# 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), Annex I

Extent: E+W+S+N.I.

C 01.00 — OWN FUNDS (CA1)
Rows
ID
Item
Amount
010
1
OWN FUNDS
015
1.1
TIER 1 CAPITAL
020
1.1.1
COMMON EQUITY TIER 1 CAPITAL
030
1.1.1.1
Capital instruments eligible as CET1 Capital
040
1.1.1.1.1
Paid up capital instruments
045
1.1.1.1.1*
Of which: Capital instruments subscribed by public authorities in emergency situations
050
1.1.1.1.2*
Memorandum item: Capital instruments not eligible
060
1.1.1.1.3
Share premium
070
1.1.1.1.4
(-) Own CET1 instruments
080
1.1.1.1.4.1
(-) Direct holdings of CET1 instruments
090
1.1.1.1.4.2
(-) Indirect holdings of CET1 instruments
091
1.1.1.1.4.3
(-) Synthetic holdings of CET1 instruments
092
1.1.1.1.5
(-) Actual or contingent obligations to purchase own CET1 instruments
130
1.1.1.2
Retained earnings
140
1.1.1.2.1
Previous years retained earnings
150
1.1.1.2.2
Profit or loss eligible
160
1.1.1.2.2.1
Profit or loss attributable to owners of the parent
170
1.1.1.2.2.2
(-) Part of interim or year-end profit not eligible
180
1.1.1.3
Accumulated other comprehensive income
200
1.1.1.4
Other reserves
210
1.1.1.5
Funds for general banking risk
220
1.1.1.6
Transitional adjustments due to grandfathered CET1 Capital instruments
230
1.1.1.7
Minority interest given recognition in CET1 capital
240
1.1.1.8
Transitional adjustments due to additional minority interests
250
1.1.1.9
Adjustments to CET1 due to prudential filters
260
1.1.1.9.1
(-) Increases in equity resulting from securitised assets
270
1.1.1.9.2
Cash flow hedge reserve
280
1.1.1.9.3
Cumulative gains and losses due to changes in own credit risk on fair valued liabilities
285
1.1.1.9.4
Fair value gains and losses arising from the institution's own credit risk related to derivative liabilities
290
1.1.1.9.5
(-) Value adjustments due to the requirements for prudent valuation
300
1.1.1.10
(-) Goodwill
310
1.1.1.10.1
(-) Goodwill accounted for as intangible asset
320
1.1.1.10.2
(-) Goodwill included in the valuation of significant investments
330
1.1.1.10.3
Deferred tax liabilities associated to goodwill
340
1.1.1.11
(-) Other intangible assets
350
1.1.1.11.1
(-) Other intangible assets before deduction of deferred tax liabilities
360
1.1.1.11.2
Deferred tax liabilities associated to other intangible assets
370
1.1.1.12
(-) Deferred tax assets that rely on future profitability and do not arise from temporary differences net of associated tax liabilities
380
1.1.1.13
(-) IRB shortfall of credit risk adjustments to expected losses
390
1.1.1.14
(-) Defined benefit pension fund assets
400
1.1.1.14.1
(-) Defined benefit pension fund assets
410
1.1.1.14.2
Deferred tax liabilities associated to defined benefit pension fund assets
420
1.1.1.14.3
Defined benefit pension fund assets which the institution has an unrestricted ability to use
430
1.1.1.15
(-) Reciprocal cross holdings in CET1 Capital
440
1.1.1.16
(-) Excess of deduction from AT1 items over AT1 Capital
450
1.1.1.17
(-) Qualifying holdings outside the financial sector which can alternatively be subject to a 1 250 % risk weight
460
1.1.1.18
(-) Securitisation positions which can alternatively be subject to a 1 250 % risk weight
470
1.1.1.19
(-) Free deliveries which can alternatively be subject to a 1 250 % risk weight
471
1.1.1.20
(-) 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
472
1.1.1.21
(-) Equity exposures under an internal models approach which can alternatively be subject to a 1 250 % risk weight
480
1.1.1.22
(-) CET1 instruments of financial sector entites where the institution does not have a significant investment
490
1.1.1.23
(-) Deductible deferred tax assets that rely on future profitability and arise from temporary differences
500
1.1.1.24
(-) CET1 instruments of financial sector entities where the institution has a significant investment
510
1.1.1.25
(-) Amount exceeding the 17,65 % threshold
520
1.1.1.26
Other transitional adjustments to CET1 Capital
524
1.1.1.27
(-) Additional deductions of CET1 Capital due to Article 3 CRR
529
1.1.1.28
CET1 capital elements or deductions — other
530
1.1.2
ADDITIONAL TIER 1 CAPITAL
540
1.1.2.1
Capital instruments eligible as AT1 Capital
550
1.1.2.1.1
Paid up capital instruments
560
1.1.2.1.2*
Memorandum item: Capital instruments not eligible
570
1.1.2.1.3
Share premium
580
1.1.2.1.4
(-) Own AT1 instruments
590
1.1.2.1.4.1
(-) Direct holdings of AT1 instruments
620
1.1.2.1.4.2
(-) Indirect holdings of AT1 instruments
621
1.1.2.1.4.3
(-) Synthetic holdings of AT1 instruments
622
1.1.2.1.5
(-) Actual or contingent obligations to purchase own AT1 instruments
660
1.1.2.2
Transitional adjustments due to grandfathered AT1 Capital instruments
670
1.1.2.3
Instruments issued by subsidiaries that are given recognition in AT1 Capital
680
1.1.2.4
Transitional adjustments due to additional recognition in AT1 Capital of instruments issued by subsidiaries
690
1.1.2.5
(-) Reciprocal cross holdings in AT1 Capital
700
1.1.2.6
(-) AT1 instruments of financial sector entities where the institution does not have a significant investment
710
1.1.2.7
(-) AT1 instruments of financial sector entities where the institution has a significant investment
720
1.1.2.8
(-) Excess of deduction from T2 items over T2 Capital
730
1.1.2.9
Other transitional adjustments to AT1 Capital
740
1.1.2.10
Excess of deduction from AT1 items over AT1 Capital (deducted in CET1)
744
1.1.2.11
(-) Additional deductions of AT1 Capital due to Article 3 CRR
748
1.1.2.12
AT1 capital elements or deductions — other
750
1.2
TIER 2 CAPITAL
760
1.2.1
Capital instruments and subordinated loans eligible as T2 Capital
770
1.2.1.1
Paid up capital instruments and subordinated loans
780
1.2.1.2*
Memorandum item: Capital instruments and subordinated loans not eligible
790
1.2.1.3
Share premium
800
1.2.1.4
(-) Own T2 instruments
810
1.2.1.4.1
(-) Direct holdings of T2 instruments
840
1.2.1.4.2
(-) Indirect holdings of T2 instruments
841
1.2.1.4.3
(-) Synthetic holdings of T2 instruments
842
1.2.1.5
(-) Actual or contingent obligations to purchase own T2 instruments
880
1.2.2
Transitional adjustments due to grandfathered T2 Capital instruments and subordinated loans
890
1.2.3
Instruments issued by subsidiaries that are given recognition in T2 Capital
900
1.2.4
Transitional adjustments due to additional recognition in T2 Capital of instruments issued by subsidiaries
910
1.2.5
IRB Excess of provisions over expected losses eligible
920
1.2.6
SA General credit risk adjustments
930
1.2.7
(-) Reciprocal cross holdings in T2 Capital
940
1.2.8
(-) T2 instruments of financial sector entities where the institution does not have a significant investment
950
1.2.9
(-) T2 instruments of financial sector entities where the institution has a significant investment
960
1.2.10
Other transitional adjustments to T2 Capital
970
1.2.11
Excess of deduction from T2 items over T2 Capital (deducted in AT1)
974
1.2.12
(-) Additional deductions of T2 Capital due to Article 3 CRR
978
1.2.13
T2 capital elements or deductions — other
C 04.00 — MEMORANDUM ITEMS (CA4)
Row
ID
Item
Column
Deferred tax assest and liabilities
010
010
1
Total deferred tax assets
020
1.1
Deferred tax assets that do not rely on future profitability
030
1.2
Deferred tax assets that rely on future profitability and do not arise from temporary differences
040
1.3
Deferred tax assets that rely on future profitability and arise from temporary differences
050
2
Total deferred tax liabilities
060
2.1
Deferred tax liabilities non deductible from deferred tax assets that rely on future profitability
070
2.2
Deferred tax liabilities deductible from deferred tax assets that rely on future profitability
080
2.2.1
Deductible deferred tax liabilities associated with deferred tax assets that rely on future profitability and do not arise from temporary differences
090
2.2.2
Deductible deferred tax liabilities associated with deferred tax assets that rely on future profitability and arise from temporary differences
Credit risk adjustments and expected losses
100
3
IRB excess (+) or shortfall (-) of credit risk adjustments, additional value adjustments and other own funds reductions to expected losses for non defaulted exposures
110
3.1
Total credit risk adjustments, additional value adjustments and other own funds reductions eligible for inclusion in the calculation of the expected loss amount
120
3.1.1
General credit risk adjustments
130
3.1.2
Specific credit risk adjustments
131
3.1.3
Additional value adjustments and other own funds reductions
140
3.2
Total expected losses eligible
145
4
IRB excess (+) or shortfall (-) of specific credit risk adjustments to expected losses for defaulted exposures
150
4.1
Specific credit risk adjustments and positions treated similarily
155
4.2
Total expected losses eligible
160
5
Risk weighted exposure amounts for calculating the cap to the excess of provision eligible as T2
170
6
Total gross provisions eligible for inclusion in T2 capital
180
7
Risk weighted exposure amounts for calculating the cap to the provision eligible as T2
Thresholds for Common Equity Tier 1 deductions
190
8
Threshold non deductible of holdings in financial sector entities where an institution does not have a significant investment
200
9
10 % CET1 threshold
210
10
17,65 % CET1 threshold
225
11.1
Eligible capital for the purposes of qualifying holdings outside the financial sector
226
11.2
Eligible capital for the purposes of large exposures
Investments in the capital of financial sector entities where the institution does not have a significant investment
230
12
Holdings of CET1 capital of financial sector entities where the institution does not have a significant investment, net of short positions
240
12.1
Direct holdings of CET1 capital of financial sector entities where the institution does not have a significant investment
250
12.1.1
Gross direct holdings of CET1 capital of financial sector entities where the institution does not have a significant investment
260
12.1.2
(-) Permitted offsetting short positions in relation to the direct gross holdings included above
270
12.2
Indirect holdings of CET1 capital of financial sector entities where the institution does not have a significant investment
280
12.2.1
Gross indirect holdings of CET1 capital of financial sector entities where the institution does not have a significant investment
290
12.2.2
(-) Permitted offsetting short positions in relation to the indirect gross holdings included above
291
12.3
Synthetic holdings of CET1 capital of financial sector entities where the institution does not have a significant investment
292
12.3.1
Gross synthetic holdings of CET1 capital of financial sector entities where the institution does not have a significant investment
293
12.3.2
(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above
300
13
Holdings of AT1 capital of financial sector entities where the institution does not have a significant investment, net of short positions
310
13.1
Direct holdings of AT1 capital of financial sector entities where the institution does not have a significant investment
320
13.1.1
Gross direct holdings of AT1 capital of financial sector entities where the institution does not have a significant investment
330
13.1.2
(-) Permitted offsetting short positions in relation to the direct gross holdings included above
340
13.2
Indirect holdings of AT1 capital of financial sector entities where the institution does not have a significant investment
350
13.2.1
Gross indirect holdings of AT1 capital of financial sector entities where the institution does not have a significant investment
360
13.2.2
(-) Permitted offsetting short positions in relation to the indirect gross holdings included above
361
13.3
Synthetic holdings of AT1 capital of financial sector entities where the institution does not have a significant investment
362
13.3.1
Gross synthetic holdings of AT1 capital of financial sector entities where the institution does not have a significant investment
363
13.3.2
(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above
370
14
Holdings of T2 capital of financial sector entities where the institution does not have a significant investment, net of short positions
380
14.1
Direct holdings of T2 capital of financial sector entities where the institution does not have a significant investment
390
14.1.1
Gross direct holdings of T2 capital of financial sector entities where the institution does not have a significant investment
400
14.1.2
(-) Permitted offsetting short positions in relation to the direct gross holdings included above
410
14.2
Indirect holdings of T2 capital of financial sector entities where the institution does not have a significant investment
420
14.2.1
Gross indirect holdings of T2 capital of financial sector entities where the institution does not have a significant investment
430
14.2.2
(-) Permitted offsetting short positions in relation to the indirect gross holdings included above
431
14.3
Synthetic holdings of T2 capital of financial sector entities where the institution does not have a significant investment
432
14.3.1
Gross synthetic holdings of T2 capital of financial sector entities where the institution does not have a significant investment
433
14.3.2
(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above
Investments in the capital of financial sector entities where the institution has a significant investment
440
15
Holdings of CET1 capital of financial sector entities where the institution has a significant investment, net of short positions
450
15.1
Direct holdings of CET1 capital of financial sector entities where the institution has a significant investment
460
15.1.1
Gross direct holdings of CET1 capital of financial sector entities where the institution has a significant investment
470
15.1.2
(-) Permitted offsetting short positions in relation to the direct gross holdings included above
480
15.2
Indirect holdings of CET1 capital of financial sector entities where the institution has a significant investment
490
15.2.1
Gross indirect holdings of CET1 capital of financial sector entities where the institution has a significant investment
500
15.2.2
(-) Permitted offsetting short positions in relation to the indirect gross holdings included above
501
15.3
Synthetic holdings of CET1 capital of financial sector entities where the institution has a significant investment
502
15.3.1
Gross synthetic holdings of CET1 capital of financial sector entities where the institution has a significant investment
503
15.3.2
(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above
510
16
Holdings of AT1 capital of financial sector entities where the institution has a significant investment, net of short positions
520
16.1
Direct holdings of AT1 capital of financial sector entities where the institution has a significant investment
530
16.1.1
Gross direct holdings of AT1 capital of financial sector entities where the institution has a significant investment
540
16.1.2
(-) Permitted offsetting short positions in relation to the direct gross holdings included above
550
16.2
Indirect holdings of AT1 capital of financial sector entities where the institution has a significant investment
560
16.2.1
Gross indirect holdings of AT1 capital of financial sector entities where the institution has a significant investment
570
16.2.2
(-) Permitted offsetting short positions in relation to the indirect gross holdings included above
571
16.3
Synthetic holdings of AT1 capital of financial sector entities where the institution has a significant investment
572
16.3.1
Gross synthetic holdings of AT1 capital of financial sector entities where the institution has a significant investment
573
16.3.2
(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above
580
17
Holdings of T2 capital of financial sector entities where the institution has a significant investment, net of short positions
590
17.1
Direct holdings of T2 capital of financial sector entities where the institution has a significant investment
600
17.1.1
Gross direct holdings of T2 capital of financial sector entities where the institution has a significant investment
610
17.1.2
(-) Permitted offsetting short positions in relation to the direct gross holdings included above
620
17.2
Indirect holdings of T2 capital of financial sector entities where the institution has a significant investment
630
17.2.1
Gross indirect holdings of T2 capital of financial sector entities where the institution has a significant investment
640
17.2.2
(-) Permitted offsetting short positions in relation to the indirect gross holdings included above
641
17.3
Synthetic holdings of T2 capital of financial sector entities where the institution has a significant investment
642
17.3.1
Gross synthetic holdings of T2 capital of financial sector entities where the institution has a significant investment
643
17.3.2
(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above
Total risk exposure amounts of holdings not deducted from the corresponding capital category:
650
18
Risk weighted exposures of CET1 holdings in financial sector entities which are not deducted from the institution's CET1 capital
660
19
Risk weighted exposures of AT1 holdings in financial sector entities which are not deducted from the institution's AT1 capital
670
20
Risk weighted exposures of T2 holdings in financial sector entities which are not deducted from the institution's T2 capital
Temporary waiver from deduction from own funds
680
21
Holdings on CET1 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived
690
22
Holdings on CET1 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived
700
23
Holdings on AT1 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived
710
24
Holdings on AT1 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived
720
25
Holdings on T2 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived
730
26
Holdings on T2 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived
Capital buffers
740
27
Combined buffer requirement
750
Capital conservation buffer
760
Conservation buffer due to macro-prudential or systemic risk identified at the level of a Member State
770
Institution specific countercyclical capital buffer
780
Systemic risk buffer
790
Systemical important institution buffer
800
Global Systemically Important Institution buffer
810
Other Systemically Important Institution buffer
Pillar II requirements
820
28
Own funds requirements related to Pillar II adjustments
Additional information for investment firms
830
29
Initial capital
840
30
Own funds based on Fixed Overheads
Additional information for calculation of reporting thresholds
850
31
Non-domestic original exposures
860
32
Total original exposures
Basel I floor
870
Adjustments to total own funds
880
Own funds fully adjusted for Basel I floor
890
Own funds requirements for Basel I floor
900
Own funds requirements for Basel I floor — SA alternative
C 06.02 — GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS)
ENTITIES WITHIN SCOPE OF CONSOLIDATION
INFORMATION ON ENTITIES SUBJECT TO OWN FUNDS REQUIREMENTS
NAME
CODE
LEI code
INSTITUTION OR EQUIVALENT (YES/NO)
SCOPE OF DATA: SOLO FULLY CONSOLIDATED (SF) OR SOLO PARTIALLY CONSOLIDATED (SP)
COUNTRY CODE
SHARE OF HOLDING (%)
TOTAL RISK EXPOSURE AMOUNT
CREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/DELIVERY RISK
POSITION, FX AND COMMODITIES RISKS
OPERATIONAL RISK
OTHER RISK EXPOSURE AMOUNTS
010
020
025
030
040
050
060
070
080
090
100
110
INFORMATION ON ENTITIES SUBJECT TO OWN FUNDS REQUIREMENTS
OWN FUNDS
TOTAL TIER 1 CAPITAL
TIER 2 CAPITAL
COMMON EQUITY TIER 1 CAPITAL
ADDITIONAL TIER 1 CAPITAL
OF WHICH: QUALIFYING OWN FUNDS
RELATED OWN FUNDS INSTRUMENTS, RELATED RETAINED EARNINGS AND SHARE PREMIUM ACCOUNTS
OF WHICH: QUALIFYING TIER 1 CAPITAL
RELATED T1 INSTRUMENTS, RELATED RETAINED EARNINGS AND SHARE PREMIUM ACCOUNTS
OF WHICH: MINORITY INTERESTS
RELATED OWN FUNDS INSTRUMENTS, RELATED RETAINED EARNINGS, SHARE PREMIUM ACCOUNTS AND OTHER RESERVES
OF WHICH: QUALIFYING ADDITIONAL TIER 1 CAPITAL
OF WHICH: QUALIFYING TIER 2 CAPITAL
120
130
140
150
160
170
180
190
200
210
220
230
240
INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP
TOTAL RISK EXPOSURE AMOUNT
QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS
CONSOLIDATED OWN FUNDS
CREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/DELIVERY RISK
POSITION, FX AND COMMODITIES RISKS
OPERATIONAL RISK
OTHER RISK EXPOSURE AMOUNTS
QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 1 CAPITAL
QUALIFYING OWN FUNDS INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 2 CAPITAL
MEMORANDUM ITEM: GOODWILL (-) /(+) NEGATIVE GOODWILL
OF WHICH: COMMON EQUITY TIER 1
MINORITY INTERESTS INCLUDED IN CONSOLIDATED COMMON EQUITY TIER 1 CAPITAL
QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED ADDITIONAL TIER 1 CAPITAL
250
260
270
280
290
300
310
320
330
340
350
360
370
INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP
CAPITAL BUFFERS
COMBINED BUFFER REQUIRE-MENTS
OF WHICH: ADDITIONAL TIER 1
OF WHICH: CONRIBUTIONS TO CONSOLIDATED RESULT
OF WHICH: (-) GOODWILL/(+) NEGATIVE GOODWILL
CAPITAL CONSERVATION BUFFER
INSTITUTION SPECIFIC COUNTER-CYCLICAL CAPITAL BUFFER
CONSERVATION BUFFER DUE TO MACRO-PRUDENTIAL OR SYSTEMIC RISK IDENTIFIED AT THE LEVEL OF A MEMBER STATE
SYSTEMIC RISK BUFFER
SYSTEMICAL IMPORTANT INSTITUTION BUFFER
GLOBAL SYSTEMICALLY IMPORTANT INSTITUTION BUFFER
OTHER SYSTEMICALLY IMPORTANT INSTITUTION BUFFER
380
390
400
410
420
430
440
450
460
470
480
C 07.00 — CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: STANDARDISED APPROACH TO CAPITAL REQUIREMENTS (CR SA)
SA Exposure class
ORIGINAL EXPOSURE PRE CONVERSION FACTORS
(-) VALUE ADJUSTMENTS AND PROVISIONS ASSOCIATED WITH THE ORIGINAL EXPOSURE
EXPOSURE NET OF VALUE ADJUSTMENTS AND PROVISIONS
CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE
UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (Ga)
(-) GUARANTEES
(-) CREDIT DERIVATIVES
010
030
040
050
060
010
TOTAL EXPOSURES
020
of which: SME
030
of which: Exposures subject to SME-supporting factor
040
of which: Secured by mortgages on immovable property — Residential property
050
of which: Exposures under the permanent partial use of the standardised approach
060
of which: Exposures under the standardised approach with prior supervisory permission to carry out a sequential IRB implementation
BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:
070
On balance sheet exposures subject to credit risk
080
Off balance sheet exposures subject to credit risk
Exposures/Transactions subject to counterparty credit risk
090
Securities Financing Transactions
100
of which: centrally cleared through a QCCP
110
Derivatives & Long Settlement Transactions
120
of which: centrally cleared through a QCCP
130
From Contractual Cross Product Netting
BREAKDOWN OF TOTAL EXPOSURES BY RISK WEIGHTS:
140
0 %
150
2 %
160
4 %
170
10 %
180
20 %
190
35 %
200
50 %
210
70 %
220
75 %
230
100 %
240
150 %
250
250 %
260
370 %
270
1 250 %
280
Other risk weights
MEMORANDUM ITEMS
290
Exposures secured by mortgages on commercial immovable property
300
Exposures in default subject to a risk weight of 100 %
310
Exposures secured by mortgages on residential property
320
Exposures in default subject to a risk weight of 150 %
CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE
NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS
FUNDED CREDIT PROTECTION
SUBSTITUTION OF THE EXPOSURE DUE TO CRM
(-) FINANCIAL COLLATERAL: SIMPLE METHOD
(-) OTHER FUNDED CREDIT PROTECTION
(-) TOTAL OUTFLOWS
TOTAL INFLOWS (+)
070
080
090
100
110
010
TOTAL EXPOSURES
020
of which: SME
030
of which: Exposures subject to SME-supporting factor
040
of which: Secured by mortgages on immovable property — Residential property
050
of which: Exposures under the permanent partial use of the standardised approach
060
of which: Exposures under the standardised approach with prior supervisory permission to carry out a sequential IRB implementation
BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:
070
On balance sheet exposures subject to credit risk
080
Off balance sheet exposures subject to credit risk
Exposures/Transactions subject to counterparty credit risk
090
Securities Financing Transactions
100
of which: centrally cleared through a QCCP
110
Derivatives & Long Settlement Transactions
120
of which: centrally cleared through a QCCP
130
From Contractual Cross Product Netting
BREAKDOWN OF TOTAL EXPOSURES BY RISK WEIGHTS:
140
0 %
150
2 %
160
4 %
170
10 %
180
20 %
190
35 %
200
50 %
210
70 %
220
75 %
230
100 %
240
150 %
250
250 %
260
370 %
270
1 250 %
280
Other risk weights
MEMORANDUM ITEMS
290
Exposures secured by mortgages on commercial immovable property
300
Exposures in default subject to a risk weight of 100 %
310
Exposures secured by mortgages on residential property
320
Exposures in default subject to a risk weight of 150 %
CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE EXPOSURE AMOUNT: FUNDED CREDIT PROTECTION. FINANCIAL COLLATERAL COMPREHENSIVE METHOD
FULLY ADJUSTED EXPOSURE VALUE (E*)
BREAKDOWN OF THE FULLY ADJUSTED EXPOSURE VALUE OF OFF-BALANCE SHEET ITEMS BY CONVERSION FACTORS
VOLATILITY ADJUSTMENT TO THE EXPOSURE
(-) FINANCIAL COLLATERAL: ADJUSTED VALUE (Cvam)
0 %
20 %
50 %
100 %
(-) OF WHICH: VOLATILITY AND MATURITY ADJUSTMENTS
120
130
140
150
160
170
180
190
010
TOTAL EXPOSURES
020
of which: SME
030
of which: Exposures subject to SME-supporting factor
040
of which: Secured by mortgages on immovable property — Residential property
050
of which: Exposures under the permanent partial use of the standardised approach
060
of which: Exposures under the standardised approach with prior supervisory permission to carry out a sequential IRB implementation
BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:
070
On balance sheet exposures subject to credit risk
080
Off balance sheet exposures subject to credit risk
Exposures/Transactions subject to counterparty credit risk
090
Securities Financing Transactions
100
of which: centrally cleared through a QCCP
110
Derivatives & Long Settlement Transactions
120
of which: centrally cleared through a QCCP
130
From Contractual Cross Product Netting
BREAKDOWN OF TOTAL EXPOSURES BY RISK WEIGHTS:
140
0 %
150
2 %
160
4 %
170
10 %
180
20 %
190
35 %
200
50 %
210
70 %
220
75 %
230
100 %
240
150 %
250
250 %
260
370 %
270
1 250 %
280
Other risk weights
MEMORANDUM ITEMS
290
Exposures secured by mortgages on commercial immovable property
300
Exposures in default subject to a risk weight of 100 %
310
Exposures secured by mortgages on residential property
320
Exposures in default subject to a risk weight of 150 %
EXPOSURE VALUE
RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR
RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR
OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK
OF WHICH: WITH A CREDIT ASSESSMENT BY A NOMINATED ECAI
OF WHICH: WITH A CREDIT ASSESSMENT DERIVED FROM CENTRAL GOVERNMENT
200
210
215
220
230
240
010
TOTAL EXPOSURES
Cell linked to CA
020
of which: SME
030
of which: Exposures subject to SME-supporting factor
040
of which: Secured by mortgages on immovable property — Residential property
050
of which: Exposures under the permanent partial use of the standardised approach
060
of which: Exposures under the standardised approach with prior supervisory permission to carry out a sequential IRB implementation
BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:
070
On balance sheet exposures subject to credit risk
080
Off balance sheet exposures subject to credit risk
Exposures/Transactions subject to counterparty credit risk
090
Securities Financing Transactions
100
of which: centrally cleared through a QCCP
110
Derivatives & Long Settlement Transactions
120
of which: centrally cleared through a QCCP
130
From Contractual Cross Product Netting
BREAKDOWN OF TOTAL EXPOSURES BY RISK WEIGHTS:
140
0 %
150
2 %
160
4 %
170
10 %
180
20 %
190
35 %
200
50 %
210
70 %
220
75 %
230
100 %
240
150 %
250
250 %
260
370 %
270
1 250 %
280
Other risk weights
MEMORANDUM ITEMS
290
Exposures secured by mortgages on commercial immovable property
300
Exposures in default subject to a risk weight of 100 %
310
Exposures secured by mortgages on residential property
320
Exposures in default subject to a risk weight of 150 %
C 08.01 — CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS (CR IRB 1)
IRB Exposure class:
Own estimates of LGD and/or conversion factors:
INTERNAL RATING SYSTEM
ORIGINAL EXPOSURE PRE CONVERSION FACTORS
CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE
EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS
UNFUNDED CREDIT PROTECTION
(-) OTHER FUNDED CREDIT PROTECTION
SUBSTITUTION OF THE EXPOSURE DUE TO CRM
PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%)
OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES
(-) GUARANTEES
(-) CREDIT DERIVATIVES
(-) TOTAL OUTFLOWS
TOTAL INFLOWS (+)
OF WHICH: OFF BALANCE SHEET ITEMS
010
020
030
040
050
060
070
080
090
100
010
TOTAL EXPOSURES
015
of which: Exposures subject to SME-supporting factor
BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:
020
On balance sheet items subject to credit risk
030
Off balance sheet items subject to credit risk
Exposures/Transactions subject to counterparty credit risk
040
Securities Financing Transactions
050
Derivatives & Long Settlement Transactions
060
From Contractual Cross Product Netting
070
EXPOSURES ASSIGNED TO OBLIGOR GRADES OR POOLS: TOTAL
080
SPECIALIZED LENDING SLOTTING CRITERIA: TOTAL
BREAKDOWN BY RISK WEIGHTS OF TOTAL EXPOSURES UNDER SPECIALIZED LENDING SLOTTING CRITERIA:
090
RISK WEIGHT: 0 %
100
50 %
110
70 %
120
Of which: in category 1
130
90 %
140
115 %
150
250 %
160
ALTERNATIVE TREATMENT: SECURED BY REAL ESTATE
170
EXPOSURES FROM FREE DELIVERIES APPLYING RISK WEIGHTS UNDER THE ALTERNATIVE TREATMENT OR 100 % AND OTHER EXPOSURES SUBJECT TO RISK WEIGHTS
180
DILUTION RISK: TOTAL PURCHASED RECEIVABLES
EXPOSURE VALUE
CREDIT RISK MITIGATION TECHNIQUES TAKEN INTO ACCOUNT IN LGD ESTIMATES EXCLUDING DOUBLE DEFAULT TREATMENT
OWN ESTIMATES OF LGD'S ARE USED: UNFUNDED CREDIT PROTECTION
FUNDED CREDIT PROTECTION
OF WHICH: OFF BALANCE SHEET ITEMS
OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK
OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES
GUARANTEES
CREDIT DERIVATIVES
OWN ESTIMATES OF LGD'S ARE USED: OTHER FUNDED CREDIT PROTECTION
ELIGIBLE FINANCIAL COLLATERAL
OTHER ELIGIBLE COLLATERAL
REAL ESTATE
OTHER PHYSICAL COLLATERAL
RECEIVABLES
110
120
130
140
150
160
170
180
190
200
210
010
TOTAL EXPOSURES
015
of which: Exposures subject to SME-supporting factor
BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:
020
On balance sheet items subject to credit risk
030
Off balance sheet items subject to credit risk
Exposures/Transactions subject to counterparty credit risk
040
Securities Financing Transactions
050
Derivatives & Long Settlement Transactions
060
From Contractual Cross Product Netting
070
EXPOSURES ASSIGNED TO OBLIGOR GRADES OR POOLS: TOTAL
080
SPECIALIZED LENDING SLOTTING CRITERIA: TOTAL
BREAKDOWN BY RISK WEIGHTS OF TOTAL EXPOSURES UNDER SPECIALIZED LENDING SLOTTING CRITERIA:
090
RISK WEIGHT: 0 %
100
50 %
110
70 %
120
Of which: in category 1
130
90 %
140
115 %
150
250 %
160
ALTERNATIVE TREATMENT: SECURED BY REAL ESTATE
170
EXPOSURES FROM FREE DELIVERIES APPLYING RISK WEIGHTS UNDER THE ALTERNATIVE TREATMENT OR 100 % AND OTHER EXPOSURES SUBJECT TO RISK WEIGHTS
180
DILUTION RISK: TOTAL PURCHASED RECEIVABLES
SUBJECT TO DOUBLE DEFAULT TREATMENT
EXPOSURE WEIGHTED AVERAGE LGD (%)
EXPOSURE WEIGHTED AVERAGE LGD (%) FOR LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES
EXPOSURE-WEIGHTED AVERAGE MATURITY VALUE (DAYS)
RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR
RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR
MEMORANDUM ITEMS:
UNFUNDED CREDIT PROTECTION
EXPECTED LOSS AMOUNT
(-) VALUE ADJUSTMENTS AND PROVISIONS
NUMBER OF OBLIGORS
OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES
220
230
240
250
255
260
270
280
290
300
010
TOTAL EXPOSURES
Cell linked to CA
015
of which: Exposures subject to SME-supporting factor
BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:
020
On balance sheet items subject to credit risk
030
Off balance sheet items subject to credit risk
Exposures/Transactions subject to counterparty credit risk
040
Securities Financing Transactions
050
Derivatives & Long Settlement Transactions
060
From Contractual Cross Product Netting
070
EXPOSURES ASSIGNED TO OBLIGOR GRADES OR POOLS: TOTAL
080
SPECIALIZED LENDING SLOTTING CRITERIA: TOTAL
BREAKDOWN BY RISK WEIGHTS OF TOTAL EXPOSURES UNDER SPECIALIZED LENDING SLOTTING CRITERIA:
090
RISK WEIGHT: 0 %
100
50 %
110
70 %
120
Of which: in category 1
130
90 %
140
115 %
150
250 %
160
ALTERNATIVE TREATMENT: SECURED BY REAL ESTATE
170
EXPOSURES FROM FREE DELIVERIES APPLYING RISK WEIGHTS UNDER THE ALTERNATIVE TREATMENT OR 100 % AND OTHER EXPOSURES SUBJECT TO RISK WEIGHTS
180
DILUTION RISK: TOTAL PURCHASED RECEIVABLES
C 09.01 — GEOGRAPHICAL BREAKDOWN OF EXPOSURES BY RESIDENCE OF THE OBLIGOR: SA EXPOSURES (CR GB 1)
Country:
ORIGINAL EXPOSURE PRE CONVERSION FACTORS
Exposures in default
Observed new defaults for the period
General credit risk adjustments
Specific credit risk adjustments
Of which: write off
Credit risk adjustments/write-offs for observed new defaults
EXPOSURE VALUE
RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR
RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR
010
020
040
050
055
060
070
075
080
090
010
Central governments or central banks
020
Regional governments or local authorities
030
Public sector entities
040
Multilateral Development Banks
050
International Organisations
060
Institutions
070
Corporates
075
of which: SME
080
Retail
085
of which: SME
090
Secured by mortgages on immovable property
095
of which: SME
100
Exposures in default
110
Items associated with particularly high risk
120
Covered bonds
130
Claims on institutions and corporates with a short-term credit assessment
140
Collective investments undertakings (CIU)
150
Equity exposures
160
Other exposures
Total exposures
C 09.02 — GEOGRAPHICAL BREAKDOWN OF EXPOSURES BY RESIDENCE OF THE OBLIGOR: IRB EXPOSURES (CR GB 2)
Country:
ORIGINAL EXPOSURE PRE CONVERSION FACTORS
Of which: defaulted
Observed new defaults for the period
General credit risk adjustments
Specific credit risk adjustments
Of which: write off
Credit risk adjustments/write-offs for observed new defaults
PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%)
010
030
040
050
055
060
070
080
010
Central governments or central banks
020
Institutions
030
Corporates
040
Of Which: Specialised Lending
050
Of Which: SME
060
Retail
070
Secured by real estate property
080
SME
090
Non-SME
100
Qualifying Revolving
110
Other Retail
120
SME
130
Non-SME
140
Equity
Total exposures
EXPOSURE WEIGHTED AVERAGE LGD (%)
Of which: defaulted
EXPOSURE VALUE
RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR
Of which: defaulted
RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR
EXPECTED LOSS AMOUNT
090
100
105
110
120
125
130
010
Central governments or central banks
020
Institutions
030
Corporates
040
Of Which: Specialised Lending
050
Of Which: SME
060
Retail
070
Secured by real estate property
080
SME
090
Non-SME
100
Qualifying Revolving
110
Other Retail
120
SME
130
Non-SME
140
Equity
Total exposures
C 09.03 — GEOGRAPHICAL BREAKDOWN OF RELEVANT CREDIT EXPOSURES FOR THE PURPOSE OF CALCULATION OF THE INSTITUTION-SPECIFIC COUNTERCYCLICAL BUFFER (CR GB 3)
Country:
Amount
010
010
Own fund requirements
C 17.00 — OPERATIONAL RISK: LOSSES AND RECOVERIES BY BUSINESS LINES AND EVENT TYPES IN THE LAST YEAR (OPR Details)
MAPPING OF LOSSES TO BUSINESS LINES
EVENT TYPES
TOTAL EVENT TYPES
MEMORANDUM ITEM: THRESHOLD APPLIED IN DATA COLLECTION
INTERNAL FRAUD
EXTERNAL FRAUD
EMPLOYMENT PRACTICES AND WORKPLACE SAFETY
CLIENTS, PRODUCTS & BUSINESS PRACTICES
DAMAGE TO PHYSICAL ASSETS
BUSINESS DISRUPTION AND SYSTEM FAILURES
EXECUTION, DELIVERY & PROCESS MANAGEMENT
LOWEST
HIGHEST
Rows
010
020
030
040
050
060
070
080
090
100
010
CORPORATE FINANCE [CF]
Number of events
020
Total loss amount
030
Maximum single loss
040
Sum of the five largest losses
050
Total loss recovery
110
TRADING AND SALES [TS]
Number of events
120
Total loss amount
130
Maximum single loss
140
Sum of the five largest losses
150
Total loss recovery
210
RETAIL BROKERAGE [RBr]
Number of events
220
Total loss amount
230
Maximum single loss
240
Sum of the five largest losses
250
Total loss recovery
310
COMMERCIAL BANKING [CB]
Number of events
320
Total loss amount
330
Maximum single loss
340
Sum of the five largest losses
350
Total loss recovery
410
RETAIL BANKING [RB]
Number of events
420
Total loss amount
430
Maximum single loss
440
Sum of the five largest losses
450
Total loss recovery
510
PAYMENT AND SETTLEMENT [PS]
Number of events
520
Total loss amount
530
Maximum single loss
540
Sum of the five largest losses
550
Total loss recovery
610
AGENCY SERVICES [AS]
Number of events
620
Total loss amount
630
Maximum single loss
640
Sum of the five largest losses
650
Total loss recovery
710
ASSET MANAGEMENT [AM]
Number of events
720
Total loss amount
730
Maximum single loss
740
Sum of the five largest losses
750
Total loss recovery
810
CORPORATE ITEMS [CI]
Number of events
820
Total loss amount
830
Maximum single loss
840
Sum of the five largest losses
850
Total loss recovery
910
TOTAL BUSINESS LINES
Number of events. Of which:
911
≥ 10 000 and < 20 000
912
≥ 20 000 and < 100 000
913
≥ 100 000 and < 1 000 000
914
≥ 1 000 000
920
Total loss amount. Of which:
921
≥ 10 000 and < 20 000
922
≥ 20 000 and < 100 000
923
≥ 100 000 and < 1 000 000
924
≥ 1 000 000
930
Maximum single loss
940
Sum of the five largest losses
950
Total loss recovery
C 21.00 — MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES (MKR SA EQU)
National market:
POSITIONS
OWN FUNDS REQUIREMENTS
TOTAL RISK EXPOSURE AMOUNT
ALL POSITIONS
NET POSITIONS
POSITIONS SUBJECT TO CAPITAL CHARGE
LONG
SHORT
LONG
SHORT
010
020
030
040
050
060
070
010
EQUITIES IN TRADING BOOK
Cell linked to CA
020
General risk
021
Derivatives
022
Other assets and liabilities
030
Exchange traded stock-index futures broadly diversified subject to particular approach
040
Other equities than exchange traded stock-index futures broadly diversified
050
Specific risk
080
Particular approach for position risk in CIUs
090
Additional requirements for options (non-delta risks)
100
Simplified method
110
Delta plus approach — additional requirements for gamma risk
120
Delta plus approach — additional requirements for vega risk
130
Scenario matrix approach
C 22.00 — MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK (MKR SA FX)
ALL POSITIONS
NET POSITIONS
POSITIONS SUBJECT TO CAPITAL CHARGE (Including redistribution of unmatched positions in currencies subject to special treatment for matched positions)
OWN FUNDS REQUIREMENTS
TOTAL RISK EXPOSURE AMOUNT
LONG
SHORT
LONG
SHORT
LONG
SHORT
MATCHED
020
030
040
050
060
070
080
090
100
010
TOTAL POSITIONS IN NON-REPORTING CURRENCIES
Cell linked to CA
020
Currencies closely correlated
030
All other currencies (including CIUs treated as different currencies)
040
Gold
050
Additional requirements for options (non-delta risks)
060
Simplified method
070
Delta plus approach — additional requirements for gamma risk
080
Delta plus approach — additional requirements for vega risk
090
Scenario matrix approach
BREAKDOWN OF TOTAL POSITIONS (REPORTING CURRENCY INCLUDED) BY EXPOSURE TYPES
100
Other assets and liabilities other than off-balance sheet items and derivatives
110
Off-balance sheet items
120
Derivatives
Memorandum items: CURRENCY POSITIONS
130
Euro
140
Lek
150
Argentine Peso
160
Australian Dollar
170
Brazilian Real
180
Bulgarian Lev
190
Canadian Dollar
200
Czech Koruna
210
Danish Krone
220
Egyptian Pound
230
Pound Sterling
240
Forint
250
Yen
270
Lithuanian Litas
280
Denar
290
Mexican Peso
300
Zloty
310
Rumanian Leu
320
Russian Ruble
330
Serbian Dinar
340
Swedish Krona
350
Swiss Franc
360
Turkish Lira
370
Hryvnia
380
US Dollar
390
Iceland Krona
400
Norwegian Krone
410
Hong Kong Dollar
420
New Taiwan Dollar
430
New Zealand Dollar
440
Singapore Dollar
450
Won
460
Yuan Renminbi
470
Other
480
Croatian Kuna

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Source: https://www.legislation.gov.uk/eur/2015/1278/annex/I (the official version)
Page: https://openlegislation.uk/eu-regulation-2015-1278/annex-I
Contains public sector information licensed under the Open Government Licence v3.0. Source: legislation.gov.uk, The National Archives.