# Commission Implementing Regulation (EU) 2017/2114 of 9 November 2017 amending Implementing Regulation (EU) No 680/2014 as regards templates and instructions (Text with EEA relevance), Annex I

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

‘ANNEX I
REPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS
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
33
C 33.00
GENERAL GOVERNMENTS EXPOSURES BY COUNTRY OF THE COUNTERPARTY
GOV
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 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 03.00 - CAPITAL RATIOS AND CAPITAL LEVELS (CA3)
Rows
ID
Item
Amount
010
1
CET1 Capital ratio
020
2
Surplus(+)/Deficit(–) of CET1 capital
030
3
T1 Capital ratio
040
4
Surplus(+)/Deficit(–) of T1 capital
050
5
Total capital ratio
060
6
Surplus(+)/Deficit(–) of total capital
Memorandum Items: Capital ratios due to Pillar II adjustments
070
7
CET1 capital ratio including Pillar II adjustments
080
8
Target CET1 capital ratio due to Pillar II adjustments
090
9
T1 capital ratio including Pillar II adjustments
100
10
Target T1 capital ratio due to Pillar II adjustments
110
11
Total capital ratio including Pillar II adjustments
120
12
Target Total capital ratio due to Pillar II adjustments
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
093
2A
Tax overpayments and tax loss carry backs
096
2B
Deferred Tax Assets subject to a risk weight of 250 %
097
2C
Deferred Tax Assets subject to a risk weight of 0 %
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
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 05.01 - TRANSITIONAL PROVISIONS (CA5.1)
Adjustments to CET1
Adjustments to AT1
Adjustments to T2
Adjustments included in RWAs
Memorandum items
Applicable percentage
Eligible amount without transitional provisions
Code
ID
Item
010
020
030
040
050
060
010
1
TOTAL ADJUSTMENTS
020
1.1
GRANDFATHERED INSTRUMENTS
link to {CA1;r220}
link to {CA1;r660}
link to {CA1;r880}
030
1.1.1
Grandfathered instruments: Instruments constituting state aid
040
1.1.1.1
Instruments that qualified as own funds according to 2006/48/EC
050
1.1.1.2
Instruments issued by institutions that are incorporated in a Member State that is subject to an Economic Adjustment Programme
060
1.1.2
Instruments not constituting state aid
link to {CA5.2;r010;c060}
link to {CA5.2;r020;c060}
link to {CA5.2;r090;c060}
070
1.2
MINORITY INTERESTS AND EQUIVALENTS
link to {CA1;r240}
link to {CA1;r680}
link to {CA1;r900}
080
1.2.1
Capital instruments and items that do not qualify as minority interests
090
1.2.2
Transitional recognition in consolidated own funds of minority interests
091
1.2.3
Transitional recognition in consolidated own funds of qualifying Additional Tier 1 capital
092
1.2.4
Transitional recognition in consolidated own funds of qualifying Tier 2 capital
100
1.3
OTHER TRANSITIONAL ADJUSTMENTS
link to {CA1;r520}
link to {CA1;r730}
link to {CA1;r960}
110
1.3.1
Unrealised gains and losses
120
1.3.1.1
Unrealised gains
130
1.3.1.2
Unrealised losses
133
1.3.1.3.
Unrealised gains on exposures to central governments classified in the “Available for sale” category of EU-endorsed IAS39
136
1.3.1.4.
Unrealised loss on exposures to central governments classified in the “Available for sale” category of EU-endorsed IAS39
138
1.3.1.5.
Fair value gains and losses arising from the institution's own credit risk related to derivative liabilities
140
1.3.2
Deductions
150
1.3.2.1
Losses for the current financial year
160
1.3.2.2
Intangible assets
170
1.3.2.3
Deferred tax assets that rely on future profitability and do not arise from temporary differences
180
1.3.2.4
IRB shortfall of provisions to expected losses
190
1.3.2.5
Defined benefit pension fund assets
194
1.3.2.5*
of which: Introduction of amendments to IAS 19 - positive item
198
1.3.2.5**
of which: Introduction of amendments to IAS 19 - negative item
200
1.3.2.6
Own instruments
210
1.3.2.6.1
Own CET1 instruments
211
1.3.2.6.1**
of which: Direct holdings
212
1.3.2.6.1*
of which: Indirect holdings
220
1.3.2.6.2
Own AT1 instruments
221
1.3.2.6.2**
of which: Direct holdings
222
1.3.2.6.2*
of which: Indirect holdings
230
1.3.2.6.3
Own T2 instruments
231
1.3.2.6.3*
of which: Direct holdings
232
1.3.2.6.3**
of which: Indirect holdings
240
1.3.2.7
Reciprocal cross holdings
250
1.3.2.7.1
Reciprocal cross holdings in CET1 Capital
260
1.3.2.7.1.1
Reciprocal cross holdings in CET1 Capital of financial sector entities where the institution does not have a significant investment
270
1.3.2.7.1.2
Reciprocal cross holdings in CET1 Capital of financial sector entities where the institution has a significant investment
280
1.3.2.7.2
Reciprocal cross holdings in AT1 Capital
290
1.3.2.7.2.1
Reciprocal cross holdings in AT1 Capital of financial sector entities where the institution does not have a significant investment
300
1.3.2.7.2.2
Reciprocal cross holdings in AT1 Capital of financial sector entities where the institution has a significant investment
310
1.3.2.7.3
Reciprocal cross holdings in T2 Capital
320
1.3.2.7.3.1
Reciprocal cross holdings in T2 Capital of financial sector entities where the institution does not have a significant investment
330
1.3.2.7.3.2
Reciprocal cross holdings in T2 Capital of financial sector entities where the institution has a significant investment
340
1.3.2.8
Own funds instruments of financial sector entities where the institution does not have a significant investment
350
1.3.2.8.1
CET1 instruments of financial sector entities where the institution does not have a significant investment
360
1.3.2.8.2
AT1 instruments of financial sector entities where the institution does not have a significant investment
370
1.3.2.8.3
T2 instruments of financial sector entities where the institution does not have a significant investment
380
1.3.2.9
Deferred tax assets that are dependent on future profitability and arise from temporary differences and CET1 instruments of financial sector entities where the institution has a significant investment
385
1.3.2.9a
Deferred tax assets that are dependent on future profitability and arise from temporary differences
390
1.3.2.10
Own funds instruments of financial sector entities where the institution has a significant investment
400
1.3.2.10.1
CET1 instruments of financial sector entities where the institution has a significant investment
410
1.3.2.10.2
AT1 instruments of financial sector entities where the institution has a significant investment
420
1.3.2.10.3
T2 instruments of financial sector entities where the institution has a significant investment
425
1.3.2.11
Exemption from deduction of Equity Holdings in Insurance Companies from CET 1 Items
430
1.3.3
Additional filters and deductions
440
1.3.4
Adjustments due to IFRS 9 transitional arrangements
C 05.02 - GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUING STATE AID (CA5.2)
CA 5.2 Grandfathered instruments: Instruments not constituting State aid
Amount of instruments plus related share premium
Base for calculating the limit
Applicable percentage
Limit
(-) Amount that exceeds the limits for grandfathering
Total grandfathered amount
Code
ID
Item
010
020
030
040
050
060
010
1.
Instruments that qualified for point a) of Article 57 of 2006/48/EC
link to {CA5.1;r060;c010)
020
2.
Instruments that qualified for point ca) of Article 57 and Article 154(8) and (9) of 2006/48/EC, subject to the limit of Article 489
link to {CA5.1;r060;c020)
030
2.1
Total instruments without a call or an incentive to redeem
040
2.2.
Grandfathered instruments with a call and incentive to redeem
050
2.2.1
Instruments with a call exercisable after the reporting date, and which meet the conditions in Article 52 of CRR after the date of effective maturity
060
2.2.2
Instruments with a call exercisable after the reporting date, and which do not meet the conditions in Article 52 of CRR after the date of effective maturity
070
2.2.3
Instruments with a call exercisable prior to or on 20 July 2011, and which do not meet the conditions in Article 52 of CRR after the date of effective maturity
080
2.3
Excess on the limit of CET1 grandfathered instruments
090
3
Items that qualified for points e), f), g) or h) of Article 57 of 2006/48/EC, subject to the limit of Article 490
link to {CA5.1;r060;c030)
100
3.1
Total items without an incentive to redeem
110
3.2
Grandfathered items with an incentive to redeem
120
3.2.1
Items with a call exercisable after the reporting date, and which meet the conditions in Article 63 of CRR after the date of effective maturity
130
3.2.2
Items with a call exercisable after the reporting date, and which do not meet the conditions in Article 63 of CRR after the date of effective maturity
140
3.2.3
Items with a call exercisable prior to or on 20 July 2011, and which do not meet the conditions in Article 63 of CRR after the date of effective maturity
150
3.3
Excess on the limit of AT1 grandfathered instruments
C 06.01 - GROUP SOLVENCY: INFORMATION ON AFFILIATES - TOTAL (GS TOTAL)
INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP
CAPITAL BUFFERS
TOTAL RISK EXPOSURE AMOUNT
QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS
CONSOLIDATED OWN FUNDS
COMBINED BUFFER REQUIREMENTS
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
OF WHICH: ADDITIONAL TIER 1
OF WHICH: CONRIBUTIONS TO CONSOLIDATED RESULT
OF WHICH: (–) GOODWILL/(+) NEGATIVE GOODWILL
CAPITAL CONSERVATION BUFFER
INSTITUTION SPECIFIC COUNTERCYCLICAL CAPITAL BUFFER
CONSERVATION BUFFER DUE TO MACRO-PRUDENTIAL OR SYSTEMIC RISK IDENTIFIED AT THE LEVEL OF A MEMBER STATE
SYSTEMIC RISK BUFFER
GLOBAL SYSTEMICALLY IMPORTANT INSTITUTION BUFFER
OTHER SYSTEMICALLY IMPORTANT INSTITUTION BUFFER
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
380
390
400
410
420
430
440
450
470
480
010
TOTAL
C 06.02 - GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS)
ENTITIES WITHIN SCOPE OF CONSOLIDATION
INFORMATION ON ENTITIES SUBJECT TO OWN FUNDS REQUIREMENTS
INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP
CAPITAL BUFFERS
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
OWN FUNDS
TOTAL RISK EXPOSURE AMOUNT
QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS
CONSOLIDATED OWN FUNDS
COMBINED BUFFER REQUIREMENTS
CREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/DELIVERY RISK
POSITION, FX AND COMMODITIES RISKS
OPERATIONAL RISK
OTHER RISK EXPOSURE AMOUNTS
TOTAL TIER 1 CAPITAL
TIER 2 CAPITAL
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
OF WHICH: ADDITIONAL TIER 1
OF WHICH: CONRIBUTIONS TO CONSOLIDATED RESULT
OF WHICH: (–) GOODWILL/(+) NEGATIVE GOODWILL
CAPITAL CONSERVATION BUFFER
INSTITUTION SPECIFIC COUNTERCYCLICAL CAPITAL BUFFER
CONSERVATION BUFFER DUE TO MACRO-PRUDENTIAL OR SYSTEMIC RISK IDENTIFIED AT THE LEVEL OF A MEMBER STATE
SYSTEMIC RISK BUFFER
GLOBAL SYSTEMICALLY IMPORTANT INSTITUTION BUFFER
OTHER SYSTEMICALLY IMPORTANT INSTITUTION BUFFER
COMMON EQUITY TIER 1 CAPITAL
ADDITIONAL TIER 1 CAPITAL
MINORITY INTERESTS INCLUDED IN CONSOLIDATED COMMON EQUITY TIER 1 CAPITAL
QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED 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
010
020
025
030
040
050
060
070
080
090
100
110
120
130
140
150
160
170
180
190
200
210
220
230
240
250
260
270
280
290
300
310
320
330
340
350
360
370
380
390
400
410
420
430
440
450
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
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
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
EXPOSURE VALUE
CREDIT RISK MITIGATION TECHNIQUES TAKEN INTO ACCOUNT IN LGD ESTIMATES EXCLUDING DOUBLE DEFAULT TREATMENT
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
(-) OTHER FUNDED CREDIT PROTECTION
SUBSTITUTION OF THE EXPOSURE DUE TO CRM
OWN ESTIMATES OF LGD'S ARE USED: UNFUNDED CREDIT PROTECTION
FUNDED CREDIT PROTECTION
UNFUNDED CREDIT PROTECTION
EXPECTED LOSS AMOUNT
(-) VALUE ADJUSTMENTS AND PROVISIONS
NUMBER OF OBLIGORS
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
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
OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES
REAL ESTATE
OTHER PHYSICAL COLLATERAL
RECEIVABLES
010
020
030
040
050
060
070
080
090
100
110
120
130
140
150
160
170
180
190
200
210
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 08.02 - CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BREAKDOWN BY OBLIGOR GRADES OR POOLS (CR IRB 2)
IRB Exposure class:
Own estimates of LGD and/or conversion factors:
OBLIGOR GRADE (ROW IDENTIFIER)
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
EXPOSURE VALUE
CREDIT RISK MITIGATION TECHNIQUES TAKEN INTO ACCOUNT IN LGD ESTIMATES EXCLUDING DOUBLE DEFAULT TREATMENT
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-FACTOR
RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-FACTOR
MEMORANDUM ITEMS:
UNFUNDED CREDIT PROTECTION
(-) OTHER FUNDED CREDIT PROTECTION
SUBSTITUTION OF THE EXPOSURE DUE TO CRM
OWN ESTIMATES OF LGD'S ARE USED: UNFUNDED CREDIT PROTECTION
FUNDED CREDIT PROTECTION
UNFUNDED CREDIT PROTECTION
EXPECTED LOSS AMOUNT
(-) VALUE ADJUSTMENTS AND PROVISIONS
NUMBER OF OBLIGORS
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
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
OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES
REAL ESTATE
OTHER PHYSICAL COLLATERAL
RECEIVABLES
005
010
020
030
040
050
060
070
080
090
100
110
120
130
140
150
160
170
180
190
200
210
220
230
240
250
255
260
270
280
290
300
C 09.01 - GEOGRAPHICAL BREAKDOWN OF EXPOSURES BY RESIDENCE OF THE OBLIGOR: SA EXPOSURES (CR GB 1)
Country:
ORIGINAL EXPOSURE PRE CONVERSION FACTORS
Defaulted exposures
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
042
Of Which: Specialised Lending (excl. SL subject to slotting criteria)
045
Of Which: Specialised Lending subject to slotting criteria
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 10.01 - CREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS (CR EQU IRB 1)
INTERNAL RATING SYSTEM
ORIGINAL EXPOSURE PRE CONVERSION FACTORS
CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE
EXPOSURE VALUE
EXPOSURE WEIGHTED AVERAGE LGD (%)
RISK WEIGHTED EXPOSURE AMOUNT
MEMORANDUM ITEM:
UNFUNDED CREDIT PROTECTION
SUBSTITUTION OF THE EXPOSURE DUE TO CRM
EXPECTED LOSS AMOUNT
PD ASSIGNED TO THE OBLIGOR GRADE (%)
(-) GUARANTEES
(-) CREDIT DERIVATIVES
(-) TOTAL OUTFLOWS
010
020
030
040
050
060
070
080
090
010
TOTAL IRB EQUITY EXPOSURES
Cell linked to CA
020
PD/LGD APRROACH: TOTAL
050
SIMPLE RISK WEIGHT APPROACH: TOTAL
060
BREAKDOWN OF TOTAL EXPOSURES UNDER THE SIMPLE RISK WEIGHT APRROACH BY RISK WEIGHTS:
070
RISK WEIGHT: 190 %
080
290 %
090
370 %
100
INTERNAL MODELS APPROACH
110
EQUITY EXPOSURES SUBJECT TO RISK WEIGHTS
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)
OBLIGOR GRADE (ROW IDENTIFIER)
INTERNAL RATING SYSTEM
ORIGINAL EXPOSURE PRE CONVERSION FACTORS
CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE
EXPOSURE VALUE
EXPOSURE WEIGHTED AVERAGE LGD (%)
RISK WEIGHTED EXPOSURE AMOUNT
MEMORANDUM ITEM:
UNFUNDED CREDIT PROTECTION
SUBSTITUTION OF THE EXPOSURE DUE TO CRM
EXPECTED LOSS AMOUNT
PD ASSIGNED TO THE OBLIGOR GRADE (%)
(-) GUARANTEES
(-) CREDIT DERIVATIVES
(-) TOTAL OUTFLOWS
005
010
020
030
040
050
060
070
080
090
C 11.00 - SETTLEMENT/DELIVERY RISK (CR SETT)
UNSETTLED TRANSACTIONS AT SETTLEMENT PRICE
PRICE DIFFERENCE EXPOSURE DUE TO UNSETTLED TRANSACTIONS
OWN FUNDS REQUIREMENTS
TOTAL SETTLEMENT RISK EXPOSURE AMOUNT
010
020
030
040
010
Total unsettled transactions in the Non-trading Book
Cell linked to CA
020
Transactions unsettled up to 4 days (Factor 0 %)
030
Transactions unsettled between 5 and 15 days (Factor 8 %)
040
Transactions unsettled between 16 and 30 days (Factor 50 %)
050
Transactions unsettled between 31 and 45 days (Factor 75 %)
060
Transactions unsettled for 46 days or more (Factor 100 %)
070
Total unsettled transactions in the Trading Book
Cell linked to CA
080
Transactions unsettled up to 4 days (Factor 0 %)
090
Transactions unsettled between 5 and 15 days (Factor 8 %)
100
Transactions unsettled between 16 and 30 days (Factor 50 %)
110
Transactions unsettled between 31 and 45 days (Factor 75 %)
120
Transactions unsettled for 46 days or more (Factor 100 %)
C 12.00 - CREDIT RISK: SECURITISATIONS - STANDARDISED APPROACH TO OWN FUNDS REQUIREMENTS (CR SEC SA)
TOTAL AMOUNT OF SECURITISATION EXPOSURES ORIGINATED
SYNTHETIC SECURITISATIONS: CREDIT PROTECTION TO THE SECURITISED EXPOSURES
SECURITISATION POSITIONS
(-) VALUE ADJUSTMENTS AND PROVISIONS
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 AMOUNT OF THE EXPOSURE: FUNDED CREDIT PROTECTION FINANCIAL COLLATERAL COMPREHENSIVE METHOD ADJUSTED VALUE (Cvam)
FULLY ADJUSTED EXPOSURE VALUE (E*)
BREAKDOWN OF THE FULLY ADJUSTED EXPOSURE VALUE (E*) OF OFF BALANCE SHEET ITEMS ACCORDING TO CONVERSION FACTORS
EXPOSURE VALUE
BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS
BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS
RISK-WEIGHTED EXPOSURE AMOUNT
OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONS
ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO MATURITY MISMATCHES
TOTAL RISK-WEIGHTED EXPOSURE AMOUNT
MEMORANDUM ITEM: RISK WEIGHTED EXPOSURE AMOUNT CORRESPONDING TO THE OUTFLOWS FROM THE SA SECURITISATION TO OTHER EXPOSURE CLASSES
(-) FUNDED CREDIT PROTECTION (Cva)
(-) TOTAL OUTFLOWS
NOTIONAL AMOUNT RETAINED OR REPURCHASED OF CREDIT PROTECTION
ORIGINAL EXPOSURE PRE CONVERSION FACTORS
(-) UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (Ga)
(-) FUNDED CREDIT PROTECTION
SUBSTITUTION OF THE EXPOSURE DUE TO CRM
0 %
> 0 % and <= 20 %
> 20 % and <= 50 %
> 50 % and <= 100 %
(-) DEDUCTED FROM OWN FUNDS
SUBJECT TO RISK WEIGHTS
RATED (CREDIT QUALITY STEPS)
1 250 %
LOOK-THROUGH
INTERNAL ASSESMENT APPROACH
(-) UNFUNDED CREDIT PROTECTION ADJUSTED VALUES (G*)
(-) TOTAL OUTFLOWS
TOTAL INFLOWS
CQS 1
CQS 2
CQS 3
CQS 4
ALL OTHER CQS
UNRATED
OF WHICH: SECOND LOSS IN ABCP
OF WHICH: AVERAGE RISK WEIGHT (%)
AVERAGE RISK WEIGHT (%)
OF WHICH: SYNTHETIC SECURITISATIONS
BEFORE CAP
AFTER CAP
010
020
030
040
050
060
070
080
090
100
110
120
130
140
150
160
170
180
190
200
210
220
230
240
250
260
270
280
290
300
310
320
330
340
350
360
370
380
390
010
TOTAL EXPOSURES
Cell linked to CA
020
OF WHICH: RE-SECURITISATIONS
Cell linked to CA
030
ORIGINATOR: TOTAL EXPOSURES
040
ON-BALANCE SHEET ITEMS
050
SECURITISATIONS
060
RE-SECURITISATIONS
070
OFF-BALANCE SHEET ITEMS AND DERIVATIVES
080
SECURITISATIONS
090
RE-SECURITISATIONS
100
EARLY AMORTISATION
110
INVESTOR: TOTAL EXPOSURES
120
ON-BALANCE SHEET ITEMS
130
SECURITISATIONS
140
RE-SECURITISATIONS
150
OFF-BALANCE SHEET ITEMS AND DERIVATIVES
160
SECURITISATIONS
170
RE-SECURITISATIONS
180
SPONSOR: TOTAL EXPOSURES
190
ON-BALANCE SHEET ITEMS
200
SECURITISATIONS
210
RE-SECURITISATIONS
220
OFF-BALANCE SHEET ITEMS AND DERIVATIVES
230
SECURITISATIONS
240
RE-SECURITISATIONS
BREAKDOWN OF OUTSTANDING POSITIONS ACCORDING TO CQS AT INCEPTION:
250
CQS 1
260
CQS 2
270
CQS 3
280
CQS 4
290
ALL OTHER CQS AND UNRATED
C 13.00 - CREDIT RISK: SECURITISATIONS - IRB APPROACH TO OWN FUNDS REQUIREMENTS (CR SEC IRB)
TOTAL AMOUNT OF SECURITISATION EXPOSURES ORIGINATED
SYNTHETIC SECURITIZATIONS: CREDIT PROTECTION TO THE SECURITISED EXPOSURES
SECURITISATION POSITIONS
CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE
EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS
(-) CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE AMOUNT OF THE EXPOSURE: FUNDED CREDIT PROTECTION FINANCIAL COLLATERAL COMPREHENSIVE METHOD ADJUSTED VALUE (Cvam)
FULLY ADJUSTED EXPOSURE VALUE (E*)
BREAKDOWN OF THE FULLY ADJUSTED EXPOSURE VALUE (E*) OF OFF BALANCE SHEET ITEMS ACCORDING TO CREDIT CONVERSION FACTORS
EXPOSURE VALUE
BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS
(-) REDUCTION IN RISK WEIGHTED EXPOSURE AMOUNT DUE TO VALUE ADJUSTMENTS AND PROVISIONS
RISK-WEIGHTED EXPOSURE AMOUNT
OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONS
ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO MATURITY MISMATCHES
TOTAL RISK-WEIGHTED EXPOSURE AMOUNT
MEMORANDUM ITEM: RISK WEIGHTED EXPOSURE AMOUNT CORRESPONDING TO THE OUTFLOWS FROM THE IRB SECURITISATION TO OTHER EXPOSURE CLASSES
(-) FUNDED CREDIT PROTECTION (Cva)
(-) TOTAL OUTFLOWS
NOTIONAL AMOUNT RETAINED OR REPURCHASED OF CREDIT PROTECTION
ORIGINAL EXPOSURE PRE CONVERSION FACTORS
(-) UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (Ga)
(-) FUNDED CREDIT PROTECTION
SUBSTITUTION OF THE EXPOSURE DUE TO CRM
0 %
> 0 % and <= 20 %
> 20 % and <= 50 %
> 50 % and <= 100 %
(-) DEDUCTED FROM OWN FUNDS
SUBJECT TO RISK WEIGHTS
RATINGS BASED METHOD (CREDIT QUALITY STEPS)
1 250 %
SUPERVISORY FORMULA METHOD
LOOK-THROUGH
INTERNAL ASSESSMENT APPROACH
(-) UNFUNDED CREDIT PROTECTION ADJUSTED VALUES (G*)
(-) TOTAL OUTFLOWS
TOTAL INFLOWS
CQS 1 & S/T CQS 1
CQS 2
CQS 3
CQS 4 & S/T CQS 2
CQS 5
CQS 6
CQS 7 & S/T CQS 3
CQS 8
CQS 9
CQS 10
CQS 11
ALL OTHER CQS
UNRATED
AVERAGE RISK WEIGHT (%)
AVERAGE RISK WEIGHT (%)
AVERAGE RISK WEIGHT (%)
OF WHICH: SYNTHETIC SECURITISATIONS
BEFORE CAP
AFTER CAP
010
020
030
040
050
060
070
080
090
100
110
120
130
140
150
160
170
180
190
200
210
220
230
240
250
260
270
280
290
300
310
320
330
340
350
360
370
380
390
400
410
420
430
440
450
460
010
TOTAL EXPOSURES
Cell linked to CA
020
OF WHICH: RE-SECURITISATIONS
Cell linked to CA
030
ORIGINATOR: TOTAL EXPOSURES
040
ON-BALANCE SHEET ITEMS
050
SECURITISATIONS
A
060
B
070
C
080
RE-SECURITISATIONS
D
090
E
100
OFF-BALANCE SHEET ITEMS AND DERIVATIVES
110
SECURITISATIONS
A
120
B
130
C
140
RE-SECURITISATIONS
D
150
E
160
EARLY AMORTISATION
170
INVESTOR: TOTAL EXPOSURES
180
ON-BALANCE SHEET ITEMS
190
SECURITISATIONS
A
200
B
210
C
220
RE-SECURITISATIONS
D
230
E
240
OFF-BALANCE SHEET ITEMS AND DERIVATIVES
250
SECURITISATIONS
A
260
B
270
C
280
RE-SECURITISATIONS
D
290
E
300
SPONSOR: TOTAL EXPOSURES
310
ON-BALANCE SHEET ITEMS
320
SECURITISATIONS
A
330
B
340
C
350
RE-SECURITISATIONS
D
360
E
370
OFF-BALANCE SHEET ITEMS AND DERIVATIVES
380
SECURITISATIONS
A
390
B
400
C
410
RE-SECURITISATIONS
D
420
E
BREAKDOWN OF OUTSTANDING POSITIONS ACCORDING TO CQS AT INCEPTION:
430
CQS 1 & S/T CQS 1
440
CQS 2
450
CQS 3
460
CQS 4 & S/T CQS 2
470
CQS 5
480
CQS 6
490
CQS 7 & S/T CQS 3
500
CQS 8
510
CQS 9
520
CQS 10
530
CQS 11
540
ALL OTHER CQS AND UNRATED
C 14.00 - DETAILED INFORMATION ON SECURITISATIONS (SEC Details)
ROW NUMBER
INTERNAL CODE
IDENTIFIER OF THE SECURITISATION
IDENTIFIER OF THE ORIGINATOR
SECURITISATION TYPE: (TRADITIONAL/SYNTHETIC)
ACCOUNTING TREATMENT: Securitised exposures are kept or removed from the balance sheet?
SOLVENCY TREATMENT: Securitisation positions subject to own funds requirements?
SECURITISATION OR RE-SECURITISATION?
RETENTION
ROLE OF THE INSTITUTION: (ORIGINATOR/SPONSOR/ORIGINAL LENDER/INVESTOR)
NON ABCP PROGRAMMES
SECURITISED EXPOSURES
SECURITISATION STRUCTURE
SECURITISATION POSITIONS
(-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS
TOTAL RISK-WEIGHTED EXPOSURE AMOUNT
SECURITISATION POSITIONS - TRADING BOOK
TYPE OF RETENTION APPLIED
% OF RETENTION AT REPORTING DATE
COMPLIANCE WITH THE RETENTION REQUIREMENT?
ORIGINATION DATE (mm/yyyy)
TOTAL AMOUNT OF SECURITISED EXPOSURES AT ORIGINATION DATE
TOTAL AMOUNT
INSTITUTION'S SHARE (%)
TYPE
APPROACH APPLIED (SA/IRB/MIX)
NUMBER OF EXPOSURES
COUNTRY
ELGD (%)
(-) VALUE ADJUSTMENTS AND PROVISIONS
OWN FUNDS REQUIREMENTS BEFORE SECURITISATION (%)
ON-BALANCE SHEET ITEMS
OFF-BALANCE SHEET ITEMS AND DERIVATIVES
MATURITY
ORIGINAL EXPOSURE PRE-CONVERSION FACTORS
MEMORANDUM ITEMS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES
EARLY AMORTISATION
CTP OR NON-CTP?
NET POSITIONS
TOTAL OWN FUNDS REQUIREMENTS (SA)
SENIOR
MEZZANINE
FIRST LOSS
SENIOR
MEZZANINE
FIRST LOSS
FIRST FORESEEABLE TERMINATION DATE
LEGAL FINAL MATURITY DATE
ON-BALANCE SHEET ITEMS
OFF-BALANCE SHEET ITEMS AND DERIVATIVES
DIRECT CREDIT SUBSTITUTES
IRS/CRS
ELIGIBLE LIQUIDITY FACILITIES
OTHER (including non-eligible LF)
CONVERSION FACTOR APPLIED
SENIOR
MEZZANINE
FIRST LOSS
SENIOR
MEZZANINE
FIRST LOSS
BEFORE CAP
AFTER CAP
LONG
SHORT
SPECIFIC RISK
005
010
020
030
040
050
060
070
080
090
100
110
120
130
140
150
160
170
180
190
200
210
220
230
240
250
260
270
280
290
300
310
320
330
340
350
360
370
380
390
400
410
420
430
440
450
460
470
480
C 16.00 - OPERATIONAL RISK (OPR)
BANKING ACTIVITIES
RELEVANT INDICATOR
LOANS AND ADVANCES (IN CASE OF ASA APPLICATION)
OWN FUNDS REQUIREMENT
Total operational risk exposure amount
AMA MEMORANDUM ITEMS TO BE REPORTED IF APPLICABLE
YEAR-3
YEAR-2
LAST YEAR
YEAR-3
YEAR-2
LAST YEAR
OF WHICH: DUE TO AN ALLOCATION MECHANISM
OWN FUNDS REQUIREMENT BEFORE ALLEVIATION DUE TO EXPECTED LOSS, DIVERSIFICATION AND RISK MITIGATION TECHNIQUES
(-) ALLEVIATION OF OWN FUNDS REQUIREMENT DUE TO THE EXPECTED LOSS CAPTURED IN BUSINESS PRACTICES
(-) ALLEVIATION OF OWN FUNDS REQUIREMENT DUE TO DIVERSIFICATION
(-) ALLEVIATION OF OWN FUNDS REQUIREMENT DUE TO RISK MITIGATION TECHNIQUES (INSURANCE AND OTHER RISK TRANSFER MECHANISMS)
010
020
030
040
050
060
070
O71
080
090
100
110
120
010
1.
BANKING ACTIVITIES SUBJECT TO BASIC INDICATOR APPROACH (BIA)
Cell linked to CA2
020
2.
BANKING ACTIVITIES SUBJECT TO STANDARDISED (TSA)/ALTERNATIVE STANDARDISED (ASA) APPROACHES
Cell linked to CA2
SUBJECT TO TSA:
030
CORPORATE FINANCE (CF)
040
TRADING AND SALES (TS)
050
RETAIL BROKERAGE (RBr)
060
COMMERCIAL BANKING (CB)
070
RETAIL BANKING (RB)
080
PAYMENT AND SETTLEMENT (PS)
090
AGENCY SERVICES (AS)
100
ASSET MANAGEMENT (AM)
SUBJECT TO ASA:
110
COMMERCIAL BANKING (CB)
120
RETAIL BANKING (RB)
130
3.
BANKING ACTIVITIES SUBJECT TO ADVANCED MEASUREMENT APPROACHES AMA
Cell linked to CA2
C 17.01 - OPERATIONAL RISK: LOSSES AND RECOVERIES BY BUSINESS LINES AND EVENT TYPES IN THE LAST YEAR (OPR DETAILS 1)
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 (new events)
020
Gross loss amount (new events)
030
Number of events subject to loss adjustments
040
Loss adjustments relating to previous reporting periods
050
Maximum single loss
060
Sum of the five largest losses
070
Total direct loss recovery
080
Total recovery from insurance and other risk transfer mechanisms
110
TRADING AND SALES [TS]
Number of events (new events)
120
Gross loss amount (new events)
130
Number of events subject to loss adjustments
140
Loss adjustments relating to previous reporting periods
150
Maximum single loss
160
Sum of the five largest losses
170
Total direct loss recovery
180
Total recovery from insurance and other risk transfer mechanisms
210
RETAIL BROKERAGE [RBr]
Number of events (new events)
220
Gross loss amount (new events)
230
Number of events subject to loss adjustments
240
Loss adjustments relating to previous reporting periods
250
Maximum single loss
260
Sum of the five largest losses
270
Total direct loss recovery
280
Total recovery from insurance and other risk transfer mechanisms
310
COMMERCIAL BANKING [CB]
Number of events (new events)
320
Gross loss amount (new events)
330
Number of events subject to loss adjustments
340
Loss adjustments relating to previous reporting periods
350
Maximum single loss
360
Sum of the five largest losses
370
Total direct loss recovery
380
Total recovery from insurance and other risk transfer mechanisms
410
RETAIL BANKING [RB]
Number of events (new events)
420
Gross loss amount (new events)
430
Number of events subject to loss adjustments
440
Loss adjustments relating to previous reporting periods
450
Maximum single loss
460
Sum of the five largest losses
470
Total direct loss recovery
480
Total recovery from insurance and other risk transfer mechanisms
510
PAYMENT AND SETTLEMENT [PS]
Number of events (new events)
520
Gross loss amount (new events)
530
Number of events subject to loss adjustments
540
Loss adjustments relating to previous reporting periods
550
Maximum single loss
560
Sum of the five largest losses
570
Total direct loss recovery
580
Total recovery from insurance and other risk transfer mechanisms
610
AGENCY SERVICES [AS]
Number of events (new events)
620
Gross loss amount (new events)
630
Number of events subject to loss adjustments
640
Loss adjustments relating to previous reporting periods
650
Maximum single loss
660
Sum of the five largest losses
670
Total direct loss recovery
680
Total recovery from insurance and other risk transfer mechanisms
710
ASSET MANAGEMENT [AM]
Number of events (new events)
720
Gross loss amount (new events)
730
Number of events subject to loss adjustments
740
Loss adjustments relating to previous reporting periods
750
Maximum single loss
760
Sum of the five largest losses
770
Total direct loss recovery
780
Total recovery from insurance and other risk transfer mechanisms
810
CORPORATE ITEMS [CI]
Number of events (new events)
820
Gross loss amount (new events)
830
Number of events subject to loss adjustments
840
Loss adjustments relating to previous reporting periods
850
Maximum single loss
860
Sum of the five largest losses
870
Total direct loss recovery
880
Total recovery from insurance and other risk transfer mechanisms
910
TOTAL BUSINESS LINES
Number of events (new events). Of which:
911
related to losses ≥ 10 000 and < 20 000
912
related to losses ≥ 20 000 and < 100 000
913
related to losses ≥ 100 000 and < 1 000 000
914
related to losses ≥ 1 000 000
920
Gross loss amount (new events). Of which:
921
related to losses ≥ 10 000 and < 20 000
922
related to losses ≥ 20 000 and < 100 000
923
related to losses ≥ 100 000 and < 1 000 000
924
related to losses ≥ 1 000 000
930
Number of events subject to loss adjustments. Of which:
935
of which: number of events with a positive loss adjustment
936
of which: number of events with a negative loss adjustment
940
Loss adjustments relating to previous reporting periods
945
of which: positive loss adjustment amounts (+)
946
of which: negative loss adjustment amounts (–)
950
Maximum single loss
960
Sum of the five largest losses
970
Total direct loss recovery
980
Total recovery from insurance and other risk transfer mechanisms
C 17.02 - OPERATIONAL RISK: LARGE LOSS EVENTS (OPR DETAILS 2)
Event ID
Date of accounting
Date of occurrence
Date of discovery
Event Type
Gross loss
Gross loss net of direct recoveries
GROSS LOSS BY BUSINESS LINE
Legal Entity name
Legal Entity ID
Business Unit
Description
Corporate Finance [CF]
Trading and Sales [TS]
Retail Brokerage [RBr]
Commercial Banking [CB]
Retail Banking [RB]
Payment and Settlement [PS]
Agency Services [AS]
Asset Management [AM]
Corporate Items [CI]
Rows
010
020
030
040
050
060
070
080
090
100
110
120
130
140
150
160
170
180
190
200
…
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 19.00 - MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS (MKR SA SEC)
ALL POSITIONS
(-) POSITIONS DEDUCTED FROM OWN FUNDS
NET POSITIONS
BREAKDOWN OF THE NET POSITIONS (LONG) ACCORDING TO SA AND IRB RISK WEIGHTS
BREAKDOWN OF THE NET POSITIONS (SHORT) ACCORDING TO SA AND IRB RISK WEIGHTS
OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONS
BEFORE CAP
AFTER CAP
TOTAL OWN FUNDS REQUIREMENTS
RISK WEIGHTS < 1 250 %
1 250 %
SUPERVISORY FORMULA METHOD
LOOK-THROUGH
INTERNAL ASSESMENT APPROACH
RISK WEIGHTS < 1 250 %
1 250 %
SUPERVISORY FORMULA METHOD
LOOK-THROUGH
INTERNAL ASSESMENT APPROACH
LONG
SHORT
(-) LONG
(-) SHORT
LONG
SHORT
7 - 10 %
12 - 18 %
20 - 35 %
40 - 75 %
100 %
150 %
200 %
225 %
250 %
300 %
350 %
425 %
500 %
650 %
750 %
850 %
RATED
UNRATED
AVERAGE RISK WEIGHT (%)
AVERAGE RISK WEIGHT (%)
7 - 10 %
12 - 18 %
20 - 35 %
40 - 75 %
100 %
150 %
200 %
225 %
250 %
300 %
350 %
425 %
500 %
650 %
750 %
850 %
RATED
UNRATED
AVERAGE RISK WEIGHT (%)
AVERAGE RISK WEIGHT (%)
WEIGHTED NET LONG POSITIONS
WEIGHTED NET SHORT POSITIONS
WEIGHTED NET LONG POSITIONS
WEIGHTED NET SHORT POSITIONS
SUM OF WEIGHTED NET LONG AND SHORT POSITIONS
WEIGHTED NET LONG POSITIONS
WEIGHTED NET SHORT POSITIONS
SUM OF WEIGHTED NET LONG AND SHORT POSITIONS
010
020
030
040
050
060
070
080
090
100
110
120
130
140
150
160
170
180
190
200
210
220
230
240
250
260
270
280
290
300
310
320
330
340
350
360
370
380
390
400
410
420
430
440
450
460
470
480
490
500
510
520
530
540
550
560
570
580
590
600
610
010
TOTAL EXPOSURES
Cell linked to MKR SA TDI {325:060}
020
Of which: RE-SECURITISATIONS
030
ORIGINATOR: TOTAL EXPOSURES
040
SECURITISATIONS
050
RE-SECURITISATIONS
060
INVESTOR: TOTAL EXPOSURES
070
SECURITISATIONS
080
RE-SECURITISATIONS
090
SPONSOR: TOTAL EXPOSURES
100
SECURITISATIONS
110
RE-SECURITISATIONS
BREAKDOWN OF THE TOTAL SUM OF WEIGHTED NET LONG AND NET SHORT POSITIONS BY UNDERLYING TYPES:
120
1. Residential mortgages
130
2. Commercial mortgages
140
3. Credit card receivables
150
4. Leasing
160
5. Loans to corporates or SMEs
170
6. Consumer loans
180
7. Trade receivables
190
8. Other assets
200
9. Covered Bondes
210
10. Other liabilities
C 20.00 - MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN THE CORRELATION TRADING PORTFOLIO (MKR SA CTP)
ALL POSITIONS
(-) POSITIONS DEDUCTED FROM OWN FUNDS
NET POSITIONS
BREAKDOWN OF THE NET POSITION (LONG) ACCORDING TO SA AND IRB RISK WEIGHTS
BREAKDOWN OF THE NET POSITION (SHORT) ACCORDING TO SA AND IRB RISK WEIGHTS
BEFORE CAP
AFTER CAP
TOTAL OWN FUNDS REQUIREMENTS
RISK WEIGHTS < 1 250 %
1 250 %
SUPERVISORY FORMULA METHOD
LOOK-THROUGH
INTERNAL ASSESMENT APPROACH
RISK WEIGHTS < 1 250 %
1 250 %
SUPERVISORY FORMULA METHOD
LOOK-THROUGH
INTERNAL ASSESMENT APPROACH
LONG
SHORT
(-) LONG
(-) SHORT
LONG
SHORT
7 - 10 %
12 - 18 %
20 - 35 %
40- 75 %
100 %
250 %
350 %
425 %
650 %
Other
RATED
UNRATED
AVERAGE RISK WEIGHT (%)
AVERAGE RISK WEIGHT (%)
7 - 10 %
12 - 18 %
20 - 35 %
40 - 75 %
100 %
250 %
350 %
425 %
650 %
Other
RATED
UNRATED
AVERAGE RISK WEIGHT (%)
AVERAGE RISK WEIGHT (%)
WEIGHTED NET LONG POSITIONS
WEIGHTED NET SHORT POSITIONS
WEIGHTED NET LONG POSITIONS
WEIGHTED NET SHORT POSITIONS
010
020
030
040
050
060
070
080
090
100
110
120
130
140
150
160
170
180
190
200
210
220
230
240
250
260
270
280
290
300
310
320
330
340
350
360
370
380
390
400
410
420
430
440
450
010
TOTAL EXPOSURES
Cell linked to MKR SA TDI {330:060}
SECURITISATION POSITIONS:
020
ORIGINATOR: TOTAL EXPOSURES
030
SECURITISATIONS
040
OTHER CTP POSITIONS
050
INVESTOR: TOTAL EXPOSURES
060
SECURITISATIONS
070
OTHER CTP POSITIONS
080
SPONSOR: TOTAL EXPOSURES
090
SECURITISATIONS
100
OTHER CTP POSITIONS
N-TH-TO-DEFAULT CREDIT DERIVATIVES:
110
N-TH-TO-DEFAULT CREDIT DERIVATIVES
120
OTHER CTP POSITIONS
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
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 non-reporting 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
Cell linked to CA
020
Currencies closely correlated
025
of which: reporting currency
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
C 23.00 - MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES (MKR SA COM)
ALL POSITIONS
NET POSITIONS
POSITIONS SUBJECT TO CAPITAL CHARGE
OWN FUNDS REQUIREMENTS
TOTAL RISK EXPOSURE AMOUNT
LONG
SHORT
LONG
SHORT
010
020
030
040
050
060
070
010
TOTAL POSITIONS IN COMMODITIES
Cell linked to CA
020
Precious metals (except gold)
030
Base metals
040
Agricultural products (softs)
050
Others
060
Of which energy products (oil, gas)
070
Maturity ladder approach
080
Extended maturity ladder approach
090
Simplified approach: All positions
100
Additional requirements for options (non-delta risks)
110
Simplified method
120
Delta plus approach - additional requirements for gamma risk
130
Delta plus approach - additional requirements for vega risk
140
Scenario matrix approach
C 24.00 - MARKET RISK INTERNAL MODELS (MKR IM)
VaR
STRESSED VaR
INCREMENTAL DEFAULT AND MIGRATION RISK CAPITAL CHARGE
ALL PRICE RISKS CAPITAL CHARGE FOR CTP
OWN FUNDS REQUIREMENTS
TOTAL RISK EXPOSURE AMOUNT
Number of overshootings during previous 250 working days
VaR Multiplication Factor (mc)
SVaR Multiplication Factor (ms)
ASSUMED CHARGE FOR CTP FLOOR - WEIGHTED NET LONG POSITIONS AFTER CAP
ASSUMED CHARGE FOR CTP FLOOR - WEIGHTED NET SHORT POSITIONS AFTER CAP
MULTIPLICATION FACTOR (mc) x AVERAGE OF PREVIOUS 60 WORKING DAYS (VaRavg)
PREVIOUS DAY (VaRt – 1)
MULTIPLICATION FACTOR (ms) x AVERAGE OF PREVIOUS 60 WORKING DAYS (SVaRavg)
LATEST AVAILABLE (SVaRt – 1)
12 WEEKS AVERAGE MEASURE
LAST MEASURE
FLOOR
12 WEEKS AVERAGE MEASURE
LAST MEASURE
030
040
050
060
070
080
090
100
110
120
130
140
150
160
170
180
010
TOTAL POSITIONS
Cell linked to CA
Memorandum items: BREAKDOWN OF MARKET RISK
020
Traded debt instruments
030
TDI - General risk
040
TDI - Specific Risk
050
Equities
060
Equities - General risk
070
Equities - Specific Risk
080
Foreign Exchange risk
090
Commodities risk
100
Total amount for general risk
110
Total amount for specific risk
C 25.00 - CREDIT VALUE ADJUSTMENT RISK (CVA)
EXPOSURE VALUE
VaR
STRESSED VaR
OWN FUNDS REQUIREMENTS
TOTAL RISK EXPOSURE AMOUNT
MEMORANDUM ITEMS
CVA RISK HEDGE NOTIONALS
of which: OTC Derivatives
of which: SFT
MULTIPLICATION FACTOR (mc) x AVERAGE OF PREVIOUS 60 WORKING DAYS (VaRavg)
PREVIOUS DAY (VaRt – 1)
MULTIPLICATION FACTOR (ms) x AVERAGE OF PREVIOUS 60 WORKING DAYS (SVaRavg)
LATEST AVAILABLE (SVaRt – 1)
Number of counterparties
of which: proxy was used to determine credit spread
INCURRED CVA
SINGLE NAME CDS
INDEX CDS
010
020
030
040
050
060
070
080
090
100
110
120
130
140
010
CVA risk total
Link to {CA2;r640;c010}
020
According to Advanced method
Link to {CA2;r650;c010}
030
According to Standardised method
Link to {CA2;r660;c010}
040
Based on OEM
Link to {CA2;r670;c010}
C 33.00 - GENERAL GOVERNMENTS EXPOSURES BY COUNTRY OF THE COUNTERPARTY (GOV)
Country:
Direct exposures
Memorandum item: credit derivatives sold on general government exposures
Exposure value
Risk weighted exposure amount
On-balance sheet exposures
Accumulated impairment
Accumulated negative changes in fair value due to credit risk
Derivatives
Off-balance sheet exposures
Total gross carrying amount of non-derivative financial assets
Total carrying amount of non-derivative financial assets (net of short positions)
Non-derivative financial assets by accounting portfolios
Short positions
Derivatives with positive fair value
Derivatives with negative fair value
Nominal amount
Provisions
Accumulated negative changes in fair value due to credit risk
Derivatives with positive fair value - Carrying amount
Derivatives with negative fair value - Carrying amount
Financial assets held for trading
Trading financial assets
Non-trading financial assets mandatorily at fair value through profit or loss
Financial assets designated at fair value through profit or loss
Non-trading non-derivative financial assets measured at fair value through profit or loss
Financial assets at fair value through other comprehensive income
Non-trading non-derivative financial assets measured at fair value to equity
Financial assets at amortised cost
Non-trading non-derivative financial assets measured at a cost-based method
Other non-trading non-derivative financial assets
Of which: Short positions from reverse repurchased loans classified as held for trading or trading financial assets
of which: from financial assets at fair value through other comprehensive income or from non-trading non-derivative financial assets measured at fair value to equity
of which: from non-trading financial assets mandatorily at fair value through profit or loss, financial assets designated at fair value through profit or loss or from non-trading financial assets measured at fair value through profit or loss
of which: from financial assets at fair value through other comprehensive income or from non-trading non-derivative financial assets measured at fair value to equity
Carrying amount
Notional amount
Carrying amount
Notional amount
010
020
030
040
050
060
070
080
090
100
110
120
130
140
150
160
170
180
190
200
210
220
230
240
250
260
270
280
290
300
010
Total exposures
BREAKDOWN OF TOTAL EXPOSURES BY RISK, REGULATORY APPROACH AND EXPOSURE CLASSES:
020
Exposures under the credit risk framework
030
Standardised Approach
040
Central governments
050
Regional governments or local authorities
060
Public sector entities
070
International Organisations
080
IRB Approach
090
Central governments
100
Regional governments or local authorities [Central governments]
110
Regional governments or local authorities [Institutions]
120
Public sector entities [Central governments]
130
Public sector entities [Institutions]
140
International Organisations [Central governments]
150
International Organisations [Institutions]
160
Exposures under the market risk framework
BREAKDOWN OF TOTAL EXPOSURES BY RESIDUAL MATURITY:
170
[ 0 - 3M [
180
[ 3M - 1Y [
190
[ 1Y - 2Y [
200
[ 2Y - 3Y [
210
[3Y - 5Y [
220
[5Y - 10Y [
230
[10Y – more
’

---
Source: https://www.legislation.gov.uk/eur/2017/2114/annex/I (the official version)
Page: https://openlegislation.uk/eu-regulation-2017-2114/annex-I
Contains public sector information licensed under the Open Government Licence v3.0. Source: legislation.gov.uk, The National Archives.