COREP TEMPLATES | |||
---|---|---|---|
Template number | Template code | Name of the template/group of templates | Short name |
Capital adequacy | CA | ||
1 | C 01.00 | OWN FUNDS | CA1 |
2 | C 02.00 | OWN FUNDS REQUIREMENTS | CA2 |
3 | C 03.00 | CAPITAL RATIOS | CA3 |
4 | C 04.00 | MEMORANDUM ITEMS: | CA4 |
Transitional provisions | CA5 | ||
5.1 | C 05.01 | TRANSITIONAL PROVISIONS | CA5.1 |
5.2 | C 05.02 | GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUING STATE AID | CA5.2 |
Group solvency | GS | ||
6.1 | C 06.01 | GROUP SOLVENCY: INFORMATION ON AFFILIATES - TOTAL | GS Total |
6.2 | C 06.02 | GROUP SOLVENCY: INFORMATION ON AFFILIATES | GS |
Credit risk | CR | ||
7 | C 07.00 | CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: STANDARDISED APPROACH TO CAPITAL REQUIREMENTS | CR SA |
CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS | CR IRB | ||
8.1 | C 08.01 | CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS | CR IRB 1 |
8.2 | C 08.02 | CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS (Breakdown by obligor grades or pools) | CR IRB 2 |
GEOGRAPHICAL BREAKDOWN | CR GB | ||
9.1 | C 09.01 | Table 9.1 - Geographical breakdown of exposures by residence of the obligor (SA exposures) | CR GB 1 |
9.2 | C 09.02 | Table 9.2 - Geographical breakdown of exposures by residence of the obligor (IRB exposures) | CR GB 2 |
9.4 | C 09.04 | Table 9.4 - Breakdown of credit exposures relevant for the calculation of the countercyclical buffer by country and institution-specific countercyclical buffer rate | CCB |
CREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS | CR EQU IRB | ||
10.1 | C 10.01 | CREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS | CR EQU IRB 1 |
10.2 | C 10.02 | CREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS. BREAKDOWN OF TOTAL EXPOSURES UNDER THE PD/LGD APRROACH BY OBLIGOR GRADES: | CR EQU IRB 2 |
11 | C 11.00 | SETTLEMENT/DELIVERY RISK | CR SETT |
12 | C 12.00 | CREDIT RISK: SECURITISATIONS - STANDARDISED APPROACH TO OWN FUNDS REQUIREMENTS | CR SEC SA |
13 | C 13.00 | CREDIT RISK: SECURITISATIONS - IRB APPROACH TO OWN FUNDS REQUIREMENTS | CR SEC IRB |
14 | C 14.00 | DETAILED INFORMATION ON SECURITISATIONS | CR SEC Details |
Operational risk | OPR | ||
16 | C 16.00 | OPERATIONAL RISK | OPR |
17 | C 17.00 | OPERATIONAL RISK: GROSS LOSSES BY BUSINESS LINES AND EVENT TYPES IN THE LAST YEAR | OPR Details |
Market risk | MKR | ||
18 | C 18.00 | MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS | MKR SA TDI |
19 | C 19.00 | MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS | MKR SA SEC |
20 | C 20.00 | MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN THE CORRELATION TRADING PORTFOLIO | MKR SA CTP |
21 | C 21.00 | MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES | MKR SA EQU |
22 | C 22.00 | MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK | MKR SA FX |
23 | C 23.00 | MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES | MKR SA COM |
24 | C 24.00 | MARKET RISK INTERNAL MODELS | MKR IM |
25 | C 25.00 | CREDIT VALUE ADJUSTMENT RISK | CVA |
33 | C 33.00 | GENERAL GOVERNMENTS EXPOSURES BY COUNTRY OF THE COUNTERPARTY | GOV |
Rows | ID | Item | Amount |
---|---|---|---|
010 | 1 | OWN FUNDS | |
015 | 1.1 | TIER 1 CAPITAL | |
020 | 1.1.1 | COMMON EQUITY TIER 1 CAPITAL | |
030 | 1.1.1.1 | Capital instruments eligible as CET1 Capital | |
040 | 1.1.1.1.1 | Paid up capital instruments | |
045 | 1.1.1.1.1* | Of which: Capital instruments subscribed by public authorities in emergency situations | |
050 | 1.1.1.1.2* | Memorandum item: Capital instruments not eligible | |
060 | 1.1.1.1.3 | Share premium | |
070 | 1.1.1.1.4 | (-) Own CET1 instruments | |
080 | 1.1.1.1.4.1 | (-) Direct holdings of CET1 instruments | |
090 | 1.1.1.1.4.2 | (-) Indirect holdings of CET1 instruments | |
091 | 1.1.1.1.4.3 | (-) Synthetic holdings of CET1 instruments | |
092 | 1.1.1.1.5 | (-) Actual or contingent obligations to purchase own CET1 instruments | |
130 | 1.1.1.2 | Retained earnings | |
140 | 1.1.1.2.1 | Previous years retained earnings | |
150 | 1.1.1.2.2 | Profit or loss eligible | |
160 | 1.1.1.2.2.1 | Profit or loss attributable to owners of the parent | |
170 | 1.1.1.2.2.2 | (-) Part of interim or year-end profit not eligible | |
180 | 1.1.1.3 | Accumulated other comprehensive income | |
200 | 1.1.1.4 | Other reserves | |
210 | 1.1.1.5 | Funds for general banking risk | |
220 | 1.1.1.6 | Transitional adjustments due to grandfathered CET1 Capital instruments | |
230 | 1.1.1.7 | Minority interest given recognition in CET1 capital | |
240 | 1.1.1.8 | Transitional adjustments due to additional minority interests | |
250 | 1.1.1.9 | Adjustments to CET1 due to prudential filters | |
260 | 1.1.1.9.1 | (-) Increases in equity resulting from securitised assets | |
270 | 1.1.1.9.2 | Cash flow hedge reserve | |
280 | 1.1.1.9.3 | Cumulative gains and losses due to changes in own credit risk on fair valued liabilities | |
285 | 1.1.1.9.4 | Fair value gains and losses arising from the institution's own credit risk related to derivative liabilities | |
290 | 1.1.1.9.5 | (-) Value adjustments due to the requirements for prudent valuation | |
300 | 1.1.1.10 | (-) Goodwill | |
310 | 1.1.1.10.1 | (-) Goodwill accounted for as intangible asset | |
320 | 1.1.1.10.2 | (-) Goodwill included in the valuation of significant investments | |
330 | 1.1.1.10.3 | Deferred tax liabilities associated to goodwill | |
340 | 1.1.1.11 | (-) Other intangible assets | |
350 | 1.1.1.11.1 | (-) Other intangible assets before deduction of deferred tax liabilities | |
360 | 1.1.1.11.2 | Deferred tax liabilities associated to other intangible assets | |
370 | 1.1.1.12 | (-) Deferred tax assets that rely on future profitability and do not arise from temporary differences net of associated tax liabilities | |
380 | 1.1.1.13 | (-) IRB shortfall of credit risk adjustments to expected losses | |
390 | 1.1.1.14 | (-) Defined benefit pension fund assets | |
400 | 1.1.1.14.1 | (-) Defined benefit pension fund assets | |
410 | 1.1.1.14.2 | Deferred tax liabilities associated to defined benefit pension fund assets | |
420 | 1.1.1.14.3 | Defined benefit pension fund assets which the institution has an unrestricted ability to use | |
430 | 1.1.1.15 | (-) Reciprocal cross holdings in CET1 Capital | |
440 | 1.1.1.16 | (-) Excess of deduction from AT1 items over AT1 Capital | |
450 | 1.1.1.17 | (-) Qualifying holdings outside the financial sector which can alternatively be subject to a 1 250 % risk weight | |
460 | 1.1.1.18 | (-) Securitisation positions which can alternatively be subject to a 1 250 % risk weight | |
470 | 1.1.1.19 | (-) Free deliveries which can alternatively be subject to a 1 250 % risk weight | |
471 | 1.1.1.20 | (-) Positions in a basket for which an institution cannot determine the risk weight under the IRB approach, and can alternatively be subject to a 1 250 % risk weight | |
472 | 1.1.1.21 | (-) Equity exposures under an internal models approach which can alternatively be subject to a 1 250 % risk weight | |
480 | 1.1.1.22 | (-) CET1 instruments of financial sector entites where the institution does not have a significant investment | |
490 | 1.1.1.23 | (-) Deductible deferred tax assets that rely on future profitability and arise from temporary differences | |
500 | 1.1.1.24 | (-) CET1 instruments of financial sector entities where the institution has a significant investment | |
510 | 1.1.1.25 | (-) Amount exceeding the 17,65 % threshold | |
520 | 1.1.1.26 | Other transitional adjustments to CET1 Capital | |
524 | 1.1.1.27 | (-) Additional deductions of CET1 Capital due to Article 3 CRR | |
529 | 1.1.1.28 | CET1 capital elements or deductions - other | |
530 | 1.1.2 | ADDITIONAL TIER 1 CAPITAL | |
540 | 1.1.2.1 | Capital instruments eligible as AT1 Capital | |
550 | 1.1.2.1.1 | Paid up capital instruments | |
560 | 1.1.2.1.2* | Memorandum item: Capital instruments not eligible | |
570 | 1.1.2.1.3 | Share premium | |
580 | 1.1.2.1.4 | (-) Own AT1 instruments | |
590 | 1.1.2.1.4.1 | (-) Direct holdings of AT1 instruments | |
620 | 1.1.2.1.4.2 | (-) Indirect holdings of AT1 instruments | |
621 | 1.1.2.1.4.3 | (-) Synthetic holdings of AT1 instruments | |
622 | 1.1.2.1.5 | (-) Actual or contingent obligations to purchase own AT1 instruments | |
660 | 1.1.2.2 | Transitional adjustments due to grandfathered AT1 Capital instruments | |
670 | 1.1.2.3 | Instruments issued by subsidiaries that are given recognition in AT1 Capital | |
680 | 1.1.2.4 | Transitional adjustments due to additional recognition in AT1 Capital of instruments issued by subsidiaries | |
690 | 1.1.2.5 | (-) Reciprocal cross holdings in AT1 Capital | |
700 | 1.1.2.6 | (-) AT1 instruments of financial sector entities where the institution does not have a significant investment | |
710 | 1.1.2.7 | (-) AT1 instruments of financial sector entities where the institution has a significant investment | |
720 | 1.1.2.8 | (-) Excess of deduction from T2 items over T2 Capital | |
730 | 1.1.2.9 | Other transitional adjustments to AT1 Capital | |
740 | 1.1.2.10 | Excess of deduction from AT1 items over AT1 Capital (deducted in CET1) | |
744 | 1.1.2.11 | (-) Additional deductions of AT1 Capital due to Article 3 CRR | |
748 | 1.1.2.12 | AT1 capital elements or deductions - other | |
750 | 1.2 | TIER 2 CAPITAL | |
760 | 1.2.1 | Capital instruments and subordinated loans eligible as T2 Capital | |
770 | 1.2.1.1 | Paid up capital instruments and subordinated loans | |
780 | 1.2.1.2* | Memorandum item: Capital instruments and subordinated loans not eligible | |
790 | 1.2.1.3 | Share premium | |
800 | 1.2.1.4 | (-) Own T2 instruments | |
810 | 1.2.1.4.1 | (-) Direct holdings of T2 instruments | |
840 | 1.2.1.4.2 | (-) Indirect holdings of T2 instruments | |
841 | 1.2.1.4.3 | (-) Synthetic holdings of T2 instruments | |
842 | 1.2.1.5 | (-) Actual or contingent obligations to purchase own T2 instruments | |
880 | 1.2.2 | Transitional adjustments due to grandfathered T2 Capital instruments and subordinated loans | |
890 | 1.2.3 | Instruments issued by subsidiaries that are given recognition in T2 Capital | |
900 | 1.2.4 | Transitional adjustments due to additional recognition in T2 Capital of instruments issued by subsidiaries | |
910 | 1.2.5 | IRB Excess of provisions over expected losses eligible | |
920 | 1.2.6 | SA General credit risk adjustments | |
930 | 1.2.7 | (-) Reciprocal cross holdings in T2 Capital | |
940 | 1.2.8 | (-) T2 instruments of financial sector entities where the institution does not have a significant investment | |
950 | 1.2.9 | (-) T2 instruments of financial sector entities where the institution has a significant investment | |
960 | 1.2.10 | Other transitional adjustments to T2 Capital | |
970 | 1.2.11 | Excess of deduction from T2 items over T2 Capital (deducted in AT1) | |
974 | 1.2.12 | (-) Additional deductions of T2 Capital due to Article 3 CRR | |
978 | 1.2.13 | T2 capital elements or deductions - other |
Rows | Item | Label | Amount |
---|---|---|---|
010 | 1 | TOTAL RISK EXPOSURE AMOUNT | |
020 | 1* | Of which: Investment firms under Article 95 paragraph 2 and Article 98 of CRR | |
030 | 1** | Of which: Investment firms under Article 96 paragraph 2 and Article 97 of CRR | |
040 | 1.1 | RISK WEIGHTED EXPOSURE AMOUNTS FOR CREDIT, COUNTERPARTY CREDIT AND DILUTION RISKS AND FREE DELIVERIES | |
050 | 1.1.1 | Standardised approach (SA) | |
060 | 1.1.1.1 | SA exposure classes excluding securitisation positions | |
070 | 1.1.1.1.01 | Central governments or central banks | |
080 | 1.1.1.1.02 | Regional governments or local authorities | |
090 | 1.1.1.1.03 | Public sector entities | |
100 | 1.1.1.1.04 | Multilateral Development Banks | |
110 | 1.1.1.1.05 | International Organisations | |
120 | 1.1.1.1.06 | Institutions | |
130 | 1.1.1.1.07 | Corporates | |
140 | 1.1.1.1.08 | Retail | |
150 | 1.1.1.1.09 | Secured by mortgages on immovable property | |
160 | 1.1.1.1.10 | Exposures in default | |
170 | 1.1.1.1.11 | Items associated with particular high risk | |
180 | 1.1.1.1.12 | Covered bonds | |
190 | 1.1.1.1.13 | Claims on institutions and corporates with a short-term credit assessment | |
200 | 1.1.1.1.14 | Collective investments undertakings (CIU) | |
210 | 1.1.1.1.15 | Equity | |
211 | 1.1.1.1.16 | Other items | |
220 | 1.1.1.2 | Securitisation positions SA | |
230 | 1.1.1.2* | of which: resecuritisation | |
240 | 1.1.2 | Internal ratings based Approach (IRB) | |
250 | 1.1.2.1 | IRB approaches when neither own estimates of LGD nor Conversion Factors are used | |
260 | 1.1.2.1.01 | Central governments and central banks | |
270 | 1.1.2.1.02 | Institutions | |
280 | 1.1.2.1.03 | Corporates - SME | |
290 | 1.1.2.1.04 | Corporates - Specialised Lending | |
300 | 1.1.2.1.05 | Corporates - Other | |
310 | 1.1.2.2 | IRB approaches when own estimates of LGD and/or Conversion Factors are used | |
320 | 1.1.2.2.01 | Central governments and central banks | |
330 | 1.1.2.2.02 | Institutions | |
340 | 1.1.2.2.03 | Corporates - SME | |
350 | 1.1.2.2.04 | Corporates - Specialised Lending | |
360 | 1.1.2.2.05 | Corporates - Other | |
370 | 1.1.2.2.06 | Retail - Secured by real estate SME | |
380 | 1.1.2.2.07 | Retail - Secured by real estate non-SME | |
390 | 1.1.2.2.08 | Retail - Qualifying revolving | |
400 | 1.1.2.2.09 | Retail - Other SME | |
410 | 1.1.2.2.10 | Retail - Other non-SME | |
420 | 1.1.2.3 | Equity IRB | |
430 | 1.1.2.4 | Securitisation positions IRB | |
440 | 1.1.2.4* | Of which: resecuritisation | |
450 | 1.1.2.5 | Other non credit-obligation assets | |
460 | 1.1.3 | Risk exposure amount for contributions to the default fund of a CCP | |
490 | 1.2 | TOTAL RISK EXPOSURE AMOUNT FOR SETTLEMENT/DELIVERY | |
500 | 1.2.1 | Settlement/delivery risk in the non-Trading book | |
510 | 1.2.2 | Settlement/delivery risk in the Trading book | |
520 | 1.3 | TOTAL RISK EXPOSURE AMOUNT FOR POSITION, FOREIGN EXCHANGE AND COMMODITIES RISKS | |
530 | 1.3.1 | Risk exposure amount for position, foreign exchange and commodities risks under standardised approaches (SA) | |
540 | 1.3.1.1 | Traded debt instruments | |
550 | 1.3.1.2 | Equity | |
555 | 1.3.1.3 | Particular approach for position risk in CIUs | |
556 | 1.3.1.3* | Memo item: CIUs exclusively invested in traded debt instruments | |
557 | 1.3.1.3** | Memo item: CIUs invested exclusively in equity instruments or in mixed instruments | |
560 | 1.3.1.4 | Foreign Exchange | |
570 | 1.3.1.5 | Commodities | |
580 | 1.3.2 | Risk exposure amount for Position, foreign exchange and commodities risks under internal models (IM) | |
590 | 1.4 | TOTAL RISK EXPOSURE AMOUNT FOR OPERATIONAL RISK (OpR ) | |
600 | 1.4.1 | OpR Basic indicator approach (BIA) | |
610 | 1.4.2 | OpR Standardised (STA)/Alternative Standardised (ASA) approaches | |
620 | 1.4.3 | OpR Advanced measurement approaches (AMA) | |
630 | 1.5 | ADDITIONAL RISK EXPOSURE AMOUNT DUE TO FIXED OVERHEADS | |
640 | 1.6 | TOTAL RISK EXPOSURE AMOUNT FOR CREDIT VALUATION ADJUSTMENT | |
650 | 1.6.1 | Advanced method | |
660 | 1.6.2 | Standardised method | |
670 | 1.6.3 | Based on OEM | |
680 | 1.7 | TOTAL RISK EXPOSURE AMOUNT RELATED TO LARGE EXPOSURES IN THE TRADING BOOK | |
690 | 1.8 | OTHER RISK EXPOSURE AMOUNTS | |
710 | 1.8.2 | Of which: Additional stricter prudential requirements based on Art 458 | |
720 | 1.8.2* | Of which: requirements for large exposures | |
730 | 1.8.2** | Of which: due to modified risk weights for targeting asset bubbles in the residential and commercial property | |
740 | 1.8.2*** | Of which: due to intra financial sector exposures | |
750 | 1.8.3 | Of which: Additional stricter prudential requirements based on Art 459 | |
760 | 1.8.4 | Of which: Additional risk exposure amount due to Article 3 CRR |
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 |
Row | ID | Item | Column |
---|---|---|---|
Deferred tax assest and liabilities | 010 | ||
010 | 1 | Total deferred tax assets | |
020 | 1.1 | Deferred tax assets that do not rely on future profitability | |
030 | 1.2 | Deferred tax assets that rely on future profitability and do not arise from temporary differences | |
040 | 1.3 | Deferred tax assets that rely on future profitability and arise from temporary differences | |
050 | 2 | Total deferred tax liabilities | |
060 | 2.1 | Deferred tax liabilities non deductible from deferred tax assets that rely on future profitability | |
070 | 2.2 | Deferred tax liabilities deductible from deferred tax assets that rely on future profitability | |
080 | 2.2.1 | Deductible deferred tax liabilities associated with deferred tax assets that rely on future profitability and do not arise from temporary differences | |
090 | 2.2.2 | Deductible deferred tax liabilities associated with deferred tax assets that rely on future profitability and arise from temporary differences | |
093 | 2A | Tax overpayments and tax loss carry backs | |
096 | 2B | Deferred Tax Assets subject to a risk weight of 250 % | |
097 | 2C | Deferred Tax Assets subject to a risk weight of 0 % | |
Credit risk adjustments and expected losses | |||
100 | 3 | IRB excess (+) or shortfall (-) of credit risk adjustments, additional value adjustments and other own funds reductions to expected losses for non defaulted exposures | |
110 | 3.1 | Total credit risk adjustments, additional value adjustments and other own funds reductions eligible for inclusion in the calculation of the expected loss amount | |
120 | 3.1.1 | General credit risk adjustments | |
130 | 3.1.2 | Specific credit risk adjustments | |
131 | 3.1.3 | Additional value adjustments and other own funds reductions | |
140 | 3.2 | Total expected losses eligible | |
145 | 4 | IRB excess (+) or shortfall (-) of specific credit risk adjustments to expected losses for defaulted exposures | |
150 | 4.1 | Specific credit risk adjustments and positions treated similarily | |
155 | 4.2 | Total expected losses eligible | |
160 | 5 | Risk weighted exposure amounts for calculating the cap to the excess of provision eligible as T2 | |
170 | 6 | Total gross provisions eligible for inclusion in T2 capital | |
180 | 7 | Risk weighted exposure amounts for calculating the cap to the provision eligible as T2 | |
Thresholds for Common Equity Tier 1 deductions | |||
190 | 8 | Threshold non deductible of holdings in financial sector entities where an institution does not have a significant investment | |
200 | 9 | 10 % CET1 threshold | |
210 | 10 | 17,65 % CET1 threshold | |
225 | 11.1 | Eligible capital for the purposes of qualifying holdings outside the financial sector | |
226 | 11.2 | Eligible capital for the purposes of large exposures | |
Investments in the capital of financial sector entities where the institution does not have a significant investment | |||
230 | 12 | Holdings of CET1 capital of financial sector entities where the institution does not have a significant investment, net of short positions | |
240 | 12.1 | Direct holdings of CET1 capital of financial sector entities where the institution does not have a significant investment | |
250 | 12.1.1 | Gross direct holdings of CET1 capital of financial sector entities where the institution does not have a significant investment | |
260 | 12.1.2 | (-) Permitted offsetting short positions in relation to the direct gross holdings included above | |
270 | 12.2 | Indirect holdings of CET1 capital of financial sector entities where the institution does not have a significant investment | |
280 | 12.2.1 | Gross indirect holdings of CET1 capital of financial sector entities where the institution does not have a significant investment | |
290 | 12.2.2 | (-) Permitted offsetting short positions in relation to the indirect gross holdings included above | |
291 | 12.3 | Synthetic holdings of CET1 capital of financial sector entities where the institution does not have a significant investment | |
292 | 12.3.1 | Gross synthetic holdings of CET1 capital of financial sector entities where the institution does not have a significant investment | |
293 | 12.3.2 | (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above | |
300 | 13 | Holdings of AT1 capital of financial sector entities where the institution does not have a significant investment, net of short positions | |
310 | 13.1 | Direct holdings of AT1 capital of financial sector entities where the institution does not have a significant investment | |
320 | 13.1.1 | Gross direct holdings of AT1 capital of financial sector entities where the institution does not have a significant investment | |
330 | 13.1.2 | (-) Permitted offsetting short positions in relation to the direct gross holdings included above | |
340 | 13.2 | Indirect holdings of AT1 capital of financial sector entities where the institution does not have a significant investment | |
350 | 13.2.1 | Gross indirect holdings of AT1 capital of financial sector entities where the institution does not have a significant investment | |
360 | 13.2.2 | (-) Permitted offsetting short positions in relation to the indirect gross holdings included above | |
361 | 13.3 | Synthetic holdings of AT1 capital of financial sector entities where the institution does not have a significant investment | |
362 | 13.3.1 | Gross synthetic holdings of AT1 capital of financial sector entities where the institution does not have a significant investment | |
363 | 13.3.2 | (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above | |
370 | 14 | Holdings of T2 capital of financial sector entities where the institution does not have a significant investment, net of short positions | |
380 | 14.1 | Direct holdings of T2 capital of financial sector entities where the institution does not have a significant investment | |
390 | 14.1.1 | Gross direct holdings of T2 capital of financial sector entities where the institution does not have a significant investment | |
400 | 14.1.2 | (-) Permitted offsetting short positions in relation to the direct gross holdings included above | |
410 | 14.2 | Indirect holdings of T2 capital of financial sector entities where the institution does not have a significant investment | |
420 | 14.2.1 | Gross indirect holdings of T2 capital of financial sector entities where the institution does not have a significant investment | |
430 | 14.2.2 | (-) Permitted offsetting short positions in relation to the indirect gross holdings included above | |
431 | 14.3 | Synthetic holdings of T2 capital of financial sector entities where the institution does not have a significant investment | |
432 | 14.3.1 | Gross synthetic holdings of T2 capital of financial sector entities where the institution does not have a significant investment | |
433 | 14.3.2 | (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above | |
Investments in the capital of financial sector entities where the institution has a significant investment | |||
440 | 15 | Holdings of CET1 capital of financial sector entities where the institution has a significant investment, net of short positions | |
450 | 15.1 | Direct holdings of CET1 capital of financial sector entities where the institution has a significant investment | |
460 | 15.1.1 | Gross direct holdings of CET1 capital of financial sector entities where the institution has a significant investment | |
470 | 15.1.2 | (-) Permitted offsetting short positions in relation to the direct gross holdings included above | |
480 | 15.2 | Indirect holdings of CET1 capital of financial sector entities where the institution has a significant investment | |
490 | 15.2.1 | Gross indirect holdings of CET1 capital of financial sector entities where the institution has a significant investment | |
500 | 15.2.2 | (-) Permitted offsetting short positions in relation to the indirect gross holdings included above | |
501 | 15.3 | Synthetic holdings of CET1 capital of financial sector entities where the institution has a significant investment | |
502 | 15.3.1 | Gross synthetic holdings of CET1 capital of financial sector entities where the institution has a significant investment | |
503 | 15.3.2 | (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above | |
510 | 16 | Holdings of AT1 capital of financial sector entities where the institution has a significant investment, net of short positions | |
520 | 16.1 | Direct holdings of AT1 capital of financial sector entities where the institution has a significant investment | |
530 | 16.1.1 | Gross direct holdings of AT1 capital of financial sector entities where the institution has a significant investment | |
540 | 16.1.2 | (-) Permitted offsetting short positions in relation to the direct gross holdings included above | |
550 | 16.2 | Indirect holdings of AT1 capital of financial sector entities where the institution has a significant investment | |
560 | 16.2.1 | Gross indirect holdings of AT1 capital of financial sector entities where the institution has a significant investment | |
570 | 16.2.2 | (-) Permitted offsetting short positions in relation to the indirect gross holdings included above | |
571 | 16.3 | Synthetic holdings of AT1 capital of financial sector entities where the institution has a significant investment | |
572 | 16.3.1 | Gross synthetic holdings of AT1 capital of financial sector entities where the institution has a significant investment | |
573 | 16.3.2 | (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above | |
580 | 17 | Holdings of T2 capital of financial sector entities where the institution has a significant investment, net of short positions | |
590 | 17.1 | Direct holdings of T2 capital of financial sector entities where the institution has a significant investment | |
600 | 17.1.1 | Gross direct holdings of T2 capital of financial sector entities where the institution has a significant investment | |
610 | 17.1.2 | (-) Permitted offsetting short positions in relation to the direct gross holdings included above | |
620 | 17.2 | Indirect holdings of T2 capital of financial sector entities where the institution has a significant investment | |
630 | 17.2.1 | Gross indirect holdings of T2 capital of financial sector entities where the institution has a significant investment | |
640 | 17.2.2 | (-) Permitted offsetting short positions in relation to the indirect gross holdings included above | |
641 | 17.3 | Synthetic holdings of T2 capital of financial sector entities where the institution has a significant investment | |
642 | 17.3.1 | Gross synthetic holdings of T2 capital of financial sector entities where the institution has a significant investment | |
643 | 17.3.2 | (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above | |
Total risk exposure amounts of holdings not deducted from the corresponding capital category: | |||
650 | 18 | Risk weighted exposures of CET1 holdings in financial sector entities which are not deducted from the institution's CET1 capital | |
660 | 19 | Risk weighted exposures of AT1 holdings in financial sector entities which are not deducted from the institution's AT1 capital | |
670 | 20 | Risk weighted exposures of T2 holdings in financial sector entities which are not deducted from the institution's T2 capital | |
Temporary waiver from deduction from own funds | |||
680 | 21 | Holdings on CET1 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived | |
690 | 22 | Holdings on CET1 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived | |
700 | 23 | Holdings on AT1 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived | |
710 | 24 | Holdings on AT1 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived | |
720 | 25 | Holdings on T2 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived | |
730 | 26 | Holdings on T2 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived | |
Capital buffers | |||
740 | 27 | Combined buffer requirement | |
750 | Capital conservation buffer | ||
760 | Conservation buffer due to macro-prudential or systemic risk identified at the level of a Member State | ||
770 | Institution specific countercyclical capital buffer | ||
780 | Systemic risk buffer | ||
800 | Global Systemically Important Institution buffer | ||
810 | Other Systemically Important Institution buffer | ||
Pillar II requirements | |||
820 | 28 | Own funds requirements related to Pillar II adjustments | |
Additional information for investment firms | |||
830 | 29 | Initial capital | |
840 | 30 | Own funds based on Fixed Overheads | |
Additional information for calculation of reporting thresholds | |||
850 | 31 | Non-domestic original exposures | |
860 | 32 | Total original exposures | |
Basel I floor | |||
870 | Adjustments to total own funds | ||
880 | Own funds fully adjusted for Basel I floor | ||
890 | Own funds requirements for Basel I floor | ||
900 | Own funds requirements for Basel I floor - SA alternative | ||
910 | Deficit of total capital as regards the minimum own funds requirements of the Basel I floor |
Adjustments to CET1 | Adjustments to AT1 | Adjustments to T2 | Adjustments included in RWAs | Memorandum items | ||||
---|---|---|---|---|---|---|---|---|
Applicable percentage | Eligible amount without transitional provisions | |||||||
Code | ID | Item | 010 | 020 | 030 | 040 | 050 | 060 |
010 | 1 | TOTAL ADJUSTMENTS | ||||||
020 | 1.1 | GRANDFATHERED INSTRUMENTS | link to {CA1;r220} | link to {CA1;r660} | link to {CA1;r880} | |||
030 | 1.1.1 | Grandfathered instruments: Instruments constituting state aid | ||||||
040 | 1.1.1.1 | Instruments that qualified as own funds according to 2006/48/EC | ||||||
050 | 1.1.1.2 | Instruments issued by institutions that are incorporated in a Member State that is subject to an Economic Adjustment Programme | ||||||
060 | 1.1.2 | Instruments not constituting state aid | link to {CA5.2;r010;c060} | link to {CA5.2;r020;c060} | link to {CA5.2;r090;c060} | |||
070 | 1.2 | MINORITY INTERESTS AND EQUIVALENTS | link to {CA1;r240} | link to {CA1;r680} | link to {CA1;r900} | |||
080 | 1.2.1 | Capital instruments and items that do not qualify as minority interests | ||||||
090 | 1.2.2 | Transitional recognition in consolidated own funds of minority interests | ||||||
091 | 1.2.3 | Transitional recognition in consolidated own funds of qualifying Additional Tier 1 capital | ||||||
092 | 1.2.4 | Transitional recognition in consolidated own funds of qualifying Tier 2 capital | ||||||
100 | 1.3 | OTHER TRANSITIONAL ADJUSTMENTS | link to {CA1;r520} | link to {CA1;r730} | link to {CA1;r960} | |||
110 | 1.3.1 | Unrealised gains and losses | ||||||
120 | 1.3.1.1 | Unrealised gains | ||||||
130 | 1.3.1.2 | Unrealised losses | ||||||
133 | 1.3.1.3. | Unrealised gains on exposures to central governments classified in the “Available for sale” category of EU-endorsed IAS39 | ||||||
136 | 1.3.1.4. | Unrealised loss on exposures to central governments classified in the “Available for sale” category of EU-endorsed IAS39 | ||||||
138 | 1.3.1.5. | Fair value gains and losses arising from the institution's own credit risk related to derivative liabilities | ||||||
140 | 1.3.2 | Deductions | ||||||
150 | 1.3.2.1 | Losses for the current financial year | ||||||
160 | 1.3.2.2 | Intangible assets | ||||||
170 | 1.3.2.3 | Deferred tax assets that rely on future profitability and do not arise from temporary differences | ||||||
180 | 1.3.2.4 | IRB shortfall of provisions to expected losses | ||||||
190 | 1.3.2.5 | Defined benefit pension fund assets | ||||||
194 | 1.3.2.5* | of which: Introduction of amendments to IAS 19 - positive item | ||||||
198 | 1.3.2.5** | of which: Introduction of amendments to IAS 19 - negative item | ||||||
200 | 1.3.2.6 | Own instruments | ||||||
210 | 1.3.2.6.1 | Own CET1 instruments | ||||||
211 | 1.3.2.6.1** | of which: Direct holdings | ||||||
212 | 1.3.2.6.1* | of which: Indirect holdings | ||||||
220 | 1.3.2.6.2 | Own AT1 instruments | ||||||
221 | 1.3.2.6.2** | of which: Direct holdings | ||||||
222 | 1.3.2.6.2* | of which: Indirect holdings | ||||||
230 | 1.3.2.6.3 | Own T2 instruments | ||||||
231 | 1.3.2.6.3* | of which: Direct holdings | ||||||
232 | 1.3.2.6.3** | of which: Indirect holdings | ||||||
240 | 1.3.2.7 | Reciprocal cross holdings | ||||||
250 | 1.3.2.7.1 | Reciprocal cross holdings in CET1 Capital | ||||||
260 | 1.3.2.7.1.1 | Reciprocal cross holdings in CET1 Capital of financial sector entities where the institution does not have a significant investment | ||||||
270 | 1.3.2.7.1.2 | Reciprocal cross holdings in CET1 Capital of financial sector entities where the institution has a significant investment | ||||||
280 | 1.3.2.7.2 | Reciprocal cross holdings in AT1 Capital | ||||||
290 | 1.3.2.7.2.1 | Reciprocal cross holdings in AT1 Capital of financial sector entities where the institution does not have a significant investment | ||||||
300 | 1.3.2.7.2.2 | Reciprocal cross holdings in AT1 Capital of financial sector entities where the institution has a significant investment | ||||||
310 | 1.3.2.7.3 | Reciprocal cross holdings in T2 Capital | ||||||
320 | 1.3.2.7.3.1 | Reciprocal cross holdings in T2 Capital of financial sector entities where the institution does not have a significant investment | ||||||
330 | 1.3.2.7.3.2 | Reciprocal cross holdings in T2 Capital of financial sector entities where the institution has a significant investment | ||||||
340 | 1.3.2.8 | Own funds instruments of financial sector entities where the institution does not have a significant investment | ||||||
350 | 1.3.2.8.1 | CET1 instruments of financial sector entities where the institution does not have a significant investment | ||||||
360 | 1.3.2.8.2 | AT1 instruments of financial sector entities where the institution does not have a significant investment | ||||||
370 | 1.3.2.8.3 | T2 instruments of financial sector entities where the institution does not have a significant investment | ||||||
380 | 1.3.2.9 | Deferred tax assets that are dependent on future profitability and arise from temporary differences and CET1 instruments of financial sector entities where the institution has a significant investment | ||||||
385 | 1.3.2.9a | Deferred tax assets that are dependent on future profitability and arise from temporary differences | ||||||
390 | 1.3.2.10 | Own funds instruments of financial sector entities where the institution has a significant investment | ||||||
400 | 1.3.2.10.1 | CET1 instruments of financial sector entities where the institution has a significant investment | ||||||
410 | 1.3.2.10.2 | AT1 instruments of financial sector entities where the institution has a significant investment | ||||||
420 | 1.3.2.10.3 | T2 instruments of financial sector entities where the institution has a significant investment | ||||||
425 | 1.3.2.11 | Exemption from deduction of Equity Holdings in Insurance Companies from CET 1 Items | ||||||
430 | 1.3.3 | Additional filters and deductions | ||||||
440 | 1.3.4 | Adjustments due to IFRS 9 transitional arrangements |
CA 5.2 Grandfathered instruments: Instruments not constituting State aid | Amount of instruments plus related share premium | Base for calculating the limit | Applicable percentage | Limit | (-) Amount that exceeds the limits for grandfathering | Total grandfathered amount | ||
---|---|---|---|---|---|---|---|---|
Code | ID | Item | 010 | 020 | 030 | 040 | 050 | 060 |
010 | 1. | Instruments that qualified for point a) of Article 57 of 2006/48/EC | link to {CA5.1;r060;c010) | |||||
020 | 2. | Instruments that qualified for point ca) of Article 57 and Article 154(8) and (9) of 2006/48/EC, subject to the limit of Article 489 | link to {CA5.1;r060;c020) | |||||
030 | 2.1 | Total instruments without a call or an incentive to redeem | ||||||
040 | 2.2. | Grandfathered instruments with a call and incentive to redeem | ||||||
050 | 2.2.1 | Instruments with a call exercisable after the reporting date, and which meet the conditions in Article 52 of CRR after the date of effective maturity | ||||||
060 | 2.2.2 | Instruments with a call exercisable after the reporting date, and which do not meet the conditions in Article 52 of CRR after the date of effective maturity | ||||||
070 | 2.2.3 | Instruments with a call exercisable prior to or on 20 July 2011, and which do not meet the conditions in Article 52 of CRR after the date of effective maturity | ||||||
080 | 2.3 | Excess on the limit of CET1 grandfathered instruments | ||||||
090 | 3 | Items that qualified for points e), f), g) or h) of Article 57 of 2006/48/EC, subject to the limit of Article 490 | link to {CA5.1;r060;c030) | |||||
100 | 3.1 | Total items without an incentive to redeem | ||||||
110 | 3.2 | Grandfathered items with an incentive to redeem | ||||||
120 | 3.2.1 | Items with a call exercisable after the reporting date, and which meet the conditions in Article 63 of CRR after the date of effective maturity | ||||||
130 | 3.2.2 | Items with a call exercisable after the reporting date, and which do not meet the conditions in Article 63 of CRR after the date of effective maturity | ||||||
140 | 3.2.3 | Items with a call exercisable prior to or on 20 July 2011, and which do not meet the conditions in Article 63 of CRR after the date of effective maturity | ||||||
150 | 3.3 | Excess on the limit of AT1 grandfathered instruments |
INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP | CAPITAL BUFFERS | |||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
TOTAL RISK EXPOSURE AMOUNT | QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS | CONSOLIDATED OWN FUNDS | COMBINED BUFFER REQUIREMENTS | |||||||||||||||||||||
CREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/DELIVERY RISK | POSITION, FX AND COMMODITIES RISKS | OPERATIONAL RISK | OTHER RISK EXPOSURE AMOUNTS | QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 1 CAPITAL | QUALIFYING OWN FUNDS INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 2 CAPITAL | MEMORANDUM ITEM: GOODWILL (–)/(+) NEGATIVE GOODWILL | OF WHICH: COMMON EQUITY TIER 1 | OF WHICH: ADDITIONAL TIER 1 | OF WHICH: CONRIBUTIONS TO CONSOLIDATED RESULT | OF WHICH: (–) GOODWILL/(+) NEGATIVE GOODWILL | CAPITAL CONSERVATION BUFFER | INSTITUTION SPECIFIC COUNTERCYCLICAL CAPITAL BUFFER | CONSERVATION BUFFER DUE TO MACRO-PRUDENTIAL OR SYSTEMIC RISK IDENTIFIED AT THE LEVEL OF A MEMBER STATE | SYSTEMIC RISK BUFFER | GLOBAL SYSTEMICALLY IMPORTANT INSTITUTION BUFFER | OTHER SYSTEMICALLY IMPORTANT INSTITUTION BUFFER | ||||||||
MINORITY INTERESTS INCLUDED IN CONSOLIDATED COMMON EQUITY TIER 1 CAPITAL | QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED ADDITIONAL TIER 1 CAPITAL | |||||||||||||||||||||||
250 | 260 | 270 | 280 | 290 | 300 | 310 | 320 | 330 | 340 | 350 | 360 | 370 | 380 | 390 | 400 | 410 | 420 | 430 | 440 | 450 | 470 | 480 | ||
010 | TOTAL |
ENTITIES WITHIN SCOPE OF CONSOLIDATION | INFORMATION ON ENTITIES SUBJECT TO OWN FUNDS REQUIREMENTS | INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP | CAPITAL BUFFERS | ||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
NAME | CODE | LEI code | INSTITUTION OR EQUIVALENT (YES/NO) | SCOPE OF DATA: SOLO FULLY CONSOLIDATED (SF) OR SOLO PARTIALLY CONSOLIDATED (SP) | COUNTRY CODE | SHARE OF HOLDING (%) | TOTAL RISK EXPOSURE AMOUNT | OWN FUNDS | TOTAL RISK EXPOSURE AMOUNT | QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS | CONSOLIDATED OWN FUNDS | COMBINED BUFFER REQUIREMENTS | |||||||||||||||||||||||||||||||||||
CREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/DELIVERY RISK | POSITION, FX AND COMMODITIES RISKS | OPERATIONAL RISK | OTHER RISK EXPOSURE AMOUNTS | TOTAL TIER 1 CAPITAL | TIER 2 CAPITAL | CREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/DELIVERY RISK | POSITION, FX AND COMMODITIES RISKS | OPERATIONAL RISK | OTHER RISK EXPOSURE AMOUNTS | QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 1 CAPITAL | QUALIFYING OWN FUNDS INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 2 CAPITAL | MEMORANDUM ITEM: GOODWILL (–)/(+) NEGATIVE GOODWILL | OF WHICH: COMMON EQUITY TIER 1 | OF WHICH: ADDITIONAL TIER 1 | OF WHICH: CONRIBUTIONS TO CONSOLIDATED RESULT | OF WHICH: (–) GOODWILL/(+) NEGATIVE GOODWILL | CAPITAL CONSERVATION BUFFER | INSTITUTION SPECIFIC COUNTERCYCLICAL CAPITAL BUFFER | CONSERVATION BUFFER DUE TO MACRO-PRUDENTIAL OR SYSTEMIC RISK IDENTIFIED AT THE LEVEL OF A MEMBER STATE | SYSTEMIC RISK BUFFER | GLOBAL SYSTEMICALLY IMPORTANT INSTITUTION BUFFER | OTHER SYSTEMICALLY IMPORTANT INSTITUTION BUFFER | |||||||||||||||||||||||||
COMMON EQUITY TIER 1 CAPITAL | ADDITIONAL TIER 1 CAPITAL | MINORITY INTERESTS INCLUDED IN CONSOLIDATED COMMON EQUITY TIER 1 CAPITAL | QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED ADDITIONAL TIER 1 CAPITAL | ||||||||||||||||||||||||||||||||||||||||||||
OF WHICH: QUALIFYING OWN FUNDS | RELATED OWN FUNDS INSTRUMENTS, RELATED RETAINED EARNINGS AND SHARE PREMIUM ACCOUNTS | OF WHICH: QUALIFYING TIER 1 CAPITAL | RELATED T1 INSTRUMENTS, RELATED RETAINED EARNINGS AND SHARE PREMIUM ACCOUNTS | OF WHICH: MINORITY INTERESTS | RELATED OWN FUNDS INSTRUMENTS, RELATED RETAINED EARNINGS, SHARE PREMIUM ACCOUNTS AND OTHER RESERVES | OF WHICH: QUALIFYING ADDITIONAL TIER 1 CAPITAL | OF WHICH: QUALIFYING TIER 2 CAPITAL | ||||||||||||||||||||||||||||||||||||||||
010 | 020 | 025 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | 110 | 120 | 130 | 140 | 150 | 160 | 170 | 180 | 190 | 200 | 210 | 220 | 230 | 240 | 250 | 260 | 270 | 280 | 290 | 300 | 310 | 320 | 330 | 340 | 350 | 360 | 370 | 380 | 390 | 400 | 410 | 420 | 430 | 440 | 450 | 470 | 480 |
SA Exposure class | |||||||||||||||||||||||||
ORIGINAL EXPOSURE PRE CONVERSION FACTORS | (-) VALUE ADJUSTMENTS AND PROVISIONS ASSOCIATED WITH THE ORIGINAL EXPOSURE | EXPOSURE NET OF VALUE ADJUSTMENTS AND PROVISIONS | CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE | NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS | CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE EXPOSURE AMOUNT: FUNDED CREDIT PROTECTION. FINANCIAL COLLATERAL COMPREHENSIVE METHOD | FULLY ADJUSTED EXPOSURE VALUE (E*) | BREAKDOWN OF THE FULLY ADJUSTED EXPOSURE VALUE OF OFF-BALANCE SHEET ITEMS BY CONVERSION FACTORS | EXPOSURE VALUE | RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR | RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (Ga) | FUNDED CREDIT PROTECTION | SUBSTITUTION OF THE EXPOSURE DUE TO CRM | VOLATILITY ADJUSTMENT TO THE EXPOSURE | (-) FINANCIAL COLLATERAL: ADJUSTED VALUE (Cvam) | 0 % | 20 % | 50 % | 100 % | OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK | OF WHICH: WITH A CREDIT ASSESSMENT BY A NOMINATED ECAI | OF WHICH: WITH A CREDIT ASSESSMENT DERIVED FROM CENTRAL GOVERNMENT | ||||||||||||||
(-) GUARANTEES | (-) CREDIT DERIVATIVES | (-) FINANCIAL COLLATERAL: SIMPLE METHOD | (-) OTHER FUNDED CREDIT PROTECTION | (-) TOTAL OUTFLOWS | TOTAL INFLOWS (+) | (-) OF WHICH: VOLATILITY AND MATURITY ADJUSTMENTS | |||||||||||||||||||
010 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | 110 | 120 | 130 | 140 | 150 | 160 | 170 | 180 | 190 | 200 | 210 | 215 | 220 | 230 | 240 | ||
010 | TOTAL EXPOSURES | Cell linked to CA | |||||||||||||||||||||||
015 | of which: Defaulted exposures | ||||||||||||||||||||||||
020 | of which: SME | ||||||||||||||||||||||||
030 | of which: Exposures subject to SME-supporting factor | ||||||||||||||||||||||||
040 | of which: Secured by mortgages on immovable property - Residential property | ||||||||||||||||||||||||
050 | of which: Exposures under the permanent partial use of the standardised approach | ||||||||||||||||||||||||
060 | of which: Exposures under the standardised approach with prior supervisory permission to carry out a sequential IRB implementation | ||||||||||||||||||||||||
BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES: | |||||||||||||||||||||||||
070 | On balance sheet exposures subject to credit risk | ||||||||||||||||||||||||
080 | Off balance sheet exposures subject to credit risk | ||||||||||||||||||||||||
Exposures/Transactions subject to counterparty credit risk | |||||||||||||||||||||||||
090 | Securities Financing Transactions | ||||||||||||||||||||||||
100 | of which: centrally cleared through a QCCP | ||||||||||||||||||||||||
110 | Derivatives & Long Settlement Transactions | ||||||||||||||||||||||||
120 | of which: centrally cleared through a QCCP | ||||||||||||||||||||||||
130 | From Contractual Cross Product Netting | ||||||||||||||||||||||||
BREAKDOWN OF TOTAL EXPOSURES BY RISK WEIGHTS: | |||||||||||||||||||||||||
140 | 0 % | ||||||||||||||||||||||||
150 | 2 % | ||||||||||||||||||||||||
160 | 4 % | ||||||||||||||||||||||||
170 | 10 % | ||||||||||||||||||||||||
180 | 20 % | ||||||||||||||||||||||||
190 | 35 % | ||||||||||||||||||||||||
200 | 50 % | ||||||||||||||||||||||||
210 | 70 % | ||||||||||||||||||||||||
220 | 75 % | ||||||||||||||||||||||||
230 | 100 % | ||||||||||||||||||||||||
240 | 150 % | ||||||||||||||||||||||||
250 | 250 % | ||||||||||||||||||||||||
260 | 370 % | ||||||||||||||||||||||||
270 | 1 250 % | ||||||||||||||||||||||||
280 | Other risk weights | ||||||||||||||||||||||||
MEMORANDUM ITEMS | |||||||||||||||||||||||||
290 | Exposures secured by mortgages on commercial immovable property | ||||||||||||||||||||||||
300 | Exposures in default subject to a risk weight of 100 % | ||||||||||||||||||||||||
310 | Exposures secured by mortgages on residential property | ||||||||||||||||||||||||
320 | Exposures in default subject to a risk weight of 150 % |
IRB Exposure class: | ||||||||||||||||||||||||||||||||
Own estimates of LGD and/or conversion factors: | ||||||||||||||||||||||||||||||||
INTERNAL RATING SYSTEM | ORIGINAL EXPOSURE PRE CONVERSION FACTORS | CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE | EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS | EXPOSURE VALUE | CREDIT RISK MITIGATION TECHNIQUES TAKEN INTO ACCOUNT IN LGD ESTIMATES EXCLUDING DOUBLE DEFAULT TREATMENT | SUBJECT TO DOUBLE DEFAULT TREATMENT | EXPOSURE WEIGHTED AVERAGE LGD (%) | EXPOSURE WEIGHTED AVERAGE LGD (%) FOR LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES | EXPOSURE-WEIGHTED AVERAGE MATURITY VALUE (DAYS) | RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR | RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR | MEMORANDUM ITEMS: | ||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
UNFUNDED CREDIT PROTECTION | (-) OTHER FUNDED CREDIT PROTECTION | SUBSTITUTION OF THE EXPOSURE DUE TO CRM | OWN ESTIMATES OF LGD'S ARE USED: UNFUNDED CREDIT PROTECTION | FUNDED CREDIT PROTECTION | UNFUNDED CREDIT PROTECTION | EXPECTED LOSS AMOUNT | (-) VALUE ADJUSTMENTS AND PROVISIONS | NUMBER OF OBLIGORS | ||||||||||||||||||||||||
PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%) | OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES | (-) GUARANTEES | (-) CREDIT DERIVATIVES | (-) TOTAL OUTFLOWS | TOTAL INFLOWS (+) | OF WHICH: OFF BALANCE SHEET ITEMS | OF WHICH: OFF BALANCE SHEET ITEMS | OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK | OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES | GUARANTEES | CREDIT DERIVATIVES | OWN ESTIMATES OF LGD'S ARE USED: OTHER FUNDED CREDIT PROTECTION | ELIGIBLE FINANCIAL COLLATERAL | OTHER ELIGIBLE COLLATERAL | OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES | |||||||||||||||||
REAL ESTATE | OTHER PHYSICAL COLLATERAL | RECEIVABLES | ||||||||||||||||||||||||||||||
010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | 110 | 120 | 130 | 140 | 150 | 160 | 170 | 180 | 190 | 200 | 210 | 220 | 230 | 240 | 250 | 255 | 260 | 270 | 280 | 290 | 300 | ||
010 | TOTAL EXPOSURES | Cell linked to CA | ||||||||||||||||||||||||||||||
015 | of which: Exposures subject to SME-supporting factor | |||||||||||||||||||||||||||||||
BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES: | ||||||||||||||||||||||||||||||||
020 | On balance sheet items subject to credit risk | |||||||||||||||||||||||||||||||
030 | Off balance sheet items subject to credit risk | |||||||||||||||||||||||||||||||
Exposures/Transactions subject to counterparty credit risk | ||||||||||||||||||||||||||||||||
040 | Securities Financing Transactions | |||||||||||||||||||||||||||||||
050 | Derivatives & Long Settlement Transactions | |||||||||||||||||||||||||||||||
060 | From Contractual Cross Product Netting | |||||||||||||||||||||||||||||||
070 | EXPOSURES ASSIGNED TO OBLIGOR GRADES OR POOLS: TOTAL | |||||||||||||||||||||||||||||||
080 | SPECIALIZED LENDING SLOTTING CRITERIA: TOTAL | |||||||||||||||||||||||||||||||
BREAKDOWN BY RISK WEIGHTS OF TOTAL EXPOSURES UNDER SPECIALIZED LENDING SLOTTING CRITERIA: | ||||||||||||||||||||||||||||||||
090 | RISK WEIGHT: 0 % | |||||||||||||||||||||||||||||||
100 | 50 % | |||||||||||||||||||||||||||||||
110 | 70 % | |||||||||||||||||||||||||||||||
120 | Of which: in category 1 | |||||||||||||||||||||||||||||||
130 | 90 % | |||||||||||||||||||||||||||||||
140 | 115 % | |||||||||||||||||||||||||||||||
150 | 250 % | |||||||||||||||||||||||||||||||
160 | ALTERNATIVE TREATMENT: SECURED BY REAL ESTATE | |||||||||||||||||||||||||||||||
170 | EXPOSURES FROM FREE DELIVERIES APPLYING RISK WEIGHTS UNDER THE ALTERNATIVE TREATMENT OR 100 % AND OTHER EXPOSURES SUBJECT TO RISK WEIGHTS | |||||||||||||||||||||||||||||||
180 | DILUTION RISK: TOTAL PURCHASED RECEIVABLES |
IRB Exposure class: | |||||||||||||||||||||||||||||||
Own estimates of LGD and/or conversion factors: | |||||||||||||||||||||||||||||||
OBLIGOR GRADE (ROW IDENTIFIER) | INTERNAL RATING SYSTEM | ORIGINAL EXPOSURE PRE CONVERSION FACTORS | CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE | EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS | EXPOSURE VALUE | CREDIT RISK MITIGATION TECHNIQUES TAKEN INTO ACCOUNT IN LGD ESTIMATES EXCLUDING DOUBLE DEFAULT TREATMENT | SUBJECT TO DOUBLE DEFAULT TREATMENT | EXPOSURE WEIGHTED AVERAGE LGD (%) | EXPOSURE WEIGHTED AVERAGE LGD (%) FOR LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES | EXPOSURE-WEIGHTED AVERAGE MATURITY VALUE (DAYS) | RISK WEIGHTED EXPOSURE AMOUNT PRE SME-FACTOR | RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-FACTOR | MEMORANDUM ITEMS: | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
UNFUNDED CREDIT PROTECTION | (-) OTHER FUNDED CREDIT PROTECTION | SUBSTITUTION OF THE EXPOSURE DUE TO CRM | OWN ESTIMATES OF LGD'S ARE USED: UNFUNDED CREDIT PROTECTION | FUNDED CREDIT PROTECTION | UNFUNDED CREDIT PROTECTION | EXPECTED LOSS AMOUNT | (-) VALUE ADJUSTMENTS AND PROVISIONS | NUMBER OF OBLIGORS | |||||||||||||||||||||||
PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%) | OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES | (-) GUARANTEES | (-) CREDIT DERIVATIVES | (-) TOTAL OUTFLOWS | TOTAL INFLOWS (+) | OF WHICH: OFF BALANCE SHEET ITEMS | OF WHICH: OFF BALANCE SHEET ITEMS | OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK | OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES | GUARANTEES | CREDIT DERIVATIVES | OWN ESTIMATES OF LGD'S ARE USED: OTHER FUNDED CREDIT PROTECTION | ELIGIBLE FINANCIAL COLLATERAL | OTHER ELIGIBLE COLLATERAL | OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES | ||||||||||||||||
REAL ESTATE | OTHER PHYSICAL COLLATERAL | RECEIVABLES | |||||||||||||||||||||||||||||
005 | 010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | 110 | 120 | 130 | 140 | 150 | 160 | 170 | 180 | 190 | 200 | 210 | 220 | 230 | 240 | 250 | 255 | 260 | 270 | 280 | 290 | 300 |
Country: | |||||||||||
ORIGINAL EXPOSURE PRE CONVERSION FACTORS | Defaulted exposures | Observed new defaults for the period | General credit risk adjustments | Specific credit risk adjustments | Of which: write off | Credit risk adjustments/write-offs for observed new defaults | EXPOSURE VALUE | RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR | RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR | ||
---|---|---|---|---|---|---|---|---|---|---|---|
010 | 020 | 040 | 050 | 055 | 060 | 070 | 075 | 080 | 090 | ||
010 | Central governments or central banks | ||||||||||
020 | Regional governments or local authorities | ||||||||||
030 | Public sector entities | ||||||||||
040 | Multilateral Development Banks | ||||||||||
050 | International Organisations | ||||||||||
060 | Institutions | ||||||||||
070 | Corporates | ||||||||||
075 | of which: SME | ||||||||||
080 | Retail | ||||||||||
085 | of which: SME | ||||||||||
090 | Secured by mortgages on immovable property | ||||||||||
095 | of which: SME | ||||||||||
100 | Exposures in default | ||||||||||
110 | Items associated with particularly high risk | ||||||||||
120 | Covered bonds | ||||||||||
130 | Claims on institutions and corporates with a short-term credit assessment | ||||||||||
140 | Collective investments undertakings (CIU) | ||||||||||
150 | Equity exposures | ||||||||||
160 | Other exposures | ||||||||||
170 | Total exposures |
Country: | ||||||||||||||||
ORIGINAL EXPOSURE PRE CONVERSION FACTORS | Of which: defaulted | Observed new defaults for the period | General credit risk adjustments | Specific credit risk adjustments | Of which: write off | Credit risk adjustments/write-offs for observed new defaults | PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%) | EXPOSURE WEIGHTED AVERAGE LGD (%) | Of which: defaulted | EXPOSURE VALUE | RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR | Of which: defaulted | RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR | EXPECTED LOSS AMOUNT | ||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
010 | 030 | 040 | 050 | 055 | 060 | 070 | 080 | 090 | 100 | 105 | 110 | 120 | 125 | 130 | ||
010 | Central governments or central banks | |||||||||||||||
020 | Institutions | |||||||||||||||
030 | Corporates | |||||||||||||||
042 | Of Which: Specialised Lending (excl. SL subject to slotting criteria) | |||||||||||||||
045 | Of Which: Specialised Lending subject to slotting criteria | |||||||||||||||
050 | Of Which: SME | |||||||||||||||
060 | Retail | |||||||||||||||
070 | Secured by real estate property | |||||||||||||||
080 | SME | |||||||||||||||
090 | Non-SME | |||||||||||||||
100 | Qualifying Revolving | |||||||||||||||
110 | Other Retail | |||||||||||||||
120 | SME | |||||||||||||||
130 | Non-SME | |||||||||||||||
140 | Equity | |||||||||||||||
150 | Total exposures |
Country: | ||||
Amount | Percentage | Qualitative information | ||
---|---|---|---|---|
010 | 020 | 030 | ||
Relevant credit exposures - Credit Risk | ||||
010 | Exposure value under the Standardised Approach | |||
020 | Exposure value under the IRB Approach | |||
Relevant credit exposures – Market risk | ||||
030 | Sum of long and short positions of trading book exposures for standardised approaches | |||
040 | Value of trading book exposures for internal models | |||
Relevant credit exposures – Securitisation | ||||
050 | Exposure value of securitisation positions in the banking book under the Standardised Approach | |||
060 | Exposure value of securitisation positions in the banking book under the IRB Approach | |||
Own funds requirements and weights | ||||
070 | Total own funds requirements for CCB | |||
080 | Own funds requirements for relevant credit exposures – Credit risk | |||
090 | Own funds requirements for relevant credit exposures – Market risk | |||
100 | Own funds requirements for relevant credit exposures – Securitisation positions in the banking book | |||
110 | Own funds requirements weights | |||
Countercyclical capital buffer rates | ||||
120 | Countercyclical capital buffer rate set by the Designated Authority | |||
130 | Countercyclical capital buffer rate applicable for the country of the institution | |||
140 | Institution-specific countercyclical capital buffer rate | |||
Use of 2 % threshold | ||||
150 | Use of 2 % threshold for general credit exposure | |||
160 | Use of 2 % threshold for trading book exposure |
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 |
OBLIGOR GRADE (ROW IDENTIFIER) | INTERNAL RATING SYSTEM | ORIGINAL EXPOSURE PRE CONVERSION FACTORS | CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE | EXPOSURE VALUE | EXPOSURE WEIGHTED AVERAGE LGD (%) | RISK WEIGHTED EXPOSURE AMOUNT | MEMORANDUM ITEM: | ||
---|---|---|---|---|---|---|---|---|---|
UNFUNDED CREDIT PROTECTION | SUBSTITUTION OF THE EXPOSURE DUE TO CRM | EXPECTED LOSS AMOUNT | |||||||
PD ASSIGNED TO THE OBLIGOR GRADE (%) | (-) GUARANTEES | (-) CREDIT DERIVATIVES | (-) TOTAL OUTFLOWS | ||||||
005 | 010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 |
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 %) |
TOTAL AMOUNT OF SECURITISATION EXPOSURES ORIGINATED | SYNTHETIC SECURITISATIONS: CREDIT PROTECTION TO THE SECURITISED EXPOSURES | SECURITISATION POSITIONS | (-) VALUE ADJUSTMENTS AND PROVISIONS | EXPOSURE NET OF VALUE ADJUSTMENTS AND PROVISIONS | CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE | NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS | (-) CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE AMOUNT OF THE EXPOSURE: FUNDED CREDIT PROTECTION FINANCIAL COLLATERAL COMPREHENSIVE METHOD ADJUSTED VALUE (Cvam) | FULLY ADJUSTED EXPOSURE VALUE (E*) | BREAKDOWN OF THE FULLY ADJUSTED EXPOSURE VALUE (E*) OF OFF BALANCE SHEET ITEMS ACCORDING TO CONVERSION FACTORS | EXPOSURE VALUE | BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS | BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS | RISK-WEIGHTED EXPOSURE AMOUNT | OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONS | ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO MATURITY MISMATCHES | TOTAL RISK-WEIGHTED EXPOSURE AMOUNT | MEMORANDUM ITEM: RISK WEIGHTED EXPOSURE AMOUNT CORRESPONDING TO THE OUTFLOWS FROM THE SA SECURITISATION TO OTHER EXPOSURE CLASSES | |||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
(-) FUNDED CREDIT PROTECTION (Cva) | (-) TOTAL OUTFLOWS | NOTIONAL AMOUNT RETAINED OR REPURCHASED OF CREDIT PROTECTION | ORIGINAL EXPOSURE PRE CONVERSION FACTORS | (-) UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (Ga) | (-) FUNDED CREDIT PROTECTION | SUBSTITUTION OF THE EXPOSURE DUE TO CRM | 0 % | > 0 % and <= 20 % | > 20 % and <= 50 % | > 50 % and <= 100 % | (-) DEDUCTED FROM OWN FUNDS | SUBJECT TO RISK WEIGHTS | RATED (CREDIT QUALITY STEPS) | 1 250 % | LOOK-THROUGH | INTERNAL ASSESMENT APPROACH | ||||||||||||||||||||||||
(-) UNFUNDED CREDIT PROTECTION ADJUSTED VALUES (G*) | (-) TOTAL OUTFLOWS | TOTAL INFLOWS | CQS 1 | CQS 2 | CQS 3 | CQS 4 | ALL OTHER CQS | UNRATED | OF WHICH: SECOND LOSS IN ABCP | OF WHICH: AVERAGE RISK WEIGHT (%) | AVERAGE RISK WEIGHT (%) | OF WHICH: SYNTHETIC SECURITISATIONS | BEFORE CAP | AFTER CAP | ||||||||||||||||||||||||||
010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | 110 | 120 | 130 | 140 | 150 | 160 | 170 | 180 | 190 | 200 | 210 | 220 | 230 | 240 | 250 | 260 | 270 | 280 | 290 | 300 | 310 | 320 | 330 | 340 | 350 | 360 | 370 | 380 | 390 | ||
010 | TOTAL EXPOSURES | Cell linked to CA | ||||||||||||||||||||||||||||||||||||||
020 | OF WHICH: RE-SECURITISATIONS | Cell linked to CA | ||||||||||||||||||||||||||||||||||||||
030 | ORIGINATOR: TOTAL EXPOSURES | |||||||||||||||||||||||||||||||||||||||
040 | ON-BALANCE SHEET ITEMS | |||||||||||||||||||||||||||||||||||||||
050 | SECURITISATIONS | |||||||||||||||||||||||||||||||||||||||
060 | RE-SECURITISATIONS | |||||||||||||||||||||||||||||||||||||||
070 | OFF-BALANCE SHEET ITEMS AND DERIVATIVES | |||||||||||||||||||||||||||||||||||||||
080 | SECURITISATIONS | |||||||||||||||||||||||||||||||||||||||
090 | RE-SECURITISATIONS | |||||||||||||||||||||||||||||||||||||||
100 | EARLY AMORTISATION | |||||||||||||||||||||||||||||||||||||||
110 | INVESTOR: TOTAL EXPOSURES | |||||||||||||||||||||||||||||||||||||||
120 | ON-BALANCE SHEET ITEMS | |||||||||||||||||||||||||||||||||||||||
130 | SECURITISATIONS | |||||||||||||||||||||||||||||||||||||||
140 | RE-SECURITISATIONS | |||||||||||||||||||||||||||||||||||||||
150 | OFF-BALANCE SHEET ITEMS AND DERIVATIVES | |||||||||||||||||||||||||||||||||||||||
160 | SECURITISATIONS | |||||||||||||||||||||||||||||||||||||||
170 | RE-SECURITISATIONS | |||||||||||||||||||||||||||||||||||||||
180 | SPONSOR: TOTAL EXPOSURES | |||||||||||||||||||||||||||||||||||||||
190 | ON-BALANCE SHEET ITEMS | |||||||||||||||||||||||||||||||||||||||
200 | SECURITISATIONS | |||||||||||||||||||||||||||||||||||||||
210 | RE-SECURITISATIONS | |||||||||||||||||||||||||||||||||||||||
220 | OFF-BALANCE SHEET ITEMS AND DERIVATIVES | |||||||||||||||||||||||||||||||||||||||
230 | SECURITISATIONS | |||||||||||||||||||||||||||||||||||||||
240 | RE-SECURITISATIONS | |||||||||||||||||||||||||||||||||||||||
BREAKDOWN OF OUTSTANDING POSITIONS ACCORDING TO CQS AT INCEPTION: | ||||||||||||||||||||||||||||||||||||||||
250 | CQS 1 | |||||||||||||||||||||||||||||||||||||||
260 | CQS 2 | |||||||||||||||||||||||||||||||||||||||
270 | CQS 3 | |||||||||||||||||||||||||||||||||||||||
280 | CQS 4 | |||||||||||||||||||||||||||||||||||||||
290 | ALL OTHER CQS AND UNRATED |
TOTAL AMOUNT OF SECURITISATION EXPOSURES ORIGINATED | SYNTHETIC SECURITIZATIONS: CREDIT PROTECTION TO THE SECURITISED EXPOSURES | SECURITISATION POSITIONS | CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE | EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS | (-) CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE AMOUNT OF THE EXPOSURE: FUNDED CREDIT PROTECTION FINANCIAL COLLATERAL COMPREHENSIVE METHOD ADJUSTED VALUE (Cvam) | FULLY ADJUSTED EXPOSURE VALUE (E*) | BREAKDOWN OF THE FULLY ADJUSTED EXPOSURE VALUE (E*) OF OFF BALANCE SHEET ITEMS ACCORDING TO CREDIT CONVERSION FACTORS | EXPOSURE VALUE | BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS | (-) REDUCTION IN RISK WEIGHTED EXPOSURE AMOUNT DUE TO VALUE ADJUSTMENTS AND PROVISIONS | RISK-WEIGHTED EXPOSURE AMOUNT | OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONS | ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO MATURITY MISMATCHES | TOTAL RISK-WEIGHTED EXPOSURE AMOUNT | MEMORANDUM ITEM: RISK WEIGHTED EXPOSURE AMOUNT CORRESPONDING TO THE OUTFLOWS FROM THE IRB SECURITISATION TO OTHER EXPOSURE CLASSES | |||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
(-) FUNDED CREDIT PROTECTION (Cva) | (-) TOTAL OUTFLOWS | NOTIONAL AMOUNT RETAINED OR REPURCHASED OF CREDIT PROTECTION | ORIGINAL EXPOSURE PRE CONVERSION FACTORS | (-) UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (Ga) | (-) FUNDED CREDIT PROTECTION | SUBSTITUTION OF THE EXPOSURE DUE TO CRM | 0 % | > 0 % and <= 20 % | > 20 % and <= 50 % | > 50 % and <= 100 % | (-) DEDUCTED FROM OWN FUNDS | SUBJECT TO RISK WEIGHTS | RATINGS BASED METHOD (CREDIT QUALITY STEPS) | 1 250 % | SUPERVISORY FORMULA METHOD | LOOK-THROUGH | INTERNAL ASSESSMENT APPROACH | |||||||||||||||||||||||||||||||
(-) UNFUNDED CREDIT PROTECTION ADJUSTED VALUES (G*) | (-) TOTAL OUTFLOWS | TOTAL INFLOWS | CQS 1 & S/T CQS 1 | CQS 2 | CQS 3 | CQS 4 & S/T CQS 2 | CQS 5 | CQS 6 | CQS 7 & S/T CQS 3 | CQS 8 | CQS 9 | CQS 10 | CQS 11 | ALL OTHER CQS | UNRATED | AVERAGE RISK WEIGHT (%) | AVERAGE RISK WEIGHT (%) | AVERAGE RISK WEIGHT (%) | OF WHICH: SYNTHETIC SECURITISATIONS | BEFORE CAP | AFTER CAP | |||||||||||||||||||||||||||
010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | 110 | 120 | 130 | 140 | 150 | 160 | 170 | 180 | 190 | 200 | 210 | 220 | 230 | 240 | 250 | 260 | 270 | 280 | 290 | 300 | 310 | 320 | 330 | 340 | 350 | 360 | 370 | 380 | 390 | 400 | 410 | 420 | 430 | 440 | 450 | 460 | |||
010 | TOTAL EXPOSURES | Cell linked to CA | ||||||||||||||||||||||||||||||||||||||||||||||
020 | OF WHICH: RE-SECURITISATIONS | Cell linked to CA | ||||||||||||||||||||||||||||||||||||||||||||||
030 | ORIGINATOR: TOTAL EXPOSURES | |||||||||||||||||||||||||||||||||||||||||||||||
040 | ON-BALANCE SHEET ITEMS | |||||||||||||||||||||||||||||||||||||||||||||||
050 | SECURITISATIONS | A | ||||||||||||||||||||||||||||||||||||||||||||||
060 | B | |||||||||||||||||||||||||||||||||||||||||||||||
070 | C | |||||||||||||||||||||||||||||||||||||||||||||||
080 | RE-SECURITISATIONS | D | ||||||||||||||||||||||||||||||||||||||||||||||
090 | E | |||||||||||||||||||||||||||||||||||||||||||||||
100 | OFF-BALANCE SHEET ITEMS AND DERIVATIVES | |||||||||||||||||||||||||||||||||||||||||||||||
110 | SECURITISATIONS | A | ||||||||||||||||||||||||||||||||||||||||||||||
120 | B | |||||||||||||||||||||||||||||||||||||||||||||||
130 | C | |||||||||||||||||||||||||||||||||||||||||||||||
140 | RE-SECURITISATIONS | D | ||||||||||||||||||||||||||||||||||||||||||||||
150 | E | |||||||||||||||||||||||||||||||||||||||||||||||
160 | EARLY AMORTISATION | |||||||||||||||||||||||||||||||||||||||||||||||
170 | INVESTOR: TOTAL EXPOSURES | |||||||||||||||||||||||||||||||||||||||||||||||
180 | ON-BALANCE SHEET ITEMS | |||||||||||||||||||||||||||||||||||||||||||||||
190 | SECURITISATIONS | A | ||||||||||||||||||||||||||||||||||||||||||||||
200 | B | |||||||||||||||||||||||||||||||||||||||||||||||
210 | C | |||||||||||||||||||||||||||||||||||||||||||||||
220 | RE-SECURITISATIONS | D | ||||||||||||||||||||||||||||||||||||||||||||||
230 | E | |||||||||||||||||||||||||||||||||||||||||||||||
240 | OFF-BALANCE SHEET ITEMS AND DERIVATIVES | |||||||||||||||||||||||||||||||||||||||||||||||
250 | SECURITISATIONS | A | ||||||||||||||||||||||||||||||||||||||||||||||
260 | B | |||||||||||||||||||||||||||||||||||||||||||||||
270 | C | |||||||||||||||||||||||||||||||||||||||||||||||
280 | RE-SECURITISATIONS | D | ||||||||||||||||||||||||||||||||||||||||||||||
290 | E | |||||||||||||||||||||||||||||||||||||||||||||||
300 | SPONSOR: TOTAL EXPOSURES | |||||||||||||||||||||||||||||||||||||||||||||||
310 | ON-BALANCE SHEET ITEMS | |||||||||||||||||||||||||||||||||||||||||||||||
320 | SECURITISATIONS | A | ||||||||||||||||||||||||||||||||||||||||||||||
330 | B | |||||||||||||||||||||||||||||||||||||||||||||||
340 | C | |||||||||||||||||||||||||||||||||||||||||||||||
350 | RE-SECURITISATIONS | D | ||||||||||||||||||||||||||||||||||||||||||||||
360 | E | |||||||||||||||||||||||||||||||||||||||||||||||
370 | OFF-BALANCE SHEET ITEMS AND DERIVATIVES | |||||||||||||||||||||||||||||||||||||||||||||||
380 | SECURITISATIONS | A | ||||||||||||||||||||||||||||||||||||||||||||||
390 | B | |||||||||||||||||||||||||||||||||||||||||||||||
400 | C | |||||||||||||||||||||||||||||||||||||||||||||||
410 | RE-SECURITISATIONS | D | ||||||||||||||||||||||||||||||||||||||||||||||
420 | E | |||||||||||||||||||||||||||||||||||||||||||||||
BREAKDOWN OF OUTSTANDING POSITIONS ACCORDING TO CQS AT INCEPTION: | ||||||||||||||||||||||||||||||||||||||||||||||||
430 | CQS 1 & S/T CQS 1 | |||||||||||||||||||||||||||||||||||||||||||||||
440 | CQS 2 | |||||||||||||||||||||||||||||||||||||||||||||||
450 | CQS 3 | |||||||||||||||||||||||||||||||||||||||||||||||
460 | CQS 4 & S/T CQS 2 | |||||||||||||||||||||||||||||||||||||||||||||||
470 | CQS 5 | |||||||||||||||||||||||||||||||||||||||||||||||
480 | CQS 6 | |||||||||||||||||||||||||||||||||||||||||||||||
490 | CQS 7 & S/T CQS 3 | |||||||||||||||||||||||||||||||||||||||||||||||
500 | CQS 8 | |||||||||||||||||||||||||||||||||||||||||||||||
510 | CQS 9 | |||||||||||||||||||||||||||||||||||||||||||||||
520 | CQS 10 | |||||||||||||||||||||||||||||||||||||||||||||||
530 | CQS 11 | |||||||||||||||||||||||||||||||||||||||||||||||
540 | ALL OTHER CQS AND UNRATED |
ROW NUMBER | INTERNAL CODE | IDENTIFIER OF THE SECURITISATION | IDENTIFIER OF THE ORIGINATOR | SECURITISATION TYPE: (TRADITIONAL/SYNTHETIC) | ACCOUNTING TREATMENT: Securitised exposures are kept or removed from the balance sheet? | SOLVENCY TREATMENT: Securitisation positions subject to own funds requirements? | SECURITISATION OR RE-SECURITISATION? | RETENTION | ROLE OF THE INSTITUTION: (ORIGINATOR/SPONSOR/ORIGINAL LENDER/INVESTOR) | NON ABCP PROGRAMMES | SECURITISED EXPOSURES | SECURITISATION STRUCTURE | SECURITISATION POSITIONS | (-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS | TOTAL RISK-WEIGHTED EXPOSURE AMOUNT | SECURITISATION POSITIONS - TRADING BOOK | ||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
TYPE OF RETENTION APPLIED | % OF RETENTION AT REPORTING DATE | COMPLIANCE WITH THE RETENTION REQUIREMENT? | ORIGINATION DATE (mm/yyyy) | TOTAL AMOUNT OF SECURITISED EXPOSURES AT ORIGINATION DATE | TOTAL AMOUNT | INSTITUTION'S SHARE (%) | TYPE | APPROACH APPLIED (SA/IRB/MIX) | NUMBER OF EXPOSURES | COUNTRY | ELGD (%) | (-) VALUE ADJUSTMENTS AND PROVISIONS | OWN FUNDS REQUIREMENTS BEFORE SECURITISATION (%) | ON-BALANCE SHEET ITEMS | OFF-BALANCE SHEET ITEMS AND DERIVATIVES | MATURITY | ORIGINAL EXPOSURE PRE-CONVERSION FACTORS | MEMORANDUM ITEMS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES | EARLY AMORTISATION | CTP OR NON-CTP? | NET POSITIONS | TOTAL OWN FUNDS REQUIREMENTS (SA) | ||||||||||||||||||||||||||
SENIOR | MEZZANINE | FIRST LOSS | SENIOR | MEZZANINE | FIRST LOSS | FIRST FORESEEABLE TERMINATION DATE | LEGAL FINAL MATURITY DATE | ON-BALANCE SHEET ITEMS | OFF-BALANCE SHEET ITEMS AND DERIVATIVES | DIRECT CREDIT SUBSTITUTES | IRS/CRS | ELIGIBLE LIQUIDITY FACILITIES | OTHER (including non-eligible LF) | CONVERSION FACTOR APPLIED | ||||||||||||||||||||||||||||||||||
SENIOR | MEZZANINE | FIRST LOSS | SENIOR | MEZZANINE | FIRST LOSS | BEFORE CAP | AFTER CAP | |||||||||||||||||||||||||||||||||||||||||
LONG | SHORT | SPECIFIC RISK | ||||||||||||||||||||||||||||||||||||||||||||||
005 | 010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | 110 | 120 | 130 | 140 | 150 | 160 | 170 | 180 | 190 | 200 | 210 | 220 | 230 | 240 | 250 | 260 | 270 | 280 | 290 | 300 | 310 | 320 | 330 | 340 | 350 | 360 | 370 | 380 | 390 | 400 | 410 | 420 | 430 | 440 | 450 | 460 | 470 | 480 |
MAPPING OF LOSSES TO BUSINESS LINES | EVENT TYPES | TOTAL EVENT TYPES | MEMORANDUM ITEM: THRESHOLD APPLIED IN DATA COLLECTION | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
INTERNAL FRAUD | EXTERNAL FRAUD | EMPLOYMENT PRACTICES AND WORKPLACE SAFETY | CLIENTS, PRODUCTS & BUSINESS PRACTICES | DAMAGE TO PHYSICAL ASSETS | BUSINESS DISRUPTION AND SYSTEM FAILURES | EXECUTION, DELIVERY & PROCESS MANAGEMENT | LOWEST | HIGHEST | ||||
Rows | 010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | ||
010 | CORPORATE FINANCE [CF] | Number of events (new events) | ||||||||||
020 | Gross loss amount (new events) | |||||||||||
030 | Number of events subject to loss adjustments | |||||||||||
040 | Loss adjustments relating to previous reporting periods | |||||||||||
050 | Maximum single loss | |||||||||||
060 | Sum of the five largest losses | |||||||||||
070 | Total direct loss recovery | |||||||||||
080 | Total recovery from insurance and other risk transfer mechanisms | |||||||||||
110 | TRADING AND SALES [TS] | Number of events (new events) | ||||||||||
120 | Gross loss amount (new events) | |||||||||||
130 | Number of events subject to loss adjustments | |||||||||||
140 | Loss adjustments relating to previous reporting periods | |||||||||||
150 | Maximum single loss | |||||||||||
160 | Sum of the five largest losses | |||||||||||
170 | Total direct loss recovery | |||||||||||
180 | Total recovery from insurance and other risk transfer mechanisms | |||||||||||
210 | RETAIL BROKERAGE [RBr] | Number of events (new events) | ||||||||||
220 | Gross loss amount (new events) | |||||||||||
230 | Number of events subject to loss adjustments | |||||||||||
240 | Loss adjustments relating to previous reporting periods | |||||||||||
250 | Maximum single loss | |||||||||||
260 | Sum of the five largest losses | |||||||||||
270 | Total direct loss recovery | |||||||||||
280 | Total recovery from insurance and other risk transfer mechanisms | |||||||||||
310 | COMMERCIAL BANKING [CB] | Number of events (new events) | ||||||||||
320 | Gross loss amount (new events) | |||||||||||
330 | Number of events subject to loss adjustments | |||||||||||
340 | Loss adjustments relating to previous reporting periods | |||||||||||
350 | Maximum single loss | |||||||||||
360 | Sum of the five largest losses | |||||||||||
370 | Total direct loss recovery | |||||||||||
380 | Total recovery from insurance and other risk transfer mechanisms | |||||||||||
410 | RETAIL BANKING [RB] | Number of events (new events) | ||||||||||
420 | Gross loss amount (new events) | |||||||||||
430 | Number of events subject to loss adjustments | |||||||||||
440 | Loss adjustments relating to previous reporting periods | |||||||||||
450 | Maximum single loss | |||||||||||
460 | Sum of the five largest losses | |||||||||||
470 | Total direct loss recovery | |||||||||||
480 | Total recovery from insurance and other risk transfer mechanisms | |||||||||||
510 | PAYMENT AND SETTLEMENT [PS] | Number of events (new events) | ||||||||||
520 | Gross loss amount (new events) | |||||||||||
530 | Number of events subject to loss adjustments | |||||||||||
540 | Loss adjustments relating to previous reporting periods | |||||||||||
550 | Maximum single loss | |||||||||||
560 | Sum of the five largest losses | |||||||||||
570 | Total direct loss recovery | |||||||||||
580 | Total recovery from insurance and other risk transfer mechanisms | |||||||||||
610 | AGENCY SERVICES [AS] | Number of events (new events) | ||||||||||
620 | Gross loss amount (new events) | |||||||||||
630 | Number of events subject to loss adjustments | |||||||||||
640 | Loss adjustments relating to previous reporting periods | |||||||||||
650 | Maximum single loss | |||||||||||
660 | Sum of the five largest losses | |||||||||||
670 | Total direct loss recovery | |||||||||||
680 | Total recovery from insurance and other risk transfer mechanisms | |||||||||||
710 | ASSET MANAGEMENT [AM] | Number of events (new events) | ||||||||||
720 | Gross loss amount (new events) | |||||||||||
730 | Number of events subject to loss adjustments | |||||||||||
740 | Loss adjustments relating to previous reporting periods | |||||||||||
750 | Maximum single loss | |||||||||||
760 | Sum of the five largest losses | |||||||||||
770 | Total direct loss recovery | |||||||||||
780 | Total recovery from insurance and other risk transfer mechanisms | |||||||||||
810 | CORPORATE ITEMS [CI] | Number of events (new events) | ||||||||||
820 | Gross loss amount (new events) | |||||||||||
830 | Number of events subject to loss adjustments | |||||||||||
840 | Loss adjustments relating to previous reporting periods | |||||||||||
850 | Maximum single loss | |||||||||||
860 | Sum of the five largest losses | |||||||||||
870 | Total direct loss recovery | |||||||||||
880 | Total recovery from insurance and other risk transfer mechanisms | |||||||||||
910 | TOTAL BUSINESS LINES | Number of events (new events). Of which: | ||||||||||
911 | related to losses ≥ 10 000 and < 20 000 | |||||||||||
912 | related to losses ≥ 20 000 and < 100 000 | |||||||||||
913 | related to losses ≥ 100 000 and < 1 000 000 | |||||||||||
914 | related to losses ≥ 1 000 000 | |||||||||||
920 | Gross loss amount (new events). Of which: | |||||||||||
921 | related to losses ≥ 10 000 and < 20 000 | |||||||||||
922 | related to losses ≥ 20 000 and < 100 000 | |||||||||||
923 | related to losses ≥ 100 000 and < 1 000 000 | |||||||||||
924 | related to losses ≥ 1 000 000 | |||||||||||
930 | Number of events subject to loss adjustments. Of which: | |||||||||||
935 | of which: number of events with a positive loss adjustment | |||||||||||
936 | of which: number of events with a negative loss adjustment | |||||||||||
940 | Loss adjustments relating to previous reporting periods | |||||||||||
945 | of which: positive loss adjustment amounts (+) | |||||||||||
946 | of which: negative loss adjustment amounts (–) | |||||||||||
950 | Maximum single loss | |||||||||||
960 | Sum of the five largest losses | |||||||||||
970 | Total direct loss recovery | |||||||||||
980 | Total recovery from insurance and other risk transfer mechanisms |
Event ID | Date of accounting | Date of occurrence | Date of discovery | Event Type | Gross loss | Gross loss net of direct recoveries | GROSS LOSS BY BUSINESS LINE | Legal Entity name | Legal Entity ID | Business Unit | Description | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Corporate Finance [CF] | Trading and Sales [TS] | Retail Brokerage [RBr] | Commercial Banking [CB] | Retail Banking [RB] | Payment and Settlement [PS] | Agency Services [AS] | Asset Management [AM] | Corporate Items [CI] | ||||||||||||
Rows | 010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | 110 | 120 | 130 | 140 | 150 | 160 | 170 | 180 | 190 | 200 |
… |
Currency: | |||||||||
POSITIONS | OWN FUNDS REQUIREMENTS | TOTAL RISK EXPOSURE AMOUNT | |||||||
---|---|---|---|---|---|---|---|---|---|
ALL POSITIONS | NET POSITIONS | POSITIONS SUBJECT TO CAPITAL CHARGE | |||||||
LONG | SHORT | LONG | SHORT | ||||||
010 | 020 | 030 | 040 | 050 | 060 | 070 | |||
010 | TRADED DEBT INSTRUMENTS IN TRADING BOOK | Cell linked to CA2 | |||||||
011 | General risk | ||||||||
012 | Derivatives | ||||||||
013 | Other assets and liabilities | ||||||||
020 | Maturity-based approach | ||||||||
030 | Zone 1 | ||||||||
040 | 0 ≤ 1 month | ||||||||
050 | > 1 ≤ 3 months | ||||||||
060 | > 3 ≤ 6 months | ||||||||
070 | > 6 ≤ 12 months | ||||||||
080 | Zone 2 | ||||||||
090 | > 1 ≤ 2 (1,9 for cupon of less than 3 %) years | ||||||||
100 | > 2 ≤ 3 (> 1,9 ≤ 2,8 for cupon of less than 3 %) years | ||||||||
110 | > 3 ≤ 4 (> 2,8 ≤ 3,6 for cupon of less than 3 %) years | ||||||||
120 | Zone 3 | ||||||||
130 | > 4 ≤ 5 (> 3,6 ≤ 4,3 for cupon of less than 3 %) years | ||||||||
140 | > 5 ≤ 7 (> 4,3 ≤ 5,7 for cupon of less than 3 %) years | ||||||||
150 | > 7 ≤ 10 (> 5,7 ≤ 7,3 for cupon of less than 3 %) years | ||||||||
160 | > 10 ≤ 15 (> 7,3 ≤ 9,3 for cupon of less than 3 %) years | ||||||||
170 | > 15 ≤ 20 (> 9,3 ≤ 10,6 for cupon of less than 3 %) years | ||||||||
180 | > 20 (> 10,6 ≤ 12,0 for cupon of less than 3 %) years | ||||||||
190 | (> 12,0 ≤ 20,0 for cupon of less than 3 %) years | ||||||||
200 | (> 20 for cupon of less than 3 %) years | ||||||||
210 | Duration-based approach | ||||||||
220 | Zone 1 | ||||||||
230 | Zone 2 | ||||||||
240 | Zone 3 | ||||||||
250 | Specific risk | ||||||||
251 | Own funds requirement for non-securitisation debt instruments | ||||||||
260 | Debt securities under the first category in Table 1 | ||||||||
270 | Debt securities under the second category in Table 1 | ||||||||
280 | With residual term ≤ 6 months | ||||||||
290 | With a residual term > 6 months and ≤ 24 months | ||||||||
300 | With a residual term > 24 months | ||||||||
310 | Debt securities under the third category in Table 1 | ||||||||
320 | Debt securities under the fourth category in Table 1 | ||||||||
321 | Rated nth-to default credit derivatives | ||||||||
325 | Own funds requirement for securitisation instruments | ||||||||
330 | Own funds requirement for the correlation trading portfolio | ||||||||
350 | Additional requirements for options (non-delta risks) | ||||||||
360 | Simplified method | ||||||||
370 | Delta plus approach - additional requirements for gamma risk | ||||||||
380 | Delta plus approach - additional requirements for vega risk | ||||||||
390 | Scenario matrix approach |
ALL POSITIONS | (-) POSITIONS DEDUCTED FROM OWN FUNDS | NET POSITIONS | BREAKDOWN OF THE NET POSITIONS (LONG) ACCORDING TO SA AND IRB RISK WEIGHTS | BREAKDOWN OF THE NET POSITIONS (SHORT) ACCORDING TO SA AND IRB RISK WEIGHTS | OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONS | BEFORE CAP | AFTER CAP | TOTAL OWN FUNDS REQUIREMENTS | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
RISK WEIGHTS < 1 250 % | 1 250 % | SUPERVISORY FORMULA METHOD | LOOK-THROUGH | INTERNAL ASSESMENT APPROACH | RISK WEIGHTS < 1 250 % | 1 250 % | SUPERVISORY FORMULA METHOD | LOOK-THROUGH | INTERNAL ASSESMENT APPROACH | |||||||||||||||||||||||||||||||||||||||||||||||||||||
LONG | SHORT | (-) LONG | (-) SHORT | LONG | SHORT | 7 - 10 % | 12 - 18 % | 20 - 35 % | 40 - 75 % | 100 % | 150 % | 200 % | 225 % | 250 % | 300 % | 350 % | 425 % | 500 % | 650 % | 750 % | 850 % | RATED | UNRATED | AVERAGE RISK WEIGHT (%) | AVERAGE RISK WEIGHT (%) | 7 - 10 % | 12 - 18 % | 20 - 35 % | 40 - 75 % | 100 % | 150 % | 200 % | 225 % | 250 % | 300 % | 350 % | 425 % | 500 % | 650 % | 750 % | 850 % | RATED | UNRATED | AVERAGE RISK WEIGHT (%) | AVERAGE RISK WEIGHT (%) | WEIGHTED NET LONG POSITIONS | WEIGHTED NET SHORT POSITIONS | WEIGHTED NET LONG POSITIONS | WEIGHTED NET SHORT POSITIONS | SUM OF WEIGHTED NET LONG AND SHORT POSITIONS | WEIGHTED NET LONG POSITIONS | WEIGHTED NET SHORT POSITIONS | SUM OF WEIGHTED NET LONG AND SHORT POSITIONS | |||||||||
010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | 110 | 120 | 130 | 140 | 150 | 160 | 170 | 180 | 190 | 200 | 210 | 220 | 230 | 240 | 250 | 260 | 270 | 280 | 290 | 300 | 310 | 320 | 330 | 340 | 350 | 360 | 370 | 380 | 390 | 400 | 410 | 420 | 430 | 440 | 450 | 460 | 470 | 480 | 490 | 500 | 510 | 520 | 530 | 540 | 550 | 560 | 570 | 580 | 590 | 600 | 610 | ||
010 | TOTAL EXPOSURES | Cell linked to MKR SA TDI {325:060} | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
020 | Of which: RE-SECURITISATIONS | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
030 | ORIGINATOR: TOTAL EXPOSURES | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
040 | SECURITISATIONS | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
050 | RE-SECURITISATIONS | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
060 | INVESTOR: TOTAL EXPOSURES | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
070 | SECURITISATIONS | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
080 | RE-SECURITISATIONS | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
090 | SPONSOR: TOTAL EXPOSURES | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
100 | SECURITISATIONS | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
110 | RE-SECURITISATIONS | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
BREAKDOWN OF THE TOTAL SUM OF WEIGHTED NET LONG AND NET SHORT POSITIONS BY UNDERLYING TYPES: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
120 | 1. Residential mortgages | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
130 | 2. Commercial mortgages | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
140 | 3. Credit card receivables | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
150 | 4. Leasing | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
160 | 5. Loans to corporates or SMEs | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
170 | 6. Consumer loans | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
180 | 7. Trade receivables | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
190 | 8. Other assets | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
200 | 9. Covered Bondes | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
210 | 10. Other liabilities |
ALL POSITIONS | (-) POSITIONS DEDUCTED FROM OWN FUNDS | NET POSITIONS | BREAKDOWN OF THE NET POSITION (LONG) ACCORDING TO SA AND IRB RISK WEIGHTS | BREAKDOWN OF THE NET POSITION (SHORT) ACCORDING TO SA AND IRB RISK WEIGHTS | BEFORE CAP | AFTER CAP | TOTAL OWN FUNDS REQUIREMENTS | |||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
RISK WEIGHTS < 1 250 % | 1 250 % | SUPERVISORY FORMULA METHOD | LOOK-THROUGH | INTERNAL ASSESMENT APPROACH | RISK WEIGHTS < 1 250 % | 1 250 % | SUPERVISORY FORMULA METHOD | LOOK-THROUGH | INTERNAL ASSESMENT APPROACH | |||||||||||||||||||||||||||||||||||||
LONG | SHORT | (-) LONG | (-) SHORT | LONG | SHORT | 7 - 10 % | 12 - 18 % | 20 - 35 % | 40- 75 % | 100 % | 250 % | 350 % | 425 % | 650 % | Other | RATED | UNRATED | AVERAGE RISK WEIGHT (%) | AVERAGE RISK WEIGHT (%) | 7 - 10 % | 12 - 18 % | 20 - 35 % | 40 - 75 % | 100 % | 250 % | 350 % | 425 % | 650 % | Other | RATED | UNRATED | AVERAGE RISK WEIGHT (%) | AVERAGE RISK WEIGHT (%) | WEIGHTED NET LONG POSITIONS | WEIGHTED NET SHORT POSITIONS | WEIGHTED NET LONG POSITIONS | WEIGHTED NET SHORT POSITIONS | |||||||||
010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | 110 | 120 | 130 | 140 | 150 | 160 | 170 | 180 | 190 | 200 | 210 | 220 | 230 | 240 | 250 | 260 | 270 | 280 | 290 | 300 | 310 | 320 | 330 | 340 | 350 | 360 | 370 | 380 | 390 | 400 | 410 | 420 | 430 | 440 | 450 | ||
010 | TOTAL EXPOSURES | Cell linked to MKR SA TDI {330:060} | ||||||||||||||||||||||||||||||||||||||||||||
SECURITISATION POSITIONS: | ||||||||||||||||||||||||||||||||||||||||||||||
020 | ORIGINATOR: TOTAL EXPOSURES | |||||||||||||||||||||||||||||||||||||||||||||
030 | SECURITISATIONS | |||||||||||||||||||||||||||||||||||||||||||||
040 | OTHER CTP POSITIONS | |||||||||||||||||||||||||||||||||||||||||||||
050 | INVESTOR: TOTAL EXPOSURES | |||||||||||||||||||||||||||||||||||||||||||||
060 | SECURITISATIONS | |||||||||||||||||||||||||||||||||||||||||||||
070 | OTHER CTP POSITIONS | |||||||||||||||||||||||||||||||||||||||||||||
080 | SPONSOR: TOTAL EXPOSURES | |||||||||||||||||||||||||||||||||||||||||||||
090 | SECURITISATIONS | |||||||||||||||||||||||||||||||||||||||||||||
100 | OTHER CTP POSITIONS | |||||||||||||||||||||||||||||||||||||||||||||
N-TH-TO-DEFAULT CREDIT DERIVATIVES: | ||||||||||||||||||||||||||||||||||||||||||||||
110 | N-TH-TO-DEFAULT CREDIT DERIVATIVES | |||||||||||||||||||||||||||||||||||||||||||||
120 | OTHER CTP POSITIONS |
National market: | |||||||||
POSITIONS | OWN FUNDS REQUIREMENTS | TOTAL RISK EXPOSURE AMOUNT | |||||||
---|---|---|---|---|---|---|---|---|---|
ALL POSITIONS | NET POSITIONS | POSITIONS SUBJECT TO CAPITAL CHARGE | |||||||
LONG | SHORT | LONG | SHORT | ||||||
010 | 020 | 030 | 040 | 050 | 060 | 070 | |||
010 | EQUITIES IN TRADING BOOK | Cell linked to CA | |||||||
020 | General risk | ||||||||
021 | Derivatives | ||||||||
022 | Other assets and liabilities | ||||||||
030 | Exchange traded stock-index futures broadly diversified subject to particular approach | ||||||||
040 | Other equities than exchange traded stock-index futures broadly diversified | ||||||||
050 | Specific risk | ||||||||
090 | Additional requirements for options (non-delta risks) | ||||||||
100 | Simplified method | ||||||||
110 | Delta plus approach - additional requirements for gamma risk | ||||||||
120 | Delta plus approach - additional requirements for vega risk | ||||||||
130 | Scenario matrix approach |
ALL POSITIONS | NET POSITIONS | POSITIONS SUBJECT TO CAPITAL CHARGE (Including redistribution of unmatched positions in non-reporting currencies subject to special treatment for matched positions) | OWN FUNDS REQUIREMENTS | TOTAL RISK EXPOSURE AMOUNT | ||||||
---|---|---|---|---|---|---|---|---|---|---|
LONG | SHORT | LONG | SHORT | LONG | SHORT | MATCHED | ||||
020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | ||
010 | TOTAL POSITIONS | Cell linked to CA | ||||||||
020 | Currencies closely correlated | |||||||||
025 | of which: reporting currency | |||||||||
030 | All other currencies (including CIUs treated as different currencies) | |||||||||
040 | Gold | |||||||||
050 | Additional requirements for options (non-delta risks) | |||||||||
060 | Simplified method | |||||||||
070 | Delta plus approach - additional requirements for gamma risk | |||||||||
080 | Delta plus approach - additional requirements for vega risk | |||||||||
090 | Scenario matrix approach | |||||||||
BREAKDOWN OF TOTAL POSITIONS (REPORTING CURRENCY INCLUDED) BY EXPOSURE TYPES | ||||||||||
100 | Other assets and liabilities other than off-balance sheet items and derivatives | |||||||||
110 | Off-balance sheet items | |||||||||
120 | Derivatives | |||||||||
Memorandum items: CURRENCY POSITIONS | ||||||||||
130 | Euro | |||||||||
140 | Lek | |||||||||
150 | Argentine Peso | |||||||||
160 | Australian Dollar | |||||||||
170 | Brazilian Real | |||||||||
180 | Bulgarian Lev | |||||||||
190 | Canadian Dollar | |||||||||
200 | Czech Koruna | |||||||||
210 | Danish Krone | |||||||||
220 | Egyptian Pound | |||||||||
230 | Pound Sterling | |||||||||
240 | Forint | |||||||||
250 | Yen | |||||||||
270 | Lithuanian Litas | |||||||||
280 | Denar | |||||||||
290 | Mexican Peso | |||||||||
300 | Zloty | |||||||||
310 | Rumanian Leu | |||||||||
320 | Russian Ruble | |||||||||
330 | Serbian Dinar | |||||||||
340 | Swedish Krona | |||||||||
350 | Swiss Franc | |||||||||
360 | Turkish Lira | |||||||||
370 | Hryvnia | |||||||||
380 | US Dollar | |||||||||
390 | Iceland Krona | |||||||||
400 | Norwegian Krone | |||||||||
410 | Hong Kong Dollar | |||||||||
420 | New Taiwan Dollar | |||||||||
430 | New Zealand Dollar | |||||||||
440 | Singapore Dollar | |||||||||
450 | Won | |||||||||
460 | Yuan Renminbi | |||||||||
470 | Other | |||||||||
480 | Croatian Kuna |
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 |
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 |
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} |
Country: | |||||||||||||||||||||||||||||||
Direct exposures | Memorandum item: credit derivatives sold on general government exposures | Exposure value | Risk weighted exposure amount | ||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
On-balance sheet exposures | Accumulated impairment | Accumulated negative changes in fair value due to credit risk | Derivatives | Off-balance sheet exposures | |||||||||||||||||||||||||||
Total gross carrying amount of non-derivative financial assets | Total carrying amount of non-derivative financial assets (net of short positions) | Non-derivative financial assets by accounting portfolios | Short positions | Derivatives with positive fair value | Derivatives with negative fair value | Nominal amount | Provisions | Accumulated negative changes in fair value due to credit risk | Derivatives with positive fair value - Carrying amount | Derivatives with negative fair value - Carrying amount | |||||||||||||||||||||
Financial assets held for trading | Trading financial assets | Non-trading financial assets mandatorily at fair value through profit or loss | Financial assets designated at fair value through profit or loss | Non-trading non-derivative financial assets measured at fair value through profit or loss | Financial assets at fair value through other comprehensive income | Non-trading non-derivative financial assets measured at fair value to equity | Financial assets at amortised cost | Non-trading non-derivative financial assets measured at a cost-based method | Other non-trading non-derivative financial assets | Of which: Short positions from reverse repurchased loans classified as held for trading or trading financial assets | of which: from financial assets at fair value through other comprehensive income or from non-trading non-derivative financial assets measured at fair value to equity | of which: from non-trading financial assets mandatorily at fair value through profit or loss, financial assets designated at fair value through profit or loss or from non-trading financial assets measured at fair value through profit or loss | of which: from financial assets at fair value through other comprehensive income or from non-trading non-derivative financial assets measured at fair value to equity | Carrying amount | Notional amount | Carrying amount | Notional amount | ||||||||||||||
010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | 110 | 120 | 130 | 140 | 150 | 160 | 170 | 180 | 190 | 200 | 210 | 220 | 230 | 240 | 250 | 260 | 270 | 280 | 290 | 300 | ||
010 | Total exposures | ||||||||||||||||||||||||||||||
BREAKDOWN OF TOTAL EXPOSURES BY RISK, REGULATORY APPROACH AND EXPOSURE CLASSES: | |||||||||||||||||||||||||||||||
020 | Exposures under the credit risk framework | ||||||||||||||||||||||||||||||
030 | Standardised Approach | ||||||||||||||||||||||||||||||
040 | Central governments | ||||||||||||||||||||||||||||||
050 | Regional governments or local authorities | ||||||||||||||||||||||||||||||
060 | Public sector entities | ||||||||||||||||||||||||||||||
070 | International Organisations | ||||||||||||||||||||||||||||||
080 | IRB Approach | ||||||||||||||||||||||||||||||
090 | Central governments | ||||||||||||||||||||||||||||||
100 | Regional governments or local authorities [Central governments] | ||||||||||||||||||||||||||||||
110 | Regional governments or local authorities [Institutions] | ||||||||||||||||||||||||||||||
120 | Public sector entities [Central governments] | ||||||||||||||||||||||||||||||
130 | Public sector entities [Institutions] | ||||||||||||||||||||||||||||||
140 | International Organisations [Central governments] | ||||||||||||||||||||||||||||||
150 | International Organisations [Institutions] | ||||||||||||||||||||||||||||||
160 | Exposures under the market risk framework | ||||||||||||||||||||||||||||||
BREAKDOWN OF TOTAL EXPOSURES BY RESIDUAL MATURITY: | |||||||||||||||||||||||||||||||
170 | [ 0 - 3M [ | ||||||||||||||||||||||||||||||
180 | [ 3M - 1Y [ | ||||||||||||||||||||||||||||||
190 | [ 1Y - 2Y [ | ||||||||||||||||||||||||||||||
200 | [ 2Y - 3Y [ | ||||||||||||||||||||||||||||||
210 | [3Y - 5Y [ | ||||||||||||||||||||||||||||||
220 | [5Y - 10Y [ | ||||||||||||||||||||||||||||||
230 | [10Y – more’ |
capital adequacy, an overview of regulatory capital; total risk exposure amount;
group solvency, an overview of the fulfilment of the solvency requirements by all individual entities included in the scope of consolidation of the reporting entity
credit risk (including counterparty, dilution and settlement risks);
market risk (including position risk in trading book, foreign exchange risk, commodities risk and CVA risk);
operational risk.
CA1 template contains the amount of own funds of the institutions, disaggregated in the items needed to get to that amount. The amount of own funds obtained includes the aggregate effect of transitional provisions per type of capital
CA2 template summarizes the total risk exposures amounts as defined in Article 92(3) of Regulation (EU) No 575/2013 (‘CRR’)
CA3 template contains the ratios for which CRR state a minimum level, and some other related data
CA4 template contains memorandums items needed for calculating items in CA1 as well as information with regard to the CRD capital buffers.
CA5 template contains the data needed for calculating the effect of transitional provisions in own funds. CA5 will cease to exist once the transitional provisions will expire.
The items in CA1 are generally gross of transitional adjustments. This means that figures in CA1 items are calculated according to the final provisions (i.e. as if there were no transitional provisions), with the exception of items summarizing the effect of the transitional provisions. For each type of capital (i.e. CET1; AT1 and T2) there are three different items in which all the adjustments due to transitional provisions are included.
Transitional provisions may also affect the AT1 and the T2 shortfall (i.e. AT1 or T2 the excess of deduction, regulated in articles 36(1) point (j) and 56 point (e) of CRR respectively), and thus the items containing these shortfalls may indirectly reflect the effect of transitional provisions.
Template CA5 is exclusively used for reporting the transitional provisions.
The templates CA1, CA2 or CA5 only contain data on Pillar I issues.
The template CA3 contains the impact of additional Pillar II-requirements on the solvency ratio on an aggregated basis. One block focuses on the impact of amounts on the ratios, whereas the other block focuses on the ratio itself. Both blocks of ratios do not have any further link to the templates CA1, CA2 or CA5.
The template CA4 contains one cell regarding additional own funds requirements relating to Pillar II. This cell has no link via validation rules to the capital ratios of the CA3 template and reflects Article 104(2) CRD which explicitly mentions additional own funds requirements as one possibility for Pillar II decisions.
Template 5.1 summarizes the total adjustments which need to be made to the different components of own funds (reported in CA1 according to the final provisions) as a consequence of the application of the transitional provisions. The elements of this table are presented as ‘adjustments’ to the different capital components in CA1, in order to reflect in own funds components the effects of the transitional provisions.
Template 5.2 provides further details on the calculation of those grandfathered instruments which do not constitute state aid.
Entities within the scope of consolidation;
Detailed group solvency information;
Information on the contribution of individual entities to group solvency;
Information on capital buffers;
the distribution of the exposure values according to the different, exposure types, risk weights and exposure classes;
the amount and type of credit risk mitigation techniques used for mitigating the risks.
Exposures assigned to exposure class ‘items representing securitisation positions’ according to Article 112 (m) of CRR which shall be reported in the CR SEC templates.
Exposures deducted from own funds.
Credit risk in accordance with Chapter 2 (Standardised Approach) of Title II of Part Three of CRR in the banking book, among which Counterparty credit risk in accordance with Chapter 6 (Counterparty credit risk) of Title II of Part Three of CRR in the banking book;
Counterparty credit risk in accordance with Chapter 6 (Counterparty credit risk) of Title II of Part Three of CRR in the trading book;
Settlement risk arising from free deliveries in accordance with Article 379 of CRR in respect of all the business activities.
Central governments or central banks (Article 112 point (a) of CRR)
Regional governments or local authorities (Article 112 point (b) of CRR)
Public sector entities (Article 112 point (c) of CRR)
Institutions (Article 112 point (f) of CRR)
Corporates (Article 112 point (g) of CRR)
Retail (Article 112 point (h) of CRR).
In the first step the Original exposure pre conversion factors is classified into the corresponding (original) exposure class as referred to in Article 112 of CRR, without prejudice to the specific treatment (risk weight) that each specific exposure shall receive within the assigned exposure class.
In a second step the exposures may be redistributed to other exposure classes due to the application of credit risk mitigation (CRM) techniques with substitution effects on the exposure (e.g. guarantees, credit derivatives, financial collateral simple method) via inflows and outflows.
Securitisation positions;
Items associated with particular high risk;
Equity exposures
Exposures in default;
Exposures in the form of units or shares in collective investment undertakings (‘CIU’)/Exposures in the form of covered bonds (disjoint exposure classes);
Exposures secured by mortgages on immovable property;
Other items;
Exposures to institutions and corporates with a short-term credit assessment;
All other exposure classes (disjoint exposure classes) which include Exposures to central governments or central banks; Exposures to regional governments or local authorities; Exposures to public sector entities; Exposures to multilateral development banks; Exposures to international organisations; Exposures to institutions; Exposures to corporate and Retail exposures.
Original exposure pre conversion factors | ||
Does it fit for being assigned to the exposure class of Article 112 (m)? | Securitisation positions | |
Does it fit for being assigned to the exposure class of Article 112point (k)? | Items associated with particular high risk (also see Article 128) | |
Does it fit for being assigned to the exposure class of Article 112 point (p)? | Equity exposures (also see Article 133) | |
Does it fit for being assigned to the exposure class of Article 112 point (j)? | Exposures in default | |
Does it fit for being assigned to the exposure classes of Article 112 points (l) and (o)? | Exposures in the form of units or shares in collective investment undertakings (CIU) Exposures in the form of covered bonds (also see Article 129) These two exposure classes are disjoint among themselves (see comments on the look-through approach in the answer above). Therefore the assignment to one of them is straightforward. | |
Does it fit for being assigned to the exposure class of Article 112 point (i)? | Exposures secured by mortgages on immovable property (also see Article 124) | |
Does it fit for being assigned to the exposure class of Article 112 point (q)? | Other items | |
Does it fit for being assigned to the exposure class of Article 112 point (n)? | Exposures to institutions and corporates with a short-term credit assessment | |
The exposure classes below are disjoint among themselves. Therefore the assignment to one of them is straightforward. Exposures to central governments or central banks Exposures to regional governments or local authorities Exposures to public sector entities Exposures to multilateral development banks Exposures to international organisations Exposures to institutions Exposures to corporates Retail exposures |
Credit risk in the banking book, among which:
Counterparty credit risk in the banking book;
Dilution risk for purchased receivables;
Counterparty credit risk in the trading book;
Free deliveries resulting from all business activities..
Equity exposures, which are reported in the CR EQU IRB template;
Securitisation positions, which are reported in the CR SEC SA, CR SEC IRB and/or CR SEC Details templates;
‘Other non-obligation assets’, according to Article 147(2) point (g) CRR. The risk weight for this exposure class has to be set at 100 % at any time except for cash in hand, equivalent cash items and exposures that are residual values of leased assets, according to Article 156 CRR. The risk weighted exposure amounts for this exposure class are reported directly in the CA-Template;
Credit valuation adjustment risk, which is reported on the CVA Risk template;
The CR IRB template does not require a geographical breakdown of IRB exposures by residence of the counterparty. This breakdown is reported in the template CR GB.
‘NO’ = in case the supervisory estimates of LGD and credit conversion factors are used (Foundation IRB)
‘YES’ = in case own estimates of LGD and credit conversion factors are used (Advanced IRB)
In any case, for the reporting of the retail portfolios ‘YES’ has to be reported.
In case an institution uses own estimates of LGDs to calculate risk weighted exposure amounts for a part of its IRB exposures as well as uses supervisory LGDs to calculate risk weighted exposure amounts for the other part of its IRB exposures, an CR IRB Total for F-IRB positions and one CR IRB Total for A-IRB positions has to be reported.
Total
(The Total template must be reported for the Foundation IRB and, separately for the Advanced IRB approach.)
Central banks and central governments
(Article 147(2)(a) CRR)
Institutions
(Article 147(2) point (b) CRR)
Corporate – SME
(Article 147(2) point (c) CRR
Corporate – Specialised lending
(Article 147(8) CRR)
Corporate – Other
(All corporates according to Article 147(2) point (c), not reported under 4.1 and 4.2).
Retail – Secured by immovable property SME
(Exposures reflecting Article 147(2) point (d) in conjunction with Article 154(3) CRR which are secured by immovable property).
Retail – Secured by immovable property non-SME
(Exposures reflecting Article 147(2) point (d) CRR which are secured by immovable property and not reported under 5.1).
Retail – Qualifying revolving
(Article 147(2) point (d) in conjunction with Article 154(4) CRR).
Retail – Other SME
(Article 147(2) point (d) not reported under 5.1 and 5.3).
Retail – Other non – SME
(Article 147(2) point (d) CRR which were not reported under 5.2 and 5.3).
Row | Instructions |
---|---|
010-001 – 010-NNN | Values reported in these rows must be in ordered from the lower to the higher according to the PD assigned to the obligor grade or pool. PD of obligors in default shall be 100 %. Exposures subject to the alternative treatment for real estate collateral (only available when not using own estimates for the LGD) shall not be assigned according to the PD of the obligor and not reported in this template. |
non-debt exposures conveying a subordinated, residual claim on the assets or income of the issuer; or
debt exposures and other securities, partnerships, derivatives, or other vehicles, the economic substance of which is similar to the exposures specified in point (a).
the Simple Risk Weight approach,
the PD/LGD approach, or
the Internal Models approach.
Moreover, institutions applying the IRB approach shall also report in the CR EQU IRB template risk-weighted exposure amounts for those equity exposures which attract a fixed risk-weight treatment (without however being explicitly treated according to the Simple Risk Weight approach or the (temporary or permanent) partial use of the credit risk standardised approach (e.g. equity exposures attracting a risk-weight of 250 % in accordance with Article 48(4) of CRR, respectively a risk-weight of 370 % in accordance with Article 471(2) of CRR))).
Equity exposures in the trading book (in case where institutions are not exempted from calculating own funds requirements for trading book positions according to Article 94 of CRR).
Equity exposures subject to the partial use of the standardised approach (Article 150 of CRR), including:
Grandfathered equity exposures according to Article 495(1) of CRR,
Equity exposures to entities whose credit obligations are assigned a 0 % risk weight under the Standardised Approach, including those publicly sponsored entities where a 0 % risk weight can be applied (Article 150(1) point (g) of CRR),
Equity exposures incurred under legislated programmes to promote specified sectors of the economy that provide significant subsidies for the investment to the institution and involve some form of government oversight and restrictions on the equity investments (Article 150(1) point (h) of CRR).
Equity exposures to ancillary services undertakings whose risk weighted exposure amounts may be calculated according to the treatment of ‘other non credit-obligation assets’ (in accordance with Article 155(1) of CRR).
Equity claims deducted from own funds in accordance with Articles 46 and 48 of the CRR.
Securitisations originated/sponsored by the reporting institution in case it holds at least one position in the securitisation. This means that, regardless of whether there has been a significant risk transfer or not, institutions shall report information on all the positions they hold (either in the banking book or trading book). Positions held include those positions retained due to Article 405 of CRR.
Securitisations originated/sponsored by the reporting institution during the year of report(1), in case it holds no position.
Securitisations, the ultimate underlying of which are financial liabilities originally issued by the reporting institution and (partially) acquired by a securitisation vehicle. This underlying could include covered bonds or other liabilities and shall be identified as such in column 160.
Positions held in securitisations where the reporting institution is neither originator nor sponsor (i.e. investors and original lenders).
‘accounted for the first time’ within the reporting reference period or
‘accounted for the first time’ within a previous reporting reference period, if the event had not been included in any previous supervisory report, e.g. because it was identified as operational risk event only in the current reporting reference period or because the accumulated loss attributable to that event (i.e. the original loss plus/minus all loss adjustments made in previous reporting reference periods) exceeded the internal data collection threshold only in the current reporting reference period.
Subject to that threshold,
the largest event for each event type, provided that the institution has identified the event types for losses and
at least the ten largest of the remaining events with or without identified event type by gross loss amount shall be included in the template.
Events are ranked based on the gross loss attributed to them.
An event shall only be considered once.
one total template
one template for each national market in the Union where the institution is exposed to, and
one template aggregating the data for all national markets outside the Union where the institution is exposed to.
Losses should be reported for all defaults on loans secured by real estate property that occur during the respective reporting period and irrespective of whether the work out is completed during the period or not. Loss data reported as of 30 June shall refer to the period 1 January until 30 June and loss data reported as of 31 December shall refer to the whole calendar year. Since there may be a long time lag between default and loss realisation, loss estimates (which includes incomplete workout process) shall be reported in cases where the workout has not been completed within the reporting period.
For all defaults observed within the reporting period, there are three scenarios: (i.) defaulted loan can be restructured so that it is no longer treated as in default (no loss observed); (ii.) realization of all collateral is completed (completed workout, actual loss known); or (iii.) incomplete workout (loss estimates to be used). Loss reporting shall include only losses stemming from scenario (ii.) realisation of collateral (observed losses) and scenario (iii.) incomplete workout (estimates of losses).
As losses shall be reported only for exposures having defaulted during the reporting period, changes to losses of exposures having defaulted during previous reporting periods will not be reflected in the reported data. I.e. proceeds from the realisation of the collateral at a later reporting period or lower realised costs than previously estimated shall not be reported.
Rows | |
---|---|
010 | Residential property. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
020 | Commercial immovable property’. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
C 47.00: Leverage Ratio Calculation (LRCalc): Leverage ratio calculation;
C 40.00: Leverage Ratio Template 1 (LR1): Alternative treatment of the exposure measure;
C 41.00: Leverage Ratio Template 2 (LR2): On and off-balance sheet items – additional breakdown of exposures;
C 42.00: Leverage Ratio Template 3 (LR3): Alternative definition of capital;
C 43.00: Leverage Ratio Template 4 (LR4): Breakdown of leverage ratio exposure measure components; and
C 44.00: Leverage Ratio Template 5 (LR5): General information.
CRR, which is an abbreviation of Capital Requirements Regulation and shall mean Regulation (EU) No 575/2013;
SFT, which is an abbreviation of Securities Financing Transaction and shall mean ‘repurchase transaction, securities or commodities lending or borrowing transaction, long settlement transaction and margin lending transaction’ as referred to in Regulation (EU) No 575/2013;
CRM, which is an abbreviation for Credit Risk Mitigation.
the derivatives share referred to in paragraph 7 is more than 1,5 % on two consecutive reporting reference dates;
the derivatives share referred to in paragraph 7 exceeds 2,0 %.
the credit derivatives volume referred to in paragraph 10 is more than 300 million EUR on two consecutive reporting reference dates;
the credit derivatives volume referred to in paragraph 10 exceeds 500 million EUR.
All data items set out in the Annexes to this Regulation shall be transformed into a single data point model which is the basis for uniform IT systems of institutions and competent authorities.
The single data point model shall meet the following criteria:
provide a structured representation of all data items set out in Annexes I, III, IV, VI, VIII, X, XII and XVI;
identify all the business concepts set out in Annexes I to XIII, XVI and XVII;
provide a data dictionary identifying table labels, ordinate labels, axis labels, domain labels, dimension labels and member labels;
provide metrics which define the property or amount of data points;
provide data point definitions that are expressed as a composition of characteristics that univocally identify the financial concept;
contain all the relevant technical specifications necessary for developing IT reporting solutions producing uniform supervisory data.’
The data items set out in the Annexes to this Regulation shall be subject to validation rules ensuring data quality and consistency.
The validation rules shall meet the following criteria:
define the logical relationships between relevant data points;
include filters and preconditions that define a set of data to which a validation rule applies;
check the consistency of the reported data;
check the accuracy of the reported data;
set default values which shall be applied where the relevant information has not been reported.’
AMM TEMPLATES | ||
---|---|---|
Template number | Template code | Name of the template/group of templates |
ADDITIONAL MONITORING TOOLS TEMPLATES | ||
67 | C 67.00 | CONCENTRATION OF FUNDING BY COUNTERPARTY |
68 | C 68.00 | CONCENTRATION OF FUNDING BY PRODUCT TYPE |
69 | C 69.00 | PRICES FOR VARIOUS LENGTHS OF FUNDING |
70 | C 70.00 | ROLL-OVER OF FUNDING |
Total and significant currencies | |||||||
Concentration of funding by product type | |||||||
---|---|---|---|---|---|---|---|
Row | ID | Product Name | Carrying amount received | Amount covered by a Deposit Guarantee Scheme according to Directive 2014/49/EU or an equivalent deposit guarantee scheme in a third country | Amount not covered by a Deposit Guarantee Scheme according to Directive 2014/49/EU or an equivalent deposit guarantee scheme in a third country | Weighted average original maturity | Weighted average residual maturity |
010 | 020 | 030 | 040 | 050 | |||
PRODUCTS GREATER THAN 1 % OF TOTAL LIABILITIES | |||||||
010 | 1 | RETAIL FUNDING | |||||
020 | 1.1 | of which sight deposits | |||||
031 | 1.2 | of which term deposits not withdrawable within the following 30 days | |||||
041 | 1.3 | of which term deposits withdrawable within the following 30 days | |||||
070 | 1.4 | Savings accounts | |||||
080 | 1.4.1 | with a notice period for withdrawal greater than 30 days | |||||
090 | 1.4.2 | without a notice period for withdrawal greater than 30 days | |||||
100 | 2 | WHOLESALE FUNDING | |||||
110 | 2.1 | Unsecured wholesale funding | |||||
120 | 2.1.1 | of which loans and deposits from financial customers | |||||
130 | 2.1.2 | of which loans and deposits from non financial customers | |||||
140 | 2.1.3 | of which loans and deposits from intra-group entities | |||||
150 | 2.2 | Secured wholesale funding | |||||
160 | 2.2.1 | of which SFTs | |||||
170 | 2.2.2 | of which covered bond issuance | |||||
180 | 2.2.3 | of which asset backed security issuance | |||||
190 | 2.2.4 | of which loans and deposits from intra-group entities |
Total and significant currencies | ||||||||||||||||||||
Prices for various lengths of funding | ||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Overnight | 1 week | 1 month | 3 months | 6 months | 1 year | 2 years | 5 years | 10 years | ||||||||||||
Spread | Volume | Spread | Volume | Spread | Volume | Spread | Volume | Spread | Volume | Spread | Volume | Spread | Volume | Spread | Volume | Spread | Volume | |||
Row | ID | Item | 010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | 110 | 120 | 130 | 140 | 150 | 160 | 170 | 180 |
010 | 1 | Total Funding | ||||||||||||||||||
020 | 1.1 | of which: Retail funding | ||||||||||||||||||
030 | 1.2 | of which: Unsecured wholesale funding | ||||||||||||||||||
040 | 1.3 | of which: Secured funding | ||||||||||||||||||
050 | 1.4 | of which: Senior unsecured securities | ||||||||||||||||||
060 | 1.5 | of which: Covered bonds | ||||||||||||||||||
070 | 1.6 | of which: Asset backed securities including ABCP |
Total and significant currencies | |||||||||||||||||||||||||||||||||||
Roll-over of funding | |||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Overnight | > 1 day ≤ 7 days | > 7 days ≤ 14 days | > 14 days ≤ 1 month | > 1 Month ≤ 3 Months | > 3 Months ≤ 6 Months | > 6 Months | Total net cashflows | Average Term (days) | |||||||||||||||||||||||||||
Maturing | Roll over | New Funds | Net | Maturing | Roll over | New Funds | Net | Maturing | Roll over | New Funds | Net | Maturing | Roll over | New Funds | Net | Maturing | Roll over | New Funds | Net | Maturing | Roll over | New Funds | Net | Maturing | Roll over | New Funds | Net | Maturing Funds Term | Roll-over Funds Term | New Funds Term | |||||
Row | ID | Day | Item | 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 |
010 | 1.1 | 1 | Total funding | ||||||||||||||||||||||||||||||||
020 | 1.1.1 | Retail funding | |||||||||||||||||||||||||||||||||
030 | 1.1.2 | Unsecured wholesale funding | |||||||||||||||||||||||||||||||||
040 | 1.1.3 | Secured funding | |||||||||||||||||||||||||||||||||
050 | 1.2 | 2 | Total funding | ||||||||||||||||||||||||||||||||
060 | 1.2.1 | Retail funding | |||||||||||||||||||||||||||||||||
070 | 1.2.2 | Unsecured wholesale funding | |||||||||||||||||||||||||||||||||
080 | 1.2.3 | Secured funding | |||||||||||||||||||||||||||||||||
090 | 1.3 | 3 | Total funding | ||||||||||||||||||||||||||||||||
100 | 1.3.1 | Retail funding | |||||||||||||||||||||||||||||||||
110 | 1.3.2 | Unsecured wholesale funding | |||||||||||||||||||||||||||||||||
120 | 1.3.3 | Secured funding | |||||||||||||||||||||||||||||||||
130 | 1.4 | 4 | Total funding | ||||||||||||||||||||||||||||||||
140 | 1.4.1 | Retail funding | |||||||||||||||||||||||||||||||||
150 | 1.4.2 | Unsecured wholesale funding | |||||||||||||||||||||||||||||||||
160 | 1.4.3 | Secured funding | |||||||||||||||||||||||||||||||||
170 | 1.5 | 5 | Total funding | ||||||||||||||||||||||||||||||||
180 | 1.5.1 | Retail funding | |||||||||||||||||||||||||||||||||
190 | 1.5.2 | Unsecured wholesale funding | |||||||||||||||||||||||||||||||||
200 | 1.5.3 | Secured funding | |||||||||||||||||||||||||||||||||
210 | 1.6 | 6 | Total funding | ||||||||||||||||||||||||||||||||
220 | 1.6.1 | Retail funding | |||||||||||||||||||||||||||||||||
230 | 1.6.2 | Unsecured wholesale funding | |||||||||||||||||||||||||||||||||
240 | 1.6.3 | Secured funding | |||||||||||||||||||||||||||||||||
250 | 1.7 | 7 | Total funding | ||||||||||||||||||||||||||||||||
260 | 1.7.1 | Retail funding | |||||||||||||||||||||||||||||||||
270 | 1.7.2 | Unsecured wholesale funding | |||||||||||||||||||||||||||||||||
280 | 1.7.3 | Secured funding | |||||||||||||||||||||||||||||||||
290 | 1.8 | 8 | Total funding | ||||||||||||||||||||||||||||||||
300 | 1.8.1 | Retail funding | |||||||||||||||||||||||||||||||||
310 | 1.8.2 | Unsecured wholesale funding | |||||||||||||||||||||||||||||||||
320 | 1.8.3 | Secured funding | |||||||||||||||||||||||||||||||||
330 | 1.9 | 9 | Total funding | ||||||||||||||||||||||||||||||||
340 | 1.9.1 | Retail funding | |||||||||||||||||||||||||||||||||
350 | 1.9.2 | Unsecured wholesale funding | |||||||||||||||||||||||||||||||||
360 | 1.9.3 | Secured funding | |||||||||||||||||||||||||||||||||
370 | 1.10 | 10 | Total funding | ||||||||||||||||||||||||||||||||
380 | 1.10.1 | Retail funding | |||||||||||||||||||||||||||||||||
390 | 1.10.2 | Unsecured wholesale funding | |||||||||||||||||||||||||||||||||
400 | 1.10.3 | Secured funding | |||||||||||||||||||||||||||||||||
410 | 1.11 | 11 | Total funding | ||||||||||||||||||||||||||||||||
420 | 1.11.1 | Retail funding | |||||||||||||||||||||||||||||||||
430 | 1.11.2 | Unsecured wholesale funding | |||||||||||||||||||||||||||||||||
440 | 1.11.3 | Secured funding | |||||||||||||||||||||||||||||||||
450 | 1.12 | 12 | Total funding | ||||||||||||||||||||||||||||||||
460 | 1.12.1 | Retail funding | |||||||||||||||||||||||||||||||||
470 | 1.12.2 | Unsecured wholesale funding | |||||||||||||||||||||||||||||||||
480 | 1.12.3 | Secured funding | |||||||||||||||||||||||||||||||||
490 | 1.13 | 13 | Total funding | ||||||||||||||||||||||||||||||||
500 | 1.13.1 | Retail funding | |||||||||||||||||||||||||||||||||
510 | 1.13.2 | Unsecured wholesale funding | |||||||||||||||||||||||||||||||||
520 | 1.13.3 | Secured funding | |||||||||||||||||||||||||||||||||
530 | 1.14 | 14 | Total funding | ||||||||||||||||||||||||||||||||
540 | 1.14.1 | Retail funding | |||||||||||||||||||||||||||||||||
550 | 1.14.2 | Unsecured wholesale funding | |||||||||||||||||||||||||||||||||
560 | 1.14.3 | Secured funding | |||||||||||||||||||||||||||||||||
570 | 1.15 | 15 | Total funding | ||||||||||||||||||||||||||||||||
580 | 1.15.1 | Retail funding | |||||||||||||||||||||||||||||||||
590 | 1.15.2 | Unsecured wholesale funding | |||||||||||||||||||||||||||||||||
600 | 1.15.3 | Secured funding | |||||||||||||||||||||||||||||||||
610 | 1.16 | 16 | Total funding | ||||||||||||||||||||||||||||||||
620 | 1.16.1 | Retail funding | |||||||||||||||||||||||||||||||||
630 | 1.16.2 | Unsecured wholesale funding | |||||||||||||||||||||||||||||||||
640 | 1.16.3 | Secured funding | |||||||||||||||||||||||||||||||||
650 | 1.17 | 17 | Total funding | ||||||||||||||||||||||||||||||||
660 | 1.17.1 | Retail funding | |||||||||||||||||||||||||||||||||
670 | 1.17.2 | Unsecured wholesale funding | |||||||||||||||||||||||||||||||||
680 | 1.17.3 | Secured funding | |||||||||||||||||||||||||||||||||
690 | 1.18 | 18 | Total funding | ||||||||||||||||||||||||||||||||
700 | 1.18.1 | Retail funding | |||||||||||||||||||||||||||||||||
710 | 1.18.2 | Unsecured wholesale funding | |||||||||||||||||||||||||||||||||
720 | 1.18.3 | Secured funding | |||||||||||||||||||||||||||||||||
730 | 1.19 | 19 | Total funding | ||||||||||||||||||||||||||||||||
740 | 1.19.1 | Retail funding | |||||||||||||||||||||||||||||||||
750 | 1.19.2 | Unsecured wholesale funding | |||||||||||||||||||||||||||||||||
760 | 1.19.3 | Secured funding | |||||||||||||||||||||||||||||||||
770 | 1.20 | 20 | Total funding | ||||||||||||||||||||||||||||||||
780 | 1.20.1 | Retail funding | |||||||||||||||||||||||||||||||||
790 | 1.20.2 | Unsecured wholesale funding | |||||||||||||||||||||||||||||||||
800 | 1.20.3 | Secured funding | |||||||||||||||||||||||||||||||||
810 | 1.21 | 21 | Total funding | ||||||||||||||||||||||||||||||||
820 | 1.21.1 | Retail funding | |||||||||||||||||||||||||||||||||
830 | 1.21.2 | Unsecured wholesale funding | |||||||||||||||||||||||||||||||||
840 | 1.21.3 | Secured funding | |||||||||||||||||||||||||||||||||
850 | 1.22 | 22 | Total funding | ||||||||||||||||||||||||||||||||
860 | 1.22.1 | Retail funding | |||||||||||||||||||||||||||||||||
870 | 1.22.2 | Unsecured wholesale funding | |||||||||||||||||||||||||||||||||
880 | 1.22.3 | Secured funding | |||||||||||||||||||||||||||||||||
890 | 1.23 | 23 | Total funding | ||||||||||||||||||||||||||||||||
900 | 1.23.1 | Retail funding | |||||||||||||||||||||||||||||||||
910 | 1.23.2 | Unsecured wholesale funding | |||||||||||||||||||||||||||||||||
920 | 1.23.3 | Secured funding | |||||||||||||||||||||||||||||||||
930 | 1.24 | 24 | Total funding | ||||||||||||||||||||||||||||||||
940 | 1.24.1 | Retail funding | |||||||||||||||||||||||||||||||||
950 | 1.24.2 | Unsecured wholesale funding | |||||||||||||||||||||||||||||||||
960 | 1.24.3 | Secured funding | |||||||||||||||||||||||||||||||||
970 | 1.25 | 25 | Total funding | ||||||||||||||||||||||||||||||||
980 | 1.25.1 | Retail funding | |||||||||||||||||||||||||||||||||
990 | 1.25.2 | Unsecured wholesale funding | |||||||||||||||||||||||||||||||||
1000 | 1.25.3 | Secured funding | |||||||||||||||||||||||||||||||||
1010 | 1.26 | 26 | Total funding | ||||||||||||||||||||||||||||||||
1020 | 1.26.1 | Retail funding | |||||||||||||||||||||||||||||||||
1030 | 1.26.2 | Unsecured wholesale funding | |||||||||||||||||||||||||||||||||
1040 | 1.26.3 | Secured funding | |||||||||||||||||||||||||||||||||
1050 | 1.27 | 27 | Total funding | ||||||||||||||||||||||||||||||||
1060 | 1.27.1 | Retail funding | |||||||||||||||||||||||||||||||||
1070 | 1.27.2 | Unsecured wholesale funding | |||||||||||||||||||||||||||||||||
1080 | 1.27.3 | Secured funding | |||||||||||||||||||||||||||||||||
1090 | 1.28 | 28 | Total funding | ||||||||||||||||||||||||||||||||
1100 | 1.28.1 | Retail funding | |||||||||||||||||||||||||||||||||
1110 | 1.28.2 | Unsecured wholesale funding | |||||||||||||||||||||||||||||||||
1120 | 1.28.3 | Secured funding | |||||||||||||||||||||||||||||||||
1130 | 1.29 | 29 | Total funding | ||||||||||||||||||||||||||||||||
1140 | 1.29.1 | Retail funding | |||||||||||||||||||||||||||||||||
1150 | 1.29.2 | Unsecured wholesale funding | |||||||||||||||||||||||||||||||||
1160 | 1.29.3 | Secured funding | |||||||||||||||||||||||||||||||||
1170 | 1.30 | 30 | Total funding | ||||||||||||||||||||||||||||||||
1180 | 1.30.1 | Retail funding | |||||||||||||||||||||||||||||||||
1190 | 1.30.2 | Unsecured wholesale funding | |||||||||||||||||||||||||||||||||
1200 | 1.30.3 | Secured funding | |||||||||||||||||||||||||||||||||
1210 | 1,31 | 31 | Total funding | ||||||||||||||||||||||||||||||||
1220 | 1.31.1 | Retail funding | |||||||||||||||||||||||||||||||||
1230 | 1.31.2 | Unsecured wholesale funding | |||||||||||||||||||||||||||||||||
1240 | 1.31.3 | Secured funding’ |
the 1 % of total liabilities threshold shall be applied for the product types referred to in all of the following rows: 1.1 ‘Sight deposit’; 1.2 ‘Term deposits not withdrawable within the following 30 days’; 1.3 ‘Term deposits within the following 30 days’; 1.4 ‘Saving accounts’; 2.1 ‘Unsecured wholesale funding’; 2.2 ‘Secured wholesale funding’;
with regard to the calculation of the 1 % of total liabilities threshold for row 1.4 ‘Saving accounts’ the threshold shall apply on the sum of 1.4.1 and 1.4.2;
for rows 1. ‘Retail Funding’ and 2. ‘Wholesale Funding’ the 1 % of total liabilities threshold applies on aggregated level only.
overnight in columns 010 and 020;
greater than overnight and less than or equal to 1 week (columns 030 and 040)
greater than 1 week and less than or equal to 1 month in columns 050 and 060;
greater than 1 month and less than or equal to 3 months in columns 070 and 080;
greater than 3 months and less than or equal to 6 months in columns 090 and 100;
greater than 6 months and less than or equal to 1 year in columns 110 and 120;
greater than 1 year and less than or equal to 2 years in columns 130 and 140;
greater than 2 years and less than or equal to 5 years in columns 150 and 160;
greater than 5 years and less than or equal to 10 years in columns 170 and 180.
the spread payable by the institution for liabilities less than or equal to one year, if they were to have been swapped to the benchmark overnight index for the appropriate currency no later than close of business on the day of the transaction;
the spread payable by the firm at issuance for liabilities with an original maturity greater than one year, were they to be swapped to the relevant benchmark index for the appropriate currency which is three month EURIBOR for EUR or LIBOR for GBP and USD, no later than close of business on the day of the transaction.
Solely for the purposes of spread calculation under points a) and b) above, on the basis of historical experience, the institution may determine the original maturity with or without taking into account optionality, as appropriate.
overnight in columns 010 to 040);
between 1 and 7 days in columns 050 to 080);
between 7 and 14 days in columns 090 to 120);
between 14 and 1 month in columns 130 to 160);
between 1 and 3 months in columns 170 to 200);
between 3 and 6 months in columns 210 to 240);
in more than 6 months in columns 250 to 280).
AMM TEMPLATES | ||
---|---|---|
Template number | Template code | Name of the template/group of templates |
CONCENTRATION OF COUNTERBALANCING CAPACITY TEMPLATES | ||
71 | C 71.00 | CONCENTRATION OF COUNTERBALANCING CAPACITY BY ISSUER |
AMM TEMPLATES | ||
---|---|---|
Template number | Template code | Name of the template/group of templates |
MATURITY LADDER TEMPLATE | ||
66 | C 66.00 | MATURITY LADDER TEMPLATE |
Total and significant currencies | ||||||||||||||||||||||||
Code | ID | Item | Contractual Flow Maturity | |||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | 110 | 120 | 130 | 140 | 150 | 160 | 170 | 180 | 190 | 200 | 210 | 220 | |||
010-380 | 1 | OUTFLOWS | Overnight | Greater than overnight up to 2 days | Greater than 2 days up to 3 days | Greater than 3 days up to 4 days | Greater than 4 days up to 5 days | Greater than 5 days up to 6 days | Greater than 6 days up to 7 days | Greater than 7 days up to 2 weeks | Greater than 2 weeks up to 3 weeks | Greater than 3 weeks up to 30 days | Greater than 30 days up to 5 weeks | Greater than 5 weeks up to 2 months | Greater than 2 months up to 3 months | Greater than 3 months up to 4 months | Greater than 4 months up to 5 months | Greater than 5 months up to 6 months | Greater than 6 months up to 9 months | Greater than 9 months up to 12 months | Greater than 12 months up to 2 years | Greater than 2 years up to 5 years | Greater than 5 years | |
010 | 1.1 | Liabilities resulting from securities issued (if not treated as retail deposits) | ||||||||||||||||||||||
020 | 1.1.1 | unsecured bonds due | ||||||||||||||||||||||
030 | 1.1.2 | regulated covered bonds | ||||||||||||||||||||||
040 | 1.1.3 | securitisations due | ||||||||||||||||||||||
050 | 1.1.4 | other | ||||||||||||||||||||||
060 | 1.2 | Liabilities resulting from secured lending and capital market driven transactions collateralised by: | ||||||||||||||||||||||
070 | 1.2.1 | Level 1 tradable assets | ||||||||||||||||||||||
080 | 1.2.1.1 | Level 1 excluding covered bonds | ||||||||||||||||||||||
090 | 1.2.1.1.1 | Level 1 central bank | ||||||||||||||||||||||
100 | 1.2.1.1.2 | Level 1 (CQS 1) | ||||||||||||||||||||||
110 | 1.2.1.1.3 | Level 1 (CQS2, CQS3) | ||||||||||||||||||||||
120 | 1.2.1.1.4 | Level 1 (CQS4+) | ||||||||||||||||||||||
130 | 1.2.1.2 | Level 1 covered bonds (CQS1) | ||||||||||||||||||||||
140 | 1.2.2 | Level 2A tradable assets | ||||||||||||||||||||||
150 | 1.2.2.1 | Level 2A corporate bonds (CQS1) | ||||||||||||||||||||||
160 | 1.2.2.2 | Level 2A covered bonds (CQS1, CQS2) | ||||||||||||||||||||||
170 | 1.2.2.3 | Level 2A public sector (CQS1, CQS2) | ||||||||||||||||||||||
180 | 1.2.3 | Level 2B tradable assets | ||||||||||||||||||||||
190 | 1.2.3.1 | Level 2B Asset Backed Securities (ABS) (CQS1) | ||||||||||||||||||||||
200 | 1.2.3.2 | Level 2B covered bonds (CQS1-6) | ||||||||||||||||||||||
210 | 1.2.3.3 | Level 2B: corporate bonds (CQ1-3) | ||||||||||||||||||||||
220 | 1.2.3.4 | Level 2B shares | ||||||||||||||||||||||
230 | 1.2.3.5 | Level 2B public sector (CQS 3-5) | ||||||||||||||||||||||
240 | 1.2.4 | other tradable assets | ||||||||||||||||||||||
250 | 1.2.5 | other assets | ||||||||||||||||||||||
260 | 1.3 | Liabilities not reported in 1.2, resulting from deposits received (excluding deposits received as collateral) | ||||||||||||||||||||||
270 | 1.3.1 | stable retail deposits | ||||||||||||||||||||||
280 | 1.3.2 | other retail deposits | ||||||||||||||||||||||
290 | 1.3.3 | operational deposits | ||||||||||||||||||||||
300 | 1.3.4 | non-operational deposits from credit institutions | ||||||||||||||||||||||
310 | 1.3.5 | non-operational deposits from other financial customers | ||||||||||||||||||||||
320 | 1.3.6 | non-operational deposits from central banks | ||||||||||||||||||||||
330 | 1.3.7 | non-operational deposits from non-financial corporates | ||||||||||||||||||||||
340 | 1.3.8 | non-operational deposits from other counterparties | ||||||||||||||||||||||
350 | 1.4 | FX-swaps maturing | ||||||||||||||||||||||
360 | 1.5 | Derivatives amount payables other than those reported in 1.4 | ||||||||||||||||||||||
370 | 1.6 | Other outflows | ||||||||||||||||||||||
380 | 1.7 | Total outflows | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | |
390-720 | 2 | INFLOWS | Overnight | Greater than overnight up to 2 days | Greater than 2 days up to 3 days | Greater than 3 days up to 4 days | Greater than 4 days up to 5 days | Greater than 5 days up to 6 days | Greater than 6 days up to 7 days | Greater than 7 days up to 2 weeks | Greater than 2 weeks up to 3 weeks | Greater than 3 weeks up to 30 days | Greater than 30 days up to 5 weeks | Greater than 5 weeks up to 2 months | Greater than 2 months up to 3 months | Greater than 3 months up to 4 months | Greater than 4 months up to 5 months | Greater than 5 months up to 6 months | Greater than 6 months up to 9 months | Greater than 9 months up to 12 months | Greater than 12 months up to 2 years | Greater than 2 years up to 5 years | Greater than 5 years | |
390 | 2.1 | Monies due from secured lending and capital market driven transactions collateralised by: | ||||||||||||||||||||||
400 | 2.1.1 | Level 1 tradable assets | ||||||||||||||||||||||
410 | 2.1.1.1 | Level 1 excluding covered bonds | ||||||||||||||||||||||
420 | 2.1.1.1.1 | Level 1 central bank | ||||||||||||||||||||||
430 | 2.1.1.1.2 | Level 1 (CQS 1) | ||||||||||||||||||||||
440 | 2.1.1.1.3 | Level 1 (CQS2, CQS3) | ||||||||||||||||||||||
450 | 2.1.1.1.4 | Level 1 (CQS4+) | ||||||||||||||||||||||
460 | 2.1.1.2 | Level 1 covered bonds (CQS1) | ||||||||||||||||||||||
470 | 2.1.2 | Level 2A tradable assets | ||||||||||||||||||||||
480 | 2.1.2.1 | Level 2A corporate bonds (CQS1) | ||||||||||||||||||||||
490 | 2.1.2.2 | Level 2A covered bonds (CQS1, CQS2) | ||||||||||||||||||||||
500 | 2.1.2.3 | Level 2A public sector (CQS1, CQS2) | ||||||||||||||||||||||
510 | 2.1.3 | Level 2B tradable assets | ||||||||||||||||||||||
520 | 2.1.3.1 | Level 2B ABS (CQS1) | ||||||||||||||||||||||
530 | 2.1.3.2 | Level 2B covered bonds (CQS1-6) | ||||||||||||||||||||||
540 | 2.1.3.3 | Level 2B: corporate bonds (CQ1-3) | ||||||||||||||||||||||
550 | 2.1.3.4 | Level 2B shares | ||||||||||||||||||||||
560 | 2.1.3.5 | Level 2B public sector (CQS 3-5) | ||||||||||||||||||||||
570 | 2.1.4 | other tradable assets | ||||||||||||||||||||||
580 | 2.1.5 | other assets | ||||||||||||||||||||||
590 | 2.2 | Monies due not reported in 2.1 resulting from loans and advances granted to: | ||||||||||||||||||||||
600 | 2.2.1 | retail customers | ||||||||||||||||||||||
610 | 2.2.2 | non-financial corporates | ||||||||||||||||||||||
620 | 2.2.3 | credit institutions | ||||||||||||||||||||||
630 | 2.2.4 | other financial customers | ||||||||||||||||||||||
640 | 2.2.5 | central banks | ||||||||||||||||||||||
650 | 2.2.6 | other counterparties | ||||||||||||||||||||||
660 | 2.3 | FX-swaps maturing | ||||||||||||||||||||||
670 | 2.4 | Derivatives amount receivables other than those reported in 2.3 | ||||||||||||||||||||||
680 | 2.5 | Paper in own portfolio maturing | ||||||||||||||||||||||
690 | 2.6 | Other inflows | ||||||||||||||||||||||
700 | 2.7 | Total inflows | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | |
710 | 2.8 | Net contractual gap | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | |
720 | 2.9 | Cumulated net contractual gap | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | |
730-1080 | 3 | COUNTERBALANCING CAPACITY | Initial stock | Overnight | Greater than overnight up to 2 days | Greater than 2 days up to 3 days | Greater than 3 days up to 4 days | Greater than 4 days up to 5 days | Greater than 5 days up to 6 days | Greater than 6 days up to 7 days | Greater than 7 days up to 2 weeks | Greater than 2 weeks up to 3 weeks | Greater than 3 weeks up to 30 days | Greater than 30 days up to 5 weeks | Greater than 5 weeks up to 2 months | Greater than 2 months up to 3 months | Greater than 3 months up to 4 months | Greater than 4 months up to 5 months | Greater than 5 months up to 6 months | Greater than 6 months up to 9 months | Greater than 9 months up to 12 months | Greater than 12 months up to 2 years | Greater than 2 years up to 5 years | Greater than 5 years |
730 | 3.1 | coins and bank notes | ||||||||||||||||||||||
740 | 3.2 | Withdrawable central bank reserves | ||||||||||||||||||||||
750 | 3.3 | Level 1 tradable assets | ||||||||||||||||||||||
760 | 3.3.1 | Level 1 excluding covered bonds | ||||||||||||||||||||||
770 | 3.3.1.1 | Level 1 central bank | ||||||||||||||||||||||
780 | 3.3.1.2 | Level 1 (CQS 1) | ||||||||||||||||||||||
790 | 3.3.1.3 | Level 1 (CQS2, CQS3) | ||||||||||||||||||||||
800 | 3.3.1.4 | Level 1 (CQS4+) | ||||||||||||||||||||||
810 | 3.3.2 | Level 1 covered bonds (CQS1) | ||||||||||||||||||||||
820 | 3.4 | Level 2A tradable assets | ||||||||||||||||||||||
830 | 3.4.1 | Level 2A corporate bonds (CQS1) | ||||||||||||||||||||||
840 | 3.4.3 | Level 2A covered bonds (CQS1, CQS2) | ||||||||||||||||||||||
850 | 3.4.4 | Level 2A public sector (CQS1, CQS2) | ||||||||||||||||||||||
860 | 3.5 | Level 2B tradable assets | ||||||||||||||||||||||
870 | 3.5.1 | Level 2B ABS (CQS1) | ||||||||||||||||||||||
880 | 3.5.2 | Level 2B covered bonds (CQS1-6) | ||||||||||||||||||||||
890 | 3.5.3 | Level 2B corporate bonds (CQ1-3) | ||||||||||||||||||||||
900 | 3.5.4 | Level 2B shares | ||||||||||||||||||||||
910 | 3.5.5 | Level 2B public sector (CQS 3-5) | ||||||||||||||||||||||
920 | 3.6 | other tradable assets | ||||||||||||||||||||||
930 | 3.6.1 | central government (CQS1) | ||||||||||||||||||||||
940 | 3.6.2 | central government (CQS 2 & 3) | ||||||||||||||||||||||
950 | 3.6.3 | shares | ||||||||||||||||||||||
960 | 3.6.4 | covered bonds | ||||||||||||||||||||||
970 | 3.6.5 | ABS | ||||||||||||||||||||||
980 | 3.6.6 | other tradable assets | ||||||||||||||||||||||
990 | 3.7 | non tradable assets eligible for central banks | ||||||||||||||||||||||
1000 | 3.8 | undrawn committed facilities received | ||||||||||||||||||||||
1010 | 3.8.1 | Level 1 facilities | ||||||||||||||||||||||
1020 | 3.8.2 | Level 2B restricted use facilities | ||||||||||||||||||||||
1030 | 3.8.3 | Level 2B IPS facilities | ||||||||||||||||||||||
1040 | 3.8.4 | other facilities | ||||||||||||||||||||||
1050 | 3.8.4.1 | from intragroup counterparties | ||||||||||||||||||||||
1060 | 3.8.4.2 | from other counterparties | ||||||||||||||||||||||
1070 | 3.9 | Net change of Counterbalancing Capacity | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | |
1080 | 3.10 | Cumulated Counterbalancing Capacity | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
1090-1130 | 4 | CONTINGENCIES | Overnight | Greater than overnight up to 2 days | Greater than 2 days up to 3 days | Greater than 3 days up to 4 days | Greater than 4 days up to 5 days | Greater than 5 days up to 6 days | Greater than 6 days up to 7 days | Greater than 7 days up to 2 weeks | Greater than 2 weeks up to 3 weeks | Greater than 3 weeks up to 30 days | Greater than 30 days up to 5 weeks | Greater than 5 weeks up to 2 months | Greater than 2 months up to 3 months | Greater than 3 months up to 4 months | Greater than 4 months up to 5 months | Greater than 5 months up to 6 months | Greater than 6 months up to 9 months | Greater than 9 months up to 12 months | Greater than 12 months up to 2 years | Greater than 2 years up to 5 years | Greater than 5 years | |
1090 | 4.1 | Outflows from committed facilities | ||||||||||||||||||||||
1100 | 4.1.1 | Committed credit facilities | ||||||||||||||||||||||
1110 | 4.1.1.1 | considered as Level 2B by the receiver | ||||||||||||||||||||||
1120 | 4.1.1.2 | other | ||||||||||||||||||||||
1130 | 4.1.2 | Liquidity facilities | ||||||||||||||||||||||
1140 | 4.2 | Outflows due to downgrade triggers | ||||||||||||||||||||||
1150-1290 | MEMORANDUM ITEMS | Initial stock | Overnight | Greater than overnight up to 2 days | Greater than 2 days up to 3 days | Greater than 3 days up to 4 days | Greater than 4 days up to 5 days | Greater than 5 days up to 6 days | Greater than 6 days up to 7 days | Greater than 7 days up to 2 weeks | Greater than 2 weeks up to 3 weeks | Greater than 3 weeks up to 30 days | Greater than 30 days up to 5 weeks | Greater than 5 weeks up to 2 months | Greater than 2 months up to 3 months | Greater than 3 months up to 4 months | Greater than 4 months up to 5 months | Greater than 5 months up to 6 months | Greater than 6 months up to 9 months | Greater than 9 months up to 12 months | Greater than 12 months up to 2 years | Greater than 2 years up to 5 years | Greater than 5 years | |
1200 | 10 | Intragroup or IPS outflows (excluding FX) | ||||||||||||||||||||||
1210 | 11 | Intragroup or IPS inflows (excluding FX and maturing securities) | ||||||||||||||||||||||
1220 | 12 | Intragroup or IPS inflows from maturing securities | ||||||||||||||||||||||
1230 | 13 | HQLA central bank eligible | ||||||||||||||||||||||
1240 | 14 | non-HQLA central bank eligible | ||||||||||||||||||||||
1270 | 17 | Behavioural outflows from deposits | ||||||||||||||||||||||
1280 | 18 | Behavioural inflows from loans and advances | ||||||||||||||||||||||
1290 | 19 | Behavioural draw-downs of committed facilities’ |
where an option to defer payment or receive an advance payment exists, the option shall be presumed to be exercised where it would advance outflows from the institution or defer inflows to the institution;
where the option to advance outflows from the institution is solely at the discretion of the institution, the option shall be presumed to be exercised only where there is a market expectation that the institution will do so. The option shall be presumed not to be exercised where it would advance inflows to the institution or defer outflows from the institution. Any cash outflow that would be contractually triggered by this inflow – as in pass-through financing – shall be reported at the same date as this inflow;
all sight and non-maturing deposits shall be reported as overnight in column 020;
open repos or reverse repos and similar transactions which can be terminated by either party on any day shall be considered to mature overnight unless the notice period is longer than one day in which case they shall be reported in the relevant time bucket according to the notice period;
retail term deposits with an early withdrawal option shall be considered to mature in the time period during which the early withdrawal of the deposit would not incur a penalty according to Article 25 (4) (b) of Regulation (EU) 2015/61.
where the institution is not able to establish a minimum contractual payment schedule for a particular item or part thereof following the rules set out in this paragraph, it shall report the item or part thereof as greater than 5 years in column 220.
a http://eur-lex.europa.eu/legal-content/EN/TXT/?uri=CELEX%3A32015R0233’ | |
Row | Legal references and instructions |
---|---|
010 to 380 | 1 OUTFLOWSThe total amount of cash outflows shall be reported in the following sub- categories below: |
010 | 1.1 Liabilities resulting from securities issuedCash outflows arising from debt securities issued by the reporting institution i.e. own issuances. |
020 | 1.1.1 unsecured bonds dueThe amount of cash outflows resulting from securities issued reported in line 1.1, which is unsecured debt issued by the reporting institution to third parties. |
030 | 1.1.2 regulated covered bondsThe amount of cash outflows resulting from securities issued, reported in line 1.1, which is bonds eligible for the treatment set out in Article 129(4) or (5) of Regulation (EU) No 575/2013 or Art. 52(4) of Directive 2009/65/EC. |
040 | 1.1.3 securitisations dueThe amount of cash outflows resulting from securities issued, reported in line 1.1, which is securitisation transactions with third parties, in accordance with Article 4 (1) point 61 of Regulation (EU) No 575/2013. |
050 | 1.1.4 otherThe amount of cash outflows resulting from securities issued reported in line 1.1, other than those reported in the above subcategories. |
060 | 1.2 Liabilities resulting from secured lending and capital market driven transactions, collateralised by:Total amount of all cash outflows arising from secured lending and capital market driven transactions as defined in Article 192 of Regulation (EU) No 575/2013. Note: Only cash flows shall be reported here, securities flows relating to secured lending and capital market driven transactions shall be reported in the “counterbalancing capacity” section. |
070 | 1.2.1 Level 1 tradable assetsThe amount of cash outflows reported in item 1.2 which is collateralised by tradable assets that would meet the requirements of Articles 7, 8 and 10 of Regulation (EU) 2015/61 if they were not securing the particular transaction. CIU shares or units in accordance with article 15 of Regulation (EU) 2015/61 that qualify as Level 1 assets shall be reported in the below subcategories corresponding to their underlying assets. |
080 | 1.2.1.1 Level 1 excluding covered bondsThe amount of cash outflows reported in item 1.2.1 which is collateralised by assets that are not covered bonds. |
090 | 1.2.1.1.1 Level 1 central bankThe amount of cash outflows reported in item 1.2.1.1 which is collateralised by assets representing claims on or guaranteed by central banks. |
100 | 1.2.1.1.2 Level 1 (CQS 1)The amount of cash outflows reported in item 1.2.1.1 other than those reported in item 1.2.1.1.1 which is collateralised by assets representing claims on or guaranteed by issuer or guarantor that is assigned credit quality step 1 by a nominated ECAI. |
110 | 1.2.1.1.3 Level 1 (CQS 2, CQS3)The amount of cash outflows reported in item 1.2.1.1 other than those reported in item 1.2.1.1.1 which is collateralised by assets representing claims on or guaranteed by issuer or guarantor that is assigned credit quality step 2 or 3 by a nominated ECAI. |
120 | 1.2.1.1.4 Level 1 (CQS 4+)The amount of cash outflows reported in item 1.2.1.1 other than those reported in item 1.2.1.1.1 which is collateralised by assets representing claims on or guaranteed by issuer or guarantor that is assigned credit quality step 4 or worse by a nominated ECAI. |
130 | 1.2.1.2 Level 1 covered bonds (CQS1)The amount of cash outflows reported in item 1.2.1 which is collateralised by assets that are covered bonds. Note that in accordance with Article 10(1)(f) of Regulation (EU) 2015/61 only CQS 1 covered bonds are eligible as Level 1 assets. |
140 | 1.2.2 Level 2A tradable assetsThe amount of cash outflows reported in item 1.2 which is collateralised by tradable assets that would meet the requirements of Articles 7, 8 and 11 of Regulation (EU) 2015/61 if they were not securing the particular transaction. CIU shares or units in accordance with article 15 of Regulation (EU) 2015/61 that qualify as Level 2A assets shall be reported in the below subcategories corresponding to their underlying assets. |
150 | 1.2.2.1 Level 2A corporate bond (CQS 1)The amount of cash outflows reported in item 1.2.2 which is collateralised by corporate bonds that are assigned credit quality step 1 by a nominated ECAI. |
160 | 1.2.2.2 Level 2A covered bonds (CQS1, CQS2)The amount of cash outflows reported in item 1.2.2 which is collateralised by covered bonds that are assigned credit quality step 1 or 2 by a nominated ECAI. |
170 | 1.2.2.3 Level 2A public sector (CQS1, CQS2)The amount of cash outflows reported in item 1.2.2 which is collateralised by assets representing claims on or guaranteed by central governments, central banks, regional governments, local authorities or public sector entities. Note that in accordance with Article 11(1)(a) and (b) of Regulation (EU) 2015/61 all public sector assets eligible as Level 2A must be either credit quality step 1 or credit quality step 2. |
180 | 1.2.3 Level 2B tradable assetsThe amount of cash outflows reported in item 1.2 which is collateralised by tradable assets that would meet the requirements of Articles 7, 8 and 12 or 13 of Regulation (EU) 2015/61 if they were not securing the particular transaction. CIU shares or units in accordance with article 15 of Regulation (EU) 2015/61 that qualify as Level 2B assets shall be reported in the below subcategories corresponding to their underlying assets. |
190 | 1.2.3.1 Level 2B Asset Backed Securities-ABS (CQS 1)The amount of cash outflows reported in item 1.2.3 which is collateralised by asset backed securities, including RMBS. Note that in accordance with Article 13(2)(a) of Regulation (EU) 2015/61 all asset backed securities qualifying as Level 2B shall be required to have credit quality step 1. |
200 | 1.2.3.2 Level 2B covered bonds (CQS 1-6)The amount of cash outflows reported in item 1.2.3 which is collateralised by covered bonds. |
210 | 1.2.3.3 Level 2B corporate bonds (CQS 1-3)The amount of cash outflows reported in item 1.2.3 which is collateralised by corporate debt securities. |
220 | 1.2.3.4 Level 2B sharesThe amount of cash outflows reported in item 1.2.3 which is collateralised by shares. |
230 | 1.2.3.5 Level 2B public sector (CQS 3-5)The amount of cash outflows reported in item 1.2.3 which is collateralised by Level 2B assets not reported in items 1.2.3.1 to 1.2.3.4. |
240 | 1.2.4 other tradable assetsThe amount of cash outflows reported in item 1.2 which is collateralised by tradable assets not reported in items 1.2.1, 1.2.2 or 1.2.3. |
250 | 1.2.5 other assetsThe amount of cash outflows reported in item 1.2 which is collateralised by assets not reported in items 1.2.1, 1.2.2. 1.2.3 or 1.2.4. |
260 | 1.3 Liabilities not reported in 1.2, resulting from deposits received excluding deposits received as collateralCash outflows arising from all deposits received with the exception of outflows reported in item 1.2 and deposits received as collateral. Cash outflows arising from derivative transactions shall be reported in items 1.4 or 1.5. Deposits shall be reported according to their earliest possible contractual maturity date. Deposits that can be withdrawn immediately without notice (“sight deposits”) or non-maturity deposits shall be reported in the “overnight” bucket. |
270 | 1.3.1 stable retail depositsThe amount of cash outflows reported in item 1.3, which derives from retail deposits in accordance with Article 3(8) and Article 24 of Regulation (EU) 2015/61. |
280 | 1.3.2 other retail depositsThe amount of cash outflows reported in item 1.3, which derives from retail deposits in accordance with Article 3(8) of Regulation (EU) 2015/61 other than those reported in item 1.3.1. |
290 | 1.3.3 operational depositsThe amount of cash outflows reported in item 1.3, which derives from operational deposits in accordance with Article 27 of Regulation (EU) 2015/61. |
300 | 1.3.4 non-operational deposits from credit institutionsThe amount of cash outflows reported in item 1.3, which derives from deposits by credit institutions other than those reported in item 1.3.3. |
310 | 1.3.5 non-operational deposits from other financial customersThe amount of cash outflows reported in item 1.3, which derives from deposits from financial customers in accordance with Article 3 (9) of Regulation (EU) 2015/61 other than those reported in item 1.3.3 and 1.3.4. |
320 | 1.3.6 non-operational deposits from central banksThe amount of cash outflows reported in item 1.3, which derives from non- operational deposits placed by central banks. |
330 | 1.3.7 non-operational deposits from non-financial corporatesThe amount of cash outflows reported in item 1.3, which derives from non- operational deposits placed by non-financial corporates. |
340 | 1.3.8 non-operational deposits from other counterpartiesThe amount of cash outflows reported in item 1.3, which derives from deposits not reported in items 1.3.1 to 1.3.7. |
350 | 1.4 FX-swaps maturingTotal amount of cash outflows resulting from the maturity of FX-swap transactions such as the exchange of principal amounts at the end of the contract. |
360 | 1.5 Derivatives amount payables other than those reported in 1.4Total amount of cash outflows resulting from derivatives payables positions from the contracts listed in Annex II of Regulation (EU) No 575/2013 with the exception of outflows resulting from maturing FX swaps which shall be reported in item 1.4. The total amount shall reflect settlement amounts including unsettled margin calls as of the reporting date. The total amount shall be the sum of (1) and (2) as follows, across the various time buckets: 1. cash and securities flows related to derivatives for which there is a collateral agreement in place requiring full or adequate collateralisation of counterparty exposures, shall be excluded from the maturity ladder templates; all flows of cash, securities, cash collateral and securities collateral related to those derivatives shall be excluded from the templates. Stocks of cash and securities collateral that have already been received or provided in the context of collateralised derivatives shall not be included in the “stock” column of section 3 of the maturity ladder covering the counterbalancing capacity, with the exception of cash and securities flows in the context of margin calls (“cash or securities collateral flows”) which are payable in due course but have not yet been settled. The latter shall be reflected in lines 1.5 “derivatives cash-outflows” and 2.4 “derivatives cash- inflows” for cash collateral and in section 3 “counterbalancing capacity” for securities collateral; 2. for cash and securities inflows and outflows related to derivatives for which there is no collateral agreement in place or where only partial collateralisation is required, a distinction shall be made between contracts that involve optionality and other contracts: (a) flows related to option-like derivatives shall be included only where the strike price is below the market price for a call, or above the market price for a put option (“in the money”). These flows shall be proxied by applying both of the following: (i) including the current market value or net present value of the contract as inflow in line 2.4 of the maturity ladder “derivatives cash- inflows” at the latest exercise date of the option where the bank has the right to exercise the option; (ii) including the current market value or net present value of the contract as outflow in line 1.5 of the maturity ladder “derivatives cash-outflows” at the earliest exercise date of the option where the bank's counterparty has the right to exercise the option; (b) flows related to other contracts than those referred to in point (a) shall be included by projecting the gross contractual flows of cash in the respective time buckets in lines 1.5 “derivatives cash- outflows” and 2.4 “derivatives cash-inflows” and the contractual flows of liquid securities in the counterbalancing capacity of the maturity ladder, using the current market-implied forward rates applicable on the reporting date where the amounts are not yet fixed. |
370 | 1.6 Other outflowsTotal amount of all other cash outflows, not reported in items 1.1, 1.2, 1.3, 1.4 or 1.5. Contingent outflows shall not be reported here. |
380 | 1.7 Total outflowsThe sum of outflows reported in items 1.1, 1.2, 1.3, 1.4, 1.5 and 1.6. |
390 to 700 | |
390 | 2.1 Monies due from secured lending and capital market driven transactions collateralised by:Total amount of cash inflows from secured lending and capital market driven transactions as defined in Article 192 of Regulation (EU) No 575/2013. Only cash flows shall be reported here, securities flows relating to secured lending and capital market driven transactions shall be reported in the “counterbalancing capacity” section. |
400 | 2.1.1 Level 1 tradable assetsThe amount of cash inflows reported in item 2.1 which is collateralised by tradable assets in accordance with Articles 7, 8 and 10 of Regulation (EU) 2015/61. CIU shares or units in accordance with article 15 of Regulation (EU) 2015/61 that qualify as Level 1 assets shall be reported in the below subcategories corresponding to their underlying assets. |
410 | 2.1.1.1 Level 1 excluding covered bondsThe amount of cash inflows reported in item 2.1.1 which is collateralised by assets that are not covered bonds. |
420 | 2.1.1.1.1 Level 1 central bankThe amount of cash inflows reported in item 2.1.1.1 which is collateralised by assets representing claims on or guaranteed by central banks. |
430 | 2.1.1.1.2 Level 1 (CQS 1)The amount of cash inflows reported in item 2.1.1.1 other than those reported in item 2.1.1.1.1, which is collateralised by assets representing claims on or guaranteed by issuer or guarantor that is assigned credit quality step 1 by a nominated ECAI. |
440 | 2.1.1.1.3 Level 1 (CQS 2, CQS3)The amount of cash inflows reported in item 2.1.1.1 other than those reported in item 2.1.1.1.1, which is collateralised by assets representing claims on or guaranteed by issuer or guarantor that is assigned credit quality step 2 or 3 by a nominated ECAI. |
450 | 2.1.1.1.4 Level 1 (CQS 4+)The amount of cash inflows reported in item 2.1.1.1 other than those reported in item 2.1.1.1.1, which is collateralised by assets representing claims on or guaranteed by issuer or guarantor that is assigned credit quality step 4 or worse by a nominated ECAI. |
460 | 2.1.1.2 Level 1 covered bonds (CQS1)The amount of cash inflows reported in item 2.1.1 which is collateralised by assets that are covered bonds. Note that in accordance with Article 10(1)(f) of Regulation (EU) 2015/61 only CQS 1 covered bonds are eligible as Level 1 assets. |
470 | 2.1.2 Level 2A tradable assetsThe amount of cash inflows reported in item 2.1 which is collateralised by tradable assets in accordance with Articles 7, 8 and 11 of Regulation (EU) 2015/61. CIU shares or units in accordance with article 15 of Regulation (EU) 2015/61 that qualify as Level 2A assets shall be reported in the below subcategories corresponding to their underlying assets. |
480 | 2.1.2.1 Level 2A corporate bond (CQS 1)The amount of cash inflows reported in item 2.1.2 which is collateralised by corporate bonds that are assigned credit quality step 1 by a nominated ECAI. |
490 | 2.1.2.2 Level 2A covered bonds (CQS1, CQS2)The amount of cash inflows reported in item 2.1.2 which is collateralised by covered bonds that are assigned credit quality step 1 or 2 by a nominated ECAI. |
500 | 2.1.2.3 Level 2A public sector (CQS1, CQS2)The amount of cash inflows reported in item 2.1.2 which is collateralised by assets representing claims on or guaranteed by central governments, central banks, regional governments, local authorities or public sector entities. Note that in accordance with Article 11(1)(a) and (b) of Regulation (EU) 2015/61 all public sector assets eligible as Level 2A shall be either credit quality step 1 or credit quality step 2. |
510 | 2.1.3 Level 2B tradable assetsThe amount of cash inflows reported in item 2.1 which is collateralised by tradable assets in accordance with Articles 7, 8 and 12 or 13 of Regulation (EU) 2015/61. CIU shares or units in accordance with article 15 of Regulation (EU) 2015/61 that qualify as Level 2B assets shall be reported in the below subcategories corresponding to their underlying assets. |
520 | 2.1.3.1 Level 2B ABS (CQS 1)The amount of cash inflows reported in item 2.1.3 which is collateralised by asset backed securities, including RMBS. |
530 | 2.1.3.2 Level 2B covered bonds (CQS 1-6)The amount of cash inflows reported in item 2.1.3 which is collateralised by covered bonds. |
540 | 2.1.3.3 Level 2B corporate bonds (CQS 1-3)The amount of cash inflows reported in item 2.1.3 which is collateralised by corporate debt securities. |
550 | 2.1.3.4 Level 2B sharesThe amount of cash inflows reported in item 2.1.3 which is shares. |
560 | 2.1.3.5 Level 2B public sector (CQS 3-5)The amount of cash inflows reported in item 2.1.3 which is Level 2B assets not reported in items 2.1.3.1 to 2.1.3.4. |
570 | 2.1.4 other tradable assetsThe amount of cash inflows reported in item 2.1 which is collateralised by tradable assets not reported in items 2.1.1, 2.1.2 or 2.1.3. |
580 | 2.1.5 other assetsThe amount of cash inflows reported in item 2.1 which is collateralised by assets not reported in items 2.1.1, 2.1.2, 2.1.3 or 2.1.4. |
590 | 2.2 Monies due not reported in item 2.1 resulting from loans and advances granted to:Cash inflows from loans and advances. Cash inflows shall be reported at the latest contractual date for repayment. For revolving facilities, the existing loan shall be assumed to be rolled-over and any remaining balances shall be treated as committed facilities. |
600 | 2.2.1 retail customersThe amount of cash inflows reported in item 2.2, which derives from natural persons or SMEs in accordance with Article 3(8) of Regulation (EU) 2015/61. |
610 | 2.2.2 non-financial corporatesThe amount of cash inflows reported in item 2.2, which derives from non- financial corporates. |
620 | 2.2.3 credit institutionsThe amount of cash inflows reported in item 2.2, which derives from credit institutions. |
630 | 2.2.4 other financial customersThe amount of cash inflows reported in item 2.2, which derives from financial customers in accordance with Article 3(9) of Regulation (EU) 2015/61 other than those reported in item 2.2.3. |
640 | 2.2.5 central banksThe amount of cash inflows reported in item 2.2, which derives from central banks. |
650 | 2.2.6 other counterpartiesThe amount of cash inflows reported in item 2.2, which derives from other counterparties not referred to in sections 2.2.1-2.2.5. |
660 | 2.3 FX-swaps maturingTotal amount of contractual cash inflows resulting from the maturity of FX Swap transactions such as the exchange of principal amounts at the end of the contract. This reflects the maturing notional value of cross-currency swaps, FX spot and forward transactions in the applicable time buckets of the template. |
670 | 2.4 Derivatives amount receivables other than those reported in 2.3Total amount of contractual cash inflows resulting from derivatives receivables positions from the contracts listed in Annex II of Regulation (EU) No 575/2013 with the exception of inflows resulting from maturing FX swaps which shall be reported in item 2.3. The total amount shall include settlement amounts including unsettled margin calls as of the reporting date. The total amount shall be the sum of (1) and (2) as follows, across the various time buckets: 1. cash and securities flows related to derivatives for which there is a collateral agreement in place that requires full or adequate collateralisation of counterparty exposures shall be excluded from both maturity ladder templates, and all flows of cash, securities, cash collateral and securities collateral related to those derivatives shall be excluded from the template. Stocks of cash and securities collateral that have already been received or provided in the context of collateralised derivatives shall not be included in the “stock” column of section 3 of the maturity ladder covering the counterbalancing capacity with the exception of cash and securities flows in the context of margin calls which are payable in due course but have not yet been settled. The latter shall be reflected in lines 1.5 “derivatives cash-outflows” and 2.4 “derivatives cash- inflows” for cash collateral and in section 3 “counterbalancing capacity” for securities collateral in the maturity ladder; 2. for cash and securities inflows and outflows related to derivatives for which there is no collateral agreement in place or where only partial collateralisation is required, a distinction shall be made between contracts that involve optionality and other contracts: (a) flows related to option-like derivatives shall be included only if they are in the money. These flows shall be proxied by applying both of the folloowing: (i) including the current market value or net present value of the contract as inflow in line 2.4 of the maturity ladder “derivatives cash-inflows” at the latest exercise date of the option where the bank has the right to exercise the option; (ii) including the current market value or net present value of the contract as outflow in line 1.5 of the maturity ladder “derivatives cash-outflows” at the earliest exercise date of the option where the bank's counterparty has the right to exercise the option; (b) flows related to other contracts than those referred to in point (a) shall be included by projecting the gross buckets in lines 1.5 “derivatives cash- outflows” and 2.4 “derivatives cash-inflows” and the contractual flows of securities in the counterbalancing capacity of the maturity ladder, using the current market- implied forward rates applicable on the reporting date where the amounts are not yet fixed. |
680 | 2.5 Paper in own portfolio maturingThe amount of inflows which is principal repayment from own investments due taken in bonds, reported according to their residual contractual maturity. This item shall include cash inflows from maturing securities reported in the counterbalancing capacity. Therefore, once a security matures, it shall be reported as securities outflow in the counterbalancing capacity and consequently as a cash inflow here. |
690 | 2.6 Other inflowsTotal amount of all other cash inflows, not reported in items 2.1, 2.2, 2.3, 2.4 or 2.5 above. Contingent inflows shall not be reported here. |
700 | 2.7 Total inflowsSum of inflows reported in items 2.1, 2.2, 2.3, 2.4, 2.5 and 2.6. |
710 | 2.8 Net contractual gapTotal Inflows reported in item 2.7 less total outflows reported in item 1.7. |
720 | 2.9 Cumulated net contractual gapCumulated net contractual gap from the reporting date to the upper limit of a relevant time bucket. |
730-1080 | 3 COUNTERBALANCING CAPACITYThe “Counterbalancing Capacity” of the maturity ladder shall contain information on the development of an institution's holdings of assets of varying degrees of liquidity, amongst which tradable assets and central bank eligible assets, as well as facilities contractually committed to the institution. For reporting at the consolidated level on central bank eligibility, the rules of central bank eligibility which apply to each consolidated institution in its jurisdiction of incorporation shall form the basis. Where the counterbalancing capacity refers to tradable assets, institutions shall report tradable assets traded in large, deep and active repo or cash markets characterised by a low level of concentration. Assets reported in the columns of the counterbalancing capacity shall include only unencumbered assets available to the institution to convert into cash at any time to fill contractual gaps between cash inflows and outflows during the time horizon. For those purposes, the definition of encumbered assets in accordance with Commission Delegated Regulation (EU) 2015/61 shall apply. The assets shall not be used to provide credit enhancements in structured transactions or to cover operational costs, such as rents and salaries, and shall be managed with the clear and sole intent for use as a source of contingent funds. Assets that the institution received as collateral in reverse repo and Secured Financing Transactions (SFT) can be considered as part of the counterbalancing capacity if they are held at the institution, have not been rehypothecated, and are legally and contractually available for the institution's use. In order to avoid double counting, where the institution reports prepositioned assets in item 3.1 to 3.7, it shall not report the related capacity of those facilities in item 3.8. Institutions shall report assets, where they meet the description of a row and are available at the reporting date, as an initial stock in column 010. Columns 020 to 220 shall contain contractual flows in the counterbalancing capacity. Where an institution has entered into a repo transaction, the asset which has been repoed out shall be re-entered as a security inflow in the maturity bucket where the repo transaction matures. Correspondingly, the cash outflow following from the maturing repo shall be reported in the relevant cash outflow bucket in item 1.2. Where an institution has entered into a reverse repo transaction, the asset which has been repoed in shall be re- entered as a security outflow in the maturity bucket where the repo transaction matures. Correspondingly, the cash inflow following from the maturing repo shall be reported in the relevant cash inflow bucket in item 2.1. Collateral swaps shall be reported as contractual inflows and outflows of securities in the counterbalancing capacity section in accordance with the relevant maturity bucket in which these swaps mature. A change to the contractually available amount of credit and liquidity lines reported in item 3.8 shall be reported as a flow in the relevant time bucket. Where an institution has an overnight deposit at a central bank, the amount of the deposit shall be reported as an initial stock in item 3.2 and as a cash outflow in the maturity bucket “overnight” for this item. Correspondingly, the resultant cash inflow shall be reported in item 2.2.5. Maturing securities in the counterbalancing capacity shall be reported based on their contractual maturity. When a security matures, it shall be removed from the asset category it was initially reported in, it shall be treated as an outflow of securities, and the resultant cash inflow shall be reported in item 2.5. All security values shall be reported in the relevant bucket at current market values. In item 3.8 only contractually available amounts shall be reported. To avoid double counting, cash-inflows shall not be accounted for in item 3.1 or 3.2 of the counterbalancing capacity. Items in the counterbalancing capacity shall be reported in the following sub- categories below: |
730 | 3.1 Coins and bank notesTotal amount of cash arising from coins and banknotes. |
740 | 3.2 Withdrawable central bank reservesTotal amount of reserves at central banks according to Article 10(1)(b)(iii) of Regulation (EU) 2015/61 withdrawable overnight at the latest. Securities representing claims on or guaranteed by central banks shall not be reported here. |
750 | 3.3 Level 1 tradable assetsThe market value of tradable assets in accordance with Articles 7, 8 and 10 of Regulation (EU) 2015/61. CIU shares or units in accordance with article 15 of Regulation (EU) 2015/61 that qualify as Level 1 assets shall be reported in the below subcategories corresponding to their underlying assets. |
760 | 3.3.1 Level 1 excluding covered bondsThe amount reported in item 3.3 which is not covered bonds. |
770 | 3.3.1.1 Level 1 central bankThe amount reported in item 3.3.1 which is assets representing claims on or guaranteed by central banks. |
780 | 3.3.1.2 Level 1 (CQS 1)The amount reported in item 3.3.1 other than the amount reported in item 3.3.1.1, which is assets representing claims on or guaranteed by issuer or guarantor that is assigned credit quality step 1 by a nominated ECAI. |
790 | 3.3.1.3 Level 1 (CQS 2, CQS3)The amount reported in item 3.3.1 other than those reported in item 3.3.1.1 which is assets representing claims on or guaranteed by issuer or guarantor that is assigned credit quality step 2 or 3 by a nominated ECAI. |
800 | 3.3.1.4 Level 1 (CQS 4+)The amount reported in item 3.3.1 other than those reported in item 3.3.1.1 which is assets representing claims on or guaranteed by issuer or guarantor that is assigned credit quality step 4 or worse by a nominated ECAI. |
810 | 3.3.2 Level 1 covered bonds (CQS1)The amount reported in item 3.3 which is covered bonds. Note that in accordance with Article 10(1)(f) of Regulation (EU) 2015/61 only CQS 1 covered bonds are eligible as Level 1 assets. |
820 | 3.4 Level 2A tradable assetsThe market value of tradable assets in accordance with Articles 7, 8 and 11 of Regulation (EU) 2015/61. CIU shares or units in accordance with article 15 of Regulation (EU) 2015/61 that qualify as Level 2A assets shall be reported in the below subcategories corresponding to their underlying assets. |
830 | 3.4.1 Level 2A corporate bond (CQS 1)The amount reported in item 3.4 which is corporate bonds that are assigned credit quality step 1 by a nominated ECAI. |
840 | 3.4.2 Level 2A covered bonds (CQS 1, CQS2)The amount reported in item 3.4 which is covered bonds that are assigned credit quality step 1 or 2 by a nominated ECAI. |
850 | 3.4.3 Level 2A public sector (CQS1, CQS2)The amount reported in item 3.4 which is assets representing claims on or guaranteed by central governments, central banks, regional governments, local authorities or public sector entities. Note that in accordance with Article 11(1)(a) and (b) of Regulation (EU) 2015/61 all public sector assets eligible as Level 2A must be either credit quality step 1 or credit quality step 2. |
860 | 3.5 Level 2B tradable assetsThe market value of tradable assets in accordance with Articles 7, 8 and 12 or 13 of Regulation (EU) 2015/61. CIU shares or units in accordance with article 15 of Regulation (EU) 2015/61 that qualify as Level 2B assets shall be reported in the below subcategories corresponding to their underlying assets. |
870 | 3.5.1 Level 2B ABS (CQS 1)The amount reported in item 3.5 which is asset backed securities (including RMBS). Note that in accordance with Article 13(2)(a) of Regulation (EU) 2015/61 all asset backed securities qualifying as Level 2B have credit quality step 1. |
880 | 3.5.2 Level 2B covered bonds (CQS 1-6)The amount reported in item 3.5 which is covered bonds. |
890 | 3.5.3 Level 2B corporate bonds (CQS 1-3)The amount reported in item 3.5 which is corporate debt securities. |
900 | 3.5.4 Level 2B sharesThe amount reported in item 3.5 which is shares. |
910 | 3.5.5 Level 2B public sector (CQS 3-5)The amount reported in 3.5 which is Level 2B assets not reported in items 3.5.1 to 3.5.4. |
920 | 3.6 other tradable assetsThe market value of tradable assets other than those reported in items 3.3, 3.4 and 3.5. Securities and securities flows from other tradable assets in the form of intragroup or own issuances shall not be reported in the counterbalancing capacity. Nevertheless, cash flows from such items shall be reported in the relevant part of section 1 and 2 of the template. |
930 | 3.6.1 central government (CQS1)The amount reported in item 3.6 which is an asset representing a claim on or guaranteed by a central government that is assigned credit quality step 1 by a nominated ECAI. |
940 | 3.6.2 central government (CQS2-3)The amount reported in item 3.6 which is an asset representing a claim on or guaranteed by a central government that is assigned credit quality step 2 or 3 by a nominated ECAI. |
950 | 3.6.3 sharesThe amount reported in item 3.6 which is shares. |
960 | 3.6.4 covered bondsThe amount reported in item 3.6 which is covered bonds. |
970 | 3.6.5 ABSThe amount reported in item 3.6 which is ABS. |
980 | 3.6.6 other tradable assetsThe amount reported in item 3.6 which is other tradable asset not reported in items 3.6.1 to 3.6.5.. |
990 | 3.7 non-tradable assets eligible for central bankThe carrying amount of non-tradable assets that are eligible collateral for standard liquidity operations of the central bank to which the institution has direct access at its level of consolidation. For assets denominated in a currency included in the Annex of Commission Implementing Regulation (EU) 2015/233a as a currency with extremely narrow central bank eligibility, institutions shall leave this field blank. Securities and securities flows from other tradable assets in the form of intragroup or own issuances shall not be reported in the counterbalancing capacity. Nevertheless, cash flows from such items shall be reported in the relevant part of section 1 and 2 of the template. |
1000 | 3.8 Undrawn committed facilities receivedTotal amount of undrawn committed facilities extended to the reporting institution. These shall include contractually irrevocable facilities. Institutions shall report a reduced amount where the potential collateral needs for drawing on these facilities exceeds the availability of collateral. In order to avoid double-counting, facilities where the reporting institution has already prepositioned assets as collateral, for an undrawn credit facility, and has already reported the assets in items 3.1 to 3.7, shall not be reported in item 3.8. The same shall apply for cases where the reporting institution may need to preposition assets as collateral in order to draw as reported in this field. |
1010 | 3.8.1 Level 1 facilitiesThe amount reported in item 3.8 which is central bank facility in accordance with Article 19(1)(b) of Regulation (EU) 2015/61. |
1020 | 3.8.2 Level 2B restricted use facilitiesThe amount reported in item 3.8 which is liquidity funding in accordance with Article 14 of Regulation (EU) 2015/61. |
1030 | 3.8.3 Level 2B IPS facilitiesThe amount reported in item 3.8 which is liquidity funding in accordance with Article 16(2) of Regulation (EU) 2015/61. |
1040 | 3.8.4 Other facilitiesThe amount reported in item 3.8 other than the amount reported in 3.8.1 to 3.8.3. |
1050 | 3.8.4.1 from intragroup counterpartiesThe amount reported in 3.8.4 where the counterparty is a parent or a subsidiary of the institution or another subsidiary of the same parent or linked to the credit institution by a relationship within the meaning of Article 12(1) of Directive 83/349/EEC or a member of the same institutional protection scheme as referred to in Article 113(7) of Regulation (EU) No 575/2013 or the central institution or an affiliate of a network or cooperative group as referred to in Article 10 of Regulation (EU) No 575/2013). |
1060 | 3.8.4.2 from other counterpartiesThe amount reported in 3.8.4 other than the amount reported in 3.8.4.1. |
1070 | 3.9 Net change of Counterbalancing CapacityNet change in exposures to items 3.2, 3.3, 3.4 and 3.5, 3.6, 3.7 and 3.8 representing, respectively, central banks, securities flows and committed credit lines in a given time bucket shall be reported. |
1080 | 3.10 Cumulated Counterbalancing CapacityCumulated amount of Counterbalancing Capacity from the reporting date to the upper limit of a relevant time bucket. |
1090-1140 | 4 CONTINGENCIESThe “Contingencies” of the maturity ladder shall contain information on contingent outflows. |
1090 | 4.1 Outflows from committed facilitiesCash outflows arising from committed facilities. Institutions shall report as an outflow the maximum amount that can be drawn in a given time period. For revolving credit facilities, only the amount above the existing loan shall be reported. |
1010 | 4.1.1 Committed credit facilitiesThe amount reported in item 4.1, which derives from committed credit facilities in accordance with Article 31 of Regulation (EU) 2015/61. |
1110 | 4.1.1.1 considered as Level 2B by the receiverThe amount reported in item 4.1.1, which is considered liquidity funding in accordance with Article 16(2) of Regulation (EU) 2015/61. |
1120 | 4.1.1.2 otherThe amount reported in item 4.1.1, other than the amount reported in item 4.1.1.1. |
1130 | 4.1.2 Liquidity facilitiesThe amount reported in item 4.1, which derives from liquidity facilities in accordance with Article 31 of Regulation (EU) 2015/61. |
1140 | 4.2 Outflows due to downgrade triggersInstitutions shall report here the effect of a material deterioration of the credit quality of the institution corresponding to a downgrade in its external credit assessment by at least three notches. Positive amounts shall represent contingent outflows and negative amounts shall represent a reduction of the original liability. Where the effect of the downgrade is an early redemption of outstanding liabilities, the concerned liabilities shall be reported with a negative sign in a time band where they are reported in item 1 and simultaneously with a positive sign in a time band when the liability becomes due, should the effects of the downgrade become applicable at the reporting date. Where the effect of the downgrade is a margin call, the market value of the collateral required to be posted shall be reported with a positive sign in a time band when the requirement becomes due, should the effects of the downgrade become applicable at the reporting date. Where the effect of the downgrade is a change in the re-hypothecation rights of the securities received as collateral from the counterparties, the market value of the affected securities shall be reported with a positive sign in a time band when the securities cease to be available to the reporting institution, should the effects of the downgrade become applicable at the reporting date |
1150-1290 | 5 MEMORANDUM ITEMS. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
1200 | 10 Intragroup or IPS outflows (excluding FX)Sum of outflows in 1.1, 1.2, 1.3, 1.5, 1.6 where the counterparty is a parent or a subsidiary of the institution or another subsidiary of the same parent or linked to the credit institution by a relationship within the meaning of Article 12(1) of Directive 83/349/EEC or a member of the same institutional protection scheme referred to in Article 113(7) of Regulation (EU) No 575/2013 or the central institution or an affiliate of a network or cooperative group as referred to in Article 10 of Regulation (EU) No 575/2013). |
1210 | 11 Intragroup or IPS inflows (excluding FX and maturing securities)Sum of inflows in 2.1, 2.2, 2.4, 2.6 where the counterparty is a parent or a subsidiary of the institution or another subsidiary of the same parent or linked to the credit institution by a relationship within the meaning of Article 12(1) of Directive 83/349/EEC or a member of the same institutional protection scheme referred to in Article 113(7) of Regulation (EU) No 575/2013 or the central institution or an affiliate of a network or cooperative group as referred to in Article 10 of Regulation (EU) No 575/2013). |
1220 | 12 Intragroup or IPS inflows from maturing securitiesSum of inflows in 2.5 where the counterparty is a parent or a subsidiary of the institution or another subsidiary of the same parent or linked to the credit institution by a relationship within the meaning of Article 12(1) of Directive 83/349/EEC or a member of the same institutional protection scheme referred to in Article 113(7) of Regulation (EU) No 575/2013 or the central institution or an affiliate of a network or cooperative group as referred to in Article 10 of Regulation (EU) No 575/2013). |
1230 | 13 HQLA central bank eligibleThe amount reported in items 3.3, 3.4 and 3.5 which is eligible collateral for standard liquidity operations of the central bank to which the institution has direct access at its level of consolidation. For assets denominated in a currency included in the Annex of Regulation (EU) 2015/233 as a currency with extremely narrow central bank eligibility, institutions shall leave this field blank. |
1240 | 14 non-HQLA central bank eligibleThe sum of: i) The sum of the amounts reported in item 3.6 which are eligible collateral for standard liquidity operations of the central bank to which the institution has direct access at its level of consolidation. ii) The own issuances which are eligible collateral for standard liquidity operations of a the central bank to which the institution has direct access at its level of consolidation For assets denominated in a currency included in Regulation (EU) 2015/233 as a currency with extremely narrow central bank eligibility, institutions shall leave this field blank. |
1270 | 17 Behavioural outflows from depositsThe amount reported in item 1.3 redistributed into the time buckets according to the behavioural maturity on a “business as usual” basis used for the purpose of the liquidity risk management of the reporting institution. For the purposes of this field, “business as usual” shall mean “a situation without any liquidity stress assumption”. The distribution shall reflect the “stickiness” of the deposits. The item does not reflect business plan assumptions and therefore shall not include information relating to new business activities. Allocation across the time buckets shall follow the granularity used for internal purposes. Therefore, not all time buckets need to be filled in. |
1280 | 18 Behavioural inflows from loans and advancesThe amount reported in item 2.2 redistributed into the time buckets according to the behavioural maturity on a “business as usual” basis used for the purpose of the liquidity risk management of the reporting institution. For the purposes of this field, “business as usual” shall mean a situation without any liquidity stress assumption. The item does not reflect business plan assumptions and therefore shall not consider new business activities. Allocation across the time buckets shall follow the granularity used for internal purposes. Therefore, not all time buckets must necessarily be filled in. |
1290 | 19 Behavioural draw-downs of committed facilitiesThe amount reported in item 4.1 redistributed into the time buckets according to the behavioural level of draw-downs and resulting liquidity needs on a “business as usual” basis used for the purpose of the liquidity risk management of the reporting institution. For the purposes of this field, “business as usual” means “a situation without any liquidity stress assumption”. The item does not reflect business plan assumptions and therefore shall not consider new business activities. Allocation across the time buckets shall follow the granularity used for internal purposes. Therefore, not all time buckets need to be filled in. |
The data requested to the institutions in this template shall be reported on an accumulated basis for the natural year or report (i.e. since 1st of January of the current year).
‘Stand alone institutions’ are neither part of a group, nor consolidate themselves in the same country where they are subject to own funds requirements.
This includes securitisations and equity exposures subject to credit risk