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Document L:2018:281:FULL

Official Journal of the European Union, L 281, 9 November 2018


Display all documents published in this Official Journal
 

ISSN 1977-0677

Official Journal

of the European Union

L 281

European flag  

English edition

Legislation

Volume 61
9 November 2018


Contents

 

II   Non-legislative acts

page

 

 

REGULATIONS

 

*

Commission Implementing Regulation (EU) 2018/1627 of 9 October 2018 amending Implementing Regulation (EU) No 680/2014 as regards prudent valuation for supervisory reporting  ( 1 )

1

 


 

(1)   Text with EEA relevance

EN

Acts whose titles are printed in light type are those relating to day-to-day management of agricultural matters, and are generally valid for a limited period.

The titles of all other Acts are printed in bold type and preceded by an asterisk.


II Non-legislative acts

REGULATIONS

9.11.2018   

EN

Official Journal of the European Union

L 281/1


COMMISSION IMPLEMENTING REGULATION (EU) 2018/1627

of 9 October 2018

amending Implementing Regulation (EU) No 680/2014 as regards prudent valuation for supervisory reporting

(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 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 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 modalities according to which institutions are required to report information relevant to their compliance with Regulation (EU) No 575/2013. 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 further regulatory technical standards. Implementing Regulation (EU) No 680/2014 needs to be updated to reflect those changes.

(2)

Regulation (EU) No 575/2013 is supplemented by the adoption of Commission Delegated Regulation (EU) 2016/101 (3), with regard to prudent valuation and by Regulation (EU) 2017/2401 of the European Parliament and of the Council (4), with regard to securitisation. Implementing Regulation (EU) No 680/2014 should be updated to reflect those changes and to provide further precision in the instructions and definitions used for the purposes of the institutions’ supervisory reporting. Certain references and formatting inconsistencies which were discovered as misleading in the course of the application of Implementing Regulation (EU) No 680/2014 should also be clarified.

(3)

Delegated Regulation (EU) 2016/101 sets out requirements relating to prudent valuation adjustments of fair-valued positions. It provides two approaches for the implementation of the prudent valuation requirements: a core approach and a simplified approach. To monitor compliance of institutions with those requirements and to assess the impact of that Regulation on valuation adjustments, additional reporting, relating to the prudent valuation requirements, is necessary.

(4)

Regulation (EU) 2017/2401 amends Regulation (EU) No 575/2013 to make the capital treatment of securitisations more risk-sensitive and able to reflect properly the specific features of simple, transparent and standardised securitisations. Implementing Regulation (EU) No 680/2014 needs to be amended to accommodate the reporting on securitisation positions subject to this revised securitisation framework.

(5)

Amendments to Implementing Regulation (EU) No 680/2014 are also necessary to improve competent authorities’ ability to effectively monitor and assess the institutions’ risk profile and to obtain a view on the risks posed to the financial sector, which requires minor changes to the reporting requirements on the geographical distribution of exposures.

(6)

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

(7)

EBA has conducted open public consultations on the draft implementing technical standards on which this Regulation is based that relate to prudent valuation and the total geographical breakdown, analysed the potential related costs and benefits and requested the opinion 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 (5) in relation to those. In accordance with the second subparagraph of Article 15(1) of that Regulation, EBA has not conducted any open public consultation with regard to those parts of the draft implementing technical standards on which this Regulation is based that are either of editorial nature or introduce only a limited number of items in the supervisory reporting framework, as such consultation would be disproportionate in relation to the scope and impact of the draft implementing technical standards concerned.

(8)

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

HAS ADOPTED THIS REGULATION:

Article 1

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

(1)

Article 5 is amended as follows:

(a)

point (a) is amended as follows:

(i)

point (4) is replaced by the following:

‘(4)

the information on the geographical distribution of exposures by country, as well as aggregated at a total level, as specified in template 9 of Annex I, according to the instructions in Part II point 3.4 of Annex II. With regard to the information specified in templates 9.1 and 9.2 in particular, information on the geographical distribution of exposures by country shall be reported where non-domestic original exposures in all “non-domestic” countries in all exposures classes, as reported in row 850 of template 4 of Annex I, are equal or higher than 10 % of total domestic and non-domestic original exposures as reported in row 860 of template 4 of Annex I. For this purpose exposures shall be deemed to be domestic where they are exposures to counterparties located in the Member State where the institution is located. The entry and exit criteria of Article 4 shall apply;’;

(ii)

the following point (12) is added:

‘(12)

the information on prudent valuation specified in template 32 of Annex I in accordance with the instructions in Part II, point 6 of Annex II as follows:

(i)

all institutions shall report the information specified in template 32.1 of Annex I in accordance with the instructions in Part II, point 6 of Annex II;

(ii)

in addition to the reporting referred to in point (i), institutions that apply the core approach pursuant to Regulation (EU) 2016/101 shall also report the information specified in template 32.2 of Annex I in accordance with the instructions in Part II, point 6 of Annex II;

(iii)

in addition to the requirements referred to in points (i) and (ii), institutions that apply the core approach pursuant to Regulation (EU) 2016/101 and which exceed the threshold referred to in Article 4(1) of that Regulation at their respective reporting level, shall also report the information specified in templates 32.3 and 32.4 of Annex I in accordance with the instructions in Part II, point 6 of Annex II.

For the purposes of point (a)(12), the entry and exit criteria of Article 4 shall not apply.’;

(b)

point (b) is amended as follows:

In point (3) points (a), (b) and (c), the words ‘point 6 of Part II of Annex II’ are replaced by the words ‘point 7 of Part II of Annex II’;

(2)

in Article 9(2), point (d) is replaced by the following:

‘(d)

the information specified in template 20 in Part 2 of Annex III with a quarterly frequency where the institution exceeds the threshold defined in the second sentence of point (4) of Article 5(a). The entry and exit criteria referred to in Article 4 shall apply;’;

(3)

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

(4)

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

(5)

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

(6)

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

(7)

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

(8)

Annex XVI is replaced by Annex VI to this Regulation;

(9)

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

(10)

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

(11)

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

(12)

Annex XXIII is replaced by the text set out in Annex X 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 December 2018.

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

Done at Brussels, 9 October 2018.

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 (OJ L 191, 28.6.2014, p. 1).

(3)  Commission Delegated Regulation (EU) 2016/101 of 26 October 2015 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards for prudent valuation under Article 105(14) (OJ L 21, 28.1.2016, p. 54).

(4)  Regulation (EU) 2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No 575/2013 on prudential requirements for credit institutions and investment firms (OJ L 347, 28.12.2017, p. 1).

(5)  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

 

 

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

12

C 12.00

CREDIT RISK: SECURITISATIONS - STANDARDISED APPROACH TO OWN FUNDS REQUIREMENTS

CR SEC SA

13

C 13.00

CREDIT RISK: SECURITISATIONS - IRB APPROACH TO OWN FUNDS REQUIREMENTS

CR SEC IRB

14

C 14.00

DETAILED INFORMATION ON SECURITISATIONS

CR SEC Details

 

 

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


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 instrumentsand subordinated loans

 

780

1.2.1.2*

Memorandum item: Capital instruments and subordinated loans not eligible

 

790

1.2.1.3

Share premium

 

800

1.2.1.4

(-) Own T2 instruments

 

810

1.2.1.4.1

(-) Direct holdings of T2 instruments

 

840

1.2.1.4.2

(-) Indirect holdings of T2 instruments

 

841

1.2.1.4.3

(-) Synthetic holdings of T2 instruments

 

842

1.2.1.5

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

 

880

1.2.2

Transitional adjustments due to grandfathered T2 Capital instruments and subordinated loans

 

890

1.2.3

Instruments issued by subsidiaries that are given recognition in T2 Capital

 

900

1.2.4

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

 

910

1.2.5

IRB Excess of provisions over expected losses eligible

 

920

1.2.6

SA General credit risk adjustments

 

930

1.2.7

(-) Reciprocal cross holdings in T2 Capital

 

940

1.2.8

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

 

950

1.2.9

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

 

960

1.2.10

Other transitional adjustments to T2 Capital

 

970

1.2.11

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

 

974

1.2.12

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

 

978

1.2.13

T2 capital elements or deductions - other

 


C 02.00 - OWN FUNDS REQUIREMENTS (CA2)

Rows

Item

Label

Amount

010

1

TOTAL RISK EXPOSURE AMOUNT

 

020

1*

Of which: Investment firms under Article 95 paragraph 2 and Article 98 of CRR

 

030

1**

Of which : Investment firms under Article 96 paragraph 2 and Article 97 of CRR

 

040

1.1

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

 

050

1.1.1

Standardised approach (SA)

 

060

1.1.1.1

SA exposure classes excluding securitisation positions

 

070

1.1.1.1.01

Central governments or central banks

 

080

1.1.1.1.02

Regional governments or local authorities

 

090

1.1.1.1.03

Public sector entities

 

100

1.1.1.1.04

Multilateral Development Banks

 

110

1.1.1.1.05

International Organisations

 

120

1.1.1.1.06

Institutions

 

130

1.1.1.1.07

Corporates

 

140

1.1.1.1.08

Retail

 

150

1.1.1.1.09

Secured by mortgages on immovableproperty

 

160

1.1.1.1.10

Exposures in default

 

170

1.1.1.1.11

Items associated with particular high risk

 

180

1.1.1.1.12

Covered bonds

 

190

1.1.1.1.13

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

 

200

1.1.1.1.14

Collective investments undertakings (CIU)

 

210

1.1.1.1.15

Equity

 

211

1.1.1.1.16

Other items

 

220

1.1.1.2

Securitisation positions SA

 

230

1.1.1.2*

of which: resecuritisation

 

240

1.1.2

Internal ratings based Approach (IRB)

 

250

1.1.2.1

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

 

260

1.1.2.1.01

Central governments and central banks

 

270

1.1.2.1.02

Institutions

 

280

1.1.2.1.03

Corporates - SME

 

290

1.1.2.1.04

Corporates - Specialised Lending

 

300

1.1.2.1.05

Corporates - Other

 

310

1.1.2.2

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

 

320

1.1.2.2.01

Central governments and central banks

 

330

1.1.2.2.02

Institutions

 

340

1.1.2.2.03

Corporates - SME

 

350

1.1.2.2.04

Corporates - Specialised Lending

 

360

1.1.2.2.05

Corporates - Other

 

370

1.1.2.2.06

Retail - Secured by real estate SME

 

380

1.1.2.2.07

Retail - Secured by real estate non-SME

 

390

1.1.2.2.08

Retail - Qualifying revolving

 

400

1.1.2.2.09

Retail - Other SME

 

410

1.1.2.2.10

Retail - Other non-SME

 

420

1.1.2.3

Equity IRB

 

430

1.1.2.4

Securitisation positions IRB

 

440

1.1.2.4*

Of which: resecuritisation

 

450

1.1.2.5

Other non credit-obligation assets

 

460

1.1.3

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

 

490

1.2

TOTAL RISK EXPOSURE AMOUNT FOR SETTLEMENT/DELIVERY

 

500

1.2.1

Settlement/delivery risk in the non-Trading book

 

510

1.2.2

Settlement/delivery risk in the Trading book

 

520

1.3

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

 

530

1.3.1

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

 

540

1.3.1.1

Traded debt instruments

 

550

1.3.1.2

Equity

 

555

1.3.1.3

Particular approach for position risk in CIUs

 

556

1.3.1.3*

Memo item: CIUs exclusively invested in traded debt instruments

 

557

1.3.1.3**

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

 

560

1.3.1.4

Foreign Exchange

 

570

1.3.1.5

Commodities

 

580

1.3.2

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

 

590

1.4

TOTAL RISK EXPOSURE AMOUNT FOR OPERATIONAL RISK (OpR )

 

600

1.4.1

OpR Basic indicator approach (BIA)

 

610

1.4.2

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

 

620

1.4.3

OpR Advanced measurement approaches (AMA)

 

630

1.5

ADDITIONAL RISK EXPOSURE AMOUNT DUE TO FIXED OVERHEADS

 

640

1.6

TOTAL RISK EXPOSURE AMOUNT FOR CREDIT VALUATION ADJUSTMENT

 

650

1.6.1

Advanced method

 

660

1.6.2

Standardised method

 

670

1.6.3

Based on OEM

 

680

1.7

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

 

690

1.8

OTHER RISK EXPOSURE AMOUNTS

 

710

1.8.2

Of which: Additional stricter prudential requirements based on Art 458

 

720

1.8.2*

Of which: requirements for large exposures

 

730

1.8.2**

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

 

740

1.8.2***

Of which: due to intra financial sector exposures

 

750

1.8.3

Of which: Additional stricter prudential requirements based on Art 459

 

760

1.8.4

Of which: Additional risk exposure amount due to Article 3 CRR

 

770

1.8.5

Of which: Risk weighted exposure amounts for credit risk: securitisation positions (revised securitisation framework)

 

780

1.8.5.1

Internal ratings-based approach (SEC-IRBA)

 

790

1.8.5.1.1

Securitisations not qualifying for differentiated capital treatment

 

800

1.8.5.1.2

STS securitisations qualifying for differentiated capital treatment

 

810

1.8.5.2

Standardised approach (SEC-SA)

 

820

1.8.5.2.1

Securitisations not qualifying for differentiated capital treatment

 

830

1.8.5.2.2

STS securitisations qualifying for differentiated capital treatment

 

840

1.8.5.3

External ratings-based approach (SEC-ERBA)

 

850

1.8.5.3.1

Securitisations not qualifying for differentiated capital treatment

 

860

1.8.5.3.2

STS securitisations qualifying for differentiated capital treatment

 

870

1.8.5.4

Internal assessment approach (IAA)

 

880

1.8.5.4.1

Securitisations not qualifying for differentiated capital treatment

 

890

1.8.5.4.2

STS securitisations qualifying for differentiated capital treatment

 

900

1.8.5.5

Other (RW = 1 250  %)

 

910

1.8.6

Of which: Total risk exposure amount for position risk: Traded debt instruments – specific risk of securitisation instruments (revised securitisation framework)

 

920

1.8.6.1

Internal ratings-based approach (SEC-IRBA)

 

930

1.8.6.1.1

Securitisations not qualifying for differentiated capital treatment

 

940

1.8.6.1.2

STS securitisations qualifying for differentiated capital treatment

 

950

1.8.6.2

Standardised approach (SEC-SA)

 

960

1.8.6.2.1

Securitisations not qualifying for differentiated capital treatment

 

970

1.8.6.2.2

STS securitisations qualifying for differentiated capital treatment

 

980

1.8.6.3

External ratings-based approach (SEC-ERBA)

 

990

1.8.6.3.1

Securitisations not qualifying for differentiated capital treatment

 

1000

1.8.6.3.2

STS securitisations qualifying for differentiated capital treatment

 

1010

1.8.6.4

Internal assessment approach (IAA)

 

1020

1.8.6.4.1

Securitisations not qualifying for differentiated capital treatment

 

1030

1.8.6.4.2

STS securitisations qualifying for differentiated capital treatment

 

1040

1.8.6.5

Other (RW = 1 250  %)

 


C 03.00 - CAPITAL RATIOS AND CAPITAL LEVELS (CA3)

Rows

ID

Item

Amount

010

1

CET1 Capital ratio

 

020

2

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

 

030

3

T1 Capital ratio

 

040

4

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

 

050

5

Total capital ratio

 

060

6

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

 

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

130

13

Total SREP capital requirement (TSCR) ratio

 

140

13*

TSCR: to be made up of CET1 capital

 

150

13**

TSCR: to be made up of Tier 1 capital

 

160

14

Overall capital requirement (OCR) ratio

 

170

14*

OCR: to be made up of CET1 capital

 

180

14**

OCR: to be made up of Tier 1 capital

 

190

15

OCR and Pillar 2 Guidance (P2G)

 

200

15*

OCR and P2G: to be made up of CET1 capital

 

210

15**

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

 


C 04.00 - MEMORANDUM ITEMS (CA4)

Row

ID

Item

Column

Deferred tax assest and liabilities

010

010

1

Total deferred tax assets

 

020

1.1

Deferred tax assets that do not rely on future profitability

 

030

1.2

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

 

040

1.3

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

 

050

2

Total deferred tax liabilities

 

060

2.1

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

 

070

2.2

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

 

080

2.2.1

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

 

090

2.2.2

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

 

093

2A

Tax overpayments and tax loss carry backs

 

096

2B

Deferred Tax Assets subject to a risk weight of 250 %

 

097

2C

Deferred Tax Assets subject to a risk weight of 0 %

 

Credit risk adjustments and expected losses

100

3

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

 

110

3.1

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

 

120

3.1.1

General credit risk adjustments

 

130

3.1.2

Specific credit risk adjustments

 

131

3.1.3

Additional value adjustments and other own funds reductions

 

140

3.2

Total expected losses eligible

 

145

4

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

 

150

4.1

Specific credit risk adjustments and positions treated similarily

 

155

4.2

Total expected losses eligible

 

160

5

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

 

170

6

Total gross provisions eligible for inclusion in T2 capital

 

180

7

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

 

Thresholds for Common Equity Tier 1 deductions

190

8

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

 

200

9

10 % CET1 threshold

 

210

10

17.65 % CET1 threshold

 

225

11.1

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

 

226

11.2

Eligible capital for the purposes of large exposures

 

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

230

12

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

 

240

12.1

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

 

250

12.1.1

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

 

260

12.1.2

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

 

270

12.2

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

 

280

12.2.1

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

 

290

12.2.2

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

 

291

12.3

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

 

292

12.3.1

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

 

293

12.3.2

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

 

300

13

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

 

310

13.1

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

 

320

13.1.1

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

 

330

13.1.2

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

 

340

13.2

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

 

350

13.2.1

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

 

360

13.2.2

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

 

361

13.3

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

 

362

13.3.1

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

 

363

13.3.2

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

 

370

14

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

 

380

14.1

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

 

390

14.1.1

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

 

400

14.1.2

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

 

410

14.2

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

 

420

14.2.1

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

 

430

14.2.2

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

 

431

14.3

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

 

432

14.3.1

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

 

433

14.3.2

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

 

Investments in the capital of financial sector entities where the institution has a significant investment

440

15

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

 

450

15.1

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

 

460

15.1.1

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

 

470

15.1.2

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

 

480

15.2

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

 

490

15.2.1

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

 

500

15.2.2

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

 

501

15.3

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

 

502

15.3.1

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

 

503

15.3.2

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

 

510

16

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

 

520

16.1

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

 

530

16.1.1

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

 

540

16.1.2

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

 

550

16.2

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

 

560

16.2.1

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

 

570

16.2.2

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

 

571

16.3

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

 

572

16.3.1

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

 

573

16.3.2

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

 

580

17

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

 

590

17.1

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

 

600

17.1.1

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

 

610

17.1.2

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

 

620

17.2

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

 

630

17.2.1

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

 

640

17.2.2

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

 

641

17.3

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

 

642

17.3.1

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

 

643

17.3.2

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

 

Total risk exposure amounts of holdings not deducted from the corresponding capital category:

650

18

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

 

660

19

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

 

670

20

Risk weighted exposures of T2 holdings in financial sector entities which are not deducted from the institution's T2 capital

 

Temporary waiver from deduction from own funds

680

21

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

 

690

22

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

 

720

25

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

 

730

26

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

 

Capital buffers

740

27

Combined buffer requirement

 

750

 

Capital conservation buffer

 

760

 

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

 

770

 

Institution specific countercyclical capital buffer

 

780

 

Systemic risk buffer

 

800

 

Global Systemically Important Institution buffer

 

810

 

Other Systemically Important Institution buffer

 

Pillar II requirements

820

28

Own funds requirements related to Pillar II adjustments

 

Additional information for investment firms

830

29

Initial capital

 

840

30

Own funds based on Fixed Overheads

 

Additional information for calculation of reporting thresholds

850

31

Non-domestic original exposures

 

860

32

Total original exposures

 

Basel I floor

870

 

Adjustments to total own funds

 

880

 

Own funds fully adjusted for Basel I floor

 

890

 

Own funds requirements for Basel I floor

 

900

 

Own funds requirements for Basel I floor - SA alternative

 

910

 

Deficit of total capital as regards the minimum own funds requirements of the Basel I floor

 


C 05.01 - TRANSITIONAL PROVISIONS (CA5.1)

 

Adjustments to CET1

Adjustments to AT1

Adjustments to T2

Adjustments included in RWAs

Memorandum items

Applicable percentage

Eligible amount without transitional provisions

Code

ID

Item

010

020

030

040

050

060

010

1

TOTAL ADJUSTMENTS

 

 

 

 

 

 

020

1.1

GRANDFATHERED INSTRUMENTS

link to {CA1;r220}

link to {CA1;r660}

link to {CA1;r880}

 

 

 

030

1.1.1

Grandfathered instruments: Instruments constituting state aid

 

 

 

 

 

 

040

1.1.1.1

Instruments that qualified as own funds according to 2006/48/EC

 

 

 

 

 

 

050

1.1.1.2

Instruments issued by institutions that are incorporated in a Member State that is subject to an Economic Adjustment Programme

 

 

 

 

 

 

060

1.1.2

Instruments not constituting state aid

link to {CA5.2;r010;c060}

link to {CA5.2;r020;c060}

link to {CA5.2;r090;c060}

 

 

 

070

1.2

MINORITY INTERESTS AND EQUIVALENTS

link to {CA1;r240}

link to {CA1;r680}

link to {CA1;r900}

 

 

 

080

1.2.1

Capital instruments and items that do not qualify as minority interests

 

 

 

 

 

 

090

1.2.2

Transitional recognition in consolidated own funds of minority interests

 

 

 

 

 

 

091

1.2.3

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

 

 

 

 

 

 

092

1.2.4

Transitional recognition in consolidated own funds of qualifying Tier 2 capital

 

 

 

 

 

 

100

1.3

OTHER TRANSITIONAL ADJUSTMENTS

link to {CA1;r520}

link to {CA1;r730}

link to {CA1;r960}

 

 

 

110

1.3.1

Unrealised gains and losses

 

 

 

 

 

 

120

1.3.1.1

Unrealised gains

 

 

 

 

 

 

130

1.3.1.2

Unrealised losses

 

 

 

 

 

 

133

1.3.1.3.

Unrealised gains on exposures to central governments classified in the “Available for sale” category of EU-endorsed IAS39

 

 

 

 

 

 

136

1.3.1.4.

Unrealised loss on exposures to central governments classified in the "Available for sale" category of EU-endorsed IAS39

 

 

 

 

 

 

138

1.3.1.5.

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

 

 

 

 

 

 

140

1.3.2

Deductions

 

 

 

 

 

 

150

1.3.2.1

Losses for the current financial year

 

 

 

 

 

 

160

1.3.2.2

Intangible assets

 

 

 

 

 

 

170

1.3.2.3

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

 

 

 

 

 

 

180

1.3.2.4

IRB shortfall of provisions to expected losses

 

 

 

 

 

 

190

1.3.2.5

Defined benefit pension fund assets

 

 

 

 

 

 

194

1.3.2.5*

of which: Introduction of amendments to IAS 19 - positive item

 

 

 

 

 

 

198

1.3.2.5**

of which: Introduction of amendments to IAS 19 - negative item

 

 

 

 

 

 

200

1.3.2.6

Own instruments

 

 

 

 

 

 

210

1.3.2.6.1

Own CET1 instruments

 

 

 

 

 

 

211

1.3.2.6.1**

of which: Direct holdings

 

 

 

 

 

 

212

1.3.2.6.1*

of which: Indirect holdings

 

 

 

 

 

 

220

1.3.2.6.2

Own AT1 instruments

 

 

 

 

 

 

221

1.3.2.6.2**

of which: Direct holdings

 

 

 

 

 

 

222

1.3.2.6.2*

of which: Indirect holdings

 

 

 

 

 

 

230

1.3.2.6.3

Own T2 instruments

 

 

 

 

 

 

231

1.3.2.6.3*

of which: Direct holdings

 

 

 

 

 

 

232

1.3.2.6.3**

of which: Indirect holdings

 

 

 

 

 

 

240

1.3.2.7

Reciprocal cross holdings

 

 

 

 

 

 

250

1.3.2.7.1

Reciprocal cross holdings in CET1 Capital

 

 

 

 

 

 

260

1.3.2.7.1.1

Reciprocal cross holdings in CET1 Capital of financial sector entities where the institution does not have a significant investment

 

 

 

 

 

 

270

1.3.2.7.1.2

Reciprocal cross holdings in CET1 Capital of financial sector entities where the institution has a significant investment

 

 

 

 

 

 

280

1.3.2.7.2

Reciprocal cross holdings in AT1 Capital

 

 

 

 

 

 

290

1.3.2.7.2.1

Reciprocal cross holdings in AT1 Capital of financial sector entities where the institution does not have a significant investment

 

 

 

 

 

 

300

1.3.2.7.2.2

Reciprocal cross holdings in AT1 Capital of financial sector entities where the institution has a significant investment

 

 

 

 

 

 

310

1.3.2.7.3

Reciprocal cross holdings in T2 Capital

 

 

 

 

 

 

320

1.3.2.7.3.1

Reciprocal cross holdings in T2 Capital of financial sector entities where the institution does not have a significant investment

 

 

 

 

 

 

330

1.3.2.7.3.2

Reciprocal cross holdings in T2 Capital of financial sector entities where the institution has a significant investment

 

 

 

 

 

 

340

1.3.2.8

Own funds instruments of financial sector entities where the institution does not have a significant investment

 

 

 

 

 

 

350

1.3.2.8.1

CET1 instruments of financial sector entities where the institution does not have a significant investment

 

 

 

 

 

 

360

1.3.2.8.2

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

 

 

 

 

 

 

370

1.3.2.8.3

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

 

 

 

 

 

 

380

1.3.2.9

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

 

 

 

 

 

 

385

1.3.2.9a

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

 

 

 

 

 

 

390

1.3.2.10

Own funds instruments of financial sector entities where the institution has a significant investment

 

 

 

 

 

 

400

1.3.2.10.1

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

 

 

 

 

 

 

410

1.3.2.10.2

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

 

 

 

 

 

 

420

1.3.2.10.3

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

 

 

 

 

 

 

425

1.3.2.11

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

 

 

 

 

 

 

430

1.3.3

Additional filters and deductions

 

 

 

 

 

 

440

1.3.4

Adjustments due to IFRS 9 transitional arrangements

 

 

 

 

 

 


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

CA 5.2 Grandfathered instruments: Instruments not constituting State aid

Amount of instruments plus related share premium

Base for calculating the limit

Applicable percentage

Limit

(-) Amount that exceeds the limits for grandfathering

Total grandfathered amount

Code

ID

Item

010

020

030

040

050

060

010

1.

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

 

 

 

 

 

link to {CA5.1;r060;c010)

020

2.

Instruments that qualified for point ca) of Article 57 and Article 154(8) and (9) of 2006/48/EC, subject to the limit of Article 489

 

 

 

 

 

link to {CA5.1;r060;c020)

030

2.1

Total instruments without a call or an incentive to redeem

 

 

 

 

 

 

040

2.2.

Grandfathered instruments with a call and incentive to redeem

 

 

 

 

 

 

050

2.2.1

Instruments with a call exercisable after the reporting date, and which meet the conditions in Article 52 of CRR after the date of effective maturity

 

 

 

 

 

 

060

2.2.2

Instruments with a call exercisable after the reporting date, and which do not meet the conditions in Article 52 of CRR after the date of effective maturity

 

 

 

 

 

 

070

2.2.3

Instruments with a call exercisable prior toor on 20 July 2011, and which do not meet the conditions in Article 52 of CRR after the date of effective maturity

 

 

 

 

 

 

080

2.3

Excess on the limit of CET1 grandfathered instruments

 

 

 

 

 

 

090

3

Items that qualified for points e), f), g) or h) of Article 57 of 2006/48/EC, subject to the limit of Article 490

 

 

 

 

 

link to {CA5.1;r060;c030)

100

3.1

Total itemswithout an incentive to redeem

 

 

 

 

 

 

110

3.2

Grandfathered items with an incentive to redeem

 

 

 

 

 

 

120

3.2.1

Itemswith a call exercisable after the reporting date, and which meet the conditions in Article 63 of CRR after the date of effective maturity

 

 

 

 

 

 

130

3.2.2

Items with a call exercisable after the reporting date, and which do not meet the conditions in Article 63 of CRR after the date of effective maturity

 

 

 

 

 

 

140

3.2.3

Items with a call exercisable prior toor on 20 July 2011, and which do not meet the conditions in Article 63 of CRR after the date of effective maturity

 

 

 

 

 

 

150

3.3

Excess on the limit of AT1 grandfathered instruments

 

 

 

 

 

 


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

 

INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP

CAPITAL BUFFERS

TOTAL RISK EXPOSURE AMOUNT

 

QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS

 

CONSOLIDATED OWN FUNDS

 

COMBINED BUFFER REQUIREMENTS

 

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

POSITION, FX AND COMMODITIES RISKS

OPERATIONAL RISK

OTHER RISK EXPOSURE AMOUNTS

QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 1 CAPITAL

 

QUALIFYINGOWN FUNDS INSTRUMENTSINCLUDED 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

QUALIFYINGTIER 1 INSTRUMENTSINCLUDED IN CONSOLIDATED ADDITIONAL TIER 1 CAPITAL

250

260

270

280

290

300

310

320

330

340

350

360

370

380

390

400

410

420

430

440

450

470

480

010

TOTAL

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


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

ENTITIES WITHIN SCOPE OF CONSOLIDATION

INFORMATION ON ENTITIES SUBJECT TO OWN FUNDS REQUIREMENTS

INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP

CAPITAL BUFFERS

NAME

CODE

LEI code

INSTITUTION OR EQUIVALENT(YES / NO)

TYPE OF ENTITY

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

COUNTRY CODE

SHARE OF HOLDING (%)

TOTAL RISK EXPOSURE AMOUNT

 

OWN FUNDS

 

 

TOTAL RISK EXPOSURE AMOUNT

 

QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS

 

CONSOLIDATED OWN FUNDS

 

COMBINED BUFFER REQUIREMENT

 

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

POSITION, FX AND COMMODITIES RISKS

OPERATIONAL RISK

OTHER RISK EXPOSURE AMOUNTS

 

TOTAL TIER 1 CAPITAL

 

 

TIER 2 CAPITAL

 

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

POSITION, FX AND COMMODITIES RISKS

OPERATIONAL RISK

OTHER RISK EXPOSURE AMOUNTS

QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 1 CAPITAL

 

QUALIFYINGOWN FUNDS INSTRUMENTSINCLUDED 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

QUALIFYINGTIER 1 INSTRUMENTSINCLUDED 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

010

020

025

030

035

040

050

060

070

080

090

100

110

120

130

140

150

160

170

180

190

200

210

220

230

240

250

260

270

280

290

300

310

320

330

340

350

360

370

380

390

400

410

420

430

440

450

470

480

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


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

SA Exposure class

 

 

ORIGINAL EXPOSURE PRE CONVERSION FACTORS

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

EXPOSURE NET OF VALUE ADJUSTMENTS AND PROVISIONS

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

NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS

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

FULLY ADJUSTED EXPOSURE VALUE (E*)

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

EXPOSURE VALUE

 

RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR

RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR

 

UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (Ga)

FUNDED CREDIT PROTECTION

SUBSTITUTION OF THE EXPOSURE DUE TO CRM

VOLATILITY ADJUSTMENT TO THE EXPOSURE

(-) FINANCIAL COLLATERAL: ADJUSTED VALUE (Cvam)

0 %

20 %

50 %

100 %

OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK

OF WHICH:WITH A CREDIT ASSESSMENT BY A NOMINATED ECAI

OF WHICH:WITH A CREDIT ASSESSMENT DERIVED FROM CENTRAL GOVERNMENT

(-) GUARANTEES

(-) CREDIT DERIVATIVES

(-) FINANCIAL COLLATERAL: SIMPLE METHOD

(-) OTHER FUNDED CREDIT PROTECTION

(-) TOTAL OUTFLOWS

TOTAL INFLOWS (+)

 

(-) OF WHICH: VOLATILITY AND MATURITY ADJUSTMENTS

010

030

040

050

060

070

080

090

100

110

120

130

140

150

160

170

180

190

200

210

215

220

230

240

010

TOTAL EXPOSURES

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Cell linked to CA

 

 

015

of which: Defaulted exposures

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

1250 %

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

280

Other risk weights

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

MEMORANDUM ITEMS

290

Exposures secured by mortgages on commercial immovable property

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

300

Exposures in default subject to a risk weight of 100 %

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

310

Exposures secured by mortgages on residential property

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

320

Exposures in default subject to a risk weight of 150 %

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


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

IRB Exposure class:

Own estimates of LGD and/or conversion factors:

 

INTERNAL RATING SYSTEM

ORIGINAL EXPOSURE PRE CONVERSION FACTORS

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

EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS

 

EXPOSURE VALUE

 

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

SUBJECT TO DOUBLE DEFAULT TREATMENT

EXPOSURE WEIGHTED AVERAGE LGD (%)

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

EXPOSURE-WEIGHTED AVERAGE MATURITY VALUE (DAYS)

RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR

RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR

MEMORANDUM ITEMS:

UNFUNDED CREDIT PROTECTION

(-) OTHER FUNDED CREDIT PROTECTION

SUBSTITUTION OF THE EXPOSURE DUE TO CRM

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

FUNDED CREDIT PROTECTION

UNFUNDED CREDIT PROTECTION

EXPECTED LOSS AMOUNT

(-) VALUE ADJUSTMENTS AND PROVISIONS

NUMBER OF OBLIGORS

PD ASSIGNED TO THE OBLIGOR GRADE OR POOL(%)

 

OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

(-) GUARANTEES

(-) CREDIT DERIVATIVES

(-) TOTAL OUTFLOWS

TOTAL INFLOWS (+)

OF WHICH: OFF BALANCE SHEET ITEMS

OF WHICH: OFF BALANCE SHEET ITEMS

OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK

OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

GUARANTEES

CREDIT DERIVATIVES

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

ELIGIBLE FINANCIAL COLLATERAL

OTHER ELIGIBLE COLLATERAL

 

OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

REAL ESTATE

OTHER PHYSICAL COLLATERAL

RECEIVABLES

010

020

030

040

050

060

070

080

090

100

110

120

130

140

150

160

170

180

190

200

210

220

230

240

250

255

260

270

280

290

300

010

TOTAL EXPOSURES

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Cell linked to CA

 

 

 

 

015

of which: Exposures subject to SME-supporting factor

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:

020

On balance sheet items subject to credit risk

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

030

Off balance sheet items subject to credit risk

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Exposures / Transactions subject to counterparty credit risk

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

040

Securities Financing Transactions

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

050

Derivatives & Long Settlement Transactions

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

060

From Contractual Cross Product Netting

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

070

EXPOSURES ASSIGNED TO OBLIGOR GRADES OR POOLS: TOTAL

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

080

SPECIALIZED LENDING SLOTTING CRITERIA: TOTAL

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

090

RISK WEIGHT: 0%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

100

50%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

110

70%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

120

Of which: in category 1

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

130

90%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

140

115%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

150

250%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

160

ALTERNATIVE TREATMENT: SECURED BY REAL ESTATE

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

170

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

180

DILUTION RISK: TOTAL PURCHASED RECEIVABLES

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


C 08.02 - CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BREAKDOWN BY OBLIGOR GRADES OR POOLS (CR IRB 2)

IRB Exposure class:

Own estimates of LGD and/or conversion factors:

OBLIGOR GRADE (ROW IDENTIFIER)

INTERNAL RATING SYSTEM

ORIGINAL EXPOSURE PRE CONVERSION FACTORS

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

EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS

 

EXPOSURE VALUE

 

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

SUBJECT TO DOUBLE DEFAULT TREATMENT

EXPOSURE WEIGHTED AVERAGE LGD (%)

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

EXPOSURE-WEIGHTED AVERAGE MATURITY VALUE (DAYS)

RISK WEIGHTED EXPOSURE AMOUNT PRE SME-FACTOR

RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-FACTOR

MEMORANDUM ITEMS:

UNFUNDED CREDIT PROTECTION

(-) OTHER FUNDED CREDIT PROTECTION

SUBSTITUTION OF THE EXPOSURE DUE TO CRM

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

FUNDED CREDIT PROTECTION

UNFUNDED CREDIT PROTECTION

EXPECTED LOSS AMOUNT

(-) VALUE ADJUSTMENTS AND PROVISIONS

NUMBER OF OBLIGORS

PD ASSIGNED TO THE OBLIGOR GRADE OR POOL(%)

 

OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

(-) GUARANTEES

(-) CREDIT DERIVATIVES

(-) TOTAL OUTFLOWS

TOTAL INFLOWS (+)

OF WHICH: OFF BALANCE SHEET ITEMS

OF WHICH: OFF BALANCE SHEET ITEMS

OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK

OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

GUARANTEES

CREDIT DERIVATIVES

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

ELIGIBLE FINANCIAL COLLATERAL

OTHER ELIGIBLE COLLATERAL

 

OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

REAL ESTATE

OTHER PHYSICAL COLLATERAL

RECEIVABLES

005

010

020

030

040

050

060

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