xmlns:atom="http://www.w3.org/2005/Atom" xmlns:atom="http://www.w3.org/2005/Atom"
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 | Amount |
---|---|---|---|
010 | 1 | OWN FUNDS | |
015 | 1.1 | TIER 1 CAPITAL | |
020 | 1.1.1 | COMMON EQUITY TIER 1 CAPITAL | |
030 | 1.1.1.1 | Capital instruments eligible as CET1 Capital | |
040 | 1.1.1.1.1 | Paid up capital instruments | |
045 | 1.1.1.1.1* | Of which: Capital instruments subscribed by public authorities in emergency situations | |
050 | 1.1.1.1.2* | Memorandum item: Capital instruments not eligible | |
060 | 1.1.1.1.3 | Share premium | |
070 | 1.1.1.1.4 | (-) Own CET1 instruments | |
080 | 1.1.1.1.4.1 | (-) Direct holdings of CET1 instruments | |
090 | 1.1.1.1.4.2 | (-) Indirect holdings of CET1 instruments | |
091 | 1.1.1.1.4.3 | (-) Synthetic holdings of CET1 instruments | |
092 | 1.1.1.1.5 | (-) Actual or contingent obligations to purchase own CET1 instruments | |
130 | 1.1.1.2 | Retained earnings | |
140 | 1.1.1.2.1 | Previous years retained earnings | |
150 | 1.1.1.2.2 | Profit or loss eligible | |
160 | 1.1.1.2.2.1 | Profit or loss attributable to owners of the parent | |
170 | 1.1.1.2.2.2 | (-) Part of interim or year-end profit not eligible | |
180 | 1.1.1.3 | Accumulated other comprehensive income | |
200 | 1.1.1.4 | Other reserves | |
210 | 1.1.1.5 | Funds for general banking risk | |
220 | 1.1.1.6 | Transitional adjustments due to grandfathered CET1 Capital instruments | |
230 | 1.1.1.7 | Minority interest given recognition in CET1 capital | |
240 | 1.1.1.8 | Transitional adjustments due to additional minority interests | |
250 | 1.1.1.9 | Adjustments to CET1 due to prudential filters | |
260 | 1.1.1.9.1 | (-) Increases in equity resulting from securitised assets | |
270 | 1.1.1.9.2 | Cash flow hedge reserve | |
280 | 1.1.1.9.3 | Cumulative gains and losses due to changes in own credit risk on fair valued liabilities | |
285 | 1.1.1.9.4 | Fair value gains and losses arising from the institution’s own credit risk related to derivative liabilities | |
290 | 1.1.1.9.5 | (-) Value adjustments due to the requirements for prudent valuation | |
300 | 1.1.1.10 | (-) Goodwill | |
310 | 1.1.1.10.1 | (-) Goodwill accounted for as intangible asset | |
320 | 1.1.1.10.2 | (-) Goodwill included in the valuation of significant investments | |
330 | 1.1.1.10.3 | Deferred tax liabilities associated to goodwill | |
340 | 1.1.1.11 | (-) Other intangible assets | |
350 | 1.1.1.11.1 | (-) Other intangible assets before deduction of deferred tax liabilities | |
360 | 1.1.1.11.2 | Deferred tax liabilities associated to other intangible assets | |
370 | 1.1.1.12 | (-) Deferred tax assets that rely on future profitability and do not arise from temporary differences net of associated tax liabilities | |
380 | 1.1.1.13 | (-) IRB shortfall of credit risk adjustments to expected losses | |
390 | 1.1.1.14 | (-)Defined benefit pension fund assets | |
400 | 1.1.1.14.1 | (-)Defined benefit pension fund assets | |
410 | 1.1.1.14.2 | Deferred tax liabilities associated to defined benefit pension fund assets | |
420 | 1.1.1.14.3 | Defined benefit pension fund assets which the institution has an unrestricted ability to use | |
430 | 1.1.1.15 | (-) Reciprocal cross holdings in CET1 Capital | |
440 | 1.1.1.16 | (-) Excess of deduction from AT1 items over AT1 Capital | |
450 | 1.1.1.17 | (-) Qualifying holdings outside the financial sector which can alternatively be subject to a 1 250 % risk weight | |
460 | 1.1.1.18 | (-) Securitisation positions which can alternatively be subject to a 1 250 % risk weight | |
470 | 1.1.1.19 | (-) Free deliveries which can alternatively be subject to a 1 250 % risk weight | |
471 | 1.1.1.20 | (-) Positions in a basket for which an institution cannot determine the risk weight under the IRB approach, and can alternatively be subject to a 1 250 % risk weight | |
472 | 1.1.1.21 | (-) Equity exposures under an internal models approach which can alternatively be subject to a 1 250 % risk weight | |
480 | 1.1.1.22 | (-) CET1 instruments of financial sector entites where the institution does not have a significant investment | |
490 | 1.1.1.23 | (-) Deductible deferred tax assets that rely on future profitability and arise from temporary differences | |
500 | 1.1.1.24 | (-) CET1 instruments of financial sector entities where the institution has a significant investment | |
510 | 1.1.1.25 | (-) Amount exceeding the 17,65 % threshold | |
520 | 1.1.1.26 | Other transitional adjustments to CET1 Capital | |
524 | 1.1.1.27 | (-) Additional deductions of CET1 Capital due to Article 3 CRR | |
529 | 1.1.1.28 | CET1 capital elements or deductions – other | |
530 | 1.1.2 | ADDITIONAL TIER 1 CAPITAL | |
540 | 1.1.2.1 | Capital instruments eligible as AT1 Capital | |
550 | 1.1.2.1.1 | Paid up capital instruments | |
560 | 1.1.2.1.2* | Memorandum item: Capital instruments not eligible | |
570 | 1.1.2.1.3 | Share premium | |
580 | 1.1.2.1.4 | (-) Own AT1 instruments | |
590 | 1.1.2.1.4.1 | (-) Direct holdings of AT1 instruments | |
620 | 1.1.2.1.4.2 | (-) Indirect holdings of AT1 instruments | |
621 | 1.1.2.1.4.3 | (-) Synthetic holdings of AT1 instruments | |
622 | 1.1.2.1.5 | (-) Actual or contingent obligations to purchase own AT1 instruments | |
660 | 1.1.2.2 | Transitional adjustments due to grandfathered AT1 Capital instruments | |
670 | 1.1.2.3 | Instruments issued by subsidiaries that are given recognition in AT1 Capital | |
680 | 1.1.2.4 | Transitional adjustments due to additional recognition in AT1 Capital of instruments issued by subsidiaries | |
690 | 1.1.2.5 | (-) Reciprocal cross holdings in AT1 Capital | |
700 | 1.1.2.6 | (-) AT1 instruments of financial sector entities where the institution does not have a significant investment | |
710 | 1.1.2.7 | (-) AT1 instruments of financial sector entities where the institution has a significant investment | |
720 | 1.1.2.8 | (-) Excess of deduction from T2 items over T2 Capital | |
730 | 1.1.2.9 | Other transitional adjustments to AT1 Capital | |
740 | 1.1.2.10 | Excess of deduction from AT1 items over AT1 Capital (deducted in CET1) | |
744 | 1.1.2.11 | (-) Additional deductions of AT1 Capital due to Article 3 CRR | |
748 | 1.1.2.12 | AT1 capital elements or deductions – other | |
750 | 1.2 | TIER 2 CAPITAL | |
760 | 1.2.1 | Capital instruments and subordinated loans eligible as T2 Capital | |
770 | 1.2.1.1 | Paid up capital instruments and subordinated loans | |
780 | 1.2.1.2* | Memorandum item: Capital instruments and subordinated loans not eligible | |
790 | 1.2.1.3 | Share premium | |
800 | 1.2.1.4 | (-) Own T2 instruments | |
810 | 1.2.1.4.1 | (-) Direct holdings of T2 instruments | |
840 | 1.2.1.4.2 | (-) Indirect holdings of T2 instruments | |
841 | 1.2.1.4.3 | (-) Synthetic holdings of T2 instruments | |
842 | 1.2.1.5 | (-) Actual or contingent obligations to purchase own T2 instruments | |
880 | 1.2.2 | Transitional adjustments due to grandfathered T2 Capital instruments and subordinated loans | |
890 | 1.2.3 | Instruments issued by subsidiaries that are given recognition in T2 Capital | |
900 | 1.2.4 | Transitional adjustments due to additional recognition in T2 Capital of instruments issued by subsidiaries | |
910 | 1.2.5 | IRB Excess of provisions over expected losses eligible | |
920 | 1.2.6 | SA General credit risk adjustments | |
930 | 1.2.7 | (-) Reciprocal cross holdings in T2 Capital | |
940 | 1.2.8 | (-) T2 instruments of financial sector entities where the institution does not have a significant investment | |
950 | 1.2.9 | (-) T2 instruments of financial sector entities where the institution has a significant investment | |
960 | 1.2.10 | Other transitional adjustments to T2 Capital | |
970 | 1.2.11 | Excess of deduction from T2 items over T2 Capital (deducted in AT1) | |
974 | 1.2.12 | (-) Additional deductions of T2 Capital due to Article 3 CRR | |
978 | 1.2.13 | T2 capital elements or deductions – other |
Rows | Item | Label | Amount |
---|---|---|---|
010 | 1 | TOTAL RISK EXPOSURE AMOUNT | |
020 | 1* | Of which: Investment firms under Article 95 paragraph 2 and Article 98 of CRR | |
030 | 1** | Of which : Investment firms under Article 96 paragraph 2 and Article 97 of CRR | |
040 | 1.1 | RISK WEIGHTED EXPOSURE AMOUNTS FOR CREDIT, COUNTERPARTY CREDIT AND DILUTION RISKS AND FREE DELIVERIES | |
050 | 1.1.1 | Standardised Approach (SA) | |
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 | 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 |
Row | ID | Item | Column |
---|---|---|---|
Deferred tax assest and liabilities | 010 | ||
010 | 1 | Total deferred tax assets | |
020 | 1.1 | Deferred tax assets that do not rely on future profitability | |
030 | 1.2 | Deferred tax assets that rely on future profitability and do not arise from temporary differences | |
040 | 1.3 | Deferred tax assets that rely on future profitability and arise from temporary differences | |
050 | 2 | Total deferred tax liabilities | |
060 | 2.1 | Deferred tax liabilities non deductible from deferred tax assets that rely on future profitability | |
070 | 2.2 | Deferred tax liabilities deductible from deferred tax assets that rely on future profitability | |
080 | 2.2.1 | Deductible deferred tax liabilities associated with deferred tax assets that rely on future profitability and do not arise from temporary differences | |
090 | 2.2.2 | Deductible deferred tax liabilities associated with deferred tax assets that rely on future profitability and arise from temporary differences | |
093 | 2A | Tax overpayments and tax loss carry backs | |
096 | 2B | Deferred Tax Assets subject to a risk weight of 250 % | |
097 | 2C | Deferred Tax Assets subject to a risk weight of 0 % | |
Credit risk adjustments and expected losses | |||
100 | 3 | IRB excess (+) or shortfall (-) of credit risk adjustments, additional value adjustments and other own funds reductions to expected losses for non defaulted exposures | |
110 | 3.1 | Total credit risk adjustments, additional value adjustments and other own funds reductions eligible for inclusion in the calculation of the expected loss amount | |
120 | 3.1.1 | General credit risk adjustments | |
130 | 3.1.2 | Specific credit risk adjustments | |
131 | 3.1.3 | Additional value adjustments and other own funds reductions | |
140 | 3.2 | Total expected losses eligible | |
145 | 4 | IRB excess (+) or shortfall (-) of specific credit risk adjustments to expected losses for defaulted exposures | |
150 | 4.1 | Specific credit risk adjustments and positions treated similarily | |
155 | 4.2 | Total expected losses eligible | |
160 | 5 | Risk weighted exposure amounts for calculating the cap to the excess of provision eligible as T2 | |
170 | 6 | Total gross provisions eligible for inclusion in T2 capital | |
180 | 7 | Risk weighted exposure amounts for calculating the cap to the provision eligible as T2 | |
Thresholds for Common Equity Tier 1 deductions | |||
190 | 8 | Threshold non deductible of holdings in financial sector entities where an institution does not have a significant investment | |
200 | 9 | 10 % CET1 threshold | |
210 | 10 | 17,65 % CET1 threshold | |
225 | 11.1 | Eligible capital for the purposes of qualifying holdings outside the financial sector | |
226 | 11.2 | Eligible capital for the purposes of large exposures | |
Investments in the capital of financial sector entities where the institution does not have a significant investment | |||
230 | 12 | Holdings of CET1 capital of financial sector entities where the institution does not have a significant investment, net of short positions | |
240 | 12.1 | Direct holdings of CET1 capital of financial sector entities where the institution does not have a significant investment | |
250 | 12.1.1 | Gross direct holdings of CET1 capital of financial sector entities where the institution does not have a significant investment | |
260 | 12.1.2 | (-) Permitted offsetting short positions in relation to the direct gross holdings included above | |
270 | 12.2 | Indirect holdings of CET1 capital of financial sector entities where the institution does not have a significant investment | |
280 | 12.2.1 | Gross indirect holdings of CET1 capital of financial sector entities where the institution does not have a significant investment | |
290 | 12.2.2 | (-) Permitted offsetting short positions in relation to the indirect gross holdings included above | |
291 | 12.3 | Synthetic holdings of CET1 capital of financial sector entities where the institution does not have a significant investment | |
292 | 12.3.1 | Gross synthetic holdings of CET1 capital of financial sector entities where the institution does not have a significant investment | |
293 | 12.3.2 | (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above | |
300 | 13 | Holdings of AT1 capital of financial sector entities where the institution does not have a significant investment, net of short positions | |
310 | 13.1 | Direct holdings of AT1 capital of financial sector entities where the institution does not have a significant investment | |
320 | 13.1.1 | Gross direct holdings of AT1 capital of financial sector entities where the institution does not have a significant investment | |
330 | 13.1.2 | (-) Permitted offsetting short positions in relation to the direct gross holdings included above | |
340 | 13.2 | Indirect holdings of AT1 capital of financial sector entities where the institution does not have a significant investment | |
350 | 13.2.1 | Gross indirect holdings of AT1 capital of financial sector entities where the institution does not have a significant investment | |
360 | 13.2.2 | (-) Permitted offsetting short positions in relation to the indirect gross holdings included above | |
361 | 13.3 | Synthetic holdings of AT1 capital of financial sector entities where the institution does not have a significant investment | |
362 | 13.3.1 | Gross synthetic holdings of AT1 capital of financial sector entities where the institution does not have a significant investment | |
363 | 13.3.2 | (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above | |
370 | 14 | Holdings of T2 capital of financial sector entities where the institution does not have a significant investment, net of short positions | |
380 | 14.1 | Direct holdings of T2 capital of financial sector entities where the institution does not have a significant investment | |
390 | 14.1.1 | Gross direct holdings of T2 capital of financial sector entities where the institution does not have a significant investment | |
400 | 14.1.2 | (-) Permitted offsetting short positions in relation to the direct gross holdings included above | |
410 | 14.2 | Indirect holdings of T2 capital of financial sector entities where the institution does not have a significant investment | |
420 | 14.2.1 | Gross indirect holdings of T2 capital of financial sector entities where the institution does not have a significant investment | |
430 | 14.2.2 | (-) Permitted offsetting short positions in relation to the indirect gross holdings included above | |
431 | 14.3 | Synthetic holdings of T2 capital of financial sector entities where the institution does not have a significant investment | |
432 | 14.3.1 | Gross synthetic holdings of T2 capital of financial sector entities where the institution does not have a significant investment | |
433 | 14.3.2 | (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above | |
Investments in the capital of financial sector entities where the institution has a significant investment | |||
440 | 15 | Holdings of CET1 capital of financial sector entities where the institution has a significant investment, net of short positions | |
450 | 15.1 | Direct holdings of CET1 capital of financial sector entities where the institution has a significant investment | |
460 | 15.1.1 | Gross direct holdings of CET1 capital of financial sector entities where the institution has a significant investment | |
470 | 15.1.2 | (-) Permitted offsetting short positions in relation to the direct gross holdings included above | |
480 | 15.2 | Indirect holdings of CET1 capital of financial sector entities where the institution has a significant investment | |
490 | 15.2.1 | Gross indirect holdings of CET1 capital of financial sector entities where the institution has a significant investment | |
500 | 15.2.2 | (-) Permitted offsetting short positions in relation to the indirect gross holdings included above | |
501 | 15.3 | Synthetic holdings of CET1 capital of financial sector entities where the institution has a significant investment | |
502 | 15.3.1 | Gross synthetic holdings of CET1 capital of financial sector entities where the institution has a significant investment | |
503 | 15.3.2 | (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above | |
510 | 16 | Holdings of AT1 capital of financial sector entities where the institution has a significant investment, net of short positions | |
520 | 16.1 | Direct holdings of AT1 capital of financial sector entities where the institution has a significant investment | |
530 | 16.1.1 | Gross direct holdings of AT1 capital of financial sector entities where the institution has a significant investment | |
540 | 16.1.2 | (-) Permitted offsetting short positions in relation to the direct gross holdings included above | |
550 | 16.2 | Indirect holdings of AT1 capital of financial sector entities where the institution has a significant investment | |
560 | 16.2.1 | Gross indirect holdings of AT1 capital of financial sector entities where the institution has a significant investment | |
570 | 16.2.2 | (-) Permitted offsetting short positions in relation to the indirect gross holdings included above | |
571 | 16.3 | Synthetic holdings of AT1 capital of financial sector entities where the institution has a significant investment | |
572 | 16.3.1 | Gross synthetic holdings of AT1 capital of financial sector entities where the institution has a significant investment | |
573 | 16.3.2 | (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above | |
580 | 17 | Holdings of T2 capital of financial sector entities where the institution has a significant investment, net of short positions | |
590 | 17.1 | Direct holdings of T2 capital of financial sector entities where the institution has a significant investment | |
600 | 17.1.1 | Gross direct holdings of T2 capital of financial sector entities where the institution has a significant investment | |
610 | 17.1.2 | (-) Permitted offsetting short positions in relation to the direct gross holdings included above | |
620 | 17.2 | Indirect holdings of T2 capital of financial sector entities where the institution has a significant investment | |
630 | 17.2.1 | Gross indirect holdings of T2 capital of financial sector entities where the institution has a significant investment | |
640 | 17.2.2 | (-) Permitted offsetting short positions in relation to the indirect gross holdings included above | |
641 | 17.3 | Synthetic holdings of T2 capital of financial sector entities where the institution has a significant investment | |
642 | 17.3.1 | Gross synthetic holdings of T2 capital of financial sector entities where the institution has a significant investment | |
643 | 17.3.2 | (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above | |
Total risk exposure amounts of holdings not deducted from the corresponding capital category: | |||
650 | 18 | Risk weighted exposures of CET1 holdings in financial sector entities which are not deducted from the institution’s CET1 capital | |
660 | 19 | Risk weighted exposures of AT1 holdings in financial sector entities which are not deducted from the institution’s AT1 capital | |
670 | 20 | Risk weighted exposures of T2 holdings in financial sector entities which are not deducted from the institution’s T2 capital | |
Temporary waiver from deduction from own funds | |||
680 | 21 | Holdings on CET1 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived | |
690 | 22 | Holdings on CET1 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived | |
700 | 23 | Holdings on AT1 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived | |
710 | 24 | Holdings on AT1 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived | |
720 | 25 | Holdings on T2 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived | |
730 | 26 | Holdings on T2 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived | |
Capital buffers | |||
740 | 27 | Combined buffer requirement | |
750 | Capital conservation buffer | ||
760 | Conservation buffer due to macro-prudential or systemic risk identified at the level of a Member State | ||
770 | Institution specific countercyclical capital buffer | ||
780 | Systemic risk buffer | ||
800 | Global Systemically Important Institution buffer | ||
810 | Other Systemically Important Institution buffer | ||
Pillar II requirements | |||
820 | 28 | Own funds requirements related to Pillar II adjustments | |
Additional information for investment firms | |||
830 | 29 | Initial capital | |
840 | 30 | Own funds based on Fixed Overheads | |
Additional information for calculation of reporting thresholds | |||
850 | 31 | Non-domestic original exposures | |
860 | 32 | Total original exposures | |
Basel I floor | |||
870 | Adjustments to total own funds | ||
880 | Own funds fully adjusted for Basel I floor | ||
890 | Own funds requirements for Basel I floor | ||
900 | Own funds requirements for Basel I floor – SA alternative | ||
910 | Deficit of total capital as regards the minimum own funds requirements of the Basel I floor |
Adjustments to CET1 | Adjustments to AT1 | Adjustments to T2 | Adjustments included in RWAs | Memorandum items | ||||
---|---|---|---|---|---|---|---|---|
Applicable percentage | Eligible amount without transitional provisions | |||||||
Code | ID | Item | 010 | 020 | 030 | 040 | 050 | 060 |
010 | 1 | TOTAL ADJUSTMENTS | ||||||
020 | 1.1 | GRANDFATHERED INSTRUMENTS | link to {CA1;r220} | link to {CA1;r660} | link to {CA1;r880} | |||
030 | 1.1.1 | Grandfathered instruments: Instruments constituting state aid | ||||||
040 | 1.1.1.1 | Instruments that qualified as own funds according to 2006/48/EC | ||||||
050 | 1.1.1.2 | Instruments issued by institutions that are incorporated in a Member State that is subject to an Economic Adjustment Programme | ||||||
060 | 1.1.2 | Instruments not constituting state aid | link to {CA5.2; r010;c060} | link to {CA5.2; r020;c060} | link to {CA5.2; r090;c060} | |||
070 | 1.2 | MINORITY INTERESTS AND EQUIVALENTS | link to {CA1;r240} | link to {CA1;r680} | link to {CA1;r900} | |||
080 | 1.2.1 | Capital instruments and items that do not qualify as minority interests | ||||||
090 | 1.2.2 | Transitional recognition in consolidated own funds of minority interests | ||||||
091 | 1.2.3 | Transitional recognition in consolidated own funds of qualifying Additional Tier 1 capital | ||||||
092 | 1.2.4 | Transitional recognition in consolidated own funds of qualifying Tier 2 capital | ||||||
100 | 1.3 | OTHER TRANSITIONAL ADJUSTMENTS | link to {CA1;r520} | link to {CA1;r730} | link to {CA1;r960} | |||
110 | 1.3.1 | Unrealised gains and losses | ||||||
120 | 1.3.1.1 | Unrealised gains | ||||||
130 | 1.3.1.2 | Unrealised losses | ||||||
133 | 1.3.1.3. | Unrealised gains on exposures to central governments classified in the “Available for sale” category of EU-endorsed IAS39 | ||||||
136 | 1.3.1.4. | Unrealised loss on exposures to central governments classified in the “Available for sale” category of EU-endorsed IAS39 | ||||||
138 | 1.3.1.5. | Fair value gains and losses arising from the institution’s own credit risk related to derivative liabilities | ||||||
140 | 1.3.2 | Deductions | ||||||
150 | 1.3.2.1 | Losses for the current financial year | ||||||
160 | 1.3.2.2 | Intangible assets | ||||||
170 | 1.3.2.3 | Deferred tax assets that rely on future profitability and do not arise from temporary differences | ||||||
180 | 1.3.2.4 | IRB shortfall of provisions to expected losses | ||||||
190 | 1.3.2.5 | Defined benefit pension fund assets | ||||||
194 | 1.3.2.5* | of which: Introduction of amendments to IAS 19 – positive item | ||||||
198 | 1.3.2.5** | of which: Introduction of amendments to IAS 19 – negative item | ||||||
200 | 1.3.2.6 | Own instruments | ||||||
210 | 1.3.2.6.1 | Own CET1 instruments | ||||||
211 | 1.3.2.6.1** | of which: Direct holdings | ||||||
212 | 1.3.2.6.1* | of which: Indirect holdings | ||||||
220 | 1.3.2.6.2 | Own AT1 instruments | ||||||
221 | 1.3.2.6.2** | of which: Direct holdings | ||||||
222 | 1.3.2.6.2* | of which: Indirect holdings | ||||||
230 | 1.3.2.6.3 | Own T2 instruments | ||||||
231 | 1.3.2.6.3* | of which: Direct holdings | ||||||
232 | 1.3.2.6.3** | of which: Indirect holdings | ||||||
240 | 1.3.2.7 | Reciprocal cross holdings | ||||||
250 | 1.3.2.7.1 | Reciprocal cross holdings in CET1 Capital | ||||||
260 | 1.3.2.7.1.1 | Reciprocal cross holdings in CET1 Capital of financial sector entities where the institution does not have a significant investment | ||||||
270 | 1.3.2.7.1.2 | Reciprocal cross holdings in CET1 Capital of financial sector entities where the institution has a significant investment | ||||||
280 | 1.3.2.7.2 | Reciprocal cross holdings in AT1 Capital | ||||||
290 | 1.3.2.7.2.1 | Reciprocal cross holdings in AT1 Capital of financial sector entities where the institution does not have a significant investment | ||||||
300 | 1.3.2.7.2.2 | Reciprocal cross holdings in AT1 Capital of financial sector entities where the institution has a significant investment | ||||||
310 | 1.3.2.7.3 | Reciprocal cross holdings in T2 Capital | ||||||
320 | 1.3.2.7.3.1 | Reciprocal cross holdings in T2 Capital of financial sector entities where the institution does not have a significant investment | ||||||
330 | 1.3.2.7.3.2 | Reciprocal cross holdings in T2 Capital of financial sector entities where the institution has a significant investment | ||||||
340 | 1.3.2.8 | Own funds instruments of financial sector entities where the institution does not have a significant investment | ||||||
350 | 1.3.2.8.1 | CET1 instruments of financial sector entities where the institution does not have a significant investment | ||||||
360 | 1.3.2.8.2 | AT1 instruments of financial sector entities where the institution does not have a significant investment | ||||||
370 | 1.3.2.8.3 | T2 instruments of financial sector entities where the institution does not have a significant investment | ||||||
380 | 1.3.2.9 | Deferred tax assets that are dependent on future profitability and arise from temporary differences and CET1 instruments of financial sector entities where the institution has a significant investment | ||||||
385 | 1.3.2.9a | Deferred tax assets that are dependent on future profitability and arise from temporary differences | ||||||
390 | 1.3.2.10 | Own funds instruments of financial sector entities where the institution has a significant investment | ||||||
400 | 1.3.2.10.1 | CET1 instruments of financial sector entities where the institution has a significant investment | ||||||
410 | 1.3.2.10.2 | AT1 instruments of financial sector entities where the institution has a significant investment | ||||||
420 | 1.3.2.10.3 | T2 instruments of financial sector entities where the institution has a significant investment | ||||||
425 | 1.3.2.11 | Exemption from deduction of Equity Holdings in Insurance Companies from CET 1 Items | ||||||
430 | 1.3.3 | Additional filters and deductions | ||||||
440 | 1.3.4 | Adjustments due to IFRS 9 transitional arrangements |
CA 5.2 Grandfathered instruments: Instruments not constituting State aid | Amount of instruments plus related share premium | Base for calculating the limit | Applicable percentage | Limit | (-) Amount that exceeds the limits for grandfathering | Total grandfathered amount | ||
---|---|---|---|---|---|---|---|---|
Code | ID | Item | 010 | 020 | 030 | 040 | 050 | 060 |
010 | 1. | Instruments that qualified for point a) of Article 57 of 2006/48/EC | link to {CA5.1;r060;c010) | |||||
020 | 2. | Instruments that qualified for point ca) of Article 57 and Article 154(8) and (9) of 2006/48/EC, subject to the limit of Article 489 | link to {CA5.1;r060;c020) | |||||
030 | 2.1 | Total instruments without a call or an incentive to redeem | ||||||
040 | 2.2. | Grandfathered instruments with a call and incentive to redeem | ||||||
050 | 2.2.1 | Instruments with a call exercisable after the reporting date, and which meet the conditions in Article 52 of CRR after the date of effective maturity | ||||||
060 | 2.2.2 | Instruments with a call exercisable after the reporting date, and which do not meet the conditions in Article 52 of CRR after the date of effective maturity | ||||||
070 | 2.2.3 | Instruments with a call exercisable prior to or on 20 July 2011, and which do not meet the conditions in Article 52 of CRR after the date of effective maturity | ||||||
080 | 2.3 | Excess on the limit of CET1 grandfathered instruments | ||||||
090 | 3 | Items that qualified for points e), f), g) or h) of Article 57 of 2006/48/EC, subject to the limit of Article 490 | link to {CA5.1;r060;c030) | |||||
100 | 3.1 | Total items without an incentive to redeem | ||||||
110 | 3.2 | Grandfathered items with an incentive to redeem | ||||||
120 | 3.2.1 | Items with a call exercisable after the reporting date, and which meet the conditions in Article 63 of CRR after the date of effective maturity | ||||||
130 | 3.2.2 | Items with a call exercisable after the reporting date, and which do not meet the conditions in Article 63 of CRR after the date of effective maturity | ||||||
140 | 3.2.3 | Items with a call exercisable prior to or on 20 July 2011, and which do not meet the conditions in Article 63 of CRR after the date of effective maturity | ||||||
150 | 3.3 | Excess on the limit of AT1 grandfathered instruments |
INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP | CAPITAL BUFFERS | |||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
TOTAL RISK EXPOSURE AMOUNT | QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS | CONSOLIDATED OWN FUNDS | COMBINED BUFFER REQUIREMENTS | |||||||||||||||||||||
CREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/DELIVERY RISK | POSITION, FX AND COMMODITIES RISKS | OPERATIONAL RISK | OTHER RISK EXPOSURE AMOUNTS | QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 1 CAPITAL | QUALIFYING OWN FUNDS INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 2 CAPITAL | MEMORANDUM ITEM: GOODWILL (-) / (+) NEGATIVE GOODWILL | OF WHICH: COMMON EQUITY TIER 1 | OF WHICH: ADDITIONAL TIER 1 | OF WHICH: CONRIBUTIONS TO CONSOLIDATED RESULT | OF WHICH: (-) GOODWILL / (+) NEGATIVE GOODWILL | CAPITAL CONSERVATION BUFFER | INSTITUTION SPECIFIC 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 |
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 |
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 % |
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 |
IRB Exposure class:
Own estimates of LGD and/or conversion factors:
OBLIGOR GRADE (ROW IDENTIFIER) | INTERNAL RATING SYSTEM | ORIGINAL EXPOSURE PRE CONVERSION FACTORS | CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE | EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS | EXPOSURE VALUE | CREDIT RISK MITIGATION TECHNIQUES TAKEN INTO ACCOUNT IN LGD ESTIMATES EXCLUDING DOUBLE DEFAULT TREATMENT | SUBJECT TO DOUBLE DEFAULT TREATMENT | EXPOSURE WEIGHTED AVERAGE LGD (%) | EXPOSURE WEIGHTED AVERAGE LGD (%) FOR LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES | EXPOSURE-WEIGHTED AVERAGE MATURITY VALUE (DAYS) | RISK WEIGHTED EXPOSURE AMOUNT PRE SME-FACTOR | RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-FACTOR | MEMORANDUM ITEMS: | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
UNFUNDED CREDIT PROTECTION | (-) OTHER FUNDED CREDIT PROTECTION | SUBSTITUTION OF THE EXPOSURE DUE TO CRM | OWN ESTIMATES OF LGD’S ARE USED: UNFUNDED CREDIT PROTECTION | FUNDED CREDIT PROTECTION | UNFUNDED CREDIT PROTECTION | EXPECTED LOSS AMOUNT | (-) VALUE ADJUSTMENTS AND PROVISIONS | NUMBER OF OBLIGORS | |||||||||||||||||||||||
PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%) | OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES | (-) GUARANTEES | (-) CREDIT DERIVATIVES | (-) TOTAL OUTFLOWS | TOTAL INFLOWS (+) | OF WHICH: OFF BALANCE SHEET ITEMS | OF WHICH: OFF BALANCE SHEET ITEMS | OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK | OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES | GUARANTEES | CREDIT DERIVATIVES | OWN ESTIMATES OF LGD’S ARE USED: OTHER FUNDED CREDIT PROTECTION | ELIGIBLE FINANCIAL COLLATERAL | OTHER ELIGIBLE COLLATERAL | OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES | ||||||||||||||||
REAL ESTATE | OTHER PHYSICAL COLLATERAL | RECEIVABLES | |||||||||||||||||||||||||||||
005 | 010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | 110 | 120 | 130 | 140 | 150 | 160 | 170 | 180 | 190 | 200 | 210 | 220 | 230 | 240 | 250 | 255 | 260 | 270 | 280 | 290 | 300 |
Country:
ORIGINAL EXPOSURE PRE CONVERSION FACTORS | 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 |
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 |
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 |
INTERNAL RATING SYSTEM | ORIGINAL EXPOSURE PRE CONVERSION FACTORS | CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE | EXPOSURE VALUE | EXPOSURE WEIGHTED AVERAGE LGD (%) | RISK WEIGHTED EXPOSURE AMOUNT | MEMORANDUM ITEM: | ||||
---|---|---|---|---|---|---|---|---|---|---|
UNFUNDED CREDIT PROTECTION | SUBSTITUTION OF THE EXPOSURE DUE TO CRM | EXPECTED LOSS AMOUNT | ||||||||
PD ASSIGNED TO THE OBLIGOR GRADE (%) | (-) GUARANTEES | (-) CREDIT DERIVATIVES | (-) TOTAL OUTFLOWS | |||||||
010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | ||
010 | TOTAL IRB EQUITY EXPOSURES | Cell linked to CA | ||||||||
020 | PD/LGD APRROACH: TOTAL | |||||||||
050 | SIMPLE RISK WEIGHT APPROACH: TOTAL | |||||||||
060 | BREAKDOWN OF TOTAL EXPOSURES UNDER THE SIMPLE RISK WEIGHT APRROACH BY RISK WEIGHTS: | |||||||||
070 | RISK WEIGHT: 190 % | |||||||||
080 | 290 % | |||||||||
090 | 370 % | |||||||||
100 | INTERNAL MODELS APPROACH | |||||||||
110 | EQUITY EXPOSURES SUBJECT TO RISK WEIGHTS |
OBLIGOR GRADE (ROW IDENTIFIER) | INTERNAL RATING SYSTEM | ORIGINAL EXPOSURE PRE CONVERSION FACTORS | CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE | EXPOSURE VALUE | EXPOSURE WEIGHTED AVERAGE LGD (%) | RISK WEIGHTED EXPOSURE AMOUNT | MEMORANDUM ITEM: | ||
---|---|---|---|---|---|---|---|---|---|
UNFUNDED CREDIT PROTECTION | SUBSTITUTION OF THE EXPOSURE DUE TO CRM | EXPECTED LOSS AMOUNT | |||||||
PD ASSIGNED TO THE OBLIGOR GRADE (%) | (-) GUARANTEES | (-) CREDIT DERIVATIVES | (-) TOTAL OUTFLOWS | ||||||
005 | 010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 |
UNSETTLED TRANSACTIONS AT SETTLEMENT PRICE | PRICE DIFFERENCE EXPOSURE DUE TO UNSETTLED TRANSACTIONS | OWN FUNDS REQUIREMENTS | TOTAL SETTLEMENT RISK EXPOSURE AMOUNT | ||
---|---|---|---|---|---|
010 | 020 | 030 | 040 | ||
010 | Total unsettled transactions in the Non-trading Book | Cell linked to CA | |||
020 | Transactions unsettled up to 4 days (Factor 0 %) | ||||
030 | Transactions unsettled between 5 and 15 days (Factor 8 %) | ||||
040 | Transactions unsettled between 16 and 30 days (Factor 50 %) | ||||
050 | Transactions unsettled between 31 and 45 days (Factor 75 %) | ||||
060 | Transactions unsettled for 46 days or more (Factor 100 %) | ||||
070 | Total unsettled transactions in the Trading Book | Cell linked to CA | |||
080 | Transactions unsettled up to 4 days (Factor 0 %) | ||||
090 | Transactions unsettled between 5 and 15 days (Factor 8 %) | ||||
100 | Transactions unsettled between 16 and 30 days (Factor 50 %) | ||||
110 | Transactions unsettled between 31 and 45 days (Factor 75 %) | ||||
120 | Transactions unsettled for 46 days or more (Factor 100 %) |
TOTAL AMOUNT OF 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 |
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 |
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 |
BANKING ACTIVITIES | RELEVANT INDICATOR | LOANS AND ADVANCES (IN CASE OF ASA APPLICATION) | OWN FUNDS REQUIREMENT | Total operational risk exposure amount | AMA MEMORANDUM ITEMS TO BE REPORTED IF APPLICABLE | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
YEAR-3 | YEAR-2 | LAST YEAR | YEAR-3 | YEAR-2 | LAST YEAR | OF WHICH: DUE TO AN ALLOCATION MECHANISM | OWN FUNDS REQUIREMENT BEFORE ALLEVIATION DUE TO EXPECTED LOSS, DIVERSIFICATION AND RISK MITIGATION TECHNIQUES | (-) ALLEVIATION OF OWN FUNDS REQUIREMENT DUE TO THE EXPECTED LOSS CAPTURED IN BUSINESS PRACTICES | (-) ALLEVIATION OF OWN FUNDS REQUIREMENT DUE TO DIVERSIFICATION | (-) ALLEVIATION OF OWN FUNDS REQUIREMENT DUE TO RISK MITIGATION TECHNIQUES (INSURANCE AND OTHER RISK TRANSFER MECHANISMS) | ||||
010 | 020 | 030 | 040 | 050 | 060 | 070 | 071 | 080 | 090 | 100 | 110 | 120 | ||
010 | 1. BANKING ACTIVITIES SUBJECT TO BASIC INDICATOR APPROACH (BIA) | Cell linked to CA2 | ||||||||||||
020 | 2. BANKING ACTIVITIES SUBJECT TO STANDARDISED (TSA) / ALTERNATIVE STANDARDISED (ASA) APPROACHES | Cell linked to CA2 | ||||||||||||
SUBJECT TO TSA: | ||||||||||||||
030 | CORPORATE FINANCE (CF) | |||||||||||||
040 | TRADING AND SALES (TS) | |||||||||||||
050 | RETAIL BROKERAGE (RBr) | |||||||||||||
060 | COMMERCIAL BANKING (CB) | |||||||||||||
070 | RETAIL BANKING (RB) | |||||||||||||
080 | PAYMENT AND SETTLEMENT (PS) | |||||||||||||
090 | AGENCY SERVICES (AS) | |||||||||||||
100 | ASSET MANAGEMENT (AM) | |||||||||||||
SUBJECT TO ASA: | ||||||||||||||
110 | COMMERCIAL BANKING (CB) | |||||||||||||
120 | RETAIL BANKING (RB) | |||||||||||||
130 | 3. BANKING ACTIVITIES SUBJECT TO ADVANCED MEASUREMENT APPROACHES AMA | Cell linked to CA2 |
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 |
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 |
… |
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 |
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 |
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 |
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 |
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 |
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 |
Value at Risk (VaR) | STRESSED VaR | INCREMENTAL DEFAULT AND MIGRATION RISK CAPITAL CHARGE | ALL PRICE RISKS CAPITAL CHARGE FOR CTP | OWN FUNDS REQUIREMENTS | TOTAL RISK EXPOSURE AMOUNT | Number of overshootings during previous 250 working days | VaR Multiplication Factor (mc) | SVaR Multiplication Factor (ms) | ASSUMED CHARGE FOR CTP FLOOR – WEIGHTED NET LONG POSITIONS AFTER CAP | ASSUMED CHARGE FOR CTP FLOOR – WEIGHTED NET SHORT POSITIONS AFTER CAP | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
MULTIPLICATION FACTOR (mc) x AVERAGE OF PREVIOUS 60 WORKING DAYS (VaRavg) | PREVIOUS DAY (VaRt-1) | MULTIPLICATION FACTOR (ms) x AVERAGE OF PREVIOUS 60 WORKING DAYS (SVaRavg) | LATEST AVAILABLE (SVaRt-1) | 12 WEEKS AVERAGE MEASURE | LAST MEASURE | FLOOR | 12 WEEKS AVERAGE MEASURE | LAST MEASURE | |||||||||
030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | 110 | 120 | 130 | 140 | 150 | 160 | 170 | 180 | ||
010 | TOTAL POSITIONS | Cell linked to CA | |||||||||||||||
Memorandum items: BREAKDOWN OF MARKET RISK | |||||||||||||||||
020 | Traded debt instruments | ||||||||||||||||
030 | TDI – General risk | ||||||||||||||||
040 | TDI – Specific Risk | ||||||||||||||||
050 | Equities | ||||||||||||||||
060 | Equities – General risk | ||||||||||||||||
070 | Equities – Specific Risk | ||||||||||||||||
080 | Foreign Exchange risk | ||||||||||||||||
090 | Commodities risk | ||||||||||||||||
100 | Total amount for general risk | ||||||||||||||||
110 | Total amount for specific risk |
EXPOSURE VALUE | VaR | STRESSED VaR | OWN FUNDS REQUIREMENTS | TOTAL RISK EXPOSURE AMOUNT | MEMORANDUM ITEMS | CVA RISK HEDGE NOTIONALS | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
of which: OTC Derivatives | of which: SFT | MULTIPLICATION FACTOR (mc) x AVERAGE OF PREVIOUS 60 WORKING DAYS (VaRavg) | PREVIOUS DAY (VaRt-1) | MULTIPLICATION FACTOR (ms) x AVERAGE OF PREVIOUS 60 WORKING DAYS (SVaRavg) | LATEST AVAILABLE (SVaRt-1) | Number of counterparties | of which: proxy was used to determine credit spread | INCURRED CVA | SINGLE NAME CDS | INDEX CDS | |||||
010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | 110 | 120 | 130 | 140 | ||
010 | CVA risk total | Link to {CA2;r640;c010} | |||||||||||||
020 | Advanced method | Link to {CA2;r650;c010} | |||||||||||||
030 | Standardised method | Link to {CA2;r660;c010} | |||||||||||||
040 | Based on OEM | Link to {CA2;r670;c010} |
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 |
CATEGORY LEVEL AVA | TOTAL AVA | UPSIDE UNCERTAINTY | FAIR-VALUED ASSETS AND LIABILITIES | QTD REVENUE | IPV DIFFERENCE | FAIR VALUE ADJUSTMENTS | DAY 1 P&L | EXPLANATION DESCRIPTION | |||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
MARKET PRICE UNCERTAINTY | CLOSE-OUT COSTS | MODEL RISK | CONCENTRATED POSITIONS | FUTURE ADMINISTRATIVE COSTS | EARLY TERMINATION | OPERATIONAL RISK | FAIR-VALUED ASSETS | FAIR-VALUED LIABILITIES | MARKET PRICE UNCERTAINTY | CLOSE-OUT COSTS | MODEL RISK | CONCENTRATED POSITIONS | UNEARNED CREDIT SPREADS | INVESTING AND FUNDING COSTS | FUTURE ADMINIS-TRATIVE COSTS | EARLY TERMINATION | OPERA- TIONAL RISK | ||||||||||||
OF WHICH: CALCULATED USING THE EXPERT BASED APPROACH | OF WHICH: CALCULATED USING THE EXPERT BASED APPROACH | OF WHICH: CALCULATED USING THE EXPERT BASED APPROACH | |||||||||||||||||||||||||||
0010 | 0020 | 0030 | 0040 | 0050 | 0060 | 0070 | 0080 | 0090 | 0100 | 0110 | 0120 | 0130 | 0140 | 0150 | 0160 | 0170 | 0180 | 0190 | 0200 | 0210 | 0220 | 0230 | 0240 | 0250 | 0260 | 0270 | |||
0010 | 1 | TOTAL CORE APPROACH | |||||||||||||||||||||||||||
0020 | OF WHICH: TRADING BOOK | ||||||||||||||||||||||||||||
0030 | 1.1 | PORTFOLIOS UNDER ARTICLES 9 TO 17 OF COMMISION DELEGATED REGULATION (EU) 2016/101 – TOTAL CATEGORY LEVEL POST-DIVERSIFICATION | |||||||||||||||||||||||||||
0040 | 1.1.1 | TOTAL CATEGORY LEVEL PRE-DIVERSIFICATION | |||||||||||||||||||||||||||
0050 | 1.1.1* | OF WHICH: UNEARNED CREDIT SPREADS AVA | |||||||||||||||||||||||||||
0060 | 1.1.1** | OF WHICH: INVESTMENT AND FUNDING COSTS AVA | |||||||||||||||||||||||||||
0070 | 1.1.1*** | OF WHICH: AVA ASSESSED TO HAVE ZERO VALUE UNDER ARTICLE 9(2) OF DELEGATED REGULATION (EU) 2016/101 | |||||||||||||||||||||||||||
0080 | 1.1.1**** | OF WHICH: AVA ASSESSED TO HAVE ZERO VALUE UNDER PARAGRAPHS 2 AND 3 OF ARTICLE 10 OF DELEGATED REGULATION (EU) 2016/101 | |||||||||||||||||||||||||||
0090 | 1.1.1.1 | INTEREST RATES | |||||||||||||||||||||||||||
0100 | 1.1.1.2 | FOREIGN EXCHANGE | |||||||||||||||||||||||||||
0110 | 1.1.1.3 | CREDIT | |||||||||||||||||||||||||||
0120 | 1.1.1.4 | EQUITIES | |||||||||||||||||||||||||||
0130 | 1.1.1.5 | COMMODITIES | |||||||||||||||||||||||||||
0140 | 1.1.2 | (-) DIVERSIFICATION BENEFITS | |||||||||||||||||||||||||||
0150 | 1.1.2.1 | (-) DIVERSIFICATION BENEFIT CALCULATED USING METHOD 1 | |||||||||||||||||||||||||||
0160 | 1.1.2.2 | (-) DIVERSIFICATION BENEFIT CALCULATED USING METHOD 2 | |||||||||||||||||||||||||||
0170 | 1.1.2.2* | MEMORANDUM ITEM: PRE-DIVERSIFICATION AVAS REDUCED BY MORE THAN 90 % BY DIVERSIFICATION UNDER METHOD 2 | |||||||||||||||||||||||||||
0180 | 1.2 | PORTFOLIOS UNDER THE FALL-BACK APPROACH | |||||||||||||||||||||||||||
0190 | 1.2.1 | 100 % OF NET UNREALISED PROFIT | |||||||||||||||||||||||||||
0200 | 1.2.2 | 10 % OF NOTIONAL VALUE | |||||||||||||||||||||||||||
0210 | 1.2.3 | 25 % OF INCEPTION VALUE |
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 |
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 |
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” |