Annex I
United Kingdom
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 13.1 C 13.01 CREDIT RISK: SECURITISATIONS CR SEC 14 C 14.00 DETAILED INFORMATION ON SECURITISATIONS CR SEC Details 14.1 C 14.01 DETAILED INFORMATION ON SECURITISATIONS BY APPROACH CR SEC Details 2 OPERATIONAL RISK OPR 16 C 16.00 OPERATIONAL RISK OPR OPERATIONAL RISK: LOSSES AND RECOVERIES 17.1 C 17.01 OPERATIONAL RISK: LOSSES AND RECOVERIES BY BUSINESS LINES AND LOSS EVENT TYPES IN THE LAST YEAR OPR DETAILS 1 17.2 C 17.02 OPERATIONAL RISK: LARGE LOSS EVENTS OPR DETAILS 2 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 PRUDENT VALUATION MKR 32.1 C 32.01 PRUDENT VALUATION: FAIR-VALUED ASSETS AND LIABILITIES PRUVAL 1 32.2 C 32.02 PRUDENT VALUATION: CORE APPROACH PRUVAL 2 32.3 C 32.03 PRUDENT VALUATION: MODEL RISK AVA PRUVAL 3 32.4 C 32.04 PRUDENT VALUATION: CONCENTRATED POSITIONS AVA PRUVAL 4 GENERAL GOVERNMENTS EXPOSURES MKR 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) 051 1.1.1* Of which: Additional stricter prudential requirements based on Article 124 CRR 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 240 1.1.2 Internal ratings based Approach (IRB) 241 1.1.2* Of which: Additional stricter prudential requirements based on Article 164 CRR 242 1.1.2** Of which: Additional stricter prudential requirements based on Article 124 CRR 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 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 470 1.1.4 Securitisation positions 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 Article 458 CRR 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 Article 459 CRR 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: Total SREP Capital Requirement (TSCR), Overall Capital Requirement (OCR) and Pillar 2 Guidance (P2G) 130 13 Total SREP capital requirement (TSCR) ratio 140 13* TSCR: to be made up of CET1 capital 150 13** TSCR: to be made up of Tier 1 capital 160 14 Overall capital requirement (OCR) ratio 170 14* OCR: to be made up of CET1 capital 180 14** OCR: to be made up of Tier 1 capital 190 15 OCR and Pillar 2 Guidance (P2G) 200 15* OCR and P2G: to be made up of CET1 capital 210 15** OCR and P2G: to be made up of Tier 1 capital 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 COUNTER-CYCLICAL 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) TYPE OF ENTITY 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 REQUIREMENT 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 COUNTER-CYCLICAL 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 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 MINORITY INTERESTS INCLUDED IN CONSOLIDATED COMMON EQUITY TIER 1 CAPITAL QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED ADDITIONAL TIER 1 CAPITAL 010 020 025 030 035 040 050 060 070 080 090 100 110 120 130 140 150 160 170 180 190 200 210 220 230 240 250 260 270 280 290 300 310 320 330 340 350 360 370 380 390 400 410 420 430 440 450 470 480 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 in exposure classes “items associated with a particular high risk” and “equity 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 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 EXPECTED LOSS AMOUNT (-) VALUE ADJUSTMENTS AND PROVISIONS NUMBER OF OBLIGORS REAL ESTATE OTHER PHYSICAL COLLATERAL RECEIVABLES OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES 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 Observed new defaults for the period General credit risk adjustments Specific credit risk adjustments Write offs 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 Defaulted exposures 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 Observed new defaults for the period General credit risk adjustments Specific credit risk adjustments Write off Credit risk adjustments/write-offs for observed new defaults PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%) EXPOSURE WEIGHTED AVERAGE LGD (%) EXPOSURE VALUE RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR EXPECTED LOSS AMOUNT Of which: defaulted Of which: defaulted Of which: defaulted 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 Lendingsubject 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 Approach 040 Value of trading book exposures for internal models Relevant credit exposures – Securitisation 055 Exposure value of securitisation positions in the banking book 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 13.01 – CREDIT RISK: SECURITISATIONS (CR SEC)
TOTAL AMOUNT OF SECURITISATI0N EXPOSURES ORIGINATED SYNTHETIC SECURITIZATIONS: 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*) (-) NON REFUNDABLE PURCHASE PRICE DISCOUNT (-) SPECIFIC CREDIT RISK ADJUSTMENTS ON UNDERLYING EXPOSURES EXPOSURE VALUE BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS RISK-WEIGHTED EXPOSURE AMOUNT ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO MATURITY MISMATCHES OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF CHAPTER 2 OF REGULATION (EU) 2017/2402 BEFORE CAP (-) REDUCTION DUE TO RISK WEIGHT CAP (-) REDUCTION DUE TO OVERALL CAP TOTAL RISK-WEIGHTED EXPOSURE AMOUNT MEMORANDUM ITEM: RISK WEIGHTED EXPOSURE AMOUNT CORRESPONDING TO THE OUTFLOWS FROM SECURITISATIONS 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 OF WHICH: SUBJECT TO A CCF OF 0 % (-) DEDUCTED FROM OWN FUNDS SUBJECT TO RISK WEIGHTS SEC-IRBA SEC-SA SEC-ERBA INTERNAL ASSESSMENT APPROACH OTHER (RW=1 250 %) SEC-IRBA SEC-SA SEC-ERBA INTERNAL ASSESSMENT APPROACH OTHER (RW=1 250 %) OF WHICH: SYNTHETIC SECURITISATIONS BREAKDOWN BY RW BANDS OF WHICH: CALCULATED UNDER ARTICLE 255 (4) (PURCHASED RECEIVABLES) BREAKDOWN BY RW BANDS BREAKDOWN BY CREDIT QUALITY STEPS BREAKDOWN BY REASONS FOR APPLICATION OF SEC-ERBA BREAKDOWN BY RW BANDS OF WHICH: CALCULATED UNDER ARTICLE 255 (4) (PURCHASED RECEIVABLES) OF WHICH: RW=1 250 % (W UNKNOWN) AUTO LOANS, AUTO LEASES AND EQUIPMENT LEASES SEC-ERBA OPTION POSITIONS SUBJECT TO ART. 254(2)(a) CRR POSITIONS SUBJECT TO ART. 254(2)(b) CRR POSITIONS SUBJECT TO ART. 254 (4) OR 258 (2) CRR FOLLOWING THE HIERARCHY OF APPROACHES AVERAGE RISK WEIGHT (%) (-) UNFUNDED CREDIT PROTECTION ADJUSTED VALUES (G*) (-) TOTAL OUTFLOWS TOTAL INFLOWS =< 20 % RW >20 % TO 50 % RW >50 % TO 100 % RW >100 % TO < 1 250 % RW 1 250 % RW =< 20 % RW >20 % TO 50 % RW >50 % TO 100 % RW >100 % TO < 1 250 % RW 1 250 % RW (W UNKNOWN) 1 250 % RW (OTHER) SHORT TERM CREDIT QUALITY STEPS LONG TERM CREDIT QUALITY STEPS AUTO LOANS, AUTO LEASES AND EQUIPMENT LEASES SEC-ERBA OPTION POSITIONS SUBJECT TO POINT (a) OF ARTICLE 254(2) CRR POSITIONS SUBJECT TO POINT (b) OF ARTICLE 254(2) CRR POSITIONS SUBJECT TO ARTICLES 254 (4) OR 258 (2) CRR FOLLOWING THE HIERARCHY OF APPROACHES =< 20 % RW >20 % TO 50 % RW >50 % TO 100 % RW >100 % TO < 1 250 % RW 1 250 % RW CQS 1 CQS 2 CQS 3 ALL OTHER CQS CQS 1 CQS 2 CQS 3 CQS 4 CQS 5 CQS 6 CQS 7 CQS 8 CQS 9 CQS 10 CQS 11 CQS 12 CQS 13 CQS 14 CQS 15 CQS 16 CQS 17 ALL OTHER CQS 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110 0120 0130 0140 0150 0160 0170 0180 0190 0200 0210 0220 0230 0240 0250 0260 0270 0280 0290 0300 0310 0320 0330 0340 0350 0360 0370 0380 0390 0400 0410 0420 0430 0440 0450 0460 0470 0480 0490 0500 0510 0520 0530 0540 0550 0560 0570 0580 0590 0600 0610 0620 0630 0640 0650 0660 0670 0680 0690 0700 0710 0720 0730 0740 0750 0760 0770 0780 0790 0800 0810 0820 0830 0840 0850 0860 0870 0880 0890 0900 0910 0920 0930 0010 TOTAL EXPOSURES Cell linked to CA 0020 SECURITISATION POSITIONS 0030 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT 0040 STS EXPOSURES 0050 SENIOR POSITION IN SMEs SECURITISATIONS 0060 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT 0070 RE-SECURITISATION POSITIONS 0080 ORIGINATOR: TOTAL EXPOSURES 0090 SECURITISATION POSITIONS: ON-BALANCE SHEET ITEMS 0100 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT 0110 OF WHICH: SENIOR EXPOSURES 0120 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT 0130 OF WHICH: SENIOR EXPOSURES 0140 SECURITISATION POSITIONS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES 0150 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT 0160 OF WHICH: SENIOR EXPOSURES 0170 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT 0180 OF WHICH: SENIOR EXPOSURES 0190 RE-SECURITISATION POSITIONS 0200 INVESTOR: TOTAL EXPOSURES 0210 SECURITISATION POSITIONS: ON-BALANCE SHEET ITEMS 0220 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT 0230 OF WHICH: SENIOR EXPOSURES 0240 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT 0250 OF WHICH: SENIOR EXPOSURES 0260 SECURITISATION POSITIONS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES 0270 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT 0280 OF WHICH: SENIOR EXPOSURES 0290 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT 0300 OF WHICH: SENIOR EXPOSURES 0310 RE-SECURITISATION POSITIONS 0320 SPONSOR: TOTAL EXPOSURES 0330 SECURITISATION POSITIONS: ON-BALANCE SHEET ITEMS 0340 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT 0350 OF WHICH: SENIOR EXPOSURES 0360 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT 0370 OF WHICH: SENIOR EXPOSURES 0380 SECURITISATION POSITIONS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES 0390 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT 0400 OF WHICH: SENIOR EXPOSURES 0410 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT 0420 OF WHICH: SENIOR EXPOSURES 0430 RE-SECURITISATION POSITIONS 0440 BREAKDOWN OF OUTSTANDING POSITIONS BY CQS AT INCEPTION: Short term 0450 CQS 1 0460 CQS 2 0470 CQS 3 0480 ALL OTHER CQS AND UNRATED 0490 BREAKDOWN OF OUTSTANDING POSITIONS BY CQS AT INCEPTION: Long term 0500 CQS 1 0510 CQS 2 0520 CQS 3 0530 CQS 4 0540 CQS 5 0550 CQS 6 0560 CQS 7 0570 CQS 8 0580 CQS 9 0590 CQS 10 0600 CQS 11 0610 CQS 12 0620 CQS 13 0630 CQS 14 0640 CQS 15 0650 CQS 16 0660 CQS 17 0670 ALL OTHER CQS AND UNRATED C 14.00 – DETAILED INFORMATION ON SECURITISATIONS (SEC Details)
ROW NUMBER INTERNAL CODE IDENTIFIER OF THE SECURITISATION INTRA-GROUP, PRIVATE OR PUBLIC SECURITISATION? ROLE OF THE INSTITUTION: (ORIGINATOR / SPONSOR / ORIGINAL LENDER / INVESTOR) IDENTIFIER OF THE ORIGINATOR SECURITISATION TYPE: (TRADITIONAL / SYNTHETIC / ABCP PROGRAMME / ABCP TRANSACTION) ACCOUNTING TREATMENT: SECURITISED EXPOSURES ARE KEPT OR REMOVED FROM THE BALANCE SHEET? SOLVENCY TREATMENT: Securitisation positions subject to own funds requirements ? SIGNIFICANT RISK TRANSFER SECURITISATION OR RE-SECURITISATION? STS OR NON-STS SECURITISATION? SECURITISATION QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT? RETENTION NON ABCP PROGRAMMES SECURITISED EXPOSURES SECURITISATION STRUCTURE TYPE OF RETENTION APPLIED % OF RETENTION AT REPORTING DATE COMPLIANCE WITH THE RETENTION REQUIREMENT? ORIGINATION DATE (mm/yyyy) DATE OF LATEST ISSUANCE (mm/yyyy) TOTAL AMOUNT OF SECURITISED EXPOSURES AT ORIGINATION DATE TOTAL AMOUNT INSTITUTION’S SHARE (%) TYPE % of IRB IN APPROACH APPLIED NUMBER OF EXPOSURES EXPOSURES IN DEFAULT W (%) COUNTRY LGD (%) EL% UL% EXPOSURE-WEIGHTED AVERAGE MATURITY OF ASSETS (-) VALUE ADJUSTMENTS AND PROVISIONS OWN FUNDS REQUIREMENTS BEFORE SECURITISATION (%) Kirb % OF RETAIL EXPOSURES IN IRB POOLS OWN FUNDS REQUIREMENTS BEFORE SECURITISATION (%) Ksa MEMORANDUM ITEMS ON-BALANCE SHEET ITEMS OFF-BALANCE SHEET ITEMS AND DERIVATIVES MATURITY MEMORANDUM ITEMS CREDIT RISK ADJUSTMENTS DURING THE CURRENT PERIOD SENIOR MEZZANINE FIRST LOSS SENIOR MEZZANINE FIRST LOSS FIRST FORESEEABLE TERMINATION DATE ORIGINATOR’S CALL OPTIONS INCLUDED IN TRANSACTION LEGAL FINAL MATURITY DATE ATTACHMENT POINT OF RISK SOLD (%) DETACHMENT POINT OF RISK SOLD (%) RISK TRANSFER CLAIMED BY ORIGINATOR INSTITUTION (%) AMOUNT ATTACHMENT POINT (%) CQS AMOUNT NUMBER OF TRANCHES CQS OF THE MOST SUBORDINATED ONE AMOUNT DETACHMENT POINT (%) CQS 005 010 020 021 110 030 040 051 060 061 070 075 446 080 090 100 120 121 130 140 150 160 171 180 181 190 201 202 203 204 210 221 222 223 225 230 231 232 240 241 242 250 251 252 260 270 280 290 291 300 302 303 304 C 14.01 – DETAILED INFORMATION ON SECURITISATIONS BY APPROACH (SEC Details Approach)
Approach:
ROW NUMBER INTERNAL CODE IDENTIFIER OF THE SECURITISATION SECURITISATION POSITIONS EXPOSURE VALUE (-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS TOTAL RISK-WEIGHTED EXPOSURE AMOUNT MEMORANDUM ITEMS SECURITISATION POSITIONS - TRADING BOOK ORIGINAL EXPOSURE PRE-CONVERSION FACTORS MEMORANDUM ITEMS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES PRE CONVERSION FACTORS RISK-WEIGHTED EXPOSURE AMOUNT UNDER SEC-ERBA RISK WEIGHTED EXPOSURE AMOUNT UNDER SEC-SA CTP OR NON-CTP? NET POSITIONS ON-BALANCE SHEET ITEMS OFF-BALANCE SHEET ITEMS AND DERIVATIVES DIRECT CREDIT SUBSTITUTES IRS / CRS LIQUIDITY FACILITIES OTHER SENIOR MEZZANINE FIRST LOSS SENIOR MEZZANINE FIRST LOSS BEFORE CAP (-) REDUCTION DUE TO RISK WEIGHT CAP (-) REDUCTION DUE TO OVERALL CAP AFTER CAP RW CORRESPONDING TO PROTECTION PROVIDER / INSTRUMENT RW CORRESPONDING TO PROTECTION PROVIDER / INSTRUMENT LONG SHORT 005 010 020 310 320 330 340 350 351 360 361 370 380 390 400 411 420 430 431 432 440 447 448 450 460 470 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) 010 020 030 040 050 060 070 071 080 090 100 110 120 010 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 LOSS EVENT TYPES IN THE LAST YEAR (OPR DETAILS 1)
MAPPING OF LOSSES TO BUSINESS LINES LOSS EVENT TYPES TOTAL LOSS 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 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0010 CORPORATE FINANCE [CF] Number of loss events (new loss events) 0020 Gross loss amount (new loss events) 0030 Number of loss events subject to loss adjustments 0040 Loss adjustments relating to previous reporting periods 0050 Maximum single loss 0060 Sum of the five largest losses 0070 Total direct loss recovery 0080 Total recovery from insurance and other risk transfer mechanisms 0110 TRADING AND SALES [TS] Number of loss events (new loss events) 0120 Gross loss amount (new loss events) 0130 Number of loss events subject to loss adjustments 0140 Loss adjustments relating to previous reporting periods 0150 Maximum single loss 0160 Sum of the five largest losses 0170 Total direct loss recovery 0180 Total recovery from insurance and other risk transfer mechanisms 0210 RETAIL BROKERAGE [RBr] Number of loss events (new loss events) 0220 Gross loss amount (new loss events) 0230 Number of loss events subject to loss adjustments 0240 Loss adjustments relating to previous reporting periods 0250 Maximum single loss 0260 Sum of the five largest losses 0270 Total direct loss recovery 0280 Total recovery from insurance and other risk transfer mechanisms 0310 COMMERCIAL BANKING [CB] Number of events (new loss events) 0320 Gross loss amount (new loss events) 0330 Number of loss events subject to loss adjustments 0340 Loss adjustments relating to previous reporting periods 0350 Maximum single loss 0360 Sum of the five largest losses 0370 Total direct loss recovery 0380 Total recovery from insurance and other risk transfer mechanisms 0410 RETAIL BANKING [RB] Number of loss events (new loss events) 0420 Gross loss amount (new loss events) 0430 Number of loss events subject to loss adjustments 0440 Loss adjustments relating to previous reporting periods 0450 Maximum single loss 0460 Sum of the five largest losses 0470 Total direct loss recovery 0480 Total recovery from insurance and other risk transfer mechanisms 0510 PAYMENT AND SETTLEMENT [PS] Number of loss events (new loss events) 0520 Gross loss amount (new loss events) 0530 Number of loss events subject to loss adjustments 0540 Loss adjustments relating to previous reporting periods 0550 Maximum single loss 0560 Sum of the five largest losses 0570 Total direct loss recovery 0580 Total recovery from insurance and other risk transfer mechanisms 0610 AGENCY SERVICES [AS] Number of loss events (new loss events) 0620 Gross loss amount (new loss events) 0630 Number of loss events subject to loss adjustments 0640 Loss adjustments relating to previous reporting periods 0650 Maximum single loss 0660 Sum of the five largest losses 0670 Total direct loss recovery 0680 Total recovery from insurance and other risk transfer mechanisms 0710 ASSET MANAGEMENT [AM] Number of loss events (new loss events) 0720 Gross loss amount (new loss events) 0730 Number of loss events subject to loss adjustments 0740 Loss adjustments relating to previous reporting periods 0750 Maximum single loss 0760 Sum of the five largest losses 0770 Total direct loss recovery 0780 Total recovery from insurance and other risk transfer mechanisms 0810 CORPORATE ITEMS [CI] Number of loss events (new loss events) 0820 Gross loss amount (new loss events) 0830 Number of loss events subject to loss adjustments 0840 Loss adjustments relating to previous reporting periods 0850 Maximum single loss 0860 Sum of the five largest losses 0870 Total direct loss recovery 0880 Total recovery from insurance and other risk transfer mechanisms 0910 TOTAL BUSINESS LINES Number of loss events (new loss events). Of which: 0911 related to losses ≥ 10 000 and < 20 000 0912 related to losses ≥ 20 000 and < 100 000 0913 related to losses ≥ 100 000 and < 1 000 000 0914 related to losses ≥ 1 000 000 0920 Gross loss amount (new loss events). Of which: 0921 related to losses ≥ 10 000 and < 20 000 0922 related to losses ≥ 20 000 and < 100 000 0923 related to losses ≥ 100 000 and < 1 000 000 0924 related to losses ≥ 1 000 000 0930 Number of loss events subject to loss adjustments. Of which: 0935 of which: number of loss events with a positive loss adjustment 0936 of which: number of loss events with a negative loss adjustment 0940 Loss adjustments relating to previous reporting periods 0945 of which: positive loss adjustment amounts (+) 0946 of which: negative loss adjustment amounts (-) 0950 Maximum single loss 0960 Sum of the five largest losses 0970 Total direct loss recovery 0980 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 Loss 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 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110 0120 0130 0140 0150 0160 0170 0180 0190 0200 … 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 385 Delta plus approach – non-continuous options and warrants 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) BY RISK WEIGHTS BREAKDOWN OF THE NET POSITIONS (SHORT) BY RISK WEIGHTS BREAKDOWN OF THE NET POSITION BY APPROACHES OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF CHAPTER 2 OF REGULATION (EU) 2017/2402 BEFORE CAP AFTER CAP / TOTAL OWN FUND REQUIREMENTS LONG SHORT (-) LONG (-) SHORT LONG SHORT [0 – 10 %[ [10 – 12 %[ [12 – 20 %[ [20 – 40 %[ [40 – 100 %[ [100 – 150 %[ [150 – 200 %[ [200 – 225 %[ [225 – 250 %[ [250 – 300 %[ [300 – 350 %[ [350 – 425 %[ [425 – 500 %[ [500 – 650 %[ [650 – 750 %[ [750 – 850 %[ [850 – 1 250 %[ 1 250 % [0 – 10 %[ [10 – 12 %[ [12 – 20 %[ [20 – 40 %[ [40 – 100 %[ [100 – 150 %[ [150 – 200 %[ [200 – 225 %[ [225 – 250 %[ [250 – 300 %[ [300 – 350 %[ [350 – 425 %[ [425 – 500 %[ [500 – 650 %[ [650 – 750 %[ [750 – 850 %[ [850 – 1 250 %[ 1 250 % SEC-IRBA SEC-SA SEC-ERBA INTERNAL ASSESSMENT APPROACH OTHER (RW=1 250 %) WEIGHTED NET LONG POSITIONS WEIGHTED NET SHORT POSITIONS 010 020 030 040 050 060 061 062 063 064 065 066 071 072 073 074 075 076 077 078 079 081 082 083 085 086 087 088 089 091 092 093 094 095 096 097 098 099 101 102 103 0104 402 403 404 405 406 530 540 570 601 010 TOTAL EXPOSURES Cell linked to MKR SA TDI {325:060} 020 Of which: RE-SECURITISATIONS 030 ORIGINATOR: TOTAL EXPOSURES 040 SECURITISATION POSITIONS 041 OF WHICH: QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT 050 RE-SECURITISATION POSITONS 060 INVESTOR: TOTAL EXPOSURES 070 SECURITISATION POSITIONS 071 OF WHICH: QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT 080 RE-SECURITISATION POSITONS 090 SPONSOR: TOTAL EXPOSURES 100 SECURITISATION POSITIONS 101 OF WHICH: QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT 110 RE-SECURITISATION POSITONS 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) BY RISK WEIGHTS BREAKDOWN OF THE NET POSITION (SHORT) BY RISK WEIGHTS BREAKDOWN OF THE NET POSITION BY APPROACHES BEFORE CAP AFTER CAP TOTAL OWN FUNDS REQUIREMENTS LONG SHORT (-) LONG (-) SHORT LONG SHORT [0 – 10 %[ [10 – 12 %[ [12 – 20 %[ [20 – 40 %[ [40 – 100 %[ [100 – 250 %[ [250 – 350 %[ [350 – 425 %[ [425 – 650 %[ [650 – 1 250 %[ 1 250 % [0 – 10 %[ [10 – 12 %[ [12 – 20 %[ [20 – 40 %[ [40 – 100 %[ [100 – 250 %[ [250 – 350 %[ [350 – 425 %[ [425 – 650 %[ [650 – 1 250 %[ 1 250 % SEC-IRBA SEC-SA SEC-ERBA INTERNAL ASSESSMENT APPROACH OTHER (RW=1 250 %) WEIGHTED NET LONG POSITIONS WEIGHTED NET SHORT POSITIONS WEIGHTED NET LONG POSITIONS WEIGHTED NET SHORT POSITIONS 010 020 030 040 050 060 071 072 073 074 075 076 077 078 079 081 082 086 087 088 089 091 092 093 094 095 096 097 402 403 404 405 406 410 420 430 440 450 010 TOTAL EXPOSURES Cell linked to MKR SA TDI {330:060} SECURITISATION POSITIONS: 020 ORIGINATOR: TOTAL EXPOSURES 030 SECURITISATION POSITIONS 040 OTHER CTP POSITIONS 050 INVESTOR: TOTAL EXPOSURES 060 SECURITISATION POSITIONS 070 OTHER CTP POSITIONS 080 SPONSOR: TOTAL EXPOSURES 090 SECURITISATION POSITIONS 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 125 Delta plus approach – non-continuous options and warrants 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 085 Delta plus approach – non-continuous options and warrants 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 135 Delta plus approach – non-continuous options and warrants 140 Scenario matrix approach C 24.00 – MARKET RISK INTERNAL MODELS (MKR IM)
Value at Risk (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 Advanced method Link to {CA2;r650;c010} 030 Standardised method Link to {CA2;r660;c010} 040 Based on OEM Link to {CA2;r670;c010} C 32.01 – PRUDENT VALUATION: FAIR-VALUED ASSETS AND LIABILITIES (PRUVAL 1)
FAIR-VALUED ASSETS AND LIABILITIES FAIR-VALUED ASSETS AND LIABILITIES EXCLUDED BECAUSE OF PARTIAL IMPACT ON CET1 FAIR-VALUED ASSETS AND LIABILITIES INCLUDED IN ARTICLE 4(1) THRESHOLD OF WHICH: TRADING BOOK EXACTLY MATCHING HEDGE ACCOUNTING PRUDENTIAL FILTERS OTHER COMMENTS FOR OTHER OF WHICH: TRADING BOOK 0010 0020 0030 0040 0050 0060 0070 0080 0090 0010 1 TOTAL FAIR-VALUED ASSETS AND LIABILITIES 0020 1.1 TOTAL FAIR-VALUED ASSETS 0030 1.1.1 FINANCIAL ASSETS HELD FOR TRADING 0040 1.1.2 TRADING FINANCIAL ASSETS 0050 1.1.3 NON-TRADING FINANCIAL ASSETS MANDATORILY AT FAIR VALUE THROUGH PROFIT OR LOSS 0060 1.1.4 FINANCIAL ASSETS DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS 0070 1.1.5 FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME 0080 1.1.6 NON-TRADING NON-DERIVATIVE FINANCIAL ASSETS MEASURED AT FAIR VALUE THROUGH PROFIT OR LOSS 0090 1.1.7 NON-TRADING NON-DERIVATIVE FINANCIAL ASSETS MEASURED AT FAIR VALUE TO EQUITY 0100 1.1.8 OTHER NON-TRADING NON-DERIVATIVE FINANCIAL ASSETS 0110 1.1.9 DERIVATIVES – HEDGE ACCOUNTING 0120 1.1.10 FAIR VALUE CHANGES OF THE HEDGED ITEMS IN PORTFOLIO HEDGE OF INTEREST RATE RISK 0130 1.1.11 INVESTMENTS IN SUBSIDIARIES, JOINT VENTURES AND ASSOCIATES 0140 1.1.12 (-) HAIRCUTS FOR TRADING ASSETS AT FAIR VALUE 0150 1.2 TOTAL FAIR-VALUED LIABILITIES 0160 1.2.1 FINANCIAL LIABILITIES HELD FOR TRADING 0170 1.2.2 TRADING FINANCIAL LIABILITIES 0180 1.2.3 FINANCIAL LIABILITIES DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS 0190 1.2.4 DERIVATIVES – HEDGE ACCOUNTING 0200 1.2.5 FAIR VALUE CHANGES OF THE HEDGED ITEMS IN PORTFOLIO HEDGE OF INTEREST RATE RISK 0210 1.2.6 HAIRCUTS FOR TRADING LIABILITIES AT FAIR VALUE C 32.02 – PRUDENT VALUATION: CORE APPROACH (PRUVAL 2)
CATEGORY LEVEL AVA TOTAL AVA UPSIDE UNCERTAINTY FAIR-VALUED ASSETS AND LIABILITIES QTD REVENUE IPV DIFFERENCE FAIR VALUE ADJUSTMENTS DAY 1 P&L EXPLANATION DESCRIPTION MARKET PRICE UNCERTAINTY CLOSE-OUT COSTS MODEL RISK CONCENTRATED POSITIONS FUTURE ADMINISTRATIVE COSTS EARLY TERMINATION OPERATIONAL RISK FAIR-VALUED ASSETS FAIR-VALUED LIABILITIES MARKET PRICE UNCERTAINTY CLOSE-OUT COSTS MODEL RISK CONCENTRATED POSITIONS UNEARNED CREDIT SPREADS INVESTING AND FUNDING COSTS FUTURE ADMINIS-TRATIVE COSTS EARLY TERMINATION OPERA- TIONAL RISK OF WHICH: CALCULATED USING THE EXPERT BASED APPROACH OF WHICH: CALCULATED USING THE EXPERT BASED APPROACH OF WHICH: CALCULATED USING THE EXPERT BASED APPROACH 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110 0120 0130 0140 0150 0160 0170 0180 0190 0200 0210 0220 0230 0240 0250 0260 0270 0010 1 TOTAL CORE APPROACH 0020 OF WHICH: TRADING BOOK 0030 1.1 PORTFOLIOS UNDER ARTICLES 9 TO 17 OF COMMISION DELEGATED REGULATION (EU) 2016/101 – TOTAL CATEGORY LEVEL POST-DIVERSIFICATION 0040 1.1.1 TOTAL CATEGORY LEVEL PRE-DIVERSIFICATION 0050 1.1.1* OF WHICH: UNEARNED CREDIT SPREADS AVA 0060 1.1.1** OF WHICH: INVESTMENT AND FUNDING COSTS AVA 0070 1.1.1*** OF WHICH: AVA ASSESSED TO HAVE ZERO VALUE UNDER ARTICLE 9(2) OF DELEGATED REGULATION (EU) 2016/101 0080 1.1.1**** OF WHICH: AVA ASSESSED TO HAVE ZERO VALUE UNDER PARAGRAPHS 2 AND 3 OF ARTICLE 10 OF DELEGATED REGULATION (EU) 2016/101 0090 1.1.1.1 INTEREST RATES 0100 1.1.1.2 FOREIGN EXCHANGE 0110 1.1.1.3 CREDIT 0120 1.1.1.4 EQUITIES 0130 1.1.1.5 COMMODITIES 0140 1.1.2 (-) DIVERSIFICATION BENEFITS 0150 1.1.2.1 (-) DIVERSIFICATION BENEFIT CALCULATED USING METHOD 1 0160 1.1.2.2 (-) DIVERSIFICATION BENEFIT CALCULATED USING METHOD 2 0170 1.1.2.2* MEMORANDUM ITEM: PRE-DIVERSIFICATION AVAS REDUCED BY MORE THAN 90 % BY DIVERSIFICATION UNDER METHOD 2 0180 1.2 PORTFOLIOS UNDER THE FALL-BACK APPROACH 0190 1.2.1 100 % OF NET UNREALISED PROFIT 0200 1.2.2 10 % OF NOTIONAL VALUE 0210 1.2.3 25 % OF INCEPTION VALUE C 32.03 – PRUDENT VALUATION: MODEL RISK AVA (PRUVAL 3)
RANK MODEL RISK CATEGORY PRODUCT OBSER-VABILITY MODEL RISK AVA AGGREGATED AVA CALCULATED UNDER METHOD 2 FAIR-VALUED ASSETS AND LIABILITIES IPV DIFFERENCE (OUTPUT TESTING) IPV COVERAGE (OUTPUT TESTING) FAIR VALUE ADJUSTMENTS DAY1 P&L OF WHICH: USING EXPERT APPROACH OF WHICH: AGGREGATED USING METHOD 2 FV ASSETS FV LIABILITIES MODEL RISK EARLY TERMINATION 0005 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110 0120 0130 0140 0150 C 32.04 – PRUDENT VALUATION: CONCENTRATED POSITIONS AVA (PRUVAL 4)
RANK RISK CATEGORY PRODUCT UNDERLYING CONCENTRATED POSITION SIZE SIZE MEASURE MARKET VALUE PRUDENT EXIT PERIOD CONCENTRATED POSITIONS AVA CONCENTRATED POSITION FAIR VALUE ADJUSTMENT IPV DIFFERENCE 0005 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 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 075 Other general government exposures subject to Standardised Approach 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] 155 Other general government exposures subject to IRB Approach 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