{
  "url": "https://openlegislation.uk/eu-regulation-2016-1702/annex-I",
  "json_url": "https://openlegislation.uk/eu-regulation-2016-1702/annex-I.json",
  "legislation": "eur/2016/1702",
  "legislation_title": "Commission Implementing Regulation (EU) 2016/1702 of 18 August 2016 amending Implementing Regulation (EU) No 680/2014 as regards templates and instructions (Text with EEA relevance)",
  "legislation_url": "https://openlegislation.uk/eu-regulation-2016-1702",
  "path": "annex/I",
  "kind": "annex",
  "number": "I",
  "heading": "REPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS",
  "text": "COREP TEMPLATES\nTemplate number\nTemplate code\nName of the template /group of templates\nShort name\nCAPITAL ADEQUACY\nCA\n1\nC 01.00\nOWN FUNDS\nCA1\n2\nC 02.00\nOWN FUNDS REQUIREMENTS\nCA2\n3\nC 03.00\nCAPITAL RATIOS\nCA3\n4\nC 04.00\nMEMORANDUM ITEMS:\nCA4\nTRANSITIONAL PROVISIONS\nCA5\n5.1\nC 05.01\nTRANSITIONAL PROVISIONS\nCA5.1\n5.2\nC 05.02\nGRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUING STATE AID\nCA5.2\nGROUP SOLVENCY\nGS\n6.1\nC 06.01\nGROUP SOLVENCY: INFORMATION ON AFFILIATES - TOTAL\nGS Total\n6.2\nC 06.02\nGROUP SOLVENCY: INFORMATION ON AFFILIATES\nGS\nCREDIT RISK\nCR\n7\nC 07.00\nCREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: STANDARDISED APPROACH TO CAPITAL REQUIREMENTS\nCR SA\nCREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS\nCR IRB\n8.1\nC 08.01\nCREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS\nCR IRB 1\n8.2\nC 08.02\nCREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS (Breakdown by obligor grades or pools)\nCR IRB 2\nGEOGRAPHICAL BREAKDOWN\nCR GB\n9.1\nC 09.01\nTable 9.1 - Geographical breakdown of exposures by residence of the obligor (SA exposures)\nCR GB 1\n9.2\nC 09.02\nTable 9.2 - Geographical breakdown of exposures by residence of the obligor (IRB exposures)\nCR GB 2\n9.4\nC 09.04\nTable 9.4 - Breakdown of credit exposures relevant for the calculation of the countercyclical buffer by country and institution-specific countercyclical buffer rate\nCCB\nCREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS\nCR EQU IRB\n10.1\nC 10.01\nCREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS\nCR EQU IRB 1\n10.2\nC 10.02\nCREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS. BREAKDOWN OF TOTAL EXPOSURES UNDER THE PD/LGD APRROACH BY OBLIGOR GRADES:\nCR EQU IRB 2\n11\nC 11.00\nSETTLEMENT/DELIVERY RISK\nCR SETT\n12\nC 12.00\nCREDIT RISK: SECURITISATIONS - STANDARDISED APPROACH TO OWN FUNDS REQUIREMENTS\nCR SEC SA\n13\nC 13.00\nCREDIT RISK: SECURITISATIONS - IRB APPROACH TO OWN FUNDS REQUIREMENTS\nCR SEC IRB\n14\nC 14.00\nDETAILED INFORMATION ON SECURITISATIONS\nCR SEC Details\nOPERATIONAL RISK\nOPR\n16\nC 16.00\nOPERATIONAL RISK\nOPR\n17\nC 17.00\nOPERATIONAL RISK: GROSS LOSSES BY BUSINESS LINES AND EVENT TYPES IN THE LAST YEAR\nOPR Details\nMARKET RISK\nMKR\n18\nC 18.00\nMARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS\nMKR SA TDI\n19\nC 19.00\nMARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS\nMKR SA SEC\n20\nC 20.00\nMARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN THE CORRELATION TRADING PORTFOLIO\nMKR SA CTP\n21\nC 21.00\nMARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES\nMKR SA EQU\n22\nC 22.00\nMARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK\nMKR SA FX\n23\nC 23.00\nMARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES\nMKR SA COM\n24\nC 24.00\nMARKET RISK INTERNAL MODELS\nMKR IM\n25\nC 25.00\nCREDIT VALUE ADJUSTMENT RISK\nCVA\nC 02.00 – OWN FUNDS REQUIREMENTS (CA2)\nRows\nItem\nLabel\nAmount\n010\n1\nTOTAL RISK EXPOSURE AMOUNT\n020\n1*\nOf which: Investment firms under Article 95 paragraph 2 and Article 98 of CRR\n030\n1**\nOf which: Investment firms under Article 96 paragraph 2 and Article 97 of CRR\n040\n1.1\nRISK WEIGHTED EXPOSURE AMOUNTS FOR CREDIT, COUNTERPARTY CREDIT AND DILUTION RISKS AND FREE DELIVERIES\n050\n1.1.1\nStandardised approach (SA)\n060\n1.1.1.1\nSA exposure classes excluding securitisation positions\n070\n1.1.1.1.01\nCentral governments or central banks\n080\n1.1.1.1.02\nRegional governments or local authorities\n090\n1.1.1.1.03\nPublic sector entities\n100\n1.1.1.1.04\nMultilateral Development Banks\n110\n1.1.1.1.05\nInternational Organisations\n120\n1.1.1.1.06\nInstitutions\n130\n1.1.1.1.07\nCorporates\n140\n1.1.1.1.08\nRetail\n150\n1.1.1.1.09\nSecured by mortgages on immovable property\n160\n1.1.1.1.10\nExposures in default\n170\n1.1.1.1.11\nItems associated with particular high risk\n180\n1.1.1.1.12\nCovered bonds\n190\n1.1.1.1.13\nClaims on institutions and corporates with a short-term credit assessment\n200\n1.1.1.1.14\nCollective investments undertakings (CIU)\n210\n1.1.1.1.15\nEquity\n211\n1.1.1.1.16\nOther items\n220\n1.1.1.2\nSecuritisation positions SA\n230\n1.1.1.2*\nof which: resecuritisation\n240\n1.1.2\nInternal ratings based Approach (IRB)\n250\n1.1.2.1\nIRB approaches when neither own estimates of LGD nor Conversion Factors are used\n260\n1.1.2.1.01\nCentral governments and central banks\n270\n1.1.2.1.02\nInstitutions\n280\n1.1.2.1.03\nCorporates - SME\n290\n1.1.2.1.04\nCorporates - Specialised Lending\n300\n1.1.2.1.05\nCorporates - Other\n310\n1.1.2.2\nIRB approaches when own estimates of LGD and/or Conversion Factors are used\n320\n1.1.2.2.01\nCentral governments and central banks\n330\n1.1.2.2.02\nInstitutions\n340\n1.1.2.2.03\nCorporates - SME\n350\n1.1.2.2.04\nCorporates - Specialised Lending\n360\n1.1.2.2.05\nCorporates - Other\n370\n1.1.2.2.06\nRetail - Secured by real estate SME\n380\n1.1.2.2.07\nRetail - Secured by real estate non-SME\n390\n1.1.2.2.08\nRetail - Qualifying revolving\n400\n1.1.2.2.09\nRetail - Other SME\n410\n1.1.2.2.10\nRetail - Other non-SME\n420\n1.1.2.3\nEquity IRB\n430\n1.1.2.4\nSecuritisation positions IRB\n440\n1.1.2.4*\nOf which: resecuritisation\n450\n1.1.2.5\nOther non credit-obligation assets\n460\n1.1.3\nRisk exposure amount for contributions to the default fund of a CCP\n490\n1.2\nTOTAL RISK EXPOSURE AMOUNT FOR SETTLEMENT/DELIVERY\n500\n1.2.1\nSettlement/delivery risk in the non-Trading book\n510\n1.2.2\nSettlement/delivery risk in the Trading book\n520\n1.3\nTOTAL RISK EXPOSURE AMOUNT FOR POSITION, FOREIGN EXCHANGE AND COMMODITIES RISKS\n530\n1.3.1\nRisk exposure amount for position, foreign exchange and commodities risks under standardised approaches (SA)\n540\n1.3.1.1\nTraded debt instruments\n550\n1.3.1.2\nEquity\n555\n1.3.1.3\nParticular approach for position risk in CIUs\n556\n1.3.1.3*\nMemo item: CIUs exclusively invested in traded debt instruments\n557\n1.3.1.3**\nMemo item: CIUs invested exclusively in equity instruments or in mixed instruments\n560\n1.3.1.4\nForeign Exchange\n570\n1.3.1.5\nCommodities\n580\n1.3.2\nRisk exposure amount for Position, foreign exchange and commodities risks under internal models (IM)\n590\n1.4\nTOTAL RISK EXPOSURE AMOUNT FOR OPERATIONAL RISK (OpR )\n600\n1.4.1\nOpR Basic indicator approach (BIA)\n610\n1.4.2\nOpR Standardised (STA) / Alternative Standardised (ASA) approaches\n620\n1.4.3\nOpR Advanced measurement approaches (AMA)\n630\n1.5\nADDITIONAL RISK EXPOSURE AMOUNT DUE TO FIXED OVERHEADS\n640\n1.6\nTOTAL RISK EXPOSURE AMOUNT FOR CREDIT VALUATION ADJUSTMENT\n650\n1.6.1\nAdvanced method\n660\n1.6.2\nStandardised method\n670\n1.6.3\nBased on OEM\n680\n1.7\nTOTAL RISK EXPOSURE AMOUNT RELATED TO LARGE EXPOSURES IN THE TRADING BOOK\n690\n1.8\nOTHER RISK EXPOSURE AMOUNTS\n710\n1.8.2\nOf which: Additional stricter prudential requirements based on Art 458\n720\n1.8.2*\nOf which: requirements for large exposures\n730\n1.8.2**\nOf which: due to modified risk weights for targeting asset bubbles in the residential and commercial property\n740\n1.8.2***\nOf which: due to intra financial sector exposures\n750\n1.8.3\nOf which: Additional stricter prudential requirements based on Art 459\n760\n1.8.4\nOf which: Additional risk exposure amount due to Article 3 CRR\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\n910\nDeficit of total capital as regards the minimum own funds requirements of the Basel I floor\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\nNET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS\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\nEXPOSURE VALUE\nRISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR\nRISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR\nUNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (Ga)\nFUNDED CREDIT PROTECTION\nSUBSTITUTION OF THE EXPOSURE DUE TO CRM\nVOLATILITY ADJUSTMENT TO THE EXPOSURE\n(-) FINANCIAL COLLATERAL: ADJUSTED VALUE (Cvam)\n0%\n20%\n50%\n100%\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\n(-) GUARANTEES\n(-) CREDIT DERIVATIVES\n(-) FINANCIAL COLLATERAL: SIMPLE METHOD\n(-) OTHER FUNDED CREDIT PROTECTION\n(-) TOTAL OUTFLOWS\nTOTAL INFLOWS (+)\n(-) OF WHICH: VOLATILITY AND MATURITY ADJUSTMENTS\n010\n030\n040\n050\n060\n070\n080\n090\n100\n110\n120\n130\n140\n150\n160\n170\n180\n190\n200\n210\n215\n220\n230\n240\n010\nTOTAL EXPOSURES\nCell linked to CA\n015\nof which: Defaulted 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\n1250%\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 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\n170\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(%)\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\n010\n030\n040\n050\n055\n060\n070\n080\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\n150\nTotal exposures\nC 09.04 - BREAKDOWN OF CREDIT EXPOSURES RELEVANT FOR THE CALCULATION OF THE COUNTERCYCLICAL BUFFER BY COUNTRY AND INSTITUTION-SPECIFIC COUNTERCYCLICAL BUFFER RATE (CCB)\nCountry:\nAmount\nPercentage\nQualitative information\n010\n020\n030\nRelevant credit exposures - Credit Risk\n010\nExposure value under the Standardised Approach\n020\nExposure value under the IRB Approach\nRelevant credit exposures – Market risk\n030\nSum of long and short positions of trading book exposures for standardised approaches\n040\nValue of trading book exposures for internal models\nRelevant credit exposures – Securitisation\n050\nExposure value of securitisation positions in the banking book under the Standardised Approach\n060\nExposure value of securitisation positions in the banking book under the IRB Approach\nOwn funds requirements and weights\n070\nTotal own funds requirements for CCB\n080\nOwn funds requirements for relevant credit exposures – Credit risk\n090\nOwn funds requirements for relevant credit exposures – Market risk\n100\nOwn funds requirements for relevant credit exposures – Securitisation positions in the banking book\n110\nOwn funds requirements weights\nCountercyclical capital buffer rates\n120\nCountercyclical capital buffer rate set by the Designated Authority\n130\nCountercyclical capital buffer rate applicable for the country of the institution\n140\nInstitution-specific countercyclical capital buffer rate\nUse of 2 % threshold\n150\nUse of 2 % threshold for general credit exposure\n160\nUse of 2 % threshold for trading book exposure\nC 18.00 - MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS (MKR SA TDI)\nCurrency:\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\nTRADED DEBT INSTRUMENTS IN TRADING BOOK\nCell linked to CA2\n011\nGeneral risk\n012\nDerivatives\n013\nOther assets and liabilities\n020\nMaturity-based approach\n030\nZone 1\n040\n0 ≤ 1 month\n050\n> 1 ≤ 3 months\n060\n> 3 ≤ 6 months\n070\n> 6 ≤ 12 months\n080\nZone 2\n090\n> 1 ≤ 2 (1,9 for cupon of less than 3%) years\n100\n> 2 ≤ 3 (> 1,9 ≤ 2,8 for cupon of less than 3%) years\n110\n> 3 ≤ 4 (> 2,8 ≤ 3,6 for cupon of less than 3%) years\n120\nZone 3\n130\n> 4 ≤ 5 (> 3,6 ≤ 4,3 for cupon of less than 3%) years\n140\n> 5 ≤ 7 (> 4,3 ≤ 5,7 for cupon of less than 3%) years\n150\n> 7 ≤ 10 (> 5,7 ≤ 7,3 for cupon of less than 3%) years\n160\n> 10 ≤ 15 (> 7,3 ≤ 9,3 for cupon of less than 3%) years\n170\n> 15 ≤ 20 (> 9,3 ≤ 10,6 for cupon of less than 3%) years\n180\n> 20 (> 10,6 ≤ 12,0 for cupon of less than 3%) years\n190\n(> 12,0 ≤ 20,0 for cupon of less than 3%) years\n200\n(> 20 for cupon of less than 3%) years\n210\nDuration-based approach\n220\nZone 1\n230\nZone 2\n240\nZone 3\n250\nSpecific risk\n251\nOwn funds requirement for non-securitisation debt instruments\n260\nDebt securities under the first category in Table 1\n270\nDebt securities under the second category in Table 1\n280\nWith residual term ≤ 6 months\n290\nWith a residual term > 6 months and ≤ 24 months\n300\nWith a residual term > 24 months\n310\nDebt securities under the third category in Table 1\n320\nDebt securities under the fourth category in Table 1\n321\nRated nth-to default credit derivatives\n325\nOwn funds requirement for securitisation instruments\n330\nOwn funds requirement for the correlation trading portfolio\n350\nAdditional requirements for options (non-delta risks)\n360\nSimplified method\n370\nDelta plus approach - additional requirements for gamma risk\n380\nDelta plus approach - additional requirements for vega risk\n390\nScenario matrix approach\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\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",
  "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/2016/1702/annex/I",
    "retrieved_at": "2026-11-01T14:45:32.881051+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."
}