+ANNEX I

ANNEX I



ANNEX I

REPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS



COREP TEMPLATES

Template number

Template code

Name of the template /group of templates

Short name

 

 

CAPITAL ADEQUACY

CA

1

C 01.00

OWN FUNDS

CA1

2

C 02.00

OWN FUNDS REQUIREMENTS

CA2

3

C 03.00

CAPITAL RATIOS

CA3

4

C 04.00

MEMORANDUM ITEMS

CA4

 

 

TRANSITIONAL PROVISIONS

CA5

5.1

C 05.01

TRANSITIONAL PROVISIONS

CA5.1

5.2

C 05.02

GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUING STATE AID

CA5.2

 

 

GROUP SOLVENCY

GS

6.1

C 06.01

GROUP SOLVENCY: INFORMATION ON AFFILIATES - TOTAL

GS Total

6.2

C 06.02

GROUP SOLVENCY: INFORMATION ON AFFILIATES

GS

 

 

CREDIT RISK

CR

7

C 07.00

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

CR SA

 

 

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

CR IRB

8.1

C 08.01

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

CR IRB 1

8.2

C 08.02

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

CR IRB 2

8.3

C 08.03

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

CR IRB 3

8.4

C 08.04

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

CR IRB 4

8.5

C 08.05

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

CR IRB 5

8.5.1

C 08.05.1

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

CR IRB 5B

8.6

C 08.06

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

CR IRB 6

8.7

C 08.07

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

CR IRB 7

 

 

GEOGRAPHICAL BREAKDOWN

CR GB

9.1

C 09.01

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

CR GB 1

9.2

C 09.02

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

CR GB 2

9.4

C 09.04

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

CCB

 

 

CREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS

CR EQU IRB

10.1

C 10.01

CREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS

CR EQU IRB 1

10.2

C 10.02

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

CR EQU IRB 2

11

C 11.00

SETTLEMENT/DELIVERY RISK

CR SETT

13.1

C 13.01

CREDIT RISK: SECURITISATIONS

CR SEC

14

C 14.00

DETAILED INFORMATION ON SECURITISATIONS

CR SEC Details

14.1

C 14.01

DETAILED INFORMATION ON SECURITISATIONS BY APPROACH

CR SEC Details 2

 

 

COUNTERPARTY CREDIT RISK

CCR

34.01

C 34.01

COUNTERPARTY CREDIT RISK: SIZE OF THE DERIVATIVE BUSINESS

CCR 1

34.02

C 34.02

COUNTERPARTY CREDIT RISK: CCR EXPOSURES BY APPROACH

CCR 2

34.03

C 34.03

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

CCR 3

34.04

C 34.04

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

CCR 4

34.05

C 34.05

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

CCR 5

34.06

C 34.06

COUNTERPARTY CREDIT RISK: TOP TWENTY COUNTERPARTIES

CCR 6

34.07

C 34.07

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

CCR 7

34.08

C 34.08

COUNTERPARTY CREDIT RISK: COMPOSITION OF COLLATERAL FOR CCR EXPOSURES

CCR 8

34.09

C 34.09

COUNTERPARTY CREDIT RISK: CREDIT DERIVATIVES EXPOSURES

CCR 9

34.10

C 34.10

COUNTERPARTY CREDIT RISK: EXPOSURES TO CCPs

CCR 10

34.11

C 34.11

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

CCR 11

 

 

OPERATIONAL RISK

OPR

16

C 16.00

OPERATIONAL RISK

OPR

 

 

OPERATIONAL RISK: LOSSES AND RECOVERIES

 

17.1

C 17.01

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

OPR DETAILS 1

17.2

C 17.02

OPERATIONAL RISK: LARGE LOSS EVENTS

OPR DETAILS 2

 

 

MARKET RISK

MKR

18

C 18.00

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

MKR SA TDI

19

C 19.00

MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS

MKR SA SEC

20

C 20.00

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

MKR SA CTP

21

C 21.00

MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES

MKR SA EQU

22

C 22.00

MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK

MKR SA FX

23

C 23.00

MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES

MKR SA COM

24

C 24.00

MARKET RISK INTERNAL MODELS

MKR IM

25

C 25.00

CREDIT VALUE ADJUSTMENT RISK

CVA

 

 

PRUDENT VALUATION

MKR

32.1

C 32.01

PRUDENT VALUATION: FAIR-VALUED ASSETS AND LIABILITIES

PRUVAL 1

32.2

C 32.02

PRUDENT VALUATION: CORE APPROACH

PRUVAL 2

32.3

C 32.03

PRUDENT VALUATION: MODEL RISK AVA

PRUVAL 3

32.4

C 32.04

PRUDENT VALUATION: CONCENTRATED POSITIONS AVA

PRUVAL 4

 

 

GENERAL GOVERNMENTS EXPOSURES

MKR

33

C 33.00

GENERAL GOVERNMENTS EXPOSURES BY COUNTRY OF THE COUNTERPARTY

GOV

 

 

NPE LOSS COVERAGE

NPE LC

35.1

C 35.01

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

NPE LC1

35.2

C 35.02

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

NPE LC2

35.3

C 35.03

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

NPE LC3



C 01.00 - OWN FUNDS (CA1)

Rows

ID

Item

Amount

0010

1

OWN FUNDS

 

0015

1.1

TIER 1 CAPITAL

 

0020

1.1.1

COMMON EQUITY TIER 1 CAPITAL

 

0030

1.1.1.1

Capital instruments eligible as CET1 Capital

 

0040

1.1.1.1.1

Fully paid up capital instruments

 

0045

1.1.1.1.1*

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

 

0050

1.1.1.1.2*

Memorandum item: Capital instruments not eligible

 

0060

1.1.1.1.3

Share premium

 

0070

1.1.1.1.4

(-) Own CET1 instruments

 

0080

1.1.1.1.4.1

(-) Direct holdings of CET1 instruments

 

0090

1.1.1.1.4.2

(-) Indirect holdings of CET1 instruments

 

0091

1.1.1.1.4.3

(-) Synthetic holdings of CET1 instruments

 

0092

1.1.1.1.5

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

 

0130

1.1.1.2

Retained earnings

 

0140

1.1.1.2.1

Previous years retained earnings

 

0150

1.1.1.2.2

Profit or loss eligible

 

0160

1.1.1.2.2.1

Profit or loss attributable to owners of the parent

 

0170

1.1.1.2.2.2

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

 

0180

1.1.1.3

Accumulated other comprehensive income

 

0200

1.1.1.4

Other reserves

 

0210

1.1.1.5

Funds for general banking risk

 

0220

1.1.1.6

Transitional adjustments due to grandfathered CET1 Capital instruments

 

0230

1.1.1.7

Minority interest given recognition in CET1 capital

 

0240

1.1.1.8

Transitional adjustments due to additional minority interests

 

0250

1.1.1.9

Adjustments to CET1 due to prudential filters

 

0260

1.1.1.9.1

(-) Increases in equity resulting from securitised assets

 

0270

1.1.1.9.2

Cash flow hedge reserve

 

0280

1.1.1.9.3

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

 

0285

1.1.1.9.4

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

 

0290

1.1.1.9.5

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

 

0300

1.1.1.10

(-) Goodwill

 

0310

1.1.1.10.1

(-) Goodwill accounted for as intangible asset

 

0320

1.1.1.10.2

(-) Goodwill included in the valuation of significant investments

 

0330

1.1.1.10.3

Deferred tax liabilities associated to goodwill

 

0335

1.1.1.10.4

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

 

0340

1.1.1.11

(-) Other intangible assets

 

0350

1.1.1.11.1

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

 

0352

1.1.1.11.1.1

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

 

0360

1.1.1.11.2

Deferred tax liabilities associated to other intangible assets

 

0362

1.1.1.11.2.1

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

 

0365

1.1.1.11.3

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

 

0370

1.1.1.12

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

 

0380

1.1.1.13

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

 

0390

1.1.1.14

(-) Defined benefit pension fund assets

 

0400

1.1.1.14.1

(-) Defined benefit pension fund assets

 

0410

1.1.1.14.2

Deferred tax liabilities associated to defined benefit pension fund assets

 

0420

1.1.1.14.3

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

 

0430

1.1.1.15

(-) Reciprocal cross holdings in CET1 Capital

 

0440

1.1.1.16

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

 

0450

1.1.1.17

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

 

0460

1.1.1.18

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

 

0470

1.1.1.19

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

 

0471

1.1.1.20

(-) Positions in a basket for which an institution cannot determine the risk weight under the IRB approach, and can alternatively be subject to a 1 250 % risk weight

 

0472

1.1.1.21

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

 

0480

1.1.1.22

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

 

0490

1.1.1.23

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

 

0500

1.1.1.24

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

 

0510

1.1.1.25

(-) Amount exceeding the 17.65% threshold

 

0511

1.1.1.25.1

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

 

0512

1.1.1.25.2

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

 

0513

1.1.1.25A

(-) Insufficient coverage for non-performing exposures

 

0514

1.1.1.25B

(-) Minimum value commitment shortfalls

 

0515

1.1.1.25C

(-) Other foreseeable tax charges

 

0520

1.1.1.26

Other transitional adjustments to CET1 Capital

 

0524

1.1.1.27

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

 

0529

1.1.1.28

CET1 capital elements or deductions - other

 

0530

1.1.2

ADDITIONAL TIER 1 CAPITAL

 

0540

1.1.2.1

Capital instruments eligible as AT1 Capital

 

0551

1.1.2.1.1

Fully paid up, directly issued capital instruments

 

0560

1.1.2.1.2*

Memorandum item: Capital instruments not eligible

 

0571

1.1.2.1.3

Share premium

 

0580

1.1.2.1.4

(-) Own AT1 instruments

 

0590

1.1.2.1.4.1

(-) Direct holdings of AT1 instruments

 

0620

1.1.2.1.4.2

(-) Indirect holdings of AT1 instruments

 

0621

1.1.2.1.4.3

(-) Synthetic holdings of AT1 instruments

 

0622

1.1.2.1.5

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

 

0660

1.1.2.2

Transitional adjustments due to grandfathered AT1 Capital instruments

 

0670

1.1.2.3

Instruments issued by subsidiaries that are given recognition in AT1 Capital

 

0680

1.1.2.4

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

 

0690

1.1.2.5

(-) Reciprocal cross holdings in AT1 Capital

 

0700

1.1.2.6

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

 

0710

1.1.2.7

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

 

0720

1.1.2.8

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

 

0730

1.1.2.9

Other transitional adjustments to AT1 Capital

 

0740

1.1.2.10

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

 

0744

1.1.2.11

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

 

0748

1.1.2.12

AT1 capital elements or deductions - other

 

0750

1.2

TIER 2 CAPITAL

 

0760

1.2.1

Capital instruments eligible as T2 Capital

 

0771

1.2.1.1

Fully paid up, directly issued capital instruments

 

0780

1.2.1.2*

Memorandum item: Capital instruments not eligible

 

0791

1.2.1.3

Share premium

 

0800

1.2.1.4

(-) Own T2 instruments

 

0810

1.2.1.4.1

(-) Direct holdings of T2 instruments

 

0840

1.2.1.4.2

(-) Indirect holdings of T2 instruments

 

0841

1.2.1.4.3

(-) Synthetic holdings of T2 instruments

 

0842

1.2.1.5

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

 

0880

1.2.2

Transitional adjustments due to grandfathered T2 Capital instruments

 

0890

1.2.3

Instruments issued by subsidiaries that are given recognition in T2 Capital

 

0900

1.2.4

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

 

0910

1.2.5

IRB Excess of provisions over expected losses eligible

 

0920

1.2.6

SA General credit risk adjustments

 

0930

1.2.7

(-) Reciprocal cross holdings in T2 Capital

 

0940

1.2.8

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

 

0950

1.2.9

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

 

0955

1.2.9A

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

 

0960

1.2.10

Other transitional adjustments to T2 Capital

 

0970

1.2.11

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

 

0974

1.2.12

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

 

0978

1.2.13

T2 capital elements or deductions - other

 



C 02.00 - OWN FUNDS REQUIREMENTS (CA2)

Rows

Item

Label

Amount

0010

1

TOTAL RISK EXPOSURE AMOUNT

 

0020

1*

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

 

0030

1**

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

 

0040

1.1

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

 

0050

1.1.1

Standardised approach (SA)

 

0051

1.1.1*

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

 

0060

1.1.1.1

SA exposure classes excluding securitisation positions

 

0070

1.1.1.1.01

Central governments or central banks

 

0080

1.1.1.1.02

Regional governments or local authorities

 

0090

1.1.1.1.03

Public sector entities

 

0100

1.1.1.1.04

Multilateral Development Banks

 

0110

1.1.1.1.05

International Organisations

 

0120

1.1.1.1.06

Institutions

 

0130

1.1.1.1.07

Corporates

 

0140

1.1.1.1.08

Retail

 

0150

1.1.1.1.09

Secured by mortgages on immovable property

 

0160

1.1.1.1.10

Exposures in default

 

0170

1.1.1.1.11

Items associated with particular high risk

 

0180

1.1.1.1.12

Covered bonds

 

0190

1.1.1.1.13

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

 

0200

1.1.1.1.14

Collective investments undertakings (CIU)

 

0210

1.1.1.1.15

Equity

 

0211

1.1.1.1.16

Other items

 

0212

1.1.1.1.16.1

Of which: software assets accounted for as intangible assets

 

0240

1.1.2

Internal ratings based Approach (IRB)

 

0241

1.1.2*

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

 

0242

1.1.2**

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

 

0250

1.1.2.1

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

 

0260

1.1.2.1.01

Central governments and central banks

 

0270

1.1.2.1.02

Institutions

 

0280

1.1.2.1.03

Corporates - SME

 

0290

1.1.2.1.04

Corporates - Specialised Lending

 

0300

1.1.2.1.05

Corporates - Other

 

0310

1.1.2.2

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

 

0320

1.1.2.2.01

Central governments and central banks

 

0330

1.1.2.2.02

Institutions

 

0340

1.1.2.2.03

Corporates - SME

 

0350

1.1.2.2.04

Corporates - Specialised Lending

 

0360

1.1.2.2.05

Corporates - Other

 

0370

1.1.2.2.06

Retail - Secured by real estate SME

 

0380

1.1.2.2.07

Retail - Secured by real estate non-SME

 

0390

1.1.2.2.08

Retail - Qualifying revolving

 

0400

1.1.2.2.09

Retail - Other SME

 

0410

1.1.2.2.10

Retail - Other non-SME

 

0420

1.1.2.3

Equity IRB

 

0450

1.1.2.5

Other non credit-obligation assets

 

0455

1.1.2.5.1

Of which: software assets accounted for as intangible assets

 

0460

1.1.3

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

 

0470

1.1.4

Securitisation positions

 

0490

1.2

TOTAL RISK EXPOSURE AMOUNT FOR SETTLEMENT/DELIVERY

 

0500

1.2.1

Settlement/delivery risk in the non-Trading book

 

0510

1.2.2

Settlement/delivery risk in the Trading book

 

0520

1.3

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

 

0530

1.3.1

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

 

0540

1.3.1.1

Traded debt instruments

 

0550

1.3.1.2

Equity

 

0555

1.3.1.3

Particular approach for position risk in CIUs

 

0556

1.3.1.3*

Memo item: CIUs exclusively invested in traded debt instruments

 

0557

1.3.1.3**

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

 

0560

1.3.1.4

Foreign Exchange

 

0570

1.3.1.5

Commodities

 

0580

1.3.2

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

 

0590

1.4

TOTAL RISK EXPOSURE AMOUNT FOR OPERATIONAL RISK (OpR )

 

0600

1.4.1

OpR Basic indicator approach (BIA)

 

0610

1.4.2

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

 

0620

1.4.3

OpR Advanced measurement approaches (AMA)

 

0630

1.5

ADDITIONAL RISK EXPOSURE AMOUNT DUE TO FIXED OVERHEADS

 

0640

1.6

TOTAL RISK EXPOSURE AMOUNT FOR CREDIT VALUATION ADJUSTMENT

 

0650

1.6.1

Advanced method

 

0660

1.6.2

Standardised method

 

0670

1.6.3

Based on OEM

 

0680

1.7

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

 

0690

1.8

OTHER RISK EXPOSURE AMOUNTS

 

0710

1.8.2

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

 

0720

1.8.2*

Of which: requirements for large exposures

 

0730

1.8.2**

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

 

0740

1.8.2***

Of which: due to intra financial sector exposures

 

0750

1.8.3

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

 

0760

1.8.4

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

 



C 03.00 - CAPITAL RATIOS AND CAPITAL LEVELS (CA3)

Rows

ID

Item

Amount

0010

1

CET1 Capital ratio

 

0020

2

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

 

0030

3

T1 Capital ratio

 

0040

4

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

 

0050

5

Total capital ratio

 

0060

6

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

 

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

0130

13

Total SREP capital requirement (TSCR) ratio

 

0140

13*

TSCR: to be made up of CET1 capital

 

0150

13**

TSCR: to be made up of Tier 1 capital

 

0160

14

Overall capital requirement (OCR) ratio

 

0170

14*

OCR: to be made up of CET1 capital

 

0180

14**

OCR: to be made up of Tier 1 capital

 

0190

15

OCR and Pillar 2 Guidance (P2G)

 

0200

15*

OCR and P2G: to be made up of CET1 capital

 

0210

15**

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

 

0220

16

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

 

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

0300

20

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

 

0310

21

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

 

0320

22

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

 



C 04.00 - MEMORANDUM ITEMS (CA4)

Row

ID

Item

Column

Deferred tax assest and liabilities

0010

0010

1

Total deferred tax assets

 

0020

1.1

Deferred tax assets that do not rely on future profitability

 

0030

1.2

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

 

0040

1.3

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

 

0050

2

Total deferred tax liabilities

 

0060

2.1

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

 

0070

2.2

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

 

0080

2.2.1

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

 

0090

2.2.2

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

 

0093

2A

Tax overpayments and tax loss carry backs

 

0096

2B

Deferred Tax Assets subject to a risk weight of 250%

 

0097

2C

Deferred Tax Assets subject to a risk weight of 0%

 

Exception from deductions from CET1

0901

2W

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

 

Accounting classification of AT1 instruments

0905

2Y

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

 

0906

2Z

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

 

Credit risk adjustments and expected losses

0100

3

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

 

0110

3.1

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

 

0120

3.1.1

General credit risk adjustments

 

0130

3.1.2

Specific credit risk adjustments

 

0131

3.1.3

Additional value adjustments and other own funds reductions

 

0140

3.2

Total expected losses eligible

 

0145

4

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

 

0150

4.1

Specific credit risk adjustments and positions treated similarily

 

0155

4.2

Total expected losses eligible

 

0160

5

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

 

0170

6

Total gross provisions eligible for inclusion in T2 capital

 

0180

7

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

 

Thresholds for Common Equity Tier 1 deductions

0190

8

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

 

0200

9

10% CET1 threshold

 

0210

10

17.65% CET1 threshold

 

0225

11

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

 

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

0230

12

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

 

0240

12.1

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

 

0250

12.1.1

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

 

0260

12.1.2

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

 

0270

12.2

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

 

0280

12.2.1

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

 

0290

12.2.2

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

 

0291

12.3

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

 

0292

12.3.1

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

 

0293

12.3.2

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

 

0300

13

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

 

0310

13.1

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

 

0320

13.1.1

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

 

0330

13.1.2

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

 

0340

13.2

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

 

0350

13.2.1

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

 

0360

13.2.2

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

 

0361

13.3

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

 

0362

13.3.1

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

 

0363

13.3.2

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

 

0370

14

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

 

0380

14.1

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

 

0390

14.1.1

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

 

0400

14.1.2

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

 

0410

14.2

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

 

0420

14.2.1

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

 

0430

14.2.2

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

 

0431

14.3

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

 

0432

14.3.1

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

 

0433

14.3.2

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

 

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

0440

15

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

 

0450

15.1

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

 

0460

15.1.1

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

 

0470

15.1.2

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

 

0480

15.2

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

 

0490

15.2.1

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

 

0500

15.2.2

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

 

0501

15.3

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

 

0502

15.3.1

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

 

0503

15.3.2

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

 

0504

15A

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

 

0510

16

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

 

0520

16.1

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

 

0530

16.1.1

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

 

0540

16.1.2

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

 

0550

16.2

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

 

0560

16.2.1

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

 

0570

16.2.2

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

 

0571

16.3

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

 

0572

16.3.1

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

 

0573

16.3.2

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

 

0580

17

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

 

0590

17.1

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

 

0600

17.1.1

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

 

0610

17.1.2

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

 

0620

17.2

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

 

0630

17.2.1

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

 

0640

17.2.2

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

 

0641

17.3

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

 

0642

17.3.1

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

 

0643

17.3.2

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

 

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

0650

18

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

 

0660

19

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

 

0670

20

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

 

Temporary waiver from deduction from own funds

0680

21

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

 

0690

22

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

 

0700

23

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

 

0710

24

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

 

0720

25

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

 

0730

26

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

 

Capital buffers

0740

27

Combined buffer requirement

 

0750

 

Capital conservation buffer

 

0760

 

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

 

0770

 

Institution specific countercyclical capital buffer

 

0780

 

Systemic risk buffer

 

0800

 

Global Systemically Important Institution buffer

 

0810

 

Other Systemically Important Institution buffer

 

Pillar II requirements

0820

28

Own funds requirements related to Pillar II adjustments

 

Additional information for investment firms

0830

29

Initial capital

 

0840

30

Own funds based on Fixed Overheads

 

Additional information for calculation of reporting thresholds

0850

31

Non-domestic original exposures

 

0860

32

Total original exposures

 



C 05.01 - TRANSITIONAL PROVISIONS (CA5.1)

 

Adjustments to CET1

Adjustments to AT1

Adjustments to T2

Adjustments included in RWAs

Memorandum items

Applicable percentage

Eligible amount without transitional provisions

Code

ID

Item

0010

0020

0030

0040

0050

0060

0010

1

TOTAL ADJUSTMENTS

 

 

 

 

 

 

0020

1.1

GRANDFATHERED INSTRUMENTS

link to {CA1;r0220}

link to {CA1;r0660}

link to {CA1;r0880}

 

 

 

0060

1.1.2

Instruments not constituting state aid

 

 

 

 

 

 

0061

1.1.3

Instruments issued through special purpose vehicles

 

 

 

 

 

 

0062

1.1.4

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

 

 

 

 

 

 

0063

1.1.4.1*

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

 

 

 

 

 

 

0064

1.1.4.2*

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

 

 

 

 

 

 

0065

1.1.4.3*

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

 

 

 

 

 

 

0070

1.2

MINORITY INTERESTS AND EQUIVALENTS

link to {CA1;r0240}

link to {CA1;r0680}

link to {CA1;r0900}

 

 

 

0080

1.2.1

Capital instruments and items that do not qualify as minority interests

 

 

 

 

 

 

0090

1.2.2

Transitional recognition in consolidated own funds of minority interests

 

 

 

 

 

 

0091

1.2.3

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

 

 

 

 

 

 

0092

1.2.4

Transitional recognition in consolidated own funds of qualifying Tier 2 capital

 

 

 

 

 

 

0100

1.3

OTHER TRANSITIONAL ADJUSTMENTS

link to {CA1;r0520}

link to {CA1;r0730}

link to {CA1;r0960}

 

 

 

0111

1.3.1.6

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

 

 

 

 

 

 

0112

1.3.1.6.1

of which: amount A

 

 

 

 

 

 

0140

1.3.2

Deductions

 

 

 

 

 

 

0170

1.3.2.3

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

 

 

 

 

 

 

0380

1.3.2.9

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

 

 

 

 

 

 

0385

1.3.2.9a

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

 

 

 

 

 

 

0425

1.3.2.11

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

 

 

 

 

 

 

0430

1.3.3

Additional filters and deductions

 

 

 

 

 

 

0440

1.3.4

Adjustments due to IFRS 9 transitional arrangements

 

 

 

 

 

 

0441

1.3.4.1

Memorandum item: ECL impact of the static component

 

 

 

 

 

 

0442

1.3.4.2

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

 

 

 

 

 

 

0443

1.3.4.3

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

 

 

 

 

 

 



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

 

Amount of instruments plus related share premium

Base for calculating the limit

Applicable percentage

Limit

(-) Amount that exceeds the limits for grandfathering

Total grandfathered amount

Code

ID

Item

0010

0020

0030

0040

0050

0060

0010

1.

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

 

 

 

 

 

link to {CA5.1;r060;c010)

0020

2.

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

 

 

 

 

 

link to {CA5.1;r060;c020)

0030

2.1

Total instruments without a call or an incentive to redeem

 

 

 

 

 

 

0040

2.2.

Grandfathered instruments with a call and incentive to redeem

 

 

 

 

 

 

0050

2.2.1

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

 

 

 

 

 

 

0060

2.2.2

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

 

 

 

 

 

 

0070

2.2.3

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

 

 

 

 

 

 

0080

2.3

Excess on the limit of CET1 grandfathered instruments

 

 

 

 

 

 

0090

3

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

 

 

 

 

 

link to {CA5.1;r060;c030)

0100

3.1

Total items without an incentive to redeem

 

 

 

 

 

 

0110

3.2

Grandfathered items with an incentive to redeem

 

 

 

 

 

 

0120

3.2.1

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

 

 

 

 

 

 

0130

3.2.2

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

 

 

 

 

 

 

0140

3.2.3

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

 

 

 

 

 

 

0150

3.3

Excess on the limit of AT1 grandfathered instruments

 

 

 

 

 

 



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

 

INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP

CAPITAL BUFFERS

TOTAL RISK EXPOSURE AMOUNT

 

QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS

 

 

CONSOLIDATED OWN FUNDS

 

COMBINED BUFFER REQUIREMENTS

 

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

POSITION, FX AND COMMODITIES RISKS

OPERATIONAL RISK

OTHER RISK EXPOSURE AMOUNTS

QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 1 CAPITAL

 

 

QUALIFYING OWN FUNDS INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 2 CAPITAL

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

OF WHICH: COMMON EQUITY TIER 1

OF WHICH: ADDITIONAL TIER 1

OF WHICH: CONRIBUTIONS TO CONSOLIDATED RESULT

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

CAPITAL CONSERVATION BUFFER

INSTITUTION SPECIFIC COUNTER-CYCLICAL CAPITAL BUFFER

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

SYSTEMIC RISK BUFFER

GLOBAL SYSTEMICALLY IMPORTANT INSTITUTION BUFFER

OTHER SYSTEMICALLY IMPORTANT INSTITUTION BUFFER

MINORITY INTERESTS INCLUDED IN CONSOLIDATED COMMON EQUITY TIER 1 CAPITAL

QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED ADDITIONAL TIER 1 CAPITAL

0250

0260

0270

0280

0290

0300

0310

0320

0330

0340

0350

0360

0370

0380

0390

0400

0410

0420

0430

0440

0450

0470

0480

0010

TOTAL

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



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

ENTITIES WITHIN SCOPE OF CONSOLIDATION

INFORMATION ON ENTITIES SUBJECT TO OWN FUNDS REQUIREMENTS

INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP

CAPITAL BUFFERS

NAME

CODE

TYPE OF CODE

NATIONAL CODE

INSTITUTION OR EQUIVALENT (YES / NO)

TYPE OF ENTITY

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

COUNTRY CODE

SHARE OF HOLDING (%)

TOTAL RISK EXPOSURE AMOUNT

 

OWN FUNDS

 

 

TOTAL RISK EXPOSURE AMOUNT

 

QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS

 

CONSOLIDATED OWN FUNDS

 

COMBINED BUFFER REQUIREMENT

 

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

POSITION, FX AND COMMODITIES RISKS

OPERATIONAL RISK

OTHER RISK EXPOSURE AMOUNTS

TOTAL TIER 1 CAPITAL

 

 

TIER 2 CAPITAL

 

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

POSITION, FX AND COMMODITIES RISKS

OPERATIONAL RISK

OTHER RISK EXPOSURE AMOUNTS

QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 1 CAPITAL

 

QUALIFYING OWN FUNDS INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 2 CAPITAL

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

OF WHICH: COMMON EQUITY TIER 1

OF WHICH: ADDITIONAL TIER 1

OF WHICH: CONRIBUTIONS TO CONSOLIDATED RESULT

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

CAPITAL CONSERVATION BUFFER

INSTITUTION SPECIFIC COUNTER-CYCLICAL CAPITAL BUFFER

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

SYSTEMIC RISK BUFFER

GLOBAL SYSTEMICALLY IMPORTANT INSTITUTION BUFFER

OTHER SYSTEMICALLY IMPORTANT INSTITUTION BUFFER

COMMON EQUITY TIER 1 CAPITAL

 

ADDITIONAL TIER 1 CAPITAL

 

MINORITY INTERESTS INCLUDED IN CONSOLIDATED COMMON EQUITY TIER 1 CAPITAL

QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED ADDITIONAL TIER 1 CAPITAL

OF WHICH: QUALIFYING OWN FUNDS

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

OF WHICH: QUALIFYING TIER 1 CAPITAL

RELATED T1 INSTRUMENTS, RELATED RETAINED EARNINGS AND SHARE PREMIUM ACCOUNTS

OF WHICH: MINORITY INTERESTS

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

OF WHICH: QUALIFYING ADDITIONAL TIER 1 CAPITAL

OF WHICH: QUALIFYING TIER 2 CAPITAL

0011

0021

0026

0027

0030

0035

0040

0050

0060

0070

0080

0090

0100

0110

0120

0130

0140

0150

0160

0170

0180

0190

0200

0210

0220

0230

0240

0250

0260

0270

0280

0290

0300

0310

0320

0330

0340

0350

0360

0370

0380

0390

0400

0410

0420

0430

0440

0450

0470

0480

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



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

SA Exposure class

 

ORIGINAL EXPOSURE PRE CONVERSION FACTORS

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

EXPOSURE NET OF VALUE ADJUSTMENTS AND PROVISIONS

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

NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS

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

FULLY ADJUSTED EXPOSURE VALUE (E*)

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

EXPOSURE VALUE

 

RISK WEIGHTED EXPOSURE AMOUNT PRE SUPPORTING FACTORS

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

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

RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS

 

UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (Ga)

FUNDED CREDIT PROTECTION

SUBSTITUTION OF THE EXPOSURE DUE TO CRM

VOLATILITY ADJUSTMENT TO THE EXPOSURE

(-) FINANCIAL COLLATERAL: ADJUSTED VALUE (Cvam)

0 %

20 %

50 %

100 %

OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK

 

OF WHICH: WITH A CREDIT ASSESSMENT BY A NOMINATED ECAI

OF WHICH: WITH A CREDIT ASSESSMENT DERIVED FROM CENTRAL GOVERNMENT

(-) GUARANTEES

(-) CREDIT DERIVATIVES

(-) FINANCIAL COLLATERAL: SIMPLE METHOD

(-) OTHER FUNDED CREDIT PROTECTION

(-) TOTAL OUTFLOWS

TOTAL INFLOWS (+)

 

(-) OF WHICH: VOLATILITY AND MATURITY ADJUSTMENTS

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

0010

0030

0040

0050

0060

0070

0080

0090

0100

0110

0120

0130

0140

0150

0160

0170

0180

0190

0200

0210

0211

0215

0216

0217

0220

0230

0240

0010

TOTAL EXPOSURES

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Cell linked to CA

 

 

0015

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0020

of which: SME

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0030

of which: Exposures subject to SME-supporting factor

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0035

of which: Exposures subject to the Infrastructure supporting factor

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0040

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0050

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0060

of which: Exposures under the standardised approach with prior supervisory permission to carry out a sequential IRB implementation

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:

0070

On balance sheet exposures subject to credit risk

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0080

Off balance sheet exposures subject to credit risk

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Exposures / Transactions subject to counterparty credit risk

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0090

Securities Financing Transactions netting sets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0100

of which: centrally cleared through a QCCP

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0110

Derivatives & Long Settlement Transactions netting sets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0120

of which: centrally cleared through a QCCP

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0130

From Contractual Cross Product netting sets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BREAKDOWN OF TOTAL EXPOSURES BY RISK WEIGHTS:

0140

0 %

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0150

2 %

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0160

4 %

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0170

10 %

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0180

20 %

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0190

35 %

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0200

50 %

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0210

70 %

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0220

75 %

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0230

100 %

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0240

150 %

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0250

250 %

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0260

370 %

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0270

1 250 %

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0280

Other risk weights

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BREAKDOWN OF TOTAL EXPOSURES BY APPROACH (CIU):

0281

Look-through approach

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0282

Mandate-based approach

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0283

Fall-back approach

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

MEMORANDUM ITEMS

0290

Exposures secured by mortgages on commercial immovable property

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0300

Exposures in default subject to a risk weight of 100 %

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0310

Exposures secured by mortgages on residential property

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0320

Exposures in default subject to a risk weight of 150 %

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



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

IRB Exposure class:

Own estimates of LGD and/or conversion factors:

 

INTERNAL RATING SCALE

ORIGINAL EXPOSURE PRE CONVERSION FACTORS

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

EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS

 

EXPOSURE VALUE

 

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

SUBJECT TO DOUBLE DEFAULT TREATMENT

EXPOSURE WEIGHTED AVERAGE LGD (%)

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

EXPOSURE-WEIGHTED AVERAGE MATURITY VALUE (DAYS)

RISK WEIGHTED EXPOSURE AMOUNT PRE SUPPORTING FACTORS

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

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

RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS

MEMORANDUM ITEMS:

UNFUNDED CREDIT PROTECTION

(-) OTHER FUNDED CREDIT PROTECTION

SUBSTITUTION OF THE EXPOSURE DUE TO CRM

 

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

FUNDED CREDIT PROTECTION

UNFUNDED CREDIT PROTECTION

EXPECTED LOSS AMOUNT

(-) VALUE ADJUSTMENTS AND PROVISIONS

NUMBER OF OBLIGORS

PRE-CREDIT DERIVATIVES RISK WEIGHTED EXPOSURE AMOUNT

PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%)

 

OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

(-) GUARANTEES

(-) CREDIT DERIVATIVES

(-) TOTAL OUTFLOWS

TOTAL INFLOWS (+)

OF WHICH: OFF BALANCE SHEET ITEMS

OF WHICH: OFF BALANCE SHEET ITEMS

OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK

OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

GUARANTEES

CREDIT DERIVATIVES

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

 

ELIGIBLE FINANCIAL COLLATERAL

OTHER ELIGIBLE COLLATERAL

 

OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

CASH ON DEPOSIT

LIFE INSURANCE POLICIES

INSTRUMENTS HELD BY A THIRD PARTY

REAL ESTATE

OTHER PHYSICAL COLLATERAL

RECEIVABLES

 

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

0110

0120

0130

0140

0150

0160

0170

0171

0172

0173

0180

0190

0200

0210

0220

0230

0240

0250

0255

0256

0257

0260

0270

0280

0290

0300

0310

0010

TOTAL EXPOSURES

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Cell linked to CA

 

 

 

 

 

0015

of which: Exposures subject to SME-supporting factor

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0016

of which: Exposures subject to the Infrastructure supporting factor

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:

 

0020

On balance sheet items subject to credit risk

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

 

0005

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

0110

0120

0130

0140

0150

0160

0170

0171

0172

0173

0180

0190

0200

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 IN ACCORDANCE WITH ARTICLE 180(1), POINT (f) OF REGULATION (EU) No 575/2013 (CR IRB 5B)

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

 

AVERAGE HISTORICAL ANNUAL DEFAULT RATE (%)

OF WHICH: DEFAULTED DURING THE YEAR

0005

0006

0010

0020

0030

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

 

(-) 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

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 ARTICLE 166 OF REGULATION (EU) No 575/2013

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

 

 

 

 

 

 

 

 

 

 

0120

CIU EXPOSURES SUBJECT TO THE FALL-BACK APPROACH

 

 

 

 

 

 

 

 

 

 



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

 

 

 

Cell linked to CA

0080

Transactions unsettled up to 4 days (Factor 0%)

 

 

 

 

0090

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

 

 

 

 

0100

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

 

 

 

 

0110

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

 

 

 

 

0120

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

 

 

 

 



C 13.01 - CREDIT RISK: SECURITISATIONS (CR SEC)

 

TOTAL AMOUNT OF SECURITISATI0N EXPOSURES ORIGINATED

SYNTHETIC SECURITIZATIONS: CREDIT PROTECTION TO THE SECURITISED EXPOSURES

SECURITISATION POSITIONS

(-) VALUE ADJUSTMENTS AND PROVISIONS

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 AMOUNT OF THE EXPOSURE: FUNDED CREDIT PROTECTION FINANCIAL COLLATERAL COMPREHENSIVE METHOD ADJUSTED VALUE (Cvam)

FULLY ADJUSTED EXPOSURE VALUE (E*)

 

(-) NON REFUNDABLE PURCHASE PRICE DISCOUNT

(-) SPECIFIC CREDIT RISK ADJUSTMENTS ON UNDERLYING EXPOSURES

EXPOSURE VALUE

 

 

BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS

RISK-WEIGHTED EXPOSURE AMOUNT

ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO MATURITY MISMATCHES

OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF CHAPTER 2 OF REGULATION (EU) 2017/2402

BEFORE CAP

(-) REDUCTION DUE TO RISK WEIGHT CAP

(-) REDUCTION DUE TO OVERALL CAP

TOTAL RISK-WEIGHTED EXPOSURE AMOUNT

MEMORANDUM ITEM:

RISK WEIGHTED EXPOSURE AMOUNT CORRESPONDING TO THE OUTFLOWS FROM SECURITISATIONS TO OTHER EXPOSURE CLASSES

(-) FUNDED CREDIT PROTECTION (Cva)

(-) TOTAL OUTFLOWS

NOTIONAL AMOUNT RETAINED OR REPURCHASED OF CREDIT PROTECTION

ORIGINAL EXPOSURE PRE CONVERSION FACTORS

(-) UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (Ga)

(-) FUNDED CREDIT PROTECTION

SUBSTITUTION OF THE EXPOSURE DUE TO CRM

OF WHICH: SUBJECT TO A CCF OF 0%

(-) DEDUCTED FROM OWN FUNDS

SUBJECT TO RISK WEIGHTS

SEC-IRBA

SEC-SA

SEC-ERBA

INTERNAL ASSESSMENT APPROACH

SPECIFIC TREATMENT FOR SENIOR TRANCHES OF QUALIFYING NPE SECURITISATIONS

OTHER (RW=1 250 %)

 

SEC-IRBA

SEC-SA

SEC-ERBA

INTERNAL ASSESSMENT APPROACH

SPECIFIC TREATMENT FOR SENIOR TRANCHES OF QUALIFYING NPE SECURITISATIONS

OTHER (RW=1 250 %)

OF WHICH: SYNTHETIC SECURITISATIONS

 

 

BREAKDOWN BY RW BANDS

OF WHICH: CALCULATED UNDER ARTICLE 255 (4) (PURCHASED RECEIVABLES)

 

BREAKDOWN BY RW BANDS

 

BREAKDOWN BY CREDIT QUALITY STEPS

BREAKDOWN BY REASONS FOR APPLICATION OF SEC-ERBA

 

BREAKDOWN BY RW BANDS

 

 

OF WHICH: CALCULATED UNDER ARTICLE 255 (4) (PURCHASED RECEIVABLES)

 

OF WHICH: RW=1 250 % (W UNKNOWN)

 

AUTO LOANS, AUTO LEASES AND EQUIPMENT LEASES

SEC-ERBA OPTION

POSITIONS SUBJECT TO ARTICLE 254(2), POINT (a) OF REGULATION (EU) No 575/2013

POSITIONS SUBJECT TO ARTICLE 254(2), POINT (b) OF REGULATION (EU) No 575/2013

POSITIONS SUBJECT TO ARTICLES 254 (4) OR 258 (2) OF REGULATION (EU) No 575/2013

FOLLOWING THE HIERARCHY OF APPROACHES

 

AVERAGE RISK WEIGHT (%)

(-) UNFUNDED CREDIT PROTECTION ADJUSTED VALUES (G*)

(-) TOTAL OUTFLOWS

TOTAL INFLOWS

 

=< 20 % RW

> 20 % TO 50 % RW

> 50 % TO 100 % RW

> 100 % TO < 1 250 % RW

1 250 % RW

 

= < 20 % RW

> 20 % TO 50 % RW

> 50 % TO 100 % RW

> 100 % TO < 1 250 % RW

1 250 % RW (W UNKNOWN)

1 250 % RW (OTHER)

 

SHORT TERM CREDIT QUALITY STEPS

LONG TERM CREDIT QUALITY STEPS

AUTO LOANS, AUTO LEASES AND EQUIPMENT LEASES

SEC-ERBA OPTION

POSITIONS SUBJECT TO ARTICLE 254(2), POINT (a) OF REGULATION (EU) No 575/2013

POSITIONS SUBJECT TO ARTICLE 254(2), POINT (b) OF REGULATION (EU) No 575/2013

POSITIONS SUBJECT TO ARTICLES 254 (4) OR 258 (2) OF REGULATION (EU) No 575/2013

FOLLOWING THE HIERARCHY OF APPROACHES

 

=< 20 % RW

> 20 % TO 50 % RW

> 50 % TO 100 % RW

> 100 % TO < 1 250 % RW

1 250 % RW

 

 

 

 

 

 

 

 

CQS 1

CQS 2

CQS 3

ALL OTHER CQS

CQS 1

CQS 2

CQS 3

CQS 4

CQS 5

CQS 6

CQS 7

CQS 8

CQS 9

CQS 10

CQS 11

CQS 12

CQS 13

CQS 14

CQS 15

CQS 16

CQS 17

ALL OTHER CQS

 

 

 

 

 

 

0010

0020

0030

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

0460

0470

0480

0490

0500

0510

0520

0530

0540

0550

0560

0570

0580

0590

0600

0610

0620

0630

0640

0650

0660

0670

0680

0690

0695

0700

0710

0720

0730

0740

0750

0760

0770

0780

0790

0800

0810

0820

0830

0840

0845

0850

0860

0870

0880

0890

0900

0910

0920

0930

0010

TOTAL EXPOSURES

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Cell linked to CA

 

0020

SECURITISATIONS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0030

QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0040

EXPOSURES IN STS ABCP AND NON-ABCP TRADITIONAL SECURITISATIONS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0050

GRANDFATHERED SENIOR POSITION IN SME SYNTHETIC SECURITISATIONS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0051

SENIOR POSITIONS IN STS ON-BALANCE SHEET SECURITISATIONS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0060

NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0070

RE-SECURITISATIONS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0080

ORIGINATOR: TOTAL EXPOSURES

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0090

SECURITISATIONS: ON-BALANCE SHEET ITEMS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0100

QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0110

OF WHICH: SENIOR EXPOSURES

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0120

NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0121

EXPOSURES IN NON-NPE SECURITISATIONS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0131

OF WHICH: SENIOR EXPOSURES

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0133

EXPOSURES IN NPE SECURITISATIONS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0134

OF WHICH: SENIOR EXPOSURES IN QUALIFYING TRADITIONAL NPE SECURITISATIONS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0135

OF WHICH: SENIOR EXPOSURES IN NON-QUALIFYING TRADITIONAL NPE SECURITISATIONS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0136

OF WHICH: NON-SENIOR EXPOSURES IN QUALIFYING TRADITIONAL NPE SECURITISATIONS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0140

SECURITISATIONS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0150

QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0160

OF WHICH: SENIOR EXPOSURES

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0170

NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0180

OF WHICH: SENIOR EXPOSURES

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0190

RE-SECURITISATIONS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0200

INVESTOR: TOTAL EXPOSURES

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0210

SECURITISATIONS: ON-BALANCE SHEET ITEMS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0220

QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0230

OF WHICH: SENIOR EXPOSURES

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0240

NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0241

EXPOSURES IN NON-NPE SECURITISATIONS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0251

OF WHICH: SENIOR EXPOSURES

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0253

EXPOSURES IN NPE SECURITISATIONS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0254

OF WHICH: SENIOR EXPOSURES IN QUALIFYING TRADITIONAL NPE SECURITISATIONS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0255

OF WHICH: SENIOR EXPOSURES IN NON-QUALIFYING TRADITIONAL NPE SECURITISATIONS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0256

OF WHICH: NON-SENIOR EXPOSURES IN QUALIFYING TRADITIONAL NPE SECURITISATIONS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0260

SECURITISATIONS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0270

QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0280

OF WHICH: SENIOR EXPOSURES

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0290

NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0300

OF WHICH: SENIOR EXPOSURES

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0310

RE-SECURITISATIONS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0320

SPONSOR: TOTAL EXPOSURES

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0330

SECURITISATIONS: ON-BALANCE SHEET ITEMS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0340

QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0350

OF WHICH: SENIOR EXPOSURES

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0360

NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0361

EXPOSURES IN NON-NPE SECURITISATIONS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0371

OF WHICH: SENIOR EXPOSURES

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0373

EXPOSURES IN NPE SECURITISATIONS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0374

OF WHICH: SENIOR EXPOSURES IN QUALIFYING TRADITIONAL NPE SECURITISATIONS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0375

OF WHICH: SENIOR EXPOSURES IN NON-QUALIFYING TRADITIONAL NPE SECURITISATIONS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0376

OF WHICH: NON-SENIOR EXPOSURES IN QUALIFYING TRADITIONAL NPE SECURITISATIONS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0380

SECURITISATIONS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0390

QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0400

OF WHICH: SENIOR EXPOSURES

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0410

NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0420

OF WHICH: SENIOR EXPOSURES

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0430

RE-SECURITISATIONS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0440

BREAKDOWN OF OUTSTANDING POSITIONS ACCORDING TO CQS AT INCEPTION: Short term

0450

CQS 1

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0460

CQS 2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0470

CQS 3

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0480

ALL OTHER CQS AND UNRATED

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0490

BREAKDOWN OF OUTSTANDING POSITIONS ACCORDING TO CQS AT INCEPTION: Long term

0500

CQS 1

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0510

CQS 2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0520

CQS 3

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0530

CQS 4

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0540

CQS 5

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0550

CQS 6

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0560

CQS 7

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0570

CQS 8

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0580

CQS 9

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0590

CQS 10

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0600

CQS 11

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0610

CQS 12

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0620

CQS 13

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0630

CQS 14

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0640

CQS 15

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0650

CQS 16

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0660

CQS 17

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0670

ALL OTHER CQS AND UNRATED

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



C 14.00 - DETAILED INFORMATION ON SECURITISATIONS (SEC Details)

INTERNAL CODE

IDENTIFIER OF THE SECURITISATION

INTRA-GROUP, PRIVATE OR PUBLIC SECURITISATION?

ROLE OF THE INSTITUTION (ORIGINATOR / SPONSOR / ORIGINAL LENDER / INVESTOR)

IDENTIFIER OF THE ORIGINATOR

SECURITISATION TYPE

ACCOUNTING TREATMENT: SECURITISED EXPOSURES ARE KEPT OR REMOVED FROM THE BALANCE SHEET?

SOLVENCY TREATMENT: Securitisation positions subject to own funds requirements?

SIGNIFICANT RISK TRANSFER

SECURITISATION OR RE-SECURITISATION?

STS SECURITISATION

SECURITISATION QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

TYPE OF EXCESS SPREAD

AMORTISATION SYSTEM

COLLATERALISATION OPTIONS

RETENTION

NON ABCP PROGRAMMES

SECURITISED EXPOSURES

SECURITISATION STRUCTURE

TYPE OF RETENTION APPLIED

% OF RETENTION AT REPORTING DATE

COMPLIANCE WITH THE RETENTION REQUIREMENT?

ORIGINATION DATE (yyyy-mm-dd)

DATE OF LATEST ISSUANCE (yyyy-mm-dd)

TOTAL AMOUNT OF SECURITISED EXPOSURES AT ORIGINATION DATE

TOTAL AMOUNT

INSTITUTION'S SHARE (%)

TYPE

% of IRB IN APPROACH APPLIED

NUMBER OF EXPOSURES

EXPOSURES IN DEFAULT W (%)

COUNTRY

LGD (%)

EL (%)

UL (%)

EXPOSURE-WEIGHTED AVERAGE MATURITY OF ASSETS

(-) VALUE ADJUSTMENTS AND PROVISIONS

OWN FUNDS REQUIREMENTS BEFORE SECURITISATION (%) Kirb

% OF RETAIL EXPOSURES IN IRB POOLS

OWN FUNDS REQUIREMENTS BEFORE SECURITISATION (%) Ksa

MEMORANDUM ITEMS

ON-BALANCE SHEET ITEMS

OFF-BALANCE SHEET ITEMS AND DERIVATIVES

MATURITY

MEMORANDUM ITEMS

CREDIT RISK ADJUSTMENTS DURING THE CURRENT PERIOD

SENIOR

MEZZANINE

FIRST LOSS

OVERCOLLATERALISATION AND FUNDED RESERVE ACCOUNTS

SENIOR

MEZZANINE

FIRST LOSS

SYNTHETIC EXCESS SPREAD

FIRST FORESEEABLE TERMINATION DATE

ORIGINATOR'S CALL OPTIONS INCLUDED IN TRANSACTION

ATTACHMENT POINT OF RISK SOLD (%)

DETACHMENT POINT OF RISK SOLD (%)

RISK TRANSFER CLAIMED BY ORIGINATOR INSTITUTION (%)

AMOUNT

ATTACHMENT POINT (%)

CQS

AMOUNT

NUMBER OF TRANCHES

CQS OF THE MOST SUBORDINATED TRANCHE

AMOUNT

DETACHMENT POINT (%)

CQS

AMOUNT

OF WHICH: NON-REFUNDABLE PURCHASE PRICE DISCOUNT

AMOUNT

ATTACHMENT POINT (%)

AMOUNT

NUMBER OF TRANCHES

AMOUNT

DETACHMENT POINT (%)

 

0010

0020

0021

0110

0030

0040

0051

0060

0061

0070

0075

0446

0076

0077

0078

0080

0090

0100

0120

0121

0130

0140

0150

0160

0171

0180

0181

0190

0201

0202

0203

0204

0210

0221

0222

0223

0225

0230

0231

0232

0240

0241

0242

0250

0251

0252

0254

0255

0260

0265

0270

0275

0280

0285

0287

0290

0291

0302

0303

0304

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



C 14.01 - DETAILED INFORMATION ON SECURITISATIONS BY APPROACH (SEC Details Approach)

Approach:

INTERNAL CODE

IDENTIFIER OF THE SECURITISATION

SECURITISATION POSITIONS

EXPOSURE VALUE

(-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS

TOTAL RISK-WEIGHTED EXPOSURE AMOUNT

MEMORANDUM ITEMS

SECURITISATION POSITIONS - TRADING BOOK

ORIGINAL EXPOSURE PRE-CONVERSION FACTORS

MEMORANDUM ITEMS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES PRE CONVERSION FACTORS

RISK-WEIGHTED EXPOSURE AMOUNT UNDER SEC-ERBA

RISK WEIGHTED EXPOSURE AMOUNT UNDER SEC-SA

CTP OR NON-CTP?

NET POSITIONS

ON-BALANCE SHEET ITEMS

OFF-BALANCE SHEET ITEMS AND DERIVATIVES

DIRECT CREDIT SUBSTITUTES

IRS / CRS

LIQUIDITY FACILITIES

OTHER

SENIOR

MEZZANINE

FIRST LOSS

SENIOR

MEZZANINE

 

FIRST LOSS

 

SYNTHETIC EXCESS SPREAD

BEFORE CAP

(-) REDUCTION DUE TO RISK WEIGHT CAP

(-) REDUCTION DUE TO OVERALL CAP

AFTER CAP

RW CORRESPONDING TO PROTECTION PROVIDER / INSTRUMENT

RW CORRESPONDING TO PROTECTION PROVIDER / INSTRUMENT

LONG

SHORT

0010

0020

0310

0320

0330

0340

0350

0351

0360

0361

0362

0370

0380

0390

0400

0411

0420

0430

0431

0432

0440

0447

0448

0450

0460

0470

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



C 34.01 COUNTERPARTY CREDIT RISK: SIZE OF THE DERIVATIVE BUSINESS (CCR 1)

 

MONTH 1

MONTH 2

MONTH 3

QUALITATIVE INFORMATION

LONG DERIVATIVE POSITIONS

SHORT DERIVATIVE POSITIONS

TOTAL

LONG DERIVATIVE POSITIONS

SHORT DERIVATIVE POSITIONS

TOTAL

LONG DERIVATIVE POSITIONS

SHORT DERIVATIVE POSITIONS

TOTAL

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

0010

Size of the derivative business

 

 

 

 

 

 

 

 

 

 

0020

On- and off-balance sheet derivatives

 

 

 

 

 

 

 

 

 

 

0030

(-) Credit derivatives that are recognised as internal hedges against non-trading book credit risk exposures

 

 

 

 

 

 

 

 

 

 

0040

Total assets

 

 

 

 

 

 

 

 

 

 

0050

Percentage of total assets

 

 

 

 

 

 

 

 

 

 

DEROGATION IN ACCORDANCE WITH ARTICLE 273a (4) of Regulation (EU) No 575/2013

0060

Are the conditions of Article 273a (4) of Regulation (EU) No 575/2013 met, including the approval from the competent authority?

 

 

 

 

 

 

 

 

 

 

0070

Method for calculating exposure values at consolidated level

 

 

 

 

 

 

 

 

 

 



C 34.02 COUNTERPARTY CREDIT RISK: CCR EXPOSURES BY APPROACH (CCR 2)

Exposures

APPROACH

NUMBER OF COUNTERPARTIES

NUMBER OF TRANSACTIONS

NOTIONAL AMOUNTS

CURRENT MARKET VALUE (CMV), POSITIVE

CURRENT MARKET VALUE (CMV), NEGATIVE

VARIATION MARGIN (VM), RECEIVED

VARIATION MARGIN (VM), POSTED

NET INDEPENDENT COLLATERAL AMOUNT (NICA), RECEIVED

NET INDEPENDENT COLLATERAL AMOUNT (NICA), POSTED

REPLACE-MENT COST (RC)

POTENTIAL FUTURE EXPOSURE (PFE)

CURRENT EXPOSURE

EEPE

ALPHA USED FOR COMPUTING REGULATORY EXPOSURE VALUE

EXPOSURE VALUE PRE-CRM

EXPOSURE VALUE POST-CRM

EXPOSURE VALUE

RISK WEIGHTED EXPOSURE AMOUNTS

 

Positions treated with the CR Standardised Approach

Positions treated with the CR IRB Approach

 

Positions treated with the CR Standardised Approach

Positions treated with the CR IRB Approach

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

0110

0120

0130

0140

0150

0160

0170

0180

0190

0200

0210

0220

0010

ORIGINAL EXPOSURE METHOD (FOR DERIVATIVES)

 

 

 

 

 

 

 

 

 

 

 

 

 

1.4

 

 

 

 

 

 

 

 

0020

SIMPLIFIED SA-CCR (FOR DERIVATIVES)

 

 

 

 

 

 

 

 

 

 

 

 

 

1.4

 

 

 

 

 

 

 

 

0030

SA-CCR (FOR DERIVATIVES)

 

 

 

 

 

 

 

 

 

 

 

 

 

1.4

 

 

 

 

 

 

 

 

0040

IMM (FOR DERIVATIVES AND SFTS)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0050

Securities financing transactions netting sets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0060

Derivatives and long settlement transactions netting sets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0070

From contractual cross-product netting sets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0080

FINANCIAL COLLATERAL SIMPLE METHOD (FOR SFTS)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0090

FINANCIAL COLLATERAL COMPREHENSIVE METHOD (FOR SFTS)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0100

VAR FOR SFTS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0110

TOTAL

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0120

of which: SWWR positions

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0130

Margined business

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0140

Unmargined business

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



C 34.03 COUNTERPARTY CREDIT RISK: CCR EXPOSURES TREATED WITH STANDARDISED APPROACHES: SA-CCR or SIMPLIFIED SA-CCR (CCR 3)

CCR approach

RISK CATEGORIES

CURRENCY

SECOND CURRENCY IN PAIR

NUMBER OF TRANSACTIONS

NOTIONAL AMOUNTS

CURRENT MARKET VALUE (CMV), POSITIVE

CURRENT MARKET VALUE (CMV), NEGATIVE

ADD-ON

0010

0020

0030

0040

0050

0060

0070

0010

TOTAL

 

 

 

 

 

 

 

0020

of which: Mapped to 2 risk categories

 

 

 

 

 

 

 

0030

of which: Mapped to 3 risk categories

 

 

 

 

 

 

 

0040

of which: Mapped to more than 3 risk categories

 

 

 

 

 

 

 

0050

INTEREST RATE RISK

 

 

 

 

 

 

 

0060

of which: Mapped exclusively to Interest rate risk category

 

 

 

 

 

 

 

0070

of which: Largest currency

 

 

 

 

 

 

 

0080

of which: 2nd largest currency

 

 

 

 

 

 

 

0090

of which: 3rd largest currency

 

 

 

 

 

 

 

0100

of which: 4th largest currency

 

 

 

 

 

 

 

0110

of which: 5th largest currency

 

 

 

 

 

 

 

0120

FOREIGN EXCHANGE RISK

 

 

 

 

 

 

 

0130

of which: Mapped exclusively to Foreign Exchange risk category

 

 

 

 

 

 

 

0140

of which: Largest currency pair

 

 

 

 

 

 

 

0150

of which: 2nd largest currency pair

 

 

 

 

 

 

 

0160

of which: 3rd largest currency pair

 

 

 

 

 

 

 

0170

of which: 4th largest currency pair

 

 

 

 

 

 

 

0180

of which: 5th largest currency pair

 

 

 

 

 

 

 

0190

CREDIT RISK

 

 

 

 

 

 

 

0200

of which: Mapped exclusively to Credit risk category

 

 

 

 

 

 

 

0210

Single-name transactions

 

 

 

 

 

 

 

0220

Multi-names transactions

 

 

 

 

 

 

 

0230

EQUITY RISK

 

 

 

 

 

 

 

0240

of which: Mapped exclusively to Equity risk category

 

 

 

 

 

 

 

0250

Single-name transactions

 

 

 

 

 

 

 

0260

Multi-names transactions

 

 

 

 

 

 

 

0270

COMMODITY RISK

 

 

 

 

 

 

 

0280

of which: Mapped exclusively to Commodity risk category

 

 

 

 

 

 

 

0290

Energy

 

 

 

 

 

 

 

0300

Metals

 

 

 

 

 

 

 

0310

Agricultural goods

 

 

 

 

 

 

 

0320

Climatic conditions

 

 

 

 

 

 

 

0330

Other commodities

 

 

 

 

 

 

 

0340

OTHER RISKS

 

 

 

 

 

 

 



C 34.04 COUNTERPARTY CREDIT RISK: CCR EXPOSURES TREATED WITH THE ORIGINAL EXPOSURE METHOD (OEM) (CCR 4)

RISK CATEGORIES

NUMBER OF TRANSACTIONS

NOTIONAL AMOUNTS

CURRENT MARKET VALUE (CMV), POSITIVE

CURRENT MARKET VALUE (CMV), NEGATIVE

POTENTIAL FUTURE EXPOSURE (PFE)

0010

0020

0030

0040

0050

0010

TOTAL

 

 

 

 

 

0020

INTEREST RATE RISK

 

 

 

 

 

0030

FOREIGN EXCHANGE RISK

 

 

 

 

 

0040

CREDIT RISK

 

 

 

 

 

0050

EQUITY RISK

 

 

 

 

 

0060

COMMODITY RISK

 

 

 

 

 

0070

of which: electricity

 

 

 

 

 



C 34.05 COUNTERPARTY CREDIT RISK: CCR EXPOSURES TREATED WITH THE INTERNAL MODEL METHOD (IMM) (CCR 5)

INSTRUMENTS

MARGINED

UNMARGINED

EXPOSURE VALUE

NUMBER OF TRANSACTIONS

NOTIONAL AMOUNTS

CURRENT MARKET VALUE (CMV), POSITIVE

CURRENT MARKET VALUE (CMV), NEGATIVE

CURRENT EXPOSURE

EEPE

Stress EEPE

EXPOSURE VALUE

NUMBER OF TRANSACTIONS

NOTIONAL AMOUNTS

CURRENT MARKET VALUE (CMV), POSITIVE

CURRENT MARKET VALUE (CMV), NEGATIVE

CURRENT EXPOSURE

EEPE

Stress EEPE

EXPOSURE VALUE

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

0110

0120

0130

0140

0150

0160

0170

0010

TOTAL

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0020

of which: SWWR positions

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0030

Netting sets treated with the CR Standardised Approach

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0040

Netting sets treated with the CR IRB Approach

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0050

OTC DERIVATIVES

INTEREST RATE

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0060

FOREIGN EXCHANGE

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0070

CREDIT

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0080

EQUITY

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0090

COMMODITY

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0100

OTHER

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0110

TOTAL

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0120

EXCHANGE TRADED DERIVATIVES

INTEREST RATE

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0130

FOREIGN EXCHANGE

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0140

CREDIT

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0150

EQUITY

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0160

COMMODITY

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0170

OTHER

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0180

TOTAL

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0190

SECURITIES FINANCING TRANSACTIONS

BOND UNDERLYING

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0200

EQUITY UNDERLYING

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0210

OTHER UNDERLYING

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0220

TOTAL

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0230

CONTRACTUAL CROSS-PRODUCT NETTING SETS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



C 34.06 COUNTERPARTY CREDIT RISK: TOP TWENTY COUNTERPARTIES (CCR 6)

NAME

CODE

TYPE OF CODE

NATIONAL CODE

SECTOR OF THE COUN-TERPARTY

COUNTERPARTY TYPE

RESIDENCY OF THE COUNTERPARTY

NUMBER OF TRANSACTIONS

NOTIONAL AMOUNTS

CURRENT MARKET VALUE (CMV), POSITIVE

CURRENT MARKET VALUE (CMV), NEGATIVE

EXPOSURE VALUE POST-CRM

EXPOSURE VALUE

RISK WEIGHTED EXPOSURE AMOUNTS

0010

0020

0030

0035

0040

0050

0060

0070

0080

0090

0100

0110

0120

0130

 

 

 

 

 

 

 

 

 

 

 

 

 

 



C 34.07 COUNTERPARTY CREDIT RISK: IRB APPROACH – CCR EXPOSURES BY EXPOSURE CLASS AND PD SCALE (CCR 7)

IRB Exposure class

Own estimates of LGD and/or conversion factors:

PD scale

Exposure value

Exposure weighted average PD (%)

Number of obligors

Exposure weighted average LGD (%)

Exposure weighted average maturity (years)

Risk weighted exposure amounts

Density of risk weighted exposure amounts

0010

0020

0030

0040

0050

0060

0070

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 <2.50

 

 

 

 

 

 

 

0080

0.75 to <1.75

 

 

 

 

 

 

 

0090

1.75 to <2.5

 

 

 

 

 

 

 

0100

2.50 to <10.00

 

 

 

 

 

 

 

0110

2.50 to <5.00

 

 

 

 

 

 

 

0120

5.00 to <10.00

 

 

 

 

 

 

 

0130

10.00 to <100.00

 

 

 

 

 

 

 

0140

10.00 to <20.00

 

 

 

 

 

 

 

0150

20.00 to <30.00

 

 

 

 

 

 

 

0160

30.00 to <100.00

 

 

 

 

 

 

 

0170

100.00 (Default)

 

 

 

 

 

 

 

0180

Total

 

 

 

 

 

 

 



C 34.08 COUNTERPARTY CREDIT RISK: COMPOSITION OF COLLATERAL FOR CCR EXPOSURES (CCR 8)

Collateral type

Collateral used in derivative transactions

Collateral used in SFTs

Fair value of collateral received

Fair value of posted collateral

Fair value of collateral received

Fair value of posted collateral

Segregated

Unsegregated

Segregated

Unsegregated

Segregated

Unsegregated

Segregated

Unsegregated

Initial margin

Variation margin

Initial margin

Variation margin

Initial margin

Variation margin

Initial margin

Variation margin

Initial margin

Variation margin

Initial margin

Variation margin

SFT security

Initial margin

Variation margin

Initial margin

Variation margin

SFT security

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

0110

0120

0130

0140

0150

0160

0170

0180

0010

Cash – domestic currency

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0020

Cash – other currencies

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0030

Domestic sovereign debt

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0040

Other sovereign debt

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0050

Government agency debt

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0060

Corporate bonds

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0070

Equity securities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0080

Other collateral

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0090

Total

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



C 34.09 COUNTERPARTY CREDIT RISK: CREDIT DERIVATIVES EXPOSURES (CCR 9)

Product type

NOTIONAL AMOUNTS

FAIR VALUES

PROTECTION BOUGHT

PROTECTION SOLD

PROTECTION BOUGHT

PROTECTION SOLD

0010

0020

0030

0040

0010

Single-name credit default swaps

 

 

 

 

0020

Index credit default swaps

 

 

 

 

0030

Total return swaps

 

 

 

 

0040

Credit options

 

 

 

 

0050

Other credit derivatives

 

 

 

 

0060

Total

 

 

 

 

FAIR VALUE BREAKDOWN

0070

Positive fair value (asset)

 

 

 

 

0080

Negative fair value (liability)

 

 

 

 



C 34.10 COUNTERPARTY CREDIT RISK: EXPOSURES TO CCPs (CCR 10)

 

EXPOSURE VALUE

RISK WEIGHTED EXPOSURE AMOUNTS

0010

0020

0010

Exposures to QCCPs (total)

 

 

0020

Exposures for trades at QCCPs (excluding initial margin and default fund contributions); of which

 

 

0030

(i)  OTC derivatives

 

 

0040

(ii)  Exchange-traded derivatives

 

 

0050

(iii)  SFTs

 

 

0060

(iv)  Netting sets where cross-product netting has been approved

 

 

0070

Segregated initial margin

 

 

0080

Non-segregated initial margin

 

 

0090

Prefunded default fund contributions

 

 

0100

Unfunded default fund contributions

 

 

0110

Exposures to non-QCCPs (total)

 

 

0120

Exposures for trades at non-QCCPs (excluding initial margin and default fund contributions); of which

 

 

0130

(i)  OTC derivatives

 

 

0140

(ii)  Exchange-traded derivatives

 

 

0150

(iii)  SFTs

 

 

0160

(iv)  Netting sets where cross-product netting has been approved

 

 

0170

Segregated initial margin

 

 

0180

Non-segregated initial margin

 

 

0190

Prefunded default fund contributions

 

 

0200

Unfunded default fund contributions

 

 



C 34.11 COUNTERPARTY CREDIT RISK: RWEA FLOW STATEMENTS OF CCR EXPOSURES UNDER THE IMM (CCR 11)

 

RISK WEIGHTED EXPOSURE AMOUNTS

QUARTERLY FLOWS

ANNUAL FLOWS

0010

0020

0010

Risk Weighted Exposure Amounts as at the end of the previous reporting period

 

 

0020

Asset size

 

 

0030

Credit quality of counterparties

 

 

0040

Model updates (IMM only)

 

 

0050

Methodology and policy (IMM only)

 

 

0060

Acquisitions and disposals

 

 

0070

Foreign exchange movements

 

 

0080

Other

 

 

0090

Risk Weighted Exposure Amounts as at the end of the current reporting period

 

 



C 16.00 - OPERATIONAL RISK (OPR)

BANKING ACTIVITIES

RELEVANT INDICATOR

LOANS AND ADVANCES (IN CASE OF ASA APPLICATION)

OWN FUNDS REQUIREMENT

Total operational risk exposure amount

AMA MEMORANDUM ITEMS TO BE REPORTED IF APPLICABLE

YEAR-3

YEAR-2

LAST YEAR

YEAR-3

YEAR-2

LAST YEAR

OF WHICH: DUE TO AN ALLOCATION MECHANISM

OWN FUNDS REQUIREMENT BEFORE ALLEVIATION DUE TO EXPECTED LOSS, DIVERSIFICATION AND RISK MITIGATION TECHNIQUES

(-) ALLEVIATION OF OWN FUNDS REQUIREMENT DUE TO THE EXPECTED LOSS CAPTURED IN BUSINESS PRACTICES

(-) ALLEVIATION OF OWN FUNDS REQUIREMENT DUE TO DIVERSIFICATION

(-) ALLEVIATION OF OWN FUNDS REQUIREMENT DUE TO RISK MITIGATION TECHNIQUES (INSURANCE AND OTHER RISK TRANSFER MECHANISMS)

0010

0020

0030

0040

0050

0060

0070

0O71

0080

0090

0100

0110

0120

0010

1.  BANKING ACTIVITIES SUBJECT TO BASIC INDICATOR APPROACH (BIA)

 

 

 

 

 

 

 

Cell linked to CA2

 

 

 

 

 

0020

2.  BANKING ACTIVITIES SUBJECT TO STANDARDISED (TSA) / ALTERNATIVE STANDARDISED (ASA) APPROACHES

 

 

 

 

 

 

 

Cell linked to CA2

 

 

 

 

 

 

SUBJECT TO TSA:

 

 

 

 

 

 

 

 

 

 

 

 

 

0030

CORPORATE FINANCE (CF)

 

 

 

 

 

 

 

 

 

 

 

 

 

0040

TRADING AND SALES (TS)

 

 

 

 

 

 

 

 

 

 

 

 

 

0050

RETAIL BROKERAGE (RBr)

 

 

 

 

 

 

 

 

 

 

 

 

 

0060

COMMERCIAL BANKING (CB)

 

 

 

 

 

 

 

 

 

 

 

 

 

0070

RETAIL BANKING (RB)

 

 

 

 

 

 

 

 

 

 

 

 

 

0080

PAYMENT AND SETTLEMENT (PS)

 

 

 

 

 

 

 

 

 

 

 

 

 

0090

AGENCY SERVICES (AS)

 

 

 

 

 

 

 

 

 

 

 

 

 

0100

ASSET MANAGEMENT (AM)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

SUBJECT TO ASA:

 

 

 

 

 

 

 

 

 

 

 

 

 

0110

COMMERCIAL BANKING (CB)

 

 

 

 

 

 

 

 

 

 

 

 

 

0120

RETAIL BANKING (RB)

 

 

 

 

 

 

 

 

 

 

 

 

 

0130

3.  BANKING ACTIVITIES SUBJECT TO ADVANCED MEASUREMENT APPROACHES AMA

 

 

 

 

 

 

 

Cell linked to CA2

 

 

 

 

 



C 17.01 - OPERATIONAL RISK: LOSSES AND RECOVERIES BY BUSINESS LINES AND EVENT TYPES IN THE LAST YEAR (OPR DETAILS 1)

MAPPING OF LOSSES TO BUSINESS LINES

EVENT TYPES

TOTAL EVENT TYPES

MEMORANDUM ITEM: THRESHOLD APPLIED IN DATA COLLECTION

INTERNAL FRAUD

EXTERNAL FRAUD

EMPLOYMENT PRACTICES AND WORKPLACE SAFETY

CLIENTS, PRODUCTS & BUSINESS PRACTICES

DAMAGE TO PHYSICAL ASSETS

BUSINESS DISRUPTION AND SYSTEM FAILURES

EXECUTION, DELIVERY & PROCESS MANAGEMENT

LOWEST

HIGHEST

Rows

 

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

0010

CORPORATE FINANCE [CF]

Number of events (new events)

 

 

 

 

 

 

 

 

 

 

0020

Gross loss amount (new events)

 

 

 

 

 

 

 

 

 

 

0030

Number of events subject to loss adjustments

 

 

 

 

 

 

 

 

 

 

0040

Loss adjustments relating to previous reporting periods

 

 

 

 

 

 

 

 

 

 

0050

Maximum single loss

 

 

 

 

 

 

 

 

 

 

0060

Sum of the five largest losses

 

 

 

 

 

 

 

 

 

 

0070

Total direct loss recovery

 

 

 

 

 

 

 

 

 

 

0080

Total recovery from insurance and other risk transfer mechanisms

 

 

 

 

 

 

 

 

 

 

0110

TRADING AND SALES [TS]

Number of events (new events)

 

 

 

 

 

 

 

 

 

 

0120

Gross loss amount (new events)

 

 

 

 

 

 

 

 

 

 

0130

Number of events subject to loss adjustments

 

 

 

 

 

 

 

 

 

 

0140

Loss adjustments relating to previous reporting periods

 

 

 

 

 

 

 

 

 

 

0150

Maximum single loss

 

 

 

 

 

 

 

 

 

 

0160

Sum of the five largest losses

 

 

 

 

 

 

 

 

 

 

0170

Total direct loss recovery

 

 

 

 

 

 

 

 

 

 

0180

Total recovery from insurance and other risk transfer mechanisms

 

 

 

 

 

 

 

 

 

 

0210

RETAIL BROKERAGE [RBr]

Number of events (new events)

 

 

 

 

 

 

 

 

 

 

0220

Gross loss amount (new events)

 

 

 

 

 

 

 

 

 

 

0230

Number of events subject to loss adjustments

 

 

 

 

 

 

 

 

 

 

0240

Loss adjustments relating to previous reporting periods

 

 

 

 

 

 

 

 

 

 

0250

Maximum single loss

 

 

 

 

 

 

 

 

 

 

0260

Sum of the five largest losses

 

 

 

 

 

 

 

 

 

 

0270

Total direct loss recovery

 

 

 

 

 

 

 

 

 

 

0280

Total recovery from insurance and other risk transfer mechanisms

 

 

 

 

 

 

 

 

 

 

0310

COMMERCIAL BANKING [CB]

Number of events (new events)

 

 

 

 

 

 

 

 

 

 

0320

Gross loss amount (new events)

 

 

 

 

 

 

 

 

 

 

0330

Number of events subject to loss adjustments

 

 

 

 

 

 

 

 

 

 

0340

Loss adjustments relating to previous reporting periods

 

 

 

 

 

 

 

 

 

 

0350

Maximum single loss

 

 

 

 

 

 

 

 

 

 

0360

Sum of the five largest losses

 

 

 

 

 

 

 

 

 

 

0370

Total direct loss recovery

 

 

 

 

 

 

 

 

 

 

0380

Total recovery from insurance and other risk transfer mechanisms

 

 

 

 

 

 

 

 

 

 

0410

RETAIL BANKING [RB]

Number of events (new events)

 

 

 

 

 

 

 

 

 

 

0420

Gross loss amount (new events)

 

 

 

 

 

 

 

 

 

 

0430

Number of events subject to loss adjustments

 

 

 

 

 

 

 

 

 

 

0440

Loss adjustments relating to previous reporting periods

 

 

 

 

 

 

 

 

 

 

0450

Maximum single loss

 

 

 

 

 

 

 

 

 

 

0460

Sum of the five largest losses

 

 

 

 

 

 

 

 

 

 

0470

Total direct loss recovery

 

 

 

 

 

 

 

 

 

 

0480

Total recovery from insurance and other risk transfer mechanisms

 

 

 

 

 

 

 

 

 

 

0510

PAYMENT AND SETTLEMENT [PS]

Number of events (new events)

 

 

 

 

 

 

 

 

 

 

0520

Gross loss amount (new events)

 

 

 

 

 

 

 

 

 

 

0530

Number of events subject to loss adjustments

 

 

 

 

 

 

 

 

 

 

0540

Loss adjustments relating to previous reporting periods

 

 

 

 

 

 

 

 

 

 

0550

Maximum single loss

 

 

 

 

 

 

 

 

 

 

0560

Sum of the five largest losses

 

 

 

 

 

 

 

 

 

 

0570

Total direct loss recovery

 

 

 

 

 

 

 

 

 

 

0580

Total recovery from insurance and other risk transfer mechanisms

 

 

 

 

 

 

 

 

 

 

0610

AGENCY SERVICES [AS]

Number of events (new events)

 

 

 

 

 

 

 

 

 

 

0620

Gross loss amount (new events)

 

 

 

 

 

 

 

 

 

 

0630

Number of events subject to loss adjustments

 

 

 

 

 

 

 

 

 

 

0640

Loss adjustments relating to previous reporting periods

 

 

 

 

 

 

 

 

 

 

0650

Maximum single loss

 

 

 

 

 

 

 

 

 

 

0660

Sum of the five largest losses

 

 

 

 

 

 

 

 

 

 

0670

Total direct loss recovery

 

 

 

 

 

 

 

 

 

 

0680

Total recovery from insurance and other risk transfer mechanisms

 

 

 

 

 

 

 

 

 

 

0710

ASSET MANAGEMENT [AM]

Number of events (new events)

 

 

 

 

 

 

 

 

 

 

0720

Gross loss amount (new events)

 

 

 

 

 

 

 

 

 

 

0730

Number of events subject to loss adjustments

 

 

 

 

 

 

 

 

 

 

0740

Loss adjustments relating to previous reporting periods

 

 

 

 

 

 

 

 

 

 

0750

Maximum single loss

 

 

 

 

 

 

 

 

 

 

0760

Sum of the five largest losses

 

 

 

 

 

 

 

 

 

 

0770

Total direct loss recovery

 

 

 

 

 

 

 

 

 

 

0780

Total recovery from insurance and other risk transfer mechanisms

 

 

 

 

 

 

 

 

 

 

0810

CORPORATE ITEMS [CI]

Number of events (new events)

 

 

 

 

 

 

 

 

 

 

0820

Gross loss amount (new events)

 

 

 

 

 

 

 

 

 

 

0830

Number of events subject to loss adjustments

 

 

 

 

 

 

 

 

 

 

0840

Loss adjustments relating to previous reporting periods

 

 

 

 

 

 

 

 

 

 

0850

Maximum single loss

 

 

 

 

 

 

 

 

 

 

0860

Sum of the five largest losses

 

 

 

 

 

 

 

 

 

 

0870

Total direct loss recovery

 

 

 

 

 

 

 

 

 

 

0880

Total recovery from insurance and other risk transfer mechanisms

 

 

 

 

 

 

 

 

 

 

0910

TOTAL BUSINESS LINES

Number of events (new events). Of which:

 

 

 

 

 

 

 

 

 

 

0911

related to losses ≥ 10,000 and < 20,000

 

 

 

 

 

 

 

 

 

 

0912

related to losses ≥ 20,000 and < 100,000

 

 

 

 

 

 

 

 

 

 

0913

related to losses ≥ 100,000 and < 1,000,000

 

 

 

 

 

 

 

 

 

 

0914

related to losses ≥ 1,000,000

 

 

 

 

 

 

 

 

 

 

0920

Gross loss amount (new events). Of which:

 

 

 

 

 

 

 

 

 

 

0921

related to losses ≥ 10,000 and < 20,000

 

 

 

 

 

 

 

 

 

 

0922

related to losses ≥ 20,000 and < 100,000

 

 

 

 

 

 

 

 

 

 

0923

 

related to losses ≥ 100,000 and < 1,000,000

 

 

 

 

 

 

 

 

 

 

0924

related to losses ≥ 1,000,000

 

 

 

 

 

 

 

 

 

 

0930

Number of events subject to loss adjustments. Of which:

 

 

 

 

 

 

 

 

 

 

0935

of which: number of events with a positive loss adjustment

 

 

 

 

 

 

 

 

 

 

0936

of which: number of events with a negative loss adjustment

 

 

 

 

 

 

 

 

 

 

0940

Loss adjustments relating to previous reporting periods

 

 

 

 

 

 

 

 

 

 

0945

of which: positive loss adjustment amounts (+)

 

 

 

 

 

 

 

 

 

 

0946

of which: negative loss adjustment amounts (-)

 

 

 

 

 

 

 

 

 

 

0950

 

Maximum single loss

 

 

 

 

 

 

 

 

 

 

0960

Sum of the five largest losses

 

 

 

 

 

 

 

 

 

 

0970

Total direct loss recovery

 

 

 

 

 

 

 

 

 

 

0980

Total recovery from insurance and other risk transfer mechanisms

 

 

 

 

 

 

 

 

 

 



C 17.02 - OPERATIONAL RISK: LARGE LOSS EVENTS (OPR DETAILS 2)

 

Event ID

Date of accounting

Date of occurrence

Date of discovery

Event Type

Gross loss

Gross loss net of direct recoveries

GROSS LOSS BY BUSINESS LINE

Legal Entity name

Code

Type of code

Business Unit

Description

Corporate Finance [CF]

Trading and Sales [TS]

Retail Brokerage [RBr]

Commercial Banking [CB]

Retail Banking [RB]

Payment and Settlement [PS]

Agency Services [AS]

Asset Management [AM]

Corporate Items [CI]

Rows

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

0110

0120

0130

0140

0150

0160

0170

0181

0185

0190

0200

…

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



C 18.00 - MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS (MKR SA TDI)

Currency:

 

POSITIONS

OWN FUNDS REQUIREMENTS

TOTAL RISK EXPOSURE AMOUNT

ALL POSITIONS

NET POSITIONS

POSITIONS SUBJECT TO CAPITAL CHARGE

LONG

SHORT

LONG

SHORT

0010

0020

0030

0040

0050

0060

0070

0010

TRADED DEBT INSTRUMENTS IN TRADING BOOK

 

 

 

 

 

 

Cell linked to CA2

0011

General risk

 

 

 

 

 

 

 

0012

Derivatives

 

 

 

 

 

 

 

0013

Other assets and liabilities

 

 

 

 

 

 

 

0020

Maturity-based approach

 

 

 

 

 

 

 

0030

Zone 1

 

 

 

 

 

 

 

0040

0 ≤ 1 month

 

 

 

 

 

 

 

0050

> 1 ≤ 3 months

 

 

 

 

 

 

 

0060

> 3 ≤ 6 months

 

 

 

 

 

 

 

0070

> 6 ≤ 12 months

 

 

 

 

 

 

 

0080

Zone 2

 

 

 

 

 

 

 

0090

> 1 ≤ 2 (1,9 for cupon of less than 3%) years

 

 

 

 

 

 

 

0100

> 2 ≤ 3 (> 1,9 ≤ 2,8 for cupon of less than 3%) years

 

 

 

 

 

 

 

0110

> 3 ≤ 4 (> 2,8 ≤ 3,6 for cupon of less than 3%) years

 

 

 

 

 

 

 

0120

Zone 3

 

 

 

 

 

 

 

0130

> 4 ≤ 5 (> 3,6 ≤ 4,3 for cupon of less than 3%) years

 

 

 

 

 

 

 

0140

> 5 ≤ 7 (> 4,3 ≤ 5,7 for cupon of less than 3%) years

 

 

 

 

 

 

 

0150

> 7 ≤ 10 (> 5,7 ≤ 7,3 for cupon of less than 3%) years

 

 

 

 

 

 

 

0160

> 10 ≤ 15 (> 7,3 ≤ 9,3 for cupon of less than 3%) years

 

 

 

 

 

 

 

0170

> 15 ≤ 20 (> 9,3 ≤ 10,6 for cupon of less than 3%) years

 

 

 

 

 

 

 

0180

> 20 (> 10,6 ≤ 12,0 for cupon of less than 3%) years

 

 

 

 

 

 

 

0190

(> 12,0 ≤ 20,0 for cupon of less than 3%) years

 

 

 

 

 

 

 

0200

(> 20 for cupon of less than 3%) years

 

 

 

 

 

 

 

0210

Duration-based approach

 

 

 

 

 

 

 

0220

Zone 1

 

 

 

 

 

 

 

0230

Zone 2

 

 

 

 

 

 

 

0240

Zone 3

 

 

 

 

 

 

 

0250

Specific risk

 

 

 

 

 

 

 

0251

Own funds requirement for non-securitisation debt instruments

 

 

 

 

 

 

 

0260

Debt securities under the first category in Table 1

 

 

 

 

 

 

 

0270

Debt securities under the second category in Table 1

 

 

 

 

 

 

 

0280

With residual term ≤ 6 months

 

 

 

 

 

 

 

0290

With a residual term > 6 months and ≤ 24 months

 

 

 

 

 

 

 

0300

With a residual term > 24 months

 

 

 

 

 

 

 

0310

Debt securities under the third category in Table 1

 

 

 

 

 

 

 

0320

Debt securities under the fourth category in Table 1

 

 

 

 

 

 

 

0321

Rated nth-to default credit derivatives

 

 

 

 

 

 

 

0325

Own funds requirement for securitisation instruments

 

 

 

 

 

 

 

0330

Own funds requirement for the correlation trading portfolio

 

 

 

 

 

 

 

0350

Additional requirements for options (non-delta risks)

 

 

 

 

 

 

 

0360

Simplified method

 

 

 

 

 

 

 

0370

Delta plus approach - additional requirements for gamma risk

 

 

 

 

 

 

 

0380

Delta plus approach - additional requirements for vega risk

 

 

 

 

 

 

 

0385

Delta plus approach - non-continuous options and warrants

 

 

 

 

 

 

 

0390

Scenario matrix approach

 

 

 

 

 

 

 



C 19.00 - MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS (MKR SA SEC)

 

ALL POSITIONS

(-) POSITIONS DEDUCTED FROM OWN FUNDS

NET POSITIONS

BREAKDOWN OF THE NET POSITIONS (LONG) ACCORDING TO RISK WEIGHTS

BREAKDOWN OF THE NET POSITIONS (SHORT) ACCORDING TO RISK WEIGHTS

BREAKDOWN OF THE NET POSITION ACCORDING TO APPROACHES

OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF CHAPTER 2 OF REGULATION (EU) 2017/2402

BEFORE CAP

AFTER CAP / TOTAL OWN FUND REQUIREMENTS

LONG

SHORT

(-) LONG

(-) SHORT

LONG

SHORT

[0 - 10%]

[10 - 12%]

[12 - 20%]

[20 - 40%]

[40 - 100%]

[100 - 150%]

[150 - 200%]

[200 - 225%]

[225 - 250%]

[250 - 300%]

[300 - 350%]

[350 - 425%]

[425 - 500%]

[500 - 650%]

[650 - 750%]

[750 - 850%]

[850 - 1250%]

[0 - 10%]

[10 - 12%]

[12 - 20%]

[20 - 40%]

[40 - 100%]

[100 - 150%]

[150 - 200%]

[200 - 225%]

[225 - 250%]

[250 - 300%]

[300 - 350%]

[350 - 425%]

[425 - 500%]

[500 - 650%]

[650 - 750%]

[750 - 850%]

[850 - 1250%]

1250%

SEC-IRBA

SEC-SA

SEC-ERBA

INTERNAL ASSESSMENT APPROACH

SPECIFIC TREATMENT FOR SENIOR TRANCHES OF QUALIFYING NPE SECURITI-SATIONS

OTHER (RW=1 250 %)

WEIGHTED NET LONG POSITIONS

WEIGHTED NET SHORT POSITIONS

0010

0020

0030

0040

0050

0060

0061

0062

0063

0064

0065

0066

0071

0072

0073

0074

0075

0076

0077

0078

0079

0081

0082

0085

0086

0087

0088

0089

0091

0092

0093

0094

0095

0096

0097

0098

0099

0101

0102

0103

0104

0402

0403

0404

0405

0900

0406

0530

0540

0570

0601

0010

TOTAL EXPOSURES

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Cell linked to MKR SA TDI {325:060}

0020

Of which: RE-SECURITISATIONS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0030

ORIGINATOR: TOTAL EXPOSURES

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0040

SECURITISATIONS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0041

OF WHICH: QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0050

RE-SECURITISATIONS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0060

INVESTOR: TOTAL EXPOSURES

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0070

SECURITISATIONS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0071

OF WHICH: QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0080

RE-SECURITISATIONS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0090

SPONSOR: TOTAL EXPOSURES

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0100

SECURITISATIONS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0101

OF WHICH: QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0110

RE-SECURITISATIONS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



C 20.00 - MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN THE CORRELATION TRADING PORTFOLIO (MKR SA CTP)

 

ALL POSITIONS

(-) POSITIONS DEDUCTED FROM OWN FUNDS

NET POSITIONS

BREAKDOWN OF THE NET POSITION (LONG) ACCORDING TO RISK WEIGHTS

BREAKDOWN OF THE NET POSITION (SHORT) ACCORDING TO RISK WEIGHTS

BREAKDOWN OF THE NET POSITION ACCORDING TO APPROACHES

BEFORE CAP

AFTER CAP

TOTAL OWN FUNDS REQUIRE-MENTS

LONG

SHORT

(-) LONG

(-) SHORT

LONG

SHORT

[0 - 10%]

[10 - 12%]

[12 - 20%]

[20 - 40%]

[40 - 100%]

[100 - 250%]

[250 - 350%]

[350 - 425%]

[425 - 650%]

[650 - 1250%]

1250%

[0 - 10%]

[10 - 12%]

[12 - 20%]

[20 - 40%]

[40 - 100%]

[100 - 250%]

[250 - 350%]

[350 - 425%]

[425 - 650%]

[650 - 1250%]

1250%

SEC-IRBA

SEC-SA

SEC-ERBA

INTERNAL ASSESS-MENT APPROACH

SPECIFIC TREATMENT FOR SENIOR TRANCHES OF QUALIFYING NPE SECURITI-SATIONS

OTHER (RW = 1250%)

WEIGHTED NET LONG POSITIONS

WEIGHTED NET SHORT POSITIONS

WEIGHTED NET LONG POSITIONS

WEIGHTED NET SHORT POSITIONS

0010

0020

0030

0040

0050

0060

0071

0072

0073

0074

0075

0076

0077

0078

0079

0081

0082

0086

0087

0088

0089

0091

0092

0093

0094

0095

0096

0097

0402

0403

0404

0405

0900

0406

0410

0420

0430

0440

0450

0010

TOTAL EXPOSURES

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Cell linked to MKR SA TDI {0330:0060}

 

SECURITISATION POSITIONS:

0020

ORIGINATOR: TOTAL EXPOSURES

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0030

SECURITISATIONS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0040

OTHER CTP POSITIONS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0050

INVESTOR: TOTAL EXPOSURES

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0060

SECURITISATIONS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0070

OTHER CTP POSITIONS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0080

SPONSOR: TOTAL EXPOSURES

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0090

SECURITISATIONS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0100

OTHER CTP POSITIONS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

N-TH-TO-DEFAULT CREDIT DERIVATIVES:

0110

N-TH-TO-DEFAULT CREDIT DERIVATIVES

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0120

OTHER CTP POSITIONS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



C 21.00 - MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES (MKR SA EQU)

National market:

 

POSITIONS

OWN FUNDS REQUIREMENTS

TOTAL RISK EXPOSURE AMOUNT

ALL POSITIONS

NET POSITIONS

POSITIONS SUBJECT TO CAPITAL CHARGE

LONG

SHORT

LONG

SHORT

0010

0020

0030

0040

0050

0060

0070

0010

EQUITIES IN TRADING BOOK

 

 

 

 

 

 

Cell linked to CA

0020

General risk

 

 

 

 

 

 

 

0021

Derivatives

 

 

 

 

 

 

 

0022

Other assets and liabilities

 

 

 

 

 

 

 

0030

Exchange traded stock-index futures broadly diversified subject to particular approach

 

 

 

 

 

 

 

0040

Other equities than exchange traded stock-index futures broadly diversified

 

 

 

 

 

 

 

0050

Specific risk

 

 

 

 

 

 

 

0090

Additional requirements for options (non-delta risks)

 

 

 

 

 

 

 

0100

Simplified method

 

 

 

 

 

 

 

0110

Delta plus approach - additional requirements for gamma risk

 

 

 

 

 

 

 

0120

Delta plus approach - additional requirements for vega risk

 

 

 

 

 

 

 

0125

Delta plus approach - non-continuous options and warrants

 

 

 

 

 

 

 

0130

Scenario matrix approach

 

 

 

 

 

 

 



C 22.00 - MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK (MKR SA FX)

 

ALL POSITIONS

NET POSITIONS

POSITIONS SUBJECT TO CAPITAL CHARGE (Including redistribution of unmatched positions in non-reporting currencies subject to special treatment for matched positions)

OWN FUNDS REQUIREMENTS

TOTAL RISK EXPOSURE AMOUNT

LONG

SHORT

LONG

SHORT

LONG

SHORT

MATCHED

0020

0030

0040

0050

0060

0070

0080

0090

0100

0010

TOTAL POSITIONS

 

 

 

 

 

 

 

 

Cell linked to CA

0020

Currencies closely correlated

 

 

 

 

 

 

 

 

 

0025

of which: reporting currency

 

 

 

 

 

 

 

 

 

0030

All other currencies (including CIUs treated as different currencies)

 

 

 

 

 

 

 

 

 

0040

Gold

 

 

 

 

 

 

 

 

 

0050

Additional requirements for options (non-delta risks)

 

 

 

 

 

 

 

 

 

0060

Simplified method

 

 

 

 

 

 

 

 

 

0070

Delta plus approach - additional requirements for gamma risk

 

 

 

 

 

 

 

 

 

0080

Delta plus approach - additional requirements for vega risk

 

 

 

 

 

 

 

 

 

0085

Delta plus approach - non-continuous options and warrants

 

 

 

 

 

 

 

 

 

0090

Scenario matrix approach

 

 

 

 

 

 

 

 

 

BREAKDOWN OF TOTAL POSITIONS (REPORTING CURRENCY INCLUDED) BY EXPOSURE TYPES

0100

Other assets and liabilities other than off-balance sheet items and derivatives

 

 

 

 

 

 

 

 

 

0110

Off-balance sheet items

 

 

 

 

 

 

 

 

 

0120

Derivatives

 

 

 

 

 

 

 

 

 

Memorandum items: CURRENCY POSITIONS

0130

Euro

 

 

 

 

 

 

 

 

 

0140

Lek

 

 

 

 

 

 

 

 

 

0150

Argentine Peso

 

 

 

 

 

 

 

 

 

0160

Australian Dollar

 

 

 

 

 

 

 

 

 

0170

Brazilian Real

 

 

 

 

 

 

 

 

 

0180

Bulgarian Lev

 

 

 

 

 

 

 

 

 

0190

Canadian Dollar

 

 

 

 

 

 

 

 

 

0200

Czech Koruna

 

 

 

 

 

 

 

 

 

0210

Danish Krone

 

 

 

 

 

 

 

 

 

0220

Egyptian Pound

 

 

 

 

 

 

 

 

 

0230

Pound Sterling

 

 

 

 

 

 

 

 

 

0240

Forint

 

 

 

 

 

 

 

 

 

0250

Yen

 

 

 

 

 

 

 

 

 

0270

Lithuanian Litas

 

 

 

 

 

 

 

 

 

0280

Denar

 

 

 

 

 

 

 

 

 

0290

Mexican Peso

 

 

 

 

 

 

 

 

 

0300

Zloty

 

 

 

 

 

 

 

 

 

0310

Rumanian Leu

 

 

 

 

 

 

 

 

 

0320

Russian Ruble

 

 

 

 

 

 

 

 

 

0330

Serbian Dinar

 

 

 

 

 

 

 

 

 

0340

Swedish Krona

 

 

 

 

 

 

 

 

 

0350

Swiss Franc

 

 

 

 

 

 

 

 

 

0360

Turkish Lira

 

 

 

 

 

 

 

 

 

0370

Hryvnia

 

 

 

 

 

 

 

 

 

0380

US Dollar

 

 

 

 

 

 

 

 

 

0390

Iceland Krona

 

 

 

 

 

 

 

 

 

0400

Norwegian Krone

 

 

 

 

 

 

 

 

 

0410

Hong Kong Dollar

 

 

 

 

 

 

 

 

 

0420

New Taiwan Dollar

 

 

 

 

 

 

 

 

 

0430

New Zealand Dollar

 

 

 

 

 

 

 

 

 

0440

Singapore Dollar

 

 

 

 

 

 

 

 

 

0450

Won

 

 

 

 

 

 

 

 

 

0460

Yuan Renminbi

 

 

 

 

 

 

 

 

 

0470

Other

 

 

 

 

 

 

 

 

 

0480

Croatian Kuna

 

 

 

 

 

 

 

 

 



C 23.00 - MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES (MKR SA COM)

 

ALL POSITIONS

NET POSITIONS

POSITIONS SUBJECT TO CAPITAL CHARGE

OWN FUNDS REQUIREMENTS

TOTAL RISK EXPOSURE AMOUNT

LONG

SHORT

LONG

SHORT

0010

0020

0030

0040

0050

0060

0070

0010

TOTAL POSITIONS IN COMMODITIES

 

 

 

 

 

 

Cell linked to CA

0020

Precious metals (except gold)

 

 

 

 

 

 

 

0030

Base metals

 

 

 

 

 

 

 

0040

Agricultural products (softs)

 

 

 

 

 

 

 

0050

Others

 

 

 

 

 

 

 

0060

Of which energy products (oil, gas)

 

 

 

 

 

 

 

0070

Maturity ladder approach

 

 

 

 

 

 

 

0080

Extended maturity ladder approach

 

 

 

 

 

 

 

0090

Simplified approach: All positions

 

 

 

 

 

 

 

0100

Additional requirements for options (non-delta risks)

 

 

 

 

 

 

 

0110

Simplified method

 

 

 

 

 

 

 

0120

Delta plus approach - additional requirements for gamma risk

 

 

 

 

 

 

 

0130

Delta plus approach - additional requirements for vega risk

 

 

 

 

 

 

 

0135

Delta plus approach - non-continuous options and warrants

 

 

 

 

 

 

 

0140

Scenario matrix approach

 

 

 

 

 

 

 



C 24.00 - MARKET RISK INTERNAL MODELS (MKR IM)

 

VaR

STRESSED VaR

INCREMENTAL DEFAULT AND MIGRATION RISK CAPITAL CHARGE

ALL PRICE RISKS CAPITAL CHARGE FOR CTP

OWN FUNDS REQUIREMENTS

TOTAL RISK EXPOSURE AMOUNT

Number of overshootings during previous 250 working days

VaR Multiplication Factor (mc)

SVaR Multiplication Factor (ms)

ASSUMED CHARGE FOR CTP FLOOR - WEIGHTED NET LONG POSITIONS AFTER CAP

ASSUMED CHARGE FOR CTP FLOOR - WEIGHTED NET SHORT POSITIONS AFTER CAP

MULTIPLICATION FACTOR (mc) x AVERAGE OF PREVIOUS 60 WORKING DAYS (VaRavg)

PREVIOUS DAY (VaRt-1)

MULTIPLICATION FACTOR (ms) x AVERAGE OF PREVIOUS 60 WORKING DAYS (SVaRavg)

LATEST AVAILABLE (SVaRt-1)

12 WEEKS AVERAGE MEASURE

LAST MEASURE

FLOOR

12 WEEKS AVERAGE MEASURE

LAST MEASURE

0030

0040

0050

0060

0070

0080

0090

0100

0110

0120

0130

0140

0150

0160

0170

0180

0010

TOTAL POSITIONS

 

 

 

 

 

 

 

 

 

 

Cell linked to CA

 

 

 

 

 

 

Memorandum items: BREAKDOWN OF MARKET RISK

0020

Traded debt instruments

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0030

TDI - General risk

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0040

TDI - Specific Risk

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0050

Equities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0060

Equities - General risk

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0070

Equities - Specific Risk

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0080

Foreign Exchange risk

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0090

Commodities risk

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0100

Total amount for general risk

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0110

Total amount for specific risk

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



C 25.00 - CREDIT VALUE ADJUSTMENT RISK (CVA)

 

EXPOSURE VALUE

VaR

STRESSED VaR

OWN FUNDS REQUIREMENTS

TOTAL RISK EXPOSURE AMOUNT

MEMORANDUM ITEMS

CVA RISK HEDGE NOTIONALS

 

of which: OTC Derivatives

of which: SFT

MULTIPLICATION FACTOR (mc) x AVERAGE OF PREVIOUS 60 WORKING DAYS (VaRavg)

PREVIOUS DAY (VaRt-1)

MULTIPLICATION FACTOR (ms) x AVERAGE OF PREVIOUS 60 WORKING DAYS (SVaRavg)

LATEST AVAILABLE (SVaRt-1)

Number of counterparties

of which: proxy was used to determine credit spread

INCURRED CVA

SINGLE NAME CDS

INDEX CDS

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

0110

0120

0130

0140

0010

CVA risk total

 

 

 

 

 

 

 

 

Link to {CA2;r640;c010}

 

 

 

 

 

0020

According to Advanced method

 

 

 

 

 

 

 

 

Link to {CA2;r650;c010}

 

 

 

 

 

0030

According to Standardised method

 

 

 

 

 

 

 

 

Link to {CA2;r660;c010}

 

 

 

 

 

0040

Based on OEM

 

 

 

 

 

 

 

 

Link to {CA2;r670;c010}

 

 

 

 

 



C 32.01 - Prudent Valuation: Fair-Valued Assets and Liabilities (PRUVAL 1)

 

FAIR-VALUED ASSETS AND LIABILITIES

 

FAIR-VALUED ASSETS AND LIABILITIES EXCLUDED BECAUSE OF PARTIAL IMPACT ON CET1

FAIR-VALUED ASSETS AND LIABILITIES INCLUDED IN ART. 4(1) THRESHOLD

 

OF WHICH: TRADING BOOK

EXACTLY MATCHING

HEDGE ACCOUNTING

PRUDENTIAL FILTERS

OTHER

COMMENTS FOR OTHER

OF WHICH: TRADING BOOK

0010

0020

0030

0040

0050

0060

0070

0080

0090

0010

1

TOTAL FAIR-VALUED ASSETS AND LIABILITIES

 

 

 

 

 

 

 

 

 

0020

1.1

TOTAL FAIR-VALUED ASSETS

 

 

 

 

 

 

 

 

 

0030

1.1.1

FINANCIAL ASSETS HELD FOR TRADING

 

 

 

 

 

 

 

 

 

0040

1.1.2

TRADING FINANCIAL ASSETS

 

 

 

 

 

 

 

 

 

0050

1.1.3

NON-TRADING FINANCIAL ASSETS MANDATORILY AT FAIR VALUE THROUGH PROFIT OR LOSS

 

 

 

 

 

 

 

 

 

0060

1.1.4

FINANCIAL ASSETS DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS

 

 

 

 

 

 

 

 

 

0070

1.1.5

FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME

 

 

 

 

 

 

 

 

 

0080

1.1.6

NON-TRADING NON-DERIVATIVE FINANCIAL ASSETS MEASURED AT FAIR VALUE THROUGH PROFIT OR LOSS

 

 

 

 

 

 

 

 

 

0090

1.1.7

NON-TRADING NON-DERIVATIVE FINANCIAL ASSETS MEASURED AT FAIR VALUE TO EQUITY

 

 

 

 

 

 

 

 

 

0100

1.1.8

OTHER NON-TRADING NON-DERIVATIVE FINANCIAL ASSETS

 

 

 

 

 

 

 

 

 

0110

1.1.9

DERIVATIVES - HEDGE ACCOUNTING

 

 

 

 

 

 

 

 

 

0120

1.1.10

FAIR VALUE CHANGES OF THE HEDGED ITEMS IN PORTFOLIO HEDGE OF INTEREST RATE RISK

 

 

 

 

 

 

 

 

 

0130

1.1.11

INVESTMENTS IN SUBSIDIARIES, JOINT VENTURES AND ASSOCIATES

 

 

 

 

 

 

 

 

 

0140

1.1.12

(-) HAIRCUTS FOR TRADING ASSETS AT FAIR VALUE

 

 

 

 

 

 

 

 

 

0142

1.1.13

OTHER ASSETS

 

 

 

 

 

 

 

 

 

0143

1.1.14

NON-CURRENT ASSETS AND DISPOSAL GROUPS CLASSIFIED AS HELD FOR SALE

 

 

 

 

 

 

 

 

 

0150

1.2

TOTAL FAIR-VALUED LIABILITIES

 

 

 

 

 

 

 

 

 

0160

1.2.1

FINANCIAL LIABILITIES HELD FOR TRADING

 

 

 

 

 

 

 

 

 

0170

1.2.2

TRADING FINANCIAL LIABILITIES

 

 

 

 

 

 

 

 

 

0180

1.2.3

FINANCIAL LIABILITIES DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS

 

 

 

 

 

 

 

 

 

0190

1.2.4

DERIVATIVES - HEDGE ACCOUNTING

 

 

 

 

 

 

 

 

 

0200

1.2.5

FAIR VALUE CHANGES OF THE HEDGED ITEMS IN PORTFOLIO HEDGE OF INTEREST RATE RISK

 

 

 

 

 

 

 

 

 

0210

1.2.6

HAIRCUTS FOR TRADING LIABILITIES AT FAIR VALUE

 

 

 

 

 

 

 

 

 

0220

1.2.7

OTHER LIABILITIES

 

 

 

 

 

 

 

 

 

0230

1.2.8

LIABILITIES INCLUDED IN DISPOSAL GROUPS CLASSIFIED AS HELD FOR SALE

 

 

 

 

 

 

 

 

 



C 32.02 - PRUDENT VALUATION: CORE APPROACH (PRUVAL 2)

 

CATEGORY LEVEL AVA

TOTAL AVA

UPSIDE UNCERTAINTY

FAIR-VALUED ASSETS AND LIABILITIES

QTD REVENUE

IPV DIFFE-RENCE

FAIR VALUE ADJUSTMENTS

DAY 1 P&L

EXPLANATION DESCRIPTION

MARKET PRICE UNCERTAINTY

 

CLOSE-OUT COSTS

 

MODEL RISK

 

CONCENTRATED POSITIONS

FUTURE ADMINIS-TRATIVE COSTS

EARLY TERMINATION

OPERATIONAL RISK

FAIR-VALUED ASSETS

FAIR-VALUED LIABILITIES

MARKET PRICE UNCERTAINTY

CLOSE-OUT COSTS

MODEL RISK

CONCENTRATED POSITIONS

UN-EARNED CREDIT SPREADS

INVES-TING AND FUNDING COSTS

FUTURE ADMINIS-TRATIVE COSTS

EARLY TERMINATION

OPERATIONAL RISK

OF WHICH: CALCULATED USING THE EXPERT BASED APPROACH

OF WHICH: CALCULATED USING THE EXPERT BASED APPROACH

OF WHICH: CALCULATED USING THE EXPERT BASED APPROACH

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

0110

0120

0130

0140

0150

0160

0170

0180

0190

0200

0210

0220

0230

0240

0250

0260

0270

0010

1

TOTAL CORE APPROACH

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0020

 

OF WHICH: TRADING BOOK

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0030

1.1

PORTFOLIOS UNDER ARTICLES 9 TO 17 - TOTAL CATEGORY LEVEL POST-DIVERSIFICATION

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0040

1.1.1

TOTAL CATEGORY LEVEL PRE-DIVERSIFICATION

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0050

1.1.1*

OF WHICH: UNEARNED CREDIT SPREADS AVA

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0060

1.1.1**

OF WHICH: INVESTMENT AND FUNDING COSTS AVA

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0070

1.1.1***

OF WHICH: AVA ASSESSED TO HAVE ZERO VALUE UNDER ARTICLE 9(2) OF DELEGATED REGULATION (EU) 2016/101

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0080

1.1.1****

OF WHICH: AVA ASSESSED TO HAVE ZERO VALUE UNDER ARTICLE 10(2) AND (3) OF DELEGATED REGULATION (EU) 2016/101

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0090

1.1.1.1

INTEREST RATES

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0100

1.1.1.2

FOREIGN EXCHANGE

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0110

1.1.1.3

CREDIT

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0120

1.1.1.4

EQUITIES

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0130

1.1.1.5

COMMODITIES

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0140

1.1.2

(-) DIVERSIFICATION BENEFITS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0150

1.1.2.1

(-) DIVERSIFICATION BENEFIT CALCULATED USING METHOD 1

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0160

1.1.2.2

(-) DIVERSIFICATION BENEFIT CALCULATED USING METHOD 2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0170

1.1.2.2*

MEMORANDUM ITEM: PRE-DIVERSIFICATION AVAS REDUCED BY MORE THAN 90% BY DIVERSIFICATION UNDER METHOD 2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0180

1.2

PORTFOLIOS UNDER THE FALL-BACK APPROACH

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0190

1.2.1

100% OF NET UNREALISED PROFIT

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0200

1.2.2

10% OF NOTIONAL VALUE

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0210

1.2.3

25% OF INCEPTION VALUE

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



C 32.03 - Prudent Valuation: Model Risk AVA (PRUVAL 3)

RANK

MODEL

RISK CATEGORY

PRODUCT

OBSER-VABILITY

MODEL RISK AVA

 

 

AGGREGATED AVA CALCULATED UNDER METHOD 2

FAIR-VALUED ASSETS AND LIABILITIES

IPV DIFFERENCE (OUTPUT TESTING)

IPV COVERAGE (OUTPUT TESTING)

FAIR VALUE ADJUSTMENTS

DAY1 P&L

OF WHICH: USING THE EXPERT BASED APPROACH

OF WHICH: AGGRE-GATED USING METHOD 2

FAIR VALUED ASSETS

FAIR VALUED LIABILITIES

MODEL RISK

EARLY TERMINATION

0005

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

0110

0120

0130

0140

0150

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



C 32.04 - Prudent Valuation: Concentrated Positions AVA (PRUVAL 4)

RANK

RISK CATEGORY

PRODUCT

UNDERLYING

CONCEN-TRATED POSITION SIZE

SIZE MEASURE

MARKET VALUE

PRUDENT EXIT PERIOD

CONCEN-TRATED POSITIONS AVA

CONCEN-TRATED POSITION FAIR VALUE ADJUSTMENT

IPV DIFFERENCE

0005

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

 

 

 

 

 

 

 

 

 

 

 



C 33.00 - GENERAL GOVERNMENTS EXPOSURES BY COUNTRY OF THE COUNTERPARTY (GOV)

Country:

 

Direct exposures

Memorandum item: credit derivatives sold on general government exposures

Exposure value

Risk weighted exposure amount

On-balance sheet exposures

Accumulated impairment

 

Accumulated negative changes in fair value due to credit risk

 

 

Derivatives

Off-balance sheet exposures

Total gross carrying amount of non-derivative financial assets

Total carrying amount of non-derivative financial assets (net of short positions)

Non-derivative financial assets by accounting portfolios

Short positions

 

 

 

 

Derivatives with positive fair value

Derivatives with negative fair value

Nominal amount

Provisions

Accumulated negative changes in fair value due to credit risk

Derivatives with positive fair value - Carrying amount

Derivatives with negative fair value - Carrying amount

Financial assets held for trading

Trading financial assets

Non-trading financial assets mandatorily at fair value through profit or loss

Financial assets designated at fair value through profit or loss

Non-trading non-derivative financial assets measured at fair value through profit or loss

Financial assets at fair value through other comprehensive income

Non-trading non-derivative financial assets measured at fair value to equity

Financial assets at amortised cost

Non-trading non-derivative financial assets measured at a cost-based method

Other non-trading non-derivative financial assets

Of which: Short positions from reverse repurchased loans classified as held for trading or trading financial assets

of which: from financial assets at fair value through other comprehensive income or from non-trading non-derivative financial assets measured at fair value to equity

of which: from non-trading financial assets mandatorily at fair value through profit or loss, financial assets designated at fair value through profit or loss or from non-trading financial assets measured at fair value through profit or loss

of which: from financial assets at fair value through other comprehensive income or from non-trading non-derivative financial assets measured at fair value to equity

Carrying amount

Notional amount

Carrying amount

Notional amount

0010

0020

0030

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

0010

Total exposures

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BREAKDOWN OF TOTAL EXPOSURES BY RISK, REGULATORY APPROACH AND EXPOSURE CLASSES:

0020

Exposures under the credit risk framework

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0030

Standardised Approach

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0040

Central governments

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0050

Regional governments or local authorities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0060

Public sector entities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0070

International Organisations

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0075

Other general government exposures subject to Standardised Approach

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0080

IRB Approach

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0090

Central governments

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0100

Regional governments or local authorities [Central governments]

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0110

Regional governments or local authorities [Institutions]

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0120

Public sector entities [Central governments]

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0130

Public sector entities [Institutions]

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0140

International Organisations [Central governments]

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0155

Other general government exposures subject to IRB approach

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0160

Exposures under the market risk framework

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BREAKDOWN OF TOTAL EXPOSURES BY RESIDUAL MATURITY:

0170

[ 0 - 3M]

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0180

[ 3M - 1Y]

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0190

[ 1Y - 2Y]

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0200

[ 2Y - 3Y]

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0210

[3Y - 5Y]

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0220

[5Y - 10Y]

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0230

[10Y - more]

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



C 35.01 - NPE LOSS COVERAGE: THE CALCULATION OF DEDUCTIONS FOR NON-PERFORMING EXPOSURES (NPE LC1)

 

Time passed since exposures classified as non-performing

Total

<= 1 year

> 1 year <= 2 years

> 2 years <= 3 years

> 3 years <= 4 years

> 4 years <= 5 years

> 5 years <= 6 years

> 6 years <= 7 years

> 7 years <= 8 years

> 8 years <= 9 years

> 9 years

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

0110

0010

Applicable amount of insufficient coverage

 

 

 

 

 

 

 

 

 

 

 

MINIMUM COVERAGE REQUIREMENT

0020

Total minimum coverage requirement

 

 

 

 

 

 

 

 

 

 

 

0030

Unsecured part of NPEs

 

 

 

 

 

 

 

 

 

 

 

0040

Secured part of NPEs

 

 

 

 

 

 

 

 

 

 

 

0050

Exposure value

 

 

 

 

 

 

 

 

 

 

 

0060

Unsecured part of NPEs

 

 

 

 

 

 

 

 

 

 

 

0070

Secured part of NPEs

 

 

 

 

 

 

 

 

 

 

 

AVAILABLE COVERAGE

0080

Total provisions and adjustments or deductions (capped)

 

 

 

 

 

 

 

 

 

 

 

0090

Total provisions and adjustments or deductions (uncapped)

 

 

 

 

 

 

 

 

 

 

 

0100

Specific credit risk adjustments

 

 

 

 

 

 

 

 

 

 

 

0110

Additional valuation adjustments

 

 

 

 

 

 

 

 

 

 

 

0120

Other own funds reductions

 

 

 

 

 

 

 

 

 

 

 

0130

IRB shortfall

 

 

 

 

 

 

 

 

 

 

 

0140

Difference between the purchase price and the amount owed by the debtor

 

 

 

 

 

 

 

 

 

 

 

0150

Amounts written-off by the institution since the exposure was classified as non-performing

 

 

 

 

 

 

 

 

 

 

 



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) CRR (NPE LC2)

 

Time passed since exposures classified as non-performing

Total

<= 1 year

> 1 year <= 2 years

> 2 years <= 3 years

> 3 years <= 4 years

> 4 years <= 5 years

> 5 years <= 6 years

> 6 years <= 7 years

> 7 years <= 8 years

> 8 years <= 9 years

> 9 years

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

0110

0010

TOTAL MINIMUM COVERAGE REQUIREMENT

 

 

 

 

 

 

 

 

 

 

 

0020

Unsecured part of NPEs

 

 

 

 

 

 

 

 

 

 

 

0030

Part of NPEs secured by immovable property or residential loan guaranteed by an eligible protection provider

 

 

 

 

 

 

 

 

 

 

 

0040

Part of NPEs secured by other funded or unfunded credit protection

 

 

 

 

 

 

 

 

 

 

 

0050

Part of NPEs guaranteed or insured by an official export credit agency

 

 

 

 

 

 

 

 

 

 

 

0060

EXPOSURE VALUE

 

 

 

 

 

 

 

 

 

 

 

0070

Unsecured part of NPEs

 

 

 

 

 

 

 

 

 

 

 

 

Factor

 

 

0.35

1

1

1

1

1

1

1

 

0080

Part of NPEs secured by immovable property or residential loan guaranteed by an eligible protection provider

 

 

 

 

 

 

 

 

 

 

 

 

Factor

 

 

 

0.25

0.35

0.55

0.7

0.8

0.85

1

 

0090

Part of NPEs secured by other funded or unfunded credit protection

 

 

 

 

 

 

 

 

 

 

 

 

Factor

 

 

 

0.25

0.35

0.55

0.8

1

1

1

 

0100

Part of NPEs guaranteed or insured by an official export credit agency

 

 

 

 

 

 

 

 

 

 

 

 

Factor

 

 

 

 

 

 

 

1

1

1

 



C 35.03 - NPE LOSS COVERAGE: MINIMUM COVERAGE REQUIREMENTS AND EXPOSURE VALUES OF NON-PERFORMING FORBORNE EXPOSURES THAT FALL UNDER ARTICLE 47C (6) CRR (NPE LC3)

 

Time passed since exposures classified as non-performing

TOTAL

<= 1 year

> 1 year <= 2 years

> 2 years <= 3 years

> 3 years <= 4 years

> 4 years <= 5 years

> 5 years <= 6 years

> 6 years <= 7 years

> 7 years <= 8 years

> 8 years <= 9 years

> 9 years

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

0110

0010

TOTAL MINIMUM COVERAGE REQUIREMENT

 

 

 

 

 

 

 

 

 

 

 

0020

Unsecured part of NPEs

 

 

 

 

 

 

 

 

 

 

 

0030

Part of NPEs secured by immovable property or residential loan guaranteed by an eligible protection provider

 

 

 

 

 

 

 

 

 

 

 

0040

Part of NPEs secured by other funded or unfunded credit protection

 

 

 

 

 

 

 

 

 

 

 

0050

EXPOSURE VALUE

 

 

 

 

 

 

 

 

 

 

 

0060

Unsecured part of NPEs First forbearance measure applied between 1 year and 2 years after classification as non-performing (>1 year; <=2 years)

 

 

 

 

 

 

 

 

 

 

 

 

Factor

 

0

0

1

1

1

1

1

1

1

 

0070

Part of NPEs secured by immovable property or residential loan guaranteed by an eligible protection provider Breakdown by point in time of granting the first forbearance measure

 

 

 

 

 

 

 

 

 

 

 

0080

> 2 and <= 3 years after classification as NPE

 

 

 

 

 

 

 

 

 

 

 

 

Factor

 

 

0

0

0.35

0.55

0.7

0.8

0.85

1

 

0090

> 3 and <= 4 years after classification as NPE

 

 

 

 

 

 

 

 

 

 

 

 

Factor

 

 

 

0.25

0.25

0.55

0.7

0.8

0.85

1

 

0100

> 4 and <= 5 years after classification as NPE

 

 

 

 

 

 

 

 

 

 

 

 

Factor

 

 

 

 

0.35

0.35

0.7

0.8

0.85

1

 

0110

> 5 and <= 6 years after classification as NPE

 

 

 

 

 

 

 

 

 

 

 

 

Factor

 

 

 

 

 

0.55

0.55

0.8

0.85

1

 

0120

Part of NPEs secured by other funded or unfunded credit protection Breakdown by point in time of granting the first forbearance measure

 

 

 

 

 

 

 

 

 

 

 

0130

> 2 and <= 3 years after classification as NPE

 

 

 

 

 

 

 

 

 

 

 

 

Factor

 

 

0

0

0.35

0.55

0.8

1

1

1

 

0140

> 3 and <= 4 years after classification as NPE

 

 

 

 

 

 

 

 

 

 

 

 

Factor

 

 

 

0.25

0.25

0.55

0.8

1

1

1

 

0150

> 4 and <= 5 years after classification as NPE

 

 

 

 

 

 

 

 

 

 

 

 

Factor

 

 

 

 

0.35

0.35

0.8

1

1

1

 

0160

> 5 and <= 6 years after classification as NPE

 

 

 

 

 

 

 

 

 

 

 

 

Factor

 

 

 

 

 

0.55

0.55

1

1

1

 

1. Overview

,

1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

Requirements

3. Related Standards

Standards