.5% confidence interval for the entire firm-wide
portfolio. The numbers for the firm-wide VaR shall only
include modelled desks.

Panel A.3: 1-day 97.5% ES

This panel collects the current period 1-day 97.5% ES at the trading desk-level and the firm-wide level.

Row Column Heading Description

417–616 C Unique desk ID The text here will be automatically taken from entries in
panel C of the “TB” worksheet.
417–616 D Description (name internally The text here will be automatically taken from entries in
used) panel C of the “TB” worksheet.
417–616 E Description (regulatory trading The text here will be automatically taken from entries in
desk name) panel C of the “TB” worksheet.
417–616 F Internal models permission The text here will be automatically taken from entries in
panel C of the “TB” worksheet.
417–616 G Hedging strategy (is this desk The text here will be automatically taken from entries in
considered to be "well panel C of the “TB” worksheet.
hedged"?)
417–616 H–KB 1-day 97.5% ES (desk level) For the reporting date in row 6, the current period one-day
ES with a 97.5% confidence interval for that desk.
617 H–KB 1-day 97.5% ES (firm-wide For the reporting date in row 6, the current period one-day
level) ES with a 97.5% confidence interval for the entire firm-wide
portfolio. The numbers for the firm-wide expected
shortfall shall only include modelled desks.

Panel A.4: p-value 38 37F

The calculation of p-values reported in panel A.4 must be based on a comparison of hypothetical P&L
and 99% VaR. Please do not report data that do not conform to this requirement. Specifically, if, for a
given desk, the reporting institution’s approach to calculating p-values differs from the description above,
the firm must not report any p-values for said desk, leaving the row blank.

38
P-values are defined as (
Ft Rt +1 ) where ()
Ft ⋅ is the daily cumulative distribution forecast for next day’s return Rt +1 .

Instructions for Basel III monitoring 115

 Row Column Heading Description
620–819 C Unique desk ID The text here will be automatically taken from entries in
panel C of the “TB” worksheet.
620–819 D Description (name internally The text here will be automatically taken from entries in
used) panel C of the “TB” worksheet.
620–819 E Description (regulatory trading The text here will be automatically taken from entries in
desk name) panel C of the “TB” worksheet.
620–819 F Internal models permission The text here will be automatically taken from entries in
panel C of the “TB” worksheet.
620–819 G Hedging strategy (is this desk The text here will be automatically taken from entries in
considered to be "well panel C of the “TB” worksheet.
hedged"?)
620–819 H–KB P-value (desk level) For the reporting date in row 6, the p-values for that desk.
820 H–KB P-value (firm-wide level) For the reporting date in row 6, the p-values for the entire
firm-wide portfolio. The numbers for the firm-wide P-
value shall only include modelled desks.

9.2.2 P&L

Panel B.1: Actual P&L

For the purposes of calculating actual P&L in panel B.1, all valuation adjustments relevant to the pricing
of an instrument should be included.

Row Column Heading Description

825– C Unique desk ID The text here will be automatically taken from entries in
1024 panel C of the “TB” worksheet.
825– D Description (name internally The text here will be automatically taken from entries in
1024 used) panel C of the “TB” worksheet.
825– E Description (regulatory trading The text here will be automatically taken from entries in
1024 desk name) panel C of the “TB” worksheet.
825– F Internal models permission The text here will be automatically taken from entries in
1024 panel C of the “TB” worksheet.
825– G Hedging strategy (is this desk The text here will be automatically taken from entries in
1024 considered to be "well panel C of the “TB” worksheet.
hedged"?)
825– H–KB Actual P&L (desk level) For the reporting date in row 6, the one-day profit or loss for
1024 that desk with the impact of fees and commissions removed.
1025 H–KB Actual P&L (firm-wide level) For the reporting date in row 6, the one-day profit or loss at
the firm-wide level with the impact of fees and commissions
removed. The numbers for the firm-wide actual P&L shall
only include modelled desks.

Panel B.2: Hypothetical P&L

For the purposes of calculating hypothetical P&L in panel B.2, valuation adjustments that cannot be
calculated on a daily basis should be excluded. Valuation adjustments that are calculated daily should be
included in hypothetical P&L.

116 Instructions for Basel III monitoring

 Row Column Heading Description
1028– C Unique desk ID The text here will be automatically taken from entries in
1227 panel C of the “TB” worksheet.
1028– D Description (name internally The text here will be automatically taken from entries in
1227 used) panel C of the “TB” worksheet.
1028– E Description (regulatory trading The text here will be automatically taken from entries in
1227 desk name) panel C of the “TB” worksheet.
1028– F Internal models permission The text here will be automatically taken from entries in
1227 panel C of the “TB” worksheet.
1028– G Hedging strategy (is this desk The text here will be automatically taken from entries in
1227 considered to be "well panel C of the “TB” worksheet.
hedged"?)
1028– H–KB Hypothetical P&L (desk level) For the reporting date in row 6, the one-day hypothetical
1227 profit or loss for that desk.
1228 H–KB Hypothetical P&L (firm-wide For the reporting date in row 6, the one-day hypothetical
level) profit or loss at the firm-wide level. The numbers for the
firm-wide hypothetical P&L shall only include modelled
desks.

Panel B.3: Risk-theoretical P&L

For the purposes of calculating risk-theoretical P&L in panel B.3, banks should only report risk-theoretical
P&L data if the data are based on the definition of risk-theoretical P&L as provided in the January 2019
market risk framework. Approximations derived from hypothetical P&L or some other input are not
acceptable and should not be reported. Please do not report data that do not conform to this
requirement. Specifically, if, for a given desk, the reporting institution’s approach to calculating risk-
theoretical P&L values differs from the description above, the firm must not report any values for said
desk, leaving the row blank.

Row Column Heading Description

1231– C Unique desk ID The text here will be automatically taken from entries in
1430 panel C of the “TB” worksheet.
1231– D Description (name internally The text here will be automatically taken from entries in
1430 used) panel C of the “TB” worksheet.
1231– E Description (regulatory trading The text here will be automatically taken from entries in
1430 desk name) panel C of the “TB” worksheet.
1231– F Internal models permission The text here will be automatically taken from entries in
1430 panel C of the “TB” worksheet.
1231– G Hedging strategy (is this desk The text here will be automatically taken from entries in
1430 considered to be "well panel C of the “TB” worksheet.
hedged"?)
1231– H–KB Risk-theoretical P&L (desk For the reporting date in row 6, the risk-theoretical profit or
1430 level) loss for that desk.
1431 H–KB Risk-theoretical P&L (firm-wide For the reporting date in row 6, the risk-theoretical profit or
level) loss for that desk. The numbers for the firm-wide risk-
theoretical P&L shall only include modelled desks.

Instructions for Basel III monitoring 117

10. CCR and CVA

Please refer to guidance from the national supervisor as to whether it is necessary to fill in this
worksheet.
Broadly, the “CCR and CVA” worksheet collects data on exposures subject to CCR and the impact of the
revisions to the minimum capital requirements for credit valuation adjustment (CVA) risk. 39 38F

Required data are conditional on the approaches entered in panel A.2.b in the “General
Info” worksheet (for CCR) and panel A.3 of the “General Info” worksheet (for CVA); therefore, this
should be completed first.
Mandatory (yellow) cells in the “CCR and CVA” worksheet are to be left blank, if a certain approach
(eg IMM for SFTs or A-CVA) is not used by a bank. A zero should only be filled in if these are real zeros, ie
if the bank uses the approach in general, but the capital requirements are zero at the as of date of the
exercise. The reported values (including zeros) should correspond to the setting of the respective flags for
credit risk and counterparty credit risk (panel A.2 of the “General Info” worksheet). In particular, if the flag
for a given approach for calculating CCR exposures under the current or revised framework is set to “Yes”,
the respective cells on the “CCR and CVA” worksheet should be filled in and vice versa. If the flag for a
given approach is set to “No”, the respective cells should be left blank. Below examples illustrate this
distinction for a given set of regulatory approaches. The principle applies to all other regulatory
approaches as well.
The respective reporting approaches in general apply also to the reporting in the CVA panels.

Example 1: Exposure calculation for derivatives using only standardised approaches (Current
Exposure Method, Standardised Method or SA-CCR) under current/revised frameworks and
calculation of credit risk capital requirements using the standardised and IRB approaches
In this case, the flags for the respective standardised approaches under the current and revised exposure
frameworks should be set to “Yes” on the “General Info” worksheet in panel A.2.b (cells C20 to C22 and
D22). The flags for all other approaches for exposure calculation – including the flags for the standardised
approaches not used by the reporting bank – should consequently be set to “No”. In addition, the flags
for the approaches generally used for the calculation of credit risk capital requirements should be set to
“Yes” in panel A.2.a (in this example the flag for credit risk SA (cell C11) and the flag for the respective IRB
approach (cells C12 and C13). The other flags should be set to “No”.
On the “CCR and CVA” worksheet, rows 43, 44, 46, 47, 49 and 50 of panel A should be populated
in columns C, D, O, P, U and V, even if exposures or capital requirements are zero as of the reporting date.
In case that for a given cell the reporting institution does not have any exposure at the time of the reporting
date (because, for example, there generally or currently is no business in overcollateralised derivatives),
the cell should be populated with a zero value as well. The other cells in panel A on the “CCR and CVA”
worksheet, ie rows 23, 24, 26, 27, 29 and 30 for IMM and 33, 34, 36, 37, 39 and 40 for OIM, should be left
blank in this example.

Example 2: Exposure calculation for derivatives using standardised approaches (Current Exposure
Method, Standardised Method or SA-CCR) under current/revised frameworks and calculation of
credit risk capital requirements using CR-SA only (ie no IRB bank)
In this case, the flags for the respective standardised approaches under the current and revised exposure
frameworks should be set to “Yes” on the “General Info” worksheet in panel A.2.b (cells C20 to C22 and
D22). The flags for all other approaches for exposure calculation including the flags for the standardised
approaches not used by the reporting bank should consequently be set to “No”. In addition, the flags for

39
Chapters CRE50 to CRE56 and chapter MAR50 of the Basel consolidated framework.

118 Instructions for Basel III monitoring

the approaches generally used for the calculation of credit risk capital requirements should be set to “Yes”
in panel A.2.a. Different from example 1, this applies only to the flag for the credit risk SA (cell C11). The
flags for the IRB approaches (cells C12 and C13) should be set to “No”.
On the “CCR and CVA” worksheet, only the rows relating to the SA for credit risk (rows 44, 47 and
50) of panel A should be populated in columns C, D, O, P, U and V, even if exposures or capital
requirements are zero as of the reporting date. In case for a given cell the reporting institution does not
have any exposure at the time of the reporting date (because, for example, there generally or currently is
no business in overcollateralised derivatives), the cell should be populated with a zero value as well. The
rows relating to the IRB approach (rows 43, 46 and 49) should be left blank. In addition, as under example 1,
rows 23, 24, 26, 27, 29 and 30 for IMM and 33, 34, 36, 37, 39 and 40 for OIM should also be left blank in
this example.

10.1 Panel A: Exposures subject to counterparty credit risk

The information on CCR exposures to both derivative transactions and SFTs including exposures to CCPs
(and exposures to clients when acting as CCP clearing member) is collected in panel A. This panel collects
total exposures and RWA amounts that arise from CCR exposures under both the IRB approaches and the
standardised approaches according to the current national rules and the revised framework for IRB and
SA. This panel provides more details for CCR exposures that are expected to be reported in panel A.1
of the worksheet “Credit risk (SA)”, in panel A.1 of the worksheet “Credit risk (IRB)” and the trade
exposure to CCPs included in row 38 of the worksheet “Requirements”. This should include trade
exposures to CCPs (both QCCPs and non-QCCPs), using whichever requirements are currently in place for
their jurisdictions (interim or final standards) for columns C to H, and the final standards for columns O to
T. The panel should exclude default fund contributions to CCPs (default fund contributions should only be
reported in row 39 of the “Requirements” worksheet).
It is important to note that the information collected in this panel is based on the existing
treatment of netting sets. That is, each netting set must be assigned to a set of columns based on its
current treatment and is only reported in those assigned columns. In particular, columns C to D, O to P
and U to V relate to netting sets of derivatives exposures, columns E to F, Q to R and W to X to SFTs and
columns G to H, S to T and Y to Z to cross-product netting sets. Please note that cross-product netting
sets may only be treated under the internal models method (IMM) according to the Basel framework.
Furthermore, it is important to note that the information collected in this panel asks you to
provide exposures and RWA based on different combinations of current and revised frameworks. In
particular
• columns C to H ask for the combination of current credit risk framework and current CCR
exposure framework (which may for derivative exposures use CEM or SA-CCR depending on
banks’ local implementation);
• columns O to T ask to combine the revised credit risk and revised CCR exposure framework (which
should also include changes to the treatment of collateralised transactions per chapter CRE22 of
the Basel Framework, including: amendments to the comprehensive approach, the requirement
to only use supervisory haircuts under that approach, and the treatment of certain SFT netting
sets as unsecured in accordance with chapter CRE56 using internal models and standardised
approaches as per approval; and
• columns U to Z ask to combine revised frameworks for credit risk and CCR exposure calculation
using standardised approaches only to determine exposures and risk weights.
In addition, if a particular derivatives or SFT netting set is currently subject to the IMM, it should
always only be reported in rows 21 to 30. Similarly, if a particular SFT netting set is currently subject to the
own estimates of haircuts approach under the comprehensive approach for collateralised transactions
(CA(OE)) or to the repo VaR for SFTs, it should always only be reported in rows 31 to 40 – regardless of

Instructions for Basel III monitoring 119

its treatment under the revised framework. Lastly, if a particular derivatives or SFT netting set is currently
subject to the Current Exposure Method (CEM) or to the standardised method (SM), the SA-CCR, the
simple approach or the supervisory haircuts approach under the comprehensive approach for
collateralised transactions (CA(SH)) then the netting set should be reported in rows 41 to 50. Note that
each row requests information under different combinations of approaches to calculating the exposure
amounts or EAD as well as to calculating RWA amounts, where applicable.
Banks should report the netting sets for the respective approaches providing a breakdown (i) for
over-collateralised, collateralised and uncollateralised netting sets (with all possible netting sets allocated
to exactly one of these options); and (ii) a further breakdown according to the credit risk approach used
for the respective netting set/counterparty. For derivatives and cross-product netting agreements,
collateralisation should be understood as follows:
• Uncollateralised: Uncollateralised netting sets or weakly collateralised netting sets defined as
those with large (eg >€5m or >$5m) CSA thresholds or minimum transfer amounts, or less than
daily call frequencies.
• Collateralised: collateralised netting sets are for the purposes of this panel defined as those where
the counterparty posts variation margin on a daily basis with no threshold or low threshold (in
line with the assumptions above, eg <€5m or <$5m) but there is little or no initial margin received
from the counterparty. This would include trade exposures to CCPs, as well as non-centrally
cleared netting sets that comply with BCBS-IOSCO margin requirements for non-centrally cleared
derivatives where only variation margin is currently exchanged (ie where no initial margin is
currently exchanged or where only a de minimis level of initial margin have been received).
• Over-collateralised: over-collateralised netting sets are, for the purposes of this panel, defined as
those where a material quantity of initial margin is also posted by the counterparty in addition to
variation margin. This would include exposures to clients where a bank is clearing member of a
qualifying CCP, as well as non-centrally cleared netting sets that comply with BCBS-IOSCO margin
requirements for non-centrally cleared derivatives and where both variation margin and initial
margin are currently exchanged.
For SFTs, collateralisation should be understood as follows:
• Uncollateralised netting sets are those that would be treated as unsecured in accordance with
chapter CRE56 (ie where minimum haircut floors are not met for counterparties that are
referenced in those paragraphs);
• Collateralised netting sets are those that are not considered “uncollateralised” per the above and

where the bank is a net payer of margin (eg where

∑ Ct − ∑ Es < 0 per CRE56.11 of the Basel
∑ Es
Framework;
• Over-collateralised netting sets are those that are not considered “uncollateralised” per the above

and where the bank is a net receiver of margin (eg where

∑ Ct − ∑ Es > 0 per CRE56.11 of the
∑ Es
Basel Framework.
Banks should complete columns C to H using both the current credit risk and CRM frameworks
in their current national rules, together with their current counterparty credit risk frameworks (which for
derivatives might be CEM, SM, IMM or SA-CCR). Banks should complete columns O to T using the revised
credit risk and CRM frameworks as well as the revised counterparty credit risk framework, ie SA-CCR and
IMM only for derivatives and IMM, CA(SH) and Repo-VaR only for SFTs. Banks should only complete these
columns if they are able to compute SA-CCR. Banks should complete columns U to Z using only the revised
SA for credit risk and CRM frameworks, using only SA-CCR for all derivatives, and only the comprehensive

120 Instructions for Basel III monitoring

approach with supervisory haircuts for SFTs and other CRM; banks should only complete these columns if
they are able to compute SA-CCR.
As permitted under the current and revised credit risk frameworks, banks should use credit
risk internal models (ie IRB models) for columns C to T of this panel.
Rows 52 to 56 are intended to collect more detailed data for certain CCR aspects.
Rows 52 and 53 collect more detailed data on capital requirements for netting sets whose CCR
capital requirements are calculated under the IRB approach and are subject to CVA capital requirements
for which the maturity adjustment factor in the calculation of the counterparty’s risk weight might be
capped at 1 under the current and/or the revised framework (as described in CRE51.14 (2019 version) and
MAR50.12 (2023 version)). Consistent with the reporting of CVA capital requirements in panel B, banks
should disregard any national exemptions and include all exposures in the calculation that are subject to
CVA capital requirements under the Basel framework. This applies to both the calculations under the
current as well as the revised exposure framework.
In row 52 exposures and RWA for all netting sets whose CCR capital requirements are calculated
under the IRB approach and that are subject to CVA capital requirements according to the consolidated
Basel framework should be reported under the current (columns C to H) and the revised (columns O to T)
frameworks. Banks are required to report RWA assuming that their current treatment of the maturity
adjustment factor (as described in CRE51.14 (2019 version)) is maintained also under the revised
framework, ie the cap of the maturity adjustment factor is applied only to those netting sets for which it is
applied under the current rules and treatment also for the calculation in columns O to T. Note that in row
52, columns O to T, this treatment is different to the treatment in rows 21 to 51, columns O to T, where
banks should assume the cap on the maturity adjustment factor at 1 is applied as banks expect to apply it
(which may be different from how it is currently applied).
According to MAR50.12 (2023 version) a bank which uses the BA-CVA or the SA-CVA for
calculating CVA capital requirements may cap the maturity adjustment factor at one for all netting sets
contributing to CVA capital requirements when they calculate CCR capital requirements under the IRB
approach. Consequently, row 53 collects exposures and RWA of all netting sets whose CCR capital
requirements are calculated under the IRB approach and that are subject to BA-CVA or SA-CVA capital
requirements under the assumption that the cap of the maturity adjustment factor at 1 is hypothetically
applied to all these netting sets that qualify for the treatment according to MAR50.12 (2023 version). Note
that in row 53, columns O to T, this treatment might be different to the treatment in rows 21 to 51, columns
O to T, where banks should assume the cap on the maturity adjustment factor at 1 is applied as banks
expect to apply it (which may be different from the full scope of netting sets to which the cap could
theoretically be applied).
Rows 54 to 56 are intended to collect more detailed data as regards business that is subject to
central clearing. In this context banks should provide in row 55 CCR exposures and RWA of netting sets
that are centrally cleared and house trades, while row 56 collects CCR exposures and RWA of netting sets
that are client trading and for which the bank acts as a direct or indirect clearing member. The data in
these lines is “of which” data and should be already included in the reporting in rows 21 to 51. It is
important to note that, like in rows 21 to 51, also rows 55 and 56 collect only data on trade exposures,
contribution to default funds is not subject to the data collection in this panel.
The Committee has also specified additional questions in rows 59 to 63. For each question in
rows 59 to 61, a numerical value should be provided in the answer cell in panel A.2. For rows 62 and 63,
an answer from the drop down menu should be selected in the answer cell in panel A.2.

Row Column Heading Description

59–61 E Answer Please provide a numerical value of the answer
62–63 E Answer Please use the drop down menu to select from the list the
most accurate response

Instructions for Basel III monitoring 121

 Row Column Heading Description
59–61 E Answer Please provide a numerical value of the answer
62–63 G Remarks Any remarks pertaining to the responses in column E should
be entered here.

1) Questions on CCR
Q-1 Please provide the number of transactions that are subject to counterparty credit risk capital
requirements as reported in panel A of this worksheet
Q-2 Please provide the number of transactions that are subject to central clearing (house trades and client
trades) as reported in panel A of this worksheet
Q-3 For IMM banks only: Please provide your current level of alpha as used to determine exposures and
RWA in panel A of this worksheet.
Q-4 For IRB banks only: Do you plan to apply the discretion of MAR50.12 (2023 version) to cap the maturity
adjustment factor at 1 year in the IRB formula for netting sets that are subject to the revised CVA capital
requirements?
• Yes, for all eligible netting sets
• Yes, for some eligible netting sets
• No, the bank does not yet intend to use this discretion.
Note: If your answer is “2: Yes, for some eligible netting sets”, please provide further explanations
regarding the reasons in either in the “Remarks”, column D, or a supplementary document.
Q-5 If yes to Q-4 (answer 1 or 2), to which extent is the use of the 1-year cap of the maturity adjustment
factor already reflected in the numbers reported in lines 21 to 51 of panel A under the revised
framework (columns P, R and S)? Estimate the share of RWA from netting sets for which the maturity
adjustment factor is capped at 1 year relative to the total CCR RWA,
• 0% (use of discretion intended, but not yet implemented)
• less than 10%
• between 10% and 20%
• between 20% and 30%
• between 30% and 40%
• between 40% and 50%
• share of RWA for netting sets where the maturity adjustment factor is capped at 1 year equals to
or is larger than 50%
Note: If your answer is “≥50%”, please report the share in the “Remarks”, column D.

10.2 Panel B: Credit valuation adjustments

The scope of portfolios included in the CVA capital requirements in this worksheet is defined in MAR50.2
(2019 version) and MAR50.5 (2023 version). For example, client cleared transactions are included in values
reported on panel B.3, while all house trades with CCPs may be excluded from values reported on panel
B.3.
For the purpose of this worksheet (both current and final Basel III capital requirements), banks
subject to the EU Regulation 575/2013 (CRR) should disregard the exemption for client’s transactions with
a clearing member listed in article 382(3) and all exemptions listed in article 382(4) of said text. Specifically,
the aforementioned transactions currently excluded from the CVA capital requirements calculation
pursuant to these articles should be reintegrated for the purpose of this worksheet and the calculation of

122 Instructions for Basel III monitoring

total RWA after floor in row 132 on the “Requirements” worksheet. For details on the exemption listed in
article 382(3), banks should refer to EBA Q&A 3009. 40 39F

In case a bank is eligible (ie below the materiality threshold specified in the CVA framework) and
intends to set its CVA capital requirement equal to 100% of the bank’s capital requirement for counterparty
credit risk (CCR), the bank can choose to report data only in panel B.1. A bank which can use CCR RWA
must indicate its intention to or not to use CCR RWA in panel B.1. For such a bank, if the cell is left blank,
a check warning will be displayed and its CVA capital requirement is not calculated.
In case a bank calculates its CVA capital requirement using the BA-CVA exclusively, then either
data for panel B.3.a or panel B.3.b is required. A bank that uses the reduced version of BA-CVA must fill in
panel B.3.a. A bank that uses the full version of BA-CVA must fill in panel B.3.b. Please note that a bank
must not report values in both panels for full and reduced BA-CVA – B.3.a and B.3.b.
A bank that uses the full BA-CVA approach is required to complete both row 86 (K_reduced
(assuming hedges are not recognised)) and row 87 (K_hedged (assuming recognition of all eligible
hedges)). While K_hedged acknowledges that a bank might have eligible hedges that can be recognised
in the CVA capital requirement position, K_reduced is required to account for potentially imperfectly
hedged or unhedged positions.
If a bank calculates its CVA capital requirement using the SA-CVA, data for panel B.3.c is required.
Such an institution is allowed to exclude a part of its CVA-relevant positions from the calculation under
the SA-CVA; however, these positions (ie carved out netting sets) have to be calculated using the BA-CVA
(in either, but not both, panel B.3.c.2 or panel B.3.c.3). Please note that a bank using the SA-CVA must not
report values in panels B3a and B3b; only banks that use the BA-CVA (full or reduced) for their entire CVA
portfolios are to provide data in panels B.3.a or B.3.b.
Banks using the SA-CVA approach to determine the CVA capital requirement under the revised
framework for parts of their portfolio should also fill panel B.3.c.4. This panel collects capital requirements
solely for the netting sets in scope of the SA-CVA approach (ie the netting sets of which capital
requirements are reported in panel B.3.c.1) as if the capital requirements for these netting sets were
calculated by using the BA-CVA approach. Banks should provide K_reduced in any case and K_hedged if
they choose to use the full BA-CVA approach for this ‘as if’ calculation. In case banks are not able or do
not intend to calculate K_hedged, the field should be left blank. This panel is intended to compare the
capital requirements for the same portion of portfolios under the SA-CVA and BA-CVA approaches. Please
note that these values must not include netting sets that are carved out from the SA-CVA into any of the
BA-CVA approaches (which must be reported in panel B.3.c.2 or B.3.c.3).

Row Column Heading Description

1. Size of derivatives business
73 C Total non-centrally cleared Aggregate notional amount of non-centrally cleared
derivatives notional amount derivatives.
74 C Possibility to use CCR capital Non-data entry cell. This cell checks whether the bank is
requirement eligible to use the CCR capital requirement (ie below the
materiality threshold).
73 G Intention to use CCR capital The bank that can use the CCR capital requirement must
requirement select either “Yes” or “No”.
74 G Calculation using CCR capital Non-data entry cell. This cell indicates whether the CCR
requirement capital requirement is to be used as its CVA capital
requirement or not.
If a bank which can use the CCR capital requirement does not
indicate its intention to use it, a warning (ie “Fill in cell
above”) will be displayed.

40
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Instructions for Basel III monitoring 123

 Row Column Heading Description
2. Capital requirement under the current framework
77 C Advanced approach Aggregate advanced approach capital requirement under the
current framework.
78 C Standardised approach Aggregate standardised approach capital requirement under
the current framework.
77–78 D Of which: derivatives only Capital requirement for CVA risk under the current
framework, excluding SFTs (ie derivatives only)
77–78 E,F Check: Col C/D will be ignored Non-data entry cell. This cell indicates “Fail” if the bank
if flags on General Info rows 37 provides a value in columns C and/or D despite having
and 38 are set to “No”, indicated that it does not use the associated approach to
respectively CVA capital requirements in rows 37 and/or 38 on the
‘General Info’ worksheet.
79 C, D Total Non-data entry cell. Calculation will only populate using
values reported in rows 77 and 78 for those approaches to
CVA risk capital requirements that the bank indicates it uses
per rows 37 and/or 38 on the ‘General Info’ worksheet.
79 G,H Check: Col C/D Total not Non-data entry cell. This cell indicates “Fail” if the bank
calculated due to missing flags provides a value in rows 77 and/or 78 but did not indicate its
in General Info rows 37 and 38 use of the associated approach for CVA risk capital
requirements in rows 37 and/or 38 on the ‘General Info’
worksheet.
3. Capital requirement under the final Basel III framework
a. Capital requirement under the reduced BA-CVA approach
83 C KReduced (assuming hedges are Capital requirement for CVA risk under the reduced version
not recognised) of the BA-CVA approach, which does not take into account
CVA risk hedges. This parameter should be calculated in
accordance with MAR50.14 to MAR50.16 (2023 version) of
the Basel consolidated framework.
83 D Of which, derivatives only Capital requirement for CVA risk under the reduced version
KReduced (assuming hedges are of the BA-CVA approach, excluding fair-valued SFTs (ie
not recognised) derivatives only)
83 E Check: Filled in consistent with Non-data entry cell. It displays a warning if the bank provides
flag settings data but did not report that it is using the reduced version of
BA-CVA.
b. Capital requirement under the full BA-CVA approach
86 C KReduced (assuming hedges are Part of the capital requirement for CVA risk under the full BA-
not recognised) CVA approach, which does not take into account CVA risk
hedges. This parameter should be calculated in accordance
with MAR50.14 to MAR50.16 (2023 version) of the Basel
consolidated framework.
87 C KHedged (assuming recognition Part of the capital requirement that fully recognises eligible
of all eligible hedges) hedges in accordance with criteria presented in MAR50.17 to
MAR50.19 (2023 version). The parameter should be
calculated in accordance with MAR50.21–23 (2023 version).
86–87 D Of which: derivatives only Capital requirement for CVA risk under the full BA-CVA
approach excluding fair-valued SFTs (ie derivatives only).
86–87 E Check: Filled in consistent with Non-data entry cell. It displays a warning if the bank provides
flag settings data but did not report that it is using the full version of BA-
CVA.
87 F Check: K_reduced and Non-data entry cell.
K_hedged in panel 3.b should
be larger than 0 and not equal

124 Instructions for Basel III monitoring

 Row Column Heading Description
c. Capital requirement under the SA-CVA approach
c.1 Capital requirement for netting sets under the SA-CVA approach
93–98 C Delta risks Capital requirements for delta risk by risk type, calculated
according to MAR50.27 to MAR50.77 (2023 version) of the
Basel consolidated framework.
93–94, D Vega risks Capital requirements for vega risk, by risk type, calculated
96–98 according to MAR50.27 to MAR50.77 (2023 version) of the
Basel consolidated framework.
93–98 F Total: of which, derivatives only Capital requirements for both delta and vega risk by risk
type, calculated according to MAR50.27 to MAR50.77 (2023
version) of the Basel consolidated framework, but excluding
fair-valued SFTs
93–98 G Check: Filled in consistent with Non-data entry cell. It displays a warning if the bank provides
flag settings data but did not report that it is using SA-CVA.
c.2 Capital requirements for netting sets carved out that use the reduced BA-CVA approach
102 C KReduced (assuming hedges are This panel is for a bank that uses the SA-CVA but use the
not recognised) reduced BA-CVA for the netting sets that are carved out.
Capital requirement for CVA risk under the reduced version
of the BA-CVA approach, which does not take into account
CVA risk hedges. This parameter should be calculated in
accordance with MAR50.14 to MAR50.16 (2023 version).
102 D Of which, derivatives only Capital requirement for CVA risk under the reduced version
of the BA-CVA approach, excluding fair-valued SFTs (ie
derivatives only)
102 E Check: Filled in consistent with Non-data entry cell. It displays a warning if the bank provides
flag settings data but did not report that it is using the reduced version of
BA-CVA for the carved-out netting sets.
c.3 Capital requirement for netting sets carved out that use the full BA-CVA approach
105 C KReduced (assuming hedges are Part of the capital requirement for CVA risk under the full BA-
not recognised) CVA approach, which does not take into account CVA risk
hedges. This parameter should be calculated in accordance
with MAR50.14 to MAR50.16 (2023 version).
106 C KHedged (assuming recognition Part of the capital requirement that fully recognises eligible
of all eligible hedges) hedges in accordance with criteria presented in MAR50.17 to
MAR50.19 (2023 version). The parameter should be
calculated in accordance with MAR50.21 to MAR50.23 (2023
version) of the Basel consolidated framework.
105–106 D Of which, derivatives only Capital requirement for CVA risk under the full BA-CVA
approach excluding fair-valued SFTs (ie derivatives only).
105–106 E Check: Filled in consistent with Non-data entry cell. It displays a warning if the bank provides
flag settings data but did not report that it is using the full version BA-
CVA for the carved-out netting sets.
106 F Check: K_reduced and Non-data entry cell.
K_hedged in panel B.3.c.3
should be larger than 0 and
not equal

Instructions for Basel III monitoring 125

 Row Column Heading Description
c.4 Capital requirements of SA-CVA netting sets only re-calculated under BA-CVA
110 C KReduced (assuming hedges are For netting sets capitalised using the SA-CVA approach
not recognised) (excluding carved out netting sets), ie those reported in rows
83 to 88, part of the capital requirement for CVA risk under
full and reduced BA-CVA.
This parameter should be calculated in accordance with
MAR50.14 to MAR50.16 (2023 version).
110 D Of which, derivatives only Capital requirement for CVA risk under the reduced version
of the BA-CVA approach, excluding fair-valued SFTs (ie
derivatives only)
111 C KHedged (assuming recognition For netting sets capitalised using the SA-CVA approach
of all eligible hedges) (excluding carved out netting sets), ie those reported in rows
83 to 88, part of the capital requirement for CVA risk under
the full BA-CVA.
Part of the capital requirement that fully recognises eligible
hedges in accordance with criteria presented in MAR50.17 to
MAR50.19 (2023 version). The parameter should be
calculated in accordance with MAR50.21 to MAR50.23 (2023
version) of the Basel consolidated framework.
111 D Of which, derivatives only Capital requirement for CVA risk under the full BA-CVA
approach excluding fair-valued SFTs (ie derivatives only).
110–111 E Check: Filled in consistent with Non-data entry cell. It displays a warning if the bank provides
flag settings data but did not report that it is using SA-CVA.
111 F Check: K_reduced and Non-data entry cell.
K_hedged in panel B.3.c.4
should be larger than 0 and
not equal

The Committee has specified additional closed form questions below. For each question, an
answer from the drop down menu should be selected in the answer cell in panel B.4.

Row Column Heading Description

125–128 C Answer Please use the drop down menu to select from the list the
most accurate response
125–128 D Remarks Any remarks pertaining to the responses in column C should
be entered here.

2. Questions on CVA
Q-1 Do you include hedges that are eligible under the revised CVA framework already in the SA-CVA,
respectively full BA-CVA calculation for BM purposes?
• yes, the bank includes all eligible hedges in the SA-CVA or full BA-CVA calculation
• yes, the bank partially includes the eligible hedges already in the SA-CVA or full BA-CVA
calculation
• no, the eligible hedges are not yet included in the revised CVA calculation
• no, the bank has no eligible hedges
Q-2 If yes (answer 1 or 2) to Q-1, do you already exclude all these positions from revised MR calculation for
BM purposes?
• yes, all hedges included in revised CVA calculation are excluded from revised MR calculation
• no, the hedges are only partially excluded from the revised MR calculation
• no, all hedges are included in both, the revised CVA and the revised MR calculation

126 Instructions for Basel III monitoring

 Q-3 If answer 3 (not yet) to Q-1, do you still account for these positions (i.e. those that are not recognised
yet in the revised CVA capital requirements) in the revised MR calculation for BM purposes?
• yes, all these hedge positions are still taken into account in the revised MR calculation
• yes, some of these hedges are still taken into account in the revised MR calculation
• no, the eligible hedge positions are already excluded from the revised MR calculation
Q-4 If yes (answer 1 or 2) to Q-3, please provide the percentage of your revised MR capital requirements
that corresponds to these positions
• share of CVA eligible hedges in MR is less than 1%
• share of CVA eligible hedges in MR is between 1% and 2%
• share of CVA eligible hedges in MR is between 2% and 3%
• share of CVA eligible hedges in MR is between 3% and 4%
• share of CVA eligible hedges in MR is between 4% and 5%
• share of CVA eligible hedges in MR is equal to or larger than 5%
• Note: If your answer is “share of CVA eligible hedges in MR is equal to or larger than 5%”, please
report the share in the “Remarks”, column D.

11. Cryptoassets

The worksheet “Crypto” collects information on:

• banks’ exposures to cryptoassets and their current treatment under domestic credit risk,
counterparty credit risk, market risk, CVA and liquidity frameworks;
• the classification and capital treatment of banks’ exposures to cryptoassets as described in the
BCBS standards on the prudential treatment of cryptoasset exposures, which were published in
December 2022 41; and 40F

• cryptoassets that banks hold in custody on behalf of customers and any other relevant
cryptoasset exposure that does not give rise to credit, market or liquidity requirements.
Each row should be filled in for each specific activity (as defined in column D) of each specific
cryptoasset (as defined in column B). For example, if cryptoasset AAA is used both for “Lending to financial
institutions to allow them to invest in cryptoassets” and also for “Lending and taking cryptoassets
collateral”, cryptoasset AAA should be reported in two separate rows, with each row containing the
amounts used for each activity.
Cryptoasset exposures falling under the classification “Group 2a” must be reported as part of the
bank’s market risk exposures, as required under section SCO60.54 of the Basel rules, regardless of whether
they are currently reported as credit risk or market risk exposures. Conversely, cryptoasset exposures falling
under the classification “Group 2b” must be reported as part of the bank’s credit risk exposures, as required
under SCO60.83 of the Basel rules, regardless of whether they are currently reported as credit risk or
market risk exposures.
Exposure amounts and RWA should be reported in the same currency and reporting unit as the
bank uses for the other worksheets of the Basel III monitoring template. The table below provides a
description for each column.

41
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Instructions for Basel III monitoring 127

 Row Column Heading Description
12–112 B Cryptoasset ticker or other Select the cryptoasset ticker/identifier from the drop-down
identifier (use one row for list. If the cryptoasset ticker/identifier is not included in the
each distinct activity in list, select “Other” and fill in column C with the cryptoasset
column H) ticker. Use one row for each distinct activity in column H (eg
if cryptoasset AAA is used both for “Lending to financial
institutions to allow them to invest in cryptoassets” and also
for “Lending and taking cryptoassets collateral”, cryptoasset
AAA should be reported in two separate rows, with each row
containing the amounts used for each activity.
12–112 C If "other" is selected in Fill this cell only if the required cryptoasset ticker/identifier is
column B, include not included in the drop-down list in column B. In this case,
cryptoasset ticker or “Other” should be selected in column B, and the required
identifier here cryptoasset ticker/identifier should be reported in column C.
12–112 D Full name of the cryptoasset Please report the full name of the cryptoasset instrument.
instrument (or any other
relevant information for its
identification)
12–112 E Underlying cryptoasset or Please report the underlying cryptoasset or the traditional
traditional asset (report the asset relative to the cryptoasset reported in column B or C. In
ticker or other identifier) case of a spot cryptoasset, please report the same text as
reported in column B or C.
12–112 F Type of instrument Please select the type of cryptoasset instrument. Choose
between spot, derivative, ETP, stablecoin, tokenised assets, or
other.
12–112 G If "other" is selected in Fill this cell only if the required type of instrument is not
column F, include type of included in the drop-down list in column F. In this case,
instrument here “Other” should be selected in column F, and the correct type
of instrument should be reported in column G.
12–112 H Activity Please select the activity for which the cryptoasset is used
from the drop-down menu. Banks should use their own
interpretation/judgement in allocating exposures to these
rows (no formal definitions are provided). As explained for
column B, for each cryptoasset, respondents should use one
row for each activity type.
12–112 I Does this activity result in the Select Yes if the activity results in the bank having a direct
bank having cryptoasset cryptoasset exposure that gives rise to credit, CCR, market or
exposures covered under the CVA RWA. A direct exposure in this context includes
scope of the prudential synthetic cryptoasset exposures and cryptoasset derivatives.
treatment of cryptoassets? The goal of this column is to differentiate activities that result
in the bank having cryptoasset exposures covered under
scope of the prudential treatment of cryptoassets from other
activities that are not covered by the prudential treatment
(eg when a bank provides custody services for cryptoassets
or if a bank lends fiat money to individuals to invest in
cryptoassets, which does not result in the bank directly
having cryptoasset exposures on its balance sheet).
12–112 J Additional information (if The bank can use this cell to provide additional information
needed) on the nature of the cryptoasset activity.
12–112 K, O, P, Q Condition 1, 2, 3, 4 These cells relate to the classification conditions set out in
paragraphs SCO60.6 to SCO60.22 of the Basel Framework.
Select Yes if you deem that the relevant classification
condition is met, or select No otherwise. Respondents should
use their best judgement to determine whether they think
the classification condition would most likely be met or not.

128 Instructions for Basel III monitoring

 Row Column Heading Description
12–112 L If stablecoin, does it pass the If the cryptoasset is a stablecoin, select Yes if the cryptoasset
redemption test? is expected to pass the redemption risk test outlined in
paragraph SCO60.12 of the Basel Framework, or select No
otherwise. Respondents should use their best judgement to
determine whether they think the test would most likely be
met or not.
12–112 M If stablecoin, does it pass the If the cryptoasset is a stablecoin, select Yes if the cryptoasset
supervision/regulation is expected to pass the supervision/regulation requirement
requirement? outlined in paragraph SCO60.11(5) of the Basel Framework,
or select No otherwise. Respondents should use their best
judgement to determine whether they think the requirement
would most likely be met or not.
12–112 H If stablecoin, frequency of Fill this cell if the relevant cryptoasset is a stablecoin. In this
available information on case, please select the appropriate frequency of available
value of reserve assets information on the value of reserve assets. The available
options are daily, monthly, quarterly, half-yearly and
annually.
12–112 R Is the cryptoasset based on a Indicate whether the cryptoasset is based on a permissioned
permissioned or or permissionless network. If neither option is applicable,
permissionless network? please select Other and provide some information in
column J.
12–112 S Group allocation This cell relates to the classification of cryptoassets into
groups described in paragraph SCO60.6 of the Basel
Framework. The assigned group depends on the type of
cryptoasset, and whether the four classification conditions
reported in columns K, O, P, Q are met. If all four
classification conditions are met and the cryptoasset is a
tokenised traditional asset, select Group 1a. If all
classification conditions are met and the cryptoasset is a
stablecoin with an effective stabilisation mechanism, select
Group 1b. If any one of the classification conditions is not
met, but the cryptoasset passes the Group 2a hedging
recognition criteria set out in SCO60.55, select Group 2a. If
the cryptoasset fails at least one of the classification
conditions and also fails the Group 2a hedging recognition
criteria, select Group 2b.
12–112 T If relevant, explain why the In this cell, respondents can indicate the reasons why they
cryptoasset has failed the determined that the cryptoasset fails one or more condition.
classification conditions.
12–112 U On-balance sheet exposures On-balance sheet credit risk exposures other than CCR
(post CRM) - long exposures, after substitution and after credit risk mitigation.
Report the value of gross long exposures in this column.
12–112 V On-balance sheet exposures On-balance sheet credit risk exposures other than CCR
(post CRM) - short exposures, after substitution and after credit risk mitigation.
Report the value of gross short exposures in this column.
12–112 W On-balance sheet exposures On-balance sheet credit risk exposures other than CCR
(post CRM) – amount used exposures, after substitution and after credit risk mitigation.
for calculating RWA Report the exposure amount used for calculating credit risk
RWA as per the rules set out in section SCO60 of the Basel
Framework.
12–112 X CCR CCR exposures
12–112 Y Off-balance sheet exposures Off-balance sheet exposures after application of CCF and
(post-CCF post-CRM) CRM.

Instructions for Basel III monitoring 129

 Row Column Heading Description
12–112 AA Current RWA - RWA Report current credit risk RWA assigned for the activity. In
cases where the bank conducts the activity but does not
record RWA under its capital computation, banks are
required to (i) record the exposure and (ii) insert zeroes in
the relevant RWA row.
In cases where the bank has deducted the exposure from its
capital base, the bank should (i) record the exposure in the
relevant row and (ii) report the amount deducted from
capital in column AB.
12–112 AB Current RWA - Amount In cases where the bank has currently deducted the exposure
deducted from capital from its capital base, the bank should (i) record the exposure
in the relevant row and (ii) report the amount deducted from
capital in column AB.
12–112 AC RWA under cryptoasset RWA related to the on-balance sheet credit risk exposures
framework – On balance above, after application of CCF and CRM, as per the rules set
sheet exposures out in section SCO60 of the Basel Framework.
12–112 AD RWA under cryptoasset RWA related to the CCR exposures above, after application of
framework – CCR CCF and of CRM, as per the rules set out in section SCO60 of
the Basel Framework.
12–112 AE RWA under cryptoasset RWA related to the off-balance sheet credit risk exposures
framework – Off balance above, after application of CCF and CRM, as per the rules set
sheet exposures out in section SCO60 of the Basel Framework.
12–112 AF RWA under cryptoasset Total RWA related to the exposures above, after application
framework – Total of CCF and of CRM.
12–112 AG Current asset class Select from the drop-down list the asset class under which
classification the cryptoasset is treated for current prudential purposes (eg
intangible assets, other assets, equities, corporate exposures
etc).
12–112 AH Market risk exposures, Report the market value for market risk exposures (including
market value - long derivatives). Report the market value of gross long positions.
12–112 AI Market risk exposures, Report the market value for market risk exposures (including
market value - short derivatives). Report the market value of gross short positions.
12–112 AJ Current RWA - RWA Report current market risk RWA assigned for the activity. In
cases where the bank conducts the activity but does not
record RWA under its capital computation, banks are
required to (i) record the exposure and (ii) insert zeroes in
the relevant RWA row.
In cases where the bank has deducted the exposure from its
capital base, the bank should (i) record the exposure in the
relevant row and (ii) report the amount deducted from
capital in column AK.
12–112 AK Current RWA - Amount In cases where the bank has currently deducted the exposure
deducted from capital from its capital base, the bank should (i) record the exposure
in the relevant row and (ii) report the amount deducted from
capital in column AK.
12–112 AL RWA under cryptoasset RWA related to the market risk exposures above, as per the
framework rules set out in section SCO60 of the Basel Framework.
12–112 AM Market risk approach Select the market risk approach used for the market risk
exposures above (SSA, SA or IMA).

130 Instructions for Basel III monitoring

 Row Column Heading Description
12–112 AN Current RWA - RWA Report current CVA RWA assigned for the activity. In cases
where the bank conducts the activity but does not record
RWA under its capital computation, banks are required to (i)
record the exposure and (ii) insert zeroes in the relevant RWA
row.
In cases where the bank has deducted the exposure from its
capital base, the bank should (i) record the exposure in the
relevant row and (ii) report the amount deducted from
capital in column AO.
12–112 AO Current RWA - Amount In cases where the bank has currently deducted the exposure
deducted from capital from its capital base, the bank should (i) record the exposure
in the relevant row and (ii) report the amount deducted from
capital in column AO.
12–112 AP RWA under cryptoasset RWA related to CVA, as per the rules set out in section
framework SCO60 of the Basel Framework.
12–112 AQ Infrastructure risk add-on – If the infrastructure risk RWA add-on is applied (as set out in
add-on percentage of paragraph SCO60.52 of the Basel Framework), report the
exposures level of the percentage of the exposure value applied for the
add-on.
12–112 AR Infrastructure risk add-on – If the infrastructure risk RWA add-on is applied (as set out in
Additional RWA amount paragraph SCO60.52 of the Basel Framework), report the
additional RWA amount resulting from its application.
12–112 AS Aggregated exposures to Report the amount of aggregated exposures to Group 2
Group 2 cryptoassets for the cryptoassets for the purpose of the calculation of the
purpose of the Group 2 Group 2 exposure limit, as set out in paragraphs SCO60.116
exposure limit to SCO60.119 of the Basel Framework.
12–112 AU Cryptoasset liabilities - Value Report the value on the balance sheet for cryptoasset
on balance sheet liabilities (eg cryptoassets issued by a bank where the bank
would have a liability obligation (eg stablecoins)).
12–112 AV Cryptoasset liabilities - Report the market value for cryptoasset liabilities (eg
Market value cryptoassets issued by a bank where the bank would have a
liability obligation (eg stablecoins)).
12–112 AW HQLA treatment Report whether crypto-assets owned directly by banks have
been recognised as HQLA (post-haircut) under the Liquidity
Coverage Ratio (LCR) framework, differentiating between
Level 1 HQLA, Level 2A HQLA, and Level 2B HQLA.
12–112 AX LCR cash inflows rate applied In case the bank own cryptoassets directly, it should report
the average cash inflow rate under the LCR applied to these
assets.
12–112 AY NSFR RSF factor applied In case the bank own cryptoassets directly, it should report
the required stable funding (RSF) factor under the NSFR
applied to these assets.
12–112 AZ LCR runoff rate applied In case the bank has cryptoasset liabilities, it should report
the average run-off rate under the LCR applied to these
liabilities.
12–112 BA NSFR ASF factor applied In case the bank has cryptoasset liabilities, it should report
the available stable funding (ASF) factor under the NSFR
applied to these liabilities.
12–112 BB, BC, Accounting classification Based on the accounting classification, report the cryptoasset
BD, BE amounts classified as “available for sale”, “held-to-maturity”,
“mark-to-market” and “intangible”.
12–112 BF Details on hedges If relevant, provide a description on the type of hedging
instruments used (eg futures, options)

Instructions for Basel III monitoring 131

 Row Column Heading Description
12–112 BG Assets under custody Provide the market value of the cryptoassets that the bank
holds in custody for clients
12–112 BH Any other cryptoasset If relevant, provide the market value of any other exposure
exposure amounts not that does not give rise to credit, market, CVA or liquidity
reported in columns U to AV requirements, that is not already included in columns U to
or BG AV or BG.

12. Sovereign exposures

This worksheet should only be filled in for the reporting dates at the end of each year.
The worksheet “Sovereigns” consists of four panels that collect data on different features of banks’
sovereign exposures. Panel A asks for data on direct and indirect exposures in the banking and trading
book. Panel B focuses on direct banking book exposures by rating buckets. Panel C asks for exposures by
jurisdictions and accounting classification. Panel D focuses on the eligibility of sovereign exposures as high
quality liquid assets for the purpose of the Liquidity Coverage Ratio and Net Stable Funding Ratio.

12.1 General remarks

For the purpose of the data collection exercise, the following general remarks apply:
• All yellow cells are mandatory and, if not explicitly stated otherwise, refer to the level of the
banking group. Zero exposures or yellow cells that are not applicable for a bank, eg if no exposure
is treated under the IRB, have to be filled out with a zero.
• All sovereign exposures and RWAs should only be allocated towards one bucket. The template
does not allow for any double counting.
• Exposures and RWAs referring to deferred tax assets are to be excluded from reporting.
• RWAs refer to the RWA before the application of the output floor.
• In some jurisdictions, the central bank issues government debt on behalf of the central
government. If the obligor is the central government and the central bank acts as agent for the
central government, the resulting exposure should be treated as an exposure to the central
government rather than to the central bank. Exposures and RWAs referring to deferred tax assets
are to be excluded from reporting.

12.2 Definitions

For the purpose of the data collection exercise, the following definitions apply:
• Sovereigns and their central governments (excluding central banks) are defined as entities
whose exposures are treated based on CRE20.7–10 (2023 version) under the SA for credit risk.
Exposures to the Bank for International Settlements, the International Monetary Fund, the
European Union, the European Stability Mechanism (ESM) and the European Financial Stability
Facility (EFSF), referred to in CRE20.10 (2023 version), should be allocated towards sovereigns and
their central governments.
• Central banks are defined as entities that are responsible for overseeing and/or implementing
the monetary policy of a state or a group of states. Their exposures are treated based on CRE20.7–

132 Instructions for Basel III monitoring

 10 (2023 version) under the SA for credit risk. Exposures to the European Central Bank, referred
to in CRE20.10 (2023 version), should be allocated towards central banks.
• Non-central government public sector entities (PSEs) are defined as entities whose exposures
are treated based on CRE20.11–12 (2023 version) under the SA for credit risk.
• Multilateral Development Banks (MDBs) are defined as entities whose exposures are treated
based on CRE20.13–15 (2023 version) under the SA for credit risk.

12.3 Specific instructions for panel A to D

• Panel A: Indirect exposures amounts in the banking and trading book are differentiated into: (i)
indirect exposures which are protected by a sovereign entity, eg in the form of guarantees, credit
derivatives etc; (ii) indirect exposures which are collateralised by instruments issued by sovereign
entities, eg in the form of shares, bonds etc; and (iii) indirect exposures through collateral subject
to zero haircut.
An example for an indirect exposure amount is a reserve repo transaction, where a bank sells an
asset and receives a government bond as collateral. In contrast, a government bond that is held
through a repo transaction should be reported as direct exposure in the banking or trading book.
An example for collateral currently subject to zero percent haircut is collateral received through
a reverse repo transaction with zero percent haircut (in contrast, collateral provided in a repo
transaction should be accounted for as direct banking or trading book exposures).
• Panel B: Banks are expected to report sovereign exposures according to the Basel framework
currently applied to it. For example, a bank using both the standardised and IRB approaches to
assign risk weights will report all sovereign exposures and RWAs whose capital requirements are
calculated using the SA (including those under the use of a partial exemption of the IRB approach)
on the SA range (above), and report all remaining exposures in the cells associated to the IRB
(below). A given sovereign exposure should only be reported under either the standardised or
the IRB approach range.
For unrated PSEs use the rating bucket of the sovereign in whose jurisdiction the entity is
established.
In case a bank uses country risk scores instead of ratings, banks are expected to use the following
mapping table 42 converting ECA risk scores to rating buckets:
41F

Credit assessment AAA to AA- A+ to A- BBB+ to BBB- BB+ to B- Below B-

ECA risk scores 0 to 1 2 3 4 to 6 7

• Panels C and D: “Financial assets held for trading or designated at fair value” refer to all positions
classified as “Financial assets held for trading”, “Non-trading financial assets mandatorily at fair
value through profit or loss”, “Financial assets designated at fair value through profit or loss” and
“Financial assets at fair value through other comprehensive income”. Under this breakdown banks
should also report cash balances at central banks or other demand deposits with sovereign
entities, eg state-owned banks treated as PSEs.
“Financial assets at amortised cost” refer to all sovereign exposures that are not assigned to the
“Financial assets held for trading or designated at fair value” bucket.

42
This follows the notation of the Basel II framework. For illustrative purposes, the Committee used the rating notation used by
Standard & Poor's. The Committee has made available a table that match credit ratings of Standard & Poor's with comparable
ratings of Moody's and Fitch IBCA, the information can be consulted on www.bis.org/bcbs/qis/qisrating.htm.

Instructions for Basel III monitoring 133

12.4 Illustrative example for breakdowns for panels A and D

With regard to the “of which” positions in panels A and D, assume a US bank holding company with
subsidiaries in the US and in Japan.
• “where the legal entity has the same domesticity of the consolidated group and that of the
issuer and the exposure is denominated in the currency of the issuer”. This breakdown refers to
all exposures that are held by the US subsidiary, the obligor’s/guarantor’s/issuer’s domicile is the
United States and the denomination of the exposure is USD.
• “where the legal entity has the same domesticity of the issuer but a different one to that of the
consolidated group and the exposure is denominated in the currency of the issuer”. This
breakdown refers to all exposures that are held by the Japanese subsidiary, the
obligor’s/guarantor’s/issuer’s domicile is Japan and the denomination of the exposure is JPY.

13. Interest rate risk in the banking book

The purpose of IRRBB worksheet is to assess the impact of the proposed new calibration of the interest
rate shock parameters as set out in the December 2023 consultative document 43 Recalibration of shocks 42F

for interest rate risk in the banking book. In the consultative document the Basel Committee proposes to
adjust the interest rate shock parameters set out in paragraph SRP31.90 of the Basel Framework and used
as the basis for banks’ disclosure of interest rate risk set out in Template IRRBB1 in chapter DIS70 of the
Basel Framework. The proposed changes to the shock parameters are reproduced below:

ARS AUD BRL CAD CHF CNY EUR GBP HKD IDR INR
Parallel 400 300350 400 200 100150 250300 200250 250300 200 400 400350
Short 500 450 500 300250 150250 300 250350 300400 250350 500 500450
Long 300 200300 300 150200 100200 150300 100200 150250 100200 300 300250

JPY KRW MXN RUB SAR SEK SGD TRY USD ZAR
Parallel 100 300250 400 400 200300 200300 150 400 200 400350
Short 100 400350 500 500 300350 300400 200250 500 300 500
Long 100 200250 300200 300 150250 150200 100200 300 150250 300

The results of the assessment will inform the finalisation of the updated standard.
The IRRBB worksheet collects data on the impact of the prescribed interest rate shock parameters
on the change in banks’ economic value of equity (∆EVE) and net interest income (∆NII), computed based
on a set of prescribed interest rate shock scenarios for each currency for which the bank has material
positions. Banks should report this data under both the current calibration of the shock parameters
(SRP31.90 of the consolidated Basel Framework) and the proposed recalibrated shock parameters set out
in the consultative document and reproduced in the table above.
For the columns in the template that relate to the calibration of the current framework, banks
should provide the ∆EVE and ∆NII data that they currently use to produce the required public disclosures
set out in Template IRRBB1 in chapter DIS70 of the Basel Framework.

43
www.bis.org/bcbs/publ/d561.pdf.

134 Instructions for Basel III monitoring

 Although the rows in the worksheet relate to different currencies to which the bank may have
material exposures, all values should be converted into the reporting currency of the bank.

Row Column Heading Description

6–36 C–H, O, P ΔEVE, ΔNII, For each currency for which the bank has material positions, please fill ∆EVE
Current and ∆NII data computed under the current framework, as implemented in
Framework national rules, for the accounting year of 2023. Material positions are
defined as 5% or more of banking book assets or liabilities; if these material
positions do not cover at least 90% of the banking book, please also include
other currencies with less than 5% of the banking book so that at least 90%
of the banking book is covered.
If the national standard is different from the IRRBB standard set out the
Basel Framework and it results in a material impact for ΔEVE or ΔNII, please
describe this in the “Remarks”.
If the bank has material positions in any currencies that are not listed in rows
6 to 26, please report those currencies in rows 27 to 36.
6–36 I–N, Q, R ΔEVE, ΔNII, For each currency for which the bank has material positions (as defined
Proposed above), please fill ∆EVE and ∆NII data computed under the proposed
Framework framework based on the December 2023 consultative document.
If the national standard is different from the IRRBB standard set out the
Basel Framework and it is not clear how to give effect to the changes
proposed in the consultative document, please seek guidance from the
national supervisor and describe this in the “Remarks”.
If the bank has material positions in any currencies that are not listed in rows
6 to 26, please report those currencies in rows 27 to 36.
27–36 B Currency If the bank has material positions in any currencies that are not listed in rows
6 to 26, please report the three-character ISO code of the currency.
27–36 S-U Interest rate If the bank has material positions in any currencies that are not listed in rows
shock 6 to 26, please report the interest rate shock parameters that were used to
parameters calculate the ΔEVE under the current framework (ie the amounts reported in
(bps), Current columns C to H) and ΔNII under the current framework (ie the amounts
Framework reported in columns O to P).
27–36 V-X Interest rate If the bank has material positions in any currencies that are not listed in rows
shock 6 to 26, please report the interest rate shock parameters that were used to
parameters calculate the ΔEVE under the proposed framework (ie the amounts reported
(bps), Proposed in columns I to N) and ΔNII under the proposed framework (ie the amounts
Framework reported in columns Q to R). To calculate the shock factors under the
proposed framework, banks should use the proposed new methodology
described in Section 3.1 of the December 2023 consultative document.
37 C–H, O, P ΔEVE, ΔNII, Report the total amounts across all currencies under the current framework.
Current The amounts reported in this row should match the amounts included in
Framework public reporting of IRRBB (see Template IRRBB1 in chapter DIS70 of the
Basel Framework). Please note that this row includes all material currencies,
including those not listed in rows 6 to 36.
37 I–N, Q, R ΔEVE, ΔNII, Report the total amounts across all currencies under the proposed
Proposed framework. The amounts reported in this row should match the amounts
Framework banks would have included in public reporting of IRRBB if the proposed
framework had been in place for the reporting year (see Template IRRBB1 in
chapter DIS70 of the Basel Framework). Please note that this row includes all
material currencies, including those not listed in rows 6 to 36.
40 I–N, O-R Remarks If any of the shocks resulted in unexpectedly high/low ΔEVE or ΔNII, please
provide further explanations regarding the reasons either in the “Remarks”
or a supplementary document. Please refer to guidance from the national
supervisor as to whether banks should fill in this worksheet, including
unexpected capital add-ons as a result of ΔEVE or ΔNII for applicable
jurisdictions.

Instructions for Basel III monitoring 135

136 Instructions for Basel III monitoring
Annex: Main changes

• The “NSFR additional” has been removed.

• The worksheets for topics that are not part of the mid-year data collection exercise have been
unhidden.
• A new optional worksheet “IRRBB” has been added to assess the impact of the proposed changes
set out in the December 2023 consultative document Recalibration of shocks for interest rate risk
in the banking book.

Instructions for Basel III monitoring 137