From the rows and columns of the cells involved.
Annex V Part 1 §42 F 09.02 r0090, r0100, r0110, r0120, r0130, r0140
Where a breakdown by counterparty is required the following counterparty sectors shall be used:
(a) central banks;
(b) general governments: central governments, state or regional governments, and local governments, including administrative bodies and non-commercial undertakings, but excluding public companies and private companies held by these administrations that have a commercial activity (which shall be reported under ‘credit institutions’, ‘other financial corporations’ or ‘non-financial corporations’ depending on their activity); social security funds; and international organisations, such as institutions of the European Union, the International Monetary Fund and the Bank for International Settlements;
(c) credit institutions: any institution covered by the definition in point (1) of Article 4(1) CRR (‘undertaking the business of which is to take deposits or other repayable funds from the public and to grant credits for its own account’) and multilateral development banks (MDBs);
(d) other financial corporations: all financial corporations and quasi-corporations, other than credit institutions, such as investment firms, investment funds, insurance companies, pension funds, collective investment undertakings, and clearing houses as well as remaining financial intermediaries, financial auxiliaries and captive financial institutions and money lenders;
(e) non-financial corporations (NFCs): corporations and quasi-corporations not engaged in financial intermediation but principally in the production of market goods and non-financial services, as defined in the Table of Part 3 of Annex II to the ECB BSI Regulation;
(f) households: individuals or groups of individuals as consumers and producers of goods and non-financial services exclusively for their own final consumption, and as producers of market goods and non-financial and financial services provided that their activities are not those of quasi-corporations. Non-profit institutions which serve households (‘NPISH’) and which are principally engaged in the production of non-market goods and services intended for particular groups of households shall be included.
Annex V Part 1 §44 F 09.02 r0080
The immediate counterparties in the following transactions shall be:
(a) for loans and advances, the immediate borrower. For trade receivables, the immediate borrower shall be the counterparty obliged to pay the receivables, except in transactions with recourse, where the immediate borrower shall be the transferor of receivables where the reporting institution does not acquire substantially all the risks and rewards of ownership of the transferred receivables;
(b) for debt securities (including securitisation instruments) and equity instruments, the issuer of the securities;
(c) for deposits, the depositor;
(d) for short positions, the counterparty of the securities borrowing transaction or reverse repurchase agreement;
(e) for derivatives, the direct counterparty of the derivative contract. For centrally cleared OTC derivatives, the direct counterparty shall be the clearing house acting as a central counterparty. Counterparty breakdown for credit risk derivatives refers to the sector where the counterparty of the contract (buyer or seller of protection) belongs;
(f) for financial guarantees given, the counterparty shall be the direct counterparty of the underlying guaranteed debt instrument;
(g) for loan commitments and other commitments given, the counterparty whose credit risk is assumed by the reporting institution;
(h) for loan commitments, financial guarantees and other commitments received, the guarantor or the counterparty that has provided the commitment to the reporting institution.
Annex V Part 2 §102 F 09.02 r0080
Off-balance sheet exposures shall include the off-balance sheet items listed in Annex I to CRR. In templates 9.1, 9.1.1 and 9.2, all off-balance sheet exposures listed in Annex I to CRR shall be broken down in loan commitments, financial guarantees, and other commitments.
Annex V Part 2 §103 F 09.02 r0080
Information on loan commitments, financial guarantees and other commitments given and received shall include both revocable and irrevocable commitments.
Annex V Part 2 §114 F 09.02 r0080
‘Financial guarantees’ shall be contracts that require the issuer to make specified payments to reimburse the holder of a loss it incurs, because a specified debtor fails to make payment where due in accordance with the original or modified terms of a debt instrument, including guarantees provided for other financial guarantees. Under IFRS, those contracts shall meet the definition of financial guarantee contracts in IFRS 9.2.1(e) and IFRS 4.A. The following items of Annex I to CRR shall be classified as ‘financial guarantees’:
(a) ‘Guarantees having the character of credit substitute’;
(b) ‘Credit derivatives’ that meet the definition of financial guarantee;
(c) ‘Irrevocable standby letters of credit having the character of credit substitutes’.
Annex V Part 2 §119 F 09.02 c0010
In template 9.2, for loan commitments received, the nominal amount shall be the total undrawn amount that the counterparty has committed to lend to the institution. For other commitments received, the nominal amount shall be the total amount committed by the other party in the transaction. For financial guarantees received, the ‘maximum amount of the guarantee that can be considered’ shall be the maximum amount the counterparty would have to pay if the guarantee is called on. Where a financial guarantee received has been issued by more than one guarantor, the guaranteed amount shall be reported only once in this template; the guaranteed amount shall be allocated to guarantor that is more relevant for the mitigation of credit risk.