{
  "url": "https://openlegislation.uk/eu-regulation-2015-1278/annex-I",
  "json_url": "https://openlegislation.uk/eu-regulation-2015-1278/annex-I.json",
  "legislation": "eur/2015/1278",
  "legislation_title": "Commission Implementing Regulation (EU) 2015/1278 of 9 July 2015 amending Implementing Regulation (EU) No 680/2014 laying down implementing technical standards with regard to supervisory reporting of institutions as regards instructions, templates and definitions (Text with EEA relevance)",
  "legislation_url": "https://openlegislation.uk/eu-regulation-2015-1278",
  "path": "annex/I",
  "kind": "annex",
  "number": "I",
  "heading": null,
  "text": "C 01.00 — OWN FUNDS (CA1)\nRows\nID\nItem\nAmount\n010\n1\nOWN FUNDS\n015\n1.1\nTIER 1 CAPITAL\n020\n1.1.1\nCOMMON EQUITY TIER 1 CAPITAL\n030\n1.1.1.1\nCapital instruments eligible as CET1 Capital\n040\n1.1.1.1.1\nPaid up capital instruments\n045\n1.1.1.1.1*\nOf which: Capital instruments subscribed by public authorities in emergency situations\n050\n1.1.1.1.2*\nMemorandum item: Capital instruments not eligible\n060\n1.1.1.1.3\nShare premium\n070\n1.1.1.1.4\n(-) Own CET1 instruments\n080\n1.1.1.1.4.1\n(-) Direct holdings of CET1 instruments\n090\n1.1.1.1.4.2\n(-) Indirect holdings of CET1 instruments\n091\n1.1.1.1.4.3\n(-) Synthetic holdings of CET1 instruments\n092\n1.1.1.1.5\n(-) Actual or contingent obligations to purchase own CET1 instruments\n130\n1.1.1.2\nRetained earnings\n140\n1.1.1.2.1\nPrevious years retained earnings\n150\n1.1.1.2.2\nProfit or loss eligible\n160\n1.1.1.2.2.1\nProfit or loss attributable to owners of the parent\n170\n1.1.1.2.2.2\n(-) Part of interim or year-end profit not eligible\n180\n1.1.1.3\nAccumulated other comprehensive income\n200\n1.1.1.4\nOther reserves\n210\n1.1.1.5\nFunds for general banking risk\n220\n1.1.1.6\nTransitional adjustments due to grandfathered CET1 Capital instruments\n230\n1.1.1.7\nMinority interest given recognition in CET1 capital\n240\n1.1.1.8\nTransitional adjustments due to additional minority interests\n250\n1.1.1.9\nAdjustments to CET1 due to prudential filters\n260\n1.1.1.9.1\n(-) Increases in equity resulting from securitised assets\n270\n1.1.1.9.2\nCash flow hedge reserve\n280\n1.1.1.9.3\nCumulative gains and losses due to changes in own credit risk on fair valued liabilities\n285\n1.1.1.9.4\nFair value gains and losses arising from the institution's own credit risk related to derivative liabilities\n290\n1.1.1.9.5\n(-) Value adjustments due to the requirements for prudent valuation\n300\n1.1.1.10\n(-) Goodwill\n310\n1.1.1.10.1\n(-) Goodwill accounted for as intangible asset\n320\n1.1.1.10.2\n(-) Goodwill included in the valuation of significant investments\n330\n1.1.1.10.3\nDeferred tax liabilities associated to goodwill\n340\n1.1.1.11\n(-) Other intangible assets\n350\n1.1.1.11.1\n(-) Other intangible assets before deduction of deferred tax liabilities\n360\n1.1.1.11.2\nDeferred tax liabilities associated to other intangible assets\n370\n1.1.1.12\n(-) Deferred tax assets that rely on future profitability and do not arise from temporary differences net of associated tax liabilities\n380\n1.1.1.13\n(-) IRB shortfall of credit risk adjustments to expected losses\n390\n1.1.1.14\n(-) Defined benefit pension fund assets\n400\n1.1.1.14.1\n(-) Defined benefit pension fund assets\n410\n1.1.1.14.2\nDeferred tax liabilities associated to defined benefit pension fund assets\n420\n1.1.1.14.3\nDefined benefit pension fund assets which the institution has an unrestricted ability to use\n430\n1.1.1.15\n(-) Reciprocal cross holdings in CET1 Capital\n440\n1.1.1.16\n(-) Excess of deduction from AT1 items over AT1 Capital\n450\n1.1.1.17\n(-) Qualifying holdings outside the financial sector which can alternatively be subject to a 1 250 % risk weight\n460\n1.1.1.18\n(-) Securitisation positions which can alternatively be subject to a 1 250 % risk weight\n470\n1.1.1.19\n(-) Free deliveries which can alternatively be subject to a 1 250 % risk weight\n471\n1.1.1.20\n(-) Positions in a basket for which an institution cannot determine the risk weight under the IRB approach, and can alternatively be subject to a 1 250 % risk weight\n472\n1.1.1.21\n(-) Equity exposures under an internal models approach which can alternatively be subject to a 1 250 % risk weight\n480\n1.1.1.22\n(-) CET1 instruments of financial sector entites where the institution does not have a significant investment\n490\n1.1.1.23\n(-) Deductible deferred tax assets that rely on future profitability and arise from temporary differences\n500\n1.1.1.24\n(-) CET1 instruments of financial sector entities where the institution has a significant investment\n510\n1.1.1.25\n(-) Amount exceeding the 17,65 % threshold\n520\n1.1.1.26\nOther transitional adjustments to CET1 Capital\n524\n1.1.1.27\n(-) Additional deductions of CET1 Capital due to Article 3 CRR\n529\n1.1.1.28\nCET1 capital elements or deductions — other\n530\n1.1.2\nADDITIONAL TIER 1 CAPITAL\n540\n1.1.2.1\nCapital instruments eligible as AT1 Capital\n550\n1.1.2.1.1\nPaid up capital instruments\n560\n1.1.2.1.2*\nMemorandum item: Capital instruments not eligible\n570\n1.1.2.1.3\nShare premium\n580\n1.1.2.1.4\n(-) Own AT1 instruments\n590\n1.1.2.1.4.1\n(-) Direct holdings of AT1 instruments\n620\n1.1.2.1.4.2\n(-) Indirect holdings of AT1 instruments\n621\n1.1.2.1.4.3\n(-) Synthetic holdings of AT1 instruments\n622\n1.1.2.1.5\n(-) Actual or contingent obligations to purchase own AT1 instruments\n660\n1.1.2.2\nTransitional adjustments due to grandfathered AT1 Capital instruments\n670\n1.1.2.3\nInstruments issued by subsidiaries that are given recognition in AT1 Capital\n680\n1.1.2.4\nTransitional adjustments due to additional recognition in AT1 Capital of instruments issued by subsidiaries\n690\n1.1.2.5\n(-) Reciprocal cross holdings in AT1 Capital\n700\n1.1.2.6\n(-) AT1 instruments of financial sector entities where the institution does not have a significant investment\n710\n1.1.2.7\n(-) AT1 instruments of financial sector entities where the institution has a significant investment\n720\n1.1.2.8\n(-) Excess of deduction from T2 items over T2 Capital\n730\n1.1.2.9\nOther transitional adjustments to AT1 Capital\n740\n1.1.2.10\nExcess of deduction from AT1 items over AT1 Capital (deducted in CET1)\n744\n1.1.2.11\n(-) Additional deductions of AT1 Capital due to Article 3 CRR\n748\n1.1.2.12\nAT1 capital elements or deductions — other\n750\n1.2\nTIER 2 CAPITAL\n760\n1.2.1\nCapital instruments and subordinated loans eligible as T2 Capital\n770\n1.2.1.1\nPaid up capital instruments and subordinated loans\n780\n1.2.1.2*\nMemorandum item: Capital instruments and subordinated loans not eligible\n790\n1.2.1.3\nShare premium\n800\n1.2.1.4\n(-) Own T2 instruments\n810\n1.2.1.4.1\n(-) Direct holdings of T2 instruments\n840\n1.2.1.4.2\n(-) Indirect holdings of T2 instruments\n841\n1.2.1.4.3\n(-) Synthetic holdings of T2 instruments\n842\n1.2.1.5\n(-) Actual or contingent obligations to purchase own T2 instruments\n880\n1.2.2\nTransitional adjustments due to grandfathered T2 Capital instruments and subordinated loans\n890\n1.2.3\nInstruments issued by subsidiaries that are given recognition in T2 Capital\n900\n1.2.4\nTransitional adjustments due to additional recognition in T2 Capital of instruments issued by subsidiaries\n910\n1.2.5\nIRB Excess of provisions over expected losses eligible\n920\n1.2.6\nSA General credit risk adjustments\n930\n1.2.7\n(-) Reciprocal cross holdings in T2 Capital\n940\n1.2.8\n(-) T2 instruments of financial sector entities where the institution does not have a significant investment\n950\n1.2.9\n(-) T2 instruments of financial sector entities where the institution has a significant investment\n960\n1.2.10\nOther transitional adjustments to T2 Capital\n970\n1.2.11\nExcess of deduction from T2 items over T2 Capital (deducted in AT1)\n974\n1.2.12\n(-) Additional deductions of T2 Capital due to Article 3 CRR\n978\n1.2.13\nT2 capital elements or deductions — other\nC 04.00 — MEMORANDUM ITEMS (CA4)\nRow\nID\nItem\nColumn\nDeferred tax assest and liabilities\n010\n010\n1\nTotal deferred tax assets\n020\n1.1\nDeferred tax assets that do not rely on future profitability\n030\n1.2\nDeferred tax assets that rely on future profitability and do not arise from temporary differences\n040\n1.3\nDeferred tax assets that rely on future profitability and arise from temporary differences\n050\n2\nTotal deferred tax liabilities\n060\n2.1\nDeferred tax liabilities non deductible from deferred tax assets that rely on future profitability\n070\n2.2\nDeferred tax liabilities deductible from deferred tax assets that rely on future profitability\n080\n2.2.1\nDeductible deferred tax liabilities associated with deferred tax assets that rely on future profitability and do not arise from temporary differences\n090\n2.2.2\nDeductible deferred tax liabilities associated with deferred tax assets that rely on future profitability and arise from temporary differences\nCredit risk adjustments and expected losses\n100\n3\nIRB excess (+) or shortfall (-) of credit risk adjustments, additional value adjustments and other own funds reductions to expected losses for non defaulted exposures\n110\n3.1\nTotal credit risk adjustments, additional value adjustments and other own funds reductions eligible for inclusion in the calculation of the expected loss amount\n120\n3.1.1\nGeneral credit risk adjustments\n130\n3.1.2\nSpecific credit risk adjustments\n131\n3.1.3\nAdditional value adjustments and other own funds reductions\n140\n3.2\nTotal expected losses eligible\n145\n4\nIRB excess (+) or shortfall (-) of specific credit risk adjustments to expected losses for defaulted exposures\n150\n4.1\nSpecific credit risk adjustments and positions treated similarily\n155\n4.2\nTotal expected losses eligible\n160\n5\nRisk weighted exposure amounts for calculating the cap to the excess of provision eligible as T2\n170\n6\nTotal gross provisions eligible for inclusion in T2 capital\n180\n7\nRisk weighted exposure amounts for calculating the cap to the provision eligible as T2\nThresholds for Common Equity Tier 1 deductions\n190\n8\nThreshold non deductible of holdings in financial sector entities where an institution does not have a significant investment\n200\n9\n10 % CET1 threshold\n210\n10\n17,65 % CET1 threshold\n225\n11.1\nEligible capital for the purposes of qualifying holdings outside the financial sector\n226\n11.2\nEligible capital for the purposes of large exposures\nInvestments in the capital of financial sector entities where the institution does not have a significant investment\n230\n12\nHoldings of CET1 capital of financial sector entities where the institution does not have a significant investment, net of short positions\n240\n12.1\nDirect holdings of CET1 capital of financial sector entities where the institution does not have a significant investment\n250\n12.1.1\nGross direct holdings of CET1 capital of financial sector entities where the institution does not have a significant investment\n260\n12.1.2\n(-) Permitted offsetting short positions in relation to the direct gross holdings included above\n270\n12.2\nIndirect holdings of CET1 capital of financial sector entities where the institution does not have a significant investment\n280\n12.2.1\nGross indirect holdings of CET1 capital of financial sector entities where the institution does not have a significant investment\n290\n12.2.2\n(-) Permitted offsetting short positions in relation to the indirect gross holdings included above\n291\n12.3\nSynthetic holdings of CET1 capital of financial sector entities where the institution does not have a significant investment\n292\n12.3.1\nGross synthetic holdings of CET1 capital of financial sector entities where the institution does not have a significant investment\n293\n12.3.2\n(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above\n300\n13\nHoldings of AT1 capital of financial sector entities where the institution does not have a significant investment, net of short positions\n310\n13.1\nDirect holdings of AT1 capital of financial sector entities where the institution does not have a significant investment\n320\n13.1.1\nGross direct holdings of AT1 capital of financial sector entities where the institution does not have a significant investment\n330\n13.1.2\n(-) Permitted offsetting short positions in relation to the direct gross holdings included above\n340\n13.2\nIndirect holdings of AT1 capital of financial sector entities where the institution does not have a significant investment\n350\n13.2.1\nGross indirect holdings of AT1 capital of financial sector entities where the institution does not have a significant investment\n360\n13.2.2\n(-) Permitted offsetting short positions in relation to the indirect gross holdings included above\n361\n13.3\nSynthetic holdings of AT1 capital of financial sector entities where the institution does not have a significant investment\n362\n13.3.1\nGross synthetic holdings of AT1 capital of financial sector entities where the institution does not have a significant investment\n363\n13.3.2\n(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above\n370\n14\nHoldings of T2 capital of financial sector entities where the institution does not have a significant investment, net of short positions\n380\n14.1\nDirect holdings of T2 capital of financial sector entities where the institution does not have a significant investment\n390\n14.1.1\nGross direct holdings of T2 capital of financial sector entities where the institution does not have a significant investment\n400\n14.1.2\n(-) Permitted offsetting short positions in relation to the direct gross holdings included above\n410\n14.2\nIndirect holdings of T2 capital of financial sector entities where the institution does not have a significant investment\n420\n14.2.1\nGross indirect holdings of T2 capital of financial sector entities where the institution does not have a significant investment\n430\n14.2.2\n(-) Permitted offsetting short positions in relation to the indirect gross holdings included above\n431\n14.3\nSynthetic holdings of T2 capital of financial sector entities where the institution does not have a significant investment\n432\n14.3.1\nGross synthetic holdings of T2 capital of financial sector entities where the institution does not have a significant investment\n433\n14.3.2\n(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above\nInvestments in the capital of financial sector entities where the institution has a significant investment\n440\n15\nHoldings of CET1 capital of financial sector entities where the institution has a significant investment, net of short positions\n450\n15.1\nDirect holdings of CET1 capital of financial sector entities where the institution has a significant investment\n460\n15.1.1\nGross direct holdings of CET1 capital of financial sector entities where the institution has a significant investment\n470\n15.1.2\n(-) Permitted offsetting short positions in relation to the direct gross holdings included above\n480\n15.2\nIndirect holdings of CET1 capital of financial sector entities where the institution has a significant investment\n490\n15.2.1\nGross indirect holdings of CET1 capital of financial sector entities where the institution has a significant investment\n500\n15.2.2\n(-) Permitted offsetting short positions in relation to the indirect gross holdings included above\n501\n15.3\nSynthetic holdings of CET1 capital of financial sector entities where the institution has a significant investment\n502\n15.3.1\nGross synthetic holdings of CET1 capital of financial sector entities where the institution has a significant investment\n503\n15.3.2\n(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above\n510\n16\nHoldings of AT1 capital of financial sector entities where the institution has a significant investment, net of short positions\n520\n16.1\nDirect holdings of AT1 capital of financial sector entities where the institution has a significant investment\n530\n16.1.1\nGross direct holdings of AT1 capital of financial sector entities where the institution has a significant investment\n540\n16.1.2\n(-) Permitted offsetting short positions in relation to the direct gross holdings included above\n550\n16.2\nIndirect holdings of AT1 capital of financial sector entities where the institution has a significant investment\n560\n16.2.1\nGross indirect holdings of AT1 capital of financial sector entities where the institution has a significant investment\n570\n16.2.2\n(-) Permitted offsetting short positions in relation to the indirect gross holdings included above\n571\n16.3\nSynthetic holdings of AT1 capital of financial sector entities where the institution has a significant investment\n572\n16.3.1\nGross synthetic holdings of AT1 capital of financial sector entities where the institution has a significant investment\n573\n16.3.2\n(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above\n580\n17\nHoldings of T2 capital of financial sector entities where the institution has a significant investment, net of short positions\n590\n17.1\nDirect holdings of T2 capital of financial sector entities where the institution has a significant investment\n600\n17.1.1\nGross direct holdings of T2 capital of financial sector entities where the institution has a significant investment\n610\n17.1.2\n(-) Permitted offsetting short positions in relation to the direct gross holdings included above\n620\n17.2\nIndirect holdings of T2 capital of financial sector entities where the institution has a significant investment\n630\n17.2.1\nGross indirect holdings of T2 capital of financial sector entities where the institution has a significant investment\n640\n17.2.2\n(-) Permitted offsetting short positions in relation to the indirect gross holdings included above\n641\n17.3\nSynthetic holdings of T2 capital of financial sector entities where the institution has a significant investment\n642\n17.3.1\nGross synthetic holdings of T2 capital of financial sector entities where the institution has a significant investment\n643\n17.3.2\n(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above\nTotal risk exposure amounts of holdings not deducted from the corresponding capital category:\n650\n18\nRisk weighted exposures of CET1 holdings in financial sector entities which are not deducted from the institution's CET1 capital\n660\n19\nRisk weighted exposures of AT1 holdings in financial sector entities which are not deducted from the institution's AT1 capital\n670\n20\nRisk weighted exposures of T2 holdings in financial sector entities which are not deducted from the institution's T2 capital\nTemporary waiver from deduction from own funds\n680\n21\nHoldings on CET1 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived\n690\n22\nHoldings on CET1 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived\n700\n23\nHoldings on AT1 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived\n710\n24\nHoldings on AT1 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived\n720\n25\nHoldings on T2 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived\n730\n26\nHoldings on T2 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived\nCapital buffers\n740\n27\nCombined buffer requirement\n750\nCapital conservation buffer\n760\nConservation buffer due to macro-prudential or systemic risk identified at the level of a Member State\n770\nInstitution specific countercyclical capital buffer\n780\nSystemic risk buffer\n790\nSystemical important institution buffer\n800\nGlobal Systemically Important Institution buffer\n810\nOther Systemically Important Institution buffer\nPillar II requirements\n820\n28\nOwn funds requirements related to Pillar II adjustments\nAdditional information for investment firms\n830\n29\nInitial capital\n840\n30\nOwn funds based on Fixed Overheads\nAdditional information for calculation of reporting thresholds\n850\n31\nNon-domestic original exposures\n860\n32\nTotal original exposures\nBasel I floor\n870\nAdjustments to total own funds\n880\nOwn funds fully adjusted for Basel I floor\n890\nOwn funds requirements for Basel I floor\n900\nOwn funds requirements for Basel I floor — SA alternative\nC 06.02 — GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS)\nENTITIES WITHIN SCOPE OF CONSOLIDATION\nINFORMATION ON ENTITIES SUBJECT TO OWN FUNDS REQUIREMENTS\nNAME\nCODE\nLEI code\nINSTITUTION OR EQUIVALENT (YES/NO)\nSCOPE OF DATA: SOLO FULLY CONSOLIDATED (SF) OR SOLO PARTIALLY CONSOLIDATED (SP)\nCOUNTRY CODE\nSHARE OF HOLDING (%)\nTOTAL RISK EXPOSURE AMOUNT\nCREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/DELIVERY RISK\nPOSITION, FX AND COMMODITIES RISKS\nOPERATIONAL RISK\nOTHER RISK EXPOSURE AMOUNTS\n010\n020\n025\n030\n040\n050\n060\n070\n080\n090\n100\n110\nINFORMATION ON ENTITIES SUBJECT TO OWN FUNDS REQUIREMENTS\nOWN FUNDS\nTOTAL TIER 1 CAPITAL\nTIER 2 CAPITAL\nCOMMON EQUITY TIER 1 CAPITAL\nADDITIONAL TIER 1 CAPITAL\nOF WHICH: QUALIFYING OWN FUNDS\nRELATED OWN FUNDS INSTRUMENTS, RELATED RETAINED EARNINGS AND SHARE PREMIUM ACCOUNTS\nOF WHICH: QUALIFYING TIER 1 CAPITAL\nRELATED T1 INSTRUMENTS, RELATED RETAINED EARNINGS AND SHARE PREMIUM ACCOUNTS\nOF WHICH: MINORITY INTERESTS\nRELATED OWN FUNDS INSTRUMENTS, RELATED RETAINED EARNINGS, SHARE PREMIUM ACCOUNTS AND OTHER RESERVES\nOF WHICH: QUALIFYING ADDITIONAL TIER 1 CAPITAL\nOF WHICH: QUALIFYING TIER 2 CAPITAL\n120\n130\n140\n150\n160\n170\n180\n190\n200\n210\n220\n230\n240\nINFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP\nTOTAL RISK EXPOSURE AMOUNT\nQUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS\nCONSOLIDATED OWN FUNDS\nCREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/DELIVERY RISK\nPOSITION, FX AND COMMODITIES RISKS\nOPERATIONAL RISK\nOTHER RISK EXPOSURE AMOUNTS\nQUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 1 CAPITAL\nQUALIFYING OWN FUNDS INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 2 CAPITAL\nMEMORANDUM ITEM: GOODWILL (-) /(+) NEGATIVE GOODWILL\nOF WHICH: COMMON EQUITY TIER 1\nMINORITY INTERESTS INCLUDED IN CONSOLIDATED COMMON EQUITY TIER 1 CAPITAL\nQUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED ADDITIONAL TIER 1 CAPITAL\n250\n260\n270\n280\n290\n300\n310\n320\n330\n340\n350\n360\n370\nINFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP\nCAPITAL BUFFERS\nCOMBINED BUFFER REQUIRE-MENTS\nOF WHICH: ADDITIONAL TIER 1\nOF WHICH: CONRIBUTIONS TO CONSOLIDATED RESULT\nOF WHICH: (-) GOODWILL/(+) NEGATIVE GOODWILL\nCAPITAL CONSERVATION BUFFER\nINSTITUTION SPECIFIC COUNTER-CYCLICAL CAPITAL BUFFER\nCONSERVATION BUFFER DUE TO MACRO-PRUDENTIAL OR SYSTEMIC RISK IDENTIFIED AT THE LEVEL OF A MEMBER STATE\nSYSTEMIC RISK BUFFER\nSYSTEMICAL IMPORTANT INSTITUTION BUFFER\nGLOBAL SYSTEMICALLY IMPORTANT INSTITUTION BUFFER\nOTHER SYSTEMICALLY IMPORTANT INSTITUTION BUFFER\n380\n390\n400\n410\n420\n430\n440\n450\n460\n470\n480\nC 07.00 — CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: STANDARDISED APPROACH TO CAPITAL REQUIREMENTS (CR SA)\nSA Exposure class\nORIGINAL EXPOSURE PRE CONVERSION FACTORS\n(-) VALUE ADJUSTMENTS AND PROVISIONS ASSOCIATED WITH THE ORIGINAL EXPOSURE\nEXPOSURE NET OF VALUE ADJUSTMENTS AND PROVISIONS\nCREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE\nUNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (Ga)\n(-) GUARANTEES\n(-) CREDIT DERIVATIVES\n010\n030\n040\n050\n060\n010\nTOTAL EXPOSURES\n020\nof which: SME\n030\nof which: Exposures subject to SME-supporting factor\n040\nof which: Secured by mortgages on immovable property — Residential property\n050\nof which: Exposures under the permanent partial use of the standardised approach\n060\nof which: Exposures under the standardised approach with prior supervisory permission to carry out a sequential IRB implementation\nBREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:\n070\nOn balance sheet exposures subject to credit risk\n080\nOff balance sheet exposures subject to credit risk\nExposures/Transactions subject to counterparty credit risk\n090\nSecurities Financing Transactions\n100\nof which: centrally cleared through a QCCP\n110\nDerivatives & Long Settlement Transactions\n120\nof which: centrally cleared through a QCCP\n130\nFrom Contractual Cross Product Netting\nBREAKDOWN OF TOTAL EXPOSURES BY RISK WEIGHTS:\n140\n0 %\n150\n2 %\n160\n4 %\n170\n10 %\n180\n20 %\n190\n35 %\n200\n50 %\n210\n70 %\n220\n75 %\n230\n100 %\n240\n150 %\n250\n250 %\n260\n370 %\n270\n1 250 %\n280\nOther risk weights\nMEMORANDUM ITEMS\n290\nExposures secured by mortgages on commercial immovable property\n300\nExposures in default subject to a risk weight of 100 %\n310\nExposures secured by mortgages on residential property\n320\nExposures in default subject to a risk weight of 150 %\nCREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE\nNET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS\nFUNDED CREDIT PROTECTION\nSUBSTITUTION OF THE EXPOSURE DUE TO CRM\n(-) FINANCIAL COLLATERAL: SIMPLE METHOD\n(-) OTHER FUNDED CREDIT PROTECTION\n(-) TOTAL OUTFLOWS\nTOTAL INFLOWS (+)\n070\n080\n090\n100\n110\n010\nTOTAL EXPOSURES\n020\nof which: SME\n030\nof which: Exposures subject to SME-supporting factor\n040\nof which: Secured by mortgages on immovable property — Residential property\n050\nof which: Exposures under the permanent partial use of the standardised approach\n060\nof which: Exposures under the standardised approach with prior supervisory permission to carry out a sequential IRB implementation\nBREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:\n070\nOn balance sheet exposures subject to credit risk\n080\nOff balance sheet exposures subject to credit risk\nExposures/Transactions subject to counterparty credit risk\n090\nSecurities Financing Transactions\n100\nof which: centrally cleared through a QCCP\n110\nDerivatives & Long Settlement Transactions\n120\nof which: centrally cleared through a QCCP\n130\nFrom Contractual Cross Product Netting\nBREAKDOWN OF TOTAL EXPOSURES BY RISK WEIGHTS:\n140\n0 %\n150\n2 %\n160\n4 %\n170\n10 %\n180\n20 %\n190\n35 %\n200\n50 %\n210\n70 %\n220\n75 %\n230\n100 %\n240\n150 %\n250\n250 %\n260\n370 %\n270\n1 250 %\n280\nOther risk weights\nMEMORANDUM ITEMS\n290\nExposures secured by mortgages on commercial immovable property\n300\nExposures in default subject to a risk weight of 100 %\n310\nExposures secured by mortgages on residential property\n320\nExposures in default subject to a risk weight of 150 %\nCREDIT RISK MITIGATION TECHNIQUES AFFECTING THE EXPOSURE AMOUNT: FUNDED CREDIT PROTECTION. FINANCIAL COLLATERAL COMPREHENSIVE METHOD\nFULLY ADJUSTED EXPOSURE VALUE (E*)\nBREAKDOWN OF THE FULLY ADJUSTED EXPOSURE VALUE OF OFF-BALANCE SHEET ITEMS BY CONVERSION FACTORS\nVOLATILITY ADJUSTMENT TO THE EXPOSURE\n(-) FINANCIAL COLLATERAL: ADJUSTED VALUE (Cvam)\n0 %\n20 %\n50 %\n100 %\n(-) OF WHICH: VOLATILITY AND MATURITY ADJUSTMENTS\n120\n130\n140\n150\n160\n170\n180\n190\n010\nTOTAL EXPOSURES\n020\nof which: SME\n030\nof which: Exposures subject to SME-supporting factor\n040\nof which: Secured by mortgages on immovable property — Residential property\n050\nof which: Exposures under the permanent partial use of the standardised approach\n060\nof which: Exposures under the standardised approach with prior supervisory permission to carry out a sequential IRB implementation\nBREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:\n070\nOn balance sheet exposures subject to credit risk\n080\nOff balance sheet exposures subject to credit risk\nExposures/Transactions subject to counterparty credit risk\n090\nSecurities Financing Transactions\n100\nof which: centrally cleared through a QCCP\n110\nDerivatives & Long Settlement Transactions\n120\nof which: centrally cleared through a QCCP\n130\nFrom Contractual Cross Product Netting\nBREAKDOWN OF TOTAL EXPOSURES BY RISK WEIGHTS:\n140\n0 %\n150\n2 %\n160\n4 %\n170\n10 %\n180\n20 %\n190\n35 %\n200\n50 %\n210\n70 %\n220\n75 %\n230\n100 %\n240\n150 %\n250\n250 %\n260\n370 %\n270\n1 250 %\n280\nOther risk weights\nMEMORANDUM ITEMS\n290\nExposures secured by mortgages on commercial immovable property\n300\nExposures in default subject to a risk weight of 100 %\n310\nExposures secured by mortgages on residential property\n320\nExposures in default subject to a risk weight of 150 %\nEXPOSURE VALUE\nRISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR\nRISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR\nOF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK\nOF WHICH: WITH A CREDIT ASSESSMENT BY A NOMINATED ECAI\nOF WHICH: WITH A CREDIT ASSESSMENT DERIVED FROM CENTRAL GOVERNMENT\n200\n210\n215\n220\n230\n240\n010\nTOTAL EXPOSURES\nCell linked to CA\n020\nof which: SME\n030\nof which: Exposures subject to SME-supporting factor\n040\nof which: Secured by mortgages on immovable property — Residential property\n050\nof which: Exposures under the permanent partial use of the standardised approach\n060\nof which: Exposures under the standardised approach with prior supervisory permission to carry out a sequential IRB implementation\nBREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:\n070\nOn balance sheet exposures subject to credit risk\n080\nOff balance sheet exposures subject to credit risk\nExposures/Transactions subject to counterparty credit risk\n090\nSecurities Financing Transactions\n100\nof which: centrally cleared through a QCCP\n110\nDerivatives & Long Settlement Transactions\n120\nof which: centrally cleared through a QCCP\n130\nFrom Contractual Cross Product Netting\nBREAKDOWN OF TOTAL EXPOSURES BY RISK WEIGHTS:\n140\n0 %\n150\n2 %\n160\n4 %\n170\n10 %\n180\n20 %\n190\n35 %\n200\n50 %\n210\n70 %\n220\n75 %\n230\n100 %\n240\n150 %\n250\n250 %\n260\n370 %\n270\n1 250 %\n280\nOther risk weights\nMEMORANDUM ITEMS\n290\nExposures secured by mortgages on commercial immovable property\n300\nExposures in default subject to a risk weight of 100 %\n310\nExposures secured by mortgages on residential property\n320\nExposures in default subject to a risk weight of 150 %\nC 08.01 — CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS (CR IRB 1)\nIRB Exposure class:\nOwn estimates of LGD and/or conversion factors:\nINTERNAL RATING SYSTEM\nORIGINAL EXPOSURE PRE CONVERSION FACTORS\nCREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE\nEXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS\nUNFUNDED CREDIT PROTECTION\n(-) OTHER FUNDED CREDIT PROTECTION\nSUBSTITUTION OF THE EXPOSURE DUE TO CRM\nPD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%)\nOF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES\n(-) GUARANTEES\n(-) CREDIT DERIVATIVES\n(-) TOTAL OUTFLOWS\nTOTAL INFLOWS (+)\nOF WHICH: OFF BALANCE SHEET ITEMS\n010\n020\n030\n040\n050\n060\n070\n080\n090\n100\n010\nTOTAL EXPOSURES\n015\nof which: Exposures subject to SME-supporting factor\nBREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:\n020\nOn balance sheet items subject to credit risk\n030\nOff balance sheet items subject to credit risk\nExposures/Transactions subject to counterparty credit risk\n040\nSecurities Financing Transactions\n050\nDerivatives & Long Settlement Transactions\n060\nFrom Contractual Cross Product Netting\n070\nEXPOSURES ASSIGNED TO OBLIGOR GRADES OR POOLS: TOTAL\n080\nSPECIALIZED LENDING SLOTTING CRITERIA: TOTAL\nBREAKDOWN BY RISK WEIGHTS OF TOTAL EXPOSURES UNDER SPECIALIZED LENDING SLOTTING CRITERIA:\n090\nRISK WEIGHT: 0 %\n100\n50 %\n110\n70 %\n120\nOf which: in category 1\n130\n90 %\n140\n115 %\n150\n250 %\n160\nALTERNATIVE TREATMENT: SECURED BY REAL ESTATE\n170\nEXPOSURES FROM FREE DELIVERIES APPLYING RISK WEIGHTS UNDER THE ALTERNATIVE TREATMENT OR 100 % AND OTHER EXPOSURES SUBJECT TO RISK WEIGHTS\n180\nDILUTION RISK: TOTAL PURCHASED RECEIVABLES\nEXPOSURE VALUE\nCREDIT RISK MITIGATION TECHNIQUES TAKEN INTO ACCOUNT IN LGD ESTIMATES EXCLUDING DOUBLE DEFAULT TREATMENT\nOWN ESTIMATES OF LGD'S ARE USED: UNFUNDED CREDIT PROTECTION\nFUNDED CREDIT PROTECTION\nOF WHICH: OFF BALANCE SHEET ITEMS\nOF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK\nOF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES\nGUARANTEES\nCREDIT DERIVATIVES\nOWN ESTIMATES OF LGD'S ARE USED: OTHER FUNDED CREDIT PROTECTION\nELIGIBLE FINANCIAL COLLATERAL\nOTHER ELIGIBLE COLLATERAL\nREAL ESTATE\nOTHER PHYSICAL COLLATERAL\nRECEIVABLES\n110\n120\n130\n140\n150\n160\n170\n180\n190\n200\n210\n010\nTOTAL EXPOSURES\n015\nof which: Exposures subject to SME-supporting factor\nBREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:\n020\nOn balance sheet items subject to credit risk\n030\nOff balance sheet items subject to credit risk\nExposures/Transactions subject to counterparty credit risk\n040\nSecurities Financing Transactions\n050\nDerivatives & Long Settlement Transactions\n060\nFrom Contractual Cross Product Netting\n070\nEXPOSURES ASSIGNED TO OBLIGOR GRADES OR POOLS: TOTAL\n080\nSPECIALIZED LENDING SLOTTING CRITERIA: TOTAL\nBREAKDOWN BY RISK WEIGHTS OF TOTAL EXPOSURES UNDER SPECIALIZED LENDING SLOTTING CRITERIA:\n090\nRISK WEIGHT: 0 %\n100\n50 %\n110\n70 %\n120\nOf which: in category 1\n130\n90 %\n140\n115 %\n150\n250 %\n160\nALTERNATIVE TREATMENT: SECURED BY REAL ESTATE\n170\nEXPOSURES FROM FREE DELIVERIES APPLYING RISK WEIGHTS UNDER THE ALTERNATIVE TREATMENT OR 100 % AND OTHER EXPOSURES SUBJECT TO RISK WEIGHTS\n180\nDILUTION RISK: TOTAL PURCHASED RECEIVABLES\nSUBJECT TO DOUBLE DEFAULT TREATMENT\nEXPOSURE WEIGHTED AVERAGE LGD (%)\nEXPOSURE WEIGHTED AVERAGE LGD (%) FOR LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES\nEXPOSURE-WEIGHTED AVERAGE MATURITY VALUE (DAYS)\nRISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR\nRISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR\nMEMORANDUM ITEMS:\nUNFUNDED CREDIT PROTECTION\nEXPECTED LOSS AMOUNT\n(-) VALUE ADJUSTMENTS AND PROVISIONS\nNUMBER OF OBLIGORS\nOF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES\n220\n230\n240\n250\n255\n260\n270\n280\n290\n300\n010\nTOTAL EXPOSURES\nCell linked to CA\n015\nof which: Exposures subject to SME-supporting factor\nBREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:\n020\nOn balance sheet items subject to credit risk\n030\nOff balance sheet items subject to credit risk\nExposures/Transactions subject to counterparty credit risk\n040\nSecurities Financing Transactions\n050\nDerivatives & Long Settlement Transactions\n060\nFrom Contractual Cross Product Netting\n070\nEXPOSURES ASSIGNED TO OBLIGOR GRADES OR POOLS: TOTAL\n080\nSPECIALIZED LENDING SLOTTING CRITERIA: TOTAL\nBREAKDOWN BY RISK WEIGHTS OF TOTAL EXPOSURES UNDER SPECIALIZED LENDING SLOTTING CRITERIA:\n090\nRISK WEIGHT: 0 %\n100\n50 %\n110\n70 %\n120\nOf which: in category 1\n130\n90 %\n140\n115 %\n150\n250 %\n160\nALTERNATIVE TREATMENT: SECURED BY REAL ESTATE\n170\nEXPOSURES FROM FREE DELIVERIES APPLYING RISK WEIGHTS UNDER THE ALTERNATIVE TREATMENT OR 100 % AND OTHER EXPOSURES SUBJECT TO RISK WEIGHTS\n180\nDILUTION RISK: TOTAL PURCHASED RECEIVABLES\nC 09.01 — GEOGRAPHICAL BREAKDOWN OF EXPOSURES BY RESIDENCE OF THE OBLIGOR: SA EXPOSURES (CR GB 1)\nCountry:\nORIGINAL EXPOSURE PRE CONVERSION FACTORS\nExposures in default\nObserved new defaults for the period\nGeneral credit risk adjustments\nSpecific credit risk adjustments\nOf which: write off\nCredit risk adjustments/write-offs for observed new defaults\nEXPOSURE VALUE\nRISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR\nRISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR\n010\n020\n040\n050\n055\n060\n070\n075\n080\n090\n010\nCentral governments or central banks\n020\nRegional governments or local authorities\n030\nPublic sector entities\n040\nMultilateral Development Banks\n050\nInternational Organisations\n060\nInstitutions\n070\nCorporates\n075\nof which: SME\n080\nRetail\n085\nof which: SME\n090\nSecured by mortgages on immovable property\n095\nof which: SME\n100\nExposures in default\n110\nItems associated with particularly high risk\n120\nCovered bonds\n130\nClaims on institutions and corporates with a short-term credit assessment\n140\nCollective investments undertakings (CIU)\n150\nEquity exposures\n160\nOther exposures\nTotal exposures\nC 09.02 — GEOGRAPHICAL BREAKDOWN OF EXPOSURES BY RESIDENCE OF THE OBLIGOR: IRB EXPOSURES (CR GB 2)\nCountry:\nORIGINAL EXPOSURE PRE CONVERSION FACTORS\nOf which: defaulted\nObserved new defaults for the period\nGeneral credit risk adjustments\nSpecific credit risk adjustments\nOf which: write off\nCredit risk adjustments/write-offs for observed new defaults\nPD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%)\n010\n030\n040\n050\n055\n060\n070\n080\n010\nCentral governments or central banks\n020\nInstitutions\n030\nCorporates\n040\nOf Which: Specialised Lending\n050\nOf Which: SME\n060\nRetail\n070\nSecured by real estate property\n080\nSME\n090\nNon-SME\n100\nQualifying Revolving\n110\nOther Retail\n120\nSME\n130\nNon-SME\n140\nEquity\nTotal exposures\nEXPOSURE WEIGHTED AVERAGE LGD (%)\nOf which: defaulted\nEXPOSURE VALUE\nRISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR\nOf which: defaulted\nRISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR\nEXPECTED LOSS AMOUNT\n090\n100\n105\n110\n120\n125\n130\n010\nCentral governments or central banks\n020\nInstitutions\n030\nCorporates\n040\nOf Which: Specialised Lending\n050\nOf Which: SME\n060\nRetail\n070\nSecured by real estate property\n080\nSME\n090\nNon-SME\n100\nQualifying Revolving\n110\nOther Retail\n120\nSME\n130\nNon-SME\n140\nEquity\nTotal exposures\nC 09.03 — GEOGRAPHICAL BREAKDOWN OF RELEVANT CREDIT EXPOSURES FOR THE PURPOSE OF CALCULATION OF THE INSTITUTION-SPECIFIC COUNTERCYCLICAL BUFFER (CR GB 3)\nCountry:\nAmount\n010\n010\nOwn fund requirements\nC 17.00 — OPERATIONAL RISK: LOSSES AND RECOVERIES BY BUSINESS LINES AND EVENT TYPES IN THE LAST YEAR (OPR Details)\nMAPPING OF LOSSES TO BUSINESS LINES\nEVENT TYPES\nTOTAL EVENT TYPES\nMEMORANDUM ITEM: THRESHOLD APPLIED IN DATA COLLECTION\nINTERNAL FRAUD\nEXTERNAL FRAUD\nEMPLOYMENT PRACTICES AND WORKPLACE SAFETY\nCLIENTS, PRODUCTS & BUSINESS PRACTICES\nDAMAGE TO PHYSICAL ASSETS\nBUSINESS DISRUPTION AND SYSTEM FAILURES\nEXECUTION, DELIVERY & PROCESS MANAGEMENT\nLOWEST\nHIGHEST\nRows\n010\n020\n030\n040\n050\n060\n070\n080\n090\n100\n010\nCORPORATE FINANCE [CF]\nNumber of events\n020\nTotal loss amount\n030\nMaximum single loss\n040\nSum of the five largest losses\n050\nTotal loss recovery\n110\nTRADING AND SALES [TS]\nNumber of events\n120\nTotal loss amount\n130\nMaximum single loss\n140\nSum of the five largest losses\n150\nTotal loss recovery\n210\nRETAIL BROKERAGE [RBr]\nNumber of events\n220\nTotal loss amount\n230\nMaximum single loss\n240\nSum of the five largest losses\n250\nTotal loss recovery\n310\nCOMMERCIAL BANKING [CB]\nNumber of events\n320\nTotal loss amount\n330\nMaximum single loss\n340\nSum of the five largest losses\n350\nTotal loss recovery\n410\nRETAIL BANKING [RB]\nNumber of events\n420\nTotal loss amount\n430\nMaximum single loss\n440\nSum of the five largest losses\n450\nTotal loss recovery\n510\nPAYMENT AND SETTLEMENT [PS]\nNumber of events\n520\nTotal loss amount\n530\nMaximum single loss\n540\nSum of the five largest losses\n550\nTotal loss recovery\n610\nAGENCY SERVICES [AS]\nNumber of events\n620\nTotal loss amount\n630\nMaximum single loss\n640\nSum of the five largest losses\n650\nTotal loss recovery\n710\nASSET MANAGEMENT [AM]\nNumber of events\n720\nTotal loss amount\n730\nMaximum single loss\n740\nSum of the five largest losses\n750\nTotal loss recovery\n810\nCORPORATE ITEMS [CI]\nNumber of events\n820\nTotal loss amount\n830\nMaximum single loss\n840\nSum of the five largest losses\n850\nTotal loss recovery\n910\nTOTAL BUSINESS LINES\nNumber of events. Of which:\n911\n≥ 10 000 and < 20 000\n912\n≥ 20 000 and < 100 000\n913\n≥ 100 000 and < 1 000 000\n914\n≥ 1 000 000\n920\nTotal loss amount. Of which:\n921\n≥ 10 000 and < 20 000\n922\n≥ 20 000 and < 100 000\n923\n≥ 100 000 and < 1 000 000\n924\n≥ 1 000 000\n930\nMaximum single loss\n940\nSum of the five largest losses\n950\nTotal loss recovery\nC 21.00 — MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES (MKR SA EQU)\nNational market:\nPOSITIONS\nOWN FUNDS REQUIREMENTS\nTOTAL RISK EXPOSURE AMOUNT\nALL POSITIONS\nNET POSITIONS\nPOSITIONS SUBJECT TO CAPITAL CHARGE\nLONG\nSHORT\nLONG\nSHORT\n010\n020\n030\n040\n050\n060\n070\n010\nEQUITIES IN TRADING BOOK\nCell linked to CA\n020\nGeneral risk\n021\nDerivatives\n022\nOther assets and liabilities\n030\nExchange traded stock-index futures broadly diversified subject to particular approach\n040\nOther equities than exchange traded stock-index futures broadly diversified\n050\nSpecific risk\n080\nParticular approach for position risk in CIUs\n090\nAdditional requirements for options (non-delta risks)\n100\nSimplified method\n110\nDelta plus approach — additional requirements for gamma risk\n120\nDelta plus approach — additional requirements for vega risk\n130\nScenario matrix approach\nC 22.00 — MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK (MKR SA FX)\nALL POSITIONS\nNET POSITIONS\nPOSITIONS SUBJECT TO CAPITAL CHARGE (Including redistribution of unmatched positions in currencies subject to special treatment for matched positions)\nOWN FUNDS REQUIREMENTS\nTOTAL RISK EXPOSURE AMOUNT\nLONG\nSHORT\nLONG\nSHORT\nLONG\nSHORT\nMATCHED\n020\n030\n040\n050\n060\n070\n080\n090\n100\n010\nTOTAL POSITIONS IN NON-REPORTING CURRENCIES\nCell linked to CA\n020\nCurrencies closely correlated\n030\nAll other currencies (including CIUs treated as different currencies)\n040\nGold\n050\nAdditional requirements for options (non-delta risks)\n060\nSimplified method\n070\nDelta plus approach — additional requirements for gamma risk\n080\nDelta plus approach — additional requirements for vega risk\n090\nScenario matrix approach\nBREAKDOWN OF TOTAL POSITIONS (REPORTING CURRENCY INCLUDED) BY EXPOSURE TYPES\n100\nOther assets and liabilities other than off-balance sheet items and derivatives\n110\nOff-balance sheet items\n120\nDerivatives\nMemorandum items: CURRENCY POSITIONS\n130\nEuro\n140\nLek\n150\nArgentine Peso\n160\nAustralian Dollar\n170\nBrazilian Real\n180\nBulgarian Lev\n190\nCanadian Dollar\n200\nCzech Koruna\n210\nDanish Krone\n220\nEgyptian Pound\n230\nPound Sterling\n240\nForint\n250\nYen\n270\nLithuanian Litas\n280\nDenar\n290\nMexican Peso\n300\nZloty\n310\nRumanian Leu\n320\nRussian Ruble\n330\nSerbian Dinar\n340\nSwedish Krona\n350\nSwiss Franc\n360\nTurkish Lira\n370\nHryvnia\n380\nUS Dollar\n390\nIceland Krona\n400\nNorwegian Krone\n410\nHong Kong Dollar\n420\nNew Taiwan Dollar\n430\nNew Zealand Dollar\n440\nSingapore Dollar\n450\nWon\n460\nYuan Renminbi\n470\nOther\n480\nCroatian Kuna",
  "extent": "E+W+S+N.I.",
  "status": null,
  "version": "current",
  "annotations": [],
  "outstanding_effects": [],
  "provenance": {
    "source": "legislation.gov.uk",
    "source_url": "https://www.legislation.gov.uk/eur/2015/1278/annex/I",
    "retrieved_at": "2026-11-01T14:46:33.817431+00:00"
  },
  "licence": "Open Government Licence v3.0",
  "licence_url": "https://www.nationalarchives.gov.uk/doc/open-government-licence/version/3/",
  "attribution": "Contains public sector information licensed under the Open Government Licence v3.0. Source: legislation.gov.uk, The National Archives."
}