02021R0451 — EN — 03.03.2022 — 001.001


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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

(Text with EEA relevance)

(OJ L 097 19.3.2021, p. 1)

Amended by:

 

 

Official Journal

  No

page

date

 M1

COMMISSION IMPLEMENTING REGULATION (EU) 2022/185 of 10 February 2022

  L 30

5

11.2.2022


Corrected by:

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Corrigendum, OJ L 136, 21.4.2021, p.  328 (2021/451)




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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

(Text with EEA relevance)



Article 1

Subject matter and scope

This Regulation lays down uniform reporting formats and templates, instructions on and a methodology for how to use those templates, the frequency and dates of reporting, the definitions and the IT solutions for the reporting of institutions to their competent authorities in accordance with Article 415, paragraphs 3 and 3a, of Regulation (EU) No 575/2013, and Article 430, paragraphs 1 to 4 and paragraphs 7 and 9 of that Regulation.

Article 2

Reporting reference dates

1.  

Institutions shall submit information to competent authorities as this information stands on the following reporting reference dates:

(a) 

monthly reporting: on the last day of each month;

(b) 

quarterly reporting: 31 March, 30 June, 30 September and 31 December;

(c) 

semi-annual reporting: 30 June and 31 December;

(d) 

annual reporting: 31 December.

2.  
Information submitted pursuant to the templates set out in Annexes III and IV, in accordance with the instructions in Annex V and referring to a certain period, shall be reported cumulatively from the first day of the accounting year to the reference date.
3.  
Where institutions are permitted by national laws to report their financial information based on their accounting year-end, which deviates from the calendar year, reporting reference dates may be adjusted accordingly, so that reporting of financial information and of information for the purposes of identifying global systemically important institutions (G-SIIs) and assigning G-SII buffer rates is done every three, six or 12 months from their accounting year-end, respectively.

Article 3

Reporting remittance dates

1.  

Institutions shall submit information to competent authorities by close of business on the following remittance dates:

(a) 

monthly reporting: 15th calendar day after the reporting reference date;

(b) 

quarterly reporting: 12 May, 11 August, 11 November and 11 February;

(c) 

semi-annual reporting: 11 August and 11 February;

(d) 

annual reporting: 11 February.

2.  
If the remittance day is a public holiday in the Member State of the competent authority to which the report is to be provided, or a Saturday or a Sunday, data shall be submitted on the following working day.
3.  
Where institutions report their financial information or the information for the purposes of identifying G-SIIs and assigning G-SII buffer rates using adjusted reporting reference dates based on their accounting year-end as set out in paragraph 3 of Article 2, the remittance dates may also be adjusted accordingly so that the same remittance period from the adjusted reporting reference date is maintained.
4.  
Institutions may submit unaudited figures. Where audited figures deviate from submitted unaudited figures, the revised, audited figures shall be submitted without undue delay. Unaudited figures are figures that have not received an external auditor’s opinion whereas audited figures are figures audited by an external auditor expressing an audit opinion.
5.  
Other corrections to the submitted reports shall also be submitted to the competent authorities without undue delay.

Article 4

Reporting thresholds – entry and exit criteria

1.  
Institutions that meet the conditions set out in in Article 4(1), point (145), of Regulation (EU) No 575/2013 shall start reporting information as small and non-complex institutions on the first reporting reference date after those conditions have been met. Where institutions no longer meet those conditions, they shall stop reporting the information on the first reporting reference date thereafter.
2.  
Institutions that meet the conditions set out in Article 4(1), point (146), of Regulation (EU) No 575/2013 shall start reporting information as large institutions, on the first reporting reference date after those conditions have been met. Where institutions no longer meet those conditions, they shall stop reporting the information on the first reporting reference date thereafter.
3.  
Institutions shall start reporting information subject to the thresholds set out in this Regulation on the next reporting reference date after those thresholds have been exceeded on two consecutive reporting reference dates. Institutions may stop reporting information subject to the thresholds set out in this Regulation on the next reporting reference date where they have fallen below the relevant thresholds on three consecutive reporting reference dates.

Article 5

Reporting on own funds and own funds requirements on an individual basis – quarterly reporting

1.  
In order to report information on own funds and on own funds requirements in accordance with Article 430(1), point (a), of Regulation (EU) No 575/2013 on an individual basis, institutions shall submit information referred to in this Article with a quarterly frequency.
2.  
Institutions shall submit information on own funds and own funds requirements as specified in Annex I, templates 1 to 5, in accordance with the instructions in Annex II, Part II, point 1.
3.  
Institutions shall submit information on credit risk and counterparty credit risk exposures treated under the standardised approach as specified in Annex I, template 7, in accordance with the instructions in Annex II, Part II, point 3.2.
4.  
Institutions shall submit information on credit risk and counterparty credit risk exposures treated under the internal ratings-based approach as specified in Annex I, templates 8.1 and 8.2, in accordance with the instructions in Annex II, Part II, point 3.3.
5.  
Institutions shall submit information on the geographical distribution of exposures by country, as well as aggregated exposures at a total level, as specified in Annex I, template 9, in accordance with the instructions in Annex II, Part II, point 3.4.

Institutions shall submit information specified in templates 9.1 and 9.2, and in particular information on the geographical distribution of exposures by country, where non-domestic original exposures in all non-domestic countries in all exposure classes, as reported in accordance with Annex I, template 4, row 0850, are equal to or higher than 10 % of total domestic and non-domestic original exposures as reported in accordance with Annex I, template 4, row 0860. Exposures shall be deemed to be domestic where they are exposures to counterparties located in the Member State where the institution is established.

The entry and exit criteria set out in Article 4 shall apply.

6.  
Institutions shall submit information on counterparty credit risk as specified in Annex I, templates 34.01 to 34.05 and 34.08 to 34.10, in accordance with the instructions in Annex II, Part II, point 3.9.
7.  
Institutions applying the standardised approach or the internal model method for the calculation of counterparty credit risk exposures in accordance with Part Three, Title II, Chapter 6, Sections 3 and 6, of Regulation (EU) No 575/2013 shall submit information on counterparty credit risk as specified in Annex I, template 34.06, in accordance with the instructions in Annex II, Part II, point 3.9.7.
8.  
Institutions shall submit information on equity exposures treated under the internal ratings-based approach as specified in Annex I, template 10, in accordance with the instructions in Annex II, Part II, point 3.5.
9.  
Institutions shall submit information on settlement risk as specified in Annex I, template 11, in accordance with the instructions in Annex II, Part II, point 3.6.
10.  
Institutions shall submit information on securitisation exposures as specified in Annex I, template 13.01, in accordance with the instructions in Annex II, Part II, point 3.7.
11.  
Institutions shall submit information on own funds requirements and losses relating to operational risk as specified in Annex I, template 16, in accordance with the instructions in Annex II, Part II, point 4.1.
12.  
Institutions shall submit information on own funds requirements relating to market risk as specified in Annex I, templates 18 to 24, in accordance with the instructions in Annex II, Part II, points 5.1 to 5.7.
13.  
Institutions shall submit information on own funds requirements relating to credit valuation adjustment risk as specified in Annex I, template 25, in accordance with the instructions in Annex II, Part II, point 5.8.
14.  

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

(a) 

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

(b) 

institutions that apply the core approach in accordance with Commission Delegated Regulation (EU) 2016/101 ( 1 ) shall, in addition to information referred in point (a) of this paragraph, report the information specified in Annex I, template 32.2, in accordance with the instructions in Annex II, Part II, point 6;

(c) 

institutions that apply the core approach in accordance with Commission Delegated Regulation (EU) 2016/101 and which exceed the threshold referred to in Article 4(1) of that Regulation shall, in addition to information referred in points (a) and (b) of this paragraph, report the information specified in Annex I, templates 32.3 and 32.4, in accordance with the instructions in Annex II, Part II, point 6.

For the purposes of this paragraph, the entry and exit criteria set out in Article 4 shall not apply.

15.  
Institutions shall submit information on the prudential backstop for non-performing exposures (NPEs) as specified in Annex I, templates 35.01, 35.02 and 35.03, in accordance with the instructions in Annex II, Part II, point 8.

Article 6

Reporting on own funds and own funds requirements on an individual basis – semi-annual reporting

1.  
In order to report information on own funds and on own funds requirements in accordance with Article 430(1), point (a), of Regulation (EU) No 575/2013 on an individual basis, institutions shall submit information referred to in this Article with a semi-annual frequency.
2.  
Institutions shall submit information on all securitisation exposures as specified in Annex I, templates 14 and 14.01, in accordance with the instructions in Annex II, Part II, point 3.8; except where they are part of a group in the same country in which they are subject to own funds requirements.
3.  

Institutions shall submit information on sovereign exposures as follows:

(a) 

where the aggregate carrying amount of financial assets from the counterparty sector ‘General governments’ is equal to or higher than 1 % of the sum of total carrying amount for ‘Debt securities’ and ‘Loans and advances’ institutions shall submit the information as specified in Annex I, template 33, in accordance with the instructions in Annex II, Part II, point 7, and shall follow the instructions in Annex V regarding template 4 in Annex III or Annex IV, as applicable, to calculate the relevant values;

(b) 

where the value reported for domestic exposures of non-derivative financial assets as defined in row 0010, column 0010 in Annex I, template 33 is less than 90 % of the value reported for domestic and non-domestic exposures for the same data point institutions that meet the condition referred to in point (a) shall submit the information as specified in Annex I, template 33, in accordance with the instructions in Annex II, Part II, point 7, with a full country breakdown;

(c) 

institutions that meet the conditions referred to in point (a) and do not meet the condition referred in point (b) shall submit the information specified in template 33, in accordance with the instructions in Annex II, Part II, point 7, with exposures aggregated at:

(i) 

total level; and

(ii) 

domestic level.

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

4.  

Information on material losses regarding operational risk shall be reported as follows:

(a) 

institutions that calculate own funds requirements relating to operational risk in accordance with Part Three, Title III, Chapter 4, of Regulation (EU) No 575/2013 shall report that information as specified in Annex I, templates 17.01 and 17.02, in accordance with the instructions in Annex II, Part II, point 4.2;

(b) 

large institutions that calculate own funds requirements relating to operational risk in accordance with Part Three, Title III, Chapter 3, of Regulation (EU) No 575/2013 shall report that information as specified in Annex I, templates 17.01 and 17.02, in accordance with the instructions in Annex II, Part II, point 4.2;

(c) 

institutions other than large institutions that calculate own funds requirements relating to operational risk in accordance with Part Three, Title III, Chapter 3, of Regulation (EU) No 575/2013 shall report, in accordance with the instructions in Annex II, Part II, point 4.2, the following information:

(i) 

the information as specified in Annex I, template 17.01, column 0080 for the following rows:

— 
number of events (new events) (row 0910),
— 
gross loss amount (new events) (row 0920),
— 
number of events subject to loss adjustments (row 0930),
— 
loss adjustments relating to previous reporting periods (row 0940),
— 
maximum single loss (row 0950),
— 
sum of the five largest losses (row 0960),
— 
total direct loss recovery (except insurance and other risk transfer mechanisms) (row 0970),
— 
total recoveries from insurance and other risk transfer mechanisms (row 0980);
(ii) 

the information as specified in Annex I, template 17.02.

(d) 

the institutions referred to in point (c) may report the complete set of information specified in Annex I, templates 17.01 and 17.02, in accordance with the instructions in Annex II, Part II, point 4.2;

(e) 

large institutions that calculate own funds requirements relating to operational risk in accordance with Part Three, Title III, Chapter 2, of Regulation (EU) No 575/2013 shall report the information as specified in Annex I, templates 17.01 and 17.02, in accordance with the instructions in Annex II, Part II, point 4.2;

(f) 

institutions other than large institutions that calculate own funds requirements relating to operational risk in accordance with Part Three, Title III, Chapter 2, of Regulation (EU) No 575/2013 may report the information as specified in Annex I, templates 17.01 and 17.02, in accordance with the instructions in Annex II, Part II, point 4.2.

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

5.  
Institutions applying the simplified standardised approach or the original exposure method for the calculation of counterparty credit risk exposures in accordance with Part Three, Title II, Chapter 6, Sections 4 and 5 Regulation (EU) No 575/2013 shall submit the information on counterparty credit risk as specified in Annex I, template 34.06, in accordance with the instructions in Annex II, Part II, point 3.9.7.

Article 7

Reporting on own funds and own funds requirements on a consolidated basis

In order to report information on own funds and on own funds requirements in accordance with Article 430(1), point (a), of Regulation (EU) No 575/2013 on a consolidated basis, institutions shall submit the information specified in:

(a) 

Articles 5 and 6 of this Implementing Regulation on a consolidated basis with the frequency specified therein; and

(b) 

template 6 of Annex I, in accordance with the instructions provided in Annex II, Part II, point 2 regarding entities included in the scope of consolidation, with a semi-annual frequency.

Article 8

Reporting on own funds and own funds requirements – additional reporting requirements on individual and consolidated basis

1.  
Institutions subject to a requirement to disclose the information referred to in Article 438, points (e) or (h), or Article 452, points (b), (g) or (h), of Regulation (EU) No 575/2013 with the frequency set out in Article 433a or Article 433c, as applicable, on an individual basis in accordance with Article 6 or on a consolidated basis in accordance with Article 13, as applicable, of that Regulation, shall submit the information on credit risk and counterparty credit risk, as specified in Annex I, templates 8.3, 8.4, 8.5, 8.5.1, 8.6, 8.7 and 34.11, to this Regulation, with the same frequency and on the same basis, following the instructions in Annex II, Part II, points 3.3 and 3.9.12, to this Regulation.
2.  
Institutions subject to a requirement to disclose the information referred to in point (l) of Article 439 of Regulation (EU) No 575/2013 with the frequency set out in Article 433a or Article 433c, as applicable, on an individual basis in accordance with Article 6 or on a consolidated basis in accordance with Article 13, as applicable, of that Regulation, shall submit the information on counterparty credit risk, as specified in Annex I, template 34.07, to this Regulation, with the same frequency and on the same basis, following the instructions in Annex II, Part II, point 3.9.8, to this Regulation.

Article 9

Reporting on own funds and own funds requirements for investment firms subject to Articles 95 and 96 of Regulation (EU) No 575/2013 on an individual basis

1.  
Investment firms that apply the transitional provisions of Article 57(3) of Regulation (EU) 2019/2033 shall submit information as set out in this Article.
2.  
In order to report information on own funds and on own funds requirements in accordance with Article 430(1), point (a), of Regulation (EU) No 575/2013 on an individual basis, with the exception of information on the leverage ratio, investment firms making use of Article 57(3) of Regulation (EU) 2019/2033 with reference to Article 95 of Regulation (EU) No 575/2013 shall submit the information specified in Annex I, templates 1 to 5, in accordance with the instructions in Annex II, Part II, point 1, with a quarterly frequency.
3.  
In order to report information on own funds and own funds requirements in accordance with Article 430(1), point (a), of Regulation (EU) No 575/2013 on an individual basis, investment firms making use of Article 57(3) of Regulation (EU) 2019/2033 with reference to Article 96 of Regulation (EU) No 575/2013 shall submit the information referred to in Article 5, paragraphs (1) to (5) and paragraphs (8) to (13), and Article 6(2) of this Regulation with the frequency laid down in those Articles.

Article 10

Reporting on own funds and own funds requirements for groups that consist only of investment firms subject to Articles 95 and 96 of Regulation (EU) No 575/2013 on a consolidated basis

1.  
Investment firms that apply the transitional provisions of Article 57(3) of Regulation (EU) 2019/2033 shall submit information as set out in this Article.
2.  

In order to report information on own funds and on own funds requirements in accordance with Article 430(1), point (a), of Regulation (EU) No 575/2013 on a consolidated basis, with the exception of information on the leverage ratio, investment firms of groups that consist only of investment firms making use of Article 57(3) of Regulation (EU) 2019/2033 with reference to Article 95 of Regulation (EU) No 575/2013 shall submit the following information on a consolidated basis:

(a) 

the information on own funds and on own funds requirements as specified in Annex I, templates 1 to 5, in accordance with the instructions in Annex II, Part II, point 1, with a quarterly frequency;

(b) 

the information on own funds and on own funds requirements regarding entities included in the scope of consolidation as specified in Annex I, template 6, in accordance with the instructions in Annex II, Part II, point 2, with a semi-annual frequency.

3.  

In order to report information on own funds and on own funds requirements in accordance with Article 430(1), point (a), of Regulation (EU) No 575/2013 on a consolidated basis, investment firms of groups that consist only of investment firms subject to Article 95 and investment firms subject to Article 96 or of groups that consist only of investment firms making use of Article 57(3) of Regulation (EU) 2019/2033 with reference to Article 96 of Regulation (EU) No 575/2013 shall submit the following information on a consolidated basis:

(a) 

the information specified in Article 5, paragraphs (1) to (5) and paragraphs (8) to (13) Article 6(2) of this Regulation with the frequency laid down in those Articles;

(b) 

the information regarding entities included in the scope of consolidation specified in Annex I, template 6, in accordance with the instructions in Annex II, Part II, point 2, with a semi-annual frequency.

Article 11

Reporting on financial information on a consolidated basis for institutions subject to Regulation (EC) No 1606/2002 of the European Parliament and of the Council ( 2 )

1.  
In order to report financial information on a consolidated basis in accordance with Article 430(3) or (4) of Regulation (EU) No 575/2013, institutions shall submit the information as specified in Annex III on a consolidated basis, in accordance with the instructions in Annex V.
2.  

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

(a) 

the information specified in Annex III, Part 1, with a quarterly frequency;

(b) 

the information specified in Annex III, Part 3, with a semi-annual frequency;

(c) 

the information specified in Annex III, Part 4, with the exception of the information specified in template 47, with an annual frequency;

(d) 

the information specified in Annex III, Part 2, template 20, with a quarterly frequency where the institution exceeds the threshold laid down in Article 5(5), the second subparagraph;

(e) 

the information specified in Annex III, Part 2, template 21, with a quarterly frequency where tangible assets subject to operating leases are equal to or higher than 10 % of total tangible assets as reported in accordance with Annex III, Part 1,template 1.1;

(f) 

the information specified in Annex III, Part 2, template 22, with a quarterly frequency where net fee and commission income is equal to or higher than 10 % of the sum of net fee and commission income and net interest income as reported in accordance with Annex III, Part 1, template 2;

(g) 

the information specified in Annex III, Part 2, templates 23 to 26, with a quarterly frequency where both of the following conditions are fulfilled:

(i) 

the institution is not a small and non-complex institution;

(ii) 

the ratio between the institution’s gross carrying amount of loans and advances that fall under Article 47a(3) of Regulation (EU) No 575/2013 and the total gross carrying amount of loans and advances that fall under Article 47a(1) of that Regulation is equal to or higher than 5 %;

(h) 

the information specified in Annex III, Part 4, template 47, with an annual frequency where both of the conditions set out in point (g) of this paragraph are fulfilled.

For the purpose of point (g)(ii), the ratio shall not include loans and advances classified as held for sale, cash balances at central banks and other demand deposits in either the denominator or the numerator.

For the purposes of points (d) to (h) of this paragraph, the entry and exit criteria referred to in Article 4(3) shall apply.

Article 12

Reporting on financial information on a consolidated basis for institutions applying national accounting frameworks

1.  
Where a competent authority has extended the reporting requirements on financial information to institutions established in a Member State in accordance with Article 430(9) of Regulation (EU) No 575/2013, institutions shall submit the information as specified in Annex IV to this Regulation on a consolidated basis, in accordance with the instructions in Annex V to this Regulation.
2.  

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

(a) 

the information specified in Annex IV, Part 1, with a quarterly frequency;

(b) 

the information specified in Annex IV, Part 3, with a semi-annual frequency;

(c) 

the information specified in Annex IV, Part 4, with the exception of the information specified in template 47, with an annual frequency;

(d) 

the information specified in Annex IV, Part 2, template 20, with a quarterly frequency where the institution exceeds the threshold laid down in Article 5(5), the second subparagraph;

(e) 

the information specified in Annex IV, Part 2, template 21, with a quarterly frequency where tangible assets subject to operating leases are equal to or higher than 10 % of total tangible assets as reported in accordance with Annex IV, Part 1, template 1.1;

(f) 

the information specified in Annex IV, Part 2, template 22, with a quarterly frequency where net fee and commission income is equal to or higher than 10 % of the sum of net fee and commission income and net interest income as reported in accordance with Annex IV, Part 1, template 2;

(g) 

the information specified in Annex IV, Part 2, templates 23 to 26, with a quarterly frequency where both of the following conditions are fulfilled:

(i) 

the institution is not a small and non-complex;

(ii) 

the institution’s ratio as specified in Article 11(2), point (g)(ii) is equal to or higher than 5 %;

(h) 

the information specified in Annex IV, Part 4, template 47, with an annual frequency where both of the conditions set out in point (g) of this paragraph are fulfilled.

For the purposes of points (d) to (h) of this paragraph, the entry and exit criteria referred to in Article 4(3) shall apply.

Article 13

Reporting on losses stemming from lending collateralised by immovable property in accordance with Article 430a(1) of Regulation (EU) No 575/2013 on an individual and a consolidated basis

1.  
Institutions shall submit the information as specified in Annex VI, in accordance with the instructions in Annex VII, on a consolidated basis with an annual frequency.
2.  
Institutions shall submit the information as specified in Annex VI, in accordance with the instructions in Annex VII, on a individual basis with an annual frequency.
3.  
Where an institution has a branch in another Member State, that branch shall submit to the competent authority of the host Member State the information specified in Annex VI related to that branch, in accordance with the instructions in Annex VII, with an annual frequency.

Article 14

Reporting on large exposures on an individual and a consolidated basis

1.  
In order to report information on large exposures to clients and groups of connected clients in accordance with Article 394 of Regulation (EU) No 575/2013 on an individual and a consolidated basis, institutions shall submit the information as specified in Annex VIII, in accordance with the instructions in Annex IX, with a quarterly frequency.
2.  
In order to report information on the 20 largest exposures to clients or groups of connected clients in accordance with Article 394(1) of Regulation (EU) No 575/2013 on a consolidated basis, institutions subject to Part Three, Title II, Chapter 3 of Regulation (EU) No 575/2013 shall submit the information specified in Annex VIII, in accordance with the instructions in Annex IX, with a quarterly frequency.
3.  
In order to report information on exposures of a value greater than or equal to EUR 300 million but less than 10 % of the institution’s Tier 1 capital in accordance with Article 394(1) of Regulation (EU) No 575/2013 on a consolidated basis, institutions shall submit the information specified in Annex VIII, in accordance with the instructions in Annex IX, with a quarterly frequency.
4.  
In order to report information on the 10 largest exposures to institutions on a consolidated basis, and on the 10 largest exposures to shadow banking entities that carry out banking activities outside the regulated framework on a consolidated basis, in accordance with Article 394(2) of Regulation (EU) No 575/2013, institutions shall submit the information as specified in Annex VIII, in accordance with the instructions in Annex IX, with a quarterly frequency.

Article 15

Reporting on leverage ratio on an individual and a consolidated basis

1.  
In order to report information on the leverage ratio in accordance with Article 430(1), point (a), of Regulation (EU) No 575/2013 on an individual and a consolidated basis, institutions shall submit the information as specified in Annex X, in accordance with the instructions in Annex XI, with a quarterly frequency. Only large institutions shall submit template 48.00 of Annex X.
2.  

The information specified in Annex X, template 40.00, cell {r0410;c0010} shall be reported only by:

(a) 

large institutions that either are G-SIIs or have issued securities that are admitted to trading on a regulated market with a semi-annual frequency;

(b) 

large institutions other than G-SIIs that are not listed institutions with an annual frequency;

(c) 

institutions other than large institutions and small and non-complex institutions that have issued securities that are admitted to trading on a regulated market with an annual frequency.

3.  
Institutions shall calculate the leverage ratio at the reporting reference date in accordance with Article 429 of Regulation (EU) No 575/2013.
4.  

Institutions shall report the information referred to in Annex XI, Part II, point 13, where at least one of the following conditions is met:

(a) 

the derivatives share referred to in Annex XI, Part II, point 5, is more than 1,5 %;

(b) 

the derivatives share referred to in Annex XI, Part II, point 5, exceeds 2 %.

If an institution meets only the point (a) condition, the entry and exit criteria of Article 4(3) shall apply.

If an institution meets both the point (a) and point (b) conditions, it shall start reporting that information for the reference date following the reporting reference date on which it exceeded the threshold.

5.  
Institutions for which the total notional value of derivatives as defined in Annex XI, Part II, point 8, exceeds EUR 10 000  million shall report the information referred to in Annex XI, Part II, point 13, even if their derivatives share does not fulfil the conditions set out in paragraph 4 of this Article.

For the purposes of this paragraph, the entry criteria of Article 4(3) shall not apply. Institutions shall start reporting information from the next reporting reference date where they have exceeded the threshold on one reporting reference date.

6.  

Institutions are required to report the information referred to in Annex XI, Part II, point 14, where at least one of the following conditions is met:

(a) 

the credit derivatives volume referred to in Annex XI, Part II, point 9, is more than EUR 300 million;

(b) 

the credit derivatives volume referred to in Annex XI, Part II, point 9, exceeds EUR 500 million.

If an institution meets only the point (a) condition, the entry and exit criteria of Article 4(3) shall apply. If an institution meets both the point (a) and point (b) conditions, it shall start reporting that information for the reference date following the reporting reference date on which it exceeded the threshold.

Article 16

Reporting on the liquidity coverage requirement on an individual and a consolidated basis

1.  
In order to report information on the liquidity coverage requirement in accordance with Article 430(1), point (d), of Regulation (EU) No 575/2013 on an individual and a consolidated basis, institutions shall submit the information specified in Annex XXIV to this Regulation, in accordance with the instructions in Annex XXV to this Regulation, with a monthly frequency;
2.  
The information set out in Annex XXIV shall take into account the information submitted for the reference date and the information on the cash-flows of the institution over the following 30 calendar days.

Article 17

Reporting on stable funding on an individual and a consolidated basis

In order to report information on stable funding in accordance with Article 430(1), point (d), of Regulation (EU) No 575/2013 on an individual and a consolidated basis, institutions shall submit the information specified in Annex XII, in accordance with the instructions in Annex XIII, with a quarterly frequency as follows:

(a) 

small and non-complex institutions that have chosen to calculate their net stable funding ratio (NSFR) using the methodology set out in Part Six, Title IV, Chapters 6 and 7 of Regulation (EU) No 575/2013, with the prior permission of their competent authority in accordance with Article 428ai of that Regulation, shall submit templates 82 and 83 of Annex XII to this Regulation, in accordance with the instructions in Annex XIII to this Regulation;

(b) 

institutions other than those referred to in point (a) shall submit templates 80 and 81 of Annex XII, in accordance with the instructions in Annex XIII;

(c) 

all institutions shall submit template 84 of Annex XII, in accordance with the instructions in Annex XIII.

Article 18

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

1.  

In order to report 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 all of the following information with a monthly frequency:

(a) 

the information specified in Annex XVIII in accordance with the instructions in Annex XIX;

(b) 

the information specified in Annex XX in accordance with the instructions in Annex XXI;

(c) 

the information specified in Annex XXII in accordance with the instructions in Annex XXIII.

2.  
By way of derogation from paragraph 1, an institution that meets all the conditions set out in Article 4(1), point (145), of Regulation (EU) No 575/2013 may report the information on additional liquidity monitoring metrics with a quarterly frequency.

Article 19

Reporting on asset encumbrance on an individual and a consolidated basis

1.  
In order to report information on asset encumbrance in accordance with Article 430(1), point (g), of Regulation (EU) No 575/2013 on an individual and a consolidated basis, institutions shall submit the information specified in Annex XVI to this Regulation, in accordance with the instructions set out in Annex XVII to this Regulation.
2.  

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

(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.  

Institutions shall not be required to report the information specified in Annex XVI, Parts B, C and E, where both of the following conditions are met:

(a) 

the institution is not considered a large institution;

(b) 

the asset encumbrance level of the institution, as calculated in accordance with Annex XVII, point 1.6, sub-point 9, is below 15 %.

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

4.  
Institutions shall report the information specified in Annex XVI, Part D, only where they issue bonds referred to in Article 52(4), the first subparagraph, of Directive 2009/65/EC of the European Parliament and of the Council ( 3 ).

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

Article 20

Supplementary reporting on a consolidated basis for the purposes of identifying G-SIIs and assigning G-SII buffer rates

1.  
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, EU parent institutions, EU parent financial holdings and EU parent mixed financial holdings shall submit the information as specified in Annex XXVI, in accordance with the instructions in Annex XXVII, on a consolidated basis with a quarterly frequency.
2.  

EU parent institutions, EU parent financial holdings and EU parent mixed financial holdings shall only submit the information referred to in paragraph 1, 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  million;

(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 ( 4 ).

3.  
By way of derogation from Article 3(1), point (b), the information referred to in paragraph 1 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 threshold specified in paragraph 2, point (a), of this Article:

(a) 

the EU parent institution, EU parent financial holding or EU parent mixed financial holding 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 or EU parent mixed financial holding 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.

Article 21

Data exchange formats and information accompanying submissions

1.  

Institutions shall submit the information in the data exchange formats and representations specified by the competent authorities and respecting the data point definition of the data point model referred to in Annex XIV and the validation formulae referred to in Annex XV as well as the following specifications:

(a) 

information that is not required or not applicable shall not be included in a data submission;

(b) 

numerical values shall be submitted as follows:

(i) 

data points with the data type ‘Monetary’ shall be reported using a minimum precision equivalent to thousands of units;

(ii) 

data points with the data type ‘Percentage’ shall be expressed as per unit with a minimum precision equivalent to four decimals;

(iii) 

data points with the data type ‘Integer’ shall be reported using no decimals and a precision equivalent to units;

(c) 

institutions and insurance undertakings shall be identified solely by their Legal Entity Identifier (LEI);

(d) 

legal entities and counterparties other than institutions and insurance undertakings shall be identified by their LEI where available.

2.  

Institutions shall accompany the submitted data by the following information:

(a) 

reporting reference date and reference period;

(b) 

reporting currency;

(c) 

accounting standard;

(d) 

Legal Entity Identifier (LEI) of the reporting institution;

(e) 

scope of consolidation.

Article 22

Repeal of Implementing Regulation (EU) No 680/2014

Implementing Regulation (EU) No 680/2014 is repealed.

References to the repealed Regulation shall be construed as references to this Regulation.

Article 23

Entry into force and application

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

It shall apply from 28 June 2021.

Notwithstanding the second paragraph of this Article, reporting on leverage ratio buffer requirement for institutions identified as G-SIIs provided for in template 47 of Annex X shall apply from 1 January 2023.

Articles 9 and 10 shall cease to apply on 26 June 2026.

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




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 ACCORDING TO POINT (f) OF ARTICLE 180(1) (CR IRB 5)

 

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

 

0360

1.1.1.11.2

Deferred tax liabilities associated to other 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 CRR

 

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 CRR

 

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 CRR

 

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 CRR

 

0030

1**

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

 

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 CRR

 

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

 

0240

1.1.2

Internal ratings based Approach (IRB)

 

0241

1.1.2*

Of which: Additional stricter prudential requirements based on Article 164 CRR

 

0242

1.1.2**

Of which: Additional stricter prudential requirements based on Article 124 CRR

 

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

 

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 CRR

 

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 CRR

 

0760

1.8.4

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

 



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 CRR and 104a CRD

 

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

Exception from deduction of intangible assets 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 Article 59 BRRD powers

 

 

 

 

 

 

0064

1.1.4.2*

of which: Instruments governed by third-country law without effective and enforceable exercise of Article 59 BRRD powers

 

 

 

 

 

 

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 1.1.2018 – 31.12.2019

 

 

 

 

 

 

0443

1.3.4.3

Memorandum item: ECL impact of the dynamic component for the period starting on 1.1.2020

 

 

 

 

 

 



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 point (a) of Article 57 of 2006/48/EC

 

 

 

 

 

link to {CA5.1;r060;c010)

0020

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 CRR

 

 

 

 

 

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 CRR 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 CRR 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 CRR after the date of effective maturity

 

 

 

 

 

 

0080

2.3

Excess on the limit of CET1 grandfathered instruments

 

 

 

 

 

 

0090

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 CRR

 

 

 

 

 

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 CRR 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 CRR 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 CRR 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 (%)

 

 

OWN FUNDS

 

 

TOTAL RISK EXPOSURE AMOUNT

 

QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS

 

CONSOLIDATED OWN FUNDS

 

COMBINED BUFFER REQUIREMENT

 

TOTAL RISK EXPOSURE AMOUNT

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

POSITION, FX AND COMMODITIES RISKS

OPERATIONAL RISK

OTHER RISK EXPOSURE AMOUNTS

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0030

Off balance sheet items subject to credit risk

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Exposures / Transactions subject to counterparty credit risk

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0040

Securities Financing Transactions netting sets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0050

Derivatives & Long Settlement Transactions netting sets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0060

From Contractual Cross Product netting sets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0070

EXPOSURES ASSIGNED TO OBLIGOR GRADES OR POOLS: TOTAL

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0080

SPECIALIZED LENDING SLOTTING APPROACH: TOTAL

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0160

ALTERNATIVE TREATMENT: SECURED BY REAL ESTATE

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0170

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0180

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 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

 

0005

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



C 08.03 - CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BREAKDOWN BY PD RANGES (CR IRB 3)

IRB Exposure class:

Own estimates of LGD and/or conversion factors:

PD RANGE

ON-BALANCE SHEET EXPOSURES

OFF-BALANCE-SHEET EXPOSURES PRE-CONVERSION FACTORS

EXPOSURE WEIGHTED AVERAGE CONVERSION FACTORS

EXPOSURE VALUE POST CONVERSION FACTORS AND POST CRM

EXPOSURE WEIGHTED AVERAGE PD (%)

NUMBER OF OBLIGORS

EXPOSURE WEIGHTED AVERAGE LGD (%)

EXPOSURE WEIGHTED AVERAGE MATURITY (YEARS)

RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS

EXPECTED LOSS AMOUNT

VALUE ADJUST-MENTS AND PROVISIONS

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

0110

0010

0.00 to <0.15

 

 

 

 

 

 

 

 

 

 

 

0020

0.00 to <0.10

 

 

 

 

 

 

 

 

 

 

 

0030

0.10 to <0.15

 

 

 

 

 

 

 

 

 

 

 

0040

0.15 to <0.25

 

 

 

 

 

 

 

 

 

 

 

0050

0.25 to <0.50

 

 

 

 

 

 

 

 

 

 

 

0060

0.50 to <0.75

 

 

 

 

 

 

 

 

 

 

 

0070

0.75 to <2.5

 

 

 

 

 

 

 

 

 

 

 

0080

0.75 to <1.75

 

 

 

 

 

 

 

 

 

 

 

0090

1.75 to <2.5

 

 

 

 

 

 

 

 

 

 

 

0100

2.5 to <10

 

 

 

 

 

 

 

 

 

 

 

0110

2.5 to <5

 

 

 

 

 

 

 

 

 

 

 

0120

5 to <10

 

 

 

 

 

 

 

 

 

 

 

0130

10 to <100

 

 

 

 

 

 

 

 

 

 

 

0140

10 to <20

 

 

 

 

 

 

 

 

 

 

 

0150

20 to <30

 

 

 

 

 

 

 

 

 

 

 

0160

30 to <100

 

 

 

 

 

 

 

 

 

 

 

0170

100 (Default)

 

 

 

 

 

 

 

 

 

 

 



C 08.04 - CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: RWEA FLOW STATEMENTS (CR IRB 4)

 

RISK WEIGHTED EXPOSURE AMOUNT

0010

0010

RISK WEIGHTED EXPOSURE AMOUNT AT THE END OF THE PREVIOUS REPORTING PERIOD

 

0020

ASSET SIZE (+/-)

 

0030

ASSET QUALITY (+/-)

 

0040

MODEL UPDATES (+/-)

 

0050

METHODOLOGY AND POLICY (+/-)

 

0060

ACQUISITIONS AND DISPOSALS (+/-)

 

0070

FOREIGN EXCHANGE MOVEMENTS (+/-)

 

0080

OTHER (+/-)

 

0090

RISK WEIGHTED EXPOSURE AMOUNT AT THE END OF THE REPORTING PERIOD

 



C 08.05 - CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BACK-TESTING OF PD (CR IRB 5)

IRB Exposure class:

Own estimates of LGD and/or conversion factors:

PD RANGE

ARITHMETIC AVERAGE PD (%)

NUMBER OF OBLIGORS AT THE END OF THE PREVIOUS YEAR

 

OBSERVED AVERAGE DEFAULT RATE (%)

AVERAGE HISTORICAL ANNUAL DEFAULT RATE (%)

OF WHICH: DEFAULTED DURING THE YEAR

0010

0020

0030

0040

0050

0010

0.00 to <0.15

 

 

 

 

 

0020

0.00 to <0.10

 

 

 

 

 

0030

0.10 to <0.15

 

 

 

 

 

0040

0.15 to <0.25

 

 

 

 

 

0050

0.25 to <0.50

 

 

 

 

 

0060

0.50 to <0.75

 

 

 

 

 

0070

0.75 to <2.5

 

 

 

 

 

0080

0.75 to <1.75

 

 

 

 

 

0090

1.75 to <2.5

 

 

 

 

 

0100

2.5 to <10

 

 

 

 

 

0110

2.5 to <5

 

 

 

 

 

0120

5 to <10

 

 

 

 

 

0130

10 to <100

 

 

 

 

 

0140

10 to <20

 

 

 

 

 

0150

20 to <30

 

 

 

 

 

0160

30 to <100

 

 

 

 

 

0170

100 (Default)

 

 

 

 

 



C 08.05.1 - CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BACK-TESTING OF PD ACCORDING TO POINT (f) OF ARTICLE 180(1) (CR IRB 5)

IRB Exposure class:

Own estimates of LGD and/or conversion factors:

PD RANGE

EXTERNAL RATING EQUIVALENT

ARITHMETIC AVERAGE PD (%)

NUMBER OF OBLIGORS AT THE END OF THE PREVIOUS YEAR

 

OBSERVED AVERAGE DEFAULT RATE (%)

AVERAGE HISTORICAL ANNUAL DEFAULT RATE (%)

OF WHICH: DEFAULTED DURING THE YEAR

0005

0006

0010

0020

0030

0040

0050

 

 

 

 

 

 

 



C 08.06 - CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: SPECIALISED LENDING SLOTTING APPROACH (CR IRB 6)

Type of specialised lending:

 

ORIGINAL EXPOSURE PRE CONVERSION FACTORS

EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS

 

EXPOSURE VALUE

 

RISK WEIGHT

RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS

MEMORANDUM ITEMS:

EXPECTED LOSS AMOUNT

(-) VALUE ADJUSTMENTS AND PROVISIONS

OF WHICH: OFF BALANCE SHEET ITEMS

OF WHICH: OFF BALANCE SHEET ITEMS

OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

0010

CATEGORY 1

LESS THAN 2.5 YEARS

 

 

 

 

 

 

50 %

 

 

 

0020

EQUAL TO OR MORE THAN 2.5 YEARS

 

 

 

 

 

 

70 %

 

 

 

0030

CATEGORY 2

LESS THAN 2.5 YEARS

 

 

 

 

 

 

70 %

 

 

 

0040

EQUAL TO OR MORE THAN 2.5 YEARS

 

 

 

 

 

 

90 %

 

 

 

0050

CATEGORY 3

LESS THAN 2.5 YEARS

 

 

 

 

 

 

115 %

 

 

 

0060

EQUAL TO OR MORE THAN 2.5 YEARS

 

 

 

 

 

 

115 %

 

 

 

0070

CATEGORY 4

LESS THAN 2.5 YEARS

 

 

 

 

 

 

250 %

 

 

 

0080

EQUAL TO OR MORE THAN 2.5 YEARS

 

 

 

 

 

 

250 %

 

 

 

0090

CATEGORY 5

LESS THAN 2.5 YEARS

 

 

 

 

 

 

 

 

 

0100

EQUAL TO OR MORE THAN 2.5 YEARS

 

 

 

 

 

 

 

 

 

0110

TOTAL

LESS THAN 2.5 YEARS

 

 

 

 

 

 

 

 

 

 

0120

EQUAL TO OR MORE THAN 2.5 YEARS

 

 

 

 

 

 

 

 

 

 



C 08.07 - CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: SCOPE OF USE OF IRB AND SA APPROACHES (CR IRB 7)

 

TOTAL EXPOSURE VALUE AS DEFINED IN ART 166 CRR

TOTAL EXPOSURE VALUE SUBJECT TO SA AND IRB

PERCENTAGE OF TOTAL EXPOSURE VALUE SUBJECT TO PERMANENT PARTIAL USE OF SA (%)

PERCENTAGE OF TOTAL EXPOSURE VALUE SUBJECT TO A ROLL-OUT PLAN (%)

PERCENTAGE OF TOTAL EXPOSURE VALUE SUBJECT TO IRB APPROACH (%)

0010

0020

0030

0040

0050

0010

CENTRAL GOVERNMENTS OR CENTRAL BANKS

 

 

 

 

 

0020

OF WHICH: REGIONAL GOVERNMENTS OR LOCAL AUTHORITIES

 

 

 

 

 

0030

OF WHICH: PUBLIC SECTOR ENTITIES

 

 

 

 

 

0040

INSTITUTIONS

 

 

 

 

 

0050

CORPORATES

 

 

 

 

 

0060

OF WHICH: CORPORATES - SPECIALISED LENDING, EXCLUDING SLOTTING APPROACH

 

 

 

 

 

0070

OF WHICH: CORPORATES - SPECIALISED LENDING, INCLUDING SLOTTING APPROACH

 

 

 

 

 

0080

OF WHICH: CORPORATES - SMES

 

 

 

 

 

0090

RETAIL

 

 

 

 

 

0100

OF WHICH RETAIL – SECURED BY REAL ESTATE SMES

 

 

 

 

 

0110

OF WHICH RETAIL – SECURED BY REAL ESTATE NON-SMES

 

 

 

 

 

0120

OF WHICH RETAIL – QUALIFYING REVOLVING

 

 

 

 

 

0130

OF WHICH RETAIL – OTHER SMES

 

 

 

 

 

0140

OF WHICH RETAIL – OTHER NON-SMES

 

 

 

 

 

0150

EQUITY

 

 

 

 

 

0160

OTHER NON-CREDIT OBLIGATION ASSETS

 

 

 

 

 

0170

TOTAL

 

 

 

 

 



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

Country:

 

ORIGINAL EXPOSURE PRE CONVERSION FACTORS

Observed new defaults for the period

General credit risk adjustments

Specific credit risk adjustments

Write offs

Additional value adjustments and other own funds reductions

Credit risk adjustments/write-offs for observed new defaults

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

 

Defaulted exposures

0010

0020

0040

0050

0055

0060

0061

0070

0075

0080

0081

0082

0090

0010

Central governments or central banks

 

 

 

 

 

 

 

 

 

 

 

 

 

0020

Regional governments or local authorities

 

 

 

 

 

 

 

 

 

 

 

 

 

0030

Public sector entities

 

 

 

 

 

 

 

 

 

 

 

 

 

0040

Multilateral Development Banks

 

 

 

 

 

 

 

 

 

 

 

 

 

0050

International Organisations

 

 

 

 

 

 

 

 

 

 

 

 

 

0060

Institutions

 

 

 

 

 

 

 

 

 

 

 

 

 

0070

Corporates

 

 

 

 

 

 

 

 

 

 

 

 

 

0075

of which: SME

 

 

 

 

 

 

 

 

 

 

 

 

 

0080

Retail

 

 

 

 

 

 

 

 

 

 

 

 

 

0085

of which: SME

 

 

 

 

 

 

 

 

 

 

 

 

 

0090

Secured by mortgages on immovable property

 

 

 

 

 

 

 

 

 

 

 

 

 

0095

of which: SME

 

 

 

 

 

 

 

 

 

 

 

 

 

0100

Exposures in default

 

 

 

 

 

 

 

 

 

 

 

 

 

0110

Items associated with particularly high risk

 

 

 

 

 

 

 

 

 

 

 

 

 

0120

Covered bonds

 

 

 

 

 

 

 

 

 

 

 

 

 

0130

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

 

 

 

 

 

 

 

 

 

 

 

 

 

0140

Collective investments undertakings (CIU)

 

 

 

 

 

 

 

 

 

 

 

 

 

0141

Look-through approach

 

 

 

 

 

 

 

 

 

 

 

 

 

0142

Mandate-based approach

 

 

 

 

 

 

 

 

 

 

 

 

 

0143

Fall-back approach

 

 

 

 

 

 

 

 

 

 

 

 

 

0150

Equity exposures

 

 

 

 

 

 

 

 

 

 

 

 

 

0160

Other exposures

 

 

 

 

 

 

 

 

 

 

 

 

 

0170

Total exposures

 

 

 

 

 

 

 

 

 

 

 

 

 



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

Country:

 

ORIGINAL EXPOSURE PRE CONVERSION FACTORS

Observed new defaults for the period

General credit risk adjustments

Specific credit risk adjustments

Write off

Credit risk adjustments/write-offs for observed new defaults

PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%)

EXPOSURE WEIGHTED AVERAGE LGD (%)

EXPOSURE VALUE

RISK WEIGHTED EXPOSURE AMOUNT PRE 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

EXPECTED LOSS AMOUNT

 

Of which: defaulted

 

Of which: defaulted

Of which: defaulted

0010

0030

0040

0050

0055

0060

0070

0080

0090

0100

0105

0110

0120

0121

0122

0125

0130

0010

Central governments or central banks

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0020

Institutions

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0030

Corporates

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0042

Of Which: Specialised Lending (excl. SL under the slotting approach)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0045

Of Which: Specialised Lending under the slotting approach

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0050

Of Which: SME

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0060

Retail

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0070

Secured by immovable property

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0080

SME

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0090

Non-SME

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0100

Qualifying Revolving

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0110

Other Retail

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0120

SME

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0130

Non-SME

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0140

Equity

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0150

Total exposures

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



C 09.04 - BREAKDOWN OF CREDIT EXPOSURES RELEVANT FOR THE CALCULATION OF THE COUNTERCYCLICAL BUFFER BY COUNTRY AND INSTITUTION-SPECIFIC COUNTERCYCLICAL BUFFER RATE (CCB)

Country:

 

Amount

Percentage

Qualitative information

0010

0020

0030

Relevant credit exposures - Credit Risk

 

0010

Exposure value under the Standardised Approach

 

 

 

0020

Exposure value under the IRB Approach

 

 

 

Relevant credit exposures – Market risk

 

0030

Sum of long and short positions of trading book exposures for standardised approaches

 

 

 

0040

Value of trading book exposures for internal models

 

 

 

Relevant credit exposures – Securitisation

 

0055

Exposure value of securitisation positions in the banking book

 

 

 

Own funds requirements and weights

 

0070

Total own funds requirements for CCB

 

 

 

0080

Own funds requirements for relevant credit exposures – Credit risk

 

 

 

0090

Own funds requirements for relevant credit exposures – Market risk

 

 

 

0100

Own funds requirements for relevant credit exposures – Securitisation positions in the banking book

 

 

 

0110

Own funds requirements weights

 

 

 

Countercyclical capital buffer rates

 

0120

Countercyclical capital buffer rate set by the Designated Authority

 

 

 

0130

Countercyclical capital buffer rate applicable for the country of the institution

 

 

 

0140

Institution-specific countercyclical capital buffer rate

 

 

 

Use of 2 % threshold

 

0150

Use of 2 % threshold for general credit exposure

 

 

 

0160

Use of 2 % threshold for trading book exposure

 

 

 



C 10.01 - CREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS (CR EQU IRB 1)

 

INTERNAL RATING SCALE

ORIGINAL EXPOSURE PRE CONVERSION FACTORS

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

EXPOSURE VALUE

 

EXPOSURE WEIGHTED AVERAGE LGD

(%)

RISK WEIGHTED EXPOSURE AMOUNT

MEMORANDUM ITEM:

UNFUNDED CREDIT PROTECTION

SUBSTITUTION OF THE EXPOSURE DUE TO CRM

OF WHICH: OFF BALANCE SHEET ITEMS

EXPECTED LOSS AMOUNT

PD ASSIGNED TO THE OBLIGOR GRADE

(%)

(-) GUARANTEES

(-) CREDIT DERIVATIVES

(-) TOTAL OUTFLOWS

0010

0020

0030

0040

0050

0060

0061

0070

0080

0090

0010

TOTAL IRB EQUITY EXPOSURES

 

 

 

 

 

 

 

 

Cell linked to CA

 

0020

PD/LGD APRROACH: TOTAL

 

 

 

 

 

 

 

 

 

 

0050

SIMPLE RISK WEIGHT APPROACH: TOTAL

 

 

 

 

 

 

 

 

 

 

0060

BREAKDOWN OF TOTAL EXPOSURES UNDER THE SIMPLE RISK WEIGHT APRROACH BY RISK WEIGHTS:

0070

RISK WEIGHT: 190 %

 

 

 

 

 

 

 

 

 

 

0080

290 %

 

 

 

 

 

 

 

 

 

 

0090

370 %

 

 

 

 

 

 

 

 

 

 

0100

INTERNAL MODELS APPROACH

 

 

 

 

 

 

 

 

 

 

0110

EQUITY EXPOSURES SUBJECT TO RISK WEIGHTS

 

 

 

 

 

 

 

 

 

 



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)

OBLIGOR GRADE (ROW IDENTIFIER)

INTERNAL RATING SCALE

ORIGINAL EXPOSURE PRE CONVERSION FACTORS

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

EXPOSURE VALUE

EXPOSURE WEIGHTED AVERAGE LGD (%)

RISK WEIGHTED EXPOSURE AMOUNT

MEMORANDUM ITEM:

UNFUNDED CREDIT PROTECTION

SUBSTITUTION OF THE EXPOSURE DUE TO CRM

EXPECTED LOSS AMOUNT

PD ASSIGNED TO THE OBLIGOR GRADE (%)

(-) GUARANTEES

(-) CREDIT DERIVATIVES

(-) TOTAL OUTFLOWS

0005

0010

0020

0030

0040

0050

0060

0070

0080

0090

 

 

 

 

 

 

 

 

 

 



C 11.00 - SETTLEMENT/DELIVERY RISK (CR SETT)

 

UNSETTLED TRANSACTIONS AT SETTLEMENT PRICE

PRICE DIFFERENCE EXPOSURE DUE TO UNSETTLED TRANSACTIONS

OWN FUNDS REQUIREMENTS

TOTAL SETTLEMENT RISK EXPOSURE AMOUNT

0010

0020

0030

0040

0010

Total unsettled transactions in the Non-trading Book

 

 

 

Cell linked to CA

0020

Transactions unsettled up to 4 days (Factor 0%)

 

 

 

 

0030

Transactions unsettled between 5 and 15 days (Factor 8%)

 

 

 

 

0040

Transactions unsettled between 16 and 30 days (Factor 50%)

 

 

 

 

0050

Transactions unsettled between 31 and 45 days (Factor 75%)

 

 

 

 

0060

Transactions unsettled for 46 days or more (Factor 100%)

 

 

 

 

0070

Total unsettled transactions in the Trading Book