ANNEX VIII TEMPLATES FOR REPORTING LARGE EXPOSURES AND CONCENTRATION RISK

LARGE EXPOSURES TEMPLATES

Template number

Template code

Name of the template /group of templates

Short name

LARGE EXPOSURES

LE

26

C 26.00

Large Exposures limits

LE LIMITS

27

C 27.00

Identification of the counterparty

LE 1

28

C 28.00

Exposures in the non-trading and trading book

LE 2

29

C 29.00

Detail of the exposures to individual clients within groups of connected clients

LE 3

Applicable limit

010

010

Non institutions

020

Institutions

030

Institutions in %

040

Globally Systemic Important Institutions (G-SIIs)

COUNTERPARTY IDENTIFICATION

Code

Type of code

Name

National code

Residence of the counterparty

Sector of the counterparty

NACE code

Type of counterparty

011

015

021

035

040

050

060

070

COUNTERPARTY

ORIGINAL EXPOSURES

(-) Value adjustments and provisions

(-) Exposures deducted from CET 1 or Additional Tier 1 items

Exposure value before application of exemptions and CRM

ELIGIBLE CREDIT RISK MITIGATION (CRM) TECHNIQUES

(-) Amounts exempted

Exposure value after application of exemptions and CRM

Code

Group or individual

Transactions where there is an exposure to underlying assets

(-) Substitution effect of eligible credit risk mitigation techniques

(-) Funded credit protection other than substitution effect

(-) Real estate

Direct exposures

Indirect exposures

Additional exposures arising from transactions where there is an exposure to underlying assets

Total original exposure

Of which: defaulted

Debt instruments

Equity instruments

Derivatives

Off balance sheet items

Debt instruments

Equity instruments

Derivatives

Off balance sheet items

Total

Of which: Non-trading book

% of Tier 1 capital

(-) Debt instruments

(-) Equity instruments

(-) Derivatives

(-) Off balance sheet items

Total

Of which: Non-trading book

% of Tier 1 capital

Loan commit-ments

Financial guarantees

Other commit-ments

Loan commit-ments

Financial guarantees

Other commit-ments

(-) Loan commit-ments

(-) Financial guarantees

(-) Other commit-ments

010

020

030

040

050

060

070

080

090

100

110

120

130

140

150

160

170

180

190

200

210

220

230

240

250

260

270

280

290

300

310

320

330

340

350

COUNTERPARTY

ORIGINAL EXPOSURES

(-) Value adjustments and provisions

(-) Exposures deducted from CET 1 or Additional Tier 1 items

Exposure value before application of exemptions and CRM

ELIGIBLE CREDIT RISK MITIGATION (CRM) TECHNIQUES

(-) Amounts exempted

Exposure value after application of exemptions and CRM

Code

Group code

Transactions where there is an exposure to underlying assets

(-) Substitution effect of eligible credit risk mitigation techniques

(-) Funded credit protection other than substitution effect

(-) Real estate

Direct exposures

Indirect exposures

Additional exposures arising from transactions where there is an exposure to underlying assets

Total original exposure

Of which: defaulted

Debt instruments

Equity instruments

Derivatives

Off balance sheet items

Debt instruments

Equity instruments

Derivatives

Off balance sheet items

Total

Of which: Non-trading book

% of Tier 1 capital

(-) Debt instruments

(-) Equity instruments

(-) Derivatives

(-) Off balance sheet items

Total

Of which: Non-trading book

% of Tier 1 capital

Loan commit-ments

Financial guarantees

Other commit-ments

Loan commit-ments

Financial guarantees

Other commit-ments

(-) Loan commit-ments

(-) Financial guarantees

(-) Other commit-ments

010

020

030

050

060

070

080

090

100

110

120

130

140

150

160

170

180

190

200

210

220

230

240

250

260

270

280

290

300

310

320

330

340

350

360