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Document 32015R1278

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Commission Implementing Regulation (EU) 2015/1278 of 9 July 2015 amending Implementing Regulation (EU) No 680/2014 laying down implementing technical standards with regard to supervisory reporting of institutions as regards instructions, templates and definitions (Text with EEA relevance)

OJ L 205, 31.7.2015, p. 1–300 (BG, ES, CS, DA, DE, ET, EL, EN, FR, HR, IT, LV, LT, HU, MT, NL, PL, PT, RO, SK, SL, FI, SV)

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31.7.2015   

EN

Official Journal of the European Union

L 205/1


COMMISSION IMPLEMENTING REGULATION (EU) 2015/1278

of 9 July 2015

amending Implementing Regulation (EU) No 680/2014 laying down implementing technical standards with regard to supervisory reporting of institutions as regards instructions, templates and definitions

(Text with EEA relevance)

THE EUROPEAN COMMISSION,

Having regard to the Treaty on the Functioning of the European Union,

Having regard to Regulation (EU) No 575/2013 of 26 June 2013 of the European Parliament and of the Council on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012 (1) and in particular the fourth subparagraph of Article 99(5), the fourth subparagraph of Article 99(6), the third subparagraph of Article 101(4), the third subparagraph of Article 394(4), the fourth subparagraph of Article 415(3) and the third subparagraph of Article 430(2) thereof,

Whereas:

(1)

Commission Implementing Regulation (EU) No 680/2014 (2) specifies the requirements according to which institutions are required to report information relevant to their compliance with Regulation (EU) No 575/2013. Given that the regulatory framework established by Regulation (EU) No 575/2013 is gradually being supplemented and amended in its non-essential elements by the adoption of regulatory technical standards, then Implementing Regulation (EU) No 680/2014 needs to be updated accordingly to reflect those rules; to provide further precision in the instructions and definitions used for the purposes of institutions' supervisory reporting.

(2)

In order to ensure a correct and uniform application of the requirements laid down in Implementing Regulation (EU) No 680/2014, further precision should be provided to the templates, instructions and definitions used for the purposes of supervisory reporting. Therefore, for reasons of legal clarity, it is appropriate to replace several templates of Annexes I, III and IV and to amend some of the instructions laid down in Annexes II, V, IX and XVII.

(3)

To provide institutions and competent authorities with adequate time to implement the amendments set out in this Regulation, it should apply from 1 June 2015.

(4)

This Regulation is based on the draft implementing technical standards submitted by the European Banking Authority (EBA) to the Commission.

(5)

Given that the necessary amendments to Implementing Regulation (EU) No 680/2014 do not involve significant changes in substantive terms, in accordance with the second subparagraph of Article 15(1) of Regulation (EU) No 1093/2010 of the European Parliament and of the Council (3), the EBA has not conducted any open public consultation, considering that it would be disproportionate in relation to the scope and impact of the draft implementing technical standards concerned.

(6)

Implementing Regulation (EU) No 680/2014 should be amended accordingly,

HAS ADOPTED THIS REGULATION:

Article 1

Implementing Regulation (EU) No 680/2014 is amended as follows:

1.

The templates numbered 1, 4, 6.2, 7, 8.1, 9.1, 9.2, 9.3, 17, 21 and 22 of Annex I are replaced by the respectively numbered templates set out in Annex I to this Regulation.

2.

Annex II is replaced by the text set out in Annex II to this Regulation.

3.

The templates numbered 1.3, 16, 20 and 46 of Annex III are replaced by the respectively numbered templates set out in Annex III to this Regulation.

4.

The templates numbered 1.3, 16, 20 and 46 of Annex IV are replaced by the respectively numbered templates set out in Annex IV to this Regulation.

5.

Annex V is replaced by the text set out in Annex V to this Regulation.

6.

Annex IX is replaced by the text set out in Annex VI to this Regulation.

7.

Annex XVII is replaced by the text set out in Annex VII to this Regulation.

Article 2

This Regulation shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union.

It shall apply from 1 June 2015.

This Regulation shall be binding in its entirety and directly applicable in all Member States.

Done at Brussels, 9 July 2015.

For the Commission

The President

Jean-Claude JUNCKER


(1)  OJ L 176, 27.6.2013, p. 1.

(2)  Commission Implementing Regulation (EU) No 680/2014 of 16 April 2014 laying down implementing technical standards with regard to supervisory reporting of institutions according to Regulation (EU) No 575/2013 of the European Parliament and of the Council (OJ L 191, 28.6.2014, p. 1).

(3)  Regulation (EU) No 1093/2010 of the European Parliament and of the Council of 24 November 2010 establishing a European Supervisory Authority (European Banking Authority), amending Decision No 716/2009/EC and repealing Commission Decision 2009/78/EC (OJ L 331, 15.12.2010, p. 12).


ANNEX I

C 01.00 — OWN FUNDS (CA1)

Rows

ID

Item

Amount

010

1

OWN FUNDS

 

015

1.1

TIER 1 CAPITAL

 

020

1.1.1

COMMON EQUITY TIER 1 CAPITAL

 

030

1.1.1.1

Capital instruments eligible as CET1 Capital

 

040

1.1.1.1.1

Paid up capital instruments

 

045

1.1.1.1.1*

Of which: Capital instruments subscribed by public authorities in emergency situations

 

050

1.1.1.1.2*

Memorandum item: Capital instruments not eligible

 

060

1.1.1.1.3

Share premium

 

070

1.1.1.1.4

(-) Own CET1 instruments

 

080

1.1.1.1.4.1

(-) Direct holdings of CET1 instruments

 

090

1.1.1.1.4.2

(-) Indirect holdings of CET1 instruments

 

091

1.1.1.1.4.3

(-) Synthetic holdings of CET1 instruments

 

092

1.1.1.1.5

(-) Actual or contingent obligations to purchase own CET1 instruments

 

130

1.1.1.2

Retained earnings

 

140

1.1.1.2.1

Previous years retained earnings

 

150

1.1.1.2.2

Profit or loss eligible

 

160

1.1.1.2.2.1

Profit or loss attributable to owners of the parent

 

170

1.1.1.2.2.2

(-) Part of interim or year-end profit not eligible

 

180

1.1.1.3

Accumulated other comprehensive income

 

200

1.1.1.4

Other reserves

 

210

1.1.1.5

Funds for general banking risk

 

220

1.1.1.6

Transitional adjustments due to grandfathered CET1 Capital instruments

 

230

1.1.1.7

Minority interest given recognition in CET1 capital

 

240

1.1.1.8

Transitional adjustments due to additional minority interests

 

250

1.1.1.9

Adjustments to CET1 due to prudential filters

 

260

1.1.1.9.1

(-) Increases in equity resulting from securitised assets

 

270

1.1.1.9.2

Cash flow hedge reserve

 

280

1.1.1.9.3

Cumulative gains and losses due to changes in own credit risk on fair valued liabilities

 

285

1.1.1.9.4

Fair value gains and losses arising from the institution's own credit risk related to derivative liabilities

 

290

1.1.1.9.5

(-) Value adjustments due to the requirements for prudent valuation

 

300

1.1.1.10

(-) Goodwill

 

310

1.1.1.10.1

(-) Goodwill accounted for as intangible asset

 

320

1.1.1.10.2

(-) Goodwill included in the valuation of significant investments

 

330

1.1.1.10.3

Deferred tax liabilities associated to goodwill

 

340

1.1.1.11

(-) Other intangible assets

 

350

1.1.1.11.1

(-) Other intangible assets before deduction of deferred tax liabilities

 

360

1.1.1.11.2

Deferred tax liabilities associated to other intangible assets

 

370

1.1.1.12

(-) Deferred tax assets that rely on future profitability and do not arise from temporary differences net of associated tax liabilities

 

380

1.1.1.13

(-) IRB shortfall of credit risk adjustments to expected losses

 

390

1.1.1.14

(-) Defined benefit pension fund assets

 

400

1.1.1.14.1

(-) Defined benefit pension fund assets

 

410

1.1.1.14.2

Deferred tax liabilities associated to defined benefit pension fund assets

 

420

1.1.1.14.3

Defined benefit pension fund assets which the institution has an unrestricted ability to use

 

430

1.1.1.15

(-) Reciprocal cross holdings in CET1 Capital

 

440

1.1.1.16

(-) Excess of deduction from AT1 items over AT1 Capital

 

450

1.1.1.17

(-) Qualifying holdings outside the financial sector which can alternatively be subject to a 1 250 % risk weight

 

460

1.1.1.18

(-) Securitisation positions which can alternatively be subject to a 1 250 % risk weight

 

470

1.1.1.19

(-) Free deliveries which can alternatively be subject to a 1 250 % risk weight

 

471

1.1.1.20

(-) Positions in a basket for which an institution cannot determine the risk weight under the IRB approach, and can alternatively be subject to a 1 250 % risk weight

 

472

1.1.1.21

(-) Equity exposures under an internal models approach which can alternatively be subject to a 1 250 % risk weight

 

480

1.1.1.22

(-) CET1 instruments of financial sector entites where the institution does not have a significant investment

 

490

1.1.1.23

(-) Deductible deferred tax assets that rely on future profitability and arise from temporary differences

 

500

1.1.1.24

(-) CET1 instruments of financial sector entities where the institution has a significant investment

 

510

1.1.1.25

(-) Amount exceeding the 17,65 % threshold

 

520

1.1.1.26

Other transitional adjustments to CET1 Capital

 

524

1.1.1.27

(-) Additional deductions of CET1 Capital due to Article 3 CRR

 

529

1.1.1.28

CET1 capital elements or deductions — other

 

530

1.1.2

ADDITIONAL TIER 1 CAPITAL

 

540

1.1.2.1

Capital instruments eligible as AT1 Capital

 

550

1.1.2.1.1

Paid up capital instruments

 

560

1.1.2.1.2*

Memorandum item: Capital instruments not eligible

 

570

1.1.2.1.3

Share premium

 

580

1.1.2.1.4

(-) Own AT1 instruments

 

590

1.1.2.1.4.1

(-) Direct holdings of AT1 instruments

 

620

1.1.2.1.4.2

(-) Indirect holdings of AT1 instruments

 

621

1.1.2.1.4.3

(-) Synthetic holdings of AT1 instruments

 

622

1.1.2.1.5

(-) Actual or contingent obligations to purchase own AT1 instruments

 

660

1.1.2.2

Transitional adjustments due to grandfathered AT1 Capital instruments

 

670

1.1.2.3

Instruments issued by subsidiaries that are given recognition in AT1 Capital

 

680

1.1.2.4

Transitional adjustments due to additional recognition in AT1 Capital of instruments issued by subsidiaries

 

690

1.1.2.5

(-) Reciprocal cross holdings in AT1 Capital

 

700

1.1.2.6

(-) AT1 instruments of financial sector entities where the institution does not have a significant investment

 

710

1.1.2.7

(-) AT1 instruments of financial sector entities where the institution has a significant investment

 

720

1.1.2.8

(-) Excess of deduction from T2 items over T2 Capital

 

730

1.1.2.9

Other transitional adjustments to AT1 Capital

 

740

1.1.2.10

Excess of deduction from AT1 items over AT1 Capital (deducted in CET1)

 

744

1.1.2.11

(-) Additional deductions of AT1 Capital due to Article 3 CRR

 

748

1.1.2.12

AT1 capital elements or deductions — other

 

750

1.2

TIER 2 CAPITAL

 

760

1.2.1

Capital instruments and subordinated loans eligible as T2 Capital

 

770

1.2.1.1

Paid up capital instruments and subordinated loans

 

780

1.2.1.2*

Memorandum item: Capital instruments and subordinated loans not eligible

 

790

1.2.1.3

Share premium

 

800

1.2.1.4

(-) Own T2 instruments

 

810

1.2.1.4.1

(-) Direct holdings of T2 instruments

 

840

1.2.1.4.2

(-) Indirect holdings of T2 instruments

 

841

1.2.1.4.3

(-) Synthetic holdings of T2 instruments

 

842

1.2.1.5

(-) Actual or contingent obligations to purchase own T2 instruments

 

880

1.2.2

Transitional adjustments due to grandfathered T2 Capital instruments and subordinated loans

 

890

1.2.3

Instruments issued by subsidiaries that are given recognition in T2 Capital

 

900

1.2.4

Transitional adjustments due to additional recognition in T2 Capital of instruments issued by subsidiaries

 

910

1.2.5

IRB Excess of provisions over expected losses eligible

 

920

1.2.6

SA General credit risk adjustments

 

930

1.2.7

(-) Reciprocal cross holdings in T2 Capital

 

940

1.2.8

(-) T2 instruments of financial sector entities where the institution does not have a significant investment

 

950

1.2.9

(-) T2 instruments of financial sector entities where the institution has a significant investment

 

960

1.2.10

Other transitional adjustments to T2 Capital

 

970

1.2.11

Excess of deduction from T2 items over T2 Capital (deducted in AT1)

 

974

1.2.12

(-) Additional deductions of T2 Capital due to Article 3 CRR

 

978

1.2.13

T2 capital elements or deductions — other

 


C 04.00 — MEMORANDUM ITEMS (CA4)

Row

ID

Item

Column

Deferred tax assest and liabilities

010

010

1

Total deferred tax assets

 

020

1.1

Deferred tax assets that do not rely on future profitability

 

030

1.2

Deferred tax assets that rely on future profitability and do not arise from temporary differences

 

040

1.3

Deferred tax assets that rely on future profitability and arise from temporary differences

 

050

2

Total deferred tax liabilities

 

060

2.1

Deferred tax liabilities non deductible from deferred tax assets that rely on future profitability

 

070

2.2

Deferred tax liabilities deductible from deferred tax assets that rely on future profitability

 

080

2.2.1

Deductible deferred tax liabilities associated with deferred tax assets that rely on future profitability and do not arise from temporary differences

 

090

2.2.2

Deductible deferred tax liabilities associated with deferred tax assets that rely on future profitability and arise from temporary differences

 

Credit risk adjustments and expected losses

100

3

IRB excess (+) or shortfall (-) of credit risk adjustments, additional value adjustments and other own funds reductions to expected losses for non defaulted exposures

 

110

3.1

Total credit risk adjustments, additional value adjustments and other own funds reductions eligible for inclusion in the calculation of the expected loss amount

 

120

3.1.1

General credit risk adjustments

 

130

3.1.2

Specific credit risk adjustments

 

131

3.1.3

Additional value adjustments and other own funds reductions

 

140

3.2

Total expected losses eligible

 

145

4

IRB excess (+) or shortfall (-) of specific credit risk adjustments to expected losses for defaulted exposures

 

150

4.1

Specific credit risk adjustments and positions treated similarily

 

155

4.2

Total expected losses eligible

 

160

5

Risk weighted exposure amounts for calculating the cap to the excess of provision eligible as T2

 

170

6

Total gross provisions eligible for inclusion in T2 capital

 

180

7

Risk weighted exposure amounts for calculating the cap to the provision eligible as T2

 

Thresholds for Common Equity Tier 1 deductions

190

8

Threshold non deductible of holdings in financial sector entities where an institution does not have a significant investment

 

200

9

10 % CET1 threshold

 

210

10

17,65 % CET1 threshold

 

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

 

790

 

Systemical important institution buffer

 

800

 

Global Systemically Important Institution buffer

 

810

 

Other Systemically Important Institution buffer

 

Pillar II requirements

820

28

Own funds requirements related to Pillar II adjustments

 

Additional information for investment firms

830

29

Initial capital

 

840

30

Own funds based on Fixed Overheads

 

Additional information for calculation of reporting thresholds

850

31

Non-domestic original exposures

 

860

32

Total original exposures

 

Basel I floor

870

 

Adjustments to total own funds

 

880

 

Own funds fully adjusted for Basel I floor

 

890

 

Own funds requirements for Basel I floor

 

900

 

Own funds requirements for Basel I floor — SA alternative

 

C 06.02 — GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS)

ENTITIES WITHIN SCOPE OF CONSOLIDATION

INFORMATION ON ENTITIES SUBJECT TO OWN FUNDS REQUIREMENTS

NAME

CODE

LEI code

INSTITUTION OR EQUIVALENT

(YES/NO)

SCOPE OF DATA: SOLO FULLY CONSOLIDATED (SF) OR SOLO PARTIALLY CONSOLIDATED (SP)

COUNTRY CODE

SHARE OF HOLDING (%)

TOTAL RISK EXPOSURE AMOUNT

 

CREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/DELIVERY RISK

POSITION, FX AND COMMODITIES RISKS

OPERATIONAL RISK

OTHER RISK EXPOSURE AMOUNTS

010

020

025

030

040

050

060

070

080

090

100

110

 

 

 

 

 

 

 

 

 

 

 

 


INFORMATION ON ENTITIES SUBJECT TO OWN FUNDS REQUIREMENTS

OWN FUNDS

 

 

TOTAL TIER 1 CAPITAL

 

 

TIER 2 CAPITAL

 

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

120

130

140

150

160

170

180

190

200

210

220

230

240

 

 

 

 

 

 

 

 

 

 

 

 

 


INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP

TOTAL RISK EXPOSURE AMOUNT

 

QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS

 

CONSOLIDATED OWN FUNDS

 

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

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

 

 

 

 

 

 

 

 

 

 

 

 

 


INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP

CAPITAL BUFFERS

 

COMBINED BUFFER REQUIRE-MENTS

 

OF WHICH: ADDITIONAL TIER 1

OF WHICH: CONRIBUTIONS TO CONSOLIDATED RESULT

OF WHICH: (-) GOODWILL/(+) NEGATIVE GOODWILL

CAPITAL CONSERVATION BUFFER

INSTITUTION SPECIFIC COUNTER-CYCLICAL CAPITAL BUFFER

CONSERVATION BUFFER DUE TO MACRO-PRUDENTIAL OR SYSTEMIC RISK IDENTIFIED AT THE LEVEL OF A MEMBER STATE

SYSTEMIC RISK BUFFER

SYSTEMICAL IMPORTANT INSTITUTION BUFFER

GLOBAL SYSTEMICALLY IMPORTANT INSTITUTION BUFFER

OTHER SYSTEMICALLY IMPORTANT INSTITUTION BUFFER

380

390

400

410

420

430

440

450

460

470

480

 

 

 

 

 

 

 

 

 

 

 

C 07.00 — CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: STANDARDISED APPROACH TO CAPITAL REQUIREMENTS (CR SA)

SA Exposure class

 

 

ORIGINAL EXPOSURE PRE CONVERSION FACTORS

(-) VALUE ADJUSTMENTS AND PROVISIONS ASSOCIATED WITH THE ORIGINAL EXPOSURE

EXPOSURE NET OF VALUE ADJUSTMENTS AND PROVISIONS

CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE

UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (Ga)

(-) GUARANTEES

(-) CREDIT DERIVATIVES

010

030

040

050

060

010

TOTAL 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 %

 

 

 

 

 


 

 

CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE

NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS

FUNDED CREDIT PROTECTION

SUBSTITUTION OF THE EXPOSURE DUE TO CRM

(-) FINANCIAL COLLATERAL: SIMPLE METHOD

(-) OTHER FUNDED CREDIT PROTECTION

(-) TOTAL OUTFLOWS

TOTAL INFLOWS (+)

070

080

090

100

110

010

TOTAL 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 %

 

 

 

 

 


 

 

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

VOLATILITY ADJUSTMENT TO THE EXPOSURE

(-) FINANCIAL COLLATERAL: ADJUSTED VALUE (Cvam)

0 %

20 %

50 %

100 %

 

(-) OF WHICH: VOLATILITY AND MATURITY ADJUSTMENTS

120

130

140

150

160

170

180

190

010

TOTAL 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 %

 

 

 

 

 

 

 

 


 

 

EXPOSURE VALUE

 

RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR

RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR

 

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

200

210

215

220

230

240

010

TOTAL EXPOSURES

 

 

 

Cell linked to CA

 

 

020

of which: SME

 

 

 

 

 

 

030

of which: Exposures subject to SME-supporting factor

 

 

 

 

 

 

040

of which: Secured by mortgages on immovable property — Residential property

 

 

 

 

 

 

050

of which: Exposures under the permanent partial use of the standardised approach

 

 

 

 

 

 

060

of which: Exposures under the standardised approach with prior supervisory permission to carry out a sequential IRB implementation

 

 

 

 

 

 

BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:

070

On balance sheet exposures subject to credit risk

 

 

 

 

 

 

080

Off balance sheet exposures subject to credit risk

 

 

 

 

 

 

 

Exposures/Transactions subject to counterparty credit risk

 

 

 

 

 

 

090

Securities Financing Transactions

 

 

 

 

 

 

100

of which: centrally cleared through a QCCP

 

 

 

 

 

 

110

Derivatives & Long Settlement Transactions

 

 

 

 

 

 

120

of which: centrally cleared through a QCCP

 

 

 

 

 

 

130

From Contractual Cross Product Netting

 

 

 

 

 

 

BREAKDOWN OF TOTAL EXPOSURES BY RISK WEIGHTS:

140

0 %

 

 

 

 

 

 

150

2 %

 

 

 

 

 

 

160

4 %

 

 

 

 

 

 

170

10 %

 

 

 

 

 

 

180

20 %

 

 

 

 

 

 

190

35 %

 

 

 

 

 

 

200

50 %

 

 

 

 

 

 

210

70 %

 

 

 

 

 

 

220

75 %

 

 

 

 

 

 

230

100 %

 

 

 

 

 

 

240

150 %

 

 

 

 

 

 

250

250 %

 

 

 

 

 

 

260

370 %

 

 

 

 

 

 

270

1 250 %

 

 

 

 

 

 

280

Other risk weights

 

 

 

 

 

 

MEMORANDUM ITEMS

290

Exposures secured by mortgages on commercial immovable property

 

 

 

 

 

 

300

Exposures in default subject to a risk weight of 100 %

 

 

 

 

 

 

310

Exposures secured by mortgages on residential property

 

 

 

 

 

 

320

Exposures in default subject to a risk weight of 150 %

 

 

 

 

 

 

C 08.01 — CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS (CR IRB 1)

IRB Exposure class:

Own estimates of LGD and/or conversion factors:

 

INTERNAL RATING SYSTEM

ORIGINAL EXPOSURE PRE CONVERSION FACTORS

CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE

EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS

 

UNFUNDED CREDIT PROTECTION

(-) OTHER FUNDED CREDIT PROTECTION

SUBSTITUTION OF THE EXPOSURE DUE TO CRM

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

010

020

030

040

050

060

070

080

090

100

010

TOTAL EXPOSURES

 

 

 

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

 

 

 


 

EXPOSURE VALUE

 

CREDIT RISK MITIGATION TECHNIQUES TAKEN INTO ACCOUNT IN LGD ESTIMATES EXCLUDING DOUBLE DEFAULT TREATMENT

OWN ESTIMATES OF LGD'S ARE USED:

UNFUNDED CREDIT PROTECTION

FUNDED CREDIT PROTECTION

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

REAL ESTATE

OTHER PHYSICAL COLLATERAL

RECEIVABLES

110

120

130

140

150

160

170

180

190

200

210

010

TOTAL EXPOSURES

 

 

 

 

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

 

 

 

 


 

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

EXPECTED LOSS AMOUNT

(-) VALUE ADJUSTMENTS AND PROVISIONS

NUMBER OF OBLIGORS

 

OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

220

230

240

250

255

260

270

280

290

300

010

TOTAL EXPOSURES

 

 

 

 

 

Cell linked to CA

 

 

 

 

015

of which: Exposures subject to SME-supporting factor

 

 

 

 

 

 

 

 

 

 

BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:

020

On balance sheet items subject to credit risk

 

 

 

 

 

 

 

 

 

 

030

Off balance sheet items subject to credit risk

 

 

 

 

 

 

 

 

 

 

 

Exposures/Transactions subject to counterparty credit risk

 

 

 

 

 

 

 

 

 

 

040

Securities Financing Transactions

 

 

 

 

 

 

 

 

 

 

050

Derivatives & Long Settlement Transactions

 

 

 

 

 

 

 

 

 

 

060

From Contractual Cross Product Netting

 

 

 

 

 

 

 

 

 

 

070

EXPOSURES ASSIGNED TO OBLIGOR GRADES OR POOLS: TOTAL

 

 

 

 

 

 

 

 

 

 

080

SPECIALIZED LENDING SLOTTING CRITERIA: TOTAL

 

 

 

 

 

 

 

 

 

 

BREAKDOWN BY RISK WEIGHTS OF TOTAL EXPOSURES UNDER SPECIALIZED LENDING SLOTTING CRITERIA:

090

RISK WEIGHT: 0 %

 

 

 

 

 

 

 

 

 

 

100

50 %

 

 

 

 

 

 

 

 

 

 

110

70 %

 

 

 

 

 

 

 

 

 

 

120

Of which: in category 1

 

 

 

 

 

 

 

 

 

 

130

90 %

 

 

 

 

 

 

 

 

 

 

140

115 %

 

 

 

 

 

 

 

 

 

 

150

250 %

 

 

 

 

 

 

 

 

 

 

160

ALTERNATIVE TREATMENT: SECURED BY REAL ESTATE

 

 

 

 

 

 

 

 

 

 

170

EXPOSURES FROM FREE DELIVERIES APPLYING RISK WEIGHTS UNDER THE ALTERNATIVE TREATMENT OR 100 % AND OTHER EXPOSURES SUBJECT TO RISK WEIGHTS

 

 

 

 

 

 

 

 

 

 

180

DILUTION RISK: TOTAL PURCHASED RECEIVABLES

 

 

 

 

 

 

 

 

 

 

C 09.01 — GEOGRAPHICAL BREAKDOWN OF EXPOSURES BY RESIDENCE OF THE OBLIGOR: SA EXPOSURES (CR GB 1)

Country:

 

ORIGINAL EXPOSURE PRE CONVERSION FACTORS

Exposures in default

Observed new defaults for the period

General credit risk adjustments

Specific credit risk adjustments

Of which: write off

Credit risk adjustments/write-offs for observed new defaults

EXPOSURE VALUE

RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR

RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR

010

020

040

050

055

060

070

075

080

090

010

Central governments or central banks

 

 

 

 

 

 

 

 

 

 

020

Regional governments or local authorities

 

 

 

 

 

 

 

 

 

 

030

Public sector entities

 

 

 

 

 

 

 

 

 

 

040

Multilateral Development Banks

 

 

 

 

 

 

 

 

 

 

050

International Organisations

 

 

 

 

 

 

 

 

 

 

060

Institutions

 

 

 

 

 

 

 

 

 

 

070

Corporates

 

 

 

 

 

 

 

 

 

 

075

of which: SME

 

 

 

 

 

 

 

 

 

 

080

Retail

 

 

 

 

 

 

 

 

 

 

085

of which: SME

 

 

 

 

 

 

 

 

 

 

090

Secured by mortgages on immovable property

 

 

 

 

 

 

 

 

 

 

095

of which: SME

 

 

 

 

 

 

 

 

 

 

100

Exposures in default

 

 

 

 

 

 

 

 

 

 

110

Items associated with particularly high risk

 

 

 

 

 

 

 

 

 

 

120

Covered bonds

 

 

 

 

 

 

 

 

 

 

130

Claims on institutions and corporates with a short-term credit assessment

 

 

 

 

 

 

 

 

 

 

140

Collective investments undertakings (CIU)

 

 

 

 

 

 

 

 

 

 

150

Equity exposures

 

 

 

 

 

 

 

 

 

 

160

Other exposures

 

 

 

 

 

 

 

 

 

 

 

Total exposures

 

 

 

 

 

 

 

 

 

 

C 09.02 — GEOGRAPHICAL BREAKDOWN OF EXPOSURES BY RESIDENCE OF THE OBLIGOR: IRB EXPOSURES (CR GB 2)

Country:

 

ORIGINAL EXPOSURE PRE CONVERSION FACTORS

Of which: defaulted

Observed new defaults for the period

General credit risk adjustments

Specific credit risk adjustments

Of which: write off

Credit risk adjustments/write-offs for observed new defaults

PD ASSIGNED TO THE OBLIGOR GRADE OR POOL

(%)

010

030

040

050

055

060

070

080

010

Central governments or central banks

 

 

 

 

 

 

 

 

020

Institutions

 

 

 

 

 

 

 

 

030

Corporates

 

 

 

 

 

 

 

 

040

Of Which: Specialised Lending

 

 

 

 

 

 

 

 

050

Of Which: SME

 

 

 

 

 

 

 

 

060

Retail

 

 

 

 

 

 

 

 

070

Secured by real estate property

 

 

 

 

 

 

 

 

080

SME

 

 

 

 

 

 

 

 

090

Non-SME

 

 

 

 

 

 

 

 

100

Qualifying Revolving

 

 

 

 

 

 

 

 

110

Other Retail

 

 

 

 

 

 

 

 

120

SME

 

 

 

 

 

 

 

 

130

Non-SME

 

 

 

 

 

 

 

 

140

Equity

 

 

 

 

 

 

 

 

 

Total exposures

 

 

 

 

 

 

 

 


 

EXPOSURE WEIGHTED AVERAGE LGD (%)

Of which: defaulted

EXPOSURE VALUE

RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR

Of which: defaulted

RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR

EXPECTED LOSS AMOUNT

090

100

105

110

120

125

130

010

Central governments or central banks

 

 

 

 

 

 

 

020

Institutions

 

 

 

 

 

 

 

030

Corporates

 

 

 

 

 

 

 

040

Of Which: Specialised Lending

 

 

 

 

 

 

 

050

Of Which: SME

 

 

 

 

 

 

 

060

Retail

 

 

 

 

 

 

 

070

Secured by real estate property

 

 

 

 

 

 

 

080

SME

 

 

 

 

 

 

 

090

Non-SME

 

 

 

 

 

 

 

100

Qualifying Revolving

 

 

 

 

 

 

 

110

Other Retail

 

 

 

 

 

 

 

120

SME

 

 

 

 

 

 

 

130

Non-SME

 

 

 

 

 

 

 

140

Equity

 

 

 

 

 

 

 

 

Total exposures

 

 

 

 

 

 

 

C 09.03 — GEOGRAPHICAL BREAKDOWN OF RELEVANT CREDIT EXPOSURES FOR THE PURPOSE OF CALCULATION OF THE INSTITUTION-SPECIFIC COUNTERCYCLICAL BUFFER (CR GB 3)

Country:

 

Amount

010

010

Own fund requirements

 


C 17.00 — OPERATIONAL RISK: LOSSES AND RECOVERIES BY BUSINESS LINES AND EVENT TYPES IN THE LAST YEAR (OPR Details)

MAPPING OF LOSSES TO BUSINESS LINES

EVENT TYPES

TOTAL EVENT TYPES

MEMORANDUM ITEM: THRESHOLD APPLIED IN DATA COLLECTION

INTERNAL FRAUD

EXTERNAL FRAUD

EMPLOYMENT PRACTICES AND WORKPLACE SAFETY

CLIENTS, PRODUCTS & BUSINESS PRACTICES

DAMAGE TO PHYSICAL ASSETS

BUSINESS DISRUPTION AND SYSTEM FAILURES

EXECUTION, DELIVERY & PROCESS MANAGEMENT

LOWEST

HIGHEST

Rows

 

010

020

030

040

050

060

070

080

090

100

010

CORPORATE FINANCE [CF]

Number of events

 

 

 

 

 

 

 

 

 

 

020

Total loss amount

 

 

 

 

 

 

 

 

 

 

030

Maximum single loss

 

 

 

 

 

 

 

 

 

 

040

Sum of the five largest losses

 

 

 

 

 

 

 

 

 

 

050

Total loss recovery

 

 

 

 

 

 

 

 

 

 

110

TRADING AND SALES [TS]

Number of events

 

 

 

 

 

 

 

 

 

 

120

Total loss amount

 

 

 

 

 

 

 

 

 

 

130

Maximum single loss

 

 

 

 

 

 

 

 

 

 

140

Sum of the five largest losses

 

 

 

 

 

 

 

 

 

 

150

Total loss recovery

 

 

 

 

 

 

 

 

 

 

210

RETAIL BROKERAGE [RBr]

Number of events

 

 

 

 

 

 

 

 

 

 

220

Total loss amount

 

 

 

 

 

 

 

 

 

 

230

Maximum single loss

 

 

 

 

 

 

 

 

 

 

240

Sum of the five largest losses

 

 

 

 

 

 

 

 

 

 

250

Total loss recovery

 

 

 

 

 

 

 

 

 

 

310

COMMERCIAL BANKING [CB]

Number of events

 

 

 

 

 

 

 

 

 

 

320

Total loss amount

 

 

 

 

 

 

 

 

 

 

330

Maximum single loss

 

 

 

 

 

 

 

 

 

 

340

Sum of the five largest losses

 

 

 

 

 

 

 

 

 

 

350

Total loss recovery

 

 

 

 

 

 

 

 

 

 

410

RETAIL BANKING [RB]

Number of events

 

 

 

 

 

 

 

 

 

 

420

Total loss amount

 

 

 

 

 

 

 

 

 

 

430

Maximum single loss

 

 

 

 

 

 

 

 

 

 

440

Sum of the five largest losses

 

 

 

 

 

 

 

 

 

 

450

Total loss recovery

 

 

 

 

 

 

 

 

 

 

510

PAYMENT AND SETTLEMENT [PS]

Number of events

 

 

 

 

 

 

 

 

 

 

520

Total loss amount

 

 

 

 

 

 

 

 

 

 

530

Maximum single loss

 

 

 

 

 

 

 

 

 

 

540

Sum of the five largest losses

 

 

 

 

 

 

 

 

 

 

550

Total loss recovery

 

 

 

 

 

 

 

 

 

 

610

AGENCY SERVICES [AS]

Number of events

 

 

 

 

 

 

 

 

 

 

620

Total loss amount

 

 

 

 

 

 

 

 

 

 

630

Maximum single loss

 

 

 

 

 

 

 

 

 

 

640

Sum of the five largest losses

 

 

 

 

 

 

 

 

 

 

650

Total loss recovery

 

 

 

 

 

 

 

 

 

 

710

ASSET MANAGEMENT [AM]

Number of events

 

 

 

 

 

 

 

 

 

 

720

Total loss amount

 

 

 

 

 

 

 

 

 

 

730

Maximum single loss

 

 

 

 

 

 

 

 

 

 

740

Sum of the five largest losses

 

 

 

 

 

 

 

 

 

 

750

Total loss recovery

 

 

 

 

 

 

 

 

 

 

810

CORPORATE ITEMS [CI]

Number of events

 

 

 

 

 

 

 

 

 

 

820

Total loss amount

 

 

 

 

 

 

 

 

 

 

830

Maximum single loss

 

 

 

 

 

 

 

 

 

 

840

Sum of the five largest losses

 

 

 

 

 

 

 

 

 

 

850

Total loss recovery

 

 

 

 

 

 

 

 

 

 

910

TOTAL BUSINESS LINES

Number of events. Of which:

 

 

 

 

 

 

 

 

 

 

911

≥ 10 000 and < 20 000

 

 

 

 

 

 

 

 

 

 

912

≥ 20 000 and < 100 000

 

 

 

 

 

 

 

 

 

 

913

≥ 100 000 and < 1 000 000

 

 

 

 

 

 

 

 

 

 

914

≥ 1 000 000

 

 

 

 

 

 

 

 

 

 

920

Total loss amount. Of which:

 

 

 

 

 

 

 

 

 

 

921

≥ 10 000 and < 20 000

 

 

 

 

 

 

 

 

 

 

922

≥ 20 000 and < 100 000

 

 

 

 

 

 

 

 

 

 

923

≥ 100 000 and < 1 000 000

 

 

 

 

 

 

 

 

 

 

924

≥ 1 000 000

 

 

 

 

 

 

 

 

 

 

930

Maximum single loss

 

 

 

 

 

 

 

 

 

 

940

Sum of the five largest losses

 

 

 

 

 

 

 

 

 

 

950

Total loss recovery

 

 

 

 

 

 

 

 

 

 


C 21.00 — MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES (MKR SA EQU)

National market:

 

POSITIONS

OWN FUNDS REQUIREMENTS

TOTAL RISK EXPOSURE AMOUNT

ALL POSITIONS

NET POSITIONS

POSITIONS SUBJECT TO CAPITAL CHARGE

LONG

SHORT

LONG

SHORT

010

020

030

040

050

060

070

010

EQUITIES IN TRADING BOOK

 

 

 

 

 

 

Cell linked to CA

020

General risk

 

 

 

 

 

 

 

021

Derivatives

 

 

 

 

 

 

 

022

Other assets and liabilities

 

 

 

 

 

 

 

030

Exchange traded stock-index futures broadly diversified subject to particular approach

 

 

 

 

 

 

 

040

Other equities than exchange traded stock-index futures broadly diversified

 

 

 

 

 

 

 

050

Specific risk

 

 

 

 

 

 

 

080

Particular approach for position risk in CIUs

 

 

 

 

 

 

 

090

Additional requirements for options (non-delta risks)

 

 

 

 

 

 

 

100

Simplified method

 

 

 

 

 

 

 

110

Delta plus approach — additional requirements for gamma risk

 

 

 

 

 

 

 

120

Delta plus approach — additional requirements for vega risk

 

 

 

 

 

 

 

130

Scenario matrix approach

 

 

 

 

 

 

 


C 22.00 — MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK (MKR SA FX)

 

ALL POSITIONS

NET POSITIONS

POSITIONS SUBJECT TO CAPITAL CHARGE

(Including redistribution of unmatched positions in currencies subject to special treatment for matched positions)

OWN FUNDS REQUIREMENTS

TOTAL RISK EXPOSURE AMOUNT

LONG

SHORT

LONG

SHORT

LONG

SHORT

MATCHED

020

030

040

050

060

070

080

090

100

010

TOTAL POSITIONS IN NON-REPORTING CURRENCIES

 

 

 

 

 

 

 

 

Cell linked to CA

020

Currencies closely correlated

 

 

 

 

 

 

 

 

 

030

All other currencies (including CIUs treated as different currencies)

 

 

 

 

 

 

 

 

 

040

Gold

 

 

 

 

 

 

 

 

 

050

Additional requirements for options (non-delta risks)

 

 

 

 

 

 

 

 

 

060

Simplified method

 

 

 

 

 

 

 

 

 

070

Delta plus approach — additional requirements for gamma risk

 

 

 

 

 

 

 

 

 

080

Delta plus approach — additional requirements for vega risk

 

 

 

 

 

 

 

 

 

090

Scenario matrix approach

 

 

 

 

 

 

 

 

 

BREAKDOWN OF TOTAL POSITIONS (REPORTING CURRENCY INCLUDED) BY EXPOSURE TYPES

100

Other assets and liabilities other than off-balance sheet items and derivatives

 

 

 

 

 

 

 

 

 

110

Off-balance sheet items

 

 

 

 

 

 

 

 

 

120

Derivatives

 

 

 

 

 

 

 

 

 

Memorandum items: CURRENCY POSITIONS

130

Euro

 

 

 

 

 

 

 

 

 

140

Lek

 

 

 

 

 

 

 

 

 

150

Argentine Peso

 

 

 

 

 

 

 

 

 

160

Australian Dollar

 

 

 

 

 

 

 

 

 

170

Brazilian Real

 

 

 

 

 

 

 

 

 

180

Bulgarian Lev

 

 

 

 

 

 

 

 

 

190

Canadian Dollar

 

 

 

 

 

 

 

 

 

200

Czech Koruna

 

 

 

 

 

 

 

 

 

210

Danish Krone

 

 

 

 

 

 

 

 

 

220

Egyptian Pound

 

 

 

 

 

 

 

 

 

230

Pound Sterling

 

 

 

 

 

 

 

 

 

240

Forint

 

 

 

 

 

 

 

 

 

250

Yen

 

 

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

 

 


ANNEX II

‘ANNEX II

REPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS

Table of Contents

PART I: GENERAL INSTRUCTIONS 54

1.

STRUCTURE AND CONVENTIONS 54

1.1.

STRUCTURE 54

1.2.

NUMBERING CONVENTION 54

1.3.

SIGN CONVENTION 54
PART II: TEMPLATE RELATED INSTRUCTIONS 54

1.

SOLVENCY OVERVIEW (CA) 54

1.1.

GENERAL REMARKS 54

1.2.

C 01.00 — OWN FUNDS (CA1) 55

1.2.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 55

1.3.

C 02.00 — OWN FUNDS REQUIREMENTS (CA2) 68

1.3.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 68

1.4.

C 03.00 — CAPITAL RATIOS AND CAPITAL LEVELS (CA3) 74

1.4.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 74

1.5.

C 04.00 — MEMORANDUM ITEMS (CA4) 75

1.5.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 75

1.6.

TRANSITIONAL PROVISIONS AND GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUING STATE AID (CA 5) 88

1.6.1.

GENERAL REMARKS 88

1.6.2.

C 05.01 — TRANSITIONAL PROVISIONS (CA5.1) 89

1.6.2.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 89

1.6.3.

C 05.02 — GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUING STATE AID (CA5.2) 96

1.6.3.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 96

2.

C 06.00 — GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS) 98

2.1.

GENERAL REMARKS 98

2.2.

DETAILED GROUP SOLVENCY INFORMATION; 99

2.3.

INFORMATION ON THE CONTRIBUTIONS OF INDIVIDUAL ENTITIES TO GROUP SOLVENCY 99

2.4.

C 06.01 — GROUP SOLVENCY: INFORMATION ON AFFILIATES — Total (GS Total) 99

2.5.

C 06.02 — GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS) 100

3.

CREDIT RISK TEMPLATES 106

3.1.

GENERAL REMARKS 106

3.1.1.

REPORTING OF CRM TECHNIQUES WITH SUBSTITUTION EFFECT 107