+Section 2 - Total Exposures Amount

Section 2 - Total Exposures Amount

  • a. Derivatives (1) Counterparty exposure of derivatives contracts (2) Capped notional amount of credit derivatives (3) Potential future exposure of derivatives contracts
  • b. Securities financing transactions (SFTs) (1) Adjusted gross value of SFTs

(2) Counterparty exposure of SFTs

  • c. Other assets
  • d. Gross notional amount of off-balance-sheet items (1) Items subject to a 0% credit conversion factor (CCF) (2) Items subject to a 20% CCF (3) Items subject to a 50% CCF

(4) Items subject to a 100% CCF

  • e. Regulatory adjustments
  • f. Total exposures prior to regulatory adjustments (sum of items 2.a.(1) through 2.c., 0.1 times 2.d.(1), 0.2 times 2.d.(2), 0.5 times 2.d.(3), and 2.d.(4))
  • g. Exposures of insurance subsidiaries not included in 2.f. net of intragroup: (1) On-balance-sheet and off-balance-sheet assets of insurance subsidiaries (2) Potential future exposure of derivatives contracts of insurance subsidiaries (3) Investment value in consolidated entities
  • h. Intragroup exposures included in 2.f. to insurance subsidiaries reported in 2.g.
  • i. Total exposures indicator, including insurance subsidiaries (sum of items 2.f., 2.g.(1) through 2.g.(2) minus 2.g.(3) through 2.h.)

1. Přehled

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1.1 Odkazy

1.2 Identifikované požadavky

1.3 Související standardy

2. Identifikované požadavky

Požadavky

3. Související standardy

Standardy
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