# 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), Annex I: REPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS

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

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
Amount
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 (+)
(-) OF WHICH: VOLATILITY AND MATURITY ADJUSTMENTS
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
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
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

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Source: https://www.legislation.gov.uk/eur/2016/1702/annex/I (the official version)
Page: https://openlegislation.uk/eu-regulation-2016-1702/annex-I
Contains public sector information licensed under the Open Government Licence v3.0. Source: legislation.gov.uk, The National Archives.