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Document 32022R1994

Commission Implementing Regulation (EU) 2022/1994 of 21 November 2022 amending the implementing technical standards laid down in Implementing Regulation (EU) 2021/451 as regards own funds, asset encumbrance, liquidity and reporting for the purposes of identifying global systemically important institutions (Text with EEA relevance)

C/2022/8252

OJ L 329, 22/12/2022, p. 1–694 (BG, ES, CS, DA, DE, ET, EL, EN, FR, GA, HR, IT, LV, LT, HU, MT, NL, PL, PT, RO, SK, SL, FI, SV)

Legal status of the document In force

ELI: http://data.europa.eu/eli/reg_impl/2022/1994/oj

22.12.2022   

EN

Official Journal of the European Union

L 329/1


COMMISSION IMPLEMENTING REGULATION (EU) 2022/1994

of 21 November 2022

amending the implementing technical standards laid down in Implementing Regulation (EU) 2021/451 as regards own funds, asset encumbrance, liquidity and reporting for the purposes of identifying global systemically important institutions

(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 the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and amending Regulation (EU) No 648/2012 (1) and in particular to Article 415(3), first subparagraph, Article 415(3a), first subparagraph, Article 430(7), first subparagraph and Article 430(9), second subparagraph thereof,

Whereas:

(1)

Commission Implementing Regulation (EU) 2021/451 (2) lays down technical standards with regard to supervisory reporting and specifies the modalities according to which institutions are required to report information relevant to their compliance with Regulation (EU) No 575/2013. That Implementing Regulation should be amended to reflect the elements introduced in Regulation (EU) No 575/2013 by Regulation (EU) 2019/876 of the European Parliament and of the Council (3).

(2)

Regulation (EU) 2019/876 amended Regulation (EU) No 575/2013 to increase, inter alia, the degree of proportionality of the reporting requirements on liquidity. Therefore, it is necessary to specify the revised the scope of the reporting requirements on additional liquidity monitoring metrics that are applicable to small and non-complex institutions in the Union in accordance with Implementing Regulation (EU) 2021/451. In line with the recommendations from the final report of the European Banking Authority (EBA) on the cost of compliance with reporting requirements referred to in Article 430(8) of Regulation (EU) No 575/2013, institutions that are not small and non-complex, but are neither large institutions, should, to some extent, also benefit from an increased degree of proportionality in additional liquidity monitoring metrics.

(3)

Regulation (EU) 2021/558 of the European Parliament and of the Council (4) together with Regulation (EU) 2021/557 of the European Parliament and of the Council (5) amended Regulation (EU) No 575/2013 and Regulation (EU) 2017/2402 (6), respectively, to introduce targeted adjustments to the securitisations framework. Those targeted adjustments should be reflected in the reporting requirements of Implementing Regulation (EU) 2021/451.

(4)

Regulation (EU) 2019/876 amended Regulation (EU) No 575/2013 with respect to the treatment of prudently valued software assets. In this respect, Commission Delegated Regulation (EU) 2020/2176 (7) amended Delegated Regulation (EU) No 241/2014 (8) to clarify the exemption of software assets from the deduction from Common Equity Tier 1 items. Implementing Regulation (EU) 2021/451 should be amended to provide competent authorities with information on institutions’ implementation of the requirements of that Delegated Regulation.

(5)

The final report of the EBA on the cost of compliance recommended to exempt small and non-complex institutions from the reporting of certain asset encumbrance templates and to adjust the definition of the level of asset encumbrance. The Commission agrees with the recommendations on reducing the cost of compliance included in that report. It is therefore necessary to amend the corresponding provisions on reporting on asset encumbrance on an individual and a consolidated basis of Regulation (EU) 2021/451.

(6)

Implementing Regulation (EU) 2021/451 lays down the requirements for reporting of core information for the purposes of identifying global systemically important institutions (G-SIIs) and assigning G-SII buffer rates in accordance with a Union-specific methodology laid down in Commission Delegated Regulation (EU) No 1222/2014 (9). The indicators through which systemic importance is measured are equally applicable to banking groups and standalone institutions. Therefore, the reporting obligations should be extended to standalone institutions that meet the criteria for being included in the G-SII assessment exercise.

(7)

In order to improve the ability of competent authorities to effectively monitor and assess the institutions’ risk profile, the institutions’ compliance with prudential requirements, and to identify the risks that institutions may pose to the financial sector, a number of Annexes to Implementing Regulation (EU) 2021/451 should be amended.

(8)

In order to give clarity and sufficient time to prepare for the implementation of the reporting requirements introduced by this Regulation, institutions should start reporting in accordance with this Regulation not earlier than six months from its date of entry into force, in accordance with Article 430(7) of Regulation (EU) No 575/2013.

(9)

The provisions in this Regulation are closely linked, since Article 415(3), first subparagraph and Article 415(3a), first subparagraph, concern institutions’ reporting obligations that are substantially aligned to other institutions’ reporting obligations in accordance with Article 430 of Regulation (EU) No 575/2013. To ensure coherence between those provisions, the relevant implementing technical standards should be included in a single Regulation.

(10)

Implementing Regulation (EU) 2021/451 should therefore be amended accordingly.

(11)

This Regulation is based on the draft implementing technical standards submitted to the Commission by EBA.

(12)

EBA has conducted open public consultations on the draft implementing technical standards on which this Regulation is based, analysed the potential related costs and benefits and requested the advice of the Banking Stakeholder Group established in accordance with Article 37 of Regulation (EU) No 1093/2010 of the European Parliament and of the Council (10),

HAS ADOPTED THIS REGULATION:

Article 1

Implementing Regulation (EU) 2021/451 is amended as follows:

(1)

Article 18 is replaced by the following:

‘Article 18

Reporting on additional liquidity monitoring metrics on an individual and a consolidated basis

When reporting information on additional liquidity monitoring metrics in accordance with Article 430(1), point (d), of Regulation (EU) No 575/2013 on an individual and a consolidated basis, institutions shall submit information as follows:

(a)

large institutions within the meaning of Article 4(1), point (146), of Regulation (EU) No 575/2013 shall submit with a monthly frequency the information set out in template 66.1 of Annex XXII to this Regulation in accordance with the instructions set out in Annex XXIII to this Regulation, templates 67, 68, 69 and 70 of Annex XVIII to this Regulation in accordance with the instructions set out in Annex XIX to this Regulation and template 71 of Annex XX to this Regulation in accordance with the instructions in Annex XXI to this Regulation;

(b)

small and non-complex institution within the meaning of Article 4(1), point (145), of Regulation (EU) No 575/2013 shall submit with a quarterly frequency the information set out in template 66.1 in Annex XXII to this Regulation in accordance with the instructions set out in Annex XXIII to this Regulation, template 67 of Annex XVIII to this Regulation in accordance with the instructions set out in Annex XIX to this Regulation and template 71 of Annex XX to this Regulation in accordance with the instructions set out in Annex XXI to this Regulation;

(c)

institutions that do not fall withing the scope of points (a) and (b) shall submit with a monthly frequency the information set out in template 66.1 of Annex XXII in accordance with the instructions set out in Annex XXIII, templates 67, 68 and 69 of Annex XVIII in accordance with the instructions set out in Annex XIX and template 71 of Annex XX in accordance with the instructions set out in Annex XXI.’;

(2)

Article 19 is amended as follows:

(a)

paragraphs 2 and 3 are replaced by the following:

‘2.   The information referred to in paragraph 1 shall be submitted with the following frequency:

(a)

the information specified in Annex XVI, Parts A, B and D, with a quarterly frequency;

(b)

the information specified in Annex XVI, Part C, with an annual frequency;

(c)

the information specified in Annex XVI, Part E, with a semi-annual frequency.

3.   The information referred to in paragraph 1 shall be submitted as follows:

(a)

institutions shall submit the information specified in Annex XVI, Part A;

(b)

large institutions shall submit the information specified in Annex XVI, Parts B, C and E;

(c)

institutions that are neither large institutions nor small and non-complex institutions shall submit the information specified in Annex XVI, Parts B, C and E, where the asset encumbrance level of the institution, as calculated in accordance with Annex XVII, point 1.6, sub-point 9, is equal to or above 15 %;

(d)

institutions shall report the information specified in Annex XVI, Part D, only where they issue bonds referred to in Article 52(4), first subparagraph, of Directive 2009/65/EC of the European Parliament and of the Council (*1).

(*1)  Directive 2009/65/EC of the European Parliament and of the Council of 13 July 2009 on the coordination of laws, regulations and administrative provisions relating to undertakings for collective investment in transferable securities (UCITS) (OJ L 302, 17.11.2009, p. 32).’;"

The entry and exit criteria of Article 4(3) shall apply.

(b)

paragraph 4 is deleted;

(3)

Article 20 is replaced by the following:

‘Article 20

Supplementary reporting for the purposes of identifying G-SIIs and assigning G-SII buffer rates

1.   When reporting supplementary information for the purposes of identifying G-SIIs and assigning G-SII buffer rates under Article 131 of Directive 2013/36/EU, EU parent institutions, EU parent financial holdings and EU parent mixed financial holdings shall submit the information as specified in Annex XXVI to this Regulation, in accordance with the instructions set out in Annex XXVII to this Regulation, on a consolidated basis with a quarterly frequency, where both of the following conditions are met:

(a)

the total exposure measure of the group, including insurance subsidiaries, is equal to or exceeds EUR 125 000 000 000;

(b)

the EU parent or any of its subsidiaries or any branch operated by the parent or by a subsidiary is located in a participating Member State as referred to in Article 4 of Regulation (EU) No 806/2014 of the European Parliament and of the Council (*2).

2.   In order to report supplementary information for the purposes of identifying G-SIIs and assigning G-SII buffer rates under Article 131 of Directive 2013/36/EU, institutions shall submit the information as specified in Annex XXVI to this Regulation, in accordance with the instructions set out in Annex XXVII to this Regulation, on an individual basis with a quarterly frequency, where all of the following conditions are met:

(a)

the total exposure measure of the institution is equal to or exceeds EUR 125 000 000 000;

(b)

the institution is located in a participating Member State as referred to in Article 4 of Regulation (EU) No 806/2014;

(c)

the institution is not part of a group that is subject to consolidated supervision in accordance with Chapter 1, Title II, Part One of Regulation (EU) No 575/2013 (“standalone institution”).

3.   By way of derogation from Article 3(1), point (b), the information referred to in paragraphs 1 and 2 of this Article shall be submitted by close of business on the following remittance dates: 1 July, 1 October, 2 January and 1 April.

4.   By way of derogation from Article 4, the following shall apply with regard to the thresholds specified in paragraph 1, point (a), and paragraph 2, point (a), of this Article:

(a)

the EU parent institution, EU parent financial holding, EU parent mixed financial holding or standalone institution, as applicable, shall immediately start reporting the information in accordance with this Article where its leverage ratio exposure measure exceeds the specified threshold as of the end of the accounting year, and shall report this information at least for the end of that accounting year and the subsequent three quarterly reference dates;

(b)

the EU parent institution, EU parent financial holding, EU parent mixed financial holding or standalone institution, as applicable, shall immediately stop reporting the information in accordance with this Article where its leverage ratio exposure measure falls below the specified threshold as of the end of their accounting year.

(*2)  Regulation (EU) No 806/2014 of the European Parliament and of the Council of 15 July 2014 establishing uniform rules and a uniform procedure for the resolution of credit institutions and certain investment firms in the framework of a Single Resolution Mechanism and a Single Resolution Fund and amending Regulation (EU) No 1093/2010 (OJ L 225, 30.7.2014, p. 1).’;"

(4)

Annex I is replaced by the text set out in Annex I to this Regulation;

(5)

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

(6)

Annex XVI is replaced by the text set out in Annex III to this Regulation;

(7)

Annex XVII is replaced by the text set out in Annex IV to this Regulation;

(8)

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

(9)

Annex XIX is replaced by the text set out in Annex VI to this Regulation;

(10)

Annex XX is replaced by the text set out in Annex VII to this Regulation;

(11)

Annex XXI is replaced by the text set out in Annex VIII to this Regulation;

(12)

Annex XXII is replaced by the text set out in Annex IX to this Regulation;

(13)

Annex XXIII is replaced by the text set out in Annex X to this Regulation;

(14)

Annex XXVI is replaced by the text set out in Annex XI to this Regulation;

(15)

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

Article 2

Entry into force and application

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 11 July 2023.

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

Done at Brussels, 21 November 2022.

For the Commission

The President

Ursula VON DER LEYEN


(1)   OJ L 176, 27.6.2013, p. 1.

(2)  Commission Implementing Regulation (EU) 2021/451 of 17 December 2020 laying down implementing technical standards for the application of Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to supervisory reporting of institutions and repealing Implementing Regulation (EU) No 680/2014 (OJ L 97, 19.3.2021, p. 1).

(3)  Regulation (EU) 2019/876 of the European Parliament and of the Council of 20 May 2019 amending Regulation (EU) No 575/2013 as regards the leverage ratio, the net stable funding ratio, requirements for own funds and eligible liabilities, counterparty credit risk, market risk, exposures to central counterparties, exposures to collective investment undertakings, large exposures, reporting and disclosure requirements, and Regulation (EU) No 648/2012 (OJ L 150, 7.6.2019, p. 1).

(4)  Regulation (EU) 2021/558 of the European Parliament and of the Council of 31 March 2021 amending Regulation (EU) No 575/2013 as regards adjustments to the securitisation framework to support the economic recovery in response to the COVID-19 crisis (OJ L 116, 6.4.2021, p. 25).

(5)  Regulation (EU) 2021/557 of the European Parliament and of the Council of 31 March 2021 amending Regulation (EU) 2017/2402 laying down a general framework for securitisation and creating a specific framework for simple, transparent and standardised securitisation to help the recovery from the COVID-19 crisis (OJ L 116, 6.4.2021, p. 1).

(6)  Regulation (EU) 2017/2402 of the European Parliament and of the Council of 12 December 2017 laying down a general framework for securitisation and creating a specific framework for simple, transparent and standardised securitisation, and amending Directives 2009/65/EC, 2009/138/EC and 2011/61/EU and Regulations (EC) No 1060/2009 and (EU) No 648/2012 (OJ L 347, 28.12.2017, p. 35).

(7)  Commission Delegated Regulation (EU) 2020/2176 of 12 November 2020 amending Delegated Regulation (EU) No 241/2014 as regards the deduction of software assets from Common Equity Tier 1 items (OJ L 433, 22.12.2020, p. 27).

(8)  Commission Delegated Regulation (EU) No 241/2014 of 7 January 2014 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards for Own Funds requirements for institutions (OJ L 74, 14.3.2014, p. 8).

(9)  Commission Delegated Regulation (EU) No 1222/2014 of 8 October 2014 supplementing Directive 2013/36/EU of the European Parliament and of the Council with regard to regulatory technical standards for the specification of the methodology for the identification of global systemically important institutions and for the definition of subcategories of global systemically important institutions (OJ L 330, 15.11.2014, p. 27).

(10)  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

‘ANNEX I

REPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS

COREP TEMPLATES

Template number

Template code

Name of the template /group of templates

Short name

 

 

CAPITAL ADEQUACY

CA

1

C 01.00

OWN FUNDS

CA1

2

C 02.00

OWN FUNDS REQUIREMENTS

CA2

3

C 03.00

CAPITAL RATIOS

CA3

4

C 04.00

MEMORANDUM ITEMS

CA4

 

 

TRANSITIONAL PROVISIONS

CA5

5.1

C 05.01

TRANSITIONAL PROVISIONS

CA5.1

5.2

C 05.02

GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUING STATE AID

CA5.2

 

 

GROUP SOLVENCY

GS

6.1

C 06.01

GROUP SOLVENCY: INFORMATION ON AFFILIATES - TOTAL

GS Total

6.2

C 06.02

GROUP SOLVENCY: INFORMATION ON AFFILIATES

GS

 

 

CREDIT RISK

CR

7

C 07.00

CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: STANDARDISED APPROACH TO CAPITAL REQUIREMENTS

CR SA

 

 

CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS

CR IRB

8.1

C 08.01

CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS

CR IRB 1

8.2

C 08.02

CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS (Breakdown by obligor grades or pools)

CR IRB 2

8.3

C 08.03

CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BREAKDOWN BY PD RANGES

CR IRB 3

8.4

C 08.04

CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: RWEA FLOW STATEMENTS

CR IRB 4

8.5

C 08.05

CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BACK-TESTING OF PD

CR IRB 5

8.5.1

C 08.05.1

CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BACK-TESTING OF PD IN ACCORDANCE WITH ARTICLE 180(1), POINT (f) OF REGULATION (EU) No 575/2013 (CR IRB 5B)

CR IRB 5B

8.6

C 08.06

CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: SPECIALISED LENDING SLOTTING APPROACH

CR IRB 6

8.7

C 08.07

CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: SCOPE OF USE OF IRB AND SA APPROACHES

CR IRB 7

 

 

GEOGRAPHICAL BREAKDOWN

CR GB

9.1

C 09.01

Table 9.1 - Geographical breakdown of exposures by residence of the obligor (SA exposures)

CR GB 1

9.2

C 09.02

Table 9.2 - Geographical breakdown of exposures by residence of the obligor (IRB exposures)

CR GB 2

9.4

C 09.04

Table 9.4 - Breakdown of credit exposures relevant for the calculation of the countercyclical buffer by country and institution-specific countercyclical buffer rate

CCB

 

 

CREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS

CR EQU IRB

10.1

C 10.01

CREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS

CR EQU IRB 1

10.2

C 10.02

CREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS. BREAKDOWN OF TOTAL EXPOSURES UNDER THE PD/LGD APRROACH BY OBLIGOR GRADES:

CR EQU IRB 2

11

C 11.00

SETTLEMENT/DELIVERY RISK

CR SETT

13.1

C 13.01

CREDIT RISK: SECURITISATIONS

CR SEC

14

C 14.00

DETAILED INFORMATION ON SECURITISATIONS

CR SEC Details

14.1

C 14.01

DETAILED INFORMATION ON SECURITISATIONS BY APPROACH

CR SEC Details 2

 

 

COUNTERPARTY CREDIT RISK

CCR

34.01

C 34.01

COUNTERPARTY CREDIT RISK: SIZE OF THE DERIVATIVE BUSINESS

CCR 1

34.02

C 34.02

COUNTERPARTY CREDIT RISK: CCR EXPOSURES BY APPROACH

CCR 2

34.03

C 34.03

COUNTERPARTY CREDIT RISK: CCR EXPOSURES TREATED WITH STANDARDISED APPROACHES: SA-CCR or SIMPLIFIED SA-CCR

CCR 3

34.04

C 34.04

COUNTERPARTY CREDIT RISK: CCR EXPOSURES TREATED WITH THE THE ORIGINAL EXPOSURE METHOD (OEM)

CCR 4

34.05

C 34.05

COUNTERPARTY CREDIT RISK: CCR EXPOSURES TREATED WITH THE INTERNAL MODEL METHOD (IMM)

CCR 5

34.06

C 34.06

COUNTERPARTY CREDIT RISK: TOP TWENTY COUNTERPARTIES

CCR 6

34.07

C 34.07

COUNTERPARTY CREDIT RISK: IRB APPROACH – CCR EXPOSURES BY EXPOSURE CLASS AND PD SCALE

CCR 7

34.08

C 34.08

COUNTERPARTY CREDIT RISK: COMPOSITION OF COLLATERAL FOR CCR EXPOSURES

CCR 8

34.09

C 34.09

COUNTERPARTY CREDIT RISK: CREDIT DERIVATIVES EXPOSURES

CCR 9

34.10

C 34.10

COUNTERPARTY CREDIT RISK: EXPOSURES TO CCPs

CCR 10

34.11

C 34.11

COUNTERPARTY CREDIT RISK: RWEA FLOW STATEMENTS OF CCR EXPOSURES UNDER THE IMM

CCR 11

 

 

OPERATIONAL RISK

OPR

16

C 16.00

OPERATIONAL RISK

OPR

 

 

OPERATIONAL RISK: LOSSES AND RECOVERIES

 

17.1

C 17.01

OPERATIONAL RISK: LOSSES AND RECOVERIES BY BUSINESS LINES AND EVENT TYPES IN THE LAST YEAR

OPR DETAILS 1

17.2

C 17.02

OPERATIONAL RISK: LARGE LOSS EVENTS

OPR DETAILS 2

 

 

MARKET RISK

MKR

18

C 18.00

MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS

MKR SA TDI

19

C 19.00

MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS

MKR SA SEC

20

C 20.00

MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN THE CORRELATION TRADING PORTFOLIO

MKR SA CTP

21

C 21.00

MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES

MKR SA EQU

22

C 22.00

MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK

MKR SA FX

23

C 23.00

MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES

MKR SA COM

24

C 24.00

MARKET RISK INTERNAL MODELS

MKR IM

25

C 25.00

CREDIT VALUE ADJUSTMENT RISK

CVA

 

 

PRUDENT VALUATION

MKR

32.1

C 32.01

PRUDENT VALUATION: FAIR-VALUED ASSETS AND LIABILITIES

PRUVAL 1

32.2

C 32.02

PRUDENT VALUATION: CORE APPROACH

PRUVAL 2

32.3

C 32.03

PRUDENT VALUATION: MODEL RISK AVA

PRUVAL 3

32.4

C 32.04

PRUDENT VALUATION: CONCENTRATED POSITIONS AVA

PRUVAL 4

 

 

GENERAL GOVERNMENTS EXPOSURES

MKR

33

C 33.00

GENERAL GOVERNMENTS EXPOSURES BY COUNTRY OF THE COUNTERPARTY

GOV

 

 

NPE LOSS COVERAGE

NPE LC

35.1

C 35.01

NPE LOSS COVERAGE: THE CALCULATION OF DEDUCTIONS FOR NON-PERFORMING EXPOSURES

NPE LC1

35.2

C 35.02

NPE LOSS COVERAGE: MINIMUM COVERAGE REQUIREMENTS AND EXPOSURE VALUES OF NON-PERFORMING EXPOSURES EXCLUDING FORBORNE EXPOSURES THAT FALL UNDER ARTICLE 47C (6) OF THE CRR

NPE LC2

35.3

C 35.03

NPE LOSS COVERAGE: MINIMUM COVERAGE REQUIREMENTS AND EXPOSURE VALUES OF NON-PERFORMING FORBORNE EXPOSURES THAT FALL UNDER ARTICLE 47C (6) OF THE CRR

NPE LC3


C 01.00 - OWN FUNDS (CA1)

Rows

ID

Item

Amount

0010

1

OWN FUNDS

 

0015

1.1

TIER 1 CAPITAL

 

0020

1.1.1

COMMON EQUITY TIER 1 CAPITAL

 

0030

1.1.1.1

Capital instruments eligible as CET1 Capital

 

0040

1.1.1.1.1

Fully paid up capital instruments

 

0045

1.1.1.1.1*

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

 

0050

1.1.1.1.2*

Memorandum item: Capital instruments not eligible

 

0060

1.1.1.1.3

Share premium

 

0070

1.1.1.1.4

(-) Own CET1 instruments

 

0080

1.1.1.1.4.1

(-) Direct holdings of CET1 instruments

 

0090

1.1.1.1.4.2

(-) Indirect holdings of CET1 instruments

 

0091

1.1.1.1.4.3

(-) Synthetic holdings of CET1 instruments

 

0092

1.1.1.1.5

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

 

0130

1.1.1.2

Retained earnings

 

0140

1.1.1.2.1

Previous years retained earnings

 

0150

1.1.1.2.2

Profit or loss eligible

 

0160

1.1.1.2.2.1

Profit or loss attributable to owners of the parent

 

0170

1.1.1.2.2.2

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

 

0180

1.1.1.3

Accumulated other comprehensive income

 

0200

1.1.1.4

Other reserves

 

0210

1.1.1.5

Funds for general banking risk

 

0220

1.1.1.6

Transitional adjustments due to grandfathered CET1 Capital instruments

 

0230

1.1.1.7

Minority interest given recognition in CET1 capital

 

0240

1.1.1.8

Transitional adjustments due to additional minority interests

 

0250

1.1.1.9

Adjustments to CET1 due to prudential filters

 

0260

1.1.1.9.1

(-) Increases in equity resulting from securitised assets

 

0270

1.1.1.9.2

Cash flow hedge reserve

 

0280

1.1.1.9.3

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

 

0285

1.1.1.9.4

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

 

0290

1.1.1.9.5

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

 

0300

1.1.1.10

(-) Goodwill

 

0310

1.1.1.10.1

(-) Goodwill accounted for as intangible asset

 

0320

1.1.1.10.2

(-) Goodwill included in the valuation of significant investments

 

0330

1.1.1.10.3

Deferred tax liabilities associated to goodwill

 

0335

1.1.1.10.4

Accounting revaluation of subsidiaries' goodwill derived from the consolidation of subsidiaries attributable to third persons

 

0340

1.1.1.11

(-) Other intangible assets

 

0350

1.1.1.11.1

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

 

0352

1.1.1.11.1.1

(-) Of which: software assets accounted for as intangible assets before deduction of deferred tax liabilities

 

0360

1.1.1.11.2

Deferred tax liabilities associated to other intangible assets

 

0362

1.1.1.11.2.1

Of which: Deferred tax liabilities associated with software assets accounted for as intangible assets

 

0365

1.1.1.11.3

Accounting revaluation of subsidiaries' other intangible assets derived from the consolidation of subsidiaries attributable to third persons

 

0370

1.1.1.12

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

 

0380

1.1.1.13

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

 

0390

1.1.1.14

(-) Defined benefit pension fund assets

 

0400

1.1.1.14.1

(-) Defined benefit pension fund assets

 

0410

1.1.1.14.2

Deferred tax liabilities associated to defined benefit pension fund assets

 

0420

1.1.1.14.3

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

 

0430

1.1.1.15

(-) Reciprocal cross holdings in CET1 Capital

 

0440

1.1.1.16

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

 

0450

1.1.1.17

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

 

0460

1.1.1.18

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

 

0470

1.1.1.19

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

 

0471

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

 

0472

1.1.1.21

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

 

0480

1.1.1.22

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

 

0490

1.1.1.23

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

 

0500

1.1.1.24

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

 

0510

1.1.1.25

(-) Amount exceeding the 17.65% threshold

 

0511

1.1.1.25.1

(-) Amount exceeding the 17.65% threshold related to CET1 instruments of financial sector entities where the institution has a significant investment

 

0512

1.1.1.25.2

(-) Amount exceeding the 17.65% threshold related to deferred tax assets arising from temporary differences

 

0513

1.1.1.25A

(-) Insufficient coverage for non-performing exposures

 

0514

1.1.1.25B

(-) Minimum value commitment shortfalls

 

0515

1.1.1.25C

(-) Other foreseeable tax charges

 

0520

1.1.1.26

Other transitional adjustments to CET1 Capital

 

0524

1.1.1.27

(-) Additional deductions of CET1 Capital due to Article 3 of Regulation (EU) No 575/2013

 

0529

1.1.1.28

CET1 capital elements or deductions - other

 

0530

1.1.2

ADDITIONAL TIER 1 CAPITAL

 

0540

1.1.2.1

Capital instruments eligible as AT1 Capital

 

0551

1.1.2.1.1

Fully paid up, directly issued capital instruments

 

0560

1.1.2.1.2*

Memorandum item: Capital instruments not eligible

 

0571

1.1.2.1.3

Share premium

 

0580

1.1.2.1.4

(-) Own AT1 instruments

 

0590

1.1.2.1.4.1

(-) Direct holdings of AT1 instruments

 

0620

1.1.2.1.4.2

(-) Indirect holdings of AT1 instruments

 

0621

1.1.2.1.4.3

(-) Synthetic holdings of AT1 instruments

 

0622

1.1.2.1.5

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

 

0660

1.1.2.2

Transitional adjustments due to grandfathered AT1 Capital instruments

 

0670

1.1.2.3

Instruments issued by subsidiaries that are given recognition in AT1 Capital

 

0680

1.1.2.4

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

 

0690

1.1.2.5

(-) Reciprocal cross holdings in AT1 Capital

 

0700

1.1.2.6

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

 

0710

1.1.2.7

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

 

0720

1.1.2.8

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

 

0730

1.1.2.9

Other transitional adjustments to AT1 Capital

 

0740

1.1.2.10

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

 

0744

1.1.2.11

(-) Additional deductions of AT1 Capital due to Article 3 of Regulation (EU) No 575/2013

 

0748

1.1.2.12

AT1 capital elements or deductions - other

 

0750

1.2

TIER 2 CAPITAL

 

0760

1.2.1

Capital instruments eligible as T2 Capital

 

0771

1.2.1.1

Fully paid up, directly issued capital instruments

 

0780

1.2.1.2*

Memorandum item: Capital instruments not eligible

 

0791

1.2.1.3

Share premium

 

0800

1.2.1.4

(-) Own T2 instruments

 

0810

1.2.1.4.1

(-) Direct holdings of T2 instruments

 

0840

1.2.1.4.2

(-) Indirect holdings of T2 instruments

 

0841

1.2.1.4.3

(-) Synthetic holdings of T2 instruments

 

0842

1.2.1.5

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

 

0880

1.2.2

Transitional adjustments due to grandfathered T2 Capital instruments

 

0890

1.2.3

Instruments issued by subsidiaries that are given recognition in T2 Capital

 

0900

1.2.4

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

 

0910

1.2.5

IRB Excess of provisions over expected losses eligible

 

0920

1.2.6

SA General credit risk adjustments

 

0930

1.2.7

(-) Reciprocal cross holdings in T2 Capital

 

0940

1.2.8

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

 

0950

1.2.9

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

 

0955

1.2.9A

(-) Excess of deductions from eligible liabilities over eligible liabilities

 

0960

1.2.10

Other transitional adjustments to T2 Capital

 

0970

1.2.11

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

 

0974

1.2.12

(-) Additional deductions of T2 Capital due to Article 3 of Regulation (EU) No 575/2013

 

0978

1.2.13

T2 capital elements or deductions - other

 


C 02.00 - OWN FUNDS REQUIREMENTS (CA2)

Rows

Item

Label

Amount

0010

1

TOTAL RISK EXPOSURE AMOUNT

 

0020

1*

Of which: Investment firms under Article 95, paragraph 2 and Article 98 of Regulation (EU) No 575/2013

 

0030

1**

Of which : Investment firms under Article 96, paragraph 2 and Article 97 of Regulation (EU) No 575/2013

 

0040

1.1

RISK WEIGHTED EXPOSURE AMOUNTS FOR CREDIT, COUNTERPARTY CREDIT AND DILUTION RISKS AND FREE DELIVERIES

 

0050

1.1.1

Standardised approach (SA)

 

0051

1.1.1*

Of which: Additional stricter prudential requirements based on Article 124 of Regulation (EU) No 575/2013

 

0060

1.1.1.1

SA exposure classes excluding securitisation positions

 

0070

1.1.1.1.01

Central governments or central banks

 

0080

1.1.1.1.02

Regional governments or local authorities

 

0090

1.1.1.1.03

Public sector entities

 

0100

1.1.1.1.04

Multilateral Development Banks

 

0110

1.1.1.1.05

International Organisations

 

0120

1.1.1.1.06

Institutions

 

0130

1.1.1.1.07

Corporates

 

0140

1.1.1.1.08

Retail

 

0150

1.1.1.1.09

Secured by mortgages on immovable property

 

0160

1.1.1.1.10

Exposures in default

 

0170

1.1.1.1.11

Items associated with particular high risk

 

0180

1.1.1.1.12

Covered bonds

 

0190

1.1.1.1.13

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

 

0200

1.1.1.1.14

Collective investments undertakings (CIU)

 

0210

1.1.1.1.15

Equity

 

0211

1.1.1.1.16

Other items

 

0212

1.1.1.1.16.1

Of which: software assets accounted for as intangible assets

 

0240

1.1.2

Internal ratings based Approach (IRB)

 

0241

1.1.2*

Of which: Additional stricter prudential requirements based on Article 164 of Regulation (EU) No 575/2013

 

0242

1.1.2**

Of which: Additional stricter prudential requirements based on Article 124 of Regulation (EU) No 575/2013

 

0250

1.1.2.1

IRB approaches when neither own estimates of LGD nor Conversion Factors are used

 

0260

1.1.2.1.01

Central governments and central banks

 

0270

1.1.2.1.02

Institutions

 

0280

1.1.2.1.03

Corporates - SME

 

0290

1.1.2.1.04

Corporates - Specialised Lending

 

0300

1.1.2.1.05

Corporates - Other

 

0310

1.1.2.2

IRB approaches when own estimates of LGD and/or Conversion Factors are used

 

0320

1.1.2.2.01

Central governments and central banks

 

0330

1.1.2.2.02

Institutions

 

0340

1.1.2.2.03

Corporates - SME

 

0350

1.1.2.2.04

Corporates - Specialised Lending

 

0360

1.1.2.2.05

Corporates - Other

 

0370

1.1.2.2.06

Retail - Secured by real estate SME

 

0380

1.1.2.2.07

Retail - Secured by real estate non-SME

 

0390

1.1.2.2.08

Retail - Qualifying revolving

 

0400

1.1.2.2.09

Retail - Other SME

 

0410

1.1.2.2.10

Retail - Other non-SME

 

0420

1.1.2.3

Equity IRB

 

0450

1.1.2.5

Other non credit-obligation assets

 

0455

1.1.2.5.1

Of which: software assets accounted for as intangible assets

 

0460

1.1.3

Risk exposure amount for contributions to the default fund of a CCP

 

0470

1.1.4

Securitisation positions

 

0490

1.2

TOTAL RISK EXPOSURE AMOUNT FOR SETTLEMENT/DELIVERY

 

0500

1.2.1

Settlement/delivery risk in the non-Trading book

 

0510

1.2.2

Settlement/delivery risk in the Trading book

 

0520

1.3

TOTAL RISK EXPOSURE AMOUNT FOR POSITION, FOREIGN EXCHANGE AND COMMODITIES RISKS

 

0530

1.3.1

Risk exposure amount for position, foreign exchange and commodities risks under standardised approaches (SA)

 

0540

1.3.1.1

Traded debt instruments

 

0550

1.3.1.2

Equity

 

0555

1.3.1.3

Particular approach for position risk in CIUs

 

0556

1.3.1.3*

Memo item: CIUs exclusively invested in traded debt instruments

 

0557

1.3.1.3**

Memo item: CIUs invested exclusively in equity instruments or in mixed instruments

 

0560

1.3.1.4

Foreign Exchange

 

0570

1.3.1.5

Commodities

 

0580

1.3.2

Risk exposure amount for Position, foreign exchange and commodities risks under internal models (IM)

 

0590

1.4

TOTAL RISK EXPOSURE AMOUNT FOR OPERATIONAL RISK (OpR )

 

0600

1.4.1

OpR Basic indicator approach (BIA)

 

0610

1.4.2

OpR Standardised (STA) / Alternative Standardised (ASA) approaches

 

0620

1.4.3

OpR Advanced measurement approaches (AMA)

 

0630

1.5

ADDITIONAL RISK EXPOSURE AMOUNT DUE TO FIXED OVERHEADS

 

0640

1.6

TOTAL RISK EXPOSURE AMOUNT FOR CREDIT VALUATION ADJUSTMENT

 

0650

1.6.1

Advanced method

 

0660

1.6.2

Standardised method

 

0670

1.6.3

Based on OEM

 

0680

1.7

TOTAL RISK EXPOSURE AMOUNT RELATED TO LARGE EXPOSURES IN THE TRADING BOOK

 

0690

1.8

OTHER RISK EXPOSURE AMOUNTS

 

0710

1.8.2

Of which: Additional stricter prudential requirements based on Article 458 of Regulation (EU) No 575/2013

 

0720

1.8.2*

Of which: requirements for large exposures

 

0730

1.8.2**

Of which: due to modified risk weights for targeting asset bubbles in the residential and commercial property

 

0740

1.8.2***

Of which: due to intra financial sector exposures

 

0750

1.8.3

Of which: Additional stricter prudential requirements based on Article 459 of Regulation (EU) No 575/2013

 

0760

1.8.4

Of which: Additional risk exposure amount due to Article 3 of Regulation (EU) No 575/2013

 


C 03.00 - CAPITAL RATIOS AND CAPITAL LEVELS (CA3)

Rows

ID

Item

Amount

0010

1

CET1 Capital ratio

 

0020

2

Surplus(+)/Deficit(-) of CET1 capital

 

0030

3

T1 Capital ratio

 

0040

4

Surplus(+)/Deficit(-) of T1 capital

 

0050

5

Total capital ratio

 

0060

6

Surplus(+)/Deficit(-) of total capital

 

Memorandum Items: Total SREP Capital Requirement (TSCR), Overall Capital Requirement (OCR) and Pillar 2 Guidance (P2G)

0130

13

Total SREP capital requirement (TSCR) ratio

 

0140

13*

TSCR: to be made up of CET1 capital

 

0150

13**

TSCR: to be made up of Tier 1 capital

 

0160

14

Overall capital requirement (OCR) ratio

 

0170

14*

OCR: to be made up of CET1 capital

 

0180

14**

OCR: to be made up of Tier 1 capital

 

0190

15

OCR and Pillar 2 Guidance (P2G)

 

0200

15*

OCR and P2G: to be made up of CET1 capital

 

0210

15**

OCR and P2G: to be made up of Tier 1 capital

 

0220

16

Surplus(+)/Deficit(-) of CET1 capital considering the requirements of Article 92 of Regulation (EU) No 575/2013 and Article 104a of Directive 2013/36/EU

 

Memorandum Items: Capital ratios without application of the transitional provisions on IFRS 9

0300

20

CET1 Capital ratio without application of the transitional provisions on IFRS 9

 

0310

21

T1 Capital ratio without application of the transitional provisions on IFRS 9

 

0320

22

Total capital ratio without application of the transitional provisions on IFRS 9

 


C 04.00 - MEMORANDUM ITEMS (CA4)

Row

ID

Item

Column

Deferred tax assest and liabilities

0010

0010

1

Total deferred tax assets

 

0020

1.1

Deferred tax assets that do not rely on future profitability

 

0030

1.2

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

 

0040

1.3

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

 

0050

2

Total deferred tax liabilities

 

0060

2.1

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

 

0070

2.2

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

 

0080

2.2.1

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

 

0090

2.2.2

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

 

0093

2A

Tax overpayments and tax loss carry backs

 

0096

2B

Deferred Tax Assets subject to a risk weight of 250%

 

0097

2C

Deferred Tax Assets subject to a risk weight of 0%

 

Exception from deductions from CET1

0901

2W

Software assets accounted for as intangible assets exempted from the deduction from CET1

 

Accounting classification of AT1 instruments

0905

2Y

Capital instruments and the related share premium accounts classified as equity under applicable accounting standards

 

0906

2Z

Capital instruments and the related share premium accounts classified as liabilities under applicable accounting standards

 

Credit risk adjustments and expected losses

0100

3

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

 

0110

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

 

0120

3.1.1

General credit risk adjustments

 

0130

3.1.2

Specific credit risk adjustments

 

0131

3.1.3

Additional value adjustments and other own funds reductions

 

0140

3.2

Total expected losses eligible

 

0145

4

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

 

0150

4.1

Specific credit risk adjustments and positions treated similarily

 

0155

4.2

Total expected losses eligible

 

0160

5

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

 

0170

6

Total gross provisions eligible for inclusion in T2 capital

 

0180

7

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

 

Thresholds for Common Equity Tier 1 deductions

0190

8

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

 

0200

9

10% CET1 threshold

 

0210

10

17.65% CET1 threshold

 

0225

11

Eligible capital for the purposes of qualifying holdings outside the financial sector

 

Investments in the capital of financial sector entities where the institution does not have a significant investment

0230

12

Holdings of CET1 capital of financial sector entities where the institution does not have a significant investment, net of short positions

 

0240

12.1

Direct holdings of CET1 capital of financial sector entities where the institution does not have a significant investment

 

0250

12.1.1

Gross direct holdings of CET1 capital of financial sector entities where the institution does not have a significant investment

 

0260

12.1.2

(-) Permitted offsetting short positions in relation to the direct gross holdings included above

 

0270

12.2

Indirect holdings of CET1 capital of financial sector entities where the institution does not have a significant investment

 

0280

12.2.1

Gross indirect holdings of CET1 capital of financial sector entities where the institution does not have a significant investment

 

0290

12.2.2

(-) Permitted offsetting short positions in relation to the indirect gross holdings included above

 

0291

12.3

Synthetic holdings of CET1 capital of financial sector entities where the institution does not have a significant investment

 

0292

12.3.1

Gross synthetic holdings of CET1 capital of financial sector entities where the institution does not have a significant investment

 

0293

12.3.2

(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above

 

0300

13

Holdings of AT1 capital of financial sector entities where the institution does not have a significant investment, net of short positions

 

0310

13.1

Direct holdings of AT1 capital of financial sector entities where the institution does not have a significant investment

 

0320

13.1.1

Gross direct holdings of AT1 capital of financial sector entities where the institution does not have a significant investment

 

0330

13.1.2

(-) Permitted offsetting short positions in relation to the direct gross holdings included above

 

0340

13.2

Indirect holdings of AT1 capital of financial sector entities where the institution does not have a significant investment

 

0350

13.2.1

Gross indirect holdings of AT1 capital of financial sector entities where the institution does not have a significant investment

 

0360

13.2.2

(-) Permitted offsetting short positions in relation to the indirect gross holdings included above

 

0361

13.3

Synthetic holdings of AT1 capital of financial sector entities where the institution does not have a significant investment

 

0362

13.3.1

Gross synthetic holdings of AT1 capital of financial sector entities where the institution does not have a significant investment

 

0363

13.3.2

(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above

 

0370

14

Holdings of T2 capital of financial sector entities where the institution does not have a significant investment, net of short positions

 

0380

14.1

Direct holdings of T2 capital of financial sector entities where the institution does not have a significant investment

 

0390

14.1.1

Gross direct holdings of T2 capital of financial sector entities where the institution does not have a significant investment

 

0400

14.1.2

(-) Permitted offsetting short positions in relation to the direct gross holdings included above

 

0410

14.2

Indirect holdings of T2 capital of financial sector entities where the institution does not have a significant investment

 

0420

14.2.1

Gross indirect holdings of T2 capital of financial sector entities where the institution does not have a significant investment

 

0430

14.2.2

(-) Permitted offsetting short positions in relation to the indirect gross holdings included above

 

0431

14.3

Synthetic holdings of T2 capital of financial sector entities where the institution does not have a significant investment

 

0432

14.3.1

Gross synthetic holdings of T2 capital of financial sector entities where the institution does not have a significant investment

 

0433

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

0440

15

Holdings of CET1 capital of financial sector entities where the institution has a significant investment, net of short positions

 

0450

15.1

Direct holdings of CET1 capital of financial sector entities where the institution has a significant investment

 

0460

15.1.1

Gross direct holdings of CET1 capital of financial sector entities where the institution has a significant investment

 

0470

15.1.2

(-) Permitted offsetting short positions in relation to the direct gross holdings included above

 

0480

15.2

Indirect holdings of CET1 capital of financial sector entities where the institution has a significant investment

 

0490

15.2.1

Gross indirect holdings of CET1 capital of financial sector entities where the institution has a significant investment

 

0500

15.2.2

(-) Permitted offsetting short positions in relation to the indirect gross holdings included above

 

0501

15.3

Synthetic holdings of CET1 capital of financial sector entities where the institution has a significant investment

 

0502

15.3.1

Gross synthetic holdings of CET1 capital of financial sector entities where the institution has a significant investment

 

0503

15.3.2

(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above

 

0504

15A

Investments in CET1 capital of financial sector entities where the institution has a significant investment - subject to a risk weight of 250%

 

0510

16

Holdings of AT1 capital of financial sector entities where the institution has a significant investment, net of short positions

 

0520

16.1

Direct holdings of AT1 capital of financial sector entities where the institution has a significant investment

 

0530

16.1.1

Gross direct holdings of AT1 capital of financial sector entities where the institution has a significant investment

 

0540

16.1.2

(-) Permitted offsetting short positions in relation to the direct gross holdings included above

 

0550

16.2

Indirect holdings of AT1 capital of financial sector entities where the institution has a significant investment

 

0560

16.2.1

Gross indirect holdings of AT1 capital of financial sector entities where the institution has a significant investment

 

0570

16.2.2

(-) Permitted offsetting short positions in relation to the indirect gross holdings included above

 

0571

16.3

Synthetic holdings of AT1 capital of financial sector entities where the institution has a significant investment

 

0572

16.3.1

Gross synthetic holdings of AT1 capital of financial sector entities where the institution has a significant investment

 

0573

16.3.2

(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above

 

0580

17

Holdings of T2 capital of financial sector entities where the institution has a significant investment, net of short positions

 

0590

17.1

Direct holdings of T2 capital of financial sector entities where the institution has a significant investment

 

0600

17.1.1

Gross direct holdings of T2 capital of financial sector entities where the institution has a significant investment

 

0610

17.1.2

(-) Permitted offsetting short positions in relation to the direct gross holdings included above

 

0620

17.2

Indirect holdings of T2 capital of financial sector entities where the institution has a significant investment

 

0630

17.2.1

Gross indirect holdings of T2 capital of financial sector entities where the institution has a significant investment

 

0640

17.2.2

(-) Permitted offsetting short positions in relation to the indirect gross holdings included above

 

0641

17.3

Synthetic holdings of T2 capital of financial sector entities where the institution has a significant investment

 

0642

17.3.1

Gross synthetic holdings of T2 capital of financial sector entities where the institution has a significant investment

 

0643

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:

0650

18

Risk weighted exposures of CET1 holdings in financial sector entities which are not deducted from the institution's CET1 capital

 

0660

19

Risk weighted exposures of AT1 holdings in financial sector entities which are not deducted from the institution's AT1 capital

 

0670

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

0680

21

Holdings on CET1 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived

 

0690

22

Holdings on CET1 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived

 

0700

23

Holdings on AT1 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived

 

0710

24

Holdings on AT1 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived

 

0720

25

Holdings on T2 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived

 

0730

26

Holdings on T2 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived

 

Capital buffers

0740

27

Combined buffer requirement

 

0750

 

Capital conservation buffer

 

0760

 

Conservation buffer due to macro-prudential or systemic risk identified at the level of a Member State

 

0770

 

Institution specific countercyclical capital buffer

 

0780

 

Systemic risk buffer

 

0800

 

Global Systemically Important Institution buffer

 

0810

 

Other Systemically Important Institution buffer

 

Pillar II requirements

0820

28

Own funds requirements related to Pillar II adjustments

 

Additional information for investment firms

0830

29

Initial capital

 

0840

30

Own funds based on Fixed Overheads

 

Additional information for calculation of reporting thresholds

0850

31

Non-domestic original exposures

 

0860

32

Total original exposures

 


C 05.01 - TRANSITIONAL PROVISIONS (CA5.1)

 

Adjustments to CET1

Adjustments to AT1

Adjustments to T2

Adjustments included in RWAs

Memorandum items

Applicable percentage

Eligible amount without transitional provisions

Code

ID

Item

0010

0020

0030

0040

0050

0060

0010

1

TOTAL ADJUSTMENTS

 

 

 

 

 

 

0020

1.1

GRANDFATHERED INSTRUMENTS

link to {CA1;r0220}

link to {CA1;r0660}

link to {CA1;r0880}

 

 

 

0060

1.1.2

Instruments not constituting state aid

 

 

 

 

 

 

0061

1.1.3

Instruments issued through special purpose vehicles

 

 

 

 

 

 

0062

1.1.4

Instruments issued before 27 June 2019 that do not meet the eligibility criteria related to write-down and conversion powers pursuant to Article 59 BRRD or are subject to set-off or netting arrangements

 

 

 

 

 

 

0063

1.1.4.1*

of which: Instruments without legally or contractually mandatory write-down or conversion upon exercise of powers in accordance with Article 59 of Directive 2014/59/EU

 

 

 

 

 

 

0064

1.1.4.2*

of which: Instruments governed by third-country law without effective and enforceable exercise of powers in accordance with Article 59 of Directive 2014/59/EU

 

 

 

 

 

 

0065

1.1.4.3*

of which: Instruments subject to set-off or netting arrangements

 

 

 

 

 

 

0070

1.2

MINORITY INTERESTS AND EQUIVALENTS

link to {CA1;r0240}

link to {CA1;r0680}

link to {CA1;r0900}

 

 

 

0080

1.2.1

Capital instruments and items that do not qualify as minority interests

 

 

 

 

 

 

0090

1.2.2

Transitional recognition in consolidated own funds of minority interests

 

 

 

 

 

 

0091

1.2.3

Transitional recognition in consolidated own funds of qualifying Additional Tier 1 capital

 

 

 

 

 

 

0092

1.2.4

Transitional recognition in consolidated own funds of qualifying Tier 2 capital

 

 

 

 

 

 

0100

1.3

OTHER TRANSITIONAL ADJUSTMENTS

link to {CA1;r0520}

link to {CA1;r0730}

link to {CA1;r0960}

 

 

 

0111

1.3.1.6

Unrealised gains and losses from certain debt exposures to central governments, regional governments, local authorities and PSEs

 

 

 

 

 

 

0112

1.3.1.6.1

of which: amount A

 

 

 

 

 

 

0140

1.3.2

Deductions

 

 

 

 

 

 

0170

1.3.2.3

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

 

 

 

 

 

 

0380

1.3.2.9

Deferred tax assets that are dependent on future profitability and arise from temporary differences and CET1 instruments of financial sector entities where the institution has a significant investment

 

 

 

 

 

 

0385

1.3.2.9a

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

 

 

 

 

 

 

0425

1.3.2.11

Exemption from deduction of Equity Holdings in Insurance Companies from CET 1 Items

 

 

 

 

 

 

0430

1.3.3

Additional filters and deductions

 

 

 

 

 

 

0440

1.3.4

Adjustments due to IFRS 9 transitional arrangements

 

 

 

 

 

 

0441

1.3.4.1

Memorandum item: ECL impact of the static component

 

 

 

 

 

 

0442

1.3.4.2

Memorandum item: ECL impact of the dynamic component for the period 01/01/2018 – 31/12/2019

 

 

 

 

 

 

0443

1.3.4.3

Memorandum item: ECL impact of the dynamic component for the period starting on 01/01/2020

 

 

 

 

 

 


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

 

Amount of instruments plus related share premium

Base for calculating the limit

Applicable percentage

Limit

(-) Amount that exceeds the limits for grandfathering

Total grandfathered amount

Code

ID

Item

0010

0020

0030

0040

0050

0060

0010

1.

Instruments that qualified for Article 57, point (a) of Directive 2006/48/EC

 

 

 

 

 

link to {CA5.1;r060;c010)

0020

2.

Instruments that qualified for Article 57, point (ca) and Article 154(8) and (9) of Directive 2006/48/EC, subject to the limit of Article 489 of Regulation (EU) No 575/2013

 

 

 

 

 

link to {CA5.1;r060;c020)

0030

2.1

Total instruments without a call or an incentive to redeem

 

 

 

 

 

 

0040

2.2.

Grandfathered instruments with a call and incentive to redeem

 

 

 

 

 

 

0050

2.2.1

Instruments with a call exercisable after the reporting date, and which meet the conditions in Article 52 of Regulation (EU) No 575/2013 after the date of effective maturity

 

 

 

 

 

 

0060

2.2.2

Instruments with a call exercisable after the reporting date, and which do not meet the conditions in Article 52 of Regulation (EU) No 575/2013 after the date of effective maturity

 

 

 

 

 

 

0070

2.2.3

Instruments with a call exercisable prior to or on 20 July 2011, and which do not meet the conditions in Article 52 of Regulation (EU) No 575/2013 after the date of effective maturity

 

 

 

 

 

 

0080

2.3

Excess on the limit of CET1 grandfathered instruments

 

 

 

 

 

 

0090

3

Items that qualified for Article 57, points (e), (f), (g) or (h) of Directive 2006/48/EC, subject to the limit of Article 490 of Regulation (EU) No 575/2013

 

 

 

 

 

link to {CA5.1;r060;c030)

0100

3.1

Total items without an incentive to redeem

 

 

 

 

 

 

0110

3.2

Grandfathered items with an incentive to redeem

 

 

 

 

 

 

0120

3.2.1

Items with a call exercisable after the reporting date, and which meet the conditions in Article 63 of Regulation (EU) No 575/2013 after the date of effective maturity

 

 

 

 

 

 

0130

3.2.2

Items with a call exercisable after the reporting date, and which do not meet the conditions in Article 63 of Regulation (EU) No 575/2013 after the date of effective maturity

 

 

 

 

 

 

0140

3.2.3

Items with a call exercisable prior to or on 20 July 2011, and which do not meet the conditions in Article 63 of Regulation (EU) No 575/2013 after the date of effective maturity

 

 

 

 

 

 

0150

3.3

Excess on the limit of AT1 grandfathered instruments

 

 

 

 

 

 


C 06.01 - GROUP SOLVENCY: INFORMATION ON AFFILIATES - TOTAL (GS TOTAL)

 

INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP

CAPITAL BUFFERS

TOTAL RISK EXPOSURE AMOUNT

 

QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS

 

 

CONSOLIDATED OWN FUNDS

 

COMBINED BUFFER REQUIREMENTS

 

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

POSITION, FX AND COMMODITIES RISKS

OPERATIONAL RISK

OTHER RISK EXPOSURE AMOUNTS

QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 1 CAPITAL

 

 

QUALIFYING OWN FUNDS INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 2 CAPITAL

MEMORANDUM ITEM: GOODWILL (–) / (+) NEGATIVE GOODWILL

OF WHICH: COMMON EQUITY TIER 1

OF WHICH: ADDITIONAL TIER 1

OF WHICH: CONRIBUTIONS TO CONSOLIDATED RESULT

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

CAPITAL CONSERVATION BUFFER

INSTITUTION SPECIFIC COUNTER-CYCLICAL CAPITAL BUFFER

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

SYSTEMIC RISK BUFFER

GLOBAL SYSTEMICALLY IMPORTANT INSTITUTION BUFFER

OTHER SYSTEMICALLY IMPORTANT INSTITUTION BUFFER

MINORITY INTERESTS INCLUDED IN CONSOLIDATED COMMON EQUITY TIER 1 CAPITAL

QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED ADDITIONAL TIER 1 CAPITAL

0250

0260

0270

0280

0290

0300

0310

0320

0330

0340

0350

0360

0370

0380

0390

0400

0410

0420

0430

0440

0450

0470

0480

0010

TOTAL

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


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

ENTITIES WITHIN SCOPE OF CONSOLIDATION

INFORMATION ON ENTITIES SUBJECT TO OWN FUNDS REQUIREMENTS

INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP

CAPITAL BUFFERS

NAME

CODE

TYPE OF CODE

NATIONAL CODE

INSTITUTION OR EQUIVALENT (YES / NO)

TYPE OF ENTITY

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

COUNTRY CODE

SHARE OF HOLDING (%)

TOTAL RISK EXPOSURE AMOUNT

 

OWN FUNDS

 

 

TOTAL RISK EXPOSURE AMOUNT

 

QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS

 

CONSOLIDATED OWN FUNDS

 

COMBINED BUFFER REQUIREMENT

 

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

POSITION, FX AND COMMODITIES RISKS

OPERATIONAL RISK

OTHER RISK EXPOSURE AMOUNTS

TOTAL TIER 1 CAPITAL

 

 

TIER 2 CAPITAL

 

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

POSITION, FX AND COMMODITIES RISKS

OPERATIONAL RISK

OTHER RISK EXPOSURE AMOUNTS

QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 1 CAPITAL

 

QUALIFYING OWN FUNDS INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 2 CAPITAL

MEMORANDUM ITEM: GOODWILL (-) / (+) NEGATIVE GOODWILL

OF WHICH: COMMON EQUITY TIER 1

OF WHICH: ADDITIONAL TIER 1

OF WHICH: CONRIBUTIONS TO CONSOLIDATED RESULT

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

CAPITAL CONSERVATION BUFFER

INSTITUTION SPECIFIC COUNTER-CYCLICAL CAPITAL BUFFER

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

SYSTEMIC RISK BUFFER

GLOBAL SYSTEMICALLY IMPORTANT INSTITUTION BUFFER

OTHER SYSTEMICALLY IMPORTANT INSTITUTION BUFFER

COMMON EQUITY TIER 1 CAPITAL

 

ADDITIONAL TIER 1 CAPITAL

 

MINORITY INTERESTS INCLUDED IN CONSOLIDATED COMMON EQUITY TIER 1 CAPITAL

QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED ADDITIONAL TIER 1 CAPITAL

OF WHICH: QUALIFYING OWN FUNDS

RELATED OWN FUNDS INSTRUMENTS, RELATED RETAINED EARNINGS AND SHARE PREMIUM ACCOUNTS

OF WHICH: QUALIFYING TIER 1 CAPITAL

RELATED T1 INSTRUMENTS, RELATED RETAINED EARNINGS AND SHARE PREMIUM ACCOUNTS

OF WHICH: MINORITY INTERESTS

RELATED OWN FUNDS INSTRUMENTS, RELATED RETAINED EARNINGS, SHARE PREMIUM ACCOUNTS AND OTHER RESERVES

OF WHICH: QUALIFYING ADDITIONAL TIER 1 CAPITAL

OF WHICH: QUALIFYING TIER 2 CAPITAL

0011

0021

0026

0027

0030

0035

0040

0050

0060

0070

0080

0090

0100

0110

0120

0130

0140

0150

0160

0170

0180

0190

0200

0210

0220

0230

0240

0250

0260

0270

0280

0290

0300

0310

0320

0330

0340

0350

0360

0370

0380

0390

0400

0410

0420

0430

0440

0450

0470

0480

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


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

SA Exposure class

 

ORIGINAL EXPOSURE PRE CONVERSION FACTORS

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

EXPOSURE NET OF VALUE ADJUSTMENTS AND PROVISIONS

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

NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS

CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE EXPOSURE AMOUNT: FUNDED CREDIT PROTECTION. FINANCIAL COLLATERAL COMPREHENSIVE METHOD

FULLY ADJUSTED EXPOSURE VALUE (E*)

BREAKDOWN OF THE FULLY ADJUSTED EXPOSURE VALUE OF OFF-BALANCE SHEET ITEMS BY CONVERSION FACTORS

EXPOSURE VALUE

 

RISK WEIGHTED EXPOSURE AMOUNT PRE SUPPORTING FACTORS

(-) ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO SME SUPPORTING FACTOR

(-) ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO THE INFRASTRUCTURE SUPPORTING FACTOR

RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS

 

UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (Ga)

FUNDED CREDIT PROTECTION

SUBSTITUTION OF THE EXPOSURE DUE TO CRM

VOLATILITY ADJUSTMENT TO THE EXPOSURE

(-) FINANCIAL COLLATERAL: ADJUSTED VALUE (Cvam)

0 %

20 %

50 %

100 %

OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK

 

OF WHICH: WITH A CREDIT ASSESSMENT BY A NOMINATED ECAI

OF WHICH: WITH A CREDIT ASSESSMENT DERIVED FROM CENTRAL GOVERNMENT

(-) GUARANTEES

(-) CREDIT DERIVATIVES

(-) FINANCIAL COLLATERAL: SIMPLE METHOD

(-) OTHER FUNDED CREDIT PROTECTION

(-) TOTAL OUTFLOWS

TOTAL INFLOWS (+)

 

(-) OF WHICH: VOLATILITY AND MATURITY ADJUSTMENTS

OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK EXCLUDING EXPOSURES CLEARED THROUGH A CCP

0010

0030

0040

0050

0060

0070

0080

0090

0100

0110

0120

0130

0140

0150

0160

0170

0180

0190

0200

0210

0211

0215

0216

0217

0220

0230

0240

0010

TOTAL EXPOSURES

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Cell linked to CA

 

 

0015

of which: Defaulted exposures in exposure classes “items associated with a particular high risk” and “equity exposures”

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0020

of which: SME

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0030

of which: Exposures subject to SME-supporting factor

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0035

of which: Exposures subject to the Infrastructure supporting factor

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0040

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0050

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0060

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:

0070

On balance sheet exposures subject to credit risk

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0080

Off balance sheet exposures subject to credit risk

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Exposures / Transactions subject to counterparty credit risk

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0090

Securities Financing Transactions netting sets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0100

of which: centrally cleared through a QCCP

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0110

Derivatives & Long Settlement Transactions netting sets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0120

of which: centrally cleared through a QCCP

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0130

From Contractual Cross Product netting sets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BREAKDOWN OF TOTAL EXPOSURES BY RISK WEIGHTS:

0140

0 %

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0150

2 %

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0160

4 %

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0170

10 %

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0180

20 %

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0190

35 %

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0200

50 %

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0210

70 %

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0220

75 %

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0230

100 %

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0240

150 %

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0250

250 %

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0260

370 %

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0270

1 250  %

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0280

Other risk weights

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BREAKDOWN OF TOTAL EXPOSURES BY APPROACH (CIU):

0281

Look-through approach

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0282

Mandate-based approach

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0283

Fall-back approach

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

MEMORANDUM ITEMS

0290

Exposures secured by mortgages on commercial immovable property

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0300

Exposures in default subject to a risk weight of 100 %

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0310

Exposures secured by mortgages on residential property

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0320

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 SCALE

ORIGINAL EXPOSURE PRE CONVERSION FACTORS

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

EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS

 

EXPOSURE VALUE

 

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

SUBJECT TO DOUBLE DEFAULT TREATMENT

EXPOSURE WEIGHTED AVERAGE LGD (%)

EXPOSURE WEIGHTED AVERAGE LGD (%) FOR LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

EXPOSURE-WEIGHTED AVERAGE MATURITY VALUE (DAYS)

RISK WEIGHTED EXPOSURE AMOUNT PRE SUPPORTING FACTORS

(-) ADJUSTMENT TO RISK-WEIGHTED EXPOSURE AMOUNT DUE TO SME SUPPORTING FACTOR

(-) ADJUSTMENT TO RISK-WEIGHTED EXPOSURE AMOUNT DUE TO THE INFRASTRUCTURE SUPPORTING FACTOR

RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS

MEMORANDUM ITEMS:

UNFUNDED CREDIT PROTECTION

(-) OTHER FUNDED CREDIT PROTECTION

SUBSTITUTION OF THE EXPOSURE DUE TO CRM

 

OWN ESTIMATES OF LGD'S ARE USED: UNFUNDED CREDIT PROTECTION

FUNDED CREDIT PROTECTION

UNFUNDED CREDIT PROTECTION

EXPECTED LOSS AMOUNT

(-) VALUE ADJUSTMENTS AND PROVISIONS

NUMBER OF OBLIGORS

PRE-CREDIT DERIVATIVES RISK WEIGHTED EXPOSURE AMOUNT

PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%)

 

OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

(-) GUARANTEES

(-) CREDIT DERIVATIVES

(-) TOTAL OUTFLOWS

TOTAL INFLOWS (+)

OF WHICH: OFF BALANCE SHEET ITEMS

OF WHICH: OFF BALANCE SHEET ITEMS

OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK

OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

GUARANTEES

CREDIT DERIVATIVES

OWN ESTIMATES OF LGD'S ARE USED: OTHER FUNDED CREDIT PROTECTION

 

ELIGIBLE FINANCIAL COLLATERAL

OTHER ELIGIBLE COLLATERAL

 

OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

CASH ON DEPOSIT

LIFE INSURANCE POLICIES

INSTRUMENTS HELD BY A THIRD PARTY

REAL ESTATE

OTHER PHYSICAL COLLATERAL

RECEIVABLES

 

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

0110

0120

0130

0140

0150

0160

0170

0171

0172

0173

0180

0190

0200

0210

0220

0230

0240

0250

0255

0256

0257

0260

0270

0280

0290

0300

0310

0010

TOTAL EXPOSURES

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Cell linked to CA

 

 

 

 

 

0015

of which: Exposures subject to SME-supporting factor

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0016

of which: Exposures subject to the Infrastructure supporting factor

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:

 

0020

On balance sheet items subject to credit risk

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 </