ANNEX I
COREP TEMPLATES |
|||
Template number |
Template code |
Name of the template /group of templates |
Short name |
CAPITAL ADEQUACY |
CA |
||
1 |
C 01.00 |
OWN FUNDS |
CA1 |
2 |
C 02.00 |
OWN FUNDS REQUIREMENTS |
CA2 |
3 |
C 03.00 |
CAPITAL RATIOS |
CA3 |
4 |
C 04.00 |
MEMORANDUM ITEMS: |
CA4 |
TRANSITIONAL PROVISIONS |
CA5 |
||
5,1 |
C 05.01 |
TRANSITIONAL PROVISIONS |
CA5.1 |
5,2 |
C 05.02 |
GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUING STATE AID |
CA5.2 |
GROUP SOLVENCY |
GS |
||
6 |
C 06.00 |
GROUP SOLVENCY |
GS |
CREDIT RISK |
CR |
||
7 |
C 07.00 |
CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: STANDARDISED APPROACH TO CAPITAL REQUIREMENTS |
CR SA |
CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS |
CR IRB |
||
8,1 |
C 08.01 |
CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS |
CR IRB 1 |
8,2 |
C 08.02 |
CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS (Breakdown by obligor grades or pools) |
CR IRB 2 |
GEOGRAPHICAL BREAKDOWN |
CR GB |
||
9,1 |
C 09.01 |
Table 9.1 - Geographical breakdown of exposures by residence of the obligor (SA exposures) |
CR GB 1 |
9,2 |
C 09.02 |
Table 9.2 - Geographical breakdown of exposures by residence of the obligor (IRB exposures) |
CR GB 2 |
9,3 |
C 09.03 |
Table 9.3 - Breakdown of total own funds requirements for credit risk of relevant credit exposures by country |
CR GB 3 |
CREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS |
CR EQU IRB |
||
10,1 |
C 10.01 |
CREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS |
CR EQU IRB 1 |
10,2 |
C 10.02 |
CREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS. BREAKDOWN OF TOTAL EXPOSURES UNDER THE PD/LGD APRROACH BY OBLIGOR GRADES: |
CR EQU IRB 2 |
11 |
C 11.00 |
SETTLEMENT/DELIVERY RISK |
CR SETT |
12 |
C 12.00 |
CREDIT RISK: SECURITISATIONS - STANDARDISED APPROACH TO OWN FUNDS REQUIREMENTS |
CR SEC SA |
13 |
C 13.00 |
CREDIT RISK: SECURITISATIONS - IRB APPROACH TO OWN FUNDS REQUIREMENTS |
CR SEC IRB |
14 |
C 14.00 |
DETAILED INFORMATION ON SECURITISATIONS |
CR SEC Details |
OPERATIONAL RISK |
OPR |
||
16 |
C 16.00 |
OPERATIONAL RISK |
OPR |
17 |
C 17.00 |
OPERATIONAL RISK: GROSS LOSSES BY BUSINESS LINES AND EVENT TYPES IN THE LAST YEAR |
OPR Details |
MARKET RISK |
MKR |
||
18 |
C 18.00 |
MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS |
MKR SA TDI |
19 |
C 19.00 |
MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS |
MKR SA SEC |
20 |
C 20.00 |
MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN THE CORRELATION TRADING PORTFOLIO |
MKR SA CTP |
21 |
C 21.00 |
MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES |
MKR SA EQU |
22 |
C 22.00 |
MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK |
MKR SA FX |
23 |
C 23.00 |
MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES |
MKR SA COM |
24 |
C 24.00 |
MARKET RISK INTERNAL MODELS |
MKR IM |
25 |
C 25.00 |
CREDIT VALUE ADJUSTMENT RISK |
CVA |
C 01.00 — OWN FUNDS (CA1)
Rows |
ID |
Item |
Amount |
010 |
1 |
OWN FUNDS |
|
015 |
1.1 |
TIER 1 CAPITAL |
|
020 |
1.1.1 |
COMMON EQUITY TIER 1 CAPITAL |
|
030 |
1.1.1.1 |
Capital instruments eligible as CET1 Capital |
|
040 |
1.1.1.1.1 |
Paid up capital instruments |
|
050 |
1.1.1.1.2* |
Memorandum item: Capital instruments not eligible |
|
060 |
1.1.1.1.3 |
Share premium |
|
070 |
1.1.1.1.4 |
(-) Own CET1 instruments |
|
080 |
1.1.1.1.4.1 |
(-) Direct holdings of CET1 instruments |
|
090 |
1.1.1.1.4.2 |
(-) Indirect holdings of CET1 instruments |
|
091 |
1.1.1.1.4.3 |
(-) Synthetic holdings of CET1 instruments |
|
092 |
1.1.1.1.5 |
(-) Actual or contingent obligations to purchase own CET1 instruments |
|
130 |
1.1.1.2 |
Retained earnings |
|
140 |
1.1.1.2.1 |
Previous years retained earnings |
|
150 |
1.1.1.2.2 |
Profit or loss eligible |
|
160 |
1.1.1.2.2.1 |
Profit or loss attributable to owners of the parent |
|
170 |
1.1.1.2.2.2 |
(-) Part of interim or year-end profit not eligible |
|
180 |
1.1.1.3 |
Accumulated other comprehensive income |
|
200 |
1.1.1.4 |
Other reserves |
|
210 |
1.1.1.5 |
Funds for general banking risk |
|
220 |
1.1.1.6 |
Transitional adjustments due to grandfathered CET1 Capital instruments |
|
230 |
1.1.1.7 |
Minority interest given recognition in CET1 capital |
|
240 |
1.1.1.8 |
Transitional adjustments due to additional minority interests |
|
250 |
1.1.1.9 |
Adjustments to CET1 due to prudential filters |
|
260 |
1.1.1.9.1 |
(-) Increases in equity resulting from securitised assets |
|
270 |
1.1.1.9.2 |
Cash flow hedge reserve |
|
280 |
1.1.1.9.3 |
Cumulative gains and losses due to changes in own credit risk on fair valued liabilities |
|
285 |
1.1.1.9.4 |
Fair value gains and losses arising from the institution's own credit risk related to derivative liabilities |
|
290 |
1.1.1.9.5 |
(-) Value adjustments due to the requirements for prudent valuation |
|
300 |
1.1.1.10 |
(-) Goodwill |
|
310 |
1.1.1.10.1 |
(-) Goodwill accounted for as intangible asset |
|
320 |
1.1.1.10.2 |
(-) Goodwill included in the valuation of significant investments |
|
330 |
1.1.1.10.3 |
Deferred tax liabilities associated to goodwill |
|
340 |
1.1.1.11 |
(-) Other intangible assets |
|
350 |
1.1.1.11.1 |
(-) Other intangible assets gross amount |
|
360 |
1.1.1.11.2 |
Deferred tax liabilities associated to other intangible assets |
|
370 |
1.1.1.12 |
(-) Deferred tax assets that rely on future profitability and do not arise from temporary differences net of associated tax liabilities |
|
380 |
1.1.1.13 |
(-) IRB shortfall of credit risk adjustments to expected losses |
|
390 |
1.1.1.14 |
(-)Defined benefit pension fund assets |
|
400 |
1.1.1.14.1 |
(-)Defined benefit pension fund assets gross amount |
|
410 |
1.1.1.14.2 |
Deferred tax liabilities associated to defined benefit pension fund assets |
|
420 |
1.1.1.14.3 |
Defined benefit pension fund assets which the institution has an unrestricted ability to use |
|
430 |
1.1.1.15 |
(-) Reciprocal cross holdings in CET1 Capital |
|
440 |
1.1.1.16 |
(-) Excess of deduction from AT1 items over AT1 Capital |
|
450 |
1.1.1.17 |
(-) Qualifying holdings outside the financial sector which can alternatively be subject to a 1250 % risk weight |
|
460 |
1.1.1.18 |
(-) Securitisation positions which can alternatively be subject to a 1250 % risk weight |
|
470 |
1.1.1.19 |
(-) Free deliveries which can alternatively be subject to a 1250 % risk weight |
|
471 |
1.1.1.20 |
(-) Positions in a basket for which an institution cannot determine the risk weight under the IRB approach, and can alternatively be subject to a 1250 % risk weight |
|
472 |
1.1.1.21 |
(-) Equity exposures under an internal models approach which can alternatively be subject to a 1250 % risk weight |
|
480 |
1.1.1.22 |
(-) CET1 instruments of financial sector entites where the institution does not have a significant investment |
|
490 |
1.1.1.23 |
(-) Deductible deferred tax assets that rely on future profitability and arise from temporary differences |
|
500 |
1.1.1.24 |
(-) CET1 instruments of financial sector entities where the institution has a significant investment |
|
510 |
1.1.1.25 |
(-) Amount exceeding the 17,65 % threshold |
|
520 |
1.1.1.26 |
Other transitional adjustments to CET1 Capital |
|
524 |
1.1.1.27 |
(-) Additional deductions of CET1 Capital due to Article 3 CRR |
|
529 |
1.1.1.28 |
CET1 capital elements or deductions - other |
|
530 |
1.1.2 |
ADDITIONAL TIER 1 CAPITAL |
|
540 |
1.1.2.1 |
Capital instruments eligible as AT1 Capital |
|
550 |
1.1.2.1.1 |
Paid up capital instruments |
|
560 |
1.1.2.1.2* |
Memorandum item: Capital instruments not eligible |
|
570 |
1.1.2.1.3 |
Share premium |
|
580 |
1.1.2.1.4 |
(-) Own AT1 instruments |
|
590 |
1.1.2.1.4.1 |
(-) Direct holdings of AT1 instruments |
|
620 |
1.1.2.1.4.2 |
(-) Indirect holdings of AT1 instruments |
|
621 |
1.1.2.1.4.3 |
(-) Synthetic holdings of AT1 instruments |
|
622 |
1.1.2.1.5 |
(-) Actual or contingent obligations to purchase own AT1 instruments |
|
660 |
1.1.2.2 |
Transitional adjustments due to grandfathered AT1 Capital instruments |
|
670 |
1.1.2.3 |
Instruments issued by subsidiaries that are given recognition in AT1 Capital |
|
680 |
1.1.2.4 |
Transitional adjustments due to additional recognition in AT1 Capital of instruments issued by subsidiaries |
|
690 |
1.1.2.5 |
(-) Reciprocal cross holdings in AT1 Capital |
|
700 |
1.1.2.6 |
(-) AT1 instruments of financial sector entities where the institution does not have a significant investment |
|
710 |
1.1.2.7 |
(-) AT1 instruments of financial sector entities where the institution has a significant investment |
|
720 |
1.1.2.8 |
(-) Excess of deduction from T2 items over T2 Capital |
|
730 |
1.1.2.9 |
Other transitional adjustments to AT1 Capital |
|
740 |
1.1.2.10 |
Excess of deduction from AT1 items over AT1 Capital (deducted in CET1) |
|
744 |
1.1.2.11 |
(-) Additional deductions of AT1 Capital due to Article 3 CRR |
|
748 |
1.1.2.12 |
AT1 capital elements or deductions - other |
|
750 |
1.2 |
TIER 2 CAPITAL |
|
760 |
1.2.1 |
Capital instruments and subordinated loans eligible as T2 Capital |
|
770 |
1.2.1.1 |
Paid up capital instruments and subordinated loans |
|
780 |
1.2.1.1* |
Memorandum item: Capital instruments and subordinated loans not eligible |
|
790 |
1.2.1.3 |
Share premium |
|
800 |
1.2.1.4 |
(-) Own T2 instruments |
|
810 |
1.2.1.4.1 |
(-) Direct holdings of T2 instruments |
|
840 |
1.2.1.4.2 |
(-) Indirect holdings of T2 instruments |
|
841 |
1.2.1.4.3 |
(-) Synthetic holdings of T2 instruments |
|
842 |
1.2.1.5 |
(-) Actual or contingent obligations to purchase own T2 instruments |
|
880 |
1.2.2 |
Transitional adjustments due to grandfathered T2 Capital instruments and subordinated loans |
|
890 |
1.2.3 |
Instruments issued by subsidiaries that are given recognition in T2 Capital |
|
900 |
1.2.4 |
Transitional adjustments due to additional recognition in T2 Capital of instruments issued by subsidiaries |
|
910 |
1.2.5 |
IRB Excess of provisions over expected losses eligible |
|
920 |
1.2.6 |
SA General credit risk adjustments |
|
930 |
1.2.7 |
(-) Reciprocal cross holdings in T2 Capital |
|
940 |
1.2.8 |
(-) T2 instruments of financial sector entities where the institution does not have a significant investment |
|
950 |
1.2.9 |
(-) T2 instruments of financial sector entities where the institution has a significant investment |
|
960 |
1.2.10 |
Other transitional adjustments to T2 Capital |
|
970 |
1.2.11 |
Excess of deduction from T2 items over T2 Capital (deducted in AT1) |
|
974 |
1.2.12 |
(-) Additional deductions of T2 Capital due to Article 3 CRR |
|
978 |
1.2.13 |
T2 capital elements or deductions - other |
C 02.00 — OWN FUNDS REQUIREMENTS (CA2)
Rows |
Item |
Label |
Amount |
010 |
1 |
TOTAL RISK EXPOSURE AMOUNT |
|
020 |
1* |
Of which: Investment firms under Article 95 paragraph 2 and Article 98 of CRR |
|
030 |
1** |
Of which: Investment firms under Article 96 paragraph 2 and Article 97 of CRR |
|
040 |
1.1 |
RISK WEIGHTED EXPOSURE AMOUNTS FOR CREDIT, COUNTERPARTY CREDIT AND DILUTION RISKS AND FREE DELIVERIES |
|
050 |
1.1.1 |
Standardised approach (SA) |
|
060 |
1.1.1.1 |
SA exposure classes excluding securitisation positions |
|
070 |
1.1.1.1.01 |
Central governments or central banks |
|
080 |
1.1.1.1.02 |
Regional governments or local authorities |
|
090 |
1.1.1.1.03 |
Public sector entities |
|
100 |
1.1.1.1.04 |
Multilateral Development Banks |
|
110 |
1.1.1.1.05 |
International Organisations |
|
120 |
1.1.1.1.06 |
Institutions |
|
130 |
1.1.1.1.07 |
Corporates |
|
140 |
1.1.1.1.08 |
Retail |
|
150 |
1.1.1.1.09 |
Secured by mortgages on immovable property |
|
160 |
1.1.1.1.10 |
Exposures in default |
|
170 |
1.1.1.1.11 |
Items associated with particular high risk |
|
180 |
1.1.1.1.12 |
Covered bonds |
|
190 |
1.1.1.1.13 |
Claims on institutions and corporates with a short-term credit assessment |
|
200 |
1.1.1.1.14 |
Collective investments undertakings (CIU) |
|
210 |
1.1.1.1.15 |
Equity |
|
211 |
1.1.1.1.16 |
Other items |
|
220 |
1.1.1.2 |
Securitisation positions SA |
|
230 |
1.1.1.2* |
of which: resecuritisation |
|
240 |
1.1.2 |
Internal ratings based Approach (IRB) |
|
250 |
1.1.2.1 |
IRB approaches when neither own estimates of LGD nor Conversion Factors are used |
|
260 |
1.1.2.1.01 |
Central governments and central banks |
|
270 |
1.1.2.1.02 |
Institutions |
|
280 |
1.1.2.1.03 |
Corporates - SME |
|
290 |
1.1.2.1.04 |
Corporates - Specialised Lending |
|
300 |
1.1.2.1.05 |
Corporates - Other |
|
310 |
1.1.2.2 |
IRB approaches when own estimates of LGD and/or Conversion Factors are used |
|
320 |
1.1.2.2.01 |
Central governments and central banks |
|
330 |
1.1.2.2.02 |
Institutions |
|
340 |
1.1.2.2.03 |
Corporates - SME |
|
350 |
1.1.2.2.04 |
Corporates - Specialised Lending |
|
360 |
1.1.2.2.05 |
Corporates - Other |
|
370 |
1.1.2.2.06 |
Retail - Secured by real estate SME |
|
380 |
1.1.2.2.07 |
Retail - Secured by real estate non-SME |
|
390 |
1.1.2.2.08 |
Retail - Qualifying revolving |
|
400 |
1.1.2.2.09 |
Retail - Other SME |
|
410 |
1.1.2.2.10 |
Retail - Other non-SME |
|
420 |
1.1.2.3 |
Equity IRB |
|
430 |
1.1.2.4 |
Securitisation positions IRB |
|
440 |
1.1.2.4* |
Of which: resecuritisation |
|
450 |
1.1.2.5 |
Other non credit-obligation assets |
|
460 |
1.1.3 |
Risk exposure amount for contributions to the default fund of a CCP |
|
490 |
1.2 |
TOTAL RISK EXPOSURE AMOUNT FOR SETTLEMENT/DELIVERY |
|
500 |
1.2.1 |
Settlement/delivery risk in the non-Trading book |
|
510 |
1.2.2 |
Settlement/delivery risk in the Trading book |
|
520 |
1.3 |
TOTAL RISK EXPOSURE AMOUNT FOR POSITION, FOREIGN EXCHANGE AND COMMODITIES RISKS |
|
530 |
1.3.1 |
Risk exposure amount for position, foreign exchange and commodities risks under standardised approaches (SA) |
|
540 |
1.3.1.1 |
Traded debt instruments |
|
550 |
1.3.1.2 |
Equity |
|
560 |
1.3.1.3 |
Foreign Exchange |
|
570 |
1.3.1.4 |
Commodities |
|
580 |
1.3.2 |
Risk exposure amount for Position, foreign exchange and commodities risks under internal models (IM) |
|
590 |
1.4 |
TOTAL RISK EXPOSURE AMOUNT FOR OPERATIONAL RISK (OpR ) |
|
600 |
1.4.1 |
OpR Basic indicator approach (BIA) |
|
610 |
1.4.2 |
OpR Standardised (STA) / Alternative Standardised (ASA) approaches |
|
620 |
1.4.3 |
OpR Advanced measurement approaches (AMA) |
|
630 |
1.5 |
ADDITIONAL RISK EXPOSURE AMOUNT DUE TO FIXED OVERHEADS |
|
640 |
1.6 |
TOTAL RISK EXPOSURE AMOUNT FOR CREDIT VALUATION ADJUSTMENT |
|
650 |
1.6.1 |
Advanced method |
|
660 |
1.6.2 |
Standardised method |
|
670 |
1.6.3 |
Based on OEM |
|
680 |
1.7 |
TOTAL RISK EXPOSURE AMOUNT RELATED TO LARGE EXPOSURES IN THE TRADING BOOK |
|
690 |
1.8 |
OTHER RISK EXPOSURE AMOUNTS |
|
710 |
1.8.2 |
Of which: Additional stricter prudential requirements based on Art 458 |
|
720 |
1.8.2* |
Of which: requirements for large exposures |
|
730 |
1.8.2** |
Of which: due to modified risk weights for targeting asset bubbles in the residential and commercial property |
|
740 |
1.8.2*** |
Of which: due to intra financial sector exposures |
|
750 |
1.8.3 |
Of which: Additional stricter prudential requirements based on Art 459 |
|
760 |
1.8.4 |
Of which: Additional risk exposure amount due to Article 3 CRR |
C 03.00 — CAPITAL RATIOS AND CAPITAL LEVELS (CA3)
Rows |
ID |
Item |
Amount |
010 |
1 |
CET1 Capital ratio |
|
020 |
2 |
Surplus(+)/Deficit(-) of CET1 capital |
|
030 |
3 |
T1 Capital ratio |
|
040 |
4 |
Surplus(+)/Deficit(-) of T1 capital |
|
050 |
5 |
Total capital ratio |
|
060 |
6 |
Surplus(+)/Deficit(-) of total capital |
|
Memorandum Items: Capital ratios due to Pillar II adjustments |
|||
070 |
7 |
CET1 capital ratio including Pillar II adjustments |
|
080 |
8 |
Target CET1 capital ratio due to Pillar II adjustments |
|
090 |
9 |
T1 capital ratio including Pillar II adjustments |
|
100 |
10 |
Target T1 capital ratio due to Pillar II adjustments |
|
110 |
11 |
Total capital ratio including Pillar II adjustments |
|
120 |
12 |
Target Total capital ratio due to Pillar II adjustments |
|
C 04.00 — MEMORANDUM ITEMS (CA4)
Row |
ID |
Item |
Column |
Deferred tax assest and liabilities |
010 |
||
010 |
1 |
Total deferred tax assets |
|
020 |
1.1 |
Deferred tax assets that do not rely on future profitability |
|
030 |
1.2 |
Deferred tax assets that rely on future profitability and do not arise from temporary differences |
|
040 |
1.3 |
Deferred tax assets that rely on future profitability and arise from temporary differences |
|
050 |
2 |
Total deferred tax liabilities |
|
060 |
2.1 |
Deferred tax liabilities non deductible from deferred tax assets that rely on future profitability |
|
070 |
2.2 |
Deferred tax liabilities deductible from deferred tax assets that rely on future profitability |
|
080 |
2.2.1 |
Deductible deferred tax liabilities associated with deferred tax assets that rely on future profitability and do not arise from temporary differences |
|
090 |
2.2.2 |
Deductible deferred tax liabilities associated with deferred tax assets that rely on future profitability and arise from temporary differences |
|
Credit risk adjustments and expected losses |
|||
100 |
3 |
IRB excess (+) or shortfall (-) of credit risk adjustments, additional value adjustments and other own funds reductions to expected losses for non defaulted exposures |
|
110 |
3.1 |
Total credit risk adjustments, additional value adjustments and other own funds reductions eligible for inclusion in the calculation of the expected loss amount |
|
120 |
3.1.1 |
General credit risk adjustments |
|
130 |
3.1.2 |
Specific credit risk adjustments |
|
131 |
3.1.3 |
Additional value adjustments and other own funds reductions |
|
140 |
3.2 |
Total expected losses eligible |
|
145 |
4 |
IRB excess (+) or shortfall (-) of specific credit risk adjustments to expected losses for defaulted exposures |
|
150 |
4.1 |
Specific credit risk adjustments and positions treated similarily |
|
155 |
4.2 |
Total expected losses eligible |
|
160 |
5 |
Risk weighted exposure amounts for calculating the cap to the excess of provision eligible as T2 |
|
170 |
6 |
Total gross provisions eligible for inclusion in T2 capital |
|
180 |
7 |
Risk weighted exposure amounts for calculating the cap to the provision eligible as T2 |
|
Thresholds for Common Equity Tier 1 deductions |
|||
190 |
8 |
Threshold non deductible of holdings in financial sector entities where an institution does not have a significant investment |
|
200 |
9 |
10 % CET1 threshold |
|
210 |
10 |
17,65 % CET1 threshold |
|
220 |
11 |
Eligible capital for the purposes of qualifying holdings outside the financial sector and large exposures |
|
Investments in the capital of financial sector entities where the institution does not have a significant investment |
|||
230 |
12 |
Holdings of CET1 capital of financial sector entities where the institution does not have a significant investment, net of short positions |
|
240 |
12.1 |
Direct holdings of CET1 capital of financial sector entities where the institution does not have a significant investment |
|
250 |
12.1.1 |
Gross direct holdings of CET1 capital of financial sector entities where the institution does not have a significant investment |
|
260 |
12.1.2 |
(-) Permitted offsetting short positions in relation to the direct gross holdings included above |
|
270 |
12.2 |
Indirect holdings of CET1 capital of financial sector entities where the institution does not have a significant investment |
|
280 |
12.2.1 |
Gross indirect holdings of CET1 capital of financial sector entities where the institution does not have a significant investment |
|
290 |
12.2.2 |
(-) Permitted offsetting short positions in relation to the indirect gross holdings included above |
|
291 |
12.3 |
Synthetic holdings of CET1 capital of financial sector entities where the institution does not have a significant investment |
|
292 |
12.3.1 |
Gross synthetic holdings of CET1 capital of financial sector entities where the institution does not have a significant investment |
|
293 |
12.3.2 |
(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above |
|
300 |
13 |
Holdings of AT1 capital of financial sector entities where the institution does not have a significant investment, net of short positions |
|
310 |
13.1 |
Direct holdings of AT1 capital of financial sector entities where the institution does not have a significant investment |
|
320 |
13.1.1 |
Gross direct holdings of AT1 capital of financial sector entities where the institution does not have a significant investment |
|
330 |
13.1.2 |
(-) Permitted offsetting short positions in relation to the direct gross holdings included above |
|
340 |
13.2 |
Indirect holdings of AT1 capital of financial sector entities where the institution does not have a significant investment |
|
350 |
13.2.1 |
Gross indirect holdings of AT1 capital of financial sector entities where the institution does not have a significant investment |
|
360 |
13.2.2 |
(-) Permitted offsetting short positions in relation to the indirect gross holdings included above |
|
361 |
13.3 |
Synthetic holdings of AT1 capital of financial sector entities where the institution does not have a significant investment |
|
362 |
13.3.1 |
Gross synthetic holdings of AT1 capital of financial sector entities where the institution does not have a significant investment |
|
363 |
13.3.2 |
(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above |
|
370 |
14 |
Holdings of T2 capital of financial sector entities where the institution does not have a significant investment, net of short positions |
|
380 |
14.1 |
Direct holdings of T2 capital of financial sector entities where the institution does not have a significant investment |
|
390 |
14.1.1 |
Gross direct holdings of T2 capital of financial sector entities where the institution does not have a significant investment |
|
400 |
14.1.2 |
(-) Permitted offsetting short positions in relation to the direct gross holdings included above |
|
410 |
14.2 |
Indirect holdings of T2 capital of financial sector entities where the institution does not have a significant investment |
|
420 |
14.2.1 |
Gross indirect holdings of T2 capital of financial sector entities where the institution does not have a significant investment |
|
430 |
14.2.2 |
(-) Permitted offsetting short positions in relation to the indirect gross holdings included above |
|
431 |
14.3 |
Synthetic holdings of T2 capital of financial sector entities where the institution does not have a significant investment |
|
432 |
14.3.1 |
Gross synthetic holdings of T2 capital of financial sector entities where the institution does not have a significant investment |
|
433 |
14.3.2 |
(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above |
|
Investments in the capital of financial sector entities where the institution has a significant investment |
|||
440 |
15 |
Holdings of CET1 capital of financial sector entities where the institution has a significant investment, net of short positions |
|
450 |
15.1 |
Direct holdings of CET1 capital of financial sector entities where the institution has a significant investment |
|
460 |
15.1.1 |
Gross direct holdings of CET1 capital of financial sector entities where the institution has a significant investment |
|
470 |
15.1.2 |
(-) Permitted offsetting short positions in relation to the direct gross holdings included above |
|
480 |
15.2 |
Indirect holdings of CET1 capital of financial sector entities where the institution has a significant investment |
|
490 |
15.2.1 |
Gross indirect holdings of CET1 capital of financial sector entities where the institution has a significant investment |
|
500 |
15.2.2 |
(-) Permitted offsetting short positions in relation to the indirect gross holdings included above |
|
501 |
15.3 |
Synthetic holdings of CET1 capital of financial sector entities where the institution has a significant investment |
|
502 |
15.3.1 |
Gross synthetic holdings of CET1 capital of financial sector entities where the institution has a significant investment |
|
503 |
15.3.2 |
(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above |
|
510 |
16 |
Holdings of AT1 capital of financial sector entities where the institution has a significant investment, net of short positions |
|
520 |
16.1 |
Direct holdings of AT1 capital of financial sector entities where the institution has a significant investment |
|
530 |
16.1.1 |
Gross direct holdings of AT1 capital of financial sector entities where the institution has a significant investment |
|
540 |
16.1.2 |
(-) Permitted offsetting short positions in relation to the direct gross holdings included above |
|
550 |
16.2 |
Indirect holdings of AT1 capital of financial sector entities where the institution has a significant investment |
|
560 |
16.2.1 |
Gross indirect holdings of AT1 capital of financial sector entities where the institution has a significant investment |
|
570 |
16.2.2 |
(-) Permitted offsetting short positions in relation to the indirect gross holdings included above |
|
571 |
16.3 |
Synthetic holdings of AT1 capital of financial sector entities where the institution has a significant investment |
|
572 |
16.3.1 |
Gross synthetic holdings of AT1 capital of financial sector entities where the institution has a significant investment |
|
573 |
16.3.2 |
(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above |
|
580 |
17 |
Holdings of T2 capital of financial sector entities where the institution has a significant investment, net of short positions |
|
590 |
17.1 |
Direct holdings of T2 capital of financial sector entities where the institution has a significant investment |
|
600 |
17.1.1 |
Gross direct holdings of T2 capital of financial sector entities where the institution has a significant investment |
|
610 |
17.1.2 |
(-) Permitted offsetting short positions in relation to the direct gross holdings included above |
|
620 |
17.2 |
Indirect holdings of T2 capital of financial sector entities where the institution has a significant investment |
|
630 |
17.2.1 |
Gross indirect holdings of T2 capital of financial sector entities where the institution has a significant investment |
|
640 |
17.2.2 |
(-) Permitted offsetting short positions in relation to the indirect gross holdings included above |
|
641 |
17.3 |
Synthetic holdings of T2 capital of financial sector entities where the institution has a significant investment |
|
642 |
17.3.1 |
Gross synthetic holdings of T2 capital of financial sector entities where the institution has a significant investment |
|
643 |
17.3.2 |
(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above |
|
Total risk exposure amounts of holdings not deducted from the corresponding capital category: |
|||
650 |
18 |
Risk weighted exposures of CET1 holdings in financial sector entities which are not deducted from the institution's CET1 capital |
|
660 |
19 |
Risk weighted exposures of AT1 holdings in financial sector entities which are not deducted from the institution's AT1 capital |
|
670 |
20 |
Risk weighted exposures of T2 holdings in financial sector entities which are not deducted from the institution's T2 capital |
|
Temporary waiver from deduction from own funds |
|||
680 |
21 |
Holdings on CET1 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived |
|
690 |
22 |
Holdings on CET1 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived |
|
700 |
23 |
Holdings on AT1 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived |
|
710 |
24 |
Holdings on AT1 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived |
|
720 |
25 |
Holdings on T2 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived |
|
730 |
26 |
Holdings on T2 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived |
|
Capital buffers |
|||
740 |
27 |
Combined buffer requirement |
|
750 |
Capital conservation buffer |
||
760 |
Conservation buffer due to macro-prudential or systemic risk identified at the level of a Member State |
||
770 |
Institution specific countercyclical capital buffer |
||
780 |
Systemic risk buffer |
||
790 |
Systemical important institution buffer |
||
800 |
Global Systemically Important Institution buffer |
||
810 |
Other Systemically Important Institution buffer |
||
Pillar II requirements |
|||
820 |
28 |
Own funds requirements related to Pillar II adjustments |
|
Additional information for investment firms |
|||
830 |
29 |
Initial capital |
|
840 |
30 |
Own funds based on Fixed Overheads |
|
Additional information for calculation of reporting thresholds |
|||
850 |
31 |
Non-domestic original exposures |
|
860 |
32 |
Total original exposures |
|
Basel I floor |
|||
870 |
Adjustments to total own funds |
||
880 |
Own funds fully adjusted for Basel I floor |
||
890 |
Own funds requirements for Basel I floor |
||
900 |
Own funds requirements for Basel I floor - SA alternative |
||
C 05.01 — TRANSITIONAL PROVISIONS (CA5.1)
Adjustments to CET1 |
Adjustments to AT1 |
Adjustments to T2 |
Adjustments included in RWAs |
Memorandum items |
||||
Applicable percentage |
Eligible amount without transitional provisions |
|||||||
Code |
ID |
Item |
010 |
020 |
030 |
040 |
050 |
060 |
010 |
1 |
TOTAL ADJUSTMENTS |
||||||
020 |
1.1 |
GRANDFATHERED INSTRUMENTS |
link to {CA1;r220} |
link to {CA1;r660} |
link to {CA1;r880} |
|||
030 |
1.1.1 |
Grandfathered instruments: Instruments constituting state aid |
||||||
040 |
1.1.1.1 |
Instruments that qualified as own funds according to 2006/48/EC |
||||||
050 |
1.1.1.2 |
Instruments issued by institutions that are incorporated in a Member State that is subject to an Economic Adjustment Programme |
||||||
060 |
1.1.2 |
Instruments not constituting state aid |
link to {CA5.2;r010;c060} |
link to {CA5.2;r020;c060} |
link to {CA5.2;r090;c060} |
|||
070 |
1.2 |
MINORITY INTERESTS AND EQUIVALENTS |
link to {CA1;r240} |
link to {CA1;r680} |
link to {CA1;r900} |
|||
080 |
1.2.1 |
Capital instruments and items that do not qualify as minority interests |
||||||
090 |
1.2.2 |
Transitional recognition in consolidated own funds of minority interests |
||||||
091 |
1.2.3 |
Transitional recognition in consolidated own funds of qualifying Additional Tier 1 capital |
||||||
092 |
1.2.4 |
Transitional recognition in consolidated own funds of qualifying Tier 2 capital |
||||||
100 |
1.3 |
OTHER TRANSITIONAL ADJUSTMENTS |
link to {CA1;r520} |
link to {CA1;r730} |
link to {CA1;r960} |
|||
110 |
1.3.1 |
Unrealised gains and losses |
||||||
120 |
1.3.1.1 |
Unrealised gains |
||||||
130 |
1.3.1.2 |
Unrealised losses |
||||||
133 |
1.3.1.3. |
Unrealised gains on exposures to central governments classified in the "Available for sale" category of EU-endorsed IAS39 |
||||||
136 |
1.3.1.4. |
Unrealised loss on exposures to central governments classified in the "Available for sale" category of EU-endorsed IAS39 |
||||||
138 |
1.3.1.5. |
Fair value gains and losses arising from the institution's own credit risk related to derivative liabilities |
||||||
140 |
1.3.2 |
Deductions |
||||||
150 |
1.3.2.1 |
Losses for the current financial year |
||||||
160 |
1.3.2.2 |
Intangible assets |
||||||
170 |
1.3.2.3 |
Deferred tax assets that rely on future profitability and do not arise from temporary differences |
||||||
180 |
1.3.2.4 |
IRB shortfall of provisions to expected losses |
||||||
190 |
1.3.2.5 |
Defined benefit pension fund assets |
||||||
194 |
1.3.2.5* |
of which: Introduction of amendments to IAS 19 - positive item |
||||||
198 |
1.3.2.5** |
of which: Introduction of amendments to IAS 19 - negative item |
||||||
200 |
1.3.2.6 |
Own instruments |
||||||
210 |
1.3.2.6.1 |
Own CET1 instruments |
||||||
211 |
1.3.2.6.1** |
of which: Direct holdings |
||||||
212 |
1.3.2.6.1* |
of which: Indirect holdings |
||||||
220 |
1.3.2.6.2 |
Own AT1 instruments |
||||||
221 |
1.3.2.6.2** |
of which: Direct holdings |
||||||
222 |
1.3.2.6.2* |
of which: Indirect holdings |
||||||
230 |
1.3.2.6.3 |
Own T2 instruments |
||||||
231 |
1.3.2.6.3* |
of which: Direct holdings |
||||||
232 |
1.3.2.6.3** |
of which: Indirect holdings |
||||||
240 |
1.3.2.7 |
Reciprocal cross holdings |
||||||
250 |
1.3.2.7.1 |
Reciprocal cross holdings in CET1 Capital |
||||||
260 |
1.3.2.7.1.1 |
Reciprocal cross holdings in CET1 Capital of financial sector entities where the institution does not have a significant investment |
||||||
270 |
1.3.2.7.1.2 |
Reciprocal cross holdings in CET1 Capital of financial sector entities where the institution has a significant investment |
||||||
280 |
1.3.2.7.2 |
Reciprocal cross holdings in AT1 Capital |
||||||
290 |
1.3.2.7.2.1 |
Reciprocal cross holdings in AT1 Capital of financial sector entities where the institution does not have a significant investment |
||||||
300 |
1.3.2.7.2.2 |
Reciprocal cross holdings in AT1 Capital of financial sector entities where the institution has a significant investment |
||||||
310 |
1.3.2.7.3 |
Reciprocal cross holdings in T2 Capital |
||||||
320 |
1.3.2.7.3.1 |
Reciprocal cross holdings in T2 Capital of financial sector entities where the institution does not have a significant investment |
||||||
330 |
1.3.2.7.3.2 |
Reciprocal cross holdings in T2 Capital of financial sector entities where the institution has a significant investment |
||||||
340 |
1.3.2.8 |
Own funds instruments of financial sector entities where the institution does not have a significant investment |
||||||
350 |
1.3.2.8.1 |
CET1 instruments of financial sector entities where the institution does not have a significant investment |
||||||
360 |
1.3.2.8.2 |
AT1 instruments of financial sector entities where the institution does not have a significant investment |
||||||
370 |
1.3.2.8.3 |
T2 instruments of financial sector entities where the institution does not have a significant investment |
||||||
380 |
1.3.2.9 |
Deferred tax assets that are dependent on future profitability and arise from temporary differences and CET1 instruments of financial sector entities where the institution has a significant investment |
||||||
390 |
1.3.2.10 |
Own funds instruments of financial sector entities where the institution has a significant investment |
||||||
400 |
1.3.2.10.1 |
CET1 instruments of financial sector entities where the institution has a significant investment |
||||||
410 |
1.3.2.10.2 |
AT1 instruments of financial sector entities where the institution has a significant investment |
||||||
420 |
1.3.2.10.3 |
T2 instruments of financial sector entities where the institution has a significant investment |
||||||
425 |
1.3.2.11 |
Exemption from deduction of Equity Holdings in Insurance Companies from CET 1 Items |
||||||
430 |
1.3.3 |
Additional filters and deductions |
||||||
C 05.02 — GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUING STATE AID (CA5.2)
CA 5.2 Grandfathered instruments: Instruments not constituting State aid |
Amount of instruments plus related share premium |
Base for calculating the limit |
Applicable percentage |
Limit |
(-) Amount that exceeds the limits for grandfathering |
Total grandfathered amount |
||
Code |
ID |
Item |
010 |
020 |
030 |
040 |
050 |
060 |
010 |
1. |
Instruments that qualified for point a) of Article 57 of 2006/48/EC |
link to {CA5.1;r060;c010) |
|||||
020 |
2. |
Instruments that qualified for point ca) of Article 57 and Article 154(8) and (9) of 2006/48/EC, subject to the limit of Article 489 |
link to {CA5.1;r060;c020) |
|||||
030 |
2.1 |
Total instruments without a call or an incentive to redeem |
||||||
040 |
2.2. |
Grandfathered instruments with a call and incentive to redeem |
||||||
050 |
2.2.1 |
Instruments with a call exercisable after the reporting date, and which meet the conditions in Article 49 of CRR after the date of effective maturity |
||||||
060 |
2.2.2 |
Instruments with a call exercisable after the reporting date, and which do not meet the conditions in Article 49 of CRR after the date of effective maturity |
||||||
070 |
2.2.3 |
Instruments with a call exercisable prior to or on 20 July 2011, and which do not meet the conditions in Article 49 of CRR after the date of effective maturity |
||||||
080 |
2.3 |
Excess on the limit of CET1 grandfathered instruments |
||||||
090 |
3 |
Items that qualified for points e), f), g) or h) of Article 57 of 2006/48/EC, subject to the limit of Article 490 |
link to {CA5.1;r060;c030) |
|||||
100 |
3.1 |
Total items without an incentive to redeem |
||||||
110 |
3.2 |
Grandfathered items with an incentive to redeem |
||||||
120 |
3.2.1 |
Items with a call exercisable after the reporting date, and which meet the conditions in Article 63 of CRR after the date of effective maturity |
||||||
130 |
3.2.2 |
Items with a call exercisable after the reporting date, and which do not meet the conditions in Article 63 of CRR after the date of effective maturity |
||||||
140 |
3.2.3 |
Items with a call exercisable prior to or on 20 July 2011, and which do not meet the conditions in Article 63 of CRR after the date of effective maturity |
||||||
150 |
3.3 |
Excess on the limit of AT1 grandfathered instruments |
||||||
C 06.00 — GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS)
ENTITIES WITHIN SCOPE OF CONSOLIDATION |
INFORMATION ON ENTITIES SUBJECT TO OWN FUNDS REQUIREMENTS |
INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP |
CAPITAL BUFFERS |
||||||||||||||||||||||||||||||||||||||||||||||
NAME |
CODE |
LEI code |
INSITUTION OR EQUIVALENT (YES / NO) |
SCOPE OF DATA: SOLO FULLY CONSOLIDATED (SF), SOLO PARTIALLY CONSOLIDATED (SP) OR SUBCONSOLIDATED (SC) |
COUNTRY CODE |
SHARE OF HOLDING (%) |
TOTAL RISK EXPOSURE AMOUNT |
OWN FUNDS |
TOTAL RISK EXPOSURE AMOUNT |
QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS |
CONSOLIDATED OWN FUNDS |
COMBINED BUFFER REQUIRE-MENTS |
|||||||||||||||||||||||||||||||||||||
CREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/DELIVERY RISK |
POSITION, FX AND COMMODITIES RISKS |
OPERATIONAL RISK |
OTHER RISK EXPOSURE AMOUNTS |
TOTAL TIER 1 CAPITAL |
TIER 2 CAPITAL |
CREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/DELIVERY RISK |
POSITION, FX AND COMMODITIES RISKS |
OPERATIONAL RISK |
OTHER RISK EXPOSURE AMOUNTS |
QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 1 CAPITAL |
QUALIFYING OWN FUNDS INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 2 CAPITAL |
MEMORANDUM ITEM: GOODWILL (-) / (+) NEGATIVE GOODWILL |
OF WHICH: COMMON EQUITY TIER 1 |
OF WHICH: ADDITIONAL TIER 1 |
OF WHICH: CONRIBUTIONS TO CONSOLIDATED RESULT |
OF WHICH: (-) GOODWILL / (+) NEGATIVE GOODWILL |
CAPITAL CONSERVATION BUFFER |
INSTITUTION SPECIFIC COUNTER-CYCLICAL CAPITAL BUFFER |
CONSERVATION BUFFER DUE TO MACRO-PRUDENTIAL OR SYSTEMIC RISK IDENTIFIED AT THE LEVEL OF A MEMBER STATE |
SYSTEMIC RISK BUFFER |
SYSTEMICAL IMPORTANT INSTITUTION BUFFER |
GLOBAL SYSTEMICALLY IMPORTANT INSTITUTION BUFFER |
OTHER SYSTEMICALLY IMPORTANT INSTITUTION BUFFER |
||||||||||||||||||||||||||
COMMON EQUITY TIER 1 CAPITAL |
ADDITIONAL TIER 1 CAPITAL |
MINORITY INTERESTS INCLUDED IN CONSOLIDATED COMMON EQUITY TIER 1 CAPITAL |
QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED ADDITIONAL TIER 1 CAPITAL |
||||||||||||||||||||||||||||||||||||||||||||||
OF WHICH: QUALIFYING OWN FUNDS |
OF WHICH: OWN FUNDS INSTRUMENTS, RELATED RETAINED EARNINGS AND SHARE PREMIUM ACCOUNTS |
OF WHICH: QUALIFYING TIER 1 CAPITAL |
OF WHICH: T1 INSTRUMENTS, RELATED RETAINED EARNINGS AND SHARE PREMIUM ACCOUNTS |
OF WHICH: MINORITY INTERESTS |
OF WHICH: OWN FUNDS INSTRUMENTS, RELATED RETAINED EARNINGS, SHARE PREMIUM ACCOUNTS AND OTHER RESERVES |
OF WHICH: QUALIFYING ADDITIONAL TIER 1 CAPITAL |
OF WHICH: QUALIFYING TIER 2 CAPITAL |
||||||||||||||||||||||||||||||||||||||||||
010 |
020 |
025 |
030 |
040 |
050 |
060 |
070 |
080 |
090 |
100 |
110 |
120 |
130 |
140 |
150 |
160 |
170 |
180 |
190 |
200 |
210 |
220 |
230 |
240 |
250 |
260 |
270 |
280 |
290 |
300 |
310 |
320 |
330 |
340 |
350 |
360 |
370 |
380 |
390 |
400 |
410 |
420 |
430 |
440 |
450 |
460 |
470 |
480 |
|
010 |
TOTAL |
||||||||||||||||||||||||||||||||||||||||||||||||
001 |
|||||||||||||||||||||||||||||||||||||||||||||||||
002 |
|||||||||||||||||||||||||||||||||||||||||||||||||
.... |
|||||||||||||||||||||||||||||||||||||||||||||||||
NNN |
|||||||||||||||||||||||||||||||||||||||||||||||||
C 07.00 — CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: STANDARDISED APPROACH TO CAPITAL REQUIREMENTS (CR SA) SA Exposure class
ORIGINAL EXPOSURE PRE CONVERSION FACTORS |
(-) VALUE ADJUSTMENTS AND PROVISIONS ASSOCIATED WITH THE ORIGINAL EXPOSURE |
EXPOSURE NET OF VALUE ADJUSTMENTS AND PROVISIONS |
CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE |
NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS |
CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE EXPOSURE AMOUNT: FUNDED CREDIT PROTECTION. FINANCIAL COLLATERAL COMPREHENSIVE METHOD |
FULLY ADJUSTED EXPOSURE VALUE (E*) |
BREAKDOWN OF THE FULLY ADJUSTED EXPOSURE OF OFF-BALANCE SHEET ITEMS BY CONVERSION FACTORS |
EXPOSURE VALUE |
RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR |
RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR |
||||||||||||||||
OF WHICH: ARISING FROM DEFAULT FUND CONTRIBUTIONS |
UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (Ga) |
FUNDED CREDIT PROTECTION |
SUBSTITUTION OF THE EXPOSURE DUE TO CRM |
VOLATILITY ADJUSTMENT TO THE EXPOSURE |
(-) FINANCIAL COLLATERAL: ADJUSTED VALUE (Cvam) |
0% |
20% |
50% |
100% |
OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK |
OF WHICH: WITH A CREDIT ASSESSMENT BY A NOMINATED ECAI |
OF WHICH: WITH A CREDIT ASSESSMENT DERIVED FROM CENTRAL GOVERNMENT |
||||||||||||||
(-) GUARANTEES |
(-) CREDIT DERIVATIVES |
(-) FINANCIAL COLLATERAL: SIMPLE METHOD |
(-) OTHER FUNDED CREDIT PROTECTION |
(-) TOTAL OUTFLOWS |
TOTAL INFLOWS (+) |
OF WHICH: VOLATILITY AND MATURITY ADJUSTMENTS |
||||||||||||||||||||
010 |
020 |
030 |
040 |
050 |
060 |
070 |
080 |
090 |
100 |
110 |
120 |
130 |
140 |
150 |
160 |
170 |
180 |
190 |
200 |
210 |
215 |
220 |
230 |
240 |
||
010 |
TOTAL EXPOSURES |
Cell linked to CA |
||||||||||||||||||||||||
020 |
of which: SME |
|||||||||||||||||||||||||
030 |
of which: SME subject to SME-supporting factor |
|||||||||||||||||||||||||
040 |
of which: Secured by mortgages on immovable property - Residential property |
|||||||||||||||||||||||||
050 |
of which: Exposures under the permanent partial use of the standardised approach |
|||||||||||||||||||||||||
060 |
of which: Exposures under the standardised approach with prior supervisory permission to carry out a sequential IRB implementation |
|||||||||||||||||||||||||
BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES: |
||||||||||||||||||||||||||
070 |
On balance sheet exposures subject to credit risk |
|||||||||||||||||||||||||
080 |
Off balance sheet exposures subject to credit risk |
|||||||||||||||||||||||||
090 |
Securities Financing Transactions |
|||||||||||||||||||||||||
100 |
of which: centrally cleared through a QCCP |
|||||||||||||||||||||||||
110 |
Derivatives & Long Settlement Transactions |
|||||||||||||||||||||||||
120 |
of which: centrally cleared through a QCCP |
|||||||||||||||||||||||||
130 |
From Contractual Cross Product Netting |
|||||||||||||||||||||||||
BREAKDOWN OF TOTAL EXPOSURES BY RISK WEIGHTS: |
||||||||||||||||||||||||||
140 |
0 % |
|||||||||||||||||||||||||
150 |
2 % |
|||||||||||||||||||||||||
160 |
4 % |
|||||||||||||||||||||||||
170 |
10 % |
|||||||||||||||||||||||||
180 |
20 % |
|||||||||||||||||||||||||
190 |
35 % |
|||||||||||||||||||||||||
200 |
50 % |
|||||||||||||||||||||||||
210 |
70 % |
|||||||||||||||||||||||||
220 |
75 % |
|||||||||||||||||||||||||
230 |
100 % |
|||||||||||||||||||||||||
240 |
150 % |
|||||||||||||||||||||||||
250 |
250 % |
|||||||||||||||||||||||||
260 |
370 % |
|||||||||||||||||||||||||
270 |
1250 % |
|||||||||||||||||||||||||
280 |
Other risk weights |
|||||||||||||||||||||||||
MEMORANDUM ITEMS |
||||||||||||||||||||||||||
290 |
Exposures secured by mortgages on commercial immovable property |
|||||||||||||||||||||||||
300 |
Exposures in default subject to a risk weight of 100 % |
|||||||||||||||||||||||||
310 |
Exposures secured by mortgages on residential property |
|||||||||||||||||||||||||
320 |
Exposures in default subject to a risk weight of 150 % |
|||||||||||||||||||||||||
C 08.01 — CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS (CR IRB 1) IRB Exposure class: Own estimates of LGD and/or conversion factors:
INTERNAL RATING SYSTEM |
ORIGINAL EXPOSURE PRE CONVERSION FACTORS |
CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE |
EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS |
EXPOSURE VALUE |
CREDIT RISK MITIGATION TECHNIQUES TAKEN INTO ACCOUNT IN LGD ESTIMATES EXCLUDING DOUBLE DEFAULT TREATMENT |
SUBJECT TO DOUBLE DEFAULT TREATMENT |
EXPOSURE WEIGHTED AVERAGE LGD (%) |
EXPOSURE WEIGHTED AVERAGE LGD (%) FOR LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES |
EXPOSURE-WEIGHTED AVERAGE MATURITY VALUE (DAYS) |
RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR |
RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR |
MEMORANDUM ITEMS: |
||||||||||||||||||||
UNFUNDED CREDIT PROTECTION |
(-) OTHER FUNDED CREDIT PROTECTION |
SUBSTITUTION OF THE EXPOSURE DUE TO CRM |
OWN ESTIMATES OF LGD'S ARE USED: UNFUNDED CREDIT PROTECTION |
FUNDED CREDIT PROTECTION |
UNFUNDED CREDIT PROTECTION |
EXPECTED LOSS AMOUNT |
(-) VALUE ADJUSTMENTS AND PROVISIONS |
NUMBER OF OBLIGORS |
||||||||||||||||||||||||
PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%) |
OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES |
(-) GUARANTEES |
(-) CREDIT DERIVATIVES |
(-) TOTAL OUTFLOWS |
TOTAL INFLOWS (+) |
OF WHICH: OFF BALANCE SHEET ITEMS |
OF WHICH: OFF BALANCE SHEET ITEMS |
OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK |
OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES |
GUARANTEES |
CREDIT DERIVATIVES |
OWN ESTIMATES OF LGD'S ARE USED: OTHER FUNDED CREDIT PROTECTION |
ELIGIBLE FINANCIAL COLLATERAL |
OTHER ELIGIBLE COLLATERAL |
OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES |
|||||||||||||||||
REAL ESTATE |
OTHER PHYSICAL COLLATERAL |
RECEIVABLES |
||||||||||||||||||||||||||||||
010 |
020 |
030 |
040 |
050 |
060 |
070 |
080 |
090 |
100 |
110 |
120 |
130 |
140 |
150 |
160 |
170 |
180 |
190 |
200 |
210 |
220 |
230 |
240 |
250 |
255 |
260 |
270 |
280 |
290 |
300 |
||
010 |
TOTAL EXPOSURES |
Cell linked to CA |
||||||||||||||||||||||||||||||
BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES: |
||||||||||||||||||||||||||||||||
020 |
On balance sheet items subject to credit risk |
|||||||||||||||||||||||||||||||
030 |
Off balance sheet items subject to credit risk |
|||||||||||||||||||||||||||||||
Exposures / Transactions subject to counterparty credit risk |
||||||||||||||||||||||||||||||||
040 |
Securities Financing Transactions |
|||||||||||||||||||||||||||||||
050 |
Derivatives & Long Settlement Transactions |
|||||||||||||||||||||||||||||||
060 |
From Contractual Cross Product Netting |
|||||||||||||||||||||||||||||||
070 |
EXPOSURES ASSIGNED TO OBLIGOR GRADES OR POOLS: TOTAL |
|||||||||||||||||||||||||||||||
080 |
SPECIALIZED LENDING SLOTTING CRITERIA: TOTAL |
|||||||||||||||||||||||||||||||
BREAKDOWN BY RISK WEIGHTS OF TOTAL EXPOSURES UNDER SPECIALIZED LENDING SLOTTING CRITERIA: |
||||||||||||||||||||||||||||||||
090 |
RISK WEIGHT: 0 % |
|||||||||||||||||||||||||||||||
100 |
50 % |
|||||||||||||||||||||||||||||||
110 |
70 % |
|||||||||||||||||||||||||||||||
120 |
Of which: in category 1 |
|||||||||||||||||||||||||||||||
130 |
90 % |
|||||||||||||||||||||||||||||||
140 |
115 % |
|||||||||||||||||||||||||||||||
150 |
250 % |
|||||||||||||||||||||||||||||||
160 |
ALTERNATIVE TREATMENT: SECURED BY REAL ESTATE |
|||||||||||||||||||||||||||||||
170 |
EXPOSURES FROM FREE DELIVERIES APPLYING RISK WEIGHTS UNDER THE ALTERNATIVE TREATMENT OR 100% AND OTHER EXPOSURES SUBJECT TO RISK WEIGHTS |
|||||||||||||||||||||||||||||||
180 |
DILUTION RISK: TOTAL PURCHASED RECEIVABLES |
|||||||||||||||||||||||||||||||
C 08.02 — CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BREAKDOWN BY OBLIGOR GRADES OR POOLS (CR IRB 2) IRB Exposure class: Own estimates of LGD and/or conversion factors:
INTERNAL RATING SYSTEM |
ORIGINAL EXPOSURE PRE CONVERSION FACTORS |
CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE |
EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS |
EXPOSURE VALUE |
CREDIT RISK MITIGATION TECHNIQUES TAKEN INTO ACCOUNT IN LGD ESTIMATES EXCLUDING DOUBLE DEFAULT TREATMENT |
SUBJECT TO DOUBLE DEFAULT TREATMENT |
EXPOSURE WEIGHTED AVERAGE LGD (%) |
EXPOSURE WEIGHTED AVERAGE LGD (%) FOR LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES |
EXPOSURE-WEIGHTED AVERAGE MATURITY VALUE (DAYS) |
RISK WEIGHTED EXPOSURE AMOUNT PRE SME-FACTOR |
RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-FACTOR |
MEMORANDUM ITEMS: |
||||||||||||||||||||
UNFUNDED CREDIT PROTECTION |
(-) OTHER FUNDED CREDIT PROTECTION |
SUBSTITUTION OF THE EXPOSURE DUE TO CRM |
OWN ESTIMATES OF LGD'S ARE USED: UNFUNDED CREDIT PROTECTION |
FUNDED CREDIT PROTECTION |
UNFUNDED CREDIT PROTECTION |
EXPECTED LOSS AMOUNT |
(-) VALUE ADJUSTMENTS AND PROVISIONS |
NUMBER OF OBLIGORS |
||||||||||||||||||||||||
PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%) |
OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES |
(-) GUARANTEES |
(-) CREDIT DERIVATIVES |
(-) TOTAL OUTFLOWS |
TOTAL INFLOWS (+) |
OF WHICH: OFF BALANCE SHEET ITEMS |
OF WHICH: OFF BALANCE SHEET ITEMS |
OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK |
OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES |
GUARANTEES |
CREDIT DERIVATIVES |
OWN ESTIMATES OF LGD'S ARE USED: OTHER FUNDED CREDIT PROTECTION |
ELIGIBLE FINANCIAL COLLATERAL |
OTHER ELIGIBLE COLLATERAL |
OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES |
|||||||||||||||||
REAL ESTATE |
OTHER PHYSICAL COLLATERAL |
RECEIVABLES |
||||||||||||||||||||||||||||||
010 |
020 |
030 |
040 |
050 |
060 |
070 |
080 |
090 |
100 |
110 |
120 |
130 |
140 |
150 |
160 |
170 |
180 |
190 |
200 |
210 |
220 |
230 |
240 |
250 |
255 |
260 |
270 |
280 |
290 |
300 |
||
BREAKDOWN OF TOTAL EXPOSURES ASSIGNED TO OBLIGOR GRADES OR POOLS: |
||||||||||||||||||||||||||||||||
OBLIGOR GRADE OR POOL:1 |
||||||||||||||||||||||||||||||||
2 |
||||||||||||||||||||||||||||||||
..... |
||||||||||||||||||||||||||||||||
N |
||||||||||||||||||||||||||||||||
C 09.01 — GEOGRAPHICAL BREAKDOWN OF EXPOSURES BY RESIDENCE OF THE OBLIGOR: SA EXPOSURES (CR GB 1) Country:
ORIGINAL EXPOSURE PRE CONVERSION FACTORS |
Exposures in default |
Observed new defaults for the period |
General credit risk adjustments |
Specific credit risk adjustments |
Of which: write off |
Credit risk adjustments/write-offs for observed new defaults |
EXPOSURE VALUE |
RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR |
RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR |
||
010 |
020 |
040 |
050 |
055 |
060 |
070 |
075 |
080 |
090 |
||
010 |
Central governments or central banks |
||||||||||
020 |
Regional governments or local authorities |
||||||||||
030 |
Public sector entities |
||||||||||
040 |
Multilateral Development Banks |
||||||||||
050 |
International Organisations |
||||||||||
060 |
Institutions |
||||||||||
070 |
Corporates |
||||||||||
075 |
of which: SME |
||||||||||
080 |
Retail |
||||||||||
085 |
of which: SME |
||||||||||
090 |
Secured by mortgages on immovable property |
||||||||||
095 |
of which: SME |
||||||||||
100 |
Exposures in default |
||||||||||
110 |
Items associated with particularly high risk |
||||||||||
120 |
Covered bonds |
||||||||||
130 |
Claims on institutions and corporates with a short-term credit assessment |
||||||||||
140 |
Collective investments undertakings (CIU) |
||||||||||
150 |
Equity exposures |
||||||||||
160 |
Other exposures |
||||||||||
Total exposures |
|||||||||||
C 09.02 — GEOGRAPHICAL BREAKDOWN OF EXPOSURES BY RESIDENCE OF THE OBLIGOR: IRB EXPOSURES (CR GB 2) Country:
ORIGINAL EXPOSURE PRE CONVERSION FACTORS |
Of which: defaulted |
Observed new defaults for the period |
General credit risk adjustments |
Specific credit risk adjustments |
Of which: write off |
Credit risk adjustments/write-offs for observed new defaults |
PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%) |
EXPOSURE WEIGHTED AVERAGE LGD (%) |
Of which: defaulted |
EXPOSURE VALUE |
RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR |
Of which: defaulted |
RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR |
EXPECTED LOSS AMOUNT |
||
010 |
030 |
040 |
050 |
055 |
060 |
070 |
080 |
090 |
100 |
105 |
110 |
120 |
125 |
130 |
||
010 |
Central governments or central banks |
|||||||||||||||
020 |
Institutions |
|||||||||||||||
030 |
Corporates |
|||||||||||||||
040 |
Of Which: Specialised Lending |
|||||||||||||||
050 |
Of Which: SME |
|||||||||||||||
060 |
Retail |
|||||||||||||||
070 |
Secured by real estate property |
|||||||||||||||
080 |
SME |
|||||||||||||||
090 |
Non-SME |
|||||||||||||||
100 |
Qualifying Revolving |
|||||||||||||||
110 |
Other Retail |
|||||||||||||||
120 |
SME |
|||||||||||||||
130 |
Non-SME |
|||||||||||||||
140 |
Equity |
|||||||||||||||
Total exposures |
||||||||||||||||
C 09.03 — BREAKDOWN OF TOTAL OWN FUNDS REQUIREMENTS FOR CREDIT RISK OF RELEVANT CREDIT EXPOSURES BY COUNTRY (CR GB 3) Country:
Amount |
||
010 |
||
010 |
Own fund requirements for credit risk |
|
C 10.01 — CREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS (CR EQU IRB 1)
INTERNAL RATING SYSTEM |
ORIGINAL EXPOSURE PRE CONVERSION FACTORS |
CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE |
EXPOSURE VALUE |
EXPOSURE WEIGHTED AVERAGE LGD (%) |
RISK WEIGHTED EXPOSURE AMOUNT |
MEMORANDUM ITEM: |
||||
UNFUNDED CREDIT PROTECTION |
SUBSTITUTION OF THE EXPOSURE DUE TO CRM |
EXPECTED LOSS AMOUNT |
||||||||
PD ASSIGNED TO THE OBLIGOR GRADE (%) |
(-) GUARANTEES |
(-) CREDIT DERIVATIVES |
(-) TOTAL OUTFLOWS |
|||||||
010 |
020 |
030 |
040 |
050 |
060 |
070 |
080 |
090 |
||
010 |
TOTAL IRB EQUITY EXPOSURES |
Cell linked to CA |
||||||||
020 |
PD/LGD APRROACH: TOTAL |
|||||||||
050 |
SIMPLE RISK WEIGHT APPROACH: TOTAL |
|||||||||
060 |
BREAKDOWN OF TOTAL EXPOSURES UNDER THE SIMPLE RISK WEIGHT APRROACH BY RISK WEIGHTS: |
|||||||||
070 |
RISK WEIGHT: 190 % |
|||||||||
080 |
290 % |
|||||||||
090 |
370 % |
|||||||||
100 |
INTERNAL MODELS APPROACH |
|||||||||
110 |
EQUITY EXPOSURES SUBJECT TO RISK WEIGHTS |
|||||||||
C 10.02 — CREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS. BREAKDOWN OF TOTAL EXPOSURES UNDER THE PD/LGD APRROACH BY OBLIGOR GRADES (CR EQU IRB 2)
INTERNAL RATING SYSTEM |
ORIGINAL EXPOSURE PRE CONVERSION FACTORS |
CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE |
EXPOSURE VALUE |
EXPOSURE WEIGHTED AVERAGE LGD (%) |
RISK WEIGHTED EXPOSURE AMOUNT |
MEMORANDUM ITEM: |
||||
UNFUNDED CREDIT PROTECTION |
SUBSTITUTION OF THE EXPOSURE DUE TO CRM |
EXPECTED LOSS AMOUNT |
||||||||
PD ASSIGNED TO THE OBLIGOR GRADE (%) |
(-) GUARANTEES |
(-) CREDIT DERIVATIVES |
(-) TOTAL OUTFLOWS |
|||||||
010 |
020 |
030 |
040 |
050 |
060 |
070 |
080 |
090 |
||
BREAKDOWN OF TOTAL EXPOSURES UNDER THE PD/LGD APRROACH BY OBLIGOR GRADES: |
||||||||||
OBLIGOR GRADE(a): 001 |
||||||||||
002 |
||||||||||
… |
||||||||||
NNN |
||||||||||
C 11.00 — SETTLEMENT/DELIVERY RISK (CR SETT)
UNSETTLED TRANSACTIONS AT SETTLEMENT PRICE |
PRICE DIFFERENCE EXPOSURE DUE TO UNSETTLED TRANSACTIONS |
OWN FUNDS REQUIREMENTS |
TOTAL SETTLEMENT RISK EXPOSURE AMOUNT |
||
010 |
020 |
030 |
040 |
||
010 |
Total unsettled transactions in the Non-trading Book |
Cell linked to CA |
|||
020 |
Transactions unsettled up to 4 days (Factor 0 %) |
||||
030 |
Transactions unsettled between 5 and 15 days (Factor 8 %) |
||||
040 |
Transactions unsettled between 16 and 30 days (Factor 50 %) |
||||
050 |
Transactions unsettled between 31 and 45 days (Factor 75 %) |
||||
060 |
Transactions unsettled for 46 days or more (Factor 100 %) |
||||
070 |
Total unsettled transactions in the Trading Book |
Cell linked to CA |
|||
080 |
Transactions unsettled up to 4 days (Factor 0 %) |
||||
090 |
Transactions unsettled between 5 and 15 days (Factor 8 %) |
||||
100 |
Transactions unsettled between 16 and 30 days (Factor 50 %) |
||||
110 |
Transactions unsettled between 31 and 45 days (Factor 75 %) |
||||
120 |
Transactions unsettled for 46 days or more (Factor 100 %) |
||||
C 12.00 — CREDIT RISK: SECURITISATIONS - STANDARDISED APPROACH TO OWN FUNDS REQUIREMENTS (CR SEC SA)
TOTAL AMOUNT OF SECURITISATI0N EXPOSURES ORIGINATED |
SYNTHETIC SECURITISATIONS: CREDIT PROTECTION TO THE SECURITISED EXPOSURES |
SECURITISATION POSITIONS |
(-) VALUE ADJUSTMENTS AND PROVISIONS |
EXPOSURE NET OF VALUE ADJUSTMENTS AND PROVISIONS |
CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE |
NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS |
(-) CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE AMOUNT OF THE EXPOSURE: FUNDED CREDIT PROTECTION FINANCIAL COLLATERAL COMPREHENSIVE METHOD ADJUSTED VALUE (Cvam) |
FULLY ADJUSTED EXPOSURE VALUE (E*) |
BREAKDOWN OF THE FULLY ADJUSTED EXPOSURE VALUE (E*) OF OFF BALANCE SHEET ITEMS ACCORDING TO CONVERSION FACTORS |
EXPOSURE VALUE |
BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS |
BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS |
RISK-WEIGHTED EXPOSURE AMOUNT |
OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONS |
ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO MATURITY MISMATCHES |
TOTAL RISK-WEIGHTED EXPOSURE AMOUNT |
MEMORANDUM ITEM: RISK WEIGHTED EXPOSURE AMOUNT CORRESPONDING TO THE OUTFLOWS FROM THE SA SECURITISATION TO OTHER EXPOSURE CLASSES |
|||||||||||||||||||||||
(-) FUNDED CREDIT PROTECTION (Cva) |
(-) TOTAL OUTFLOWS |
NOTIONAL AMOUNT RETAINED OR REPURCHASED OF CREDIT PROTECTION |
ORIGINAL EXPOSURE PRE CONVERSION FACTORS |
(-) UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (Ga) |
(-) FUNDED CREDIT PROTECTION |
SUBSTITUTION OF THE EXPOSURE DUE TO CRM |
0 % |
>0 % and <=20 % |
>20 % and <=50 % |
>50 % and <=100 % |
(-) DEDUCTED FROM OWN FUNDS |
SUBJECT TO RISK WEIGHTS |
RATED (CREDIT QUALITY STEPS) |
1250% |
LOOK-THROUGH |
INTERNAL ASSESMENT APPROACH |
||||||||||||||||||||||||
(-) UNFUNDED CREDIT PROTECTION ADJUSTED VALUES (G*) |
(-) TOTAL OUTFLOWS |
TOTAL INFLOWS |
CQS 1 |
CQS 2 |
CQS 3 |
CQS 4 |
ALL OTHER CQS |
UNRATED |
OF WHICH: SECOND LOSS IN ABCP |
OF WHICH: AVERAGE RISK WEIGHT (%) |
AVERAGE RISK WEIGHT (%) |
OF WHICH: SYNTHETIC SECURITISATIONS |
BEFORE CAP |
AFTER CAP |
||||||||||||||||||||||||||
010 |
020 |
030 |
040 |
050 |
060 |
070 |
080 |
090 |
100 |
110 |
120 |
130 |
140 |
150 |
160 |
170 |
180 |
190 |
200 |
210 |
220 |
230 |
240 |
250 |
260 |
270 |
280 |
290 |
300 |
310 |
320 |
330 |
340 |
350 |
360 |
370 |
380 |
390 |
||
010 |
TOTAL EXPOSURES |
Cell linked to CA |
||||||||||||||||||||||||||||||||||||||
020 |
OF WHICH: RE-SECURITISATIONS |
Cell linked to CA |
||||||||||||||||||||||||||||||||||||||
030 |
ORIGINATOR: TOTAL EXPOSURES |
|||||||||||||||||||||||||||||||||||||||
040 |
ON-BALANCE SHEET ITEMS |
|||||||||||||||||||||||||||||||||||||||
050 |
SECURITISATIONS |
|||||||||||||||||||||||||||||||||||||||
060 |
RE-SECURITISATIONS |
|||||||||||||||||||||||||||||||||||||||
070 |
OFF-BALANCE SHEET ITEMS AND DERIVATIVES |
|||||||||||||||||||||||||||||||||||||||
080 |
SECURITISATIONS |
|||||||||||||||||||||||||||||||||||||||
090 |
RE-SECURITISATIONS |
|||||||||||||||||||||||||||||||||||||||
100 |
EARLY AMORTISATION |
|||||||||||||||||||||||||||||||||||||||
110 |
INVESTOR: TOTAL EXPOSURES |
|||||||||||||||||||||||||||||||||||||||
120 |
ON-BALANCE SHEET ITEMS |
|||||||||||||||||||||||||||||||||||||||
130 |
SECURITISATIONS |
|||||||||||||||||||||||||||||||||||||||
140 |
RE-SECURITISATIONS |
|||||||||||||||||||||||||||||||||||||||
150 |
OFF-BALANCE SHEET ITEMS AND DERIVATIVES |
|||||||||||||||||||||||||||||||||||||||
160 |
SECURITISATIONS |
|||||||||||||||||||||||||||||||||||||||
170 |
RE-SECURITISATIONS |
|||||||||||||||||||||||||||||||||||||||
180 |
SPONSOR: TOTAL EXPOSURES |
|||||||||||||||||||||||||||||||||||||||
190 |
ON-BALANCE SHEET ITEMS |
|||||||||||||||||||||||||||||||||||||||
200 |
SECURITISATIONS |
|||||||||||||||||||||||||||||||||||||||
210 |
RE-SECURITISATIONS |
|||||||||||||||||||||||||||||||||||||||
220 |
OFF-BALANCE SHEET ITEMS AND DERIVATIVES |
|||||||||||||||||||||||||||||||||||||||
230 |
SECURITISATIONS |
|||||||||||||||||||||||||||||||||||||||
240 |
RE-SECURITISATIONS |
|||||||||||||||||||||||||||||||||||||||
BREAKDOWN OF OUTSTANDING POSITIONS ACCORDING TO CQS AT INCEPTION: |
||||||||||||||||||||||||||||||||||||||||
250 |
CQS 1 |
|||||||||||||||||||||||||||||||||||||||
260 |
CQS 2 |
|||||||||||||||||||||||||||||||||||||||
270 |
CQS 3 |
|||||||||||||||||||||||||||||||||||||||
280 |
CQS 4 |
|||||||||||||||||||||||||||||||||||||||
290 |
ALL OTHER CQS AND UNRATED |
|||||||||||||||||||||||||||||||||||||||
C 13.00 — CREDIT RISK: SECURITISATIONS - IRB APPROACH TO OWN FUNDS REQUIREMENTS (CR SEC IRB)
TOTAL AMOUNT OF SECURITISATI0N EXPOSURES ORIGINATED |
SYNTHETIC SECURITIZATIONS: CREDIT PROTECTION TO THE SECURITISED EXPOSURES |
SECURITISATION POSITIONS |
CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE |
EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS |
(-) CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE AMOUNT OF THE EXPOSURE: FUNDED CREDIT PROTECTION FINANCIAL COLLATERAL COMPREHENSIVE METHOD ADJUSTED VALUE (Cvam) |
FULLY ADJUSTED EXPOSURE VALUE (E*) |
BREAKDOWN OF THE FULLY ADJUSTED EXPOSURE VALUE (E*) OF OFF BALANCE SHEET ITEMS ACCORDING TO CREDIT CONVERSION FACTORS |
EXPOSURE VALUE |
BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS |
(-) REDUCTION IN RISK WEIGHTED EXPOSURE AMOUNT DUE TO VALUE ADJUSTMENTS AND PROVISIONS |
RISK-WEIGHTED EXPOSURE AMOUNT |
OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONS |
ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO MATURITY MISMATCHES |
TOTAL RISK-WEIGHTED EXPOSURE AMOUNT |
MEMORANDUM ITEM: RISK WEIGHTED EXPOSURE AMOUNT CORRESPONDING TO THE OUTFLOWS FROM THE IRB SECURITISATION TO OTHER EXPOSURE CLASSES |
|||||||||||||||||||||||||||||||||
(-) FUNDED CREDIT PROTECTION (Cva) |
(-) TOTAL OUTFLOWS |
NOTIONAL AMOUNT RETAINED OR REPURCHASED OF CREDIT PROTECTION |
ORIGINAL EXPOSURE PRE CONVERSION FACTORS |
(-) UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (Ga) |
(-) FUNDED CREDIT PROTECTION |
SUBSTITUTION OF THE EXPOSURE DUE TO CRM |
0 % |
>0 % and <=20 % |
>20 % and <=50 % |
>50 % and <=100 % |
(-) DEDUCTED FROM OWN FUNDS |
SUBJECT TO RISK WEIGHTS |
RATINGS BASED METHOD (CREDIT QUALITY STEPS) |
1250% |
SUPERVISORY FORMULA METHOD |
LOOK-THROUGH |
INTERNAL ASSESSMENT APPROACH |
|||||||||||||||||||||||||||||||
(-) UNFUNDED CREDIT PROTECTION ADJUSTED VALUES (G*) |
(-) TOTAL OUTFLOWS |
TOTAL INFLOWS |
CQS 1 & S/T CQS 1 |
CQS 2 |
CQS 3 |
CQS 4 & S/T CQS 2 |
CQS 5 |
CQS 6 |
CQS 7 & S/T CQS 3 |
CQS 8 |
CQS 9 |
CQS 10 |
CQS 11 |
ALL OTHER CQS |
UNRATED |
AVERAGE RISK WEIGHT (%) |
AVERAGE RISK WEIGHT (%) |
AVERAGE RISK WEIGHT (%) |
OF WHICH: SYNTHETIC SECURITISATIONS |
BEFORE CAP |
AFTER CAP |
|||||||||||||||||||||||||||
010 |
020 |
030 |
040 |
050 |
060 |
070 |
080 |
090 |
100 |
110 |
120 |
130 |
140 |
150 |
160 |
170 |
180 |
190 |
200 |
210 |
220 |
230 |
240 |
250 |
260 |
270 |
280 |
290 |
300 |
310 |
320 |
330 |
340 |
350 |
360 |
370 |
380 |
390 |
400 |
410 |
420 |
430 |
440 |
450 |
460 |
|||
010 |
TOTAL EXPOSURES |
Cell linked to CA |
||||||||||||||||||||||||||||||||||||||||||||||
020 |
OF WHICH: RE-SECURITISATIONS |
Cell linked to CA |
||||||||||||||||||||||||||||||||||||||||||||||
030 |
ORIGINATOR: TOTAL EXPOSURES |
|||||||||||||||||||||||||||||||||||||||||||||||
040 |
ON-BALANCE SHEET ITEMS |
|||||||||||||||||||||||||||||||||||||||||||||||
050 |
SECURITISATIONS |
A |
||||||||||||||||||||||||||||||||||||||||||||||
060 |
B |
|||||||||||||||||||||||||||||||||||||||||||||||
070 |
C |
|||||||||||||||||||||||||||||||||||||||||||||||
080 |
RE-SECURITISATIONS |
D |
||||||||||||||||||||||||||||||||||||||||||||||
090 |
E |
|||||||||||||||||||||||||||||||||||||||||||||||
100 |
OFF-BALANCE SHEET ITEMS AND DERIVATIVES |
|||||||||||||||||||||||||||||||||||||||||||||||
110 |
SECURITISATIONS |
A |
||||||||||||||||||||||||||||||||||||||||||||||
120 |
B |
|||||||||||||||||||||||||||||||||||||||||||||||
130 |
C |
|||||||||||||||||||||||||||||||||||||||||||||||
140 |
RE-SECURITISATIONS |
D |
||||||||||||||||||||||||||||||||||||||||||||||
150 |
E |
|||||||||||||||||||||||||||||||||||||||||||||||
160 |
EARLY AMORTISATION |
|||||||||||||||||||||||||||||||||||||||||||||||
170 |
INVESTOR: TOTAL EXPOSURES |
|||||||||||||||||||||||||||||||||||||||||||||||
180 |
ON-BALANCE SHEET ITEMS |
|||||||||||||||||||||||||||||||||||||||||||||||
190 |
SECURITISATIONS |
A |
||||||||||||||||||||||||||||||||||||||||||||||
200 |
B |
|||||||||||||||||||||||||||||||||||||||||||||||
210 |
C |
|||||||||||||||||||||||||||||||||||||||||||||||
220 |
RE-SECURITISATIONS |
D |
||||||||||||||||||||||||||||||||||||||||||||||
230 |
E |
|||||||||||||||||||||||||||||||||||||||||||||||
240 |
OFF-BALANCE SHEET ITEMS AND DERIVATIVES |
|||||||||||||||||||||||||||||||||||||||||||||||
250 |
SECURITISATIONS |
A |
||||||||||||||||||||||||||||||||||||||||||||||
260 |
B |
|||||||||||||||||||||||||||||||||||||||||||||||
270 |
C |
|||||||||||||||||||||||||||||||||||||||||||||||
280 |
RE-SECURITISATIONS |
D |
||||||||||||||||||||||||||||||||||||||||||||||
290 |
E |
|||||||||||||||||||||||||||||||||||||||||||||||
300 |
SPONSOR: TOTAL EXPOSURES |
|||||||||||||||||||||||||||||||||||||||||||||||
310 |
ON-BALANCE SHEET ITEMS |
|||||||||||||||||||||||||||||||||||||||||||||||
320 |
SECURITISATIONS |
A |
||||||||||||||||||||||||||||||||||||||||||||||
330 |
B |
|||||||||||||||||||||||||||||||||||||||||||||||
340 |
C |
|||||||||||||||||||||||||||||||||||||||||||||||
350 |
RE-SECURITISATIONS |
D |
||||||||||||||||||||||||||||||||||||||||||||||
360 |
E |
|||||||||||||||||||||||||||||||||||||||||||||||
370 |
OFF-BALANCE SHEET ITEMS AND DERIVATIVES |
|||||||||||||||||||||||||||||||||||||||||||||||
380 |
SECURITISATIONS |
A |
||||||||||||||||||||||||||||||||||||||||||||||
390 |
B |
|||||||||||||||||||||||||||||||||||||||||||||||
400 |
C |
|||||||||||||||||||||||||||||||||||||||||||||||
410 |
RE-SECURITISATIONS |
D |
||||||||||||||||||||||||||||||||||||||||||||||
420 |
E |
|||||||||||||||||||||||||||||||||||||||||||||||
BREAKDOWN OF OUTSTANDING POSITIONS ACCORDING TO CQS AT INCEPTION: |
||||||||||||||||||||||||||||||||||||||||||||||||
430 |
CQS 1 & S/T CQS 1 |
|||||||||||||||||||||||||||||||||||||||||||||||
440 |
CQS 2 |
|||||||||||||||||||||||||||||||||||||||||||||||
450 |
CQS 3 |
|||||||||||||||||||||||||||||||||||||||||||||||
460 |
CQS 4 & S/T CQS 2 |
|||||||||||||||||||||||||||||||||||||||||||||||
470 |
CQS 5 |
|||||||||||||||||||||||||||||||||||||||||||||||
480 |
CQS 6 |
|||||||||||||||||||||||||||||||||||||||||||||||
490 |
CQS 7 & S/T CQS 3 |
|||||||||||||||||||||||||||||||||||||||||||||||
500 |
CQS 8 |
|||||||||||||||||||||||||||||||||||||||||||||||
510 |
CQS 9 |
|||||||||||||||||||||||||||||||||||||||||||||||
520 |
CQS 10 |
|||||||||||||||||||||||||||||||||||||||||||||||
530 |
CQS 11 |
|||||||||||||||||||||||||||||||||||||||||||||||
540 |
ALL OTHER CQS AND UNRATED |
|||||||||||||||||||||||||||||||||||||||||||||||
C 14.00 — DETAILED INFORMATION ON SECURITISATIONS (SEC Details)
INTERNAL CODE |
IDENTIFIER OF THE SECURITISATION |
IDENTIFIER OF THE ORIGINATOR |
SECURITISATION TYPE: (TRADITIONAL / SYNTHETIC) |
ACCOUNTING TREATMENT: Securitised exposures are kept or removed from the balance sheet? |
SOLVENCY TREATMENT: Securitisation positions subject to own funds requirements ? |
SECURITISATION OR RE-SECURITISATION? |
RETENTION |
ROLE OF THE INSTITUTION: (ORIGINATOR / SPONSOR / ORIGINAL LENDER / INVESTOR) |
NON ABCP PROGRAMMES |
SECURITISED EXPOSURES |
SECURITISATION STRUCTURE |
SECURITISATION POSITIONS |
(-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS |
TOTAL RISK-WEIGHTED EXPOSURE AMOUNT |
SECURITISATION POSITIONS - TRADING BOOK |
||||||||||||||||||||||||||||||||
TYPE OF RETENTION APPLIED |
% OF RETENTION AT REPORTING DATE |
COMPLIANCE WITH THE RETENTION REQUIREMENT? |
ORIGINATION DATE (mm/yyyy) |
TOTAL AMOUNT OF SECURITISED EXPOSURES AT ORIGINATION DATE |
TOTAL AMOUNT |
INSTITUTION'S SHARE (%) |
TYPE |
APPROACH APPLIED (SA/IRB/MIX) |
NUMBER OF EXPOSURES |
COUNTRY |
ELGD (%) |
(-) VALUE ADJUSTMENTS AND PROVISIONS |
OWN FUNDS REQUIREMENTS BEFORE SECURITISATION (%) |
ON-BALANCE SHEET ITEMS |
OFF-BALANCE SHEET ITEMS AND DERIVATIVES |
MATURITY |
ORIGINAL EXPOSURE PRE-CONVERSION FACTORS |
MEMORANDUM ITEMS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES |
EARLY AMORTISATION |
CTP OR NON-CTP? |
NET POSITIONS |
TOTAL OWN FUNDS REQUIREMENTS (SA) |
|||||||||||||||||||||||||
SENIOR |
MEZZANINE |
FIRST LOSS |
SENIOR |
MEZZANINE |
FIRST LOSS |
FIRST FORESEEABLE TERMINATION DATE |
LEGAL FINAL MATURITY DATE |
ON-BALANCE SHEET ITEMS |
OFF-BALANCE SHEET ITEMS AND DERIVATIVES |
DIRECT CREDIT SUBSTITUTES |
IRS / CRS |
ELIGIBLE LIQUIDITY FACILITIES |
OTHER (including non-eligible LF) |
CONVERSION FACTOR APPLIED |
|||||||||||||||||||||||||||||||||
SENIOR |
MEZZANINE |
FIRST LOSS |
SENIOR |
MEZZANINE |
FIRST LOSS |
BEFORE CAP |
AFTER CAP |
||||||||||||||||||||||||||||||||||||||||
LONG |
SHORT |
SPECIFIC RISK |
|||||||||||||||||||||||||||||||||||||||||||||
010 |
020 |
030 |
040 |
050 |
060 |
070 |
080 |
090 |
100 |
110 |
120 |
130 |
140 |
150 |
160 |
170 |
180 |
190 |
200 |
210 |
220 |
230 |
240 |
250 |
260 |
270 |
280 |
290 |
300 |
310 |
320 |
330 |
340 |
350 |
360 |
370 |
380 |
390 |
400 |
410 |
420 |
430 |
440 |
450 |
460 |
470 |
480 |
C 16.00 — OPERATIONAL RISK (OPR)
BANKING ACTIVITIES |
RELEVANT INDICATOR |
LOANS AND ADVANCES (IN CASE OF ASA APPLICATION) |
OWN FUNDS REQUIREMENT |
Total operational risk exposure amount |
AMA MEMORANDUM ITEMS TO BE REPORTED IF APPLICABLE |
|||||||||
YEAR-3 |
YEAR-2 |
LAST YEAR |
YEAR-3 |
YEAR-2 |
LAST YEAR |
OF WHICH: DUE TO AN ALLOCATION MECHANISM |
OWN FUNDS REQUIREMENT BEFORE ALLEVIATION DUE TO EXPECTED LOSS, DIVERSIFICATION AND RISK MITIGATION TECHNIQUES |
(-) ALLEVIATION OF OWN FUNDS REQUIREMENT DUE TO THE EXPECTED LOSS CAPTURED IN BUSINESS PRACTICES |
(-) ALLEVIATION OF OWN FUNDS REQUIREMENT DUE TO DIVERSIFICATION |
(-) ALLEVIATION OF OWN FUNDS REQUIREMENT DUE TO RISK MITIGATION TECHNIQUES (INSURANCE AND OTHER RISK TRANSFER MECHANISMS) |
||||
010 |
020 |
030 |
040 |
050 |
060 |
070 |
071 |
080 |
090 |
100 |
110 |
120 |
||
010 |
1. BANKING ACTIVITIES SUBJECT TO BASIC INDICATOR APPROACH (BIA) |
Cell linked to CA2 |
||||||||||||
020 |
2. BANKING ACTIVITIES SUBJECT TO STANDARDISED (TSA) / ALTERNATIVE STANDARDISED (ASA) APPROACHES |
Cell linked to CA2 |
||||||||||||
SUBJECT TO TSA: |
||||||||||||||
030 |
CORPORATE FINANCE (CF) |
|||||||||||||
040 |
TRADING AND SALES (TS) |
|||||||||||||
050 |
RETAIL BROKERAGE (RBr) |
|||||||||||||
060 |
COMMERCIAL BANKING (CB) |
|||||||||||||
070 |
RETAIL BANKING (RB) |
|||||||||||||
080 |
PAYMENT AND SETTLEMENT (PS) |
|||||||||||||
090 |
AGENCY SERVICES (AS) |
|||||||||||||
100 |
ASSET MANAGEMENT (AM) |
|||||||||||||
SUBJECT TO ASA: |
||||||||||||||
110 |
COMMERCIAL BANKING (CB) |
|||||||||||||
120 |
RETAIL BANKING (RB) |
|||||||||||||
130 |
3. BANKING ACTIVITIES SUBJECT TO ADVANCED MEASUREMENT APPROACHES AMA |
Cell linked to CA2 |
||||||||||||
C 17.00 — OPERATIONAL RISK: GROSS LOSSES BY BUSINESS LINES AND EVENT TYPES IN THE LAST YEAR (OPR Details)
MAPPING OF LOSSES TO BUSINESS LINES |
EVENT TYPES |
TOTAL EVENT TYPES |
MEMORANDUM ITEM: THRESHOLD APPLIED IN DATA COLLECTION |
|||||||||
INTERNAL FRAUD |
EXTERNAL FRAUD |
EMPLOYMENT PRACTICES AND WORKPLACE SAFETY |
CLIENTS, PRODUCTS & BUSINESS PRACTICES |
DAMAGE TO PHYSICAL ASSETS |
BUSINESS DISRUPTION AND SYSTEM FAILURES |
EXECUTION, DELIVERY & PROCESS MANAGEMENT |
LOWEST |
HIGHEST |
||||
Rows |
010 |
020 |
030 |
040 |
050 |
060 |
070 |
080 |
090 |
100 |
||
010 |
CORPORATE FINANCE [CF] |
Number of events |
||||||||||
020 |
Total loss amount |
|||||||||||
030 |
Maximum single loss |
|||||||||||
040 |
Sum of the five largest losses |
|||||||||||
110 |
TRADING AND SALES [TS] |
Number of events |
||||||||||
120 |
Total loss amount |
|||||||||||
130 |
Maximum single loss |
|||||||||||
140 |
Sum of the five largest losses |
|||||||||||
210 |
RETAIL BROKERAGE [RBr] |
Number of events |
||||||||||
220 |
Total loss amount |
|||||||||||
230 |
Maximum single loss |
|||||||||||
240 |
Sum of the five largest losses |
|||||||||||
310 |
COMMERCIAL BANKING [CB] |
Number of events |
||||||||||
320 |
Total loss amount |
|||||||||||
330 |
Maximum single loss |
|||||||||||
340 |
Sum of the five largest losses |
|||||||||||
410 |
RETAIL BANKING [RB] |
Number of events |
||||||||||
420 |
Total loss amount |
|||||||||||
430 |
Maximum single loss |
|||||||||||
440 |
Sum of the five largest losses |
|||||||||||
510 |
PAYMENT AND SETTLEMENT [PS] |
Number of events |
||||||||||
520 |
Total loss amount |
|||||||||||
530 |
Maximum single loss |
|||||||||||
540 |
Sum of the five largest losses |
|||||||||||
610 |
AGENCY SERVICES [AS] |
Number of events |
||||||||||
620 |
Total loss amount |
|||||||||||
630 |
Maximum single loss |
|||||||||||
640 |
Sum of the five largest losses |
|||||||||||
710 |
ASSET MANAGEMENT [AM] |
Number of events |
||||||||||
720 |
Total loss amount |
|||||||||||
730 |
Maximum single loss |
|||||||||||
740 |
Sum of the five largest losses |
|||||||||||
810 |
CORPORATE ITEMS [CI] |
Number of events |
||||||||||
820 |
Total loss amount |
|||||||||||
830 |
Maximum single loss |
|||||||||||
840 |
Sum of the five largest losses |
|||||||||||
910 |
TOTAL BUSINESS LINES |
Number of events |
||||||||||
920 |
Total loss amount |
|||||||||||
930 |
Maximum single loss |
|||||||||||
940 |
Sum of the five largest losses |
|||||||||||
C 18.00 — MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS (MKR SA TDI) Currency:
POSITIONS |
OWN FUNDS REQUIREMENTS |
TOTAL RISK EXPOSURE AMOUNT |
||||||
ALL POSITIONS |
NET POSITIONS |
POSITIONS SUBJECT TO CAPITAL CHARGE |
||||||
LONG |
SHORT |
LONG |
SHORT |
|||||
010 |
020 |
030 |
040 |
050 |
060 |
070 |
||
010 |
TRADED DEBT INSTRUMENTS IN TRADING BOOK |
Cell linked to CA2 |
||||||
011 |
General risk |
|||||||
012 |
Derivatives |
|||||||
013 |
Other assets and liabilities |
|||||||
020 |
Maturity-based approach |
|||||||
030 |
Zone 1 |
|||||||
040 |
0 ≤ 1 month |
|||||||
050 |
> 1 ≤ 3 months |
|||||||
060 |
> 3 ≤ 6 months |
|||||||
070 |
> 6 ≤ 12 months |
|||||||
080 |
Zone 2 |
|||||||
090 |
> 1 ≤ 2 (1,9 for cupon of less than 3 %) years |
|||||||
100 |
> 2 ≤ 3 (> 1,9 ≤ 2,8 for cupon of less than 3 %) years |
|||||||
110 |
> 3 ≤ 4 (> 2,8 ≤ 3,6 for cupon of less than 3 %) years |
|||||||
120 |
Zone 3 |
|||||||
130 |
> 4 ≤ 5 (> 3,6 ≤ 4,3 for cupon of less than 3 %) years |
|||||||
140 |
> 5 ≤ 7 (> 4,3 ≤ 5,7 for cupon of less than 3 %) years |
|||||||
150 |
> 7 ≤ 10 (> 5,7 ≤ 7,3 for cupon of less than 3 %) years |
|||||||
160 |
> 10 ≤ 15 (> 7,3 ≤ 9,3 for cupon of less than 3 %) years |
|||||||
170 |
> 15 ≤ 20 (> 9,3 ≤ 10,6 for cupon of less than 3%) years |
|||||||
180 |
> 20 (> 10,6 ≤ 12,0 for cupon of less than 3 %) years |
|||||||
190 |
(> 12,0 ≤ 20,0 for cupon of less than 3 %) years |
|||||||
200 |
(> 20 for cupon of less than 3 %) years |
|||||||
210 |
Duration-based approach |
|||||||
220 |
Zone 1 |
|||||||
230 |
Zone 2 |
|||||||
240 |
Zone 3 |
|||||||
250 |
Specific risk |
|||||||
251 |
Own funds requirement for non-securitisation debt instruments |
|||||||
260 |
Debt securities under the first category in Table 1 |
|||||||
270 |
Debt securities under the second category in Table 1 |
|||||||
280 |
With residual term ≤ 6 months |
|||||||
290 |
With a residual term > 6 months and ≤ 24 months |
|||||||
300 |
With a residual term > 24 months |
|||||||
310 |
Debt securities under the third category in Table 1 |
|||||||
320 |
Debt securities under the fourth category in Table 1 |
|||||||
321 |
Rated nth-to default credit derivatives |
|||||||
325 |
Own funds requirement for securitisation instruments |
|||||||
330 |
Own funds requirement for the correlation trading portfolio |
|||||||
340 |
Particular approach for position risk in CIUs |
|||||||
350 |
Additional requirements for options (non-delta risks) |
|||||||
360 |
Simplified method |
|||||||
370 |
Delta plus approach - additional requirements for gamma risk |
|||||||
380 |
Delta plus approach - additional requirements for vega risk |
|||||||
390 |
Scenario matrix approach |
|||||||
C 19.00 — MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS (MKR SA SEC)
ALL POSITIONS |
(-) POSITIONS DEDUCTED FROM OWN FUNDS |
NET POSITIONS |
BREAKDOWN OF THE NET POSITIONS (LONG) ACCORDING TO SA AND IRB RISK WEIGHTS |
BREAKDOWN OF THE NET POSITIONS (SHORT) ACCORDING TO SA AND IRB RISK WEIGHTS |
OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONS |
BEFORE CAP |
AFTER CAP |
TOTAL OWN FUNDS REQUIREMENTS |
||||||||||||||||||||||||||||||||||||||||||||||||||||||
RISK WEIGHTS < 1250 % |
1250 % |
SUPERVISORY FORMULA METHOD |
LOOK-THROUGH |
INTERNAL ASSESMENT APPROACH |
RISK WEIGHTS < 1250 % |
1250 % |
SUPERVISORY FORMULA METHOD |
LOOK-THROUGH |
INTERNAL ASSESMENT APPROACH |
|||||||||||||||||||||||||||||||||||||||||||||||||||||
LONG |
SHORT |
(-) LONG |
(-) SHORT |
LONG |
SHORT |
7 - 10 % |
12 - 18 % |
20 - 35 % |
40 - 75 % |
100 % |
150 % |
200 % |
225 % |
250 % |
300 % |
350 % |
425 % |
500 % |
650 % |
750 % |
850 % |
RATED |
UNRATED |
AVERAGE RISK WEIGHT (%) |
AVERAGE RISK WEIGHT (%) |
7 - 10 % |
12 - 18 % |
20 - 35 % |
40 - 75 % |
100 % |
150 % |
200 % |
225 % |
250 % |
300 % |
350 % |
425 % |
500 % |
650 % |
750 % |
850 % |
RATED |
UNRATED |
AVERAGE RISK WEIGHT (%) |
AVERAGE RISK WEIGHT (%) |
WEIGHTED NET LONG POSITIONS |
WEIGHTED NET SHORT POSITIONS |
WEIGHTED NET LONG POSITIONS |
WEIGHTED NET SHORT POSITIONS |
SUM OF WEIGHTED NET LONG AND SHORT POSITIONS |
WEIGHTED NET LONG POSITIONS |
WEIGHTED NET SHORT POSITIONS |
SUM OF WEIGHTED NET LONG AND SHORT POSITIONS |
|||||||||
010 |
020 |
030 |
040 |
050 |
060 |
070 |
080 |
090 |
100 |
110 |
120 |
130 |
140 |
150 |
160 |
170 |
180 |
190 |
200 |
210 |
220 |
230 |
240 |
250 |
260 |
270 |
280 |
290 |
300 |
310 |
320 |
330 |
340 |
350 |
360 |
370 |
380 |
390 |
400 |
410 |
420 |
430 |
440 |
450 |
460 |
470 |
480 |
490 |
500 |
510 |
520 |
530 |
540 |
550 |
560 |
570 |
580 |
590 |
600 |
610 |
||
010 |
TOTAL EXPOSURES |
Cell linked to MKR SA TDI {325:060} |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
020 |
Of which: RE-SECURITISATIONS |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
030 |
ORIGINATOR: TOTAL EXPOSURES |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
040 |
SECURITISATIONS |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
050 |
RE-SECURITISATIONS |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
060 |
INVESTOR: TOTAL EXPOSURES |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
070 |
SECURITISATIONS |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
080 |
RE-SECURITISATIONS |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
090 |
SPONSOR: TOTAL EXPOSURES |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
100 |
SECURITISATIONS |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
110 |
RE-SECURITISATIONS |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
BREAKDOWN OF THE TOTAL SUM OF WEIGHTED NET LONG AND NET SHORT POSITIONS BY UNDERLYING TYPES: |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
120 |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
130 |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
140 |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
150 |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
160 |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
170 |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
180 |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
190 |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
200 |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
210 |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
C 20.00 — MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN THE CORRELATION TRADING PORTFOLIO (MKR SA CTP)
ALL POSITIONS |
(-) POSITIONS DEDUCTED FROM OWN FUNDS |
NET POSITIONS |
BREAKDOWN OF THE NET POSITION (LONG) ACCORDING TO SA AND IRB RISK WEIGHTS |
BREAKDOWN OF THE NET POSITION (SHORT) ACCORDING TO SA AND IRB RISK WEIGHTS |
BEFORE CAP |
AFTER CAP |
TOTAL OWN FUNDS REQUIREMENTS |
|||||||||||||||||||||||||||||||||||||||
RISK WEIGHTS < 1250 % |
1250 % |
SUPERVISORY FORMULA METHOD |
LOOK-THROUGH |
INTERNAL ASSESMENT APPROACH |
RISK WEIGHTS < 1250 % |
1250 % |
SUPERVISORY FORMULA METHOD |
LOOK-THROUGH |
INTERNAL ASSESMENT APPROACH |
|||||||||||||||||||||||||||||||||||||
LONG |
SHORT |
(-) LONG |
(-) SHORT |
LONG |
SHORT |
7 - 10 % |
12 - 18 % |
20 - 35 % |
40- 75 % |
100 % |
250 % |
350 % |
425 % |
650 % |
Other |
RATED |
UNRATED |
AVERAGE RISK WEIGHT (%) |
AVERAGE RISK WEIGHT (%) |
7 - 10 % |
12 - 18 % |
20 - 35 % |
40 - 75 % |
100 % |
250 % |
350 % |
425 % |
650 % |
Other |
RATED |
UNRATED |
AVERAGE RISK WEIGHT (%) |
AVERAGE RISK WEIGHT (%) |
WEIGHTED NET LONG POSITIONS |
WEIGHTED NET SHORT POSITIONS |
WEIGHTED NET LONG POSITIONS |
WEIGHTED NET SHORT POSITIONS |
|||||||||
010 |
020 |
030 |
040 |
050 |
060 |
070 |
080 |
090 |
100 |
110 |
120 |
130 |
140 |
150 |
160 |
170 |
180 |
190 |
200 |
210 |
220 |
230 |
240 |
250 |
260 |
270 |
280 |
290 |
300 |
310 |
320 |
330 |
340 |
350 |
360 |
370 |
380 |
390 |
400 |
410 |
420 |
430 |
440 |
450 |
||
010 |
TOTAL EXPOSURES |
Cell linked to MKR SA TDI {330:060} |
||||||||||||||||||||||||||||||||||||||||||||
SECURITISATION POSITIONS: |
||||||||||||||||||||||||||||||||||||||||||||||
020 |
ORIGINATOR: TOTAL EXPOSURES |
|||||||||||||||||||||||||||||||||||||||||||||
030 |
SECURITISATIONS |
|||||||||||||||||||||||||||||||||||||||||||||
040 |
OTHER CTP POSITIONS |
|||||||||||||||||||||||||||||||||||||||||||||
050 |
INVESTOR: TOTAL EXPOSURES |
|||||||||||||||||||||||||||||||||||||||||||||
060 |
SECURITISATIONS |
|||||||||||||||||||||||||||||||||||||||||||||
070 |
OTHER CTP POSITIONS |
|||||||||||||||||||||||||||||||||||||||||||||
080 |
SPONSOR: TOTAL EXPOSURES |
|||||||||||||||||||||||||||||||||||||||||||||
090 |
SECURITISATIONS |
|||||||||||||||||||||||||||||||||||||||||||||
100 |
OTHER CTP POSITIONS |
|||||||||||||||||||||||||||||||||||||||||||||
N-TH-TO-DEFAULT CREDIT DERIVATES: |
||||||||||||||||||||||||||||||||||||||||||||||
110 |
N-TH-TO-DEFAULT CREDIT DERIVATIVES |
|||||||||||||||||||||||||||||||||||||||||||||
120 |
OTHER CTP POSITIONS |
|||||||||||||||||||||||||||||||||||||||||||||
C 21.00 — MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES (MKR SA EQU) National market:
POSITIONS |
OWN FUNDS REQUIREMENTS |
TOTAL RISK EXPOSURE AMOUNT |
||||||
ALL POSITIONS |
NET POSITIONS |
POSITIONS SUBJECT TO CAPITAL CHARGE |
||||||
LONG |
SHORT |
|||||||
LONG |
SHORT |
|||||||
010 |
020 |
030 |
040 |
050 |
060 |
070 |
||
010 |
EQUITIES IN TRADING BOOK |
Cell linked to CA |
||||||
020 |
General risk |
|||||||
021 |
Derivatives |
|||||||
022 |
Other assets and liabilities |
|||||||
030 |
Exchange traded stock-index futures broadly diversified subject to particular approach |
|||||||
040 |
Other equities than exchange traded stock-index futures broadly diversified |
|||||||
050 |
Specific risk |
|||||||
080 |
Particular approach for position risk in CIUs |
|||||||
090 |
Additional requirements for options (non-delta risks) |
|||||||
100 |
Simplified method |
|||||||
110 |
Delta plus approach - additional requirements for gamma risk |
|||||||
120 |
Delta plus approach - additional requirements for vega risk |
|||||||
130 |
Scenario matrix approach |
|||||||
C 22.00 — MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK (MKR SA FX)
ALL POSITIONS |
NET POSITIONS |
POSITIONS SUBJECT TO CAPITAL CHARGE (Including redistribution of unmatched positions in currencies subject to special treatment for matched positions) |
OWN FUNDS REQUIREMENTS |
TOTAL RISK EXPOSURE AMOUNT |
||||||
LONG |
SHORT |
LONG |
SHORT |
LONG |
SHORT |
MATCHED |
||||
020 |
030 |
040 |
050 |
060 |
070 |
080 |
090 |
100 |
||
010 |
TOTAL POSITIONS IN NON-REPORTING CURRENCIES |
Cell linked to CA |
||||||||
020 |
Currencies closely correlated |
|||||||||
030 |
All other currencies (including CIUs treated as different currencies) |
|||||||||
040 |
Gold |
|||||||||
050 |
Additional requirements for options (non-delta risks) |
|||||||||
060 |
Simplified method |
|||||||||
070 |
Delta plus approach - additional requirements for gamma risk |
|||||||||
080 |
Delta plus approach - additional requirements for vega risk |
|||||||||
090 |
Scenario matrix approach |
|||||||||
BREAKDOWN OF TOTAL POSITIONS (REPORTING CURRENCY INCLUDED) BY EXPOSURE TYPES |
||||||||||
100 |
Other assets and liabilities other than off-balance sheet items and derivatives |
|||||||||
110 |
Off-balance sheet items |
|||||||||
120 |
Derivatives |
|||||||||
Memorandum items: CURRENCY POSITIONS |
||||||||||
130 |
Euro |
|||||||||
140 |
Lek |
|||||||||
150 |
Argentine Peso |
|||||||||
160 |
Australian Dollar |
|||||||||
170 |
Brazilian Real |
|||||||||
180 |
Bulgarian Lev |
|||||||||
190 |
Canadian Dollar |
|||||||||
200 |
Czech Koruna |
|||||||||
210 |
Danish Krone |
|||||||||
220 |
Egyptian Pound |
|||||||||
230 |
Pound Sterling |
|||||||||
240 |
Forint |
|||||||||
250 |
Yen |
|||||||||
260 |
Latvian Lats |
|||||||||
270 |
Lithuanian Litas |
|||||||||
280 |
Denar |
|||||||||
290 |
Mexican Peso |
|||||||||
300 |
Zloty |
|||||||||
310 |
Rumanian Leu |
|||||||||
320 |
Russian Ruble |
|||||||||
330 |
Serbian Dinar |
|||||||||
340 |
Swedish Krona |
|||||||||
350 |
Swiss Franc |
|||||||||
360 |
Turkish Lira |
|||||||||
370 |
Hryvnia |
|||||||||
380 |
US Dollar |
|||||||||
390 |
Iceland Krona |
|||||||||
400 |
Norwegian Krone |
|||||||||
410 |
Hong Kong Dollar |
|||||||||
420 |
New Taiwan Dollar |
|||||||||
430 |
New Zealand Dollar |
|||||||||
440 |
Singapore Dollar |
|||||||||
450 |
Won |
|||||||||
460 |
Yuan Renminbi |
|||||||||
470 |
Other |
|||||||||
C 23.00 — MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES (MKR SA COM)
ALL POSITIONS |
NET POSITIONS |
POSITIONS SUBJECT TO CAPITAL CHARGE |
OWN FUNDS REQUIREMENTS |
TOTAL RISK EXPOSURE AMOUNT |
||||
LONG |
SHORT |
|||||||
LONG |
SHORT |
|||||||
010 |
020 |
030 |
040 |
050 |
060 |
070 |
||
010 |
TOTAL POSITIONS IN COMMODITIES |
Cell linked to CA |
||||||
020 |
Precious metals (except gold) |
|||||||
030 |
Base metals |
|||||||
040 |
Agricultural products (softs) |
|||||||
050 |
Others |
|||||||
060 |
Of which energy products (oil, gas) |
|||||||
070 |
Maturity ladder approach |
|||||||
080 |
Extended maturity ladder approach |
|||||||
090 |
Simplified approach: All positions |
|||||||
100 |
Additional requirements for options (non-delta risks) |
|||||||
110 |
Simplified method |
|||||||
120 |
Delta plus approach - additional requirements for gamma risk |
|||||||
130 |
Delta plus approach - additional requirements for vega risk |
|||||||
140 |
Scenario matrix approach |
|||||||
C 24.00 — MARKET RISK INTERNAL MODELS (MKR IM)
VaR |
STRESSED VaR |
INCREMENTAL DEFAULT AND MIGRATION RISK CAPITAL CHARGE |
ALL PRICE RISKS CAPITAL CHARGE FOR CTP |
OWN FUNDS REQUIREMENTS |
TOTAL RISK EXPOSURE AMOUNT |
Number of overshootings during previous 250 working days |
VaR Multiplication Factor (mc) |
SVaR Multiplication Factor (ms) |
ASSUMED CHARGE FOR CTP FLOOR - WEIGHTED NET LONG POSITIONS AFTER CAP |
ASSUMED CHARGE FOR CTP FLOOR - WEIGHTED NET SHORT POSITIONS AFTER CAP |
|||||||
MULTIPLICATION FACTOR (mc) x AVERAGE OF PREVIOUS 60 WORKING DAYS (VaRavg) |
PREVIOUS DAY (VaRt-1) |
MULTIPLICATION FACTOR (ms) x AVERAGE OF PREVIOUS 60 WORKING DAYS (SVaRavg) |
LATEST AVAILABLE (SVaRt-1) |
12 WEEKS AVERAGE MEASURE |
LAST MEASURE |
FLOOR |
12 WEEKS AVERAGE MEASURE |
LAST MEASURE |
|||||||||
030 |
040 |
050 |
060 |
070 |
080 |
090 |
100 |
110 |
120 |
130 |
140 |
150 |
160 |
170 |
180 |
||
010 |
TOTAL POSITIONS |
Cell linked to CA |
|||||||||||||||
Memorandum items: BREAKDOWN OF MARKET RISK |
|||||||||||||||||
020 |
Traded debt instruments |
||||||||||||||||
030 |
TDI - General risk |
||||||||||||||||
040 |
TDI - Specific Risk |
||||||||||||||||
050 |
Equities |
||||||||||||||||
060 |
Equities - General risk |
||||||||||||||||
070 |
Equities - Specific Risk |
||||||||||||||||
080 |
Foreign Exchange risk |
||||||||||||||||
090 |
Commodities risk |
||||||||||||||||
100 |
Total amount for general risk |
||||||||||||||||
110 |
Total amount for specific risk |
||||||||||||||||
C 25.00 — CREDIT VALUE ADJUSTMENT RISK (CVA)
EXPOSURE VALUE |
VaR |
STRESSED VaR |
OWN FUNDS REQUIREMENTS |
TOTAL RISK EXPOSURE AMOUNT |
MEMORANDUM ITEMS |
CVA RISK HEDGE NOTIONALS |
|||||||||
of which: OTC Derivatives |
of which: SFT |
MULTIPLICATION FACTOR (mc) x AVERAGE OF PREVIOUS 60 WORKING DAYS (VaRavg) |
PREVIOUS DAY (VaRt-1) |
MULTIPLICATION FACTOR (ms) x AVERAGE OF PREVIOUS 60 WORKING DAYS (SVaRavg) |
LATEST AVAILABLE (SVaRt-1) |
Number of counterparties |
of which: proxy was used to determine credit spread |
INCURRED CVA |
SINGLE NAME CDS |
INDEX CDS |
|||||
010 |
020 |
030 |
040 |
050 |
060 |
070 |
080 |
090 |
100 |
110 |
120 |
130 |
140 |
||
010 |
CVA risk total |
Link to {CA2;r640;c010} |
|||||||||||||
020 |
According to Advanced method |
Link to {CA2;r650;c010} |
|||||||||||||
030 |
According to Standardised method |
Link to {CA2;r660;c010} |
|||||||||||||
040 |
Based on OEM |
Link to {CA2;r670;c010} |
|||||||||||||