http://www.legislation.gov.uk/id/eur/2020/429

ANNEX I

ANNEX IREPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS
COREP TEMPLATES
Template number
Template code
Name of the template /group of templates
Short name
CAPITAL ADEQUACY
CA
1
C 01.00
OWN FUNDS
CA1
2
C 02.00
OWN FUNDS REQUIREMENTS
CA2
3
C 03.00
CAPITAL RATIOS
CA3
4
C 04.00
MEMORANDUM ITEMS:
CA4
TRANSITIONAL PROVISIONS
CA5
5.1
C 05.01
TRANSITIONAL PROVISIONS
CA5.1
5.2
C 05.02
GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUING STATE AID
CA5.2
GROUP SOLVENCY
GS
6.1
C 06.01
GROUP SOLVENCY: INFORMATION ON AFFILIATES – TOTAL
GS Total
6.2
C 06.02
GROUP SOLVENCY: INFORMATION ON AFFILIATES
GS
CREDIT RISK
CR
7
C 07.00
CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: STANDARDISED APPROACH TO CAPITAL REQUIREMENTS
CR SA
CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS
CR IRB
8.1
C 08.01
CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS
CR IRB 1
8.2
C 08.02
CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS (Breakdown by obligor grades or pools)
CR IRB 2
GEOGRAPHICAL BREAKDOWN
CR GB
9.1
C 09.01
Table 9.1 – Geographical breakdown of exposures by residence of the obligor (SA exposures)
CR GB 1
9.2
C 09.02
Table 9.2 – Geographical breakdown of exposures by residence of the obligor (IRB exposures)
CR GB 2
9.4
C 09.04
Table 9.4 – Breakdown of credit exposures relevant for the calculation of the countercyclical buffer by country and institution-specific countercyclical buffer rate
CCB
CREDIT RISK: EQUITY – IRB APPROACHES TO CAPITAL REQUIREMENTS
CR EQU IRB
10.1
C 10.01
CREDIT RISK: EQUITY – IRB APPROACHES TO CAPITAL REQUIREMENTS
CR EQU IRB 1
10.2
C 10.02
CREDIT RISK: EQUITY – IRB APPROACHES TO CAPITAL REQUIREMENTS. BREAKDOWN OF TOTAL EXPOSURES UNDER THE PD/LGD APRROACH BY OBLIGOR GRADES:
CR EQU IRB 2
11
C 11.00
SETTLEMENT/DELIVERY RISK
CR SETT
13.1
C 13.01
CREDIT RISK: SECURITISATIONS
CR SEC
14
C 14.00
DETAILED INFORMATION ON SECURITISATIONS
CR SEC Details
14.1
C 14.01
DETAILED INFORMATION ON SECURITISATIONS BY APPROACH
CR SEC Details 2
OPERATIONAL RISK
OPR
16
C 16.00
OPERATIONAL RISK
OPR
OPERATIONAL RISK: LOSSES AND RECOVERIES
17.1
C 17.01
OPERATIONAL RISK: LOSSES AND RECOVERIES BY BUSINESS LINES AND LOSS EVENT TYPES IN THE LAST YEAR
OPR DETAILS 1
17.2
C 17.02
OPERATIONAL RISK: LARGE LOSS EVENTS
OPR DETAILS 2
MARKET RISK
MKR
18
C 18.00
MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS
MKR SA TDI
19
C 19.00
MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS
MKR SA SEC
20
C 20.00
MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN THE CORRELATION TRADING PORTFOLIO
MKR SA CTP
21
C 21.00
MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES
MKR SA EQU
22
C 22.00
MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK
MKR SA FX
23
C 23.00
MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES
MKR SA COM
24
C 24.00
MARKET RISK INTERNAL MODELS
MKR IM
25
C 25.00
CREDIT VALUE ADJUSTMENT RISK
CVA
PRUDENT VALUATION
MKR
32.1
C 32.01
PRUDENT VALUATION: FAIR-VALUED ASSETS AND LIABILITIES
PRUVAL 1
32.2
C 32.02
PRUDENT VALUATION: CORE APPROACH
PRUVAL 2
32.3
C 32.03
PRUDENT VALUATION: MODEL RISK AVA
PRUVAL 3
32.4
C 32.04
PRUDENT VALUATION: CONCENTRATED POSITIONS AVA
PRUVAL 4
GENERAL GOVERNMENTS EXPOSURES
MKR
33
C 33.00
GENERAL GOVERNMENTS EXPOSURES BY COUNTRY OF THE COUNTERPARTY
GOV
C 01.00 – OWN FUNDS (CA1)
Rows
ID
Item
Amount
010
1
OWN FUNDS
015
1.1
TIER 1 CAPITAL
020
1.1.1
COMMON EQUITY TIER 1 CAPITAL
030
1.1.1.1
Capital instruments eligible as CET1 Capital
040
1.1.1.1.1
Paid up capital instruments
045
1.1.1.1.1*
Of which: Capital instruments subscribed by public authorities in emergency situations
050
1.1.1.1.2*
Memorandum item: Capital instruments not eligible
060
1.1.1.1.3
Share premium
070
1.1.1.1.4
(-) Own CET1 instruments
080
1.1.1.1.4.1
(-) Direct holdings of CET1 instruments
090
1.1.1.1.4.2
(-) Indirect holdings of CET1 instruments
091
1.1.1.1.4.3
(-) Synthetic holdings of CET1 instruments
092
1.1.1.1.5
(-) Actual or contingent obligations to purchase own CET1 instruments
130
1.1.1.2
Retained earnings
140
1.1.1.2.1
Previous years retained earnings
150
1.1.1.2.2
Profit or loss eligible
160
1.1.1.2.2.1
Profit or loss attributable to owners of the parent
170
1.1.1.2.2.2
(-) Part of interim or year-end profit not eligible
180
1.1.1.3
Accumulated other comprehensive income
200
1.1.1.4
Other reserves
210
1.1.1.5
Funds for general banking risk
220
1.1.1.6
Transitional adjustments due to grandfathered CET1 Capital instruments
230
1.1.1.7
Minority interest given recognition in CET1 capital
240
1.1.1.8
Transitional adjustments due to additional minority interests
250
1.1.1.9
Adjustments to CET1 due to prudential filters
260
1.1.1.9.1
(-) Increases in equity resulting from securitised assets
270
1.1.1.9.2
Cash flow hedge reserve
280
1.1.1.9.3
Cumulative gains and losses due to changes in own credit risk on fair valued liabilities
285
1.1.1.9.4
Fair value gains and losses arising from the institution’s own credit risk related to derivative liabilities
290
1.1.1.9.5
(-) Value adjustments due to the requirements for prudent valuation
300
1.1.1.10
(-) Goodwill
310
1.1.1.10.1
(-) Goodwill accounted for as intangible asset
320
1.1.1.10.2
(-) Goodwill included in the valuation of significant investments
330
1.1.1.10.3
Deferred tax liabilities associated to goodwill
340
1.1.1.11
(-) Other intangible assets
350
1.1.1.11.1
(-) Other intangible assets before deduction of deferred tax liabilities
360
1.1.1.11.2
Deferred tax liabilities associated to other intangible assets
370
1.1.1.12
(-) Deferred tax assets that rely on future profitability and do not arise from temporary differences net of associated tax liabilities
380
1.1.1.13
(-) IRB shortfall of credit risk adjustments to expected losses
390
1.1.1.14
(-)Defined benefit pension fund assets
400
1.1.1.14.1
(-)Defined benefit pension fund assets
410
1.1.1.14.2
Deferred tax liabilities associated to defined benefit pension fund assets
420
1.1.1.14.3
Defined benefit pension fund assets which the institution has an unrestricted ability to use
430
1.1.1.15
(-) Reciprocal cross holdings in CET1 Capital
440
1.1.1.16
(-) Excess of deduction from AT1 items over AT1 Capital
450
1.1.1.17
(-) Qualifying holdings outside the financial sector which can alternatively be subject to a 1 250 % risk weight
460
1.1.1.18
(-) Securitisation positions which can alternatively be subject to a 1 250 % risk weight
470
1.1.1.19
(-) Free deliveries which can alternatively be subject to a 1 250 % risk weight
471
1.1.1.20
(-) Positions in a basket for which an institution cannot determine the risk weight under the IRB approach, and can alternatively be subject to a 1 250 % risk weight
472
1.1.1.21
(-) Equity exposures under an internal models approach which can alternatively be subject to a 1 250 % risk weight
480
1.1.1.22
(-) CET1 instruments of financial sector entites where the institution does not have a significant investment
490
1.1.1.23
(-) Deductible deferred tax assets that rely on future profitability and arise from temporary differences
500
1.1.1.24
(-) CET1 instruments of financial sector entities where the institution has a significant investment
510
1.1.1.25
(-) Amount exceeding the 17,65 % threshold
520
1.1.1.26
Other transitional adjustments to CET1 Capital
524
1.1.1.27
(-) Additional deductions of CET1 Capital due to Article 3 CRR
529
1.1.1.28
CET1 capital elements or deductions – other
530
1.1.2
ADDITIONAL TIER 1 CAPITAL
540
1.1.2.1
Capital instruments eligible as AT1 Capital
550
1.1.2.1.1
Paid up capital instruments
560
1.1.2.1.2*
Memorandum item: Capital instruments not eligible
570
1.1.2.1.3
Share premium
580
1.1.2.1.4
(-) Own AT1 instruments
590
1.1.2.1.4.1
(-) Direct holdings of AT1 instruments
620
1.1.2.1.4.2
(-) Indirect holdings of AT1 instruments
621
1.1.2.1.4.3
(-) Synthetic holdings of AT1 instruments
622
1.1.2.1.5
(-) Actual or contingent obligations to purchase own AT1 instruments
660
1.1.2.2
Transitional adjustments due to grandfathered AT1 Capital instruments
670
1.1.2.3
Instruments issued by subsidiaries that are given recognition in AT1 Capital
680
1.1.2.4
Transitional adjustments due to additional recognition in AT1 Capital of instruments issued by subsidiaries
690
1.1.2.5
(-) Reciprocal cross holdings in AT1 Capital
700
1.1.2.6
(-) AT1 instruments of financial sector entities where the institution does not have a significant investment
710
1.1.2.7
(-) AT1 instruments of financial sector entities where the institution has a significant investment
720
1.1.2.8
(-) Excess of deduction from T2 items over T2 Capital
730
1.1.2.9
Other transitional adjustments to AT1 Capital
740
1.1.2.10
Excess of deduction from AT1 items over AT1 Capital (deducted in CET1)
744
1.1.2.11
(-) Additional deductions of AT1 Capital due to Article 3 CRR
748
1.1.2.12
AT1 capital elements or deductions – other
750
1.2
TIER 2 CAPITAL
760
1.2.1
Capital instruments and subordinated loans eligible as T2 Capital
770
1.2.1.1
Paid up capital instruments and subordinated loans
780
1.2.1.2*
Memorandum item: Capital instruments and subordinated loans not eligible
790
1.2.1.3
Share premium
800
1.2.1.4
(-) Own T2 instruments
810
1.2.1.4.1
(-) Direct holdings of T2 instruments
840
1.2.1.4.2
(-) Indirect holdings of T2 instruments
841
1.2.1.4.3
(-) Synthetic holdings of T2 instruments
842
1.2.1.5
(-) Actual or contingent obligations to purchase own T2 instruments
880
1.2.2
Transitional adjustments due to grandfathered T2 Capital instruments and subordinated loans
890
1.2.3
Instruments issued by subsidiaries that are given recognition in T2 Capital
900
1.2.4
Transitional adjustments due to additional recognition in T2 Capital of instruments issued by subsidiaries
910
1.2.5
IRB Excess of provisions over expected losses eligible
920
1.2.6
SA General credit risk adjustments
930
1.2.7
(-) Reciprocal cross holdings in T2 Capital
940
1.2.8
(-) T2 instruments of financial sector entities where the institution does not have a significant investment
950
1.2.9
(-) T2 instruments of financial sector entities where the institution has a significant investment
960
1.2.10
Other transitional adjustments to T2 Capital
970
1.2.11
Excess of deduction from T2 items over T2 Capital (deducted in AT1)
974
1.2.12
(-) Additional deductions of T2 Capital due to Article 3 CRR
978
1.2.13
T2 capital elements or deductions – other
C 02.00 – OWN FUNDS REQUIREMENTS (CA2)
Rows
Item
Label
Amount
010
1
TOTAL RISK EXPOSURE AMOUNT
020
1*
Of which: Investment firms under Article 95 paragraph 2 and Article 98 of CRR
030
1**
Of which : Investment firms under Article 96 paragraph 2 and Article 97 of CRR
040
1.1
RISK WEIGHTED EXPOSURE AMOUNTS FOR CREDIT, COUNTERPARTY CREDIT AND DILUTION RISKS AND FREE DELIVERIES
050
1.1.1
Standardised Approach (SA)
051
1.1.1*
Of which: Additional stricter prudential requirements based on Article 124 CRR
060
1.1.1.1
SA exposure classes excluding securitisation positions
070
1.1.1.1.01
Central governments or central banks
080
1.1.1.1.02
Regional governments or local authorities
090
1.1.1.1.03
Public sector entities
100
1.1.1.1.04
Multilateral Development Banks
110
1.1.1.1.05
International Organisations
120
1.1.1.1.06
Institutions
130
1.1.1.1.07
Corporates
140
1.1.1.1.08
Retail
150
1.1.1.1.09
Secured by mortgages on immovable property
160
1.1.1.1.10
Exposures in default
170
1.1.1.1.11
Items associated with particular high risk
180
1.1.1.1.12
Covered bonds
190
1.1.1.1.13
Claims on institutions and corporates with a short-term credit assessment
200
1.1.1.1.14
Collective investments undertakings (CIU)
210
1.1.1.1.15
Equity
211
1.1.1.1.16
Other items
240
1.1.2
Internal ratings based Approach (IRB)
241
1.1.2*
Of which: Additional stricter prudential requirements based on Article 164 CRR
242
1.1.2**
Of which: Additional stricter prudential requirements based on Article 124 CRR
250
1.1.2.1
IRB approaches when neither own estimates of LGD nor Conversion Factors are used
260
1.1.2.1.01
Central governments and central banks
270
1.1.2.1.02
Institutions
280
1.1.2.1.03
Corporates – SME
290
1.1.2.1.04
Corporates – Specialised Lending
300
1.1.2.1.05
Corporates – Other
310
1.1.2.2
IRB approaches when own estimates of LGD and/or Conversion Factors are used
320
1.1.2.2.01
Central governments and central banks
330
1.1.2.2.02
Institutions
340
1.1.2.2.03
Corporates – SME
350
1.1.2.2.04
Corporates – Specialised Lending
360
1.1.2.2.05
Corporates – Other
370
1.1.2.2.06
Retail – Secured by real estate SME
380
1.1.2.2.07
Retail – Secured by real estate non-SME
390
1.1.2.2.08
Retail – Qualifying revolving
400
1.1.2.2.09
Retail – Other SME
410
1.1.2.2.10
Retail – Other non-SME
420
1.1.2.3
Equity IRB
450
1.1.2.5
Other non credit-obligation assets
460
1.1.3
Risk exposure amount for contributions to the default fund of a CCP
470
1.1.4
Securitisation positions
490
1.2
TOTAL RISK EXPOSURE AMOUNT FOR SETTLEMENT/DELIVERY
500
1.2.1
Settlement/delivery risk in the non-Trading book
510
1.2.2
Settlement/delivery risk in the Trading book
520
1.3
TOTAL RISK EXPOSURE AMOUNT FOR POSITION, FOREIGN EXCHANGE AND COMMODITIES RISKS
530
1.3.1
Risk exposure amount for position, foreign exchange and commodities risks under standardised approaches (SA)
540
1.3.1.1
Traded debt instruments
550
1.3.1.2
Equity
555
1.3.1.3
Particular approach for position risk in CIUs
556
1.3.1.3*
Memo item: CIUs exclusively invested in traded debt instruments
557
1.3.1.3**
Memo item: CIUs invested exclusively in equity instruments or in mixed instruments
560
1.3.1.4
Foreign Exchange
570
1.3.1.5
Commodities
580
1.3.2
Risk exposure amount for Position, foreign exchange and commodities risks under internal models (IM)
590
1.4
TOTAL RISK EXPOSURE AMOUNT FOR OPERATIONAL RISK (OpR )
600
1.4.1
OpR Basic indicator approach (BIA)
610
1.4.2
OpR Standardised (STA) / Alternative Standardised (ASA) approaches
620
1.4.3
OpR Advanced measurement approaches (AMA)
630
1.5
ADDITIONAL RISK EXPOSURE AMOUNT DUE TO FIXED OVERHEADS
640
1.6
TOTAL RISK EXPOSURE AMOUNT FOR CREDIT VALUATION ADJUSTMENT
650
1.6.1
Advanced method
660
1.6.2
Standardised method
670
1.6.3
Based on OEM
680
1.7
TOTAL RISK EXPOSURE AMOUNT RELATED TO LARGE EXPOSURES IN THE TRADING BOOK
690
1.8
OTHER RISK EXPOSURE AMOUNTS
710
1.8.2
Of which: Additional stricter prudential requirements based on Article 458 CRR
720
1.8.2*
Of which: requirements for large exposures
730
1.8.2**
Of which: due to modified risk weights for targeting asset bubbles in the residential and commercial property
740
1.8.2***
Of which: due to intra financial sector exposures
750
1.8.3
Of which: Additional stricter prudential requirements based on Article 459 CRR
760
1.8.4
Of which: Additional risk exposure amount due to Article 3 CRR
C 03.00 – CAPITAL RATIOS AND CAPITAL LEVELS (CA3)
Rows
ID
Item
Amount
010
1
CET1 Capital ratio
020
2
Surplus(+)/Deficit(-) of CET1 capital
030
3
T1 Capital ratio
040
4
Surplus(+)/Deficit(-) of T1 capital
050
5
Total capital ratio
060
6
Surplus(+)/Deficit(-) of total capital
Memorandum Items: Total SREP Capital Requirement (TSCR), Overall Capital Requirement (OCR) and Pillar 2 Guidance (P2G)
130
13
Total SREP capital requirement (TSCR) ratio
140
13*
TSCR: to be made up of CET1 capital
150
13**
TSCR: to be made up of Tier 1 capital
160
14
Overall capital requirement (OCR) ratio
170
14*
OCR: to be made up of CET1 capital
180
14**
OCR: to be made up of Tier 1 capital
190
15
OCR and Pillar 2 Guidance (P2G)
200
15*
OCR and P2G: to be made up of CET1 capital
210
15**
OCR and P2G: to be made up of Tier 1 capital
C 04.00 – MEMORANDUM ITEMS (CA4)
Row
ID
Item
Column
Deferred tax assest and liabilities
010
010
1
Total deferred tax assets
020
1.1
Deferred tax assets that do not rely on future profitability
030
1.2
Deferred tax assets that rely on future profitability and do not arise from temporary differences
040
1.3
Deferred tax assets that rely on future profitability and arise from temporary differences
050
2
Total deferred tax liabilities
060
2.1
Deferred tax liabilities non deductible from deferred tax assets that rely on future profitability
070
2.2
Deferred tax liabilities deductible from deferred tax assets that rely on future profitability
080
2.2.1
Deductible deferred tax liabilities associated with deferred tax assets that rely on future profitability and do not arise from temporary differences
090
2.2.2
Deductible deferred tax liabilities associated with deferred tax assets that rely on future profitability and arise from temporary differences
093
2A
Tax overpayments and tax loss carry backs
096
2B
Deferred Tax Assets subject to a risk weight of 250 %
097
2C
Deferred Tax Assets subject to a risk weight of 0 %
Credit risk adjustments and expected losses
100
3
IRB excess (+) or shortfall (-) of credit risk adjustments, additional value adjustments and other own funds reductions to expected losses for non defaulted exposures
110
3.1
Total credit risk adjustments, additional value adjustments and other own funds reductions eligible for inclusion in the calculation of the expected loss amount
120
3.1.1
General credit risk adjustments
130
3.1.2
Specific credit risk adjustments
131
3.1.3
Additional value adjustments and other own funds reductions
140
3.2
Total expected losses eligible
145
4
IRB excess (+) or shortfall (-) of specific credit risk adjustments to expected losses for defaulted exposures
150
4.1
Specific credit risk adjustments and positions treated similarily
155
4.2
Total expected losses eligible
160
5
Risk weighted exposure amounts for calculating the cap to the excess of provision eligible as T2
170
6
Total gross provisions eligible for inclusion in T2 capital
180
7
Risk weighted exposure amounts for calculating the cap to the provision eligible as T2
Thresholds for Common Equity Tier 1 deductions
190
8
Threshold non deductible of holdings in financial sector entities where an institution does not have a significant investment
200
9
10 % CET1 threshold
210
10
17,65 % CET1 threshold
225
11.1
Eligible capital for the purposes of qualifying holdings outside the financial sector
226
11.2
Eligible capital for the purposes of large exposures
Investments in the capital of financial sector entities where the institution does not have a significant investment
230
12
Holdings of CET1 capital of financial sector entities where the institution does not have a significant investment, net of short positions
240
12.1
Direct holdings of CET1 capital of financial sector entities where the institution does not have a significant investment
250
12.1.1
Gross direct holdings of CET1 capital of financial sector entities where the institution does not have a significant investment
260
12.1.2
(-) Permitted offsetting short positions in relation to the direct gross holdings included above
270
12.2
Indirect holdings of CET1 capital of financial sector entities where the institution does not have a significant investment
280
12.2.1
Gross indirect holdings of CET1 capital of financial sector entities where the institution does not have a significant investment
290
12.2.2
(-) Permitted offsetting short positions in relation to the indirect gross holdings included above
291
12.3
Synthetic holdings of CET1 capital of financial sector entities where the institution does not have a significant investment
292
12.3.1
Gross synthetic holdings of CET1 capital of financial sector entities where the institution does not have a significant investment
293
12.3.2
(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above
300
13
Holdings of AT1 capital of financial sector entities where the institution does not have a significant investment, net of short positions
310
13.1
Direct holdings of AT1 capital of financial sector entities where the institution does not have a significant investment
320
13.1.1
Gross direct holdings of AT1 capital of financial sector entities where the institution does not have a significant investment
330
13.1.2
(-) Permitted offsetting short positions in relation to the direct gross holdings included above
340
13.2
Indirect holdings of AT1 capital of financial sector entities where the institution does not have a significant investment
350
13.2.1
Gross indirect holdings of AT1 capital of financial sector entities where the institution does not have a significant investment
360
13.2.2
(-) Permitted offsetting short positions in relation to the indirect gross holdings included above
361
13.3
Synthetic holdings of AT1 capital of financial sector entities where the institution does not have a significant investment
362
13.3.1
Gross synthetic holdings of AT1 capital of financial sector entities where the institution does not have a significant investment
363
13.3.2
(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above
370
14
Holdings of T2 capital of financial sector entities where the institution does not have a significant investment, net of short positions
380
14.1
Direct holdings of T2 capital of financial sector entities where the institution does not have a significant investment
390
14.1.1
Gross direct holdings of T2 capital of financial sector entities where the institution does not have a significant investment
400
14.1.2
(-) Permitted offsetting short positions in relation to the direct gross holdings included above
410
14.2
Indirect holdings of T2 capital of financial sector entities where the institution does not have a significant investment
420
14.2.1
Gross indirect holdings of T2 capital of financial sector entities where the institution does not have a significant investment
430
14.2.2
(-) Permitted offsetting short positions in relation to the indirect gross holdings included above
431
14.3
Synthetic holdings of T2 capital of financial sector entities where the institution does not have a significant investment
432
14.3.1
Gross synthetic holdings of T2 capital of financial sector entities where the institution does not have a significant investment
433
14.3.2
(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above
Investments in the capital of financial sector entities where the institution has a significant investment
440
15
Holdings of CET1 capital of financial sector entities where the institution has a significant investment, net of short positions
450
15.1
Direct holdings of CET1 capital of financial sector entities where the institution has a significant investment
460
15.1.1
Gross direct holdings of CET1 capital of financial sector entities where the institution has a significant investment
470
15.1.2
(-) Permitted offsetting short positions in relation to the direct gross holdings included above
480
15.2
Indirect holdings of CET1 capital of financial sector entities where the institution has a significant investment
490
15.2.1
Gross indirect holdings of CET1 capital of financial sector entities where the institution has a significant investment
500
15.2.2
(-) Permitted offsetting short positions in relation to the indirect gross holdings included above
501
15.3
Synthetic holdings of CET1 capital of financial sector entities where the institution has a significant investment
502
15.3.1
Gross synthetic holdings of CET1 capital of financial sector entities where the institution has a significant investment
503
15.3.2
(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above
510
16
Holdings of AT1 capital of financial sector entities where the institution has a significant investment, net of short positions
520
16.1
Direct holdings of AT1 capital of financial sector entities where the institution has a significant investment
530
16.1.1
Gross direct holdings of AT1 capital of financial sector entities where the institution has a significant investment
540
16.1.2
(-) Permitted offsetting short positions in relation to the direct gross holdings included above
550
16.2
Indirect holdings of AT1 capital of financial sector entities where the institution has a significant investment
560
16.2.1
Gross indirect holdings of AT1 capital of financial sector entities where the institution has a significant investment
570
16.2.2
(-) Permitted offsetting short positions in relation to the indirect gross holdings included above
571
16.3
Synthetic holdings of AT1 capital of financial sector entities where the institution has a significant investment
572
16.3.1
Gross synthetic holdings of AT1 capital of financial sector entities where the institution has a significant investment
573
16.3.2
(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above
580
17
Holdings of T2 capital of financial sector entities where the institution has a significant investment, net of short positions
590
17.1
Direct holdings of T2 capital of financial sector entities where the institution has a significant investment
600
17.1.1
Gross direct holdings of T2 capital of financial sector entities where the institution has a significant investment
610
17.1.2
(-) Permitted offsetting short positions in relation to the direct gross holdings included above
620
17.2
Indirect holdings of T2 capital of financial sector entities where the institution has a significant investment
630
17.2.1
Gross indirect holdings of T2 capital of financial sector entities where the institution has a significant investment
640
17.2.2
(-) Permitted offsetting short positions in relation to the indirect gross holdings included above
641
17.3
Synthetic holdings of T2 capital of financial sector entities where the institution has a significant investment
642
17.3.1
Gross synthetic holdings of T2 capital of financial sector entities where the institution has a significant investment
643
17.3.2
(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above
Total risk exposure amounts of holdings not deducted from the corresponding capital category:
650
18
Risk weighted exposures of CET1 holdings in financial sector entities which are not deducted from the institution’s CET1 capital
660
19
Risk weighted exposures of AT1 holdings in financial sector entities which are not deducted from the institution’s AT1 capital
670
20
Risk weighted exposures of T2 holdings in financial sector entities which are not deducted from the institution’s T2 capital
Temporary waiver from deduction from own funds
680
21
Holdings on CET1 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived
690
22
Holdings on CET1 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived
700
23
Holdings on AT1 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived
710
24
Holdings on AT1 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived
720
25
Holdings on T2 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived
730
26
Holdings on T2 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived
Capital buffers
740
27
Combined buffer requirement
750
Capital conservation buffer
760
Conservation buffer due to macro-prudential or systemic risk identified at the level of a Member State
770
Institution specific countercyclical capital buffer
780
Systemic risk buffer
800
Global Systemically Important Institution buffer
810
Other Systemically Important Institution buffer
Pillar II requirements
820
28
Own funds requirements related to Pillar II adjustments
Additional information for investment firms
830
29
Initial capital
840
30
Own funds based on Fixed Overheads
Additional information for calculation of reporting thresholds
850
31
Non-domestic original exposures
860
32
Total original exposures
Basel I floor
870
Adjustments to total own funds
880
Own funds fully adjusted for Basel I floor
890
Own funds requirements for Basel I floor
900
Own funds requirements for Basel I floor – SA alternative
910
Deficit of total capital as regards the minimum own funds requirements of the Basel I floor
C 05.01 – TRANSITIONAL PROVISIONS (CA5.1)
Adjustments to CET1
Adjustments to AT1
Adjustments to T2
Adjustments included in RWAs
Memorandum items
Applicable percentage
Eligible amount without transitional provisions
Code
ID
Item
010
020
030
040
050
060
010
1
TOTAL ADJUSTMENTS
020
1.1
GRANDFATHERED INSTRUMENTS
link to {CA1;r220}
link to {CA1;r660}
link to {CA1;r880}
030
1.1.1
Grandfathered instruments: Instruments constituting state aid
040
1.1.1.1
Instruments that qualified as own funds according to 2006/48/EC
050
1.1.1.2
Instruments issued by institutions that are incorporated in a Member State that is subject to an Economic Adjustment Programme
060
1.1.2
Instruments not constituting state aid
link to {CA5.2; r010;c060}
link to {CA5.2; r020;c060}
link to {CA5.2; r090;c060}
070
1.2
MINORITY INTERESTS AND EQUIVALENTS
link to {CA1;r240}
link to {CA1;r680}
link to {CA1;r900}
080
1.2.1
Capital instruments and items that do not qualify as minority interests
090
1.2.2
Transitional recognition in consolidated own funds of minority interests
091
1.2.3
Transitional recognition in consolidated own funds of qualifying Additional Tier 1 capital
092
1.2.4
Transitional recognition in consolidated own funds of qualifying Tier 2 capital
100
1.3
OTHER TRANSITIONAL ADJUSTMENTS
link to {CA1;r520}
link to {CA1;r730}
link to {CA1;r960}
110
1.3.1
Unrealised gains and losses
120
1.3.1.1
Unrealised gains
130
1.3.1.2
Unrealised losses
133
1.3.1.3.
Unrealised gains on exposures to central governments classified in the “Available for sale” category of EU-endorsed IAS39
136
1.3.1.4.
Unrealised loss on exposures to central governments classified in the “Available for sale” category of EU-endorsed IAS39
138
1.3.1.5.
Fair value gains and losses arising from the institution’s own credit risk related to derivative liabilities
140
1.3.2
Deductions
150
1.3.2.1
Losses for the current financial year
160
1.3.2.2
Intangible assets
170
1.3.2.3
Deferred tax assets that rely on future profitability and do not arise from temporary differences
180
1.3.2.4
IRB shortfall of provisions to expected losses
190
1.3.2.5
Defined benefit pension fund assets
194
1.3.2.5*
of which: Introduction of amendments to IAS 19 – positive item
198
1.3.2.5**
of which: Introduction of amendments to IAS 19 – negative item
200
1.3.2.6
Own instruments
210
1.3.2.6.1
Own CET1 instruments
211
1.3.2.6.1**
of which: Direct holdings
212
1.3.2.6.1*
of which: Indirect holdings
220
1.3.2.6.2
Own AT1 instruments
221
1.3.2.6.2**
of which: Direct holdings
222
1.3.2.6.2*
of which: Indirect holdings
230
1.3.2.6.3
Own T2 instruments
231
1.3.2.6.3*
of which: Direct holdings
232
1.3.2.6.3**
of which: Indirect holdings
240
1.3.2.7
Reciprocal cross holdings
250
1.3.2.7.1
Reciprocal cross holdings in CET1 Capital
260
1.3.2.7.1.1
Reciprocal cross holdings in CET1 Capital of financial sector entities where the institution does not have a significant investment
270
1.3.2.7.1.2
Reciprocal cross holdings in CET1 Capital of financial sector entities where the institution has a significant investment
280
1.3.2.7.2
Reciprocal cross holdings in AT1 Capital
290
1.3.2.7.2.1
Reciprocal cross holdings in AT1 Capital of financial sector entities where the institution does not have a significant investment
300
1.3.2.7.2.2
Reciprocal cross holdings in AT1 Capital of financial sector entities where the institution has a significant investment
310
1.3.2.7.3
Reciprocal cross holdings in T2 Capital
320
1.3.2.7.3.1
Reciprocal cross holdings in T2 Capital of financial sector entities where the institution does not have a significant investment
330
1.3.2.7.3.2
Reciprocal cross holdings in T2 Capital of financial sector entities where the institution has a significant investment
340
1.3.2.8
Own funds instruments of financial sector entities where the institution does not have a significant investment
350
1.3.2.8.1
CET1 instruments of financial sector entities where the institution does not have a significant investment
360
1.3.2.8.2
AT1 instruments of financial sector entities where the institution does not have a significant investment
370
1.3.2.8.3
T2 instruments of financial sector entities where the institution does not have a significant investment
380
1.3.2.9
Deferred tax assets that are dependent on future profitability and arise from temporary differences and CET1 instruments of financial sector entities where the institution has a significant investment
385
1.3.2.9a
Deferred tax assets that are dependent on future profitability and arise from temporary differences
390
1.3.2.10
Own funds instruments of financial sector entities where the institution has a significant investment
400
1.3.2.10.1
CET1 instruments of financial sector entities where the institution has a significant investment
410
1.3.2.10.2
AT1 instruments of financial sector entities where the institution has a significant investment
420
1.3.2.10.3
T2 instruments of financial sector entities where the institution has a significant investment
425
1.3.2.11
Exemption from deduction of Equity Holdings in Insurance Companies from CET 1 Items
430
1.3.3
Additional filters and deductions
440
1.3.4
Adjustments due to IFRS 9 transitional arrangements
C 05.02 – GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUING STATE AID (CA5.2)
CA 5.2 Grandfathered instruments: Instruments not constituting State aid
Amount of instruments plus related share premium
Base for calculating the limit
Applicable percentage
Limit
(-) Amount that exceeds the limits for grandfathering
Total grandfathered amount
Code
ID
Item
010
020
030
040
050
060
010
1.
Instruments that qualified for point a) of Article 57 of 2006/48/EC
link to {CA5.1;r060;c010)
020
2.
Instruments that qualified for point ca) of Article 57 and Article 154(8) and (9) of 2006/48/EC, subject to the limit of Article 489
link to {CA5.1;r060;c020)
030
2.1
Total instruments without a call or an incentive to redeem
040
2.2.
Grandfathered instruments with a call and incentive to redeem
050
2.2.1
Instruments with a call exercisable after the reporting date, and which meet the conditions in Article 52 of CRR after the date of effective maturity
060
2.2.2
Instruments with a call exercisable after the reporting date, and which do not meet the conditions in Article 52 of CRR after the date of effective maturity
070
2.2.3
Instruments with a call exercisable prior to or on 20 July 2011, and which do not meet the conditions in Article 52 of CRR after the date of effective maturity
080
2.3
Excess on the limit of CET1 grandfathered instruments
090
3
Items that qualified for points e), f), g) or h) of Article 57 of 2006/48/EC, subject to the limit of Article 490
link to {CA5.1;r060;c030)
100
3.1
Total items without an incentive to redeem
110
3.2
Grandfathered items with an incentive to redeem
120
3.2.1
Items with a call exercisable after the reporting date, and which meet the conditions in Article 63 of CRR after the date of effective maturity
130
3.2.2
Items with a call exercisable after the reporting date, and which do not meet the conditions in Article 63 of CRR after the date of effective maturity
140
3.2.3
Items with a call exercisable prior to or on 20 July 2011, and which do not meet the conditions in Article 63 of CRR after the date of effective maturity
150
3.3
Excess on the limit of AT1 grandfathered instruments
C 06.01 – GROUP SOLVENCY: INFORMATION ON AFFILIATES – TOTAL (GS TOTAL)
INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP
CAPITAL BUFFERS
TOTAL RISK EXPOSURE AMOUNT
QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS
CONSOLIDATED OWN FUNDS
COMBINED BUFFER REQUIREMENTS
CREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/DELIVERY RISK
POSITION, FX AND COMMODITIES RISKS
OPERATIONAL RISK
OTHER RISK EXPOSURE AMOUNTS
QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 1 CAPITAL
QUALIFYING OWN FUNDS INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 2 CAPITAL
MEMORANDUM ITEM:GOODWILL (-) / (+) NEGATIVE GOODWILL
OF WHICH: COMMON EQUITY TIER 1
OF WHICH: ADDITIONAL TIER 1
OF WHICH: CONRIBUTIONS TO CONSOLIDATED RESULT
OF WHICH: (-) GOODWILL / (+) NEGATIVE GOODWILL
CAPITAL CONSERVATION BUFFER
INSTITUTION SPECIFIC COUNTER-CYCLICAL CAPITAL BUFFER
CONSERVATION BUFFER DUE TO MACRO-PRUDENTIAL OR SYSTEMIC RISK IDENTIFIED AT THE LEVEL OF A MEMBER STATE
SYSTEMIC RISK BUFFER
GLOBAL SYSTEMICALLY IMPORTANT INSTITUTION BUFFER
OTHER SYSTEMICALLY IMPORTANT INSTITUTION BUFFER
MINORITY INTERESTS INCLUDED IN CONSOLIDATED COMMON EQUITY TIER 1 CAPITAL
QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED ADDITIONAL TIER 1 CAPITAL
250
260
270
280
290
300
310
320
330
340
350
360
370
380
390
400
410
420
430
440
450
470
480
010
TOTAL
C 06.02 – GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS)
ENTITIES WITHIN SCOPE OF CONSOLIDATION
INFORMATION ON ENTITIES SUBJECT TO OWN FUNDS REQUIREMENTS
INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP
CAPITAL BUFFERS
NAME
CODE
LEI code
INSTITUTION OR EQUIVALENT(YES / NO)
TYPE OF ENTITY
SCOPE OF DATA: SOLO FULLY CONSOLIDATED (SF) OR SOLO PARTIALLY CONSOLIDATED (SP)
COUNTRY CODE
SHARE OF HOLDING (%)
TOTAL RISK EXPOSURE AMOUNT
OWN FUNDS
TOTAL RISK EXPOSURE AMOUNT
QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS
CONSOLIDATED OWN FUNDS
COMBINED BUFFER REQUIREMENT
CREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/DELIVERY RISK
POSITION, FX AND COMMODITIES RISKS
OPERATIONAL RISK
OTHER RISK EXPOSURE AMOUNTS
TOTAL TIER 1 CAPITAL
TIER 2 CAPITAL
CREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/DELIVERY RISK
POSITION, FX AND COMMODITIES RISKS
OPERATIONAL RISK
OTHER RISK EXPOSURE AMOUNTS
QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 1 CAPITAL
QUALIFYING OWN FUNDS INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 2 CAPITAL
MEMORANDUM ITEM:GOODWILL (-) / (+) NEGATIVE GOODWILL
OF WHICH: COMMON EQUITY TIER 1
OF WHICH: ADDITIONAL TIER 1
OF WHICH: CONRIBUTIONS TO CONSOLIDATED RESULT
OF WHICH: (-) GOODWILL / (+) NEGATIVE GOODWILL
CAPITAL CONSERVATION BUFFER
INSTITUTION SPECIFIC COUNTER-CYCLICAL CAPITAL BUFFER
CONSERVATION BUFFER DUE TO MACRO-PRUDENTIAL OR SYSTEMIC RISK IDENTIFIED AT THE LEVEL OF A MEMBER STATE
SYSTEMIC RISK BUFFER
GLOBAL SYSTEMICALLY IMPORTANT INSTITUTION BUFFER
OTHER SYSTEMICALLY IMPORTANT INSTITUTION BUFFER
COMMON EQUITY TIER 1 CAPITAL
ADDITIONAL TIER 1 CAPITAL
OF WHICH: QUALIFYING OWN FUNDS
RELATED OWN FUNDS INSTRUMENTS, RELATED RETAINED EARNINGS AND SHARE PREMIUM ACCOUNTS
OF WHICH: QUALIFYING TIER 1 CAPITAL
RELATED T1 INSTRUMENTS, RELATED RETAINED EARNINGS AND SHARE PREMIUM ACCOUNTS
OF WHICH: MINORITY INTERESTS
RELATED OWN FUNDS INSTRUMENTS, RELATED RETAINED EARNINGS, SHARE PREMIUM ACCOUNTS AND OTHER RESERVES
OF WHICH: QUALIFYING ADDITIONAL TIER 1 CAPITAL
OF WHICH: QUALIFYING TIER 2 CAPITAL
MINORITY INTERESTS INCLUDED IN CONSOLIDATED COMMON EQUITY TIER 1 CAPITAL
QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED ADDITIONAL TIER 1 CAPITAL
010
020
025
030
035
040
050
060
070
080
090
100
110
120
130
140
150
160
170
180
190
200
210
220
230
240
250
260
270
280
290
300
310
320
330
340
350
360
370
380
390
400
410
420
430
440
450
470
480
C 07.00 – CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: STANDARDISED APPROACH TO CAPITAL REQUIREMENTS (CR SA)SA Exposure class
ORIGINAL EXPOSURE PRE CONVERSION FACTORS
(-) VALUE ADJUSTMENTS AND PROVISIONS ASSOCIATED WITH THE ORIGINAL EXPOSURE
EXPOSURE NET OF VALUE ADJUSTMENTS AND PROVISIONS
CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE
NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS
CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE EXPOSURE AMOUNT: FUNDED CREDIT PROTECTION. FINANCIAL COLLATERAL COMPREHENSIVE METHOD
FULLY ADJUSTED EXPOSURE VALUE (E*)
BREAKDOWN OF THE FULLY ADJUSTED EXPOSURE VALUE OF OFF-BALANCE SHEET ITEMS BY CONVERSION FACTORS
EXPOSURE VALUE
RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR
RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR
UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (Ga)
FUNDED CREDIT PROTECTION
SUBSTITUTION OF THE EXPOSURE DUE TO CRM
VOLATILITY ADJUSTMENT TO THE EXPOSURE
(-) FINANCIAL COLLATERAL: ADJUSTED VALUE (Cvam)
0 %
20 %
50 %
100 %
OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK
OF WHICH: WITH A CREDIT ASSESSMENT BY A NOMINATED ECAI
OF WHICH: WITH A CREDIT ASSESSMENT DERIVED FROM CENTRAL GOVERNMENT
(-) GUARANTEES
(-) CREDIT DERIVATIVES
(-) FINANCIAL COLLATERAL: SIMPLE METHOD
(-) OTHER FUNDED CREDIT PROTECTION
(-) TOTAL OUTFLOWS
TOTAL INFLOWS (+)
(-) OF WHICH: VOLATILITY AND MATURITY ADJUSTMENTS
010
030
040
050
060
070
080
090
100
110
120
130
140
150
160
170
180
190
200
210
215
220
230
240
010
TOTAL EXPOSURES
Cell linked to CA
015
of which: Defaulted exposures in exposure classes “items associated with a particular high risk” and “equity exposures”
020
of which: SME
030
of which: Exposures subject to SME-supporting factor
040
of which: Secured by mortgages on immovable property – Residential property
050
of which: Exposures under the permanent partial use of the Standardised Approach
060
of which: Exposures under the standardised approach with prior supervisory permission to carry out a sequential IRB implementation
BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:
070
On balance sheet exposures subject to credit risk
080
Off balance sheet exposures subject to credit risk
Exposures / Transactions subject to counterparty credit risk
090
Securities Financing Transactions
100
of which: centrally cleared through a QCCP
110
Derivatives & Long Settlement Transactions
120
of which: centrally cleared through a QCCP
130
From Contractual Cross Product Netting
BREAKDOWN OF TOTAL EXPOSURES BY RISK WEIGHTS:
140
0 %
150
2 %
160
4 %
170
10 %
180
20 %
190
35 %
200
50 %
210
70 %
220
75 %
230
100 %
240
150 %
250
250 %
260
370 %
270
1 250 %
280
Other risk weights
MEMORANDUM ITEMS
290
Exposures secured by mortgages on commercial immovable property
300
Exposures in default subject to a risk weight of 100 %
310
Exposures secured by mortgages on residential property
320
Exposures in default subject to a risk weight of 150 %
C 08.01 – CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS (CR IRB 1)IRB Exposure class:Own estimates of LGD and/or conversion factors:
INTERNAL RATING SYSTEM
ORIGINAL EXPOSURE PRE CONVERSION FACTORS
CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE
EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS
EXPOSURE VALUE
CREDIT RISK MITIGATION TECHNIQUES TAKEN INTO ACCOUNT IN LGD ESTIMATES EXCLUDING DOUBLE DEFAULT TREATMENT
SUBJECT TO DOUBLE DEFAULT TREATMENT
EXPOSURE WEIGHTED AVERAGE LGD (%)
EXPOSURE WEIGHTED AVERAGE LGD (%) FOR LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES
EXPOSURE-WEIGHTED AVERAGE MATURITY VALUE (DAYS)
RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR
RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR
MEMORANDUM ITEMS:
UNFUNDED CREDIT PROTECTION
(-) OTHER FUNDED CREDIT PROTECTION
SUBSTITUTION OF THE EXPOSURE DUE TO CRM
OWN ESTIMATES OF LGD’S ARE USED:UNFUNDED CREDIT PROTECTION
FUNDED CREDIT PROTECTION
UNFUNDED CREDIT PROTECTION
PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%)
OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES
(-) GUARANTEES
(-) CREDIT DERIVATIVES
(-) TOTAL OUTFLOWS
TOTAL INFLOWS (+)
OF WHICH: OFF BALANCE SHEET ITEMS
OF WHICH: OFF BALANCE SHEET ITEMS
OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK
OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES
GUARANTEES
CREDIT DERIVATIVES
OWN ESTIMATES OF LGD’S ARE USED:OTHER FUNDED CREDIT PROTECTION
ELIGIBLE FINANCIAL COLLATERAL
OTHER ELIGIBLE COLLATERAL
EXPECTED LOSS AMOUNT
(-) VALUE ADJUSTMENTS AND PROVISIONS
NUMBER OF OBLIGORS
REAL ESTATE
OTHER PHYSICAL COLLATERAL
RECEIVABLES
OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES
010
020
030
040
050
060
070
080
090
100
110
120
130
140
150
160
170
180
190
200
210
220
230
240
250
255
260
270
280
290
300
010
TOTAL EXPOSURES
Cell linked to CA
015
of which: Exposures subject to SME-supporting factor
BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:
020
On balance sheet items subject to credit risk
030
Off balance sheet items subject to credit risk
Exposures / Transactions subject to counterparty credit risk
040
Securities Financing Transactions
050
Derivatives & Long Settlement Transactions
060
From Contractual Cross Product Netting
070
EXPOSURES ASSIGNED TO OBLIGOR GRADES OR POOLS: TOTAL
080
SPECIALIZED LENDING SLOTTING CRITERIA: TOTAL
BREAKDOWN BY RISK WEIGHTS OF TOTAL EXPOSURES UNDER SPECIALIZED LENDING SLOTTING CRITERIA:
090
RISK WEIGHT: 0 %
100
50 %
110
70 %
120
Of which: in category 1
130
90 %
140
115 %
150
250 %
160
ALTERNATIVE TREATMENT: SECURED BY REAL ESTATE
170
EXPOSURES FROM FREE DELIVERIES APPLYING RISK WEIGHTS UNDER THE ALTERNATIVE TREATMENT OR 100 % AND OTHER EXPOSURES SUBJECT TO RISK WEIGHTS
180
DILUTION RISK: TOTAL PURCHASED RECEIVABLES
C 08.02 – CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BREAKDOWN BY OBLIGOR GRADES OR POOLS (CR IRB 2)IRB Exposure class:Own estimates of LGD and/or conversion factors:
OBLIGOR GRADE (ROW IDENTIFIER)
INTERNAL RATING SYSTEM
ORIGINAL EXPOSURE PRE CONVERSION FACTORS
CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE
EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS
EXPOSURE VALUE
CREDIT RISK MITIGATION TECHNIQUES TAKEN INTO ACCOUNT IN LGD ESTIMATES EXCLUDING DOUBLE DEFAULT TREATMENT
SUBJECT TO DOUBLE DEFAULT TREATMENT
EXPOSURE WEIGHTED AVERAGE LGD (%)
EXPOSURE WEIGHTED AVERAGE LGD (%) FOR LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES
EXPOSURE-WEIGHTED AVERAGE MATURITY VALUE (DAYS)
RISK WEIGHTED EXPOSURE AMOUNT PRE SME-FACTOR
RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-FACTOR
MEMORANDUM ITEMS:
UNFUNDED CREDIT PROTECTION
(-) OTHER FUNDED CREDIT PROTECTION
SUBSTITUTION OF THE EXPOSURE DUE TO CRM
OWN ESTIMATES OF LGD’S ARE USED:UNFUNDED CREDIT PROTECTION
FUNDED CREDIT PROTECTION
UNFUNDED CREDIT PROTECTION
EXPECTED LOSS AMOUNT
(-) VALUE ADJUSTMENTS AND PROVISIONS
NUMBER OF OBLIGORS
PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%)
OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES
(-) GUARANTEES
(-) CREDIT DERIVATIVES
(-) TOTAL OUTFLOWS
TOTAL INFLOWS (+)
OF WHICH: OFF BALANCE SHEET ITEMS
OF WHICH: OFF BALANCE SHEET ITEMS
OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK
OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES
GUARANTEES
CREDIT DERIVATIVES
OWN ESTIMATES OF LGD’S ARE USED:OTHER FUNDED CREDIT PROTECTION
ELIGIBLE FINANCIAL COLLATERAL
OTHER ELIGIBLE COLLATERAL
OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES
REAL ESTATE
OTHER PHYSICAL COLLATERAL
RECEIVABLES
005
010
020
030
040
050
060
070
080
090
100
110
120
130
140
150
160
170
180
190
200
210
220
230
240
250
255
260
270
280
290
300
C 09.01 – GEOGRAPHICAL BREAKDOWN OF EXPOSURES BY RESIDENCE OF THE OBLIGOR: SA EXPOSURES (CR GB 1)Country:
ORIGINAL EXPOSURE PRE CONVERSION FACTORS
Observed new defaults for the period
General credit risk adjustments
Specific credit risk adjustments
Write offs
Credit risk adjustments/write-offs for observed new defaults
EXPOSURE VALUE
RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR
RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR
Defaulted exposures
010
020
040
050
055
060
070
075
080
090
010
Central governments or central banks
020
Regional governments or local authorities
030
Public sector entities
040
Multilateral Development Banks
050
International Organisations
060
Institutions
070
Corporates
075
of which: SME
080
Retail
085
of which: SME
090
Secured by mortgages on immovable property
095
of which: SME
100
Exposures in default
110
Items associated with particularly high risk
120
Covered bonds
130
Claims on institutions and corporates with a short-term credit assessment
140
Collective investments undertakings (CIU)
150
Equity exposures
160
Other exposures
170
Total exposures
C 09.02 – GEOGRAPHICAL BREAKDOWN OF EXPOSURES BY RESIDENCE OF THE OBLIGOR: IRB EXPOSURES (CR GB 2)Country:
ORIGINAL EXPOSURE PRE CONVERSION FACTORS
Observed new defaults for the period
General credit risk adjustments
Specific credit risk adjustments
Write off
Credit risk adjustments/write-offs for observed new defaults
PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%)
EXPOSURE WEIGHTED AVERAGE LGD (%)
EXPOSURE VALUE
RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR
RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR
EXPECTED LOSS AMOUNT
Of which: defaulted
Of which: defaulted
Of which: defaulted
010
030
040
050
055
060
070
080
090
100
105
110
120
125
130
010
Central governments or central banks
020
Institutions
030
Corporates
042
Of Which: Specialised Lending(excl. SL subject to slotting criteria)
045
Of Which: Specialised Lendingsubject to slotting criteria
050
Of Which: SME
060
Retail
070
Secured by real estate property
080
SME
090
Non-SME
100
Qualifying Revolving
110
Other Retail
120
SME
130
Non-SME
140
Equity
150
Total exposures
C 09.04 – BREAKDOWN OF CREDIT EXPOSURES RELEVANT FOR THE CALCULATION OF THE COUNTERCYCLICAL BUFFER BY COUNTRY AND INSTITUTION-SPECIFIC COUNTERCYCLICAL BUFFER RATE (CCB)Country:
Amount
Percentage
Qualitative information
010
020
030
Relevant credit exposures – Credit Risk
010
Exposure value under the Standardised Approach
020
Exposure value under the IRB Approach
Relevant credit exposures – Market risk
030
Sum of long and short positions of trading book exposures for Standardised Approach
040
Value of trading book exposures for internal models
Relevant credit exposures – Securitisation
055
Exposure value of securitisation positions in the banking book
Own funds requirements and weights
070
Total own funds requirements for CCB
080
Own funds requirements for relevant credit exposures – Credit risk
090
Own funds requirements for relevant credit exposures – Market risk
100
Own funds requirements for relevant credit exposures – Securitisation positions in the banking book
110
Own funds requirements weights
Countercyclical capital buffer rates
120
Countercyclical capital buffer rate set by the Designated Authority
130
Countercyclical capital buffer rate applicable for the country of the institution
140
Institution-specific countercyclical capital buffer rate
Use of 2 % threshold
150
Use of 2 % threshold for general credit exposure
160
Use of 2 % threshold for trading book exposure
C 10.01 – CREDIT RISK: EQUITY – IRB APPROACHES TO CAPITAL REQUIREMENTS (CR EQU IRB 1)
INTERNAL RATING SYSTEM
ORIGINAL EXPOSURE PRE CONVERSION FACTORS
CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE
EXPOSURE VALUE
EXPOSURE WEIGHTED AVERAGE LGD (%)
RISK WEIGHTED EXPOSURE AMOUNT
MEMORANDUM ITEM:
UNFUNDED CREDIT PROTECTION
SUBSTITUTION OF THE EXPOSURE DUE TO CRM
EXPECTED LOSS AMOUNT
PD ASSIGNED TO THE OBLIGOR GRADE (%)
(-) GUARANTEES
(-) CREDIT DERIVATIVES
(-) TOTAL OUTFLOWS
010
020
030
040
050
060
070
080
090
010
TOTAL IRB EQUITY EXPOSURES
Cell linked to CA
020
PD/LGD APRROACH: TOTAL
050
SIMPLE RISK WEIGHT APPROACH: TOTAL
060
BREAKDOWN OF TOTAL EXPOSURES UNDER THE SIMPLE RISK WEIGHT APRROACH BY RISK WEIGHTS:
070
RISK WEIGHT: 190 %
080
290 %
090
370 %
100
INTERNAL MODELS APPROACH
110
EQUITY EXPOSURES SUBJECT TO RISK WEIGHTS
C 10.02 – CREDIT RISK: EQUITY – IRB APPROACHES TO CAPITAL REQUIREMENTS. BREAKDOWN OF TOTAL EXPOSURES UNDER THE PD/LGD APRROACH BY OBLIGOR GRADES (CR EQU IRB 2)
OBLIGOR GRADE(ROW IDENTIFIER)
INTERNAL RATING SYSTEM
ORIGINAL EXPOSURE PRE CONVERSION FACTORS
CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE
EXPOSURE VALUE
EXPOSURE WEIGHTED AVERAGE LGD (%)
RISK WEIGHTED EXPOSURE AMOUNT
MEMORANDUM ITEM:
UNFUNDED CREDIT PROTECTION
SUBSTITUTION OF THE EXPOSURE DUE TO CRM
EXPECTED LOSS AMOUNT
PD ASSIGNED TO THE OBLIGOR GRADE (%)
(-) GUARANTEES
(-) CREDIT DERIVATIVES
(-) TOTAL OUTFLOWS
005
010
020
030
040
050
060
070
080
090
C 11.00 – SETTLEMENT/DELIVERY RISK (CR SETT)
UNSETTLED TRANSACTIONS AT SETTLEMENT PRICE
PRICE DIFFERENCE EXPOSURE DUE TO UNSETTLED TRANSACTIONS
OWN FUNDS REQUIREMENTS
TOTAL SETTLEMENT RISK EXPOSURE AMOUNT
010
020
030
040
010
Total unsettled transactions in the Non-trading Book
Cell linked to CA
020
Transactions unsettled up to 4 days (Factor 0 %)
030
Transactions unsettled between 5 and 15 days (Factor 8 %)
040
Transactions unsettled between 16 and 30 days (Factor 50 %)
050
Transactions unsettled between 31 and 45 days (Factor 75 %)
060
Transactions unsettled for 46 days or more (Factor 100 %)
070
Total unsettled transactions in the Trading Book
Cell linked to CA
080
Transactions unsettled up to 4 days (Factor 0 %)
090
Transactions unsettled between 5 and 15 days (Factor 8 %)
100
Transactions unsettled between 16 and 30 days (Factor 50 %)
110
Transactions unsettled between 31 and 45 days (Factor 75 %)
120
Transactions unsettled for 46 days or more (Factor 100 %)
C 13.01 – CREDIT RISK: SECURITISATIONS (CR SEC)
TOTAL AMOUNT OF SECURITISATI0N EXPOSURES ORIGINATED
SYNTHETIC SECURITIZATIONS: CREDIT PROTECTION TO THE SECURITISED EXPOSURES
SECURITISATION POSITIONS
(-) VALUE ADJUSTMENTS AND PROVISIONS
EXPOSURE NET OF VALUE ADJUSTMENTS AND PROVISIONS
CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE
NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS
(-) CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE AMOUNT OF THE EXPOSURE: FUNDED CREDIT PROTECTION FINANCIAL COLLATERAL COMPREHENSIVE METHOD ADJUSTED VALUE (Cvam)
FULLY ADJUSTED EXPOSURE VALUE (E*)
(-) NON REFUNDABLE PURCHASE PRICE DISCOUNT
(-) SPECIFIC CREDIT RISK ADJUSTMENTS ON UNDERLYING EXPOSURES
EXPOSURE VALUE
BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS
RISK-WEIGHTED EXPOSURE AMOUNT
ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO MATURITY MISMATCHES
OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF CHAPTER 2 OF REGULATION (EU) 2017/2402
BEFORE CAP
(-) REDUCTION DUE TO RISK WEIGHT CAP
(-) REDUCTION DUE TO OVERALL CAP
TOTAL RISK-WEIGHTED EXPOSURE AMOUNT
MEMORANDUM ITEM:RISK WEIGHTED EXPOSURE AMOUNT CORRESPONDING TO THE OUTFLOWS FROM SECURITISATIONS TO OTHER EXPOSURE CLASSES
(-) FUNDED CREDIT PROTECTION (Cva)
(-) TOTAL OUTFLOWS
NOTIONAL AMOUNT RETAINED OR REPURCHASED OF CREDIT PROTECTION
ORIGINAL EXPOSURE PRE CONVERSION FACTORS
(-) UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (Ga)
(-) FUNDED CREDIT PROTECTION
SUBSTITUTION OF THE EXPOSURE DUE TO CRM
OF WHICH: SUBJECT TO A CCF OF 0 %
(-) DEDUCTED FROM OWN FUNDS
SUBJECT TO RISK WEIGHTS
SEC-IRBA
SEC-SA
SEC-ERBA
INTERNAL ASSESSMENT APPROACH
OTHER (RW=1 250 %)
SEC-IRBA
SEC-SA
SEC-ERBA
INTERNAL ASSESSMENT APPROACH
OTHER (RW=1 250 %)
OF WHICH: SYNTHETIC SECURITISATIONS
BREAKDOWN BY RW BANDS
OF WHICH: CALCULATED UNDER ARTICLE 255 (4) (PURCHASED RECEIVABLES)
BREAKDOWN BY RW BANDS
BREAKDOWN BY CREDIT QUALITY STEPS
BREAKDOWN BY REASONS FOR APPLICATION OF SEC-ERBA
BREAKDOWN BY RW BANDS
OF WHICH: CALCULATED UNDER ARTICLE 255 (4) (PURCHASED RECEIVABLES)
OF WHICH: RW=1 250 % (W UNKNOWN)
AUTO LOANS, AUTO LEASES AND EQUIPMENT LEASES
SEC-ERBA OPTION
POSITIONS SUBJECT TO ART. 254(2)(a) CRR
POSITIONS SUBJECT TO ART. 254(2)(b) CRR
POSITIONS SUBJECT TO ART. 254 (4) OR 258 (2) CRR
FOLLOWING THE HIERARCHY OF APPROACHES
AVERAGE RISK WEIGHT (%)
(-) UNFUNDED CREDIT PROTECTION ADJUSTED VALUES (G*)
(-) TOTAL OUTFLOWS
TOTAL INFLOWS
=< 20 % RW
>20 % TO 50 % RW
>50 % TO 100 % RW
>100 % TO < 1 250 % RW
1 250 % RW
=< 20 % RW
>20 % TO 50 % RW
>50 % TO 100 % RW
>100 % TO < 1 250 % RW
1 250 % RW (W UNKNOWN)
1 250 % RW (OTHER)
SHORT TERM CREDIT QUALITY STEPS
LONG TERM CREDIT QUALITY STEPS
AUTO LOANS, AUTO LEASES AND EQUIPMENT LEASES
SEC-ERBA OPTION
POSITIONS SUBJECT TO POINT (a) OF ARTICLE 254(2) CRR
POSITIONS SUBJECT TO POINT (b) OF ARTICLE 254(2) CRR
POSITIONS SUBJECT TO ARTICLES 254 (4) OR 258 (2) CRR
FOLLOWING THE HIERARCHY OF APPROACHES
=< 20 % RW
>20 % TO 50 % RW
>50 % TO 100 % RW
>100 % TO < 1 250 % RW
1 250 % RW
CQS 1
CQS 2
CQS 3
ALL OTHER CQS
CQS 1
CQS 2
CQS 3
CQS 4
CQS 5
CQS 6
CQS 7
CQS 8
CQS 9
CQS 10
CQS 11
CQS 12
CQS 13
CQS 14
CQS 15
CQS 16
CQS 17
ALL OTHER CQS
0010
0020
0030
0040
0050
0060
0070
0080
0090
0100
0110
0120
0130
0140
0150
0160
0170
0180
0190
0200
0210
0220
0230
0240
0250
0260
0270
0280
0290
0300
0310
0320
0330
0340
0350
0360
0370
0380
0390
0400
0410
0420
0430
0440
0450
0460
0470
0480
0490
0500
0510
0520
0530
0540
0550
0560
0570
0580
0590
0600
0610
0620
0630
0640
0650
0660
0670
0680
0690
0700
0710
0720
0730
0740
0750
0760
0770
0780
0790
0800
0810
0820
0830
0840
0850
0860
0870
0880
0890
0900
0910
0920
0930
0010
TOTAL EXPOSURES
Cell linked to CA
0020
SECURITISATION POSITIONS
0030
QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT
0040
STS EXPOSURES
0050
SENIOR POSITION IN SMEs SECURITISATIONS
0060
NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT
0070
RE-SECURITISATION POSITIONS
0080
ORIGINATOR: TOTAL EXPOSURES
0090
SECURITISATION POSITIONS: ON-BALANCE SHEET ITEMS
0100
QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT
0110
OF WHICH: SENIOR EXPOSURES
0120
NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT
0130
OF WHICH: SENIOR EXPOSURES
0140
SECURITISATION POSITIONS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES
0150
QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT
0160
OF WHICH: SENIOR EXPOSURES
0170
NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT
0180
OF WHICH: SENIOR EXPOSURES
0190
RE-SECURITISATION POSITIONS
0200
INVESTOR: TOTAL EXPOSURES
0210
SECURITISATION POSITIONS: ON-BALANCE SHEET ITEMS
0220
QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT
0230
OF WHICH: SENIOR EXPOSURES
0240
NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT
0250
OF WHICH: SENIOR EXPOSURES
0260
SECURITISATION POSITIONS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES
0270
QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT
0280
OF WHICH: SENIOR EXPOSURES
0290
NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT
0300
OF WHICH: SENIOR EXPOSURES
0310
RE-SECURITISATION POSITIONS
0320
SPONSOR: TOTAL EXPOSURES
0330
SECURITISATION POSITIONS: ON-BALANCE SHEET ITEMS
0340
QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT
0350
OF WHICH: SENIOR EXPOSURES
0360
NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT
0370
OF WHICH: SENIOR EXPOSURES
0380
SECURITISATION POSITIONS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES
0390
QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT
0400
OF WHICH: SENIOR EXPOSURES
0410
NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT
0420
OF WHICH: SENIOR EXPOSURES
0430
RE-SECURITISATION POSITIONS
0440
BREAKDOWN OF OUTSTANDING POSITIONS BY CQS AT INCEPTION: Short term
0450
CQS 1
0460
CQS 2
0470
CQS 3
0480
ALL OTHER CQS AND UNRATED
0490
BREAKDOWN OF OUTSTANDING POSITIONS BY CQS AT INCEPTION: Long term
0500
CQS 1
0510
CQS 2
0520
CQS 3
0530
CQS 4
0540
CQS 5
0550
CQS 6
0560
CQS 7
0570
CQS 8
0580
CQS 9
0590
CQS 10
0600
CQS 11
0610
CQS 12
0620
CQS 13
0630
CQS 14
0640
CQS 15
0650
CQS 16
0660
CQS 17
0670
ALL OTHER CQS AND UNRATED
C 14.00 – DETAILED INFORMATION ON SECURITISATIONS (SEC Details)
ROW NUMBER
INTERNAL CODE
IDENTIFIER OF THE SECURITISATION
INTRA-GROUP, PRIVATE OR PUBLIC SECURITISATION?
ROLE OF THE INSTITUTION:(ORIGINATOR / SPONSOR / ORIGINAL LENDER / INVESTOR)
IDENTIFIER OF THE ORIGINATOR
SECURITISATION TYPE:(TRADITIONAL / SYNTHETIC / ABCP PROGRAMME / ABCP TRANSACTION)
ACCOUNTING TREATMENT: SECURITISED EXPOSURES ARE KEPT OR REMOVED FROM THE BALANCE SHEET?
SOLVENCY TREATMENT: Securitisation positions subject to own funds requirements ?
SIGNIFICANT RISK TRANSFER
SECURITISATION OR RE-SECURITISATION?
STS OR NON-STS SECURITISATION?
SECURITISATION QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT?
RETENTION
NON ABCP PROGRAMMES
SECURITISED EXPOSURES
SECURITISATION STRUCTURE
TYPE OF RETENTION APPLIED
% OF RETENTION AT REPORTING DATE
COMPLIANCE WITH THE RETENTION REQUIREMENT?
ORIGINATION DATE(mm/yyyy)
DATE OF LATEST ISSUANCE(mm/yyyy)
TOTAL AMOUNT OF SECURITISED EXPOSURES AT ORIGINATION DATE
TOTAL AMOUNT
INSTITUTION’S SHARE (%)
TYPE
% of IRB IN APPROACH APPLIED
NUMBER OF EXPOSURES
EXPOSURES IN DEFAULT W (%)
COUNTRY
LGD (%)
EL%
UL%
EXPOSURE-WEIGHTED AVERAGE MATURITY OF ASSETS
(-) VALUE ADJUSTMENTS AND PROVISIONS
OWN FUNDS REQUIREMENTS BEFORE SECURITISATION (%) Kirb
% OF RETAIL EXPOSURES IN IRB POOLS
OWN FUNDS REQUIREMENTS BEFORE SECURITISATION (%) Ksa
MEMORANDUM ITEMS
ON-BALANCE SHEET ITEMS
OFF-BALANCE SHEET ITEMS AND DERIVATIVES
MATURITY
MEMORANDUM ITEMS
CREDIT RISK ADJUSTMENTS DURING THE CURRENT PERIOD
SENIOR
MEZZANINE
FIRST LOSS
SENIOR
MEZZANINE
FIRST LOSS
FIRST FORESEEABLE TERMINATION DATE
ORIGINATOR’S CALL OPTIONS INCLUDED IN TRANSACTION
LEGAL FINAL MATURITY DATE
ATTACHMENT POINT OF RISK SOLD (%)
DETACHMENT POINT OF RISK SOLD (%)
RISK TRANSFER CLAIMED BY ORIGINATOR INSTITUTION (%)
AMOUNT
ATTACHMENT POINT (%)
CQS
AMOUNT
NUMBER OF TRANCHES
CQS OF THE MOST SUBORDINATED ONE
AMOUNT
DETACHMENT POINT (%)
CQS
005
010
020
021
110
030
040
051
060
061
070
075
446
080
090
100
120
121
130
140
150
160
171
180
181
190
201
202
203
204
210
221
222
223
225
230
231
232
240
241
242
250
251
252
260
270
280
290
291
300
302
303
304
C 14.01 – DETAILED INFORMATION ON SECURITISATIONS BY APPROACH (SEC Details Approach)Approach:
ROW NUMBER
INTERNAL CODE
IDENTIFIER OF THE SECURITISATION
SECURITISATION POSITIONS
EXPOSURE VALUE
(-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS
TOTAL RISK-WEIGHTED EXPOSURE AMOUNT
MEMORANDUM ITEMS
SECURITISATION POSITIONS - TRADING BOOK
ORIGINAL EXPOSURE PRE-CONVERSION FACTORS
MEMORANDUM ITEMS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES PRE CONVERSION FACTORS
RISK-WEIGHTED EXPOSURE AMOUNT UNDER SEC-ERBA
RISK WEIGHTED EXPOSURE AMOUNT UNDER SEC-SA
CTP OR NON-CTP?
NET POSITIONS
ON-BALANCE SHEET ITEMS
OFF-BALANCE SHEET ITEMS AND DERIVATIVES
DIRECT CREDIT SUBSTITUTES
IRS / CRS
LIQUIDITY FACILITIES
OTHER
SENIOR
MEZZANINE
FIRST LOSS
SENIOR
MEZZANINE
FIRST LOSS
BEFORE CAP
(-) REDUCTION DUE TO RISK WEIGHT CAP
(-) REDUCTION DUE TO OVERALL CAP
AFTER CAP
RW CORRESPONDING TO PROTECTION PROVIDER / INSTRUMENT
RW CORRESPONDING TO PROTECTION PROVIDER / INSTRUMENT
LONG
SHORT
005
010
020
310
320
330
340
350
351
360
361
370
380
390
400
411
420
430
431
432
440
447
448
450
460
470
C 16.00 – OPERATIONAL RISK (OPR)
BANKING ACTIVITIES
RELEVANT INDICATOR
LOANS AND ADVANCES(IN CASE OF ASA APPLICATION)
OWN FUNDSREQUIREMENT
Total operational risk exposure amount
AMA MEMORANDUM ITEMS TO BE REPORTED IF APPLICABLE
YEAR-3
YEAR-2
LAST YEAR
YEAR-3
YEAR-2
LAST YEAR
OF WHICH:DUE TO AN ALLOCATION MECHANISM
OWN FUNDS REQUIREMENT BEFORE ALLEVIATION DUE TO EXPECTED LOSS, DIVERSIFICATION AND RISK MITIGATION TECHNIQUES
(-) ALLEVIATION OF OWN FUNDS REQUIREMENT DUE TO THE EXPECTED LOSS CAPTURED IN BUSINESS PRACTICES
(-) ALLEVIATION OF OWN FUNDS REQUIREMENT DUE TO DIVERSIFICATION
(-) ALLEVIATION OF OWN FUNDS REQUIREMENT DUE TO RISK MITIGATION TECHNIQUES (INSURANCE AND OTHER RISK TRANSFER MECHANISMS)
010
020
030
040
050
060
070
071
080
090
100
110
120
010
1. BANKING ACTIVITIES SUBJECT TO BASIC INDICATOR APPROACH (BIA)
Cell linked to CA2
020
2. BANKING ACTIVITIES SUBJECT TO STANDARDISED (TSA) / ALTERNATIVE STANDARDISED (ASA) APPROACHES
Cell linked to CA2
SUBJECT TO TSA:
030
CORPORATE FINANCE (CF)
040
TRADING AND SALES (TS)
050
RETAIL BROKERAGE (RBr)
060
COMMERCIAL BANKING (CB)
070
RETAIL BANKING (RB)
080
PAYMENT AND SETTLEMENT (PS)
090
AGENCY SERVICES (AS)
100
ASSET MANAGEMENT (AM)
SUBJECT TO ASA:
110
COMMERCIAL BANKING (CB)
120
RETAIL BANKING (RB)
130
3. BANKING ACTIVITIES SUBJECT TO ADVANCED MEASUREMENT APPROACHES AMA
Cell linked to CA2
C 17.01 – OPERATIONAL RISK: LOSSES AND RECOVERIES BY BUSINESS LINES AND LOSS EVENT TYPES IN THE LAST YEAR (OPR DETAILS 1)
MAPPING OF LOSSES TO BUSINESS LINES
LOSS EVENT TYPES
TOTAL LOSS EVENT TYPES
MEMORANDUM ITEM: THRESHOLD APPLIED IN DATA COLLECTION
INTERNAL FRAUD
EXTERNAL FRAUD
EMPLOYMENT PRACTICES AND WORKPLACE SAFETY
CLIENTS, PRODUCTS & BUSINESS PRACTICES
DAMAGE TO PHYSICAL ASSETS
BUSINESS DISRUPTION AND SYSTEM FAILURES
EXECUTION, DELIVERY & PROCESS MANAGEMENT
LOWEST
HIGHEST
Rows
0010
0020
0030
0040
0050
0060
0070
0080
0090
0100
0010
CORPORATE FINANCE [CF]
Number of loss events (new loss events)
0020
Gross loss amount (new loss events)
0030
Number of loss events subject to loss adjustments
0040
Loss adjustments relating to previous reporting periods
0050
Maximum single loss
0060
Sum of the five largest losses
0070
Total direct loss recovery
0080
Total recovery from insurance and other risk transfer mechanisms
0110
TRADING AND SALES [TS]
Number of loss events (new loss events)
0120
Gross loss amount (new loss events)
0130
Number of loss events subject to loss adjustments
0140
Loss adjustments relating to previous reporting periods
0150
Maximum single loss
0160
Sum of the five largest losses
0170
Total direct loss recovery
0180
Total recovery from insurance and other risk transfer mechanisms
0210
RETAIL BROKERAGE [RBr]
Number of loss events (new loss events)
0220
Gross loss amount (new loss events)
0230
Number of loss events subject to loss adjustments
0240
Loss adjustments relating to previous reporting periods
0250
Maximum single loss
0260
Sum of the five largest losses
0270
Total direct loss recovery
0280
Total recovery from insurance and other risk transfer mechanisms
0310
COMMERCIAL BANKING [CB]
Number of events (new loss events)
0320
Gross loss amount (new loss events)
0330
Number of loss events subject to loss adjustments
0340
Loss adjustments relating to previous reporting periods
0350
Maximum single loss
0360
Sum of the five largest losses
0370
Total direct loss recovery
0380
Total recovery from insurance and other risk transfer mechanisms
0410
RETAIL BANKING [RB]
Number of loss events (new loss events)
0420
Gross loss amount (new loss events)
0430
Number of loss events subject to loss adjustments
0440
Loss adjustments relating to previous reporting periods
0450
Maximum single loss
0460
Sum of the five largest losses
0470
Total direct loss recovery
0480
Total recovery from insurance and other risk transfer mechanisms
0510
PAYMENT AND SETTLEMENT [PS]
Number of loss events (new loss events)
0520
Gross loss amount (new loss events)
0530
Number of loss events subject to loss adjustments
0540
Loss adjustments relating to previous reporting periods
0550
Maximum single loss
0560
Sum of the five largest losses
0570
Total direct loss recovery
0580
Total recovery from insurance and other risk transfer mechanisms
0610
AGENCY SERVICES [AS]
Number of loss events (new loss events)
0620
Gross loss amount (new loss events)
0630
Number of loss events subject to loss adjustments
0640
Loss adjustments relating to previous reporting periods
0650
Maximum single loss
0660
Sum of the five largest losses
0670
Total direct loss recovery
0680
Total recovery from insurance and other risk transfer mechanisms
0710
ASSET MANAGEMENT [AM]
Number of loss events (new loss events)
0720
Gross loss amount (new loss events)
0730
Number of loss events subject to loss adjustments
0740
Loss adjustments relating to previous reporting periods
0750
Maximum single loss
0760
Sum of the five largest losses
0770
Total direct loss recovery
0780
Total recovery from insurance and other risk transfer mechanisms
0810
CORPORATE ITEMS [CI]
Number of loss events (new loss events)
0820
Gross loss amount (new loss events)
0830
Number of loss events subject to loss adjustments
0840
Loss adjustments relating to previous reporting periods
0850
Maximum single loss
0860
Sum of the five largest losses
0870
Total direct loss recovery
0880
Total recovery from insurance and other risk transfer mechanisms
0910
TOTAL BUSINESS LINES
Number of loss events (new loss events). Of which:
0911
related to losses ≥ 10 000 and < 20 000
0912
related to losses ≥ 20 000 and < 100 000
0913
related to losses ≥ 100 000 and < 1 000 000
0914
related to losses ≥ 1 000 000
0920
Gross loss amount (new loss events). Of which:
0921
related to losses ≥ 10 000 and < 20 000
0922
related to losses ≥ 20 000 and < 100 000
0923
related to losses ≥ 100 000 and < 1 000 000
0924
related to losses ≥ 1 000 000
0930
Number of loss events subject to loss adjustments. Of which:
0935
of which: number of loss events with a positive loss adjustment
0936
of which: number of loss events with a negative loss adjustment
0940
Loss adjustments relating to previous reporting periods
0945
of which: positive loss adjustment amounts (+)
0946
of which: negative loss adjustment amounts (-)
0950
Maximum single loss
0960
Sum of the five largest losses
0970
Total direct loss recovery
0980
Total recovery from insurance and other risk transfer mechanisms
C 17.02 – OPERATIONAL RISK: LARGE LOSS EVENTS (OPR DETAILS 2)
Event ID
Date of accounting
Date of occurrence
Date of discovery
Loss event type
Gross loss
Gross loss net of direct recoveries
GROSS LOSS BY BUSINESS LINE
Legal Entity name
Legal Entity ID
Business Unit
Description
Corporate Finance [CF]
Trading and Sales [TS]
Retail Brokerage [RBr]
Commercial Banking [CB]
Retail Banking [RB]
Payment and Settlement [PS]
Agency Services [AS]
Asset Management [AM]
Corporate Items [CI]
Rows
0010
0020
0030
0040
0050
0060
0070
0080
0090
0100
0110
0120
0130
0140
0150
0160
0170
0180
0190
0200
…
C 18.00 – MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS (MKR SA TDI)Currency:
POSITIONS
OWN FUNDS REQUIREMENTS
TOTAL RISK EXPOSURE AMOUNT
ALL POSITIONS
NET POSITIONS
POSITIONS SUBJECT TO CAPITAL CHARGE
LONG
SHORT
LONG
SHORT
010
020
030
040
050
060
070
010
TRADED DEBT INSTRUMENTS IN TRADING BOOK
Cell linked to CA2
011
General risk
012
Derivatives
013
Other assets and liabilities
020
Maturity-based approach
030
Zone 1
040
0 ≤ 1 month
050
> 1 ≤ 3 months
060
> 3 ≤ 6 months
070
> 6 ≤ 12 months
080
Zone 2
090
> 1 ≤ 2 (1,9 for cupon of less than 3 %) years
100
> 2 ≤ 3 (> 1,9 ≤ 2,8 for cupon of less than 3 %) years
110
> 3 ≤ 4 (> 2,8 ≤ 3,6 for cupon of less than 3 %) years
120
Zone 3
130
> 4 ≤ 5 (> 3,6 ≤ 4,3 for cupon of less than 3 %) years
140
> 5 ≤ 7 (> 4,3 ≤ 5,7 for cupon of less than 3 %) years
150
> 7 ≤ 10 (> 5,7 ≤ 7,3 for cupon of less than 3 %) years
160
> 10 ≤ 15 (> 7,3 ≤ 9,3 for cupon of less than 3 %) years
170
> 15 ≤ 20 (> 9,3 ≤ 10,6 for cupon of less than 3 %) years
180
> 20 (> 10,6 ≤ 12,0 for cupon of less than 3 %) years
190
(> 12,0 ≤ 20,0 for cupon of less than 3 %) years
200
(> 20 for cupon of less than 3 %) years
210
Duration-based approach
220
Zone 1
230
Zone 2
240
Zone 3
250
Specific risk
251
Own funds requirement for non-securitisation debt instruments
260
Debt securities under the first category in Table 1
270
Debt securities under the second category in Table 1
280
With residual term ≤ 6 months
290
With a residual term > 6 months and ≤ 24 months
300
With a residual term > 24 months
310
Debt securities under the third category in Table 1
320
Debt securities under the fourth category in Table 1
321
Rated nth-to default credit derivatives
325
Own funds requirement for securitisation instruments
330
Own funds requirement for the correlation trading portfolio
350
Additional requirements for options (non-delta risks)
360
Simplified method
370
Delta plus approach – additional requirements for gamma risk
380
Delta plus approach – additional requirements for vega risk
385
Delta plus approach – non-continuous options and warrants
390
Scenario matrix approach
C 19.00 – MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS (MKR SA SEC)
ALL POSITIONS
(-) POSITIONS DEDUCTED FROM OWN FUNDS
NET POSITIONS
BREAKDOWN OF THE NET POSITIONS (LONG) BY RISK WEIGHTS
BREAKDOWN OF THE NET POSITIONS (SHORT) BY RISK WEIGHTS
BREAKDOWN OF THE NET POSITION BY APPROACHES
OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF CHAPTER 2 OF REGULATION (EU) 2017/2402
BEFORE CAP
AFTER CAP / TOTAL OWN FUND REQUIREMENTS
LONG
SHORT
(-) LONG
(-) SHORT
LONG
SHORT
[0 – 10 %[
[10 – 12 %[
[12 – 20 %[
[20 – 40 %[
[40 – 100 %[
[100 – 150 %[
[150 – 200 %[
[200 – 225 %[
[225 – 250 %[
[250 – 300 %[
[300 – 350 %[
[350 – 425 %[
[425 – 500 %[
[500 – 650 %[
[650 – 750 %[
[750 – 850 %[
[850 – 1 250 %[
1 250 %
[0 – 10 %[
[10 – 12 %[
[12 – 20 %[
[20 – 40 %[
[40 – 100 %[
[100 – 150 %[
[150 – 200 %[
[200 – 225 %[
[225 – 250 %[
[250 – 300 %[
[300 – 350 %[
[350 – 425 %[
[425 – 500 %[
[500 – 650 %[
[650 – 750 %[
[750 – 850 %[
[850 – 1 250 %[
1 250 %
SEC-IRBA
SEC-SA
SEC-ERBA
INTERNAL ASSESSMENT APPROACH
OTHER (RW=1 250 %)
WEIGHTED NET LONG POSITIONS
WEIGHTED NET SHORT POSITIONS
010
020
030
040
050
060
061
062
063
064
065
066
071
072
073
074
075
076
077
078
079
081
082
083
085
086
087
088
089
091
092
093
094
095
096
097
098
099
101
102
103
0104
402
403
404
405
406
530
540
570
601
010
TOTAL EXPOSURES
Cell linked to MKR SA TDI {325:060}
020
Of which: RE-SECURITISATIONS
030
ORIGINATOR: TOTAL EXPOSURES
040
SECURITISATION POSITIONS
041
OF WHICH: QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT
050
RE-SECURITISATION POSITONS
060
INVESTOR: TOTAL EXPOSURES
070
SECURITISATION POSITIONS
071
OF WHICH: QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT
080
RE-SECURITISATION POSITONS
090
SPONSOR: TOTAL EXPOSURES
100
SECURITISATION POSITIONS
101
OF WHICH: QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT
110
RE-SECURITISATION POSITONS
C 20.00 – MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN THE CORRELATION TRADING PORTFOLIO (MKR SA CTP)
ALL POSITIONS
(-) POSITIONS DEDUCTED FROM OWN FUNDS
NET POSITIONS
BREAKDOWN OF THE NET POSITION (LONG) BY RISK WEIGHTS
BREAKDOWN OF THE NET POSITION (SHORT) BY RISK WEIGHTS
BREAKDOWN OF THE NET POSITION BY APPROACHES
BEFORE CAP
AFTER CAP
TOTAL OWN FUNDS REQUIREMENTS
LONG
SHORT
(-) LONG
(-) SHORT
LONG
SHORT
[0 – 10 %[
[10 – 12 %[
[12 – 20 %[
[20 – 40 %[
[40 – 100 %[
[100 – 250 %[
[250 – 350 %[
[350 – 425 %[
[425 – 650 %[
[650 – 1 250 %[
1 250 %
[0 – 10 %[
[10 – 12 %[
[12 – 20 %[
[20 – 40 %[
[40 – 100 %[
[100 – 250 %[
[250 – 350 %[
[350 – 425 %[
[425 – 650 %[
[650 – 1 250 %[
1 250 %
SEC-IRBA
SEC-SA
SEC-ERBA
INTERNAL ASSESSMENT APPROACH
OTHER (RW=1 250 %)
WEIGHTED NET LONG POSITIONS
WEIGHTED NET SHORT POSITIONS
WEIGHTED NET LONG POSITIONS
WEIGHTED NET SHORT POSITIONS
010
020
030
040
050
060
071
072
073
074
075
076
077
078
079
081
082
086
087
088
089
091
092
093
094
095
096
097
402
403
404
405
406
410
420
430
440
450
010
TOTAL EXPOSURES
Cell linked to MKR SA TDI {330:060}
SECURITISATION POSITIONS:
020
ORIGINATOR: TOTAL EXPOSURES
030
SECURITISATION POSITIONS
040
OTHER CTP POSITIONS
050
INVESTOR: TOTAL EXPOSURES
060
SECURITISATION POSITIONS
070
OTHER CTP POSITIONS
080
SPONSOR: TOTAL EXPOSURES
090
SECURITISATION POSITIONS
100
OTHER CTP POSITIONS
N-TH-TO-DEFAULT CREDIT DERIVATIVES:
110
N-TH-TO-DEFAULT CREDIT DERIVATIVES
120
OTHER CTP POSITIONS
C 21.00 – MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES (MKR SA EQU)National market:
POSITIONS
OWN FUNDS REQUIREMENTS
TOTAL RISK EXPOSURE AMOUNT
ALL POSITIONS
NET POSITIONS
POSITIONS SUBJECT TO CAPITAL CHARGE
LONG
SHORT
LONG
SHORT
010
020
030
040
050
060
070
010
EQUITIES IN TRADING BOOK
Cell linked to CA
020
General risk
021
Derivatives
022
Other assets and liabilities
030
Exchange traded stock-index futures broadly diversified subject to particular approach
040
Other equities than exchange traded stock-index futures broadly diversified
050
Specific risk
090
Additional requirements for options (non-delta risks)
100
Simplified method
110
Delta plus approach – additional requirements for gamma risk
120
Delta plus approach – additional requirements for vega risk
125
Delta plus approach – non-continuous options and warrants
130
Scenario matrix approach
C 22.00 – MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK (MKR SA FX)
ALL POSITIONS
NET POSITIONS
POSITIONS SUBJECT TO CAPITAL CHARGE(Including redistribution of unmatched positions in non-reporting currencies subject to special treatment for matched positions)
OWN FUNDS REQUIREMENTS
TOTAL RISK EXPOSURE AMOUNT
LONG
SHORT
LONG
SHORT
LONG
SHORT
MATCHED
020
030
040
050
060
070
080
090
100
010
TOTAL POSITIONS
Cell linked to CA
020
Currencies closely correlated
025
of which: reporting currency
030
All other currencies (including CIUs treated as different currencies)
040
Gold
050
Additional requirements for options (non-delta risks)
060
Simplified method
070
Delta plus approach – additional requirements for gamma risk
080
Delta plus approach – additional requirements for vega risk
085
Delta plus approach – non-continuous options and warrants
090
Scenario matrix approach
BREAKDOWN OF TOTAL POSITIONS (REPORTING CURRENCY INCLUDED) BY EXPOSURE TYPES
100
Other assets and liabilities other than off-balance sheet items and derivatives
110
Off-balance sheet items
120
Derivatives
Memorandum items: CURRENCY POSITIONS
130
Euro
140
Lek
150
Argentine Peso
160
Australian Dollar
170
Brazilian Real
180
Bulgarian Lev
190
Canadian Dollar
200
Czech Koruna
210
Danish Krone
220
Egyptian Pound
230
Pound Sterling
240
Forint
250
Yen
270
Lithuanian Litas
280
Denar
290
Mexican Peso
300
Zloty
310
Rumanian Leu
320
Russian Ruble
330
Serbian Dinar
340
Swedish Krona
350
Swiss Franc
360
Turkish Lira
370
Hryvnia
380
US Dollar
390
Iceland Krona
400
Norwegian Krone
410
Hong Kong Dollar
420
New Taiwan Dollar
430
New Zealand Dollar
440
Singapore Dollar
450
Won
460
Yuan Renminbi
470
Other
480
Croatian Kuna
C 23.00 – MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES (MKR SA COM)
ALL POSITIONS
NET POSITIONS
POSITIONS SUBJECT TO CAPITAL CHARGE
OWN FUNDS REQUIREMENTS
TOTAL RISK EXPOSURE AMOUNT
LONG
SHORT
LONG
SHORT
010
020
030
040
050
060
070
010
TOTAL POSITIONS IN COMMODITIES
Cell linked to CA
020
Precious metals (except gold)
030
Base metals
040
Agricultural products (softs)
050
Others
060
Of which energy products (oil, gas)
070
Maturity ladder approach
080
Extended maturity ladder approach
090
Simplified approach: All positions
100
Additional requirements for options (non-delta risks)
110
Simplified method
120
Delta plus approach – additional requirements for gamma risk
130
Delta plus approach – additional requirements for vega risk
135
Delta plus approach – non-continuous options and warrants
140
Scenario matrix approach
C 24.00 – MARKET RISK INTERNAL MODELS (MKR IM)
Value at Risk (VaR)
STRESSED VaR
INCREMENTAL DEFAULT AND MIGRATION RISK CAPITAL CHARGE
ALL PRICE RISKS CAPITAL CHARGE FOR CTP
OWN FUNDS REQUIREMENTS
TOTAL RISK EXPOSURE AMOUNT
Number of overshootingsduring previous 250 working days
VaR Multiplication Factor (m_c)
SVaR Multiplication Factor (m_s)
ASSUMED CHARGE FOR CTP FLOOR – WEIGHTED NET LONG POSITIONS AFTER CAP
ASSUMED CHARGE FOR CTP FLOOR – WEIGHTED NET SHORT POSITIONS AFTER CAP
MULTIPLICATION FACTOR (m_c) x AVERAGE OF PREVIOUS 60 WORKING DAYS (VaR_avg)
PREVIOUS DAY (VaR_t-1)
MULTIPLICATION FACTOR (m_s) x AVERAGE OF PREVIOUS 60 WORKING DAYS (SVaR_avg)
LATEST AVAILABLE (SVaR_t-1)
12 WEEKS AVERAGE MEASURE
LAST MEASURE
FLOOR
12 WEEKS AVERAGE MEASURE
LAST MEASURE
030
040
050
060
070
080
090
100
110
120
130
140
150
160
170
180
010
TOTAL POSITIONS
Cell linked to CA
Memorandum items: BREAKDOWN OF MARKET RISK
020
Traded debt instruments
030
TDI – General risk
040
TDI – Specific Risk
050
Equities
060
Equities – General risk
070
Equities – Specific Risk
080
Foreign Exchange risk
090
Commodities risk
100
Total amount for general risk
110
Total amount for specific risk
C 25.00 – CREDIT VALUE ADJUSTMENT RISK (CVA)
EXPOSURE VALUE
VaR
STRESSED VaR
OWN FUNDSREQUIREMENTS
TOTAL RISKEXPOSURE AMOUNT
MEMORANDUM ITEMS
CVA RISK HEDGE NOTIONALS
of which:OTC Derivatives
of which:SFT
MULTIPLICATION FACTOR (m_c) x AVERAGE OF PREVIOUS 60 WORKING DAYS (VaR_avg)
PREVIOUS DAY(VaR_t-1)
MULTIPLICATION FACTOR (m_s) x AVERAGE OF PREVIOUS 60 WORKING DAYS (SVaR_avg)
LATEST AVAILABLE (SVaR_t-1)
Number of counterparties
of which: proxy was used to determine credit spread
INCURRED CVA
SINGLE NAME CDS
INDEX CDS
010
020
030
040
050
060
070
080
090
100
110
120
130
140
010
CVA risk total
Link to {CA2;r640;c010}
020
Advanced method
Link to {CA2;r650;c010}
030
Standardised method
Link to {CA2;r660;c010}
040
Based on OEM
Link to {CA2;r670;c010}
C 32.01 – PRUDENT VALUATION: FAIR-VALUED ASSETS AND LIABILITIES (PRUVAL 1)
FAIR-VALUED ASSETS AND LIABILITIES
FAIR-VALUED ASSETS AND LIABILITIES EXCLUDED BECAUSE OF PARTIAL IMPACT ON CET1
FAIR-VALUED ASSETS AND LIABILITIES INCLUDED IN ARTICLE 4(1) THRESHOLD
OF WHICH: TRADING BOOK
EXACTLY MATCHING
HEDGE ACCOUNTING
PRUDENTIAL FILTERS
OTHER
COMMENTS FOR OTHER
OF WHICH:TRADING BOOK
0010
0020
0030
0040
0050
0060
0070
0080
0090
0010
1
TOTAL FAIR-VALUED ASSETS AND LIABILITIES
0020
1.1
TOTAL FAIR-VALUED ASSETS
0030
1.1.1
FINANCIAL ASSETS HELD FOR TRADING
0040
1.1.2
TRADING FINANCIAL ASSETS
0050
1.1.3
NON-TRADING FINANCIAL ASSETS MANDATORILY AT FAIR VALUE THROUGH PROFIT OR LOSS
0060
1.1.4
FINANCIAL ASSETS DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS
0070
1.1.5
FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME
0080
1.1.6
NON-TRADING NON-DERIVATIVE FINANCIAL ASSETS MEASURED AT FAIR VALUE THROUGH PROFIT OR LOSS
0090
1.1.7
NON-TRADING NON-DERIVATIVE FINANCIAL ASSETS MEASURED AT FAIR VALUE TO EQUITY
0100
1.1.8
OTHER NON-TRADING NON-DERIVATIVE FINANCIAL ASSETS
0110
1.1.9
DERIVATIVES – HEDGE ACCOUNTING
0120
1.1.10
FAIR VALUE CHANGES OF THE HEDGED ITEMS IN PORTFOLIO HEDGE OF INTEREST RATE RISK
0130
1.1.11
INVESTMENTS IN SUBSIDIARIES, JOINT VENTURES AND ASSOCIATES
0140
1.1.12
(-) HAIRCUTS FOR TRADING ASSETS AT FAIR VALUE
0150
1.2
TOTAL FAIR-VALUED LIABILITIES
0160
1.2.1
FINANCIAL LIABILITIES HELD FOR TRADING
0170
1.2.2
TRADING FINANCIAL LIABILITIES
0180
1.2.3
FINANCIAL LIABILITIES DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS
0190
1.2.4
DERIVATIVES – HEDGE ACCOUNTING
0200
1.2.5
FAIR VALUE CHANGES OF THE HEDGED ITEMS IN PORTFOLIO HEDGE OF INTEREST RATE RISK
0210
1.2.6
HAIRCUTS FOR TRADING LIABILITIES AT FAIR VALUE
C 32.02 – PRUDENT VALUATION: CORE APPROACH (PRUVAL 2)
CATEGORY LEVEL AVA
TOTAL AVA
UPSIDE UNCERTAINTY
FAIR-VALUED ASSETS AND LIABILITIES
QTDREVENUE
IPVDIFFERENCE
FAIR VALUE ADJUSTMENTS
DAY 1 P&L
EXPLANATION DESCRIPTION
MARKET PRICE UNCERTAINTY
CLOSE-OUT COSTS
MODEL RISK
CONCENTRATED POSITIONS
FUTURE ADMINISTRATIVE COSTS
EARLY TERMINATION
OPERATIONAL RISK
FAIR-VALUED ASSETS
FAIR-VALUED LIABILITIES
MARKET PRICE UNCERTAINTY
CLOSE-OUT COSTS
MODEL RISK
CONCENTRATEDPOSITIONS
UNEARNED CREDIT SPREADS
INVESTING AND FUNDING COSTS
FUTURE ADMINIS-TRATIVE COSTS
EARLY TERMINATION
OPERA- TIONAL RISK
OF WHICH: CALCULATED USING THE EXPERT BASED APPROACH
OF WHICH: CALCULATED USING THE EXPERT BASED APPROACH
OF WHICH: CALCULATED USING THE EXPERT BASED APPROACH
0010
0020
0030
0040
0050
0060
0070
0080
0090
0100
0110
0120
0130
0140
0150
0160
0170
0180
0190
0200
0210
0220
0230
0240
0250
0260
0270
0010
1
TOTAL CORE APPROACH
0020
OF WHICH: TRADING BOOK
0030
1.1
PORTFOLIOS UNDER ARTICLES 9 TO 17 OF COMMISION DELEGATED REGULATION (EU) 2016/101 – TOTAL CATEGORY LEVEL POST-DIVERSIFICATION
0040
1.1.1
TOTAL CATEGORY LEVEL PRE-DIVERSIFICATION
0050
1.1.1*
OF WHICH: UNEARNED CREDIT SPREADS AVA
0060
1.1.1**
OF WHICH: INVESTMENT AND FUNDING COSTS AVA
0070
1.1.1***
OF WHICH: AVA ASSESSED TO HAVE ZERO VALUE UNDER ARTICLE 9(2) OF DELEGATED REGULATION (EU) 2016/101
0080
1.1.1****
OF WHICH: AVA ASSESSED TO HAVE ZERO VALUE UNDER PARAGRAPHS 2 AND 3 OF ARTICLE 10 OF DELEGATED REGULATION (EU) 2016/101
0090
1.1.1.1
INTEREST RATES
0100
1.1.1.2
FOREIGN EXCHANGE
0110
1.1.1.3
CREDIT
0120
1.1.1.4
EQUITIES
0130
1.1.1.5
COMMODITIES
0140
1.1.2
(-) DIVERSIFICATION BENEFITS
0150
1.1.2.1
(-) DIVERSIFICATION BENEFIT CALCULATED USING METHOD 1
0160
1.1.2.2
(-) DIVERSIFICATION BENEFIT CALCULATED USING METHOD 2
0170
1.1.2.2*
MEMORANDUM ITEM: PRE-DIVERSIFICATION AVAS REDUCED BY MORE THAN 90 % BY DIVERSIFICATION UNDER METHOD 2
0180
1.2
PORTFOLIOS UNDER THE FALL-BACK APPROACH
0190
1.2.1
100 % OF NET UNREALISED PROFIT
0200
1.2.2
10 % OF NOTIONAL VALUE
0210
1.2.3
25 % OF INCEPTION VALUE
C 32.03 – PRUDENT VALUATION: MODEL RISK AVA (PRUVAL 3)
RANK
MODEL
RISK CATEGORY
PRODUCT
OBSER-VABILITY
MODEL RISK AVA
AGGREGATED AVA CALCULATED UNDER METHOD 2
FAIR-VALUED ASSETS AND LIABILITIES
IPV DIFFERENCE (OUTPUT TESTING)
IPV COVERAGE (OUTPUT TESTING)
FAIR VALUE ADJUSTMENTS
DAY1 P&L
OF WHICH:USING EXPERT APPROACH
OF WHICH: AGGREGATED USING METHOD 2
FV ASSETS
FV LIABILITIES
MODEL RISK
EARLY TERMINATION
0005
0010
0020
0030
0040
0050
0060
0070
0080
0090
0100
0110
0120
0130
0140
0150
C 32.04 – PRUDENT VALUATION: CONCENTRATED POSITIONS AVA (PRUVAL 4)
RANK
RISK CATEGORY
PRODUCT
UNDERLYING
CONCENTRATED POSITION SIZE
SIZE MEASURE
MARKET VALUE
PRUDENT EXIT PERIOD
CONCENTRATED POSITIONS AVA
CONCENTRATED POSITION FAIR VALUE ADJUSTMENT
IPV DIFFERENCE
0005
0010
0020
0030
0040
0050
0060
0070
0080
0090
0100
C 33.00 – GENERAL GOVERNMENTS EXPOSURES BY COUNTRY OF THE COUNTERPARTY (GOV)Country:
Direct exposures
Memorandum item: credit derivatives sold on general government exposures
Exposure value
Risk weighted exposure amount
On-balance sheet exposures
Accumulated impairment
Accumulated negative changes in fair value due to credit risk
Derivatives
Off-balance sheet exposures
Total gross carrying amount of non-derivative financial assets
Total carrying amount of non-derivative financial assets (net of short positions)
Non-derivative financial assets by accounting portfolios
Short positions
Derivatives with positive fair value
Derivatives with negative fair value
Nominal amount
Provisions
Accumulated negative changes in fair value due to credit risk
Derivatives with positive fair value – Carrying amount
Derivatives with negative fair value – Carrying amount
Financial assets held for trading
Trading financial assets
Non-trading financial assets mandatorily at fair value through profit or loss
Financial assets designated at fair value through profit or loss
Non-trading non-derivative financial assets measured at fair value through profit or loss
Financial assets at fair value through other comprehensive income
Non-trading non-derivative financial assets measured at fair value to equity
Financial assets at amortised cost
Non-trading non-derivative financial assets measured at a cost-based method
Other non-trading non-derivative financial assets
Of which: Short positions from reverse repurchased loans classified as held for trading or trading financial assets
of which: from financial assets at fair value through other comprehensive income or from non-trading non-derivative financial assets measured at fair value to equity
of which: from non-trading financial assets mandatorily at fair value through profit or loss, financial assets designated at fair value through profit or loss or from non-trading financial assets measured at fair value through profit or loss
of which: from financial assets at fair value through other comprehensive income or from non-trading non-derivative financial assets measured at fair value to equity
Carrying amount
Notional amount
Carrying amount
Notional amount
010
020
030
040
050
060
070
080
090
100
110
120
130
140
150
160
170
180
190
200
210
220
230
240
250
260
270
280
290
300
010
Total exposures
BREAKDOWN OF TOTAL EXPOSURES BY RISK, REGULATORY APPROACH AND EXPOSURE CLASSES:
020
Exposures under the credit risk framework
030
Standardised Approach
040
Central governments
050
Regional governments or local authorities
060
Public sector entities
070
International Organisations
075
Other general government exposures subject to Standardised Approach
080
IRB Approach
090
Central governments
100
Regional governments or local authorities [Central governments]
110
Regional governments or local authorities [Institutions]
120
Public sector entities [Central governments]
130
Public sector entities [Institutions]
140
International Organisations [Central governments]
155
Other general government exposures subject to IRB Approach
160
Exposures under the market risk framework
BREAKDOWN OF TOTAL EXPOSURES BY RESIDUAL MATURITY:
170
[ 0 – 3M [
180
[ 3M – 1Y [
190
[ 1Y – 2Y [
200
[ 2Y – 3Y [
210
[3Y – 5Y [
220
[5Y – 10Y [
230
[10Y – more

COREP TEMPLATES
Template number	Template code	Name of the template /group of templates	Short name
		CAPITAL ADEQUACY	CA
1	C 01.00	OWN FUNDS	CA1
2	C 02.00	OWN FUNDS REQUIREMENTS	CA2
3	C 03.00	CAPITAL RATIOS	CA3
4	C 04.00	MEMORANDUM ITEMS:	CA4
		TRANSITIONAL PROVISIONS	CA5
5.1	C 05.01	TRANSITIONAL PROVISIONS	CA5.1
5.2	C 05.02	GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUING STATE AID	CA5.2
		GROUP SOLVENCY	GS
6.1	C 06.01	GROUP SOLVENCY: INFORMATION ON AFFILIATES – TOTAL	GS Total
6.2	C 06.02	GROUP SOLVENCY: INFORMATION ON AFFILIATES	GS
		CREDIT RISK	CR
7	C 07.00	CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: STANDARDISED APPROACH TO CAPITAL REQUIREMENTS	CR SA
		CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS	CR IRB
8.1	C 08.01	CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS	CR IRB 1
8.2	C 08.02	CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS (Breakdown by obligor grades or pools)	CR IRB 2
		GEOGRAPHICAL BREAKDOWN	CR GB
9.1	C 09.01	Table 9.1 – Geographical breakdown of exposures by residence of the obligor (SA exposures)	CR GB 1
9.2	C 09.02	Table 9.2 – Geographical breakdown of exposures by residence of the obligor (IRB exposures)	CR GB 2
9.4	C 09.04	Table 9.4 – Breakdown of credit exposures relevant for the calculation of the countercyclical buffer by country and institution-specific countercyclical buffer rate	CCB
		CREDIT RISK: EQUITY – IRB APPROACHES TO CAPITAL REQUIREMENTS	CR EQU IRB
10.1	C 10.01	CREDIT RISK: EQUITY – IRB APPROACHES TO CAPITAL REQUIREMENTS	CR EQU IRB 1
10.2	C 10.02	CREDIT RISK: EQUITY – IRB APPROACHES TO CAPITAL REQUIREMENTS. BREAKDOWN OF TOTAL EXPOSURES UNDER THE PD/LGD APRROACH BY OBLIGOR GRADES:	CR EQU IRB 2
11	C 11.00	SETTLEMENT/DELIVERY RISK	CR SETT
13.1	C 13.01	CREDIT RISK: SECURITISATIONS	CR SEC
14	C 14.00	DETAILED INFORMATION ON SECURITISATIONS	CR SEC Details
14.1	C 14.01	DETAILED INFORMATION ON SECURITISATIONS BY APPROACH	CR SEC Details 2
		OPERATIONAL RISK	OPR
16	C 16.00	OPERATIONAL RISK	OPR
		OPERATIONAL RISK: LOSSES AND RECOVERIES
17.1	C 17.01	OPERATIONAL RISK: LOSSES AND RECOVERIES BY BUSINESS LINES AND LOSS EVENT TYPES IN THE LAST YEAR	OPR DETAILS 1
17.2	C 17.02	OPERATIONAL RISK: LARGE LOSS EVENTS	OPR DETAILS 2
		MARKET RISK	MKR
18	C 18.00	MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS	MKR SA TDI
19	C 19.00	MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS	MKR SA SEC
20	C 20.00	MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN THE CORRELATION TRADING PORTFOLIO	MKR SA CTP
21	C 21.00	MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES	MKR SA EQU
22	C 22.00	MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK	MKR SA FX
23	C 23.00	MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES	MKR SA COM
24	C 24.00	MARKET RISK INTERNAL MODELS	MKR IM
25	C 25.00	CREDIT VALUE ADJUSTMENT RISK	CVA
		PRUDENT VALUATION	MKR
32.1	C 32.01	PRUDENT VALUATION: FAIR-VALUED ASSETS AND LIABILITIES	PRUVAL 1
32.2	C 32.02	PRUDENT VALUATION: CORE APPROACH	PRUVAL 2
32.3	C 32.03	PRUDENT VALUATION: MODEL RISK AVA	PRUVAL 3
32.4	C 32.04	PRUDENT VALUATION: CONCENTRATED POSITIONS AVA	PRUVAL 4
		GENERAL GOVERNMENTS EXPOSURES	MKR
33	C 33.00	GENERAL GOVERNMENTS EXPOSURES BY COUNTRY OF THE COUNTERPARTY	GOV

Rows	ID	Item
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
010	1	TOTAL RISK EXPOSURE AMOUNT
020	1*	Of which: Investment firms under Article 95 paragraph 2 and Article 98 of CRR
030	1**	Of which : Investment firms under Article 96 paragraph 2 and Article 97 of CRR
040	1.1	RISK WEIGHTED EXPOSURE AMOUNTS FOR CREDIT, COUNTERPARTY CREDIT AND DILUTION RISKS AND FREE DELIVERIES
050	1.1.1	Standardised Approach (SA)
051	1.1.1*	Of which: Additional stricter prudential requirements based on Article 124 CRR
060	1.1.1.1	SA exposure classes excluding securitisation positions
070	1.1.1.1.01	Central governments or central banks
080	1.1.1.1.02	Regional governments or local authorities
090	1.1.1.1.03	Public sector entities
100	1.1.1.1.04	Multilateral Development Banks
110	1.1.1.1.05	International Organisations
120	1.1.1.1.06	Institutions
130	1.1.1.1.07	Corporates
140	1.1.1.1.08	Retail
150	1.1.1.1.09	Secured by mortgages on immovable property
160	1.1.1.1.10	Exposures in default
170	1.1.1.1.11	Items associated with particular high risk
180	1.1.1.1.12	Covered bonds
190	1.1.1.1.13	Claims on institutions and corporates with a short-term credit assessment
200	1.1.1.1.14	Collective investments undertakings (CIU)
210	1.1.1.1.15	Equity
211	1.1.1.1.16	Other items
240	1.1.2	Internal ratings based Approach (IRB)
241	1.1.2*	Of which: Additional stricter prudential requirements based on Article 164 CRR
242	1.1.2**	Of which: Additional stricter prudential requirements based on Article 124 CRR
250	1.1.2.1	IRB approaches when neither own estimates of LGD nor Conversion Factors are used
260	1.1.2.1.01	Central governments and central banks
270	1.1.2.1.02	Institutions
280	1.1.2.1.03	Corporates – SME
290	1.1.2.1.04	Corporates – Specialised Lending
300	1.1.2.1.05	Corporates – Other
310	1.1.2.2	IRB approaches when own estimates of LGD and/or Conversion Factors are used
320	1.1.2.2.01	Central governments and central banks
330	1.1.2.2.02	Institutions
340	1.1.2.2.03	Corporates – SME
350	1.1.2.2.04	Corporates – Specialised Lending
360	1.1.2.2.05	Corporates – Other
370	1.1.2.2.06	Retail – Secured by real estate SME
380	1.1.2.2.07	Retail – Secured by real estate non-SME
390	1.1.2.2.08	Retail – Qualifying revolving
400	1.1.2.2.09	Retail – Other SME
410	1.1.2.2.10	Retail – Other non-SME
420	1.1.2.3	Equity IRB
450	1.1.2.5	Other non credit-obligation assets
460	1.1.3	Risk exposure amount for contributions to the default fund of a CCP
470	1.1.4	Securitisation positions
490	1.2	TOTAL RISK EXPOSURE AMOUNT FOR SETTLEMENT/DELIVERY
500	1.2.1	Settlement/delivery risk in the non-Trading book
510	1.2.2	Settlement/delivery risk in the Trading book
520	1.3	TOTAL RISK EXPOSURE AMOUNT FOR POSITION, FOREIGN EXCHANGE AND COMMODITIES RISKS
530	1.3.1	Risk exposure amount for position, foreign exchange and commodities risks under standardised approaches (SA)
540	1.3.1.1	Traded debt instruments
550	1.3.1.2	Equity
555	1.3.1.3	Particular approach for position risk in CIUs
556	1.3.1.3*	Memo item: CIUs exclusively invested in traded debt instruments
557	1.3.1.3**	Memo item: CIUs invested exclusively in equity instruments or in mixed instruments
560	1.3.1.4	Foreign Exchange
570	1.3.1.5	Commodities
580	1.3.2	Risk exposure amount for Position, foreign exchange and commodities risks under internal models (IM)
590	1.4	TOTAL RISK EXPOSURE AMOUNT FOR OPERATIONAL RISK (OpR )
600	1.4.1	OpR Basic indicator approach (BIA)
610	1.4.2	OpR Standardised (STA) / Alternative Standardised (ASA) approaches
620	1.4.3	OpR Advanced measurement approaches (AMA)
630	1.5	ADDITIONAL RISK EXPOSURE AMOUNT DUE TO FIXED OVERHEADS
640	1.6	TOTAL RISK EXPOSURE AMOUNT FOR CREDIT VALUATION ADJUSTMENT
650	1.6.1	Advanced method
660	1.6.2	Standardised method
670	1.6.3	Based on OEM
680	1.7	TOTAL RISK EXPOSURE AMOUNT RELATED TO LARGE EXPOSURES IN THE TRADING BOOK
690	1.8	OTHER RISK EXPOSURE AMOUNTS
710	1.8.2	Of which: Additional stricter prudential requirements based on Article 458 CRR
720	1.8.2*	Of which: requirements for large exposures
730	1.8.2**	Of which: due to modified risk weights for targeting asset bubbles in the residential and commercial property
740	1.8.2***	Of which: due to intra financial sector exposures
750	1.8.3	Of which: Additional stricter prudential requirements based on Article 459 CRR
760	1.8.4	Of which: Additional risk exposure amount due to Article 3 CRR

Rows	ID	Item
010	1	CET1 Capital ratio
020	2	Surplus(+)/Deficit(-) of CET1 capital
030	3	T1 Capital ratio
040	4	Surplus(+)/Deficit(-) of T1 capital
050	5	Total capital ratio
060	6	Surplus(+)/Deficit(-) of total capital
Memorandum Items: Total SREP Capital Requirement (TSCR), Overall Capital Requirement (OCR) and Pillar 2 Guidance (P2G)
130	13	Total SREP capital requirement (TSCR) ratio
140	13*	TSCR: to be made up of CET1 capital
150	13**	TSCR: to be made up of Tier 1 capital
160	14	Overall capital requirement (OCR) ratio
170	14*	OCR: to be made up of CET1 capital
180	14**	OCR: to be made up of Tier 1 capital
190	15	OCR and Pillar 2 Guidance (P2G)
200	15*	OCR and P2G: to be made up of CET1 capital
210	15**	OCR and P2G: to be made up of Tier 1 capital

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
			Adjustments to CET1	Adjustments to AT1	Adjustments to T2	Adjustments included in RWAs	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 COUNTER-CYCLICAL CAPITAL BUFFER	CONSERVATION BUFFER DUE TO MACRO-PRUDENTIAL OR SYSTEMIC RISK IDENTIFIED AT THE LEVEL OF A MEMBER STATE	SYSTEMIC RISK BUFFER	GLOBAL SYSTEMICALLY IMPORTANT INSTITUTION BUFFER	OTHER SYSTEMICALLY IMPORTANT INSTITUTION BUFFER
				POSITION, FX AND COMMODITIES RISKS	OPERATIONAL RISK	OTHER RISK EXPOSURE AMOUNTS			MINORITY INTERESTS INCLUDED IN CONSOLIDATED COMMON EQUITY TIER 1 CAPITAL	QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED ADDITIONAL TIER 1 CAPITAL		MEMORANDUM ITEM:GOODWILL (-) / (+) NEGATIVE GOODWILL		OF WHICH: COMMON EQUITY TIER 1	OF WHICH: ADDITIONAL TIER 1	OF WHICH: CONRIBUTIONS TO CONSOLIDATED RESULT	OF WHICH: (-) GOODWILL / (+) NEGATIVE GOODWILL		CAPITAL CONSERVATION BUFFER	INSTITUTION SPECIFIC COUNTER-CYCLICAL CAPITAL BUFFER		SYSTEMIC RISK BUFFER	GLOBAL SYSTEMICALLY IMPORTANT INSTITUTION BUFFER	OTHER SYSTEMICALLY IMPORTANT INSTITUTION BUFFER
		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)	TYPE OF ENTITY	SCOPE OF DATA: SOLO FULLY CONSOLIDATED (SF) OR SOLO PARTIALLY CONSOLIDATED (SP)	COUNTRY CODE	SHARE OF HOLDING (%)	TOTAL RISK EXPOSURE AMOUNT					OWN FUNDS													TOTAL RISK EXPOSURE AMOUNT					QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS						CONSOLIDATED OWN FUNDS					COMBINED BUFFER REQUIREMENT
									CREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/DELIVERY RISK	POSITION, FX AND COMMODITIES RISKS	OPERATIONAL RISK	OTHER RISK EXPOSURE AMOUNTS				TOTAL TIER 1 CAPITAL								TIER 2 CAPITAL			CREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/DELIVERY RISK	POSITION, FX AND COMMODITIES RISKS	OPERATIONAL RISK	OTHER RISK EXPOSURE AMOUNTS		QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 1 CAPITAL			QUALIFYING OWN FUNDS INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 2 CAPITAL	MEMORANDUM ITEM:GOODWILL (-) / (+) NEGATIVE GOODWILL		OF WHICH: COMMON EQUITY TIER 1	OF WHICH: ADDITIONAL TIER 1	OF WHICH: CONRIBUTIONS TO CONSOLIDATED RESULT	OF WHICH: (-) GOODWILL / (+) NEGATIVE GOODWILL		CAPITAL CONSERVATION BUFFER	INSTITUTION SPECIFIC COUNTER-CYCLICAL CAPITAL BUFFER	CONSERVATION BUFFER DUE TO MACRO-PRUDENTIAL OR SYSTEMIC RISK IDENTIFIED AT THE LEVEL OF A MEMBER STATE	SYSTEMIC RISK BUFFER	GLOBAL SYSTEMICALLY IMPORTANT INSTITUTION BUFFER	OTHER SYSTEMICALLY IMPORTANT INSTITUTION BUFFER
																			COMMON EQUITY TIER 1 CAPITAL			ADDITIONAL TIER 1 CAPITAL
														OF WHICH: QUALIFYING OWN FUNDS	RELATED OWN FUNDS INSTRUMENTS, RELATED RETAINED EARNINGS AND SHARE PREMIUM ACCOUNTS		OF WHICH: QUALIFYING TIER 1 CAPITAL	RELATED T1 INSTRUMENTS, RELATED RETAINED EARNINGS AND SHARE PREMIUM ACCOUNTS	COMMON EQUITY TIER 1 CAPITAL	OF WHICH: MINORITY INTERESTS	RELATED OWN FUNDS INSTRUMENTS, RELATED RETAINED EARNINGS, SHARE PREMIUM ACCOUNTS AND OTHER RESERVES	ADDITIONAL TIER 1 CAPITAL	OF WHICH: QUALIFYING ADDITIONAL TIER 1 CAPITAL		OF WHICH: QUALIFYING TIER 2 CAPITAL								MINORITY INTERESTS INCLUDED IN CONSOLIDATED COMMON EQUITY TIER 1 CAPITAL	QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED ADDITIONAL TIER 1 CAPITAL
010	020	025	030	035	040	050	060	070	080	090	100	110	120	130	140	150	160	170	180	190	200	210	220	230	240	250	260	270	280	290	300	310	320	330	340	350	360	370	380	390	400	410	420	430	440	450	470	480

		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 (+)		VOLATILITY ADJUSTMENT TO THE EXPOSURE		(-) OF WHICH: VOLATILITY AND MATURITY ADJUSTMENTS		0 %	20 %	50 %	100 %		OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK			OF WHICH: WITH A CREDIT ASSESSMENT BY A NOMINATED ECAI
		010	030	040	050	060	070	080	090	100	110	120	130	140	150	160	170	180	190	200	210	215	220	230	240
010	TOTAL EXPOSURES																						Cell linked to CA
015	of which: Defaulted exposures in exposure classes “items associated with a particular high risk” and “equity exposures”
020	of which: SME
030	of which: Exposures subject to SME-supporting factor
040	of which: Secured by mortgages on immovable property – Residential property
050	of which: Exposures under the permanent partial use of the Standardised Approach
060	of which: Exposures under the standardised approach with prior supervisory permission to carry out a sequential IRB implementation
BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:
070	On balance sheet exposures subject to credit risk
080	Off balance sheet exposures subject to credit risk
	Exposures / Transactions subject to counterparty credit risk
090	Securities Financing Transactions
100	of which: centrally cleared through a QCCP
110	Derivatives & Long Settlement Transactions
120	of which: centrally cleared through a QCCP
130	From Contractual Cross Product Netting
BREAKDOWN OF TOTAL EXPOSURES BY RISK WEIGHTS:
140	0 %
150	2 %
160	4 %
170	10 %
180	20 %
190	35 %
200	50 %
210	70 %
220	75 %
230	100 %
240	150 %
250	250 %
260	370 %
270	1 250 %
280	Other risk weights
MEMORANDUM ITEMS
290	Exposures secured by mortgages on commercial immovable property
300	Exposures in default subject to a risk weight of 100 %
310	Exposures secured by mortgages on residential property
320	Exposures in default subject to a risk weight of 150 %

		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:
		INTERNAL RATING SYSTEM	ORIGINAL EXPOSURE PRE CONVERSION FACTORS		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							MEMORANDUM ITEMS:
		PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%)		OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES	(-) GUARANTEES	(-) CREDIT DERIVATIVES		(-) TOTAL OUTFLOWS	TOTAL INFLOWS (+)		OF WHICH: OFF BALANCE SHEET ITEMS		OF WHICH: OFF BALANCE SHEET ITEMS	OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK	OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES	GUARANTEES	CREDIT DERIVATIVES	OWN ESTIMATES OF LGD’S ARE USED:OTHER FUNDED CREDIT PROTECTION	ELIGIBLE FINANCIAL COLLATERAL	OTHER ELIGIBLE COLLATERAL										EXPECTED LOSS AMOUNT	(-) VALUE ADJUSTMENTS AND PROVISIONS	NUMBER OF OBLIGORS
		PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%)			(-) 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		GUARANTEES	CREDIT DERIVATIVES		ELIGIBLE FINANCIAL COLLATERAL	REAL ESTATE	OTHER PHYSICAL COLLATERAL	RECEIVABLES							OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES	EXPECTED LOSS AMOUNT	(-) VALUE ADJUSTMENTS AND PROVISIONS	NUMBER OF OBLIGORS
		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

		ORIGINAL EXPOSURE PRE CONVERSION FACTORS		Observed new defaults for the period	General credit risk adjustments	Specific credit risk adjustments	Write offs	Credit risk adjustments/write-offs for observed new defaults	EXPOSURE VALUE	RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR	RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR
			Defaulted exposures	Observed new defaults for the period	General credit risk adjustments	Specific credit risk adjustments	Write offs		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

		ORIGINAL EXPOSURE PRE CONVERSION FACTORS		Observed new defaults for the period	General credit risk adjustments	Specific credit risk adjustments	Write off	Credit risk adjustments/write-offs for observed new defaults	PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%)	EXPOSURE WEIGHTED AVERAGE LGD (%)		EXPOSURE VALUE	RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR		RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR	EXPECTED LOSS AMOUNT
			Of which: defaulted	Observed new defaults for the period	General credit risk adjustments	Specific credit risk adjustments	Write off		PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%)		Of which: defaulted	EXPOSURE VALUE		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 Lendingsubject to slotting criteria
050	Of Which: SME
060	Retail
070	Secured by real estate property
080	SME
090	Non-SME
100	Qualifying Revolving
110	Other Retail
120	SME
130	Non-SME
140	Equity
150	Total exposures

		Amount	Percentage	Qualitative information
		010	020	030
Relevant credit exposures – Credit Risk
010	Exposure value under the Standardised Approach
020	Exposure value under the IRB Approach
Relevant credit exposures – Market risk
030	Sum of long and short positions of trading book exposures for Standardised Approach
040	Value of trading book exposures for internal models
Relevant credit exposures – Securitisation
055	Exposure value of securitisation positions in the banking book
Own funds requirements and weights
070	Total own funds requirements for CCB
080	Own funds requirements for relevant credit exposures – Credit risk
090	Own funds requirements for relevant credit exposures – Market risk
100	Own funds requirements for relevant credit exposures – Securitisation positions in the banking book
110	Own funds requirements weights
Countercyclical capital buffer rates
120	Countercyclical capital buffer rate set by the Designated Authority
130	Countercyclical capital buffer rate applicable for the country of the institution
140	Institution-specific countercyclical capital buffer rate
Use of 2 % threshold
150	Use of 2 % threshold for general credit exposure
160	Use of 2 % threshold for trading book exposure

		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 SECURITISATI0N EXPOSURES ORIGINATED	SYNTHETIC SECURITIZATIONS: CREDIT PROTECTION TO THE SECURITISED EXPOSURES			SECURITISATION POSITIONS	(-) VALUE ADJUSTMENTS AND PROVISIONS	EXPOSURE NET OF VALUE ADJUSTMENTS AND PROVISIONS	CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE				NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS	(-) CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE AMOUNT OF THE EXPOSURE: FUNDED CREDIT PROTECTION FINANCIAL COLLATERAL COMPREHENSIVE METHOD ADJUSTED VALUE (Cvam)	FULLY ADJUSTED EXPOSURE VALUE (E*)		(-) NON REFUNDABLE PURCHASE PRICE DISCOUNT	(-) SPECIFIC CREDIT RISK ADJUSTMENTS ON UNDERLYING EXPOSURES	EXPOSURE VALUE			BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS																																																		RISK-WEIGHTED EXPOSURE AMOUNT																ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO MATURITY MISMATCHES	OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF CHAPTER 2 OF REGULATION (EU) 2017/2402	BEFORE CAP	(-) REDUCTION DUE TO RISK WEIGHT CAP	(-) REDUCTION DUE TO OVERALL CAP	TOTAL RISK-WEIGHTED EXPOSURE AMOUNT	MEMORANDUM ITEM:RISK WEIGHTED EXPOSURE AMOUNT CORRESPONDING TO THE OUTFLOWS FROM SECURITISATIONS TO OTHER EXPOSURE CLASSES
			(-) FUNDED CREDIT PROTECTION (Cva)	(-) TOTAL OUTFLOWS	NOTIONAL AMOUNT RETAINED OR REPURCHASED OF CREDIT PROTECTION	ORIGINAL EXPOSURE PRE CONVERSION FACTORS			(-) UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (Ga)	(-) FUNDED CREDIT PROTECTION	SUBSTITUTION OF THE EXPOSURE DUE TO CRM					OF WHICH: SUBJECT TO A CCF OF 0 %				(-) DEDUCTED FROM OWN FUNDS	SUBJECT TO RISK WEIGHTS	SEC-IRBA							SEC-SA							SEC-ERBA																													INTERNAL ASSESSMENT APPROACH						OTHER (RW=1 250 %)		SEC-IRBA		SEC-SA		SEC-ERBA							INTERNAL ASSESSMENT APPROACH		OTHER (RW=1 250 %)	OF WHICH: SYNTHETIC SECURITISATIONS
				(-) TOTAL OUTFLOWS																			BREAKDOWN BY RW BANDS					OF WHICH: CALCULATED UNDER ARTICLE 255 (4) (PURCHASED RECEIVABLES)		BREAKDOWN BY RW BANDS							BREAKDOWN BY CREDIT QUALITY STEPS																						BREAKDOWN BY REASONS FOR APPLICATION OF SEC-ERBA							BREAKDOWN BY RW BANDS								OF WHICH: CALCULATED UNDER ARTICLE 255 (4) (PURCHASED RECEIVABLES)		OF WHICH: RW=1 250 % (W UNKNOWN)		AUTO LOANS, AUTO LEASES AND EQUIPMENT LEASES	SEC-ERBA OPTION	POSITIONS SUBJECT TO ART. 254(2)(a) CRR	POSITIONS SUBJECT TO ART. 254(2)(b) CRR	POSITIONS SUBJECT TO ART. 254 (4) OR 258 (2) CRR	FOLLOWING THE HIERARCHY OF APPROACHES		AVERAGE RISK WEIGHT (%)
				(-) UNFUNDED CREDIT PROTECTION ADJUSTED VALUES (G*)							(-) TOTAL OUTFLOWS	TOTAL INFLOWS											=< 20 % RW	>20 % TO 50 % RW	>50 % TO 100 % RW	>100 % TO < 1 250 % RW	1 250 % RW			=< 20 % RW	>20 % TO 50 % RW	>50 % TO 100 % RW	>100 % TO < 1 250 % RW	1 250 % RW (W UNKNOWN)	1 250 % RW (OTHER)		SHORT TERM CREDIT QUALITY STEPS				LONG TERM CREDIT QUALITY STEPS																		AUTO LOANS, AUTO LEASES AND EQUIPMENT LEASES	SEC-ERBA OPTION	POSITIONS SUBJECT TO POINT (a) OF ARTICLE 254(2) CRR	POSITIONS SUBJECT TO POINT (b) OF ARTICLE 254(2) CRR	POSITIONS SUBJECT TO ARTICLES 254 (4) OR 258 (2) CRR	FOLLOWING THE HIERARCHY OF APPROACHES		=< 20 % RW	>20 % TO 50 % RW	>50 % TO 100 % RW	>100 % TO < 1 250 % RW	1 250 % RW
				(-) UNFUNDED CREDIT PROTECTION ADJUSTED VALUES (G*)							(-) TOTAL OUTFLOWS	TOTAL INFLOWS											=< 20 % RW	>20 % TO 50 % RW	>50 % TO 100 % RW	>100 % TO < 1 250 % RW	1 250 % RW			=< 20 % RW	>20 % TO 50 % RW	>50 % TO 100 % RW	>100 % TO < 1 250 % RW	1 250 % RW (W UNKNOWN)	1 250 % RW (OTHER)		CQS 1	CQS 2	CQS 3	ALL OTHER CQS	CQS 1	CQS 2	CQS 3	CQS 4	CQS 5	CQS 6	CQS 7	CQS 8	CQS 9	CQS 10	CQS 11	CQS 12	CQS 13	CQS 14	CQS 15	CQS 16	CQS 17	ALL OTHER CQS	AUTO LOANS, AUTO LEASES AND EQUIPMENT LEASES	SEC-ERBA OPTION	POSITIONS SUBJECT TO POINT (a) OF ARTICLE 254(2) CRR	POSITIONS SUBJECT TO POINT (b) OF ARTICLE 254(2) CRR	POSITIONS SUBJECT TO ARTICLES 254 (4) OR 258 (2) CRR	FOLLOWING THE HIERARCHY OF APPROACHES		=< 20 % RW	>20 % TO 50 % RW	>50 % TO 100 % RW	>100 % TO < 1 250 % RW	1 250 % RW
		0010	0020	0030	0040	0050	0060	0070	0080	0090	0100	0110	0120	0130	0140	0150	0160	0170	0180	0190	0200	0210	0220	0230	0240	0250	0260	0270	0280	0290	0300	0310	0320	0330	0340	0350	0360	0370	0380	0390	0400	0410	0420	0430	0440	0450	0460	0470	0480	0490	0500	0510	0520	0530	0540	0550	0560	0570	0580	0590	0600	0610	0620	0630	0640	0650	0660	0670	0680	0690	0700	0710	0720	0730	0740	0750	0760	0770	0780	0790	0800	0810	0820	0830	0840	0850	0860	0870	0880	0890	0900	0910	0920	0930
0010	TOTAL EXPOSURES																																																																																												Cell linked to CA
0020	SECURITISATION POSITIONS
0030	QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT
0040	STS EXPOSURES
0050	SENIOR POSITION IN SMEs SECURITISATIONS
0060	NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT
0070	RE-SECURITISATION POSITIONS
0080	ORIGINATOR: TOTAL EXPOSURES
0090	SECURITISATION POSITIONS: ON-BALANCE SHEET ITEMS
0100	QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT
0110	OF WHICH: SENIOR EXPOSURES
0120	NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT
0130	OF WHICH: SENIOR EXPOSURES
0140	SECURITISATION POSITIONS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES
0150	QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT
0160	OF WHICH: SENIOR EXPOSURES
0170	NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT
0180	OF WHICH: SENIOR EXPOSURES
0190	RE-SECURITISATION POSITIONS
0200	INVESTOR: TOTAL EXPOSURES
0210	SECURITISATION POSITIONS: ON-BALANCE SHEET ITEMS
0220	QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT
0230	OF WHICH: SENIOR EXPOSURES
0240	NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT
0250	OF WHICH: SENIOR EXPOSURES
0260	SECURITISATION POSITIONS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES
0270	QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT
0280	OF WHICH: SENIOR EXPOSURES
0290	NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT
0300	OF WHICH: SENIOR EXPOSURES
0310	RE-SECURITISATION POSITIONS
0320	SPONSOR: TOTAL EXPOSURES
0330	SECURITISATION POSITIONS: ON-BALANCE SHEET ITEMS
0340	QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT
0350	OF WHICH: SENIOR EXPOSURES
0360	NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT
0370	OF WHICH: SENIOR EXPOSURES
0380	SECURITISATION POSITIONS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES
0390	QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT
0400	OF WHICH: SENIOR EXPOSURES
0410	NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT
0420	OF WHICH: SENIOR EXPOSURES
0430	RE-SECURITISATION POSITIONS
0440	BREAKDOWN OF OUTSTANDING POSITIONS BY CQS AT INCEPTION: Short term
0450	CQS 1
0460	CQS 2
0470	CQS 3
0480	ALL OTHER CQS AND UNRATED
0490	BREAKDOWN OF OUTSTANDING POSITIONS BY CQS AT INCEPTION: Long term
0500	CQS 1
0510	CQS 2
0520	CQS 3
0530	CQS 4
0540	CQS 5
0550	CQS 6
0560	CQS 7
0570	CQS 8
0580	CQS 9
0590	CQS 10
0600	CQS 11
0610	CQS 12
0620	CQS 13
0630	CQS 14
0640	CQS 15
0650	CQS 16
0660	CQS 17
0670	ALL OTHER CQS AND UNRATED

ROW NUMBER	INTERNAL CODE	IDENTIFIER OF THE SECURITISATION	INTRA-GROUP, PRIVATE OR PUBLIC SECURITISATION?	ROLE OF THE INSTITUTION:(ORIGINATOR / SPONSOR / ORIGINAL LENDER / INVESTOR)	IDENTIFIER OF THE ORIGINATOR	SECURITISATION TYPE:(TRADITIONAL / SYNTHETIC / ABCP PROGRAMME / ABCP TRANSACTION)	ACCOUNTING TREATMENT: SECURITISED EXPOSURES ARE KEPT OR REMOVED FROM THE BALANCE SHEET?	SOLVENCY TREATMENT: Securitisation positions subject to own funds requirements ?	SIGNIFICANT RISK TRANSFER	SECURITISATION OR RE-SECURITISATION?	STS OR NON-STS SECURITISATION?	SECURITISATION QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT?	RETENTION			NON ABCP PROGRAMMES			SECURITISED EXPOSURES																SECURITISATION STRUCTURE
													TYPE OF RETENTION APPLIED	% OF RETENTION AT REPORTING DATE	COMPLIANCE WITH THE RETENTION REQUIREMENT?	ORIGINATION DATE(mm/yyyy)	DATE OF LATEST ISSUANCE(mm/yyyy)	TOTAL AMOUNT OF SECURITISED EXPOSURES AT ORIGINATION DATE	TOTAL AMOUNT	INSTITUTION’S SHARE (%)	TYPE	% of IRB IN APPROACH APPLIED	NUMBER OF EXPOSURES	EXPOSURES IN DEFAULT W (%)	COUNTRY	LGD (%)	EL%	UL%	EXPOSURE-WEIGHTED AVERAGE MATURITY OF ASSETS	(-) VALUE ADJUSTMENTS AND PROVISIONS	OWN FUNDS REQUIREMENTS BEFORE SECURITISATION (%) Kirb	% OF RETAIL EXPOSURES IN IRB POOLS	OWN FUNDS REQUIREMENTS BEFORE SECURITISATION (%) Ksa	MEMORANDUM ITEMS	ON-BALANCE SHEET ITEMS									OFF-BALANCE SHEET ITEMS AND DERIVATIVES			MATURITY			MEMORANDUM ITEMS
																																		CREDIT RISK ADJUSTMENTS DURING THE CURRENT PERIOD	SENIOR			MEZZANINE			FIRST LOSS			SENIOR	MEZZANINE	FIRST LOSS	FIRST FORESEEABLE TERMINATION DATE	ORIGINATOR’S CALL OPTIONS INCLUDED IN TRANSACTION	LEGAL FINAL MATURITY DATE	ATTACHMENT POINT OF RISK SOLD (%)	DETACHMENT POINT OF RISK SOLD (%)	RISK TRANSFER CLAIMED BY ORIGINATOR INSTITUTION (%)
																																		CREDIT RISK ADJUSTMENTS DURING THE CURRENT PERIOD	AMOUNT	ATTACHMENT POINT (%)	CQS	AMOUNT	NUMBER OF TRANCHES	CQS OF THE MOST SUBORDINATED ONE	AMOUNT	DETACHMENT POINT (%)	CQS	SENIOR	MEZZANINE	FIRST LOSS	FIRST FORESEEABLE TERMINATION DATE	ORIGINATOR’S CALL OPTIONS INCLUDED IN TRANSACTION	LEGAL FINAL MATURITY DATE	ATTACHMENT POINT OF RISK SOLD (%)	DETACHMENT POINT OF RISK SOLD (%)	RISK TRANSFER CLAIMED BY ORIGINATOR INSTITUTION (%)
005	010	020	021	110	030	040	051	060	061	070	075	446	080	090	100	120	121	130	140	150	160	171	180	181	190	201	202	203	204	210	221	222	223	225	230	231	232	240	241	242	250	251	252	260	270	280	290	291	300	302	303	304

ROW NUMBER	INTERNAL CODE	IDENTIFIER OF THE SECURITISATION	SECURITISATION POSITIONS												EXPOSURE VALUE	(-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS	TOTAL RISK-WEIGHTED EXPOSURE AMOUNT				MEMORANDUM ITEMS		SECURITISATION POSITIONS - TRADING BOOK
			ORIGINAL EXPOSURE PRE-CONVERSION FACTORS								MEMORANDUM ITEMS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES PRE CONVERSION FACTORS										RISK-WEIGHTED EXPOSURE AMOUNT UNDER SEC-ERBA	RISK WEIGHTED EXPOSURE AMOUNT UNDER SEC-SA	CTP OR NON-CTP?	NET POSITIONS
			ON-BALANCE SHEET ITEMS			OFF-BALANCE SHEET ITEMS AND DERIVATIVES					DIRECT CREDIT SUBSTITUTES	IRS / CRS	LIQUIDITY FACILITIES	OTHER
			SENIOR	MEZZANINE	FIRST LOSS	SENIOR	MEZZANINE		FIRST LOSS								BEFORE CAP	(-) REDUCTION DUE TO RISK WEIGHT CAP	(-) REDUCTION DUE TO OVERALL CAP	AFTER CAP
			SENIOR	MEZZANINE	FIRST LOSS	SENIOR	MEZZANINE	RW CORRESPONDING TO PROTECTION PROVIDER / INSTRUMENT	FIRST LOSS	RW CORRESPONDING TO PROTECTION PROVIDER / INSTRUMENT							BEFORE CAP	(-) REDUCTION DUE TO RISK WEIGHT CAP	(-) REDUCTION DUE TO OVERALL CAP	AFTER CAP				LONG	SHORT
005	010	020	310	320	330	340	350	351	360	361	370	380	390	400	411	420	430	431	432	440	447	448	450	460	470

BANKING ACTIVITIES		RELEVANT INDICATOR			LOANS AND ADVANCES(IN CASE OF ASA APPLICATION)			OWN FUNDSREQUIREMENT	Total operational risk exposure amount	AMA MEMORANDUM ITEMS TO BE REPORTED IF APPLICABLE
		YEAR-3	YEAR-2	LAST YEAR	YEAR-3	YEAR-2	LAST YEAR	OWN FUNDSREQUIREMENT	Total operational risk exposure amount	OF WHICH:DUE TO AN ALLOCATION MECHANISM	OWN FUNDS REQUIREMENT BEFORE ALLEVIATION DUE TO EXPECTED LOSS, DIVERSIFICATION AND RISK MITIGATION TECHNIQUES	(-) ALLEVIATION OF OWN FUNDS REQUIREMENT DUE TO THE EXPECTED LOSS CAPTURED IN BUSINESS PRACTICES	(-) ALLEVIATION OF OWN FUNDS REQUIREMENT DUE TO DIVERSIFICATION	(-) ALLEVIATION OF OWN FUNDS REQUIREMENT DUE TO RISK MITIGATION TECHNIQUES (INSURANCE AND OTHER RISK TRANSFER MECHANISMS)
		010	020	030	040	050	060	070	071	080	090	100	110	120
010	1. BANKING ACTIVITIES SUBJECT TO BASIC INDICATOR APPROACH (BIA)								Cell linked to CA2
020	2. BANKING ACTIVITIES SUBJECT TO STANDARDISED (TSA) / ALTERNATIVE STANDARDISED (ASA) APPROACHES								Cell linked to CA2
	SUBJECT TO TSA:
030	CORPORATE FINANCE (CF)
040	TRADING AND SALES (TS)
050	RETAIL BROKERAGE (RBr)
060	COMMERCIAL BANKING (CB)
070	RETAIL BANKING (RB)
080	PAYMENT AND SETTLEMENT (PS)
090	AGENCY SERVICES (AS)
100	ASSET MANAGEMENT (AM)
	SUBJECT TO ASA:
110	COMMERCIAL BANKING (CB)
120	RETAIL BANKING (RB)
130	3. BANKING ACTIVITIES SUBJECT TO ADVANCED MEASUREMENT APPROACHES AMA								Cell linked to CA2

MAPPING OF LOSSES TO BUSINESS LINES			LOSS EVENT TYPES							TOTAL LOSS EVENT TYPES	MEMORANDUM ITEM: THRESHOLD APPLIED IN DATA COLLECTION
MAPPING OF LOSSES TO BUSINESS LINES			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	TOTAL LOSS EVENT TYPES	LOWEST	HIGHEST
Rows			0010	0020	0030	0040	0050	0060	0070	0080	0090	0100
0010	CORPORATE FINANCE [CF]	Number of loss events (new loss events)
0020		Gross loss amount (new loss events)
0030		Number of loss events subject to loss adjustments
0040		Loss adjustments relating to previous reporting periods
0050		Maximum single loss
0060		Sum of the five largest losses
0070		Total direct loss recovery
0080		Total recovery from insurance and other risk transfer mechanisms
0110	TRADING AND SALES [TS]	Number of loss events (new loss events)
0120		Gross loss amount (new loss events)
0130		Number of loss events subject to loss adjustments
0140		Loss adjustments relating to previous reporting periods
0150		Maximum single loss
0160		Sum of the five largest losses
0170		Total direct loss recovery
0180		Total recovery from insurance and other risk transfer mechanisms
0210	RETAIL BROKERAGE [RBr]	Number of loss events (new loss events)
0220		Gross loss amount (new loss events)
0230		Number of loss events subject to loss adjustments
0240		Loss adjustments relating to previous reporting periods
0250		Maximum single loss
0260		Sum of the five largest losses
0270		Total direct loss recovery
0280		Total recovery from insurance and other risk transfer mechanisms
0310	COMMERCIAL BANKING [CB]	Number of events (new loss events)
0320		Gross loss amount (new loss events)
0330		Number of loss events subject to loss adjustments
0340		Loss adjustments relating to previous reporting periods
0350		Maximum single loss
0360		Sum of the five largest losses
0370		Total direct loss recovery
0380		Total recovery from insurance and other risk transfer mechanisms
0410	RETAIL BANKING [RB]	Number of loss events (new loss events)
0420		Gross loss amount (new loss events)
0430		Number of loss events subject to loss adjustments
0440		Loss adjustments relating to previous reporting periods
0450		Maximum single loss
0460		Sum of the five largest losses
0470		Total direct loss recovery
0480		Total recovery from insurance and other risk transfer mechanisms
0510	PAYMENT AND SETTLEMENT [PS]	Number of loss events (new loss events)
0520		Gross loss amount (new loss events)
0530		Number of loss events subject to loss adjustments
0540		Loss adjustments relating to previous reporting periods
0550		Maximum single loss
0560		Sum of the five largest losses
0570		Total direct loss recovery
0580		Total recovery from insurance and other risk transfer mechanisms
0610	AGENCY SERVICES [AS]	Number of loss events (new loss events)
0620		Gross loss amount (new loss events)
0630		Number of loss events subject to loss adjustments
0640		Loss adjustments relating to previous reporting periods
0650		Maximum single loss
0660		Sum of the five largest losses
0670		Total direct loss recovery
0680		Total recovery from insurance and other risk transfer mechanisms
0710	ASSET MANAGEMENT [AM]	Number of loss events (new loss events)
0720		Gross loss amount (new loss events)
0730		Number of loss events subject to loss adjustments
0740		Loss adjustments relating to previous reporting periods
0750		Maximum single loss
0760		Sum of the five largest losses
0770		Total direct loss recovery
0780		Total recovery from insurance and other risk transfer mechanisms
0810	CORPORATE ITEMS [CI]	Number of loss events (new loss events)
0820		Gross loss amount (new loss events)
0830		Number of loss events subject to loss adjustments
0840		Loss adjustments relating to previous reporting periods
0850		Maximum single loss
0860		Sum of the five largest losses
0870		Total direct loss recovery
0880		Total recovery from insurance and other risk transfer mechanisms
0910	TOTAL BUSINESS LINES	Number of loss events (new loss events). Of which:
0911		related to losses ≥ 10 000 and < 20 000
0912		related to losses ≥ 20 000 and < 100 000
0913		related to losses ≥ 100 000 and < 1 000 000
0914		related to losses ≥ 1 000 000
0920		Gross loss amount (new loss events). Of which:
0921		related to losses ≥ 10 000 and < 20 000
0922		related to losses ≥ 20 000 and < 100 000
0923		related to losses ≥ 100 000 and < 1 000 000
0924		related to losses ≥ 1 000 000
0930		Number of loss events subject to loss adjustments. Of which:
0935		of which: number of loss events with a positive loss adjustment
0936		of which: number of loss events with a negative loss adjustment
0940		Loss adjustments relating to previous reporting periods
0945		of which: positive loss adjustment amounts (+)
0946		of which: negative loss adjustment amounts (-)
0950		Maximum single loss
0960		Sum of the five largest losses
0970		Total direct loss recovery
0980		Total recovery from insurance and other risk transfer mechanisms

	Event ID	Date of accounting	Date of occurrence	Date of discovery	Loss event type	Gross loss	Gross loss net of direct recoveries	GROSS LOSS BY BUSINESS LINE									Legal Entity name	Legal Entity ID	Business Unit	Description
	Event ID	Date of accounting	Date of occurrence	Date of discovery	Loss event type	Gross loss	Gross loss net of direct recoveries	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]	Legal Entity name	Legal Entity ID	Business Unit	Description
Rows	0010	0020	0030	0040	0050	0060	0070	0080	0090	0100	0110	0120	0130	0140	0150	0160	0170	0180	0190	0200
…

		POSITIONS					OWN FUNDS REQUIREMENTS	TOTAL RISK EXPOSURE AMOUNT
		ALL POSITIONS		NET POSITIONS		POSITIONS SUBJECT TO CAPITAL CHARGE
		LONG	SHORT	LONG	SHORT	POSITIONS SUBJECT TO CAPITAL CHARGE
		010	020	030	040	050	060	070
010	TRADED DEBT INSTRUMENTS IN TRADING BOOK							Cell linked to CA2
011	General risk
012	Derivatives
013	Other assets and liabilities
020	Maturity-based approach
030	Zone 1
040	0 ≤ 1 month
050	> 1 ≤ 3 months
060	> 3 ≤ 6 months
070	> 6 ≤ 12 months
080	Zone 2
090	> 1 ≤ 2 (1,9 for cupon of less than 3 %) years
100	> 2 ≤ 3 (> 1,9 ≤ 2,8 for cupon of less than 3 %) years
110	> 3 ≤ 4 (> 2,8 ≤ 3,6 for cupon of less than 3 %) years
120	Zone 3
130	> 4 ≤ 5 (> 3,6 ≤ 4,3 for cupon of less than 3 %) years
140	> 5 ≤ 7 (> 4,3 ≤ 5,7 for cupon of less than 3 %) years
150	> 7 ≤ 10 (> 5,7 ≤ 7,3 for cupon of less than 3 %) years
160	> 10 ≤ 15 (> 7,3 ≤ 9,3 for cupon of less than 3 %) years
170	> 15 ≤ 20 (> 9,3 ≤ 10,6 for cupon of less than 3 %) years
180	> 20 (> 10,6 ≤ 12,0 for cupon of less than 3 %) years
190	(> 12,0 ≤ 20,0 for cupon of less than 3 %) years
200	(> 20 for cupon of less than 3 %) years
210	Duration-based approach
220	Zone 1
230	Zone 2
240	Zone 3
250	Specific risk
251	Own funds requirement for non-securitisation debt instruments
260	Debt securities under the first category in Table 1
270	Debt securities under the second category in Table 1
280	With residual term ≤ 6 months
290	With a residual term > 6 months and ≤ 24 months
300	With a residual term > 24 months
310	Debt securities under the third category in Table 1
320	Debt securities under the fourth category in Table 1
321	Rated nth-to default credit derivatives
325	Own funds requirement for securitisation instruments
330	Own funds requirement for the correlation trading portfolio
350	Additional requirements for options (non-delta risks)
360	Simplified method
370	Delta plus approach – additional requirements for gamma risk
380	Delta plus approach – additional requirements for vega risk
385	Delta plus approach – non-continuous options and warrants
390	Scenario matrix approach

		ALL POSITIONS		(-) POSITIONS DEDUCTED FROM OWN FUNDS		NET POSITIONS		BREAKDOWN OF THE NET POSITIONS (LONG) BY RISK WEIGHTS																		BREAKDOWN OF THE NET POSITIONS (SHORT) BY RISK WEIGHTS																		BREAKDOWN OF THE NET POSITION BY APPROACHES					OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF CHAPTER 2 OF REGULATION (EU) 2017/2402		BEFORE CAP	AFTER CAP / TOTAL OWN FUND REQUIREMENTS
		LONG	SHORT	(-) LONG	(-) SHORT	LONG	SHORT	[0 – 10 %[	[10 – 12 %[	[12 – 20 %[	[20 – 40 %[	[40 – 100 %[	[100 – 150 %[	[150 – 200 %[	[200 – 225 %[	[225 – 250 %[	[250 – 300 %[	[300 – 350 %[	[350 – 425 %[	[425 – 500 %[	[500 – 650 %[	[650 – 750 %[	[750 – 850 %[	[850 – 1 250 %[	1 250 %	[0 – 10 %[	[10 – 12 %[	[12 – 20 %[	[20 – 40 %[	[40 – 100 %[	[100 – 150 %[	[150 – 200 %[	[200 – 225 %[	[225 – 250 %[	[250 – 300 %[	[300 – 350 %[	[350 – 425 %[	[425 – 500 %[	[500 – 650 %[	[650 – 750 %[	[750 – 850 %[	[850 – 1 250 %[	1 250 %	SEC-IRBA	SEC-SA	SEC-ERBA	INTERNAL ASSESSMENT APPROACH	OTHER (RW=1 250 %)	WEIGHTED NET LONG POSITIONS	WEIGHTED NET SHORT POSITIONS	BEFORE CAP	AFTER CAP / TOTAL OWN FUND REQUIREMENTS
		010	020	030	040	050	060	061	062	063	064	065	066	071	072	073	074	075	076	077	078	079	081	082	083	085	086	087	088	089	091	092	093	094	095	096	097	098	099	101	102	103	0104	402	403	404	405	406	530	540	570	601
010	TOTAL EXPOSURES																																																			Cell linked to MKR SA TDI {325:060}
020	Of which: RE-SECURITISATIONS
030	ORIGINATOR: TOTAL EXPOSURES
040	SECURITISATION POSITIONS
041	OF WHICH: QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT
050	RE-SECURITISATION POSITONS
060	INVESTOR: TOTAL EXPOSURES
070	SECURITISATION POSITIONS
071	OF WHICH: QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT
080	RE-SECURITISATION POSITONS
090	SPONSOR: TOTAL EXPOSURES
100	SECURITISATION POSITIONS
101	OF WHICH: QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT
110	RE-SECURITISATION POSITONS

		Value at Risk (VaR)		STRESSED VaR		INCREMENTAL DEFAULT AND MIGRATION RISK CAPITAL CHARGE		ALL PRICE RISKS CAPITAL CHARGE FOR CTP			OWN FUNDS REQUIREMENTS	TOTAL RISK EXPOSURE AMOUNT	Number of overshootingsduring previous 250 working days	VaR Multiplication Factor (m_c)	SVaR Multiplication Factor (m_s)	ASSUMED CHARGE FOR CTP FLOOR – WEIGHTED NET LONG POSITIONS AFTER CAP	ASSUMED CHARGE FOR CTP FLOOR – WEIGHTED NET SHORT POSITIONS AFTER CAP
		MULTIPLICATION FACTOR (m_c) x AVERAGE OF PREVIOUS 60 WORKING DAYS (VaR_avg)	PREVIOUS DAY (VaR_t-1)	MULTIPLICATION FACTOR (m_s) x AVERAGE OF PREVIOUS 60 WORKING DAYS (SVaR_avg)	LATEST AVAILABLE (SVaR_t-1)	12 WEEKS AVERAGE MEASURE	LAST MEASURE	FLOOR	12 WEEKS AVERAGE MEASURE	LAST MEASURE	OWN FUNDS REQUIREMENTS	TOTAL RISK EXPOSURE AMOUNT	Number of overshootingsduring previous 250 working days	VaR Multiplication Factor (m_c)	SVaR Multiplication Factor (m_s)
		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 FUNDSREQUIREMENTS	TOTAL RISKEXPOSURE AMOUNT	MEMORANDUM ITEMS			CVA RISK HEDGE NOTIONALS
			of which:OTC Derivatives	of which:SFT	MULTIPLICATION FACTOR (m_c) x AVERAGE OF PREVIOUS 60 WORKING DAYS (VaR_avg)	PREVIOUS DAY(VaR_t-1)	MULTIPLICATION FACTOR (m_s) x AVERAGE OF PREVIOUS 60 WORKING DAYS (SVaR_avg)	LATEST AVAILABLE (SVaR_t-1)	OWN FUNDSREQUIREMENTS	TOTAL RISKEXPOSURE AMOUNT	Number of counterparties	of which: proxy was used to determine credit spread	INCURRED CVA	SINGLE NAME CDS	INDEX CDS
		010	020	030	040	050	060	070	080	090	100	110	120	130	140
010	CVA risk total									Link to {CA2;r640;c010}
020	Advanced method									Link to {CA2;r650;c010}
030	Standardised method									Link to {CA2;r660;c010}
040	Based on OEM									Link to {CA2;r670;c010}

			FAIR-VALUED ASSETS AND LIABILITIES		FAIR-VALUED ASSETS AND LIABILITIES EXCLUDED BECAUSE OF PARTIAL IMPACT ON CET1					FAIR-VALUED ASSETS AND LIABILITIES INCLUDED IN ARTICLE 4(1) THRESHOLD
			FAIR-VALUED ASSETS AND LIABILITIES	OF WHICH: TRADING BOOK	EXACTLY MATCHING	HEDGE ACCOUNTING	PRUDENTIAL FILTERS	OTHER	COMMENTS FOR OTHER		OF WHICH:TRADING BOOK
			0010	0020	0030	0040	0050	0060	0070	0080	0090
0010	1	TOTAL FAIR-VALUED ASSETS AND LIABILITIES
0020	1.1	TOTAL FAIR-VALUED ASSETS
0030	1.1.1	FINANCIAL ASSETS HELD FOR TRADING
0040	1.1.2	TRADING FINANCIAL ASSETS
0050	1.1.3	NON-TRADING FINANCIAL ASSETS MANDATORILY AT FAIR VALUE THROUGH PROFIT OR LOSS
0060	1.1.4	FINANCIAL ASSETS DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS
0070	1.1.5	FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME
0080	1.1.6	NON-TRADING NON-DERIVATIVE FINANCIAL ASSETS MEASURED AT FAIR VALUE THROUGH PROFIT OR LOSS
0090	1.1.7	NON-TRADING NON-DERIVATIVE FINANCIAL ASSETS MEASURED AT FAIR VALUE TO EQUITY
0100	1.1.8	OTHER NON-TRADING NON-DERIVATIVE FINANCIAL ASSETS
0110	1.1.9	DERIVATIVES – HEDGE ACCOUNTING
0120	1.1.10	FAIR VALUE CHANGES OF THE HEDGED ITEMS IN PORTFOLIO HEDGE OF INTEREST RATE RISK
0130	1.1.11	INVESTMENTS IN SUBSIDIARIES, JOINT VENTURES AND ASSOCIATES
0140	1.1.12	(-) HAIRCUTS FOR TRADING ASSETS AT FAIR VALUE
0150	1.2	TOTAL FAIR-VALUED LIABILITIES
0160	1.2.1	FINANCIAL LIABILITIES HELD FOR TRADING
0170	1.2.2	TRADING FINANCIAL LIABILITIES
0180	1.2.3	FINANCIAL LIABILITIES DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS
0190	1.2.4	DERIVATIVES – HEDGE ACCOUNTING
0200	1.2.5	FAIR VALUE CHANGES OF THE HEDGED ITEMS IN PORTFOLIO HEDGE OF INTEREST RATE RISK
0210	1.2.6	HAIRCUTS FOR TRADING LIABILITIES AT FAIR VALUE

			CATEGORY LEVEL AVA										TOTAL AVA	UPSIDE UNCERTAINTY	FAIR-VALUED ASSETS AND LIABILITIES		QTDREVENUE	IPVDIFFERENCE	FAIR VALUE ADJUSTMENTS									DAY 1 P&L	EXPLANATION DESCRIPTION
			MARKET PRICE UNCERTAINTY		CLOSE-OUT COSTS		MODEL RISK		CONCENTRATED POSITIONS	FUTURE ADMINISTRATIVE COSTS	EARLY TERMINATION	OPERATIONAL RISK			FAIR-VALUED ASSETS	FAIR-VALUED LIABILITIES			MARKET PRICE UNCERTAINTY	CLOSE-OUT COSTS	MODEL RISK	CONCENTRATEDPOSITIONS	UNEARNED CREDIT SPREADS	INVESTING AND FUNDING COSTS	FUTURE ADMINIS-TRATIVE COSTS	EARLY TERMINATION	OPERA- TIONAL RISK
			MARKET PRICE UNCERTAINTY	OF WHICH: CALCULATED USING THE EXPERT BASED APPROACH	CLOSE-OUT COSTS	OF WHICH: CALCULATED USING THE EXPERT BASED APPROACH	MODEL RISK	OF WHICH: CALCULATED USING THE EXPERT BASED APPROACH	CONCENTRATED POSITIONS	FUTURE ADMINISTRATIVE COSTS	EARLY TERMINATION	OPERATIONAL RISK			FAIR-VALUED ASSETS	FAIR-VALUED LIABILITIES			MARKET PRICE UNCERTAINTY	CLOSE-OUT COSTS	MODEL RISK	CONCENTRATEDPOSITIONS	UNEARNED CREDIT SPREADS	INVESTING AND FUNDING COSTS	FUTURE ADMINIS-TRATIVE COSTS	EARLY TERMINATION	OPERA- TIONAL RISK
			0010	0020	0030	0040	0050	0060	0070	0080	0090	0100	0110	0120	0130	0140	0150	0160	0170	0180	0190	0200	0210	0220	0230	0240	0250	0260	0270
0010	1	TOTAL CORE APPROACH
0020		OF WHICH: TRADING BOOK
0030	1.1	PORTFOLIOS UNDER ARTICLES 9 TO 17 OF COMMISION DELEGATED REGULATION (EU) 2016/101 – TOTAL CATEGORY LEVEL POST-DIVERSIFICATION
0040	1.1.1	TOTAL CATEGORY LEVEL PRE-DIVERSIFICATION
0050	1.1.1*	OF WHICH: UNEARNED CREDIT SPREADS AVA
0060	1.1.1**	OF WHICH: INVESTMENT AND FUNDING COSTS AVA
0070	1.1.1***	OF WHICH: AVA ASSESSED TO HAVE ZERO VALUE UNDER ARTICLE 9(2) OF DELEGATED REGULATION (EU) 2016/101
0080	1.1.1****	OF WHICH: AVA ASSESSED TO HAVE ZERO VALUE UNDER PARAGRAPHS 2 AND 3 OF ARTICLE 10 OF DELEGATED REGULATION (EU) 2016/101
0090	1.1.1.1	INTEREST RATES
0100	1.1.1.2	FOREIGN EXCHANGE
0110	1.1.1.3	CREDIT
0120	1.1.1.4	EQUITIES
0130	1.1.1.5	COMMODITIES
0140	1.1.2	(-) DIVERSIFICATION BENEFITS
0150	1.1.2.1	(-) DIVERSIFICATION BENEFIT CALCULATED USING METHOD 1
0160	1.1.2.2	(-) DIVERSIFICATION BENEFIT CALCULATED USING METHOD 2
0170	1.1.2.2*	MEMORANDUM ITEM: PRE-DIVERSIFICATION AVAS REDUCED BY MORE THAN 90 % BY DIVERSIFICATION UNDER METHOD 2
0180	1.2	PORTFOLIOS UNDER THE FALL-BACK APPROACH
0190	1.2.1	100 % OF NET UNREALISED PROFIT
0200	1.2.2	10 % OF NOTIONAL VALUE
0210	1.2.3	25 % OF INCEPTION VALUE

RANK	MODEL	RISK CATEGORY	PRODUCT	OBSER-VABILITY	MODEL RISK AVA			AGGREGATED AVA CALCULATED UNDER METHOD 2	FAIR-VALUED ASSETS AND LIABILITIES		IPV DIFFERENCE (OUTPUT TESTING)	IPV COVERAGE (OUTPUT TESTING)	FAIR VALUE ADJUSTMENTS		DAY1 P&L
RANK	MODEL	RISK CATEGORY	PRODUCT	OBSER-VABILITY	MODEL RISK AVA	OF WHICH:USING EXPERT APPROACH	OF WHICH: AGGREGATED USING METHOD 2	AGGREGATED AVA CALCULATED UNDER METHOD 2	FV ASSETS	FV LIABILITIES	IPV DIFFERENCE (OUTPUT TESTING)	IPV COVERAGE (OUTPUT TESTING)	MODEL RISK	EARLY TERMINATION	DAY1 P&L
0005	0010	0020	0030	0040	0050	0060	0070	0080	0090	0100	0110	0120	0130	0140	0150

		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	Short positions	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	Nominal amount	Provisions		Derivatives with positive fair value – Carrying amount	Derivatives with negative fair value – Carrying amount
		010	020	030	040	050	060	070	080	090	100	110	120	130	140	150	160	170	180	190	200	210	220	230	240	250	260	270	280	290	300
010	Total exposures
BREAKDOWN OF TOTAL EXPOSURES BY RISK, REGULATORY APPROACH AND EXPOSURE CLASSES:
020	Exposures under the credit risk framework
030	Standardised Approach
040	Central governments
050	Regional governments or local authorities
060	Public sector entities
070	International Organisations
075	Other general government exposures subject to Standardised Approach
080	IRB Approach
090	Central governments
100	Regional governments or local authorities [Central governments]
110	Regional governments or local authorities [Institutions]
120	Public sector entities [Central governments]
130	Public sector entities [Institutions]
140	International Organisations [Central governments]
155	Other general government exposures subject to IRB Approach
160	Exposures under the market risk framework
BREAKDOWN OF TOTAL EXPOSURES BY RESIDUAL MATURITY:
170	[ 0 – 3M [
180	[ 3M – 1Y [
190	[ 1Y – 2Y [
200	[ 2Y – 3Y [
210	[3Y – 5Y [
220	[5Y – 10Y [
230	[10Y – more