Annex I REPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS

United Kingdom

COREP TEMPLATES
Template number	Template code	Name of the template /group of templates	Short name
		CAPITAL ADEQUACY	CA
1	C 01.00	OWN FUNDS	CA1
2	C 02.00	OWN FUNDS REQUIREMENTS	CA2
3	C 03.00	CAPITAL RATIOS	CA3
4	C 04.00	MEMORANDUM ITEMS:	CA4
		TRANSITIONAL PROVISIONS	CA5
5.1	C 05.01	TRANSITIONAL PROVISIONS	CA5.1
5.2	C 05.02	GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUING STATE AID	CA5.2
		GROUP SOLVENCY	GS
6.1	C 06.01	GROUP SOLVENCY: INFORMATION ON AFFILIATES - TOTAL	GS Total
6.2	C 06.02	GROUP SOLVENCY: INFORMATION ON AFFILIATES	GS
		CREDIT RISK	CR
7	C 07.00	CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: STANDARDISED APPROACH TO CAPITAL REQUIREMENTS	CR SA
		CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS	CR IRB
8.1	C 08.01	CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS	CR IRB 1
8.2	C 08.02	CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS (Breakdown by obligor grades or pools)	CR IRB 2
		GEOGRAPHICAL BREAKDOWN	CR GB
9.1	C 09.01	Table 9.1 - Geographical breakdown of exposures by residence of the obligor (SA exposures)	CR GB 1
9.2	C 09.02	Table 9.2 - Geographical breakdown of exposures by residence of the obligor (IRB exposures)	CR GB 2
9.4	C 09.04	Table 9.4 - Breakdown of credit exposures relevant for the calculation of the countercyclical buffer by country and institution-specific countercyclical buffer rate	CCB
		CREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS	CR EQU IRB
10.1	C 10.01	CREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS	CR EQU IRB 1
10.2	C 10.02	CREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS. BREAKDOWN OF TOTAL EXPOSURES UNDER THE PD/LGD APRROACH BY OBLIGOR GRADES:	CR EQU IRB 2
11	C 11.00	SETTLEMENT/DELIVERY RISK	CR SETT
12	C 12.00	CREDIT RISK: SECURITISATIONS - STANDARDISED APPROACH TO OWN FUNDS REQUIREMENTS	CR SEC SA
13	C 13.00	CREDIT RISK: SECURITISATIONS - IRB APPROACH TO OWN FUNDS REQUIREMENTS	CR SEC IRB
14	C 14.00	DETAILED INFORMATION ON SECURITISATIONS	CR SEC Details
		OPERATIONAL RISK	OPR
16	C 16.00	OPERATIONAL RISK	OPR
17	C 17.00	OPERATIONAL RISK: GROSS LOSSES BY BUSINESS LINES AND EVENT TYPES IN THE LAST YEAR	OPR Details
		MARKET RISK	MKR
18	C 18.00	MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS	MKR SA TDI
19	C 19.00	MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS	MKR SA SEC
20	C 20.00	MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN THE CORRELATION TRADING PORTFOLIO	MKR SA CTP
21	C 21.00	MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES	MKR SA EQU
22	C 22.00	MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK	MKR SA FX
23	C 23.00	MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES	MKR SA COM
24	C 24.00	MARKET RISK INTERNAL MODELS	MKR IM
25	C 25.00	CREDIT VALUE ADJUSTMENT RISK	CVA

C 02.00 – OWN FUNDS REQUIREMENTS (CA2)

Rows	Item	Label
010	1	TOTAL RISK EXPOSURE AMOUNT
020	1*	Of which: Investment firms under Article 95 paragraph 2 and Article 98 of CRR
030	1**	Of which: Investment firms under Article 96 paragraph 2 and Article 97 of CRR
040	1.1	RISK WEIGHTED EXPOSURE AMOUNTS FOR CREDIT, COUNTERPARTY CREDIT AND DILUTION RISKS AND FREE DELIVERIES
050	1.1.1	Standardised approach (SA)
060	1.1.1.1	SA exposure classes excluding securitisation positions
070	1.1.1.1.01	Central governments or central banks
080	1.1.1.1.02	Regional governments or local authorities
090	1.1.1.1.03	Public sector entities
100	1.1.1.1.04	Multilateral Development Banks
110	1.1.1.1.05	International Organisations
120	1.1.1.1.06	Institutions
130	1.1.1.1.07	Corporates
140	1.1.1.1.08	Retail
150	1.1.1.1.09	Secured by mortgages on immovable property
160	1.1.1.1.10	Exposures in default
170	1.1.1.1.11	Items associated with particular high risk
180	1.1.1.1.12	Covered bonds
190	1.1.1.1.13	Claims on institutions and corporates with a short-term credit assessment
200	1.1.1.1.14	Collective investments undertakings (CIU)
210	1.1.1.1.15	Equity
211	1.1.1.1.16	Other items
220	1.1.1.2	Securitisation positions SA
230	1.1.1.2*	of which: resecuritisation
240	1.1.2	Internal ratings based Approach (IRB)
250	1.1.2.1	IRB approaches when neither own estimates of LGD nor Conversion Factors are used
260	1.1.2.1.01	Central governments and central banks
270	1.1.2.1.02	Institutions
280	1.1.2.1.03	Corporates - SME
290	1.1.2.1.04	Corporates - Specialised Lending
300	1.1.2.1.05	Corporates - Other
310	1.1.2.2	IRB approaches when own estimates of LGD and/or Conversion Factors are used
320	1.1.2.2.01	Central governments and central banks
330	1.1.2.2.02	Institutions
340	1.1.2.2.03	Corporates - SME
350	1.1.2.2.04	Corporates - Specialised Lending
360	1.1.2.2.05	Corporates - Other
370	1.1.2.2.06	Retail - Secured by real estate SME
380	1.1.2.2.07	Retail - Secured by real estate non-SME
390	1.1.2.2.08	Retail - Qualifying revolving
400	1.1.2.2.09	Retail - Other SME
410	1.1.2.2.10	Retail - Other non-SME
420	1.1.2.3	Equity IRB
430	1.1.2.4	Securitisation positions IRB
440	1.1.2.4*	Of which: resecuritisation
450	1.1.2.5	Other non credit-obligation assets
460	1.1.3	Risk exposure amount for contributions to the default fund of a CCP
490	1.2	TOTAL RISK EXPOSURE AMOUNT FOR SETTLEMENT/DELIVERY
500	1.2.1	Settlement/delivery risk in the non-Trading book
510	1.2.2	Settlement/delivery risk in the Trading book
520	1.3	TOTAL RISK EXPOSURE AMOUNT FOR POSITION, FOREIGN EXCHANGE AND COMMODITIES RISKS
530	1.3.1	Risk exposure amount for position, foreign exchange and commodities risks under standardised approaches (SA)
540	1.3.1.1	Traded debt instruments
550	1.3.1.2	Equity
555	1.3.1.3	Particular approach for position risk in CIUs
556	1.3.1.3*	Memo item: CIUs exclusively invested in traded debt instruments
557	1.3.1.3**	Memo item: CIUs invested exclusively in equity instruments or in mixed instruments
560	1.3.1.4	Foreign Exchange
570	1.3.1.5	Commodities
580	1.3.2	Risk exposure amount for Position, foreign exchange and commodities risks under internal models (IM)
590	1.4	TOTAL RISK EXPOSURE AMOUNT FOR OPERATIONAL RISK (OpR )
600	1.4.1	OpR Basic indicator approach (BIA)
610	1.4.2	OpR Standardised (STA) / Alternative Standardised (ASA) approaches
620	1.4.3	OpR Advanced measurement approaches (AMA)
630	1.5	ADDITIONAL RISK EXPOSURE AMOUNT DUE TO FIXED OVERHEADS
640	1.6	TOTAL RISK EXPOSURE AMOUNT FOR CREDIT VALUATION ADJUSTMENT
650	1.6.1	Advanced method
660	1.6.2	Standardised method
670	1.6.3	Based on OEM
680	1.7	TOTAL RISK EXPOSURE AMOUNT RELATED TO LARGE EXPOSURES IN THE TRADING BOOK
690	1.8	OTHER RISK EXPOSURE AMOUNTS
710	1.8.2	Of which: Additional stricter prudential requirements based on Art 458
720	1.8.2*	Of which: requirements for large exposures
730	1.8.2**	Of which: due to modified risk weights for targeting asset bubbles in the residential and commercial property
740	1.8.2***	Of which: due to intra financial sector exposures
750	1.8.3	Of which: Additional stricter prudential requirements based on Art 459
760	1.8.4	*Of which: Additional risk exposure amount due to Article 3 CRR*

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
910		Deficit of total capital as regards the minimum own funds requirements of the Basel I floor

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						NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS	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				EXPOSURE VALUE		RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR	RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR
					UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (Ga)		FUNDED CREDIT PROTECTION		SUBSTITUTION OF THE EXPOSURE DUE TO CRM			VOLATILITY ADJUSTMENT TO THE EXPOSURE	(-) FINANCIAL COLLATERAL: ADJUSTED VALUE (Cvam)			0%	20%	50%	100%		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
					(-) GUARANTEES	(-) CREDIT DERIVATIVES	(-) FINANCIAL COLLATERAL: SIMPLE METHOD	(-) OTHER FUNDED CREDIT PROTECTION	(-) TOTAL OUTFLOWS	TOTAL INFLOWS (+)		VOLATILITY ADJUSTMENT TO THE EXPOSURE		(-) OF WHICH: VOLATILITY AND MATURITY ADJUSTMENTS		0%	20%	50%	100%		OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK			OF WHICH: WITH A CREDIT ASSESSMENT BY A NOMINATED ECAI
		010	030	040	050	060	070	080	090	100	110	120	130	140	150	160	170	180	190	200	210	215	220	230	240
010	TOTAL EXPOSURES																						Cell linked to CA
015	of which: Defaulted 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	1250%
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 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
170	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(%)	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
		010	030	040	050	055	060	070	080	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
150	Total exposures

C 09.04 - BREAKDOWN OF CREDIT EXPOSURES RELEVANT FOR THE CALCULATION OF THE COUNTERCYCLICAL BUFFER BY COUNTRY AND INSTITUTION-SPECIFIC COUNTERCYCLICAL BUFFER RATE (CCB)

Country:

		Amount	Percentage	Qualitative information
		010	020	030
Relevant credit exposures - Credit Risk
010	Exposure value under the Standardised Approach
020	Exposure value under the IRB Approach
Relevant credit exposures – Market risk
030	Sum of long and short positions of trading book exposures for standardised approaches
040	Value of trading book exposures for internal models
Relevant credit exposures – Securitisation
050	Exposure value of securitisation positions in the banking book under the Standardised Approach
060	Exposure value of securitisation positions in the banking book under the IRB Approach
Own funds requirements and weights
070	Total own funds requirements for CCB
080	Own funds requirements for relevant credit exposures – Credit risk
090	Own funds requirements for relevant credit exposures – Market risk
100	Own funds requirements for relevant credit exposures – Securitisation positions in the banking book
110	Own funds requirements weights
Countercyclical capital buffer rates
120	Countercyclical capital buffer rate set by the Designated Authority
130	Countercyclical capital buffer rate applicable for the country of the institution
140	Institution-specific countercyclical capital buffer rate
Use of 2 % threshold
150	Use of 2 % threshold for general credit exposure
160	Use of 2 % threshold for trading book exposure

C 18.00 - MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS (MKR SA TDI)

Currency:

		POSITIONS					OWN FUNDS REQUIREMENTS	TOTAL RISK EXPOSURE AMOUNT
		ALL POSITIONS		NET POSITIONS		POSITIONS SUBJECT TO CAPITAL CHARGE
		LONG	SHORT	LONG	SHORT	POSITIONS SUBJECT TO CAPITAL CHARGE
		010	020	030	040	050	060	070
010	TRADED DEBT INSTRUMENTS IN TRADING BOOK							Cell linked to CA2
011	General risk
012	Derivatives
013	Other assets and liabilities
020	Maturity-based approach
030	Zone 1
040	0 ≤ 1 month
050	> 1 ≤ 3 months
060	> 3 ≤ 6 months
070	> 6 ≤ 12 months
080	Zone 2
090	> 1 ≤ 2 (1,9 for cupon of less than 3%) years
100	> 2 ≤ 3 (> 1,9 ≤ 2,8 for cupon of less than 3%) years
110	> 3 ≤ 4 (> 2,8 ≤ 3,6 for cupon of less than 3%) years
120	Zone 3
130	> 4 ≤ 5 (> 3,6 ≤ 4,3 for cupon of less than 3%) years
140	> 5 ≤ 7 (> 4,3 ≤ 5,7 for cupon of less than 3%) years
150	> 7 ≤ 10 (> 5,7 ≤ 7,3 for cupon of less than 3%) years
160	> 10 ≤ 15 (> 7,3 ≤ 9,3 for cupon of less than 3%) years
170	> 15 ≤ 20 (> 9,3 ≤ 10,6 for cupon of less than 3%) years
180	> 20 (> 10,6 ≤ 12,0 for cupon of less than 3%) years
190	(> 12,0 ≤ 20,0 for cupon of less than 3%) years
200	(> 20 for cupon of less than 3%) years
210	Duration-based approach
220	Zone 1
230	Zone 2
240	Zone 3
250	Specific risk
251	Own funds requirement for non-securitisation debt instruments
260	Debt securities under the first category in Table 1
270	Debt securities under the second category in Table 1
280	With residual term ≤ 6 months
290	With a residual term > 6 months and ≤ 24 months
300	With a residual term > 24 months
310	Debt securities under the third category in Table 1
320	Debt securities under the fourth category in Table 1
321	Rated nth-to default credit derivatives
325	Own funds requirement for securitisation instruments
330	Own funds requirement for the correlation trading portfolio
350	Additional requirements for options (non-delta risks)
360	Simplified method
370	Delta plus approach - additional requirements for gamma risk
380	Delta plus approach - additional requirements for vega risk
390	Scenario matrix approach

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	NET POSITIONS
		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
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