ANNEX V

a

b

c

d

e

f

g

Carrying values as reported in published financial statements

Carrying values under scope of prudential consolidation

Carrying values of items

Subject to the credit risk framework

Subject to the CCR framework

Subject to the securitisation framework

Subject to the market risk framework

Not subject to own funds requirements or subject to deduction from own funds

Breakdown by asset clases according to the balance sheet in the published financial statements

1

2

3

….

xxx

Total assets

Breakdown by liability classes according to the balance sheet in the published financial statements

1

2

3

….

xxx

Total liabilities

a

b

c

d

e

Total

Items subject to

Credit risk framework

Securitisation framework

CCR framework

Market risk framework

1

Assets carrying value amount under the scope of prudential consolidation (as per template LI1)

2

Liabilities carrying value amount under the scope of prudential consolidation (as per template LI1)

3

Total net amount under the scope of prudential consolidation

4

Off-balance-sheet amounts

5

Differences in valuations

6

Differences due to different netting rules, other than those already included in row 2

7

Differences due to consideration of provisions

8

Differences due to the use of credit risk mitigation techniques (CRMs)

9

Differences due to credit conversion factors

10

Differences due to Securitisation with risk transfer

11

Other differences

12

Exposure amounts considered for regulatory purposes

a

b

c

d

e

f

g

h

Name of the entity

Method of accounting consolidation

Method of prudential consolidation

Description of the entity

Full consolidation

Proportional consolidation

Equity method

Neither consolidated nor deducted

Deducted

Entity A

Full consolidation

X

Credit institution

Entity N

Full consolidation

X

Credit institution

Entity Z

Full consolidation

X

Insurance entity

Entity AA

Full consolidation

X

Immaterial leasing company

Legal basis

Row number

Qualitative information - Free format

Article 436(b) CRR

(a)

Differences between columns (a) and (b) in template EU LI1

Article 436(d) CRR

(b)

Qualitative information on the main sources of differences between the accounting and regulatoy scope of consolidation shown in template EU LI2

Legal basis

Row number

Qualitative information - Free format

Article 436(f) CRR

(a)

Impediment to the prompt transfer of own funds or to the repayment of liabilities within the group

Article 436(g) CRR

(b)

Subsidiaries not included in the consolidation with own funds less than required

Article 436(h) CRR

(c)

Use of derogation referred to in Article 7 CRR or individual consolidation method laid down in Article 9 CRR

Article 436(g) CRR

(d)

Aggregate amount by which the actual own funds are less than required in all subsidiaries that are not included in the consolidation

a

b

c

d

e

EU e1

EU e2

f

g

h

Risk category

Category level AVA - Valuation uncertainty

Total category level post-diversification

Category level AVA

Equity

Interest Rates

Foreign exchange

Credit

Commodities

Unearned credit spreads AVA

Investment and funding costs AVA

Of which: Total core approach in the trading book

Of which: Total core approach in the banking book

1

Market price uncertainty

2

Not applicable

3

Close-out cost

4

Concentrated positions

5

Early termination

6

Model risk

7

Operational risk

8

Not applicable

9

Not applicable

10

Future administrative costs

11

Not applicable

12

Total Additional Valuation Adjustments (AVAs)