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Document 32015R1278
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)
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)
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)
No longer in force, Date of end of validity: 27/06/2021; Implicitly repealed by 32021R0451
|
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 |
|
|
|
|
|
| |||