{
  "url": "https://openlegislation.uk/eu-regulation-2020-429/annex-I",
  "json_url": "https://openlegislation.uk/eu-regulation-2020-429/annex-I.json",
  "legislation": "eur/2020/429",
  "legislation_title": "Commission Implementing Regulation (EU) 2020/429 of 14 February 2020 amending Implementing Regulation (EU) No 680/2014 laying down implementing technical standards with regard to supervisory reporting of institutions according to Regulation (EU) No 575/2013 of the European Parliament and of the Council (Text with EEA relevance)",
  "legislation_url": "https://openlegislation.uk/eu-regulation-2020-429",
  "path": "annex/I",
  "kind": "annex",
  "number": "I",
  "heading": null,
  "text": "ANNEX I\nREPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS\nCOREP TEMPLATES\nTemplate number\nTemplate code\nName of the template /group of templates\nShort name\nCAPITAL ADEQUACY\nCA\n1\nC 01.00\nOWN FUNDS\nCA1\n2\nC 02.00\nOWN FUNDS REQUIREMENTS\nCA2\n3\nC 03.00\nCAPITAL RATIOS\nCA3\n4\nC 04.00\nMEMORANDUM ITEMS:\nCA4\nTRANSITIONAL PROVISIONS\nCA5\n5.1\nC 05.01\nTRANSITIONAL PROVISIONS\nCA5.1\n5.2\nC 05.02\nGRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUING STATE AID\nCA5.2\nGROUP SOLVENCY\nGS\n6.1\nC 06.01\nGROUP SOLVENCY: INFORMATION ON AFFILIATES – TOTAL\nGS Total\n6.2\nC 06.02\nGROUP SOLVENCY: INFORMATION ON AFFILIATES\nGS\nCREDIT RISK\nCR\n7\nC 07.00\nCREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: STANDARDISED APPROACH TO CAPITAL REQUIREMENTS\nCR SA\nCREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS\nCR IRB\n8.1\nC 08.01\nCREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS\nCR IRB 1\n8.2\nC 08.02\nCREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS (Breakdown by obligor grades or pools)\nCR IRB 2\nGEOGRAPHICAL BREAKDOWN\nCR GB\n9.1\nC 09.01\nTable 9.1 – Geographical breakdown of exposures by residence of the obligor (SA exposures)\nCR GB 1\n9.2\nC 09.02\nTable 9.2 – Geographical breakdown of exposures by residence of the obligor (IRB exposures)\nCR GB 2\n9.4\nC 09.04\nTable 9.4 – Breakdown of credit exposures relevant for the calculation of the countercyclical buffer by country and institution-specific countercyclical buffer rate\nCCB\nCREDIT RISK: EQUITY – IRB APPROACHES TO CAPITAL REQUIREMENTS\nCR EQU IRB\n10.1\nC 10.01\nCREDIT RISK: EQUITY – IRB APPROACHES TO CAPITAL REQUIREMENTS\nCR EQU IRB 1\n10.2\nC 10.02\nCREDIT RISK: EQUITY – IRB APPROACHES TO CAPITAL REQUIREMENTS. BREAKDOWN OF TOTAL EXPOSURES UNDER THE PD/LGD APRROACH BY OBLIGOR GRADES:\nCR EQU IRB 2\n11\nC 11.00\nSETTLEMENT/DELIVERY RISK\nCR SETT\n13.1\nC 13.01\nCREDIT RISK: SECURITISATIONS\nCR SEC\n14\nC 14.00\nDETAILED INFORMATION ON SECURITISATIONS\nCR SEC Details\n14.1\nC 14.01\nDETAILED INFORMATION ON SECURITISATIONS BY APPROACH\nCR SEC Details 2\nOPERATIONAL RISK\nOPR\n16\nC 16.00\nOPERATIONAL RISK\nOPR\nOPERATIONAL RISK: LOSSES AND RECOVERIES\n17.1\nC 17.01\nOPERATIONAL RISK: LOSSES AND RECOVERIES BY BUSINESS LINES AND LOSS EVENT TYPES IN THE LAST YEAR\nOPR DETAILS 1\n17.2\nC 17.02\nOPERATIONAL RISK: LARGE LOSS EVENTS\nOPR DETAILS 2\nMARKET RISK\nMKR\n18\nC 18.00\nMARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS\nMKR SA TDI\n19\nC 19.00\nMARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS\nMKR SA SEC\n20\nC 20.00\nMARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN THE CORRELATION TRADING PORTFOLIO\nMKR SA CTP\n21\nC 21.00\nMARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES\nMKR SA EQU\n22\nC 22.00\nMARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK\nMKR SA FX\n23\nC 23.00\nMARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES\nMKR SA COM\n24\nC 24.00\nMARKET RISK INTERNAL MODELS\nMKR IM\n25\nC 25.00\nCREDIT VALUE ADJUSTMENT RISK\nCVA\nPRUDENT VALUATION\nMKR\n32.1\nC 32.01\nPRUDENT VALUATION: FAIR-VALUED ASSETS AND LIABILITIES\nPRUVAL 1\n32.2\nC 32.02\nPRUDENT VALUATION: CORE APPROACH\nPRUVAL 2\n32.3\nC 32.03\nPRUDENT VALUATION: MODEL RISK AVA\nPRUVAL 3\n32.4\nC 32.04\nPRUDENT VALUATION: CONCENTRATED POSITIONS AVA\nPRUVAL 4\nGENERAL GOVERNMENTS EXPOSURES\nMKR\n33\nC 33.00\nGENERAL GOVERNMENTS EXPOSURES BY COUNTRY OF THE COUNTERPARTY\nGOV\nC 01.00 – OWN FUNDS (CA1)\nRows\nID\nItem\nAmount\n010\n1\nOWN FUNDS\n015\n1.1\nTIER 1 CAPITAL\n020\n1.1.1\nCOMMON EQUITY TIER 1 CAPITAL\n030\n1.1.1.1\nCapital instruments eligible as CET1 Capital\n040\n1.1.1.1.1\nPaid up capital instruments\n045\n1.1.1.1.1*\nOf which: Capital instruments subscribed by public authorities in emergency situations\n050\n1.1.1.1.2*\nMemorandum item: Capital instruments not eligible\n060\n1.1.1.1.3\nShare premium\n070\n1.1.1.1.4\n(-) Own CET1 instruments\n080\n1.1.1.1.4.1\n(-) Direct holdings of CET1 instruments\n090\n1.1.1.1.4.2\n(-) Indirect holdings of CET1 instruments\n091\n1.1.1.1.4.3\n(-) Synthetic holdings of CET1 instruments\n092\n1.1.1.1.5\n(-) Actual or contingent obligations to purchase own CET1 instruments\n130\n1.1.1.2\nRetained earnings\n140\n1.1.1.2.1\nPrevious years retained earnings\n150\n1.1.1.2.2\nProfit or loss eligible\n160\n1.1.1.2.2.1\nProfit or loss attributable to owners of the parent\n170\n1.1.1.2.2.2\n(-) Part of interim or year-end profit not eligible\n180\n1.1.1.3\nAccumulated other comprehensive income\n200\n1.1.1.4\nOther reserves\n210\n1.1.1.5\nFunds for general banking risk\n220\n1.1.1.6\nTransitional adjustments due to grandfathered CET1 Capital instruments\n230\n1.1.1.7\nMinority interest given recognition in CET1 capital\n240\n1.1.1.8\nTransitional adjustments due to additional minority interests\n250\n1.1.1.9\nAdjustments to CET1 due to prudential filters\n260\n1.1.1.9.1\n(-) Increases in equity resulting from securitised assets\n270\n1.1.1.9.2\nCash flow hedge reserve\n280\n1.1.1.9.3\nCumulative gains and losses due to changes in own credit risk on fair valued liabilities\n285\n1.1.1.9.4\nFair value gains and losses arising from the institution’s own credit risk related to derivative liabilities\n290\n1.1.1.9.5\n(-) Value adjustments due to the requirements for prudent valuation\n300\n1.1.1.10\n(-) Goodwill\n310\n1.1.1.10.1\n(-) Goodwill accounted for as intangible asset\n320\n1.1.1.10.2\n(-) Goodwill included in the valuation of significant investments\n330\n1.1.1.10.3\nDeferred tax liabilities associated to goodwill\n340\n1.1.1.11\n(-) Other intangible assets\n350\n1.1.1.11.1\n(-) Other intangible assets before deduction of deferred tax liabilities\n360\n1.1.1.11.2\nDeferred tax liabilities associated to other intangible assets\n370\n1.1.1.12\n(-) Deferred tax assets that rely on future profitability and do not arise from temporary differences net of associated tax liabilities\n380\n1.1.1.13\n(-) IRB shortfall of credit risk adjustments to expected losses\n390\n1.1.1.14\n(-)Defined benefit pension fund assets\n400\n1.1.1.14.1\n(-)Defined benefit pension fund assets\n410\n1.1.1.14.2\nDeferred tax liabilities associated to defined benefit pension fund assets\n420\n1.1.1.14.3\nDefined benefit pension fund assets which the institution has an unrestricted ability to use\n430\n1.1.1.15\n(-) Reciprocal cross holdings in CET1 Capital\n440\n1.1.1.16\n(-) Excess of deduction from AT1 items over AT1 Capital\n450\n1.1.1.17\n(-) Qualifying holdings outside the financial sector which can alternatively be subject to a 1 250 % risk weight\n460\n1.1.1.18\n(-) Securitisation positions which can alternatively be subject to a 1 250 % risk weight\n470\n1.1.1.19\n(-) Free deliveries which can alternatively be subject to a 1 250 % risk weight\n471\n1.1.1.20\n(-) 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\n472\n1.1.1.21\n(-) Equity exposures under an internal models approach which can alternatively be subject to a 1 250 % risk weight\n480\n1.1.1.22\n(-) CET1 instruments of financial sector entites where the institution does not have a significant investment\n490\n1.1.1.23\n(-) Deductible deferred tax assets that rely on future profitability and arise from temporary differences\n500\n1.1.1.24\n(-) CET1 instruments of financial sector entities where the institution has a significant investment\n510\n1.1.1.25\n(-) Amount exceeding the 17,65 % threshold\n520\n1.1.1.26\nOther transitional adjustments to CET1 Capital\n524\n1.1.1.27\n(-) Additional deductions of CET1 Capital due to Article 3 CRR\n529\n1.1.1.28\nCET1 capital elements or deductions – other\n530\n1.1.2\nADDITIONAL TIER 1 CAPITAL\n540\n1.1.2.1\nCapital instruments eligible as AT1 Capital\n550\n1.1.2.1.1\nPaid up capital instruments\n560\n1.1.2.1.2*\nMemorandum item: Capital instruments not eligible\n570\n1.1.2.1.3\nShare premium\n580\n1.1.2.1.4\n(-) Own AT1 instruments\n590\n1.1.2.1.4.1\n(-) Direct holdings of AT1 instruments\n620\n1.1.2.1.4.2\n(-) Indirect holdings of AT1 instruments\n621\n1.1.2.1.4.3\n(-) Synthetic holdings of AT1 instruments\n622\n1.1.2.1.5\n(-) Actual or contingent obligations to purchase own AT1 instruments\n660\n1.1.2.2\nTransitional adjustments due to grandfathered AT1 Capital instruments\n670\n1.1.2.3\nInstruments issued by subsidiaries that are given recognition in AT1 Capital\n680\n1.1.2.4\nTransitional adjustments due to additional recognition in AT1 Capital of instruments issued by subsidiaries\n690\n1.1.2.5\n(-) Reciprocal cross holdings in AT1 Capital\n700\n1.1.2.6\n(-) AT1 instruments of financial sector entities where the institution does not have a significant investment\n710\n1.1.2.7\n(-) AT1 instruments of financial sector entities where the institution has a significant investment\n720\n1.1.2.8\n(-) Excess of deduction from T2 items over T2 Capital\n730\n1.1.2.9\nOther transitional adjustments to AT1 Capital\n740\n1.1.2.10\nExcess of deduction from AT1 items over AT1 Capital (deducted in CET1)\n744\n1.1.2.11\n(-) Additional deductions of AT1 Capital due to Article 3 CRR\n748\n1.1.2.12\nAT1 capital elements or deductions – other\n750\n1.2\nTIER 2 CAPITAL\n760\n1.2.1\nCapital instruments and subordinated loans eligible as T2 Capital\n770\n1.2.1.1\nPaid up capital instruments and subordinated loans\n780\n1.2.1.2*\nMemorandum item: Capital instruments and subordinated loans not eligible\n790\n1.2.1.3\nShare premium\n800\n1.2.1.4\n(-) Own T2 instruments\n810\n1.2.1.4.1\n(-) Direct holdings of T2 instruments\n840\n1.2.1.4.2\n(-) Indirect holdings of T2 instruments\n841\n1.2.1.4.3\n(-) Synthetic holdings of T2 instruments\n842\n1.2.1.5\n(-) Actual or contingent obligations to purchase own T2 instruments\n880\n1.2.2\nTransitional adjustments due to grandfathered T2 Capital instruments and subordinated loans\n890\n1.2.3\nInstruments issued by subsidiaries that are given recognition in T2 Capital\n900\n1.2.4\nTransitional adjustments due to additional recognition in T2 Capital of instruments issued by subsidiaries\n910\n1.2.5\nIRB Excess of provisions over expected losses eligible\n920\n1.2.6\nSA General credit risk adjustments\n930\n1.2.7\n(-) Reciprocal cross holdings in T2 Capital\n940\n1.2.8\n(-) T2 instruments of financial sector entities where the institution does not have a significant investment\n950\n1.2.9\n(-) T2 instruments of financial sector entities where the institution has a significant investment\n960\n1.2.10\nOther transitional adjustments to T2 Capital\n970\n1.2.11\nExcess of deduction from T2 items over T2 Capital (deducted in AT1)\n974\n1.2.12\n(-) Additional deductions of T2 Capital due to Article 3 CRR\n978\n1.2.13\nT2 capital elements or deductions – other\nC 02.00 – OWN FUNDS REQUIREMENTS (CA2)\nRows\nItem\nLabel\nAmount\n010\n1\nTOTAL RISK EXPOSURE AMOUNT\n020\n1*\nOf which: Investment firms under Article 95 paragraph 2 and Article 98 of CRR\n030\n1**\nOf which : Investment firms under Article 96 paragraph 2 and Article 97 of CRR\n040\n1.1\nRISK WEIGHTED EXPOSURE AMOUNTS FOR CREDIT, COUNTERPARTY CREDIT AND DILUTION RISKS AND FREE DELIVERIES\n050\n1.1.1\nStandardised Approach (SA)\n051\n1.1.1*\nOf which: Additional stricter prudential requirements based on Article 124 CRR\n060\n1.1.1.1\nSA exposure classes excluding securitisation positions\n070\n1.1.1.1.01\nCentral governments or central banks\n080\n1.1.1.1.02\nRegional governments or local authorities\n090\n1.1.1.1.03\nPublic sector entities\n100\n1.1.1.1.04\nMultilateral Development Banks\n110\n1.1.1.1.05\nInternational Organisations\n120\n1.1.1.1.06\nInstitutions\n130\n1.1.1.1.07\nCorporates\n140\n1.1.1.1.08\nRetail\n150\n1.1.1.1.09\nSecured by mortgages on immovable property\n160\n1.1.1.1.10\nExposures in default\n170\n1.1.1.1.11\nItems associated with particular high risk\n180\n1.1.1.1.12\nCovered bonds\n190\n1.1.1.1.13\nClaims on institutions and corporates with a short-term credit assessment\n200\n1.1.1.1.14\nCollective investments undertakings (CIU)\n210\n1.1.1.1.15\nEquity\n211\n1.1.1.1.16\nOther items\n240\n1.1.2\nInternal ratings based Approach (IRB)\n241\n1.1.2*\nOf which: Additional stricter prudential requirements based on Article 164 CRR\n242\n1.1.2**\nOf which: Additional stricter prudential requirements based on Article 124 CRR\n250\n1.1.2.1\nIRB approaches when neither own estimates of LGD nor Conversion Factors are used\n260\n1.1.2.1.01\nCentral governments and central banks\n270\n1.1.2.1.02\nInstitutions\n280\n1.1.2.1.03\nCorporates – SME\n290\n1.1.2.1.04\nCorporates – Specialised Lending\n300\n1.1.2.1.05\nCorporates – Other\n310\n1.1.2.2\nIRB approaches when own estimates of LGD and/or Conversion Factors are used\n320\n1.1.2.2.01\nCentral governments and central banks\n330\n1.1.2.2.02\nInstitutions\n340\n1.1.2.2.03\nCorporates – SME\n350\n1.1.2.2.04\nCorporates – Specialised Lending\n360\n1.1.2.2.05\nCorporates – Other\n370\n1.1.2.2.06\nRetail – Secured by real estate SME\n380\n1.1.2.2.07\nRetail – Secured by real estate non-SME\n390\n1.1.2.2.08\nRetail – Qualifying revolving\n400\n1.1.2.2.09\nRetail – Other SME\n410\n1.1.2.2.10\nRetail – Other non-SME\n420\n1.1.2.3\nEquity IRB\n450\n1.1.2.5\nOther non credit-obligation assets\n460\n1.1.3\nRisk exposure amount for contributions to the default fund of a CCP\n470\n1.1.4\nSecuritisation positions\n490\n1.2\nTOTAL RISK EXPOSURE AMOUNT FOR SETTLEMENT/DELIVERY\n500\n1.2.1\nSettlement/delivery risk in the non-Trading book\n510\n1.2.2\nSettlement/delivery risk in the Trading book\n520\n1.3\nTOTAL RISK EXPOSURE AMOUNT FOR POSITION, FOREIGN EXCHANGE AND COMMODITIES RISKS\n530\n1.3.1\nRisk exposure amount for position, foreign exchange and commodities risks under standardised approaches (SA)\n540\n1.3.1.1\nTraded debt instruments\n550\n1.3.1.2\nEquity\n555\n1.3.1.3\nParticular approach for position risk in CIUs\n556\n1.3.1.3*\nMemo item: CIUs exclusively invested in traded debt instruments\n557\n1.3.1.3**\nMemo item: CIUs invested exclusively in equity instruments or in mixed instruments\n560\n1.3.1.4\nForeign Exchange\n570\n1.3.1.5\nCommodities\n580\n1.3.2\nRisk exposure amount for Position, foreign exchange and commodities risks under internal models (IM)\n590\n1.4\nTOTAL RISK EXPOSURE AMOUNT FOR OPERATIONAL RISK (OpR )\n600\n1.4.1\nOpR Basic indicator approach (BIA)\n610\n1.4.2\nOpR Standardised (STA) / Alternative Standardised (ASA) approaches\n620\n1.4.3\nOpR Advanced measurement approaches (AMA)\n630\n1.5\nADDITIONAL RISK EXPOSURE AMOUNT DUE TO FIXED OVERHEADS\n640\n1.6\nTOTAL RISK EXPOSURE AMOUNT FOR CREDIT VALUATION ADJUSTMENT\n650\n1.6.1\nAdvanced method\n660\n1.6.2\nStandardised method\n670\n1.6.3\nBased on OEM\n680\n1.7\nTOTAL RISK EXPOSURE AMOUNT RELATED TO LARGE EXPOSURES IN THE TRADING BOOK\n690\n1.8\nOTHER RISK EXPOSURE AMOUNTS\n710\n1.8.2\nOf which: Additional stricter prudential requirements based on Article 458 CRR\n720\n1.8.2*\nOf which: requirements for large exposures\n730\n1.8.2**\nOf which: due to modified risk weights for targeting asset bubbles in the residential and commercial property\n740\n1.8.2***\nOf which: due to intra financial sector exposures\n750\n1.8.3\nOf which: Additional stricter prudential requirements based on Article 459 CRR\n760\n1.8.4\nOf which: Additional risk exposure amount due to Article 3 CRR\nC 03.00 – CAPITAL RATIOS AND CAPITAL LEVELS (CA3)\nRows\nID\nItem\nAmount\n010\n1\nCET1 Capital ratio\n020\n2\nSurplus(+)/Deficit(-) of CET1 capital\n030\n3\nT1 Capital ratio\n040\n4\nSurplus(+)/Deficit(-) of T1 capital\n050\n5\nTotal capital ratio\n060\n6\nSurplus(+)/Deficit(-) of total capital\nMemorandum Items: Total SREP Capital Requirement (TSCR), Overall Capital Requirement (OCR) and Pillar 2 Guidance (P2G)\n130\n13\nTotal SREP capital requirement (TSCR) ratio\n140\n13*\nTSCR: to be made up of CET1 capital\n150\n13**\nTSCR: to be made up of Tier 1 capital\n160\n14\nOverall capital requirement (OCR) ratio\n170\n14*\nOCR: to be made up of CET1 capital\n180\n14**\nOCR: to be made up of Tier 1 capital\n190\n15\nOCR and Pillar 2 Guidance (P2G)\n200\n15*\nOCR and P2G: to be made up of CET1 capital\n210\n15**\nOCR and P2G: to be made up of Tier 1 capital\nC 04.00 – MEMORANDUM ITEMS (CA4)\nRow\nID\nItem\nColumn\nDeferred tax assest and liabilities\n010\n010\n1\nTotal deferred tax assets\n020\n1.1\nDeferred tax assets that do not rely on future profitability\n030\n1.2\nDeferred tax assets that rely on future profitability and do not arise from temporary differences\n040\n1.3\nDeferred tax assets that rely on future profitability and arise from temporary differences\n050\n2\nTotal deferred tax liabilities\n060\n2.1\nDeferred tax liabilities non deductible from deferred tax assets that rely on future profitability\n070\n2.2\nDeferred tax liabilities deductible from deferred tax assets that rely on future profitability\n080\n2.2.1\nDeductible deferred tax liabilities associated with deferred tax assets that rely on future profitability and do not arise from temporary differences\n090\n2.2.2\nDeductible deferred tax liabilities associated with deferred tax assets that rely on future profitability and arise from temporary differences\n093\n2A\nTax overpayments and tax loss carry backs\n096\n2B\nDeferred Tax Assets subject to a risk weight of 250 %\n097\n2C\nDeferred Tax Assets subject to a risk weight of 0 %\nCredit risk adjustments and expected losses\n100\n3\nIRB excess (+) or shortfall (-) of credit risk adjustments, additional value adjustments and other own funds reductions to expected losses for non defaulted exposures\n110\n3.1\nTotal credit risk adjustments, additional value adjustments and other own funds reductions eligible for inclusion in the calculation of the expected loss amount\n120\n3.1.1\nGeneral credit risk adjustments\n130\n3.1.2\nSpecific credit risk adjustments\n131\n3.1.3\nAdditional value adjustments and other own funds reductions\n140\n3.2\nTotal expected losses eligible\n145\n4\nIRB excess (+) or shortfall (-) of specific credit risk adjustments to expected losses for defaulted exposures\n150\n4.1\nSpecific credit risk adjustments and positions treated similarily\n155\n4.2\nTotal expected losses eligible\n160\n5\nRisk weighted exposure amounts for calculating the cap to the excess of provision eligible as T2\n170\n6\nTotal gross provisions eligible for inclusion in T2 capital\n180\n7\nRisk weighted exposure amounts for calculating the cap to the provision eligible as T2\nThresholds for Common Equity Tier 1 deductions\n190\n8\nThreshold non deductible of holdings in financial sector entities where an institution does not have a significant investment\n200\n9\n10 % CET1 threshold\n210\n10\n17,65 % CET1 threshold\n225\n11.1\nEligible capital for the purposes of qualifying holdings outside the financial sector\n226\n11.2\nEligible capital for the purposes of large exposures\nInvestments in the capital of financial sector entities where the institution does not have a significant investment\n230\n12\nHoldings of CET1 capital of financial sector entities where the institution does not have a significant investment, net of short positions\n240\n12.1\nDirect holdings of CET1 capital of financial sector entities where the institution does not have a significant investment\n250\n12.1.1\nGross direct holdings of CET1 capital of financial sector entities where the institution does not have a significant investment\n260\n12.1.2\n(-) Permitted offsetting short positions in relation to the direct gross holdings included above\n270\n12.2\nIndirect holdings of CET1 capital of financial sector entities where the institution does not have a significant investment\n280\n12.2.1\nGross indirect holdings of CET1 capital of financial sector entities where the institution does not have a significant investment\n290\n12.2.2\n(-) Permitted offsetting short positions in relation to the indirect gross holdings included above\n291\n12.3\nSynthetic holdings of CET1 capital of financial sector entities where the institution does not have a significant investment\n292\n12.3.1\nGross synthetic holdings of CET1 capital of financial sector entities where the institution does not have a significant investment\n293\n12.3.2\n(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above\n300\n13\nHoldings of AT1 capital of financial sector entities where the institution does not have a significant investment, net of short positions\n310\n13.1\nDirect holdings of AT1 capital of financial sector entities where the institution does not have a significant investment\n320\n13.1.1\nGross direct holdings of AT1 capital of financial sector entities where the institution does not have a significant investment\n330\n13.1.2\n(-) Permitted offsetting short positions in relation to the direct gross holdings included above\n340\n13.2\nIndirect holdings of AT1 capital of financial sector entities where the institution does not have a significant investment\n350\n13.2.1\nGross indirect holdings of AT1 capital of financial sector entities where the institution does not have a significant investment\n360\n13.2.2\n(-) Permitted offsetting short positions in relation to the indirect gross holdings included above\n361\n13.3\nSynthetic holdings of AT1 capital of financial sector entities where the institution does not have a significant investment\n362\n13.3.1\nGross synthetic holdings of AT1 capital of financial sector entities where the institution does not have a significant investment\n363\n13.3.2\n(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above\n370\n14\nHoldings of T2 capital of financial sector entities where the institution does not have a significant investment, net of short positions\n380\n14.1\nDirect holdings of T2 capital of financial sector entities where the institution does not have a significant investment\n390\n14.1.1\nGross direct holdings of T2 capital of financial sector entities where the institution does not have a significant investment\n400\n14.1.2\n(-) Permitted offsetting short positions in relation to the direct gross holdings included above\n410\n14.2\nIndirect holdings of T2 capital of financial sector entities where the institution does not have a significant investment\n420\n14.2.1\nGross indirect holdings of T2 capital of financial sector entities where the institution does not have a significant investment\n430\n14.2.2\n(-) Permitted offsetting short positions in relation to the indirect gross holdings included above\n431\n14.3\nSynthetic holdings of T2 capital of financial sector entities where the institution does not have a significant investment\n432\n14.3.1\nGross synthetic holdings of T2 capital of financial sector entities where the institution does not have a significant investment\n433\n14.3.2\n(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above\nInvestments in the capital of financial sector entities where the institution has a significant investment\n440\n15\nHoldings of CET1 capital of financial sector entities where the institution has a significant investment, net of short positions\n450\n15.1\nDirect holdings of CET1 capital of financial sector entities where the institution has a significant investment\n460\n15.1.1\nGross direct holdings of CET1 capital of financial sector entities where the institution has a significant investment\n470\n15.1.2\n(-) Permitted offsetting short positions in relation to the direct gross holdings included above\n480\n15.2\nIndirect holdings of CET1 capital of financial sector entities where the institution has a significant investment\n490\n15.2.1\nGross indirect holdings of CET1 capital of financial sector entities where the institution has a significant investment\n500\n15.2.2\n(-) Permitted offsetting short positions in relation to the indirect gross holdings included above\n501\n15.3\nSynthetic holdings of CET1 capital of financial sector entities where the institution has a significant investment\n502\n15.3.1\nGross synthetic holdings of CET1 capital of financial sector entities where the institution has a significant investment\n503\n15.3.2\n(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above\n510\n16\nHoldings of AT1 capital of financial sector entities where the institution has a significant investment, net of short positions\n520\n16.1\nDirect holdings of AT1 capital of financial sector entities where the institution has a significant investment\n530\n16.1.1\nGross direct holdings of AT1 capital of financial sector entities where the institution has a significant investment\n540\n16.1.2\n(-) Permitted offsetting short positions in relation to the direct gross holdings included above\n550\n16.2\nIndirect holdings of AT1 capital of financial sector entities where the institution has a significant investment\n560\n16.2.1\nGross indirect holdings of AT1 capital of financial sector entities where the institution has a significant investment\n570\n16.2.2\n(-) Permitted offsetting short positions in relation to the indirect gross holdings included above\n571\n16.3\nSynthetic holdings of AT1 capital of financial sector entities where the institution has a significant investment\n572\n16.3.1\nGross synthetic holdings of AT1 capital of financial sector entities where the institution has a significant investment\n573\n16.3.2\n(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above\n580\n17\nHoldings of T2 capital of financial sector entities where the institution has a significant investment, net of short positions\n590\n17.1\nDirect holdings of T2 capital of financial sector entities where the institution has a significant investment\n600\n17.1.1\nGross direct holdings of T2 capital of financial sector entities where the institution has a significant investment\n610\n17.1.2\n(-) Permitted offsetting short positions in relation to the direct gross holdings included above\n620\n17.2\nIndirect holdings of T2 capital of financial sector entities where the institution has a significant investment\n630\n17.2.1\nGross indirect holdings of T2 capital of financial sector entities where the institution has a significant investment\n640\n17.2.2\n(-) Permitted offsetting short positions in relation to the indirect gross holdings included above\n641\n17.3\nSynthetic holdings of T2 capital of financial sector entities where the institution has a significant investment\n642\n17.3.1\nGross synthetic holdings of T2 capital of financial sector entities where the institution has a significant investment\n643\n17.3.2\n(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above\nTotal risk exposure amounts of holdings not deducted from the corresponding capital category:\n650\n18\nRisk weighted exposures of CET1 holdings in financial sector entities which are not deducted from the institution’s CET1 capital\n660\n19\nRisk weighted exposures of AT1 holdings in financial sector entities which are not deducted from the institution’s AT1 capital\n670\n20\nRisk weighted exposures of T2 holdings in financial sector entities which are not deducted from the institution’s T2 capital\nTemporary waiver from deduction from own funds\n680\n21\nHoldings on CET1 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived\n690\n22\nHoldings on CET1 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived\n700\n23\nHoldings on AT1 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived\n710\n24\nHoldings on AT1 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived\n720\n25\nHoldings on T2 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived\n730\n26\nHoldings on T2 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived\nCapital buffers\n740\n27\nCombined buffer requirement\n750\nCapital conservation buffer\n760\nConservation buffer due to macro-prudential or systemic risk identified at the level of a Member State\n770\nInstitution specific countercyclical capital buffer\n780\nSystemic risk buffer\n800\nGlobal Systemically Important Institution buffer\n810\nOther Systemically Important Institution buffer\nPillar II requirements\n820\n28\nOwn funds requirements related to Pillar II adjustments\nAdditional information for investment firms\n830\n29\nInitial capital\n840\n30\nOwn funds based on Fixed Overheads\nAdditional information for calculation of reporting thresholds\n850\n31\nNon-domestic original exposures\n860\n32\nTotal original exposures\nBasel I floor\n870\nAdjustments to total own funds\n880\nOwn funds fully adjusted for Basel I floor\n890\nOwn funds requirements for Basel I floor\n900\nOwn funds requirements for Basel I floor – SA alternative\n910\nDeficit of total capital as regards the minimum own funds requirements of the Basel I floor\nC 05.01 – TRANSITIONAL PROVISIONS (CA5.1)\nAdjustments to CET1\nAdjustments to AT1\nAdjustments to T2\nAdjustments included in RWAs\nMemorandum items\nApplicable percentage\nEligible amount without transitional provisions\nCode\nID\nItem\n010\n020\n030\n040\n050\n060\n010\n1\nTOTAL ADJUSTMENTS\n020\n1.1\nGRANDFATHERED INSTRUMENTS\nlink to {CA1;r220}\nlink to {CA1;r660}\nlink to {CA1;r880}\n030\n1.1.1\nGrandfathered instruments: Instruments constituting state aid\n040\n1.1.1.1\nInstruments that qualified as own funds according to 2006/48/EC\n050\n1.1.1.2\nInstruments issued by institutions that are incorporated in a Member State that is subject to an Economic Adjustment Programme\n060\n1.1.2\nInstruments not constituting state aid\nlink to {CA5.2; r010;c060}\nlink to {CA5.2; r020;c060}\nlink to {CA5.2; r090;c060}\n070\n1.2\nMINORITY INTERESTS AND EQUIVALENTS\nlink to {CA1;r240}\nlink to {CA1;r680}\nlink to {CA1;r900}\n080\n1.2.1\nCapital instruments and items that do not qualify as minority interests\n090\n1.2.2\nTransitional recognition in consolidated own funds of minority interests\n091\n1.2.3\nTransitional recognition in consolidated own funds of qualifying Additional Tier 1 capital\n092\n1.2.4\nTransitional recognition in consolidated own funds of qualifying Tier 2 capital\n100\n1.3\nOTHER TRANSITIONAL ADJUSTMENTS\nlink to {CA1;r520}\nlink to {CA1;r730}\nlink to {CA1;r960}\n110\n1.3.1\nUnrealised gains and losses\n120\n1.3.1.1\nUnrealised gains\n130\n1.3.1.2\nUnrealised losses\n133\n1.3.1.3.\nUnrealised gains on exposures to central governments classified in the “Available for sale” category of EU-endorsed IAS39\n136\n1.3.1.4.\nUnrealised loss on exposures to central governments classified in the “Available for sale” category of EU-endorsed IAS39\n138\n1.3.1.5.\nFair value gains and losses arising from the institution’s own credit risk related to derivative liabilities\n140\n1.3.2\nDeductions\n150\n1.3.2.1\nLosses for the current financial year\n160\n1.3.2.2\nIntangible assets\n170\n1.3.2.3\nDeferred tax assets that rely on future profitability and do not arise from temporary differences\n180\n1.3.2.4\nIRB shortfall of provisions to expected losses\n190\n1.3.2.5\nDefined benefit pension fund assets\n194\n1.3.2.5*\nof which: Introduction of amendments to IAS 19 – positive item\n198\n1.3.2.5**\nof which: Introduction of amendments to IAS 19 – negative item\n200\n1.3.2.6\nOwn instruments\n210\n1.3.2.6.1\nOwn CET1 instruments\n211\n1.3.2.6.1**\nof which: Direct holdings\n212\n1.3.2.6.1*\nof which: Indirect holdings\n220\n1.3.2.6.2\nOwn AT1 instruments\n221\n1.3.2.6.2**\nof which: Direct holdings\n222\n1.3.2.6.2*\nof which: Indirect holdings\n230\n1.3.2.6.3\nOwn T2 instruments\n231\n1.3.2.6.3*\nof which: Direct holdings\n232\n1.3.2.6.3**\nof which: Indirect holdings\n240\n1.3.2.7\nReciprocal cross holdings\n250\n1.3.2.7.1\nReciprocal cross holdings in CET1 Capital\n260\n1.3.2.7.1.1\nReciprocal cross holdings in CET1 Capital of financial sector entities where the institution does not have a significant investment\n270\n1.3.2.7.1.2\nReciprocal cross holdings in CET1 Capital of financial sector entities where the institution has a significant investment\n280\n1.3.2.7.2\nReciprocal cross holdings in AT1 Capital\n290\n1.3.2.7.2.1\nReciprocal cross holdings in AT1 Capital of financial sector entities where the institution does not have a significant investment\n300\n1.3.2.7.2.2\nReciprocal cross holdings in AT1 Capital of financial sector entities where the institution has a significant investment\n310\n1.3.2.7.3\nReciprocal cross holdings in T2 Capital\n320\n1.3.2.7.3.1\nReciprocal cross holdings in T2 Capital of financial sector entities where the institution does not have a significant investment\n330\n1.3.2.7.3.2\nReciprocal cross holdings in T2 Capital of financial sector entities where the institution has a significant investment\n340\n1.3.2.8\nOwn funds instruments of financial sector entities where the institution does not have a significant investment\n350\n1.3.2.8.1\nCET1 instruments of financial sector entities where the institution does not have a significant investment\n360\n1.3.2.8.2\nAT1 instruments of financial sector entities where the institution does not have a significant investment\n370\n1.3.2.8.3\nT2 instruments of financial sector entities where the institution does not have a significant investment\n380\n1.3.2.9\nDeferred 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\n385\n1.3.2.9a\nDeferred tax assets that are dependent on future profitability and arise from temporary differences\n390\n1.3.2.10\nOwn funds instruments of financial sector entities where the institution has a significant investment\n400\n1.3.2.10.1\nCET1 instruments of financial sector entities where the institution has a significant investment\n410\n1.3.2.10.2\nAT1 instruments of financial sector entities where the institution has a significant investment\n420\n1.3.2.10.3\nT2 instruments of financial sector entities where the institution has a significant investment\n425\n1.3.2.11\nExemption from deduction of Equity Holdings in Insurance Companies from CET 1 Items\n430\n1.3.3\nAdditional filters and deductions\n440\n1.3.4\nAdjustments due to IFRS 9 transitional arrangements\nC 05.02 – GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUING STATE AID (CA5.2)\nCA 5.2 Grandfathered instruments: Instruments not constituting State aid\nAmount of instruments plus related share premium\nBase for calculating the limit\nApplicable percentage\nLimit\n(-) Amount that exceeds the limits for grandfathering\nTotal grandfathered amount\nCode\nID\nItem\n010\n020\n030\n040\n050\n060\n010\n1.\nInstruments that qualified for point a) of Article 57 of 2006/48/EC\nlink to {CA5.1;r060;c010)\n020\n2.\nInstruments 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\nlink to {CA5.1;r060;c020)\n030\n2.1\nTotal instruments without a call or an incentive to redeem\n040\n2.2.\nGrandfathered instruments with a call and incentive to redeem\n050\n2.2.1\nInstruments with a call exercisable after the reporting date, and which meet the conditions in Article 52 of CRR after the date of effective maturity\n060\n2.2.2\nInstruments 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\n070\n2.2.3\nInstruments 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\n080\n2.3\nExcess on the limit of CET1 grandfathered instruments\n090\n3\nItems that qualified for points e), f), g) or h) of Article 57 of 2006/48/EC, subject to the limit of Article 490\nlink to {CA5.1;r060;c030)\n100\n3.1\nTotal items without an incentive to redeem\n110\n3.2\nGrandfathered items with an incentive to redeem\n120\n3.2.1\nItems with a call exercisable after the reporting date, and which meet the conditions in Article 63 of CRR after the date of effective maturity\n130\n3.2.2\nItems 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\n140\n3.2.3\nItems 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\n150\n3.3\nExcess on the limit of AT1 grandfathered instruments\nC 06.01 – GROUP SOLVENCY: INFORMATION ON AFFILIATES – TOTAL (GS TOTAL)\nINFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP\nCAPITAL BUFFERS\nTOTAL RISK EXPOSURE AMOUNT\nQUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS\nCONSOLIDATED OWN FUNDS\nCOMBINED BUFFER REQUIREMENTS\nCREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/DELIVERY RISK\nPOSITION, FX AND COMMODITIES RISKS\nOPERATIONAL RISK\nOTHER RISK EXPOSURE AMOUNTS\nQUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 1 CAPITAL\nQUALIFYING OWN FUNDS INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 2 CAPITAL\nMEMORANDUM ITEM: GOODWILL (-) / (+) NEGATIVE GOODWILL\nOF WHICH: COMMON EQUITY TIER 1\nOF WHICH: ADDITIONAL TIER 1\nOF WHICH: CONRIBUTIONS TO CONSOLIDATED RESULT\nOF WHICH: (-) GOODWILL / (+) NEGATIVE GOODWILL\nCAPITAL CONSERVATION BUFFER\nINSTITUTION SPECIFIC COUNTER-CYCLICAL CAPITAL BUFFER\nCONSERVATION BUFFER DUE TO MACRO-PRUDENTIAL OR SYSTEMIC RISK IDENTIFIED AT THE LEVEL OF A MEMBER STATE\nSYSTEMIC RISK BUFFER\nGLOBAL SYSTEMICALLY IMPORTANT INSTITUTION BUFFER\nOTHER SYSTEMICALLY IMPORTANT INSTITUTION BUFFER\nMINORITY INTERESTS INCLUDED IN CONSOLIDATED COMMON EQUITY TIER 1 CAPITAL\nQUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED ADDITIONAL TIER 1 CAPITAL\n250\n260\n270\n280\n290\n300\n310\n320\n330\n340\n350\n360\n370\n380\n390\n400\n410\n420\n430\n440\n450\n470\n480\n010\nTOTAL\nC 06.02 – GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS)\nENTITIES WITHIN SCOPE OF CONSOLIDATION\nINFORMATION ON ENTITIES SUBJECT TO OWN FUNDS REQUIREMENTS\nINFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP\nCAPITAL BUFFERS\nNAME\nCODE\nLEI code\nINSTITUTION OR EQUIVALENT (YES / NO)\nTYPE OF ENTITY\nSCOPE OF DATA: SOLO FULLY CONSOLIDATED (SF) OR SOLO PARTIALLY CONSOLIDATED (SP)\nCOUNTRY CODE\nSHARE OF HOLDING (%)\nTOTAL RISK EXPOSURE AMOUNT\nOWN FUNDS\nTOTAL RISK EXPOSURE AMOUNT\nQUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS\nCONSOLIDATED OWN FUNDS\nCOMBINED BUFFER REQUIREMENT\nCREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/DELIVERY RISK\nPOSITION, FX AND COMMODITIES RISKS\nOPERATIONAL RISK\nOTHER RISK EXPOSURE AMOUNTS\nTOTAL TIER 1 CAPITAL\nTIER 2 CAPITAL\nCREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/DELIVERY RISK\nPOSITION, FX AND COMMODITIES RISKS\nOPERATIONAL RISK\nOTHER RISK EXPOSURE AMOUNTS\nQUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 1 CAPITAL\nQUALIFYING OWN FUNDS INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 2 CAPITAL\nMEMORANDUM ITEM: GOODWILL (-) / (+) NEGATIVE GOODWILL\nOF WHICH: COMMON EQUITY TIER 1\nOF WHICH: ADDITIONAL TIER 1\nOF WHICH: CONRIBUTIONS TO CONSOLIDATED RESULT\nOF WHICH: (-) GOODWILL / (+) NEGATIVE GOODWILL\nCAPITAL CONSERVATION BUFFER\nINSTITUTION SPECIFIC COUNTER-CYCLICAL CAPITAL BUFFER\nCONSERVATION BUFFER DUE TO MACRO-PRUDENTIAL OR SYSTEMIC RISK IDENTIFIED AT THE LEVEL OF A MEMBER STATE\nSYSTEMIC RISK BUFFER\nGLOBAL SYSTEMICALLY IMPORTANT INSTITUTION BUFFER\nOTHER SYSTEMICALLY IMPORTANT INSTITUTION BUFFER\nCOMMON EQUITY TIER 1 CAPITAL\nADDITIONAL TIER 1 CAPITAL\nOF WHICH: QUALIFYING OWN FUNDS\nRELATED OWN FUNDS INSTRUMENTS, RELATED RETAINED EARNINGS AND SHARE PREMIUM ACCOUNTS\nOF WHICH: QUALIFYING TIER 1 CAPITAL\nRELATED T1 INSTRUMENTS, RELATED RETAINED EARNINGS AND SHARE PREMIUM ACCOUNTS\nOF WHICH: MINORITY INTERESTS\nRELATED OWN FUNDS INSTRUMENTS, RELATED RETAINED EARNINGS, SHARE PREMIUM ACCOUNTS AND OTHER RESERVES\nOF WHICH: QUALIFYING ADDITIONAL TIER 1 CAPITAL\nOF WHICH: QUALIFYING TIER 2 CAPITAL\nMINORITY INTERESTS INCLUDED IN CONSOLIDATED COMMON EQUITY TIER 1 CAPITAL\nQUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED ADDITIONAL TIER 1 CAPITAL\n010\n020\n025\n030\n035\n040\n050\n060\n070\n080\n090\n100\n110\n120\n130\n140\n150\n160\n170\n180\n190\n200\n210\n220\n230\n240\n250\n260\n270\n280\n290\n300\n310\n320\n330\n340\n350\n360\n370\n380\n390\n400\n410\n420\n430\n440\n450\n470\n480\nC 07.00 – CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: STANDARDISED APPROACH TO CAPITAL REQUIREMENTS (CR SA)\nSA Exposure class\nORIGINAL EXPOSURE PRE CONVERSION FACTORS\n(-) VALUE ADJUSTMENTS AND PROVISIONS ASSOCIATED WITH THE ORIGINAL EXPOSURE\nEXPOSURE NET OF VALUE ADJUSTMENTS AND PROVISIONS\nCREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE\nNET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS\nCREDIT RISK MITIGATION TECHNIQUES AFFECTING THE EXPOSURE AMOUNT: FUNDED CREDIT PROTECTION. FINANCIAL COLLATERAL COMPREHENSIVE METHOD\nFULLY ADJUSTED EXPOSURE VALUE (E*)\nBREAKDOWN OF THE FULLY ADJUSTED EXPOSURE VALUE OF OFF-BALANCE SHEET ITEMS BY CONVERSION FACTORS\nEXPOSURE VALUE\nRISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR\nRISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR\nUNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (Ga)\nFUNDED CREDIT PROTECTION\nSUBSTITUTION OF THE EXPOSURE DUE TO CRM\nVOLATILITY ADJUSTMENT TO THE EXPOSURE\n(-) FINANCIAL COLLATERAL: ADJUSTED VALUE (Cvam)\n0 %\n20 %\n50 %\n100 %\nOF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK\nOF WHICH: WITH A CREDIT ASSESSMENT BY A NOMINATED ECAI\nOF WHICH: WITH A CREDIT ASSESSMENT DERIVED FROM CENTRAL GOVERNMENT\n(-) GUARANTEES\n(-) CREDIT DERIVATIVES\n(-) FINANCIAL COLLATERAL: SIMPLE METHOD\n(-) OTHER FUNDED CREDIT PROTECTION\n(-) TOTAL OUTFLOWS\nTOTAL INFLOWS (+)\n(-) OF WHICH: VOLATILITY AND MATURITY ADJUSTMENTS\n010\n030\n040\n050\n060\n070\n080\n090\n100\n110\n120\n130\n140\n150\n160\n170\n180\n190\n200\n210\n215\n220\n230\n240\n010\nTOTAL EXPOSURES\nCell linked to CA\n015\nof which: Defaulted exposures in exposure classes “items associated with a particular high risk” and “equity exposures”\n020\nof which: SME\n030\nof which: Exposures subject to SME-supporting factor\n040\nof which: Secured by mortgages on immovable property – Residential property\n050\nof which: Exposures under the permanent partial use of the Standardised Approach\n060\nof which: Exposures under the standardised approach with prior supervisory permission to carry out a sequential IRB implementation\nBREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:\n070\nOn balance sheet exposures subject to credit risk\n080\nOff balance sheet exposures subject to credit risk\nExposures / Transactions subject to counterparty credit risk\n090\nSecurities Financing Transactions\n100\nof which: centrally cleared through a QCCP\n110\nDerivatives & Long Settlement Transactions\n120\nof which: centrally cleared through a QCCP\n130\nFrom Contractual Cross Product Netting\nBREAKDOWN OF TOTAL EXPOSURES BY RISK WEIGHTS:\n140\n0 %\n150\n2 %\n160\n4 %\n170\n10 %\n180\n20 %\n190\n35 %\n200\n50 %\n210\n70 %\n220\n75 %\n230\n100 %\n240\n150 %\n250\n250 %\n260\n370 %\n270\n1 250 %\n280\nOther risk weights\nMEMORANDUM ITEMS\n290\nExposures secured by mortgages on commercial immovable property\n300\nExposures in default subject to a risk weight of 100 %\n310\nExposures secured by mortgages on residential property\n320\nExposures in default subject to a risk weight of 150 %\nC 08.01 – CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS (CR IRB 1)\nIRB Exposure class:\nOwn estimates of LGD and/or conversion factors:\nINTERNAL RATING SYSTEM\nORIGINAL EXPOSURE PRE CONVERSION FACTORS\nCREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE\nEXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS\nEXPOSURE VALUE\nCREDIT RISK MITIGATION TECHNIQUES TAKEN INTO ACCOUNT IN LGD ESTIMATES EXCLUDING DOUBLE DEFAULT TREATMENT\nSUBJECT TO DOUBLE DEFAULT TREATMENT\nEXPOSURE WEIGHTED AVERAGE LGD (%)\nEXPOSURE WEIGHTED AVERAGE LGD (%) FOR LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES\nEXPOSURE-WEIGHTED AVERAGE MATURITY VALUE (DAYS)\nRISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR\nRISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR\nMEMORANDUM ITEMS:\nUNFUNDED CREDIT PROTECTION\n(-) OTHER FUNDED CREDIT PROTECTION\nSUBSTITUTION OF THE EXPOSURE DUE TO CRM\nOWN ESTIMATES OF LGD’S ARE USED: UNFUNDED CREDIT PROTECTION\nFUNDED CREDIT PROTECTION\nUNFUNDED CREDIT PROTECTION\nPD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%)\nOF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES\n(-) GUARANTEES\n(-) CREDIT DERIVATIVES\n(-) TOTAL OUTFLOWS\nTOTAL INFLOWS (+)\nOF WHICH: OFF BALANCE SHEET ITEMS\nOF WHICH: OFF BALANCE SHEET ITEMS\nOF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK\nOF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES\nGUARANTEES\nCREDIT DERIVATIVES\nOWN ESTIMATES OF LGD’S ARE USED: OTHER FUNDED CREDIT PROTECTION\nELIGIBLE FINANCIAL COLLATERAL\nOTHER ELIGIBLE COLLATERAL\nEXPECTED LOSS AMOUNT\n(-) VALUE ADJUSTMENTS AND PROVISIONS\nNUMBER OF OBLIGORS\nREAL ESTATE\nOTHER PHYSICAL COLLATERAL\nRECEIVABLES\nOF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES\n010\n020\n030\n040\n050\n060\n070\n080\n090\n100\n110\n120\n130\n140\n150\n160\n170\n180\n190\n200\n210\n220\n230\n240\n250\n255\n260\n270\n280\n290\n300\n010\nTOTAL EXPOSURES\nCell linked to CA\n015\nof which: Exposures subject to SME-supporting factor\nBREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:\n020\nOn balance sheet items subject to credit risk\n030\nOff balance sheet items subject to credit risk\nExposures / Transactions subject to counterparty credit risk\n040\nSecurities Financing Transactions\n050\nDerivatives & Long Settlement Transactions\n060\nFrom Contractual Cross Product Netting\n070\nEXPOSURES ASSIGNED TO OBLIGOR GRADES OR POOLS: TOTAL\n080\nSPECIALIZED LENDING SLOTTING CRITERIA: TOTAL\nBREAKDOWN BY RISK WEIGHTS OF TOTAL EXPOSURES UNDER SPECIALIZED LENDING SLOTTING CRITERIA:\n090\nRISK WEIGHT: 0 %\n100\n50 %\n110\n70 %\n120\nOf which: in category 1\n130\n90 %\n140\n115 %\n150\n250 %\n160\nALTERNATIVE TREATMENT: SECURED BY REAL ESTATE\n170\nEXPOSURES FROM FREE DELIVERIES APPLYING RISK WEIGHTS UNDER THE ALTERNATIVE TREATMENT OR 100 % AND OTHER EXPOSURES SUBJECT TO RISK WEIGHTS\n180\nDILUTION RISK: TOTAL PURCHASED RECEIVABLES\nC 08.02 – CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BREAKDOWN BY OBLIGOR GRADES OR POOLS (CR IRB 2)\nIRB Exposure class:\nOwn estimates of LGD and/or conversion factors:\nOBLIGOR GRADE (ROW IDENTIFIER)\nINTERNAL RATING SYSTEM\nORIGINAL EXPOSURE PRE CONVERSION FACTORS\nCREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE\nEXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS\nEXPOSURE VALUE\nCREDIT RISK MITIGATION TECHNIQUES TAKEN INTO ACCOUNT IN LGD ESTIMATES EXCLUDING DOUBLE DEFAULT TREATMENT\nSUBJECT TO DOUBLE DEFAULT TREATMENT\nEXPOSURE WEIGHTED AVERAGE LGD (%)\nEXPOSURE WEIGHTED AVERAGE LGD (%) FOR LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES\nEXPOSURE-WEIGHTED AVERAGE MATURITY VALUE (DAYS)\nRISK WEIGHTED EXPOSURE AMOUNT PRE SME-FACTOR\nRISK WEIGHTED EXPOSURE AMOUNT AFTER SME-FACTOR\nMEMORANDUM ITEMS:\nUNFUNDED CREDIT PROTECTION\n(-) OTHER FUNDED CREDIT PROTECTION\nSUBSTITUTION OF THE EXPOSURE DUE TO CRM\nOWN ESTIMATES OF LGD’S ARE USED: UNFUNDED CREDIT PROTECTION\nFUNDED CREDIT PROTECTION\nUNFUNDED CREDIT PROTECTION\nEXPECTED LOSS AMOUNT\n(-) VALUE ADJUSTMENTS AND PROVISIONS\nNUMBER OF OBLIGORS\nPD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%)\nOF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES\n(-) GUARANTEES\n(-) CREDIT DERIVATIVES\n(-) TOTAL OUTFLOWS\nTOTAL INFLOWS (+)\nOF WHICH: OFF BALANCE SHEET ITEMS\nOF WHICH: OFF BALANCE SHEET ITEMS\nOF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK\nOF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES\nGUARANTEES\nCREDIT DERIVATIVES\nOWN ESTIMATES OF LGD’S ARE USED: OTHER FUNDED CREDIT PROTECTION\nELIGIBLE FINANCIAL COLLATERAL\nOTHER ELIGIBLE COLLATERAL\nOF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES\nREAL ESTATE\nOTHER PHYSICAL COLLATERAL\nRECEIVABLES\n005\n010\n020\n030\n040\n050\n060\n070\n080\n090\n100\n110\n120\n130\n140\n150\n160\n170\n180\n190\n200\n210\n220\n230\n240\n250\n255\n260\n270\n280\n290\n300\nC 09.01 – GEOGRAPHICAL BREAKDOWN OF EXPOSURES BY RESIDENCE OF THE OBLIGOR: SA EXPOSURES (CR GB 1)\nCountry:\nORIGINAL EXPOSURE PRE CONVERSION FACTORS\nObserved new defaults for the period\nGeneral credit risk adjustments\nSpecific credit risk adjustments\nWrite offs\nCredit risk adjustments/write-offs for observed new defaults\nEXPOSURE VALUE\nRISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR\nRISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR\nDefaulted exposures\n010\n020\n040\n050\n055\n060\n070\n075\n080\n090\n010\nCentral governments or central banks\n020\nRegional governments or local authorities\n030\nPublic sector entities\n040\nMultilateral Development Banks\n050\nInternational Organisations\n060\nInstitutions\n070\nCorporates\n075\nof which: SME\n080\nRetail\n085\nof which: SME\n090\nSecured by mortgages on immovable property\n095\nof which: SME\n100\nExposures in default\n110\nItems associated with particularly high risk\n120\nCovered bonds\n130\nClaims on institutions and corporates with a short-term credit assessment\n140\nCollective investments undertakings (CIU)\n150\nEquity exposures\n160\nOther exposures\n170\nTotal exposures\nC 09.02 – GEOGRAPHICAL BREAKDOWN OF EXPOSURES BY RESIDENCE OF THE OBLIGOR: IRB EXPOSURES (CR GB 2)\nCountry:\nORIGINAL EXPOSURE PRE CONVERSION FACTORS\nObserved new defaults for the period\nGeneral credit risk adjustments\nSpecific credit risk adjustments\nWrite off\nCredit risk adjustments/write-offs for observed new defaults\nPD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%)\nEXPOSURE WEIGHTED AVERAGE LGD (%)\nEXPOSURE VALUE\nRISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR\nRISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR\nEXPECTED LOSS AMOUNT\nOf which: defaulted\nOf which: defaulted\nOf which: defaulted\n010\n030\n040\n050\n055\n060\n070\n080\n090\n100\n105\n110\n120\n125\n130\n010\nCentral governments or central banks\n020\nInstitutions\n030\nCorporates\n042\nOf Which: Specialised Lending(excl. SL subject to slotting criteria)\n045\nOf Which: Specialised Lendingsubject to slotting criteria\n050\nOf Which: SME\n060\nRetail\n070\nSecured by real estate property\n080\nSME\n090\nNon-SME\n100\nQualifying Revolving\n110\nOther Retail\n120\nSME\n130\nNon-SME\n140\nEquity\n150\nTotal exposures\nC 09.04 – BREAKDOWN OF CREDIT EXPOSURES RELEVANT FOR THE CALCULATION OF THE COUNTERCYCLICAL BUFFER BY COUNTRY AND INSTITUTION-SPECIFIC COUNTERCYCLICAL BUFFER RATE (CCB)\nCountry:\nAmount\nPercentage\nQualitative information\n010\n020\n030\nRelevant credit exposures – Credit Risk\n010\nExposure value under the Standardised Approach\n020\nExposure value under the IRB Approach\nRelevant credit exposures – Market risk\n030\nSum of long and short positions of trading book exposures for Standardised Approach\n040\nValue of trading book exposures for internal models\nRelevant credit exposures – Securitisation\n055\nExposure value of securitisation positions in the banking book\nOwn funds requirements and weights\n070\nTotal own funds requirements for CCB\n080\nOwn funds requirements for relevant credit exposures – Credit risk\n090\nOwn funds requirements for relevant credit exposures – Market risk\n100\nOwn funds requirements for relevant credit exposures – Securitisation positions in the banking book\n110\nOwn funds requirements weights\nCountercyclical capital buffer rates\n120\nCountercyclical capital buffer rate set by the Designated Authority\n130\nCountercyclical capital buffer rate applicable for the country of the institution\n140\nInstitution-specific countercyclical capital buffer rate\nUse of 2 % threshold\n150\nUse of 2 % threshold for general credit exposure\n160\nUse of 2 % threshold for trading book exposure\nC 10.01 – CREDIT RISK: EQUITY – IRB APPROACHES TO CAPITAL REQUIREMENTS (CR EQU IRB 1)\nINTERNAL RATING SYSTEM\nORIGINAL EXPOSURE PRE CONVERSION FACTORS\nCREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE\nEXPOSURE VALUE\nEXPOSURE WEIGHTED AVERAGE LGD (%)\nRISK WEIGHTED EXPOSURE AMOUNT\nMEMORANDUM ITEM:\nUNFUNDED CREDIT PROTECTION\nSUBSTITUTION OF THE EXPOSURE DUE TO CRM\nEXPECTED LOSS AMOUNT\nPD ASSIGNED TO THE OBLIGOR GRADE (%)\n(-) GUARANTEES\n(-) CREDIT DERIVATIVES\n(-) TOTAL OUTFLOWS\n010\n020\n030\n040\n050\n060\n070\n080\n090\n010\nTOTAL IRB EQUITY EXPOSURES\nCell linked to CA\n020\nPD/LGD APRROACH: TOTAL\n050\nSIMPLE RISK WEIGHT APPROACH: TOTAL\n060\nBREAKDOWN OF TOTAL EXPOSURES UNDER THE SIMPLE RISK WEIGHT APRROACH BY RISK WEIGHTS:\n070\nRISK WEIGHT: 190 %\n080\n290 %\n090\n370 %\n100\nINTERNAL MODELS APPROACH\n110\nEQUITY EXPOSURES SUBJECT TO RISK WEIGHTS\nC 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)\nOBLIGOR GRADE (ROW IDENTIFIER)\nINTERNAL RATING SYSTEM\nORIGINAL EXPOSURE PRE CONVERSION FACTORS\nCREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE\nEXPOSURE VALUE\nEXPOSURE WEIGHTED AVERAGE LGD (%)\nRISK WEIGHTED EXPOSURE AMOUNT\nMEMORANDUM ITEM:\nUNFUNDED CREDIT PROTECTION\nSUBSTITUTION OF THE EXPOSURE DUE TO CRM\nEXPECTED LOSS AMOUNT\nPD ASSIGNED TO THE OBLIGOR GRADE (%)\n(-) GUARANTEES\n(-) CREDIT DERIVATIVES\n(-) TOTAL OUTFLOWS\n005\n010\n020\n030\n040\n050\n060\n070\n080\n090\nC 11.00 – SETTLEMENT/DELIVERY RISK (CR SETT)\nUNSETTLED TRANSACTIONS AT SETTLEMENT PRICE\nPRICE DIFFERENCE EXPOSURE DUE TO UNSETTLED TRANSACTIONS\nOWN FUNDS REQUIREMENTS\nTOTAL SETTLEMENT RISK EXPOSURE AMOUNT\n010\n020\n030\n040\n010\nTotal unsettled transactions in the Non-trading Book\nCell linked to CA\n020\nTransactions unsettled up to 4 days (Factor 0 %)\n030\nTransactions unsettled between 5 and 15 days (Factor 8 %)\n040\nTransactions unsettled between 16 and 30 days (Factor 50 %)\n050\nTransactions unsettled between 31 and 45 days (Factor 75 %)\n060\nTransactions unsettled for 46 days or more (Factor 100 %)\n070\nTotal unsettled transactions in the Trading Book\nCell linked to CA\n080\nTransactions unsettled up to 4 days (Factor 0 %)\n090\nTransactions unsettled between 5 and 15 days (Factor 8 %)\n100\nTransactions unsettled between 16 and 30 days (Factor 50 %)\n110\nTransactions unsettled between 31 and 45 days (Factor 75 %)\n120\nTransactions unsettled for 46 days or more (Factor 100 %)\nC 13.01 – CREDIT RISK: SECURITISATIONS (CR SEC)\nTOTAL AMOUNT OF SECURITISATI0N EXPOSURES ORIGINATED\nSYNTHETIC SECURITIZATIONS: CREDIT PROTECTION TO THE SECURITISED EXPOSURES\nSECURITISATION POSITIONS\n(-) VALUE ADJUSTMENTS AND PROVISIONS\nEXPOSURE NET OF VALUE ADJUSTMENTS AND PROVISIONS\nCREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE\nNET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS\n(-) CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE AMOUNT OF THE EXPOSURE: FUNDED CREDIT PROTECTION FINANCIAL COLLATERAL COMPREHENSIVE METHOD ADJUSTED VALUE (Cvam)\nFULLY ADJUSTED EXPOSURE VALUE (E*)\n(-) NON REFUNDABLE PURCHASE PRICE DISCOUNT\n(-) SPECIFIC CREDIT RISK ADJUSTMENTS ON UNDERLYING EXPOSURES\nEXPOSURE VALUE\nBREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS\nRISK-WEIGHTED EXPOSURE AMOUNT\nADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO MATURITY MISMATCHES\nOVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF CHAPTER 2 OF REGULATION (EU) 2017/2402\nBEFORE CAP\n(-) REDUCTION DUE TO RISK WEIGHT CAP\n(-) REDUCTION DUE TO OVERALL CAP\nTOTAL RISK-WEIGHTED EXPOSURE AMOUNT\nMEMORANDUM ITEM: RISK WEIGHTED EXPOSURE AMOUNT CORRESPONDING TO THE OUTFLOWS FROM SECURITISATIONS TO OTHER EXPOSURE CLASSES\n(-) FUNDED CREDIT PROTECTION (Cva)\n(-) TOTAL OUTFLOWS\nNOTIONAL AMOUNT RETAINED OR REPURCHASED OF CREDIT PROTECTION\nORIGINAL EXPOSURE PRE CONVERSION FACTORS\n(-) UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (Ga)\n(-) FUNDED CREDIT PROTECTION\nSUBSTITUTION OF THE EXPOSURE DUE TO CRM\nOF WHICH: SUBJECT TO A CCF OF 0 %\n(-) DEDUCTED FROM OWN FUNDS\nSUBJECT TO RISK WEIGHTS\nSEC-IRBA\nSEC-SA\nSEC-ERBA\nINTERNAL ASSESSMENT APPROACH\nOTHER (RW=1 250 %)\nSEC-IRBA\nSEC-SA\nSEC-ERBA\nINTERNAL ASSESSMENT APPROACH\nOTHER (RW=1 250 %)\nOF WHICH: SYNTHETIC SECURITISATIONS\nBREAKDOWN BY RW BANDS\nOF WHICH: CALCULATED UNDER ARTICLE 255 (4) (PURCHASED RECEIVABLES)\nBREAKDOWN BY RW BANDS\nBREAKDOWN BY CREDIT QUALITY STEPS\nBREAKDOWN BY REASONS FOR APPLICATION OF SEC-ERBA\nBREAKDOWN BY RW BANDS\nOF WHICH: CALCULATED UNDER ARTICLE 255 (4) (PURCHASED RECEIVABLES)\nOF WHICH: RW=1 250 % (W UNKNOWN)\nAUTO LOANS, AUTO LEASES AND EQUIPMENT LEASES\nSEC-ERBA OPTION\nPOSITIONS SUBJECT TO ART. 254(2)(a) CRR\nPOSITIONS SUBJECT TO ART. 254(2)(b) CRR\nPOSITIONS SUBJECT TO ART. 254 (4) OR 258 (2) CRR\nFOLLOWING THE HIERARCHY OF APPROACHES\nAVERAGE RISK WEIGHT (%)\n(-) UNFUNDED CREDIT PROTECTION ADJUSTED VALUES (G*)\n(-) TOTAL OUTFLOWS\nTOTAL INFLOWS\n=< 20 % RW\n>20 % TO 50 % RW\n>50 % TO 100 % RW\n>100 % TO < 1 250 % RW\n1 250 % RW\n=< 20 % RW\n>20 % TO 50 % RW\n>50 % TO 100 % RW\n>100 % TO < 1 250 % RW\n1 250 % RW (W UNKNOWN)\n1 250 % RW (OTHER)\nSHORT TERM CREDIT QUALITY STEPS\nLONG TERM CREDIT QUALITY STEPS\nAUTO LOANS, AUTO LEASES AND EQUIPMENT LEASES\nSEC-ERBA OPTION\nPOSITIONS SUBJECT TO POINT (a) OF ARTICLE 254(2) CRR\nPOSITIONS SUBJECT TO POINT (b) OF ARTICLE 254(2) CRR\nPOSITIONS SUBJECT TO ARTICLES 254 (4) OR 258 (2) CRR\nFOLLOWING THE HIERARCHY OF APPROACHES\n=< 20 % RW\n>20 % TO 50 % RW\n>50 % TO 100 % RW\n>100 % TO < 1 250 % RW\n1 250 % RW\nCQS 1\nCQS 2\nCQS 3\nALL OTHER CQS\nCQS 1\nCQS 2\nCQS 3\nCQS 4\nCQS 5\nCQS 6\nCQS 7\nCQS 8\nCQS 9\nCQS 10\nCQS 11\nCQS 12\nCQS 13\nCQS 14\nCQS 15\nCQS 16\nCQS 17\nALL OTHER CQS\n0010\n0020\n0030\n0040\n0050\n0060\n0070\n0080\n0090\n0100\n0110\n0120\n0130\n0140\n0150\n0160\n0170\n0180\n0190\n0200\n0210\n0220\n0230\n0240\n0250\n0260\n0270\n0280\n0290\n0300\n0310\n0320\n0330\n0340\n0350\n0360\n0370\n0380\n0390\n0400\n0410\n0420\n0430\n0440\n0450\n0460\n0470\n0480\n0490\n0500\n0510\n0520\n0530\n0540\n0550\n0560\n0570\n0580\n0590\n0600\n0610\n0620\n0630\n0640\n0650\n0660\n0670\n0680\n0690\n0700\n0710\n0720\n0730\n0740\n0750\n0760\n0770\n0780\n0790\n0800\n0810\n0820\n0830\n0840\n0850\n0860\n0870\n0880\n0890\n0900\n0910\n0920\n0930\n0010\nTOTAL EXPOSURES\nCell linked to CA\n0020\nSECURITISATION POSITIONS\n0030\nQUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT\n0040\nSTS EXPOSURES\n0050\nSENIOR POSITION IN SMEs SECURITISATIONS\n0060\nNOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT\n0070\nRE-SECURITISATION POSITIONS\n0080\nORIGINATOR: TOTAL EXPOSURES\n0090\nSECURITISATION POSITIONS: ON-BALANCE SHEET ITEMS\n0100\nQUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT\n0110\nOF WHICH: SENIOR EXPOSURES\n0120\nNOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT\n0130\nOF WHICH: SENIOR EXPOSURES\n0140\nSECURITISATION POSITIONS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES\n0150\nQUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT\n0160\nOF WHICH: SENIOR EXPOSURES\n0170\nNOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT\n0180\nOF WHICH: SENIOR EXPOSURES\n0190\nRE-SECURITISATION POSITIONS\n0200\nINVESTOR: TOTAL EXPOSURES\n0210\nSECURITISATION POSITIONS: ON-BALANCE SHEET ITEMS\n0220\nQUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT\n0230\nOF WHICH: SENIOR EXPOSURES\n0240\nNOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT\n0250\nOF WHICH: SENIOR EXPOSURES\n0260\nSECURITISATION POSITIONS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES\n0270\nQUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT\n0280\nOF WHICH: SENIOR EXPOSURES\n0290\nNOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT\n0300\nOF WHICH: SENIOR EXPOSURES\n0310\nRE-SECURITISATION POSITIONS\n0320\nSPONSOR: TOTAL EXPOSURES\n0330\nSECURITISATION POSITIONS: ON-BALANCE SHEET ITEMS\n0340\nQUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT\n0350\nOF WHICH: SENIOR EXPOSURES\n0360\nNOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT\n0370\nOF WHICH: SENIOR EXPOSURES\n0380\nSECURITISATION POSITIONS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES\n0390\nQUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT\n0400\nOF WHICH: SENIOR EXPOSURES\n0410\nNOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT\n0420\nOF WHICH: SENIOR EXPOSURES\n0430\nRE-SECURITISATION POSITIONS\n0440\nBREAKDOWN OF OUTSTANDING POSITIONS BY CQS AT INCEPTION: Short term\n0450\nCQS 1\n0460\nCQS 2\n0470\nCQS 3\n0480\nALL OTHER CQS AND UNRATED\n0490\nBREAKDOWN OF OUTSTANDING POSITIONS BY CQS AT INCEPTION: Long term\n0500\nCQS 1\n0510\nCQS 2\n0520\nCQS 3\n0530\nCQS 4\n0540\nCQS 5\n0550\nCQS 6\n0560\nCQS 7\n0570\nCQS 8\n0580\nCQS 9\n0590\nCQS 10\n0600\nCQS 11\n0610\nCQS 12\n0620\nCQS 13\n0630\nCQS 14\n0640\nCQS 15\n0650\nCQS 16\n0660\nCQS 17\n0670\nALL OTHER CQS AND UNRATED\nC 14.00 – DETAILED INFORMATION ON SECURITISATIONS (SEC Details)\nROW NUMBER\nINTERNAL CODE\nIDENTIFIER OF THE SECURITISATION\nINTRA-GROUP, PRIVATE OR PUBLIC SECURITISATION?\nROLE OF THE INSTITUTION: (ORIGINATOR / SPONSOR / ORIGINAL LENDER / INVESTOR)\nIDENTIFIER OF THE ORIGINATOR\nSECURITISATION TYPE: (TRADITIONAL / SYNTHETIC / ABCP PROGRAMME / ABCP TRANSACTION)\nACCOUNTING TREATMENT: SECURITISED EXPOSURES ARE KEPT OR REMOVED FROM THE BALANCE SHEET?\nSOLVENCY TREATMENT: Securitisation positions subject to own funds requirements ?\nSIGNIFICANT RISK TRANSFER\nSECURITISATION OR RE-SECURITISATION?\nSTS OR NON-STS SECURITISATION?\nSECURITISATION QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT?\nRETENTION\nNON ABCP PROGRAMMES\nSECURITISED EXPOSURES\nSECURITISATION STRUCTURE\nTYPE OF RETENTION APPLIED\n% OF RETENTION AT REPORTING DATE\nCOMPLIANCE WITH THE RETENTION REQUIREMENT?\nORIGINATION DATE (mm/yyyy)\nDATE OF LATEST ISSUANCE (mm/yyyy)\nTOTAL AMOUNT OF SECURITISED EXPOSURES AT ORIGINATION DATE\nTOTAL AMOUNT\nINSTITUTION’S SHARE (%)\nTYPE\n% of IRB IN APPROACH APPLIED\nNUMBER OF EXPOSURES\nEXPOSURES IN DEFAULT W (%)\nCOUNTRY\nLGD (%)\nEL%\nUL%\nEXPOSURE-WEIGHTED AVERAGE MATURITY OF ASSETS\n(-) VALUE ADJUSTMENTS AND PROVISIONS\nOWN FUNDS REQUIREMENTS BEFORE SECURITISATION (%) Kirb\n% OF RETAIL EXPOSURES IN IRB POOLS\nOWN FUNDS REQUIREMENTS BEFORE SECURITISATION (%) Ksa\nMEMORANDUM ITEMS\nON-BALANCE SHEET ITEMS\nOFF-BALANCE SHEET ITEMS AND DERIVATIVES\nMATURITY\nMEMORANDUM ITEMS\nCREDIT RISK ADJUSTMENTS DURING THE CURRENT PERIOD\nSENIOR\nMEZZANINE\nFIRST LOSS\nSENIOR\nMEZZANINE\nFIRST LOSS\nFIRST FORESEEABLE TERMINATION DATE\nORIGINATOR’S CALL OPTIONS INCLUDED IN TRANSACTION\nLEGAL FINAL MATURITY DATE\nATTACHMENT POINT OF RISK SOLD (%)\nDETACHMENT POINT OF RISK SOLD (%)\nRISK TRANSFER CLAIMED BY ORIGINATOR INSTITUTION (%)\nAMOUNT\nATTACHMENT POINT (%)\nCQS\nAMOUNT\nNUMBER OF TRANCHES\nCQS OF THE MOST SUBORDINATED ONE\nAMOUNT\nDETACHMENT POINT (%)\nCQS\n005\n010\n020\n021\n110\n030\n040\n051\n060\n061\n070\n075\n446\n080\n090\n100\n120\n121\n130\n140\n150\n160\n171\n180\n181\n190\n201\n202\n203\n204\n210\n221\n222\n223\n225\n230\n231\n232\n240\n241\n242\n250\n251\n252\n260\n270\n280\n290\n291\n300\n302\n303\n304\nC 14.01 – DETAILED INFORMATION ON SECURITISATIONS BY APPROACH (SEC Details Approach)\nApproach:\nROW NUMBER\nINTERNAL CODE\nIDENTIFIER OF THE SECURITISATION\nSECURITISATION POSITIONS\nEXPOSURE VALUE\n(-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS\nTOTAL RISK-WEIGHTED EXPOSURE AMOUNT\nMEMORANDUM ITEMS\nSECURITISATION POSITIONS - TRADING BOOK\nORIGINAL EXPOSURE PRE-CONVERSION FACTORS\nMEMORANDUM ITEMS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES PRE CONVERSION FACTORS\nRISK-WEIGHTED EXPOSURE AMOUNT UNDER SEC-ERBA\nRISK WEIGHTED EXPOSURE AMOUNT UNDER SEC-SA\nCTP OR NON-CTP?\nNET POSITIONS\nON-BALANCE SHEET ITEMS\nOFF-BALANCE SHEET ITEMS AND DERIVATIVES\nDIRECT CREDIT SUBSTITUTES\nIRS / CRS\nLIQUIDITY FACILITIES\nOTHER\nSENIOR\nMEZZANINE\nFIRST LOSS\nSENIOR\nMEZZANINE\nFIRST LOSS\nBEFORE CAP\n(-) REDUCTION DUE TO RISK WEIGHT CAP\n(-) REDUCTION DUE TO OVERALL CAP\nAFTER CAP\nRW CORRESPONDING TO PROTECTION PROVIDER / INSTRUMENT\nRW CORRESPONDING TO PROTECTION PROVIDER / INSTRUMENT\nLONG\nSHORT\n005\n010\n020\n310\n320\n330\n340\n350\n351\n360\n361\n370\n380\n390\n400\n411\n420\n430\n431\n432\n440\n447\n448\n450\n460\n470\nC 16.00 – OPERATIONAL RISK (OPR)\nBANKING ACTIVITIES\nRELEVANT INDICATOR\nLOANS AND ADVANCES (IN CASE OF ASA APPLICATION)\nOWN FUNDS REQUIREMENT\nTotal operational risk exposure amount\nAMA MEMORANDUM ITEMS TO BE REPORTED IF APPLICABLE\nYEAR-3\nYEAR-2\nLAST YEAR\nYEAR-3\nYEAR-2\nLAST YEAR\nOF WHICH: DUE TO AN ALLOCATION MECHANISM\nOWN FUNDS REQUIREMENT BEFORE ALLEVIATION DUE TO EXPECTED LOSS, DIVERSIFICATION AND RISK MITIGATION TECHNIQUES\n(-) ALLEVIATION OF OWN FUNDS REQUIREMENT DUE TO THE EXPECTED LOSS CAPTURED IN BUSINESS PRACTICES\n(-) ALLEVIATION OF OWN FUNDS REQUIREMENT DUE TO DIVERSIFICATION\n(-) ALLEVIATION OF OWN FUNDS REQUIREMENT DUE TO RISK MITIGATION TECHNIQUES (INSURANCE AND OTHER RISK TRANSFER MECHANISMS)\n010\n020\n030\n040\n050\n060\n070\n071\n080\n090\n100\n110\n120\n010\n1. BANKING ACTIVITIES SUBJECT TO BASIC INDICATOR APPROACH (BIA)\nCell linked to CA2\n020\n2. BANKING ACTIVITIES SUBJECT TO STANDARDISED (TSA) / ALTERNATIVE STANDARDISED (ASA) APPROACHES\nCell linked to CA2\nSUBJECT TO TSA:\n030\nCORPORATE FINANCE (CF)\n040\nTRADING AND SALES (TS)\n050\nRETAIL BROKERAGE (RBr)\n060\nCOMMERCIAL BANKING (CB)\n070\nRETAIL BANKING (RB)\n080\nPAYMENT AND SETTLEMENT (PS)\n090\nAGENCY SERVICES (AS)\n100\nASSET MANAGEMENT (AM)\nSUBJECT TO ASA:\n110\nCOMMERCIAL BANKING (CB)\n120\nRETAIL BANKING (RB)\n130\n3. BANKING ACTIVITIES SUBJECT TO ADVANCED MEASUREMENT APPROACHES AMA\nCell linked to CA2\nC 17.01 – OPERATIONAL RISK: LOSSES AND RECOVERIES BY BUSINESS LINES AND LOSS EVENT TYPES IN THE LAST YEAR (OPR DETAILS 1)\nMAPPING OF LOSSES TO BUSINESS LINES\nLOSS EVENT TYPES\nTOTAL LOSS EVENT TYPES\nMEMORANDUM ITEM: THRESHOLD APPLIED IN DATA COLLECTION\nINTERNAL FRAUD\nEXTERNAL FRAUD\nEMPLOYMENT PRACTICES AND WORKPLACE SAFETY\nCLIENTS, PRODUCTS & BUSINESS PRACTICES\nDAMAGE TO PHYSICAL ASSETS\nBUSINESS DISRUPTION AND SYSTEM FAILURES\nEXECUTION, DELIVERY & PROCESS MANAGEMENT\nLOWEST\nHIGHEST\nRows\n0010\n0020\n0030\n0040\n0050\n0060\n0070\n0080\n0090\n0100\n0010\nCORPORATE FINANCE [CF]\nNumber of loss events (new loss events)\n0020\nGross loss amount (new loss events)\n0030\nNumber of loss events subject to loss adjustments\n0040\nLoss adjustments relating to previous reporting periods\n0050\nMaximum single loss\n0060\nSum of the five largest losses\n0070\nTotal direct loss recovery\n0080\nTotal recovery from insurance and other risk transfer mechanisms\n0110\nTRADING AND SALES [TS]\nNumber of loss events (new loss events)\n0120\nGross loss amount (new loss events)\n0130\nNumber of loss events subject to loss adjustments\n0140\nLoss adjustments relating to previous reporting periods\n0150\nMaximum single loss\n0160\nSum of the five largest losses\n0170\nTotal direct loss recovery\n0180\nTotal recovery from insurance and other risk transfer mechanisms\n0210\nRETAIL BROKERAGE [RBr]\nNumber of loss events (new loss events)\n0220\nGross loss amount (new loss events)\n0230\nNumber of loss events subject to loss adjustments\n0240\nLoss adjustments relating to previous reporting periods\n0250\nMaximum single loss\n0260\nSum of the five largest losses\n0270\nTotal direct loss recovery\n0280\nTotal recovery from insurance and other risk transfer mechanisms\n0310\nCOMMERCIAL BANKING [CB]\nNumber of events (new loss events)\n0320\nGross loss amount (new loss events)\n0330\nNumber of loss events subject to loss adjustments\n0340\nLoss adjustments relating to previous reporting periods\n0350\nMaximum single loss\n0360\nSum of the five largest losses\n0370\nTotal direct loss recovery\n0380\nTotal recovery from insurance and other risk transfer mechanisms\n0410\nRETAIL BANKING [RB]\nNumber of loss events (new loss events)\n0420\nGross loss amount (new loss events)\n0430\nNumber of loss events subject to loss adjustments\n0440\nLoss adjustments relating to previous reporting periods\n0450\nMaximum single loss\n0460\nSum of the five largest losses\n0470\nTotal direct loss recovery\n0480\nTotal recovery from insurance and other risk transfer mechanisms\n0510\nPAYMENT AND SETTLEMENT [PS]\nNumber of loss events (new loss events)\n0520\nGross loss amount (new loss events)\n0530\nNumber of loss events subject to loss adjustments\n0540\nLoss adjustments relating to previous reporting periods\n0550\nMaximum single loss\n0560\nSum of the five largest losses\n0570\nTotal direct loss recovery\n0580\nTotal recovery from insurance and other risk transfer mechanisms\n0610\nAGENCY SERVICES [AS]\nNumber of loss events (new loss events)\n0620\nGross loss amount (new loss events)\n0630\nNumber of loss events subject to loss adjustments\n0640\nLoss adjustments relating to previous reporting periods\n0650\nMaximum single loss\n0660\nSum of the five largest losses\n0670\nTotal direct loss recovery\n0680\nTotal recovery from insurance and other risk transfer mechanisms\n0710\nASSET MANAGEMENT [AM]\nNumber of loss events (new loss events)\n0720\nGross loss amount (new loss events)\n0730\nNumber of loss events subject to loss adjustments\n0740\nLoss adjustments relating to previous reporting periods\n0750\nMaximum single loss\n0760\nSum of the five largest losses\n0770\nTotal direct loss recovery\n0780\nTotal recovery from insurance and other risk transfer mechanisms\n0810\nCORPORATE ITEMS [CI]\nNumber of loss events (new loss events)\n0820\nGross loss amount (new loss events)\n0830\nNumber of loss events subject to loss adjustments\n0840\nLoss adjustments relating to previous reporting periods\n0850\nMaximum single loss\n0860\nSum of the five largest losses\n0870\nTotal direct loss recovery\n0880\nTotal recovery from insurance and other risk transfer mechanisms\n0910\nTOTAL BUSINESS LINES\nNumber of loss events (new loss events). Of which:\n0911\nrelated to losses ≥ 10 000 and < 20 000\n0912\nrelated to losses ≥ 20 000 and < 100 000\n0913\nrelated to losses ≥ 100 000 and < 1 000 000\n0914\nrelated to losses ≥ 1 000 000\n0920\nGross loss amount (new loss events). Of which:\n0921\nrelated to losses ≥ 10 000 and < 20 000\n0922\nrelated to losses ≥ 20 000 and < 100 000\n0923\nrelated to losses ≥ 100 000 and < 1 000 000\n0924\nrelated to losses ≥ 1 000 000\n0930\nNumber of loss events subject to loss adjustments. Of which:\n0935\nof which: number of loss events with a positive loss adjustment\n0936\nof which: number of loss events with a negative loss adjustment\n0940\nLoss adjustments relating to previous reporting periods\n0945\nof which: positive loss adjustment amounts (+)\n0946\nof which: negative loss adjustment amounts (-)\n0950\nMaximum single loss\n0960\nSum of the five largest losses\n0970\nTotal direct loss recovery\n0980\nTotal recovery from insurance and other risk transfer mechanisms\nC 17.02 – OPERATIONAL RISK: LARGE LOSS EVENTS (OPR DETAILS 2)\nEvent ID\nDate of accounting\nDate of occurrence\nDate of discovery\nLoss event type\nGross loss\nGross loss net of direct recoveries\nGROSS LOSS BY BUSINESS LINE\nLegal Entity name\nLegal Entity ID\nBusiness Unit\nDescription\nCorporate Finance [CF]\nTrading and Sales [TS]\nRetail Brokerage [RBr]\nCommercial Banking [CB]\nRetail Banking [RB]\nPayment and Settlement [PS]\nAgency Services [AS]\nAsset Management [AM]\nCorporate Items [CI]\nRows\n0010\n0020\n0030\n0040\n0050\n0060\n0070\n0080\n0090\n0100\n0110\n0120\n0130\n0140\n0150\n0160\n0170\n0180\n0190\n0200\n…\nC 18.00 – MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS (MKR SA TDI)\nCurrency:\nPOSITIONS\nOWN FUNDS REQUIREMENTS\nTOTAL RISK EXPOSURE AMOUNT\nALL POSITIONS\nNET POSITIONS\nPOSITIONS SUBJECT TO CAPITAL CHARGE\nLONG\nSHORT\nLONG\nSHORT\n010\n020\n030\n040\n050\n060\n070\n010\nTRADED DEBT INSTRUMENTS IN TRADING BOOK\nCell linked to CA2\n011\nGeneral risk\n012\nDerivatives\n013\nOther assets and liabilities\n020\nMaturity-based approach\n030\nZone 1\n040\n0 ≤ 1 month\n050\n> 1 ≤ 3 months\n060\n> 3 ≤ 6 months\n070\n> 6 ≤ 12 months\n080\nZone 2\n090\n> 1 ≤ 2 (1,9 for cupon of less than 3 %) years\n100\n> 2 ≤ 3 (> 1,9 ≤ 2,8 for cupon of less than 3 %) years\n110\n> 3 ≤ 4 (> 2,8 ≤ 3,6 for cupon of less than 3 %) years\n120\nZone 3\n130\n> 4 ≤ 5 (> 3,6 ≤ 4,3 for cupon of less than 3 %) years\n140\n> 5 ≤ 7 (> 4,3 ≤ 5,7 for cupon of less than 3 %) years\n150\n> 7 ≤ 10 (> 5,7 ≤ 7,3 for cupon of less than 3 %) years\n160\n> 10 ≤ 15 (> 7,3 ≤ 9,3 for cupon of less than 3 %) years\n170\n> 15 ≤ 20 (> 9,3 ≤ 10,6 for cupon of less than 3 %) years\n180\n> 20 (> 10,6 ≤ 12,0 for cupon of less than 3 %) years\n190\n(> 12,0 ≤ 20,0 for cupon of less than 3 %) years\n200\n(> 20 for cupon of less than 3 %) years\n210\nDuration-based approach\n220\nZone 1\n230\nZone 2\n240\nZone 3\n250\nSpecific risk\n251\nOwn funds requirement for non-securitisation debt instruments\n260\nDebt securities under the first category in Table 1\n270\nDebt securities under the second category in Table 1\n280\nWith residual term ≤ 6 months\n290\nWith a residual term > 6 months and ≤ 24 months\n300\nWith a residual term > 24 months\n310\nDebt securities under the third category in Table 1\n320\nDebt securities under the fourth category in Table 1\n321\nRated nth-to default credit derivatives\n325\nOwn funds requirement for securitisation instruments\n330\nOwn funds requirement for the correlation trading portfolio\n350\nAdditional requirements for options (non-delta risks)\n360\nSimplified method\n370\nDelta plus approach – additional requirements for gamma risk\n380\nDelta plus approach – additional requirements for vega risk\n385\nDelta plus approach – non-continuous options and warrants\n390\nScenario matrix approach\nC 19.00 – MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS (MKR SA SEC)\nALL POSITIONS\n(-) POSITIONS DEDUCTED FROM OWN FUNDS\nNET POSITIONS\nBREAKDOWN OF THE NET POSITIONS (LONG) BY RISK WEIGHTS\nBREAKDOWN OF THE NET POSITIONS (SHORT) BY RISK WEIGHTS\nBREAKDOWN OF THE NET POSITION BY APPROACHES\nOVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF CHAPTER 2 OF REGULATION (EU) 2017/2402\nBEFORE CAP\nAFTER CAP / TOTAL OWN FUND REQUIREMENTS\nLONG\nSHORT\n(-) LONG\n(-) SHORT\nLONG\nSHORT\n[0 – 10 %[\n[10 – 12 %[\n[12 – 20 %[\n[20 – 40 %[\n[40 – 100 %[\n[100 – 150 %[\n[150 – 200 %[\n[200 – 225 %[\n[225 – 250 %[\n[250 – 300 %[\n[300 – 350 %[\n[350 – 425 %[\n[425 – 500 %[\n[500 – 650 %[\n[650 – 750 %[\n[750 – 850 %[\n[850 – 1 250 %[\n1 250 %\n[0 – 10 %[\n[10 – 12 %[\n[12 – 20 %[\n[20 – 40 %[\n[40 – 100 %[\n[100 – 150 %[\n[150 – 200 %[\n[200 – 225 %[\n[225 – 250 %[\n[250 – 300 %[\n[300 – 350 %[\n[350 – 425 %[\n[425 – 500 %[\n[500 – 650 %[\n[650 – 750 %[\n[750 – 850 %[\n[850 – 1 250 %[\n1 250 %\nSEC-IRBA\nSEC-SA\nSEC-ERBA\nINTERNAL ASSESSMENT APPROACH\nOTHER (RW=1 250 %)\nWEIGHTED NET LONG POSITIONS\nWEIGHTED NET SHORT POSITIONS\n010\n020\n030\n040\n050\n060\n061\n062\n063\n064\n065\n066\n071\n072\n073\n074\n075\n076\n077\n078\n079\n081\n082\n083\n085\n086\n087\n088\n089\n091\n092\n093\n094\n095\n096\n097\n098\n099\n101\n102\n103\n0104\n402\n403\n404\n405\n406\n530\n540\n570\n601\n010\nTOTAL EXPOSURES\nCell linked to MKR SA TDI {325:060}\n020\nOf which: RE-SECURITISATIONS\n030\nORIGINATOR: TOTAL EXPOSURES\n040\nSECURITISATION POSITIONS\n041\nOF WHICH: QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT\n050\nRE-SECURITISATION POSITONS\n060\nINVESTOR: TOTAL EXPOSURES\n070\nSECURITISATION POSITIONS\n071\nOF WHICH: QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT\n080\nRE-SECURITISATION POSITONS\n090\nSPONSOR: TOTAL EXPOSURES\n100\nSECURITISATION POSITIONS\n101\nOF WHICH: QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT\n110\nRE-SECURITISATION POSITONS\nC 20.00 – MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN THE CORRELATION TRADING PORTFOLIO (MKR SA CTP)\nALL POSITIONS\n(-) POSITIONS DEDUCTED FROM OWN FUNDS\nNET POSITIONS\nBREAKDOWN OF THE NET POSITION (LONG) BY RISK WEIGHTS\nBREAKDOWN OF THE NET POSITION (SHORT) BY RISK WEIGHTS\nBREAKDOWN OF THE NET POSITION BY APPROACHES\nBEFORE CAP\nAFTER CAP\nTOTAL OWN FUNDS REQUIREMENTS\nLONG\nSHORT\n(-) LONG\n(-) SHORT\nLONG\nSHORT\n[0 – 10 %[\n[10 – 12 %[\n[12 – 20 %[\n[20 – 40 %[\n[40 – 100 %[\n[100 – 250 %[\n[250 – 350 %[\n[350 – 425 %[\n[425 – 650 %[\n[650 – 1 250 %[\n1 250 %\n[0 – 10 %[\n[10 – 12 %[\n[12 – 20 %[\n[20 – 40 %[\n[40 – 100 %[\n[100 – 250 %[\n[250 – 350 %[\n[350 – 425 %[\n[425 – 650 %[\n[650 – 1 250 %[\n1 250 %\nSEC-IRBA\nSEC-SA\nSEC-ERBA\nINTERNAL ASSESSMENT APPROACH\nOTHER (RW=1 250 %)\nWEIGHTED NET LONG POSITIONS\nWEIGHTED NET SHORT POSITIONS\nWEIGHTED NET LONG POSITIONS\nWEIGHTED NET SHORT POSITIONS\n010\n020\n030\n040\n050\n060\n071\n072\n073\n074\n075\n076\n077\n078\n079\n081\n082\n086\n087\n088\n089\n091\n092\n093\n094\n095\n096\n097\n402\n403\n404\n405\n406\n410\n420\n430\n440\n450\n010\nTOTAL EXPOSURES\nCell linked to MKR SA TDI {330:060}\nSECURITISATION POSITIONS:\n020\nORIGINATOR: TOTAL EXPOSURES\n030\nSECURITISATION POSITIONS\n040\nOTHER CTP POSITIONS\n050\nINVESTOR: TOTAL EXPOSURES\n060\nSECURITISATION POSITIONS\n070\nOTHER CTP POSITIONS\n080\nSPONSOR: TOTAL EXPOSURES\n090\nSECURITISATION POSITIONS\n100\nOTHER CTP POSITIONS\nN-TH-TO-DEFAULT CREDIT DERIVATIVES:\n110\nN-TH-TO-DEFAULT CREDIT DERIVATIVES\n120\nOTHER CTP POSITIONS\nC 21.00 – MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES (MKR SA EQU)\nNational market:\nPOSITIONS\nOWN FUNDS REQUIREMENTS\nTOTAL RISK EXPOSURE AMOUNT\nALL POSITIONS\nNET POSITIONS\nPOSITIONS SUBJECT TO CAPITAL CHARGE\nLONG\nSHORT\nLONG\nSHORT\n010\n020\n030\n040\n050\n060\n070\n010\nEQUITIES IN TRADING BOOK\nCell linked to CA\n020\nGeneral risk\n021\nDerivatives\n022\nOther assets and liabilities\n030\nExchange traded stock-index futures broadly diversified subject to particular approach\n040\nOther equities than exchange traded stock-index futures broadly diversified\n050\nSpecific risk\n090\nAdditional requirements for options (non-delta risks)\n100\nSimplified method\n110\nDelta plus approach – additional requirements for gamma risk\n120\nDelta plus approach – additional requirements for vega risk\n125\nDelta plus approach – non-continuous options and warrants\n130\nScenario matrix approach\nC 22.00 – MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK (MKR SA FX)\nALL POSITIONS\nNET POSITIONS\nPOSITIONS SUBJECT TO CAPITAL CHARGE (Including redistribution of unmatched positions in non-reporting currencies subject to special treatment for matched positions)\nOWN FUNDS REQUIREMENTS\nTOTAL RISK EXPOSURE AMOUNT\nLONG\nSHORT\nLONG\nSHORT\nLONG\nSHORT\nMATCHED\n020\n030\n040\n050\n060\n070\n080\n090\n100\n010\nTOTAL POSITIONS\nCell linked to CA\n020\nCurrencies closely correlated\n025\nof which: reporting currency\n030\nAll other currencies (including CIUs treated as different currencies)\n040\nGold\n050\nAdditional requirements for options (non-delta risks)\n060\nSimplified method\n070\nDelta plus approach – additional requirements for gamma risk\n080\nDelta plus approach – additional requirements for vega risk\n085\nDelta plus approach – non-continuous options and warrants\n090\nScenario matrix approach\nBREAKDOWN OF TOTAL POSITIONS (REPORTING CURRENCY INCLUDED) BY EXPOSURE TYPES\n100\nOther assets and liabilities other than off-balance sheet items and derivatives\n110\nOff-balance sheet items\n120\nDerivatives\nMemorandum items: CURRENCY POSITIONS\n130\nEuro\n140\nLek\n150\nArgentine Peso\n160\nAustralian Dollar\n170\nBrazilian Real\n180\nBulgarian Lev\n190\nCanadian Dollar\n200\nCzech Koruna\n210\nDanish Krone\n220\nEgyptian Pound\n230\nPound Sterling\n240\nForint\n250\nYen\n270\nLithuanian Litas\n280\nDenar\n290\nMexican Peso\n300\nZloty\n310\nRumanian Leu\n320\nRussian Ruble\n330\nSerbian Dinar\n340\nSwedish Krona\n350\nSwiss Franc\n360\nTurkish Lira\n370\nHryvnia\n380\nUS Dollar\n390\nIceland Krona\n400\nNorwegian Krone\n410\nHong Kong Dollar\n420\nNew Taiwan Dollar\n430\nNew Zealand Dollar\n440\nSingapore Dollar\n450\nWon\n460\nYuan Renminbi\n470\nOther\n480\nCroatian Kuna\nC 23.00 – MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES (MKR SA COM)\nALL POSITIONS\nNET POSITIONS\nPOSITIONS SUBJECT TO CAPITAL CHARGE\nOWN FUNDS REQUIREMENTS\nTOTAL RISK EXPOSURE AMOUNT\nLONG\nSHORT\nLONG\nSHORT\n010\n020\n030\n040\n050\n060\n070\n010\nTOTAL POSITIONS IN COMMODITIES\nCell linked to CA\n020\nPrecious metals (except gold)\n030\nBase metals\n040\nAgricultural products (softs)\n050\nOthers\n060\nOf which energy products (oil, gas)\n070\nMaturity ladder approach\n080\nExtended maturity ladder approach\n090\nSimplified approach: All positions\n100\nAdditional requirements for options (non-delta risks)\n110\nSimplified method\n120\nDelta plus approach – additional requirements for gamma risk\n130\nDelta plus approach – additional requirements for vega risk\n135\nDelta plus approach – non-continuous options and warrants\n140\nScenario matrix approach\nC 24.00 – MARKET RISK INTERNAL MODELS (MKR IM)\nValue at Risk (VaR)\nSTRESSED VaR\nINCREMENTAL DEFAULT AND MIGRATION RISK CAPITAL CHARGE\nALL PRICE RISKS CAPITAL CHARGE FOR CTP\nOWN FUNDS REQUIREMENTS\nTOTAL RISK EXPOSURE AMOUNT\nNumber of overshootings during previous 250 working days\nVaR Multiplication Factor (mc)\nSVaR Multiplication Factor (ms)\nASSUMED CHARGE FOR CTP FLOOR – WEIGHTED NET LONG POSITIONS AFTER CAP\nASSUMED CHARGE FOR CTP FLOOR – WEIGHTED NET SHORT POSITIONS AFTER CAP\nMULTIPLICATION FACTOR (mc) x AVERAGE OF PREVIOUS 60 WORKING DAYS (VaRavg)\nPREVIOUS DAY (VaRt-1)\nMULTIPLICATION FACTOR (ms) x AVERAGE OF PREVIOUS 60 WORKING DAYS (SVaRavg)\nLATEST AVAILABLE (SVaRt-1)\n12 WEEKS AVERAGE MEASURE\nLAST MEASURE\nFLOOR\n12 WEEKS AVERAGE MEASURE\nLAST MEASURE\n030\n040\n050\n060\n070\n080\n090\n100\n110\n120\n130\n140\n150\n160\n170\n180\n010\nTOTAL POSITIONS\nCell linked to CA\nMemorandum items: BREAKDOWN OF MARKET RISK\n020\nTraded debt instruments\n030\nTDI – General risk\n040\nTDI – Specific Risk\n050\nEquities\n060\nEquities – General risk\n070\nEquities – Specific Risk\n080\nForeign Exchange risk\n090\nCommodities risk\n100\nTotal amount for general risk\n110\nTotal amount for specific risk\nC 25.00 – CREDIT VALUE ADJUSTMENT RISK (CVA)\nEXPOSURE VALUE\nVaR\nSTRESSED VaR\nOWN FUNDS REQUIREMENTS\nTOTAL RISK EXPOSURE AMOUNT\nMEMORANDUM ITEMS\nCVA RISK HEDGE NOTIONALS\nof which: OTC Derivatives\nof which: SFT\nMULTIPLICATION FACTOR (mc) x AVERAGE OF PREVIOUS 60 WORKING DAYS (VaRavg)\nPREVIOUS DAY (VaRt-1)\nMULTIPLICATION FACTOR (ms) x AVERAGE OF PREVIOUS 60 WORKING DAYS (SVaRavg)\nLATEST AVAILABLE (SVaRt-1)\nNumber of counterparties\nof which: proxy was used to determine credit spread\nINCURRED CVA\nSINGLE NAME CDS\nINDEX CDS\n010\n020\n030\n040\n050\n060\n070\n080\n090\n100\n110\n120\n130\n140\n010\nCVA risk total\nLink to {CA2;r640;c010}\n020\nAdvanced method\nLink to {CA2;r650;c010}\n030\nStandardised method\nLink to {CA2;r660;c010}\n040\nBased on OEM\nLink to {CA2;r670;c010}\nC 32.01 – PRUDENT VALUATION: FAIR-VALUED ASSETS AND LIABILITIES (PRUVAL 1)\nFAIR-VALUED ASSETS AND LIABILITIES\nFAIR-VALUED ASSETS AND LIABILITIES EXCLUDED BECAUSE OF PARTIAL IMPACT ON CET1\nFAIR-VALUED ASSETS AND LIABILITIES INCLUDED IN ARTICLE 4(1) THRESHOLD\nOF WHICH: TRADING BOOK\nEXACTLY MATCHING\nHEDGE ACCOUNTING\nPRUDENTIAL FILTERS\nOTHER\nCOMMENTS FOR OTHER\nOF WHICH: TRADING BOOK\n0010\n0020\n0030\n0040\n0050\n0060\n0070\n0080\n0090\n0010\n1\nTOTAL FAIR-VALUED ASSETS AND LIABILITIES\n0020\n1.1\nTOTAL FAIR-VALUED ASSETS\n0030\n1.1.1\nFINANCIAL ASSETS HELD FOR TRADING\n0040\n1.1.2\nTRADING FINANCIAL ASSETS\n0050\n1.1.3\nNON-TRADING FINANCIAL ASSETS MANDATORILY AT FAIR VALUE THROUGH PROFIT OR LOSS\n0060\n1.1.4\nFINANCIAL ASSETS DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS\n0070\n1.1.5\nFINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME\n0080\n1.1.6\nNON-TRADING NON-DERIVATIVE FINANCIAL ASSETS MEASURED AT FAIR VALUE THROUGH PROFIT OR LOSS\n0090\n1.1.7\nNON-TRADING NON-DERIVATIVE FINANCIAL ASSETS MEASURED AT FAIR VALUE TO EQUITY\n0100\n1.1.8\nOTHER NON-TRADING NON-DERIVATIVE FINANCIAL ASSETS\n0110\n1.1.9\nDERIVATIVES – HEDGE ACCOUNTING\n0120\n1.1.10\nFAIR VALUE CHANGES OF THE HEDGED ITEMS IN PORTFOLIO HEDGE OF INTEREST RATE RISK\n0130\n1.1.11\nINVESTMENTS IN SUBSIDIARIES, JOINT VENTURES AND ASSOCIATES\n0140\n1.1.12\n(-) HAIRCUTS FOR TRADING ASSETS AT FAIR VALUE\n0150\n1.2\nTOTAL FAIR-VALUED LIABILITIES\n0160\n1.2.1\nFINANCIAL LIABILITIES HELD FOR TRADING\n0170\n1.2.2\nTRADING FINANCIAL LIABILITIES\n0180\n1.2.3\nFINANCIAL LIABILITIES DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS\n0190\n1.2.4\nDERIVATIVES – HEDGE ACCOUNTING\n0200\n1.2.5\nFAIR VALUE CHANGES OF THE HEDGED ITEMS IN PORTFOLIO HEDGE OF INTEREST RATE RISK\n0210\n1.2.6\nHAIRCUTS FOR TRADING LIABILITIES AT FAIR VALUE\nC 32.02 – PRUDENT VALUATION: CORE APPROACH (PRUVAL 2)\nCATEGORY LEVEL AVA\nTOTAL AVA\nUPSIDE UNCERTAINTY\nFAIR-VALUED ASSETS AND LIABILITIES\nQTD REVENUE\nIPV DIFFERENCE\nFAIR VALUE ADJUSTMENTS\nDAY 1 P&L\nEXPLANATION DESCRIPTION\nMARKET PRICE UNCERTAINTY\nCLOSE-OUT COSTS\nMODEL RISK\nCONCENTRATED POSITIONS\nFUTURE ADMINISTRATIVE COSTS\nEARLY TERMINATION\nOPERATIONAL RISK\nFAIR-VALUED ASSETS\nFAIR-VALUED LIABILITIES\nMARKET PRICE UNCERTAINTY\nCLOSE-OUT COSTS\nMODEL RISK\nCONCENTRATED POSITIONS\nUNEARNED CREDIT SPREADS\nINVESTING AND FUNDING COSTS\nFUTURE ADMINIS-TRATIVE COSTS\nEARLY TERMINATION\nOPERA- TIONAL RISK\nOF WHICH: CALCULATED USING THE EXPERT BASED APPROACH\nOF WHICH: CALCULATED USING THE EXPERT BASED APPROACH\nOF WHICH: CALCULATED USING THE EXPERT BASED APPROACH\n0010\n0020\n0030\n0040\n0050\n0060\n0070\n0080\n0090\n0100\n0110\n0120\n0130\n0140\n0150\n0160\n0170\n0180\n0190\n0200\n0210\n0220\n0230\n0240\n0250\n0260\n0270\n0010\n1\nTOTAL CORE APPROACH\n0020\nOF WHICH: TRADING BOOK\n0030\n1.1\nPORTFOLIOS UNDER ARTICLES 9 TO 17 OF COMMISION DELEGATED REGULATION (EU) 2016/101 – TOTAL CATEGORY LEVEL POST-DIVERSIFICATION\n0040\n1.1.1\nTOTAL CATEGORY LEVEL PRE-DIVERSIFICATION\n0050\n1.1.1*\nOF WHICH: UNEARNED CREDIT SPREADS AVA\n0060\n1.1.1**\nOF WHICH: INVESTMENT AND FUNDING COSTS AVA\n0070\n1.1.1***\nOF WHICH: AVA ASSESSED TO HAVE ZERO VALUE UNDER ARTICLE 9(2) OF DELEGATED REGULATION (EU) 2016/101\n0080\n1.1.1****\nOF WHICH: AVA ASSESSED TO HAVE ZERO VALUE UNDER PARAGRAPHS 2 AND 3 OF ARTICLE 10 OF DELEGATED REGULATION (EU) 2016/101\n0090\n1.1.1.1\nINTEREST RATES\n0100\n1.1.1.2\nFOREIGN EXCHANGE\n0110\n1.1.1.3\nCREDIT\n0120\n1.1.1.4\nEQUITIES\n0130\n1.1.1.5\nCOMMODITIES\n0140\n1.1.2\n(-) DIVERSIFICATION BENEFITS\n0150\n1.1.2.1\n(-) DIVERSIFICATION BENEFIT CALCULATED USING METHOD 1\n0160\n1.1.2.2\n(-) DIVERSIFICATION BENEFIT CALCULATED USING METHOD 2\n0170\n1.1.2.2*\nMEMORANDUM ITEM: PRE-DIVERSIFICATION AVAS REDUCED BY MORE THAN 90 % BY DIVERSIFICATION UNDER METHOD 2\n0180\n1.2\nPORTFOLIOS UNDER THE FALL-BACK APPROACH\n0190\n1.2.1\n100 % OF NET UNREALISED PROFIT\n0200\n1.2.2\n10 % OF NOTIONAL VALUE\n0210\n1.2.3\n25 % OF INCEPTION VALUE\nC 32.03 – PRUDENT VALUATION: MODEL RISK AVA (PRUVAL 3)\nRANK\nMODEL\nRISK CATEGORY\nPRODUCT\nOBSER-VABILITY\nMODEL RISK AVA\nAGGREGATED AVA CALCULATED UNDER METHOD 2\nFAIR-VALUED ASSETS AND LIABILITIES\nIPV DIFFERENCE (OUTPUT TESTING)\nIPV COVERAGE (OUTPUT TESTING)\nFAIR VALUE ADJUSTMENTS\nDAY1 P&L\nOF WHICH: USING EXPERT APPROACH\nOF WHICH: AGGREGATED USING METHOD 2\nFV ASSETS\nFV LIABILITIES\nMODEL RISK\nEARLY TERMINATION\n0005\n0010\n0020\n0030\n0040\n0050\n0060\n0070\n0080\n0090\n0100\n0110\n0120\n0130\n0140\n0150\nC 32.04 – PRUDENT VALUATION: CONCENTRATED POSITIONS AVA (PRUVAL 4)\nRANK\nRISK CATEGORY\nPRODUCT\nUNDERLYING\nCONCENTRATED POSITION SIZE\nSIZE MEASURE\nMARKET VALUE\nPRUDENT EXIT PERIOD\nCONCENTRATED POSITIONS AVA\nCONCENTRATED POSITION FAIR VALUE ADJUSTMENT\nIPV DIFFERENCE\n0005\n0010\n0020\n0030\n0040\n0050\n0060\n0070\n0080\n0090\n0100\nC 33.00 – GENERAL GOVERNMENTS EXPOSURES BY COUNTRY OF THE COUNTERPARTY (GOV)\nCountry:\nDirect exposures\nMemorandum item: credit derivatives sold on general government exposures\nExposure value\nRisk weighted exposure amount\nOn-balance sheet exposures\nAccumulated impairment\nAccumulated negative changes in fair value due to credit risk\nDerivatives\nOff-balance sheet exposures\nTotal gross carrying amount of non-derivative financial assets\nTotal carrying amount of non-derivative financial assets (net of short positions)\nNon-derivative financial assets by accounting portfolios\nShort positions\nDerivatives with positive fair value\nDerivatives with negative fair value\nNominal amount\nProvisions\nAccumulated negative changes in fair value due to credit risk\nDerivatives with positive fair value – Carrying amount\nDerivatives with negative fair value – Carrying amount\nFinancial assets held for trading\nTrading financial assets\nNon-trading financial assets mandatorily at fair value through profit or loss\nFinancial assets designated at fair value through profit or loss\nNon-trading non-derivative financial assets measured at fair value through profit or loss\nFinancial assets at fair value through other comprehensive income\nNon-trading non-derivative financial assets measured at fair value to equity\nFinancial assets at amortised cost\nNon-trading non-derivative financial assets measured at a cost-based method\nOther non-trading non-derivative financial assets\nOf which: Short positions from reverse repurchased loans classified as held for trading or trading financial assets\nof 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\nof 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\nof 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\nCarrying amount\nNotional amount\nCarrying amount\nNotional amount\n010\n020\n030\n040\n050\n060\n070\n080\n090\n100\n110\n120\n130\n140\n150\n160\n170\n180\n190\n200\n210\n220\n230\n240\n250\n260\n270\n280\n290\n300\n010\nTotal exposures\nBREAKDOWN OF TOTAL EXPOSURES BY RISK, REGULATORY APPROACH AND EXPOSURE CLASSES:\n020\nExposures under the credit risk framework\n030\nStandardised Approach\n040\nCentral governments\n050\nRegional governments or local authorities\n060\nPublic sector entities\n070\nInternational Organisations\n075\nOther general government exposures subject to Standardised Approach\n080\nIRB Approach\n090\nCentral governments\n100\nRegional governments or local authorities [Central governments]\n110\nRegional governments or local authorities [Institutions]\n120\nPublic sector entities [Central governments]\n130\nPublic sector entities [Institutions]\n140\nInternational Organisations [Central governments]\n155\nOther general government exposures subject to IRB Approach\n160\nExposures under the market risk framework\nBREAKDOWN OF TOTAL EXPOSURES BY RESIDUAL MATURITY:\n170\n[ 0 – 3M [\n180\n[ 3M – 1Y [\n190\n[ 1Y – 2Y [\n200\n[ 2Y – 3Y [\n210\n[3Y – 5Y [\n220\n[5Y – 10Y [\n230\n[10Y – more",
  "extent": "E+W+S+N.I.",
  "status": null,
  "version": "current",
  "annotations": [],
  "outstanding_effects": [],
  "provenance": {
    "source": "legislation.gov.uk",
    "source_url": "https://www.legislation.gov.uk/eur/2020/429/annex/I",
    "retrieved_at": "2026-11-01T14:42:46.143647+00:00"
  },
  "licence": "Open Government Licence v3.0",
  "licence_url": "https://www.nationalarchives.gov.uk/doc/open-government-licence/version/3/",
  "attribution": "Contains public sector information licensed under the Open Government Licence v3.0. Source: legislation.gov.uk, The National Archives."
}