28.6.2014   

EN

Official Journal of the European Union

L 191/1


COMMISSION IMPLEMENTING REGULATION (EU) No 680/2014

of 16 April 2014

laying down implementing technical standards with regard to supervisory reporting of institutions according to Regulation (EU) No 575/2013 of the European Parliament and of the Council

(Text with EEA relevance)

THE EUROPEAN COMMISSION,

Having regard to the Treaty on the Functioning of the European Union,

Having regard to Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012 (1), and in particular the fourth subparagraph of Article 99(5); the fourth subparagraph of Article 99(6); the third subparagraph of Article 101(4); the third subparagraph of Article 394(4); the fourth subparagraph of Article 415(3) and the third subparagraph of Article 430(2) thereof,

Whereas:

(1)

Without prejudice to the competent authorities' powers under Article 104 (1) (j) of Directive 2013/36/EU of the European Parliament and of the Council (2), with a view to increasing efficiency and reducing the administrative burden, a coherent reporting framework should be established on the basis of a harmonised set of standards.

(2)

The provisions in this Regulation are closely linked, since they deal with institutions' reporting requirements. To ensure coherence between those provisions, which should enter into force at the same time, and to facilitate a comprehensive view and compact access to them by persons subject to those obligations, it is desirable to include all related implementing technical standards required by Regulation (EU) No 575/2013 in a single Regulation.

(3)

The nature and complexity of institutions' activities such as trading book or non-trading book and approaches used for credit risk determine the extent of the actual reporting obligations of institutions. In addition, and in accordance with Article 99 (5) of Regulation (EU) No 575/2013, the reporting burden to institutions should be proportionate and reduced frequencies of reporting of certain templates should be introduced. Further, in order to take into account the nature, scale and complexity of institutions, template-specific materiality thresholds, should be introduced before certain reporting requirements are triggered.

(4)

Where reporting requirements are based on quantitative thresholds, in order to ensure a smooth transition to common supervisory reporting, template-specific entry and exit criteria should be introduced.

(5)

Institutions applying an accounting year that is different from the calendar year should be allowed to adjust reporting reference dates and remittance dates for reporting financial information, in order to alleviate, for such institutions, the burden of preparing the accounts for two different periods.

(6)

Financial information covers information on institutions' financial situation and potential systemic risks. The basic information on the financial situation is complemented with more detailed breakdowns to provide supervisors with information on risks of different activities. Institutions should therefore provide granular and uniform data especially on geographical and sectoral breakdowns and significant counterparties of exposures and funding in order to provide supervisory authorities with information on potential concentrations and build-ups of systemic risks.

(7)

In order to ensure consistency and comparability of information, where competent authorities require institutions to report information on own funds by using International Financial Reporting Standards (IFRS), as applicable under Regulation (EC) No 1606/2002 of the European Parliament and of the Council (3), and extends this reporting requirement also to the reporting of financial information, institutions should report financial information in a manner similar to that of institutions preparing their consolidated accounts using IFRS, as applicable under Regulation (EC) No 1606/2002.

(8)

Similarly, in order to ensure consistency and comparability of information, where competent authorities require institutions using national accounting standards to report financial information by virtue of Article 99 (6), these institutions should report financial information in a manner similar to that of institutions using IFRS, as applicable under Regulation (EC) No 1606/2002, for reporting adjusted based on national accounting standards.

(9)

As there is a multitude of different reporting requirements at national and Union level for purposes other than those established by Regulation (EU) No 575/2013, such as statistical data, monetary data, Pillar II data any rules on the common supervisory reporting can only be part of an overall reporting framework. Using one IT solution which applies to the overall reporting framework is more cost efficient compared to specifying different IT solutions for individual parts of that overall reporting framework. In order to avoid having to require institutions to report necessary information using one specific IT solution while applying other IT solutions for other reporting requirements, and with the view to avoiding unjustified implementation and operating costs, a Data Point Model and defined minimum precision requirements should be developed, so as to ensure that the different IT solutions in place produce harmonised data as well as reliable data quality. Further, in order to reduce the reporting burden for institutions, provided that the necessary requirements are fully met, competent authorities should be allowed to continue to define alternative presentations and data exchange formats currently also used for other reporting purposes. In that respect, competent authorities should be allowed to not require data points that can be derived from other data points included in the data point model, or data points referring to information that is already collected by the competent authority.

(10)

Given the novelty of reporting requirements in some jurisdictions in relation to financial information and in relation to liquidity reporting requirements, and with the view to providing institutions with adequate time to implement those requirements in a manner that will produce data of high quality, a deferred application date should apply in relation to those reporting requirements.

(11)

Given the first time application of common supervisory reporting in the Union and the need for institutions to adapt their reporting and IT systems to the common supervisory reporting requirements, institutions should have longer remittance dates for monthly reports during the first year of application of the common supervisory reporting.

(12)

This Regulation is based on the draft implementing technical standards submitted by the European Banking Authority to the Commission.

(13)

The European Banking Authority has conducted open public consultations on the draft implementing technical standards on which this Regulation is based, analysed the potential related costs and benefits and requested the opinion of the Banking Stakeholder Group established in accordance with Article 37 of Regulation (EU) No 1093/2010 of the European Parliament and of the Council (4),

HAS ADOPTED THIS REGULATION:

CHAPTER 1

SUBJECT MATTER AND SCOPE

Article 1

Subject matter and scope

This Regulation lays down uniform requirements in relation to supervisory reporting to competent authorities for the following areas:

(a)

own funds requirements and financial information according to Article 99 of Regulation (EU) No 575/2013;

(b)

losses stemming from lending collateralised by immovable property according to Article 101(4)(a) of Regulation (EU) No 575/2013;

(c)

large exposures and other largest exposures according to Article 394(1) of Regulation (EU) No 575/2013;

(d)

leverage ratio according to Article 430 of Regulation (EU) No 575/2013;

(e)

Liquidity Coverage requirements and Net Stable Funding requirements according to Article 415 of Regulation (EU) No 575/2013.

CHAPTER 2

REPORTING REFERENCE AND REMITTANCE DATES AND REPORTING THRESHOLDS

Article 2

Reporting reference dates

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

(a)

Monthly reporting: on the last day of each month;

(b)

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

(c)

Semi-annual reporting: 30 June and 31 December;

(d)

Annual reporting: 31 December.

2.   Information submitted pursuant to the templates set out in Annex III and Annex IV according to the instructions in Annex V referring to a certain period shall be reported cumulatively from the first day of the accounting year to the reference date.

3.   Where institutions are permitted by national laws to report their financial information based on their accounting year-end which deviates from the calendar year, reporting reference dates may be adjusted accordingly, so that reporting of financial information is done every three, six or twelve months from their accounting year-end, respectively.

Article 3

Reporting remittance dates

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

(a)

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

(b)

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

(c)

Semi-annual reporting: 11 August and 11 February;

(d)

Annual reporting: 11 February.

2.   If the remittance day is a public holiday in the Member State of the competent authority to which the report is to be provided, or a Saturday or a Sunday, data shall be submitted on the following working day.

3.   Where institutions report their financial information using adjusted reporting reference dates based on their accounting year-end as set out in Article 2 paragraph 3, the remittance dates may also be adjusted accordingly so that the same remittance period from the adjusted reporting reference date is maintained.

4.   Institutions may submit unaudited figures. Where audited figures deviate from submitted unaudited figures, the revised, audited figures shall be submitted without undue delay. Unaudited figures are figures that have not received an external auditor's opinion whereas audited figures are figures audited by an external auditor expressing an audit opinion.

5.   Other corrections to the submitted reports shall also be submitted to the competent authorities without undue delay.

Article 4

Reporting thresholds — entry and exit criteria

1.   Institutions shall start reporting information subject to thresholds from the next reporting reference date where they have exceeded the threshold on two consecutive reporting reference dates.

2.   For the first two reporting reference dates on which institutions have to comply with the requirements of this Regulation, institutions shall report the information subject to thresholds if they exceed the relevant thresholds on the same reporting reference date.

3.   Institutions may stop reporting information subject to thresholds from the next reporting reference date where they have fallen below the relevant thresholds on three consecutive reporting reference dates.

CHAPTER 3

FORMAT AND FREQUENCY OF REPORTING ON OWN FUNDS, OWN FUNDS REQUIREMENTS AND FINANCIAL INFORMATION

SECTION 1

Format and frequency of reporting on own funds and own funds requirements

Article 5

Format and frequency of reporting on own funds and on own funds requirements for institutions on an individual basis, except for investment firms subject to article 95 and 96 of Regulation (EU) No 575/2013

In order to report information on own funds and on own funds requirements according to Article 99 of Regulation (EU) No 575/2013 on an individual basis, institutions shall submit all the information listed in paragraphs (a) and (b).

(a)

Institutions shall submit the following information with a quarterly frequency:

(1)

the information relating to own funds and own funds requirements as specified in templates 1 to 5 of Annex I, according to the instructions in Part II point 1 of Annex II;

(2)

the information on credit risk and counterparty credit risk exposures treated under the Standardised Approach as specified in template 7 of Annex I, according to the instructions in Part II point 3.2 of Annex II;

(3)

the information on credit risk and counterparty credit risk exposures treated under the Internal Rating Based Approach as specified in template 8 of Annex I, according to the instructions in Part II point 3.3 of Annex II;

(4)

the information on the geographical distribution of exposures by country as specified in template 9 of Annex I, according to the instructions in Part II point 3.4 of Annex II, where non-domestic original exposures in all ‘non-domestic’ countries in all exposures classes, as reported in row 850 of template 4 of Annex I, are equal or higher than 10 % of total domestic and non-domestic original exposures as reported in row 860 of template 4 of Annex I. For this purpose exposures shall be deemed to be domestic where they are exposures to counterparties located in the Member State where the institution is located. The entry and exit criteria of Article 4 shall apply;

(5)

the information on equity exposures treated under the Internal Ratings Based Approach as specified in template 10 of Annex I, according to the instructions in Part II point 3.5 of Annex II;

(6)

the information on settlement risk as specified in template 11 of Annex I, according to the instructions in Part II point 3.6 of Annex II;

(7)

the information on securitisations exposures treated under the Standardised Approach as specified in template 12 of Annex I, according to the instructions in Part II point 3.7 of Annex II;

(8)

the information on securitisation exposures treated under the Internal Rating Based Approach as specified in template 13 of Annex I, according to the instructions in Part II point 3.8 of Annex II;

(9)

the information on own funds requirements and losses relating to operational risk as specified in template 16 of Annex I, according to the instructions in Part II point 4.1 of Annex II;

(10)

the information on own funds requirements relating to market risk as specified in templates 18 to 24 of Annex I, according to the instructions in Part II point 5.1 to 5.7 of Annex II;

(11)

the information on own funds requirements relating to credit valuation adjustment risk as specified in template 25 of Annex I, according to the instructions in Part II point 5.8 of Annex II.

(b)

Institutions shall submit the following information with a semi-annual frequency:

(1)

the information on all securitisation exposures as specified in template 14 of Annex I, according to the instructions in Part II point 3.9 of Annex II;

(2)

the information on material losses regarding operational risk in the following manner:

(a)

institutions which calculate own funds requirements relating to operational risk according to Chapters 3 or 4 of Title III of Part 3 of Regulation (EU) No 575/2013 shall report this information as specified in template 17 of Annex I, according to the instructions in Part II point 4.2 of Annex II;

(b)

institutions which calculate own funds requirements relating to operational risk according to Chapter 3 of Title III of Part 3 of Regulation (EU) No 575/2013 and whose ratio of their individual balance sheet total on the sum of individual balance sheet totals of all institutions within the same Member State is below 1 % may only report the information as specified in template 17 of Annex I according to the instructions in paragraph 124 of Part II of Annex II. Balance sheet total figures shall be based on year-end figures for the year before the year preceding the reporting reference date. The entry and exit criteria of Article 4 shall apply;

(c)

institutions which calculate the own funds requirements relating to operational risk according to Chapter 2 of Title III of Part Three of Regulation (EU) No 575/2013 are entirely exempted from reporting information referred to in template 17 of Annex I and point 4.2 of Part II of Annex II.

Article 6

Format and frequency of reporting on own funds and own funds requirements on a consolidated basis, except for groups which only consist of investment firms subject to articles 95 and 96 of Regulation (EU) No 575/2013

In order to report information on own funds and own funds requirements according to Article 99 of Regulation (EU) No 575/2013 on a consolidated basis, institutions in a member state shall submit:

(a)

the information specified in Article 5 in the frequency specified therein but on a consolidated basis;

(b)

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

Article 7

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

1.   In order to report information on own funds and on own funds requirements according to Article 99 of Regulation (EU) No 575/2013 on an individual basis, investment firms subject to Article 95 of Regulation (EU) No 575/2013 shall submit the information specified in templates 1 to 5 of Annex I, according to the instructions in point 1 of Part II of Annex II with a quarterly frequency.

2.   In order to report information on own funds and own funds requirements according to Article 99 of Regulation (EU) No 575/2013 on an individual basis, investment firms subject to Article 96 of Regulation (EU) No 575/2013 shall submit the information specified in points (a) and (b) (1) of Article 5 of this Regulation with the frequency specified therein.

Article 8

Format and frequency of reporting on own funds and own funds requirements for groups which only consist of investment firms subject to Article 95 and 96 Regulation (EU) No 575/2013 on a consolidated basis

1.   In order to report information on own funds and on own funds requirements according to Article 99 of Regulation (EU) No 575/2013 on a consolidated basis, investment firms of groups which consist only of investment firms subject to Article 95 of Regulation (EU) No 575/2013 shall submit the following information on a consolidated basis:

(a)

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

(b)

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

2.   In order to report information on own funds and on own funds requirements according to Article 99 of Regulation (EU) No 575/2013 on a consolidated basis, investment firms of groups which consist of investment firms subject to both Article 95 and Article 96 as well as groups which consist only of investment firms subject to Article 96 of Regulation (EU) No 575/2013 shall submit the following information on a consolidated basis:

(a)

the information specified in points (a) and (b) (1) of Article 5, with the frequency specified therein;

(b)

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

SECTION 2

Format and frequency of reporting on financial information on a consolidated basis

Article 9

Format and frequency of reporting on financial information for institutions subject to Article 4 of Regulation (EC) No 1606/2002 and other credit institutions applying Regulation (EC) No 1606/2002 on a consolidated basis

1.   In order to report financial information on a consolidated basis according to Article 99 (2) of Regulation (EU) No 575/2013, institutions established in a Member State shall submit the information specified in Annex III on a consolidated basis, according to the instructions in Annex V and the information specified in Annex VIII on a consolidated basis, according to the instructions in Annex IX.

2.   The information referred to in paragraph 1 shall be submitted according to the following specifications:

(a)

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

(b)

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

(c)

the information specified in Part 4 of Annex III with an annual frequency;

(d)

the information specified in template 20 in Part 2 of Annex III with a quarterly frequency in the manner provided in point (4) of Article 5 (a). The entry and exit criteria referred to in Article 4 shall apply;

(e)

the information specified in template 21 in Part 2 of Annex III where tangible assets subject to operating leases are equal or higher than 10 % of total tangible assets as reported in template 1.1 in Part 1 of Annex III with a quarterly frequency. The entry and exit criteria referred to in Article 4 shall apply;

(f)

the information specified in template 22 in Part 2 of Annex III where net fee and commission income is equal or higher than 10 % of the sum of net fee and commission income and net interest income as reported in template 2 in Part 1 of Annex III with a quarterly frequency. The entry and exit criteria referred to in Article 4 shall apply;

(g)

the information specified in Annex VIII for exposures whose exposure value is larger than or equal to EUR 300 million but less than 10 % of the institution's eligible capital with a quarterly frequency.

Article 10

Format and frequency of reporting on financial information for credit institutions applying Regulation (EC) No 1606/2002 on a consolidated basis, by virtue of Article 99(3) Regulation (EU) No 575/2013

Where a competent authority has extended the reporting requirements of financial information on a consolidated basis to institutions in a Member State in accordance with Article 99(3) Regulation (EU) No 575/2013, institutions shall submit financial information according to Article 9.

Article 11

Format and frequency of reporting on financial information for institutions applying national accounting frameworks developed under Directive 86/635/EEC on a consolidated basis

1.   Where a competent authority has extended the reporting requirements of financial information on a consolidated basis to institutions established in a Member State in accordance with Article 99(6) Regulation (EU) No 575/2013, institutions shall submit the information specified in Annex IV on a consolidated basis, according to the instructions in Annex V and the information specified in Annex VIII on a consolidated basis, according to the instructions in Annex IX.

2.   The information referred to in paragraph 1 shall be submitted according to the following specifications:

(a)

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

(b)

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

(c)

the information specified in Part 4 of Annex IV with an annual frequency;

(d)

the information specified in template 20 in Part 2 of Annex IV with a quarterly frequency in the manner provided in point (4) of Article 5 (a). The entry and exit criteria referred to in Article 4 shall apply;

(e)

the information specified in template 21 in Part 2 of Annex IV where tangible assets subject to operating leases are equal or higher than 10 % of total tangible assets as reported in template 1.1 in Part 1 of Annex IV with a quarterly frequency. The entry and exit criteria referred to in Article 4 shall apply;

(f)

the information specified in template 22 in Part 2 of Annex IV where net fee and commission income is equal or higher than 10 % of the sum of net fee and commission income and net interest income as reported in template 2 in Part 1 of Annex IV with a quarterly frequency. The entry and exit criteria referred to in Article 4 shall apply;

(g)

the information specified in Annex VIII for exposures whose exposure value is larger than or equal to EUR 300 million but less than 10 % of the institution's eligible capital with a quarterly frequency.

CHAPTER 4

FORMAT AND FREQUENCY OF SPECIFIC REPORTING OBLIGATIONS ON LOSSES STEMMING FROM LENDING COLLATERALISED BY IMMOVABLE PROPERTY ACCORDING TO ARTICLE 101 OF REGULATION (EU) No 575/2013

Article 12

1.   Institutions shall submit information as specified in Annex VI according to the instructions in Annex VII on a consolidated basis with a semi-annual frequency.

2.   Institutions shall submit information as specified in Annex VI according to the instructions in Annex VII on an individual basis with a semi-annual frequency.

3.   Branches in another Member State shall also submit to the competent authority of the host Member State information as specified in Annex VI according to the instructions in Annex VII related to that branch with a semi-annual frequency.

CHAPTER 5

FORMAT AND FREQUENCY OF REPORTING ON LARGE EXPOSURES ON AN INDIVIDUAL AND A CONSOLIDATED BASIS

Article 13

1.   In order to report information on large exposures to clients and groups of connected clients according to Article 394(1) of Regulation (EU) No 575/2013 on an individual and a consolidated basis, institutions shall submit the information specified in Annex VIII according to the instructions in Annex IX, with a quarterly frequency.

2.   In order to report information on the twenty largest exposures to clients or groups of connected clients according to the last sentence of Article 394(1) of Regulation (EU) No 575/2013 on a consolidated basis, institutions which are subject to Chapter 3 of Title II of Part Three of Regulation (EU) No 575/2013 shall submit the information specified in Annex VIII according to the instructions in Annex IX, with a quarterly frequency.

3.   In order to report information on the ten largest exposures to institutions as well as on the ten largest exposures to unregulated financial entities according to Article 394(2) of Regulation (EU) No 575/2013 on a consolidated basis, institutions shall submit the information specified in Annex VIII according to the instructions in Annex IX, with a quarterly frequency.

CHAPTER 6

FORMAT AND FREQUENCY OF REPORTING ON LEVERAGE RATIO ON AN INDIVIDUAL AND A CONSOLIDATED BASIS

Article 14

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

2.   The reporting of this data shall reflect the methodology applicable for the calculation of the leverage ratio, either as the simple arithmetic mean of monthly data over the quarter, as per Article 429(2) of Regulation (EU) No 575/2013, or, where competent authorities have exercised the derogation in Article 499 (3) of the Regulation (EU) No 575/2013, as end of quarter leverage ratio.

3.   Institutions are required to report the information referred to in paragraph 22 of Part II of Annex XI in the next reporting period, if one of the following conditions is met:

(a)

the derivatives share referred to in paragraph 15 of Part II of Annex XI is more than 1,5 %;

(b)

the derivatives share referred to in paragraph 15 of Part II of Annex XI exceeds 2,0 %.

The entry criteria of Article 4 shall apply, except for point (b) where institutions shall start reporting information from the next reporting reference date where they have exceeded the threshold on one reporting reference date

4.   Institutions for which the total notional value of derivatives as defined in paragraph 17 of Part II of Annex XI exceeds 10 billion € shall report the information referred to in paragraph 22 of Part II of Annex XI, even though their derivatives share does not fulfil the conditions described in paragraph 3.

The entry criteria of Article 4 shall not apply for paragraph 4. Institutions shall start reporting information from the next reporting reference date where they have exceeded the threshold on one reporting reference date.

5.   Institutions are required to report the information referred to in paragraph 23 of Part II of Annex XI in the next reporting period where one of the following conditions is met:

(a)

the credit derivatives volume referred to in paragraph 18 of Part II of Annex XI is more than EUR 300 million;

(b)

the credit derivatives volume referred to in paragraph 18 of Part II of Annex XI exceeds EUR 500 million.

The entry criteria of Article 4 shall apply, except for point (b) where institutions shall start reporting information from the next reporting reference date where they have exceeded the threshold on one reporting reference date.

6.   Where the threshold that is specified in paragraph 39 of Part II of Annex XI is in all cases not met, institutions shall be exempted from the requirement to report information as specified in paragraph 40 of Part II of Annex XI.

CHAPTER 7

FORMAT AND FREQUENCY OF REPORTING ON LIQUIDITY AND ON STABLE FUNDING ON AN INDIVIDUAL AND A CONSOLIDATED BASIS

Article 15

Format and frequency of reporting on liquidity coverage requirement

1.   In order to report information on the liquidity coverage requirement according to Article 415 of Regulation (EU) No 575/2013 on an individual and consolidated basis, institutions shall submit the information specified in Annex XII according to the instructions in Annex XIII with a monthly frequency.

2.   The information set out in Annex XII shall take into account the information submitted for the reference date and the information on the cash-flows of the institution over the following 30 calendar days.

Article 16

Format and frequency of reporting on stable funding

In order to report information on the stable funding according to Article 415 of Regulation (EU) No 575/2013 on an individual and consolidated basis, institutions shall submit the information specified in Annex XII according to the instructions in Annex XIII with a quarterly frequency.

CHAPTER 8

IT SOLUTIONS FOR THE SUBMISSION OF DATA FROM INSTITUTIONS TO COMPETENT AUTHORITIES

Article 17

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

(a)

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

(b)

numeric values shall be submitted as facts according to the following:

(a)

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

(b)

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

(c)

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

2.   The data submitted by the institutions shall be associated with the following information:

(a)

reporting reference date and reference period;

(b)

reporting currency;

(c)

accounting standard;

(d)

identifier of the reporting institution;

(e)

level of application as individual or consolidated.

CHAPTER 9

TRANSITIONAL AND FINAL PROVISIONS

Article 18

Transitional period

The remittance date for data with a quarterly reporting frequency relating to the reference date 31 March 2014 for information to be reported shall be 30 June 2014 at the latest.

For the period from 31 March 2014 to 30 April 2014 as a deviation from point (a) of Article 3(1) the reporting remittance date relating to monthly reporting shall be 30 June 2014.

For the period from 31 May 2014 to 31 December 2014 as a deviation from point (a) of Article 3(1) the reporting remittance date relating to monthly reporting shall be the thirtieth calendar day after the reporting reference date

Article 19

Entry into Force

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

This Regulation shall apply from 1 January 2014.

Articles 9, 10 and 11 shall apply from 1 July 2014.

Article 15 shall apply from 1 March 2014.

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

Done at Brussels, 16 April 2014.

For the Commission

The President

José Manuel BARROSO


(1)  OJ L 176, 27.6.2013, p. 1.

(2)  Directive 2013/36/EU of the European Parliament and of the Council of 26 June 2013 on access to the activity of credit institutions and the prudential supervision of credit institutions and investment firms, amending Directive 2002/87/EC and repealing Directives 2006/48/EC and 2006/49/EC (OJ L 176, 27.6.2013, p. 338).

(3)  Regulation (EC) No 1606/2002 of the European Parliament and of the Council of 19 July 2002 on the application of international accounting standards (OJ L 243, 11.9.2002, p. 1).

(4)  Regulation (EU) No 1093/2010 of the European Parliament and of the Council of 24 November 2010 establishing a European Supervisory Authority (European Banking Authority), amending Decision No 716/2009/EC and repealing Commission Decision 2009/78/EC (OJ L 331, 15.12.2010, p. 12).


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

C 06.00

GROUP SOLVENCY

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

 

 

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

9,3

C 09.03

Table 9.3 - Breakdown of total own funds requirements for credit risk of relevant credit exposures by country

CR GB 3

 

 

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

12

C 12.00

CREDIT RISK: SECURITISATIONS - STANDARDISED APPROACH TO OWN FUNDS REQUIREMENTS

CR SEC SA

13

C 13.00

CREDIT RISK: SECURITISATIONS - IRB APPROACH TO OWN FUNDS REQUIREMENTS

CR SEC IRB

14

C 14.00

DETAILED INFORMATION ON SECURITISATIONS

CR SEC Details

 

 

OPERATIONAL RISK

OPR

16

C 16.00

OPERATIONAL RISK

OPR

17

C 17.00

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

OPR Details

 

 

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


C 01.00 — OWN FUNDS (CA1)

Rows

ID

Item

Amount

010

1

OWN FUNDS

 

015

1.1

TIER 1 CAPITAL

 

020

1.1.1

COMMON EQUITY TIER 1 CAPITAL

 

030

1.1.1.1

Capital instruments eligible as CET1 Capital

 

040

1.1.1.1.1

Paid up capital instruments

 

050

1.1.1.1.2*

Memorandum item: Capital instruments not eligible

 

060

1.1.1.1.3

Share premium

 

070

1.1.1.1.4

(-) Own CET1 instruments

 

080

1.1.1.1.4.1

(-) Direct holdings of CET1 instruments

 

090

1.1.1.1.4.2

(-) Indirect holdings of CET1 instruments

 

091

1.1.1.1.4.3

(-) Synthetic holdings of CET1 instruments

 

092

1.1.1.1.5

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

 

130

1.1.1.2

Retained earnings

 

140

1.1.1.2.1

Previous years retained earnings

 

150

1.1.1.2.2

Profit or loss eligible

 

160

1.1.1.2.2.1

Profit or loss attributable to owners of the parent

 

170

1.1.1.2.2.2

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

 

180

1.1.1.3

Accumulated other comprehensive income

 

200

1.1.1.4

Other reserves

 

210

1.1.1.5

Funds for general banking risk

 

220

1.1.1.6

Transitional adjustments due to grandfathered CET1 Capital instruments

 

230

1.1.1.7

Minority interest given recognition in CET1 capital

 

240

1.1.1.8

Transitional adjustments due to additional minority interests

 

250

1.1.1.9

Adjustments to CET1 due to prudential filters

 

260

1.1.1.9.1

(-) Increases in equity resulting from securitised assets

 

270

1.1.1.9.2

Cash flow hedge reserve

 

280

1.1.1.9.3

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

 

285

1.1.1.9.4

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

 

290

1.1.1.9.5

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

 

300

1.1.1.10

(-) Goodwill

 

310

1.1.1.10.1

(-) Goodwill accounted for as intangible asset

 

320

1.1.1.10.2

(-) Goodwill included in the valuation of significant investments

 

330

1.1.1.10.3

Deferred tax liabilities associated to goodwill

 

340

1.1.1.11

(-) Other intangible assets

 

350

1.1.1.11.1

(-) Other intangible assets gross amount

 

360

1.1.1.11.2

Deferred tax liabilities associated to other intangible assets

 

370

1.1.1.12

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

 

380

1.1.1.13

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

 

390

1.1.1.14

(-)Defined benefit pension fund assets

 

400

1.1.1.14.1

(-)Defined benefit pension fund assets gross amount

 

410

1.1.1.14.2

Deferred tax liabilities associated to defined benefit pension fund assets

 

420

1.1.1.14.3

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

 

430

1.1.1.15

(-) Reciprocal cross holdings in CET1 Capital

 

440

1.1.1.16

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

 

450

1.1.1.17

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

 

460

1.1.1.18

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

 

470

1.1.1.19

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

 

471

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

 

472

1.1.1.21

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

 

480

1.1.1.22

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

 

490

1.1.1.23

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

 

500

1.1.1.24

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

 

510

1.1.1.25

(-) Amount exceeding the 17,65 % threshold

 

520

1.1.1.26

Other transitional adjustments to CET1 Capital

 

524

1.1.1.27

(-) Additional deductions of CET1 Capital due to Article 3 CRR

 

529

1.1.1.28

CET1 capital elements or deductions - other

 

530

1.1.2

ADDITIONAL TIER 1 CAPITAL

 

540

1.1.2.1

Capital instruments eligible as AT1 Capital

 

550

1.1.2.1.1

Paid up capital instruments

 

560

1.1.2.1.2*

Memorandum item: Capital instruments not eligible

 

570

1.1.2.1.3

Share premium

 

580

1.1.2.1.4

(-) Own AT1 instruments

 

590

1.1.2.1.4.1

(-) Direct holdings of AT1 instruments

 

620

1.1.2.1.4.2

(-) Indirect holdings of AT1 instruments

 

621

1.1.2.1.4.3

(-) Synthetic holdings of AT1 instruments

 

622

1.1.2.1.5

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

 

660

1.1.2.2

Transitional adjustments due to grandfathered AT1 Capital instruments

 

670

1.1.2.3

Instruments issued by subsidiaries that are given recognition in AT1 Capital

 

680

1.1.2.4

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

 

690

1.1.2.5

(-) Reciprocal cross holdings in AT1 Capital

 

700

1.1.2.6

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

 

710

1.1.2.7

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

 

720

1.1.2.8

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

 

730

1.1.2.9

Other transitional adjustments to AT1 Capital

 

740

1.1.2.10

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

 

744

1.1.2.11

(-) Additional deductions of AT1 Capital due to Article 3 CRR

 

748

1.1.2.12

AT1 capital elements or deductions - other

 

750

1.2

TIER 2 CAPITAL

 

760

1.2.1

Capital instruments and subordinated loans eligible as T2 Capital

 

770

1.2.1.1

Paid up capital instruments and subordinated loans

 

780

1.2.1.1*

Memorandum item: Capital instruments and subordinated loans not eligible

 

790

1.2.1.3

Share premium

 

800

1.2.1.4

(-) Own T2 instruments

 

810

1.2.1.4.1

(-) Direct holdings of T2 instruments

 

840

1.2.1.4.2

(-) Indirect holdings of T2 instruments

 

841

1.2.1.4.3

(-) Synthetic holdings of T2 instruments

 

842

1.2.1.5

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

 

880

1.2.2

Transitional adjustments due to grandfathered T2 Capital instruments and subordinated loans

 

890

1.2.3

Instruments issued by subsidiaries that are given recognition in T2 Capital

 

900

1.2.4

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

 

910

1.2.5

IRB Excess of provisions over expected losses eligible

 

920

1.2.6

SA General credit risk adjustments

 

930

1.2.7

(-) Reciprocal cross holdings in T2 Capital

 

940

1.2.8

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

 

950

1.2.9

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

 

960

1.2.10

Other transitional adjustments to T2 Capital

 

970

1.2.11

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

 

974

1.2.12

(-) Additional deductions of T2 Capital due to Article 3 CRR

 

978

1.2.13

T2 capital elements or deductions - other

 


C 02.00 — OWN FUNDS REQUIREMENTS (CA2)

Rows

Item

Label

Amount

010

1

TOTAL RISK EXPOSURE AMOUNT

 

020

1*

Of which: Investment firms under Article 95 paragraph 2 and Article 98 of CRR

 

030

1**

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

 

040

1.1

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

 

050

1.1.1

Standardised approach (SA)

 

060

1.1.1.1

SA exposure classes excluding securitisation positions

 

070

1.1.1.1.01

Central governments or central banks

 

080

1.1.1.1.02

Regional governments or local authorities

 

090

1.1.1.1.03

Public sector entities

 

100

1.1.1.1.04

Multilateral Development Banks

 

110

1.1.1.1.05

International Organisations

 

120

1.1.1.1.06

Institutions

 

130

1.1.1.1.07

Corporates

 

140

1.1.1.1.08

Retail

 

150

1.1.1.1.09

Secured by mortgages on immovable property

 

160

1.1.1.1.10

Exposures in default

 

170

1.1.1.1.11

Items associated with particular high risk

 

180

1.1.1.1.12

Covered bonds

 

190

1.1.1.1.13

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

 

200

1.1.1.1.14

Collective investments undertakings (CIU)

 

210

1.1.1.1.15

Equity

 

211

1.1.1.1.16

Other items

 

220

1.1.1.2

Securitisation positions SA

 

230

1.1.1.2*

of which: resecuritisation

 

240

1.1.2

Internal ratings based Approach (IRB)

 

250

1.1.2.1

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

 

260

1.1.2.1.01

Central governments and central banks

 

270

1.1.2.1.02

Institutions

 

280

1.1.2.1.03

Corporates - SME

 

290

1.1.2.1.04

Corporates - Specialised Lending

 

300

1.1.2.1.05

Corporates - Other

 

310

1.1.2.2

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

 

320

1.1.2.2.01

Central governments and central banks

 

330

1.1.2.2.02

Institutions

 

340

1.1.2.2.03

Corporates - SME

 

350

1.1.2.2.04

Corporates - Specialised Lending

 

360

1.1.2.2.05

Corporates - Other

 

370

1.1.2.2.06

Retail - Secured by real estate SME

 

380

1.1.2.2.07

Retail - Secured by real estate non-SME

 

390

1.1.2.2.08

Retail - Qualifying revolving

 

400

1.1.2.2.09

Retail - Other SME

 

410

1.1.2.2.10

Retail - Other non-SME

 

420

1.1.2.3

Equity IRB

 

430

1.1.2.4

Securitisation positions IRB

 

440

1.1.2.4*

Of which: resecuritisation

 

450

1.1.2.5

Other non credit-obligation assets

 

460

1.1.3

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

 

490

1.2

TOTAL RISK EXPOSURE AMOUNT FOR SETTLEMENT/DELIVERY

 

500

1.2.1

Settlement/delivery risk in the non-Trading book

 

510

1.2.2

Settlement/delivery risk in the Trading book

 

520

1.3

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

 

530

1.3.1

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

 

540

1.3.1.1

Traded debt instruments

 

550

1.3.1.2

Equity

 

560

1.3.1.3

Foreign Exchange

 

570

1.3.1.4

Commodities

 

580

1.3.2

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

 

590

1.4

TOTAL RISK EXPOSURE AMOUNT FOR OPERATIONAL RISK (OpR )

 

600

1.4.1

OpR Basic indicator approach (BIA)

 

610

1.4.2

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

 

620

1.4.3

OpR Advanced measurement approaches (AMA)

 

630

1.5

ADDITIONAL RISK EXPOSURE AMOUNT DUE TO FIXED OVERHEADS

 

640

1.6

TOTAL RISK EXPOSURE AMOUNT FOR CREDIT VALUATION ADJUSTMENT

 

650

1.6.1

Advanced method

 

660

1.6.2

Standardised method

 

670

1.6.3

Based on OEM

 

680

1.7

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

 

690

1.8

OTHER RISK EXPOSURE AMOUNTS

 

710

1.8.2

Of which: Additional stricter prudential requirements based on Art 458

 

720

1.8.2*

Of which: requirements for large exposures

 

730

1.8.2**

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

 

740

1.8.2***

Of which: due to intra financial sector exposures

 

750

1.8.3

Of which: Additional stricter prudential requirements based on Art 459

 

760

1.8.4

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

 


C 03.00 — CAPITAL RATIOS AND CAPITAL LEVELS (CA3)

Rows

ID

Item

Amount

010

1

CET1 Capital ratio

 

020

2

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

 

030

3

T1 Capital ratio

 

040

4

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

 

050

5

Total capital ratio

 

060

6

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

 

Memorandum Items: Capital ratios due to Pillar II adjustments

070

7

CET1 capital ratio including Pillar II adjustments

 

080

8

Target CET1 capital ratio due to Pillar II adjustments

 

090

9

T1 capital ratio including Pillar II adjustments

 

100

10

Target T1 capital ratio due to Pillar II adjustments

 

110

11

Total capital ratio including Pillar II adjustments

 

120

12

Target Total capital ratio due to Pillar II adjustments

 


C 04.00 — MEMORANDUM ITEMS (CA4)

Row

ID

Item

Column

Deferred tax assest and liabilities

010

010

1

Total deferred tax assets

 

020

1.1

Deferred tax assets that do not rely on future profitability

 

030

1.2

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

 

040

1.3

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

 

050

2

Total deferred tax liabilities

 

060

2.1

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

 

070

2.2

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

 

080

2.2.1

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

 

090

2.2.2

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

 

Credit risk adjustments and expected losses

100

3

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

 

110

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

 

120

3.1.1

General credit risk adjustments

 

130

3.1.2

Specific credit risk adjustments

 

131

3.1.3

Additional value adjustments and other own funds reductions

 

140

3.2

Total expected losses eligible

 

145

4

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

 

150

4.1

Specific credit risk adjustments and positions treated similarily

 

155

4.2

Total expected losses eligible

 

160

5

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

 

170

6

Total gross provisions eligible for inclusion in T2 capital

 

180

7

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

 

Thresholds for Common Equity Tier 1 deductions

190

8

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

 

200

9

10 % CET1 threshold

 

210

10

17,65 % CET1 threshold

 

220

11

Eligible capital for the purposes of qualifying holdings outside the financial sector and large exposures

 

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

230

12

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

 

240

12.1

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

 

250

12.1.1

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

 

260

12.1.2

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

 

270

12.2

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

 

280

12.2.1

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

 

290

12.2.2

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

 

291

12.3

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

 

292

12.3.1

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

 

293

12.3.2

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

 

300

13

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

 

310

13.1

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

 

320

13.1.1

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

 

330

13.1.2

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

 

340

13.2

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

 

350

13.2.1

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

 

360

13.2.2

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

 

361

13.3

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

 

362

13.3.1

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

 

363

13.3.2

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

 

370

14

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

 

380

14.1

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

 

390

14.1.1

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

 

400

14.1.2

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

 

410

14.2

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

 

420

14.2.1

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

 

430

14.2.2

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

 

431

14.3

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

 

432

14.3.1

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

 

433

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

440

15

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

 

450

15.1

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

 

460

15.1.1

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

 

470

15.1.2

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

 

480

15.2

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

 

490

15.2.1

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

 

500

15.2.2

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

 

501

15.3

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

 

502

15.3.1

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

 

503

15.3.2

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

 

510

16

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

 

520

16.1

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

 

530

16.1.1

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

 

540

16.1.2

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

 

550

16.2

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

 

560

16.2.1

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

 

570

16.2.2

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

 

571

16.3

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

 

572

16.3.1

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

 

573

16.3.2

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

 

580

17

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

 

590

17.1

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

 

600

17.1.1

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

 

610

17.1.2

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

 

620

17.2

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

 

630

17.2.1

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

 

640

17.2.2

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

 

641

17.3

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

 

642

17.3.1

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

 

643

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:

650

18

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

 

660

19

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

 

670

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

680

21

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

 

690

22

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

 

700

23

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

 

710

24

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

 

720

25

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

 

730

26

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

 

Capital buffers

740

27

Combined buffer requirement

 

750

 

Capital conservation buffer

 

760

 

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

 

770

 

Institution specific countercyclical capital buffer

 

780

 

Systemic risk buffer

 

790

 

Systemical important institution buffer

 

800

 

Global Systemically Important Institution buffer

 

810

 

Other Systemically Important Institution buffer

 

Pillar II requirements

820

28

Own funds requirements related to Pillar II adjustments

 

Additional information for investment firms

830

29

Initial capital

 

840

30

Own funds based on Fixed Overheads

 

Additional information for calculation of reporting thresholds

850

31

Non-domestic original exposures

 

860

32

Total original exposures

 

Basel I floor

870

 

Adjustments to total own funds

 

880

 

Own funds fully adjusted for Basel I floor

 

890

 

Own funds requirements for Basel I floor

 

900

 

Own funds requirements for Basel I floor - SA alternative

 


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

010

020

030

040

050

060

010

1

TOTAL ADJUSTMENTS

 

 

 

 

 

 

020

1.1

GRANDFATHERED INSTRUMENTS

link to {CA1;r220}

link to {CA1;r660}

link to {CA1;r880}

 

 

 

030

1.1.1

Grandfathered instruments: Instruments constituting state aid

 

 

 

 

 

 

040

1.1.1.1

Instruments that qualified as own funds according to 2006/48/EC

 

 

 

 

 

 

050

1.1.1.2

Instruments issued by institutions that are incorporated in a Member State that is subject to an Economic Adjustment Programme

 

 

 

 

 

 

060

1.1.2

Instruments not constituting state aid

link to {CA5.2;r010;c060}

link to {CA5.2;r020;c060}

link to {CA5.2;r090;c060}

 

 

 

070

1.2

MINORITY INTERESTS AND EQUIVALENTS

link to {CA1;r240}

link to {CA1;r680}

link to {CA1;r900}

 

 

 

080

1.2.1

Capital instruments and items that do not qualify as minority interests

 

 

 

 

 

 

090

1.2.2

Transitional recognition in consolidated own funds of minority interests

 

 

 

 

 

 

091

1.2.3

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

 

 

 

 

 

 

092

1.2.4

Transitional recognition in consolidated own funds of qualifying Tier 2 capital

 

 

 

 

 

 

100

1.3

OTHER TRANSITIONAL ADJUSTMENTS

link to {CA1;r520}

link to {CA1;r730}

link to {CA1;r960}

 

 

 

110

1.3.1

Unrealised gains and losses

 

 

 

 

 

 

120

1.3.1.1

Unrealised gains

 

 

 

 

 

 

130

1.3.1.2

Unrealised losses

 

 

 

 

 

 

133

1.3.1.3.

Unrealised gains on exposures to central governments classified in the ‘Available for sale’ category of EU-endorsed IAS39

 

 

 

 

 

 

136

1.3.1.4.

Unrealised loss on exposures to central governments classified in the ‘Available for sale’ category of EU-endorsed IAS39

 

 

 

 

 

 

138

1.3.1.5.

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

 

 

 

 

 

 

140

1.3.2

Deductions

 

 

 

 

 

 

150

1.3.2.1

Losses for the current financial year

 

 

 

 

 

 

160

1.3.2.2

Intangible assets

 

 

 

 

 

 

170

1.3.2.3

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

 

 

 

 

 

 

180

1.3.2.4

IRB shortfall of provisions to expected losses

 

 

 

 

 

 

190

1.3.2.5

Defined benefit pension fund assets

 

 

 

 

 

 

194

1.3.2.5*

of which: Introduction of amendments to IAS 19 - positive item

 

 

 

 

 

 

198

1.3.2.5**

of which: Introduction of amendments to IAS 19 - negative item

 

 

 

 

 

 

200

1.3.2.6

Own instruments

 

 

 

 

 

 

210

1.3.2.6.1

Own CET1 instruments

 

 

 

 

 

 

211

1.3.2.6.1**

of which: Direct holdings

 

 

 

 

 

 

212

1.3.2.6.1*

of which: Indirect holdings

 

 

 

 

 

 

220

1.3.2.6.2

Own AT1 instruments

 

 

 

 

 

 

221

1.3.2.6.2**

of which: Direct holdings

 

 

 

 

 

 

222

1.3.2.6.2*

of which: Indirect holdings

 

 

 

 

 

 

230

1.3.2.6.3

Own T2 instruments

 

 

 

 

 

 

231

1.3.2.6.3*

of which: Direct holdings

 

 

 

 

 

 

232

1.3.2.6.3**

of which: Indirect holdings

 

 

 

 

 

 

240

1.3.2.7

Reciprocal cross holdings

 

 

 

 

 

 

250

1.3.2.7.1

Reciprocal cross holdings in CET1 Capital

 

 

 

 

 

 

260

1.3.2.7.1.1

Reciprocal cross holdings in CET1 Capital of financial sector entities where the institution does not have a significant investment

 

 

 

 

 

 

270

1.3.2.7.1.2

Reciprocal cross holdings in CET1 Capital of financial sector entities where the institution has a significant investment

 

 

 

 

 

 

280

1.3.2.7.2

Reciprocal cross holdings in AT1 Capital

 

 

 

 

 

 

290

1.3.2.7.2.1

Reciprocal cross holdings in AT1 Capital of financial sector entities where the institution does not have a significant investment

 

 

 

 

 

 

300

1.3.2.7.2.2

Reciprocal cross holdings in AT1 Capital of financial sector entities where the institution has a significant investment

 

 

 

 

 

 

310

1.3.2.7.3

Reciprocal cross holdings in T2 Capital

 

 

 

 

 

 

320

1.3.2.7.3.1

Reciprocal cross holdings in T2 Capital of financial sector entities where the institution does not have a significant investment

 

 

 

 

 

 

330

1.3.2.7.3.2

Reciprocal cross holdings in T2 Capital of financial sector entities where the institution has a significant investment

 

 

 

 

 

 

340

1.3.2.8

Own funds instruments of financial sector entities where the institution does not have a significant investment

 

 

 

 

 

 

350

1.3.2.8.1

CET1 instruments of financial sector entities where the institution does not have a significant investment

 

 

 

 

 

 

360

1.3.2.8.2

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

 

 

 

 

 

 

370

1.3.2.8.3

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

 

 

 

 

 

 

380

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

 

 

 

 

 

 

390

1.3.2.10

Own funds instruments of financial sector entities where the institution has a significant investment

 

 

 

 

 

 

400

1.3.2.10.1

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

 

 

 

 

 

 

410

1.3.2.10.2

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

 

 

 

 

 

 

420

1.3.2.10.3

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

 

 

 

 

 

 

425

1.3.2.11

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

 

 

 

 

 

 

430

1.3.3

Additional filters and deductions

 

 

 

 

 

 


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

CA 5.2 Grandfathered instruments: Instruments not constituting State aid

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

010

020

030

040

050

060

010

1.

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

 

 

 

 

 

link to {CA5.1;r060;c010)

020

2.

Instruments that qualified for point ca) of Article 57 and Article 154(8) and (9) of 2006/48/EC, subject to the limit of Article 489

 

 

 

 

 

link to {CA5.1;r060;c020)

030

2.1

Total instruments without a call or an incentive to redeem

 

 

 

 

 

 

040

2.2.

Grandfathered instruments with a call and incentive to redeem

 

 

 

 

 

 

050

2.2.1

Instruments with a call exercisable after the reporting date, and which meet the conditions in Article 49 of CRR after the date of effective maturity

 

 

 

 

 

 

060

2.2.2

Instruments with a call exercisable after the reporting date, and which do not meet the conditions in Article 49 of CRR after the date of effective maturity

 

 

 

 

 

 

070

2.2.3

Instruments with a call exercisable prior to or on 20 July 2011, and which do not meet the conditions in Article 49 of CRR after the date of effective maturity

 

 

 

 

 

 

080

2.3

Excess on the limit of CET1 grandfathered instruments

 

 

 

 

 

 

090

3

Items that qualified for points e), f), g) or h) of Article 57 of 2006/48/EC, subject to the limit of Article 490

 

 

 

 

 

link to {CA5.1;r060;c030)

100

3.1

Total items without an incentive to redeem

 

 

 

 

 

 

110

3.2

Grandfathered items with an incentive to redeem

 

 

 

 

 

 

120

3.2.1

Items with a call exercisable after the reporting date, and which meet the conditions in Article 63 of CRR after the date of effective maturity

 

 

 

 

 

 

130

3.2.2

Items with a call exercisable after the reporting date, and which do not meet the conditions in Article 63 of CRR after the date of effective maturity

 

 

 

 

 

 

140

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 CRR after the date of effective maturity

 

 

 

 

 

 

150

3.3

Excess on the limit of AT1 grandfathered instruments

 

 

 

 

 

 


C 06.00 — 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

LEI code

INSITUTION OR EQUIVALENT (YES / NO)

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

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 REQUIRE-MENTS

 

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

SYSTEMICAL IMPORTANT INSTITUTION 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

OF WHICH: OWN FUNDS INSTRUMENTS, RELATED RETAINED EARNINGS AND SHARE PREMIUM ACCOUNTS

OF WHICH: QUALIFYING TIER 1 CAPITAL

OF WHICH: T1 INSTRUMENTS, RELATED RETAINED EARNINGS AND SHARE PREMIUM ACCOUNTS

OF WHICH: MINORITY INTERESTS

OF WHICH: 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

010

020

025

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

360

370

380

390

400

410

420

430

440

450

460

470

480

010

TOTAL

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

001

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

002

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

....

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

NNN

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


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 OF OFF-BALANCE SHEET ITEMS BY CONVERSION FACTORS

EXPOSURE VALUE

 

RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR

RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR

 

 

OF WHICH: ARISING FROM DEFAULT FUND CONTRIBUTIONS

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

010

020

030

040

050

060

070

080

090

100

110

120

130

140

150

160

170

180

190

200

210

215

220

230

240

010

TOTAL EXPOSURES

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Cell linked to CA

 

 

020

of which: SME

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

030

of which: SME subject to SME-supporting factor

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

040

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

050

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

060

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:

070

On balance sheet exposures subject to credit risk

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

080

Off balance sheet exposures subject to credit risk

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

090

Securities Financing Transactions

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

100

of which: centrally cleared through a QCCP

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

110

Derivatives & Long Settlement Transactions

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

120

of which: centrally cleared through a QCCP

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

130

From Contractual Cross Product Netting

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BREAKDOWN OF TOTAL EXPOSURES BY RISK WEIGHTS:

140

0 %

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

150

2 %

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

160

4 %

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

170

10 %

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

180

20 %

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

190

35 %

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

200

50 %

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

210

70 %

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

220

75 %

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

230

100 %

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

240

150 %

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

250

250 %

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

260

370 %

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

270

1 250 %

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

280

Other risk weights

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

MEMORANDUM ITEMS

290

Exposures secured by mortgages on commercial immovable property

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

300

Exposures in default subject to a risk weight of 100 %

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

310

Exposures secured by mortgages on residential property

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

320

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 SYSTEM

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 SME-SUPPORTING FACTOR

RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR

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

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

REAL ESTATE

OTHER PHYSICAL COLLATERAL

RECEIVABLES

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

255

260

270

280

290

300

010

TOTAL EXPOSURES

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Cell linked to CA

 

 

 

 

 

BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:

020

On balance sheet items subject to credit risk

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

030

Off balance sheet items subject to credit risk

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Exposures / Transactions subject to counterparty credit risk

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

040

Securities Financing Transactions

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

050

Derivatives & Long Settlement Transactions

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

060

From Contractual Cross Product Netting

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

070

EXPOSURES ASSIGNED TO OBLIGOR GRADES OR POOLS: TOTAL

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

080

SPECIALIZED LENDING SLOTTING CRITERIA: TOTAL

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BREAKDOWN BY RISK WEIGHTS OF TOTAL EXPOSURES UNDER SPECIALIZED LENDING SLOTTING CRITERIA:

090

RISK WEIGHT: 0 %

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

100

50 %

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

110

70 %

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

120

Of which: in category 1

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

130

90 %

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

140

115 %

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

150

250 %

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

160

ALTERNATIVE TREATMENT: SECURED BY REAL ESTATE

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

170

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

180

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:

 

INTERNAL RATING SYSTEM

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 SME-FACTOR

RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-FACTOR

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

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

REAL ESTATE

OTHER PHYSICAL COLLATERAL

RECEIVABLES

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

255

260

270

280

290

300

 

BREAKDOWN OF TOTAL EXPOSURES ASSIGNED TO OBLIGOR GRADES OR POOLS:

 

OBLIGOR GRADE OR POOL:1

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

.....

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

N

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


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

Country:

 

ORIGINAL EXPOSURE PRE CONVERSION FACTORS

Exposures in default

Observed new defaults for the period

General credit risk adjustments

Specific credit risk adjustments

Of which: write off

Credit risk adjustments/write-offs for observed new defaults

EXPOSURE VALUE

RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR

RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR

010

020

040

050

055

060

070

075

080

090

010

Central governments or central banks

 

 

 

 

 

 

 

 

 

 

020

Regional governments or local authorities

 

 

 

 

 

 

 

 

 

 

030

Public sector entities

 

 

 

 

 

 

 

 

 

 

040

Multilateral Development Banks

 

 

 

 

 

 

 

 

 

 

050

International Organisations

 

 

 

 

 

 

 

 

 

 

060

Institutions

 

 

 

 

 

 

 

 

 

 

070

Corporates

 

 

 

 

 

 

 

 

 

 

075

of which: SME

 

 

 

 

 

 

 

 

 

 

080

Retail

 

 

 

 

 

 

 

 

 

 

085

of which: SME

 

 

 

 

 

 

 

 

 

 

090

Secured by mortgages on immovable property

 

 

 

 

 

 

 

 

 

 

095

of which: SME

 

 

 

 

 

 

 

 

 

 

100

Exposures in default

 

 

 

 

 

 

 

 

 

 

110

Items associated with particularly high risk

 

 

 

 

 

 

 

 

 

 

120

Covered bonds

 

 

 

 

 

 

 

 

 

 

130

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

 

 

 

 

 

 

 

 

 

 

140

Collective investments undertakings (CIU)

 

 

 

 

 

 

 

 

 

 

150

Equity exposures

 

 

 

 

 

 

 

 

 

 

160

Other exposures

 

 

 

 

 

 

 

 

 

 

 

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

Of which: defaulted

Observed new defaults for the period

General credit risk adjustments

Specific credit risk adjustments

Of which: write off

Credit risk adjustments/write-offs for observed new defaults

PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%)

EXPOSURE WEIGHTED AVERAGE LGD (%)

Of which: defaulted

EXPOSURE VALUE

RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR

Of which: defaulted

RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR

EXPECTED LOSS AMOUNT

010

030

040

050

055

060

070

080

090

100

105

110

120

125

130

010

Central governments or central banks

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

020

Institutions

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

030

Corporates

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

040

Of Which: Specialised Lending

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

050

Of Which: SME

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

060

Retail

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

070

Secured by real estate property

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

080

SME

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

090

Non-SME

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

100

Qualifying Revolving

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

110

Other Retail

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

120

SME

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

130

Non-SME

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

140

Equity

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total exposures

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


C 09.03 — BREAKDOWN OF TOTAL OWN FUNDS REQUIREMENTS FOR CREDIT RISK OF RELEVANT CREDIT EXPOSURES BY COUNTRY (CR GB 3)

Country:

 

Amount

010

010

Own fund requirements for credit risk

 


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

 

INTERNAL RATING SYSTEM

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

010

020

030

040

050

060

070

080

090

010

TOTAL IRB EQUITY EXPOSURES

 

 

 

 

 

 

 

Cell linked to CA

 

020

PD/LGD APRROACH: TOTAL

 

 

 

 

 

 

 

 

 

050

SIMPLE RISK WEIGHT APPROACH: TOTAL

 

 

 

 

 

 

 

 

 

060

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

070

RISK WEIGHT: 190 %

 

 

 

 

 

 

 

 

 

080

290 %

 

 

 

 

 

 

 

 

 

090

370 %

 

 

 

 

 

 

 

 

 

100

INTERNAL MODELS APPROACH

 

 

 

 

 

 

 

 

 

110

EQUITY EXPOSURES SUBJECT TO RISK WEIGHTS

 

 

 

 

 

 

 

 

 


C 10.02 — CREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS. BREAKDOWN OF TOTAL EXPOSURES UNDER THE PD/LGD APRROACH BY OBLIGOR GRADES (CR EQU IRB 2)

 

INTERNAL RATING SYSTEM

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

010

020

030

040

050

060

070

080

090

 

BREAKDOWN OF TOTAL EXPOSURES UNDER THE PD/LGD APRROACH BY OBLIGOR GRADES:

 

OBLIGOR GRADE(a): 001

 

 

 

 

 

 

 

 

 

 

002

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

NNN

 

 

 

 

 

 

 

 

 


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

010

020

030

040

010

Total unsettled transactions in the Non-trading Book

 

 

 

Cell linked to CA

020

Transactions unsettled up to 4 days (Factor 0 %)

 

 

 

 

030

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

 

 

 

 

040

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

 

 

 

 

050

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

 

 

 

 

060

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

 

 

 

 

070

Total unsettled transactions in the Trading Book

 

 

 

Cell linked to CA

080

Transactions unsettled up to 4 days (Factor 0 %)

 

 

 

 

090

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

 

 

 

 

100

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

 

 

 

 

110

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

 

 

 

 

120

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

 

 

 

 


C 12.00 — CREDIT RISK: SECURITISATIONS - STANDARDISED APPROACH TO OWN FUNDS REQUIREMENTS (CR SEC SA)

 

TOTAL AMOUNT OF SECURITISATI0N EXPOSURES ORIGINATED

SYNTHETIC SECURITISATIONS: 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*)

BREAKDOWN OF THE FULLY ADJUSTED EXPOSURE VALUE (E*) OF OFF BALANCE SHEET ITEMS ACCORDING TO CONVERSION FACTORS

EXPOSURE VALUE

 

BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS

BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS

RISK-WEIGHTED EXPOSURE AMOUNT

OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONS

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

TOTAL RISK-WEIGHTED EXPOSURE AMOUNT

MEMORANDUM ITEM: RISK WEIGHTED EXPOSURE AMOUNT CORRESPONDING TO THE OUTFLOWS FROM THE SA SECURITISATION 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

0 %

>0 % and <=20 %

>20 % and <=50 %

>50 % and <=100 %

(-) DEDUCTED FROM OWN FUNDS

SUBJECT TO RISK WEIGHTS

RATED (CREDIT QUALITY STEPS)

1250%

LOOK-THROUGH

INTERNAL ASSESMENT APPROACH

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

(-) TOTAL OUTFLOWS

TOTAL INFLOWS

CQS 1

CQS 2

CQS 3

CQS 4

ALL OTHER CQS

UNRATED

 

OF WHICH: SECOND LOSS IN ABCP

OF WHICH: AVERAGE RISK WEIGHT (%)

 

AVERAGE RISK WEIGHT (%)

 

OF WHICH: SYNTHETIC SECURITISATIONS

BEFORE CAP

AFTER CAP

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

360

370

380

390

010

TOTAL EXPOSURES

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Cell linked to CA

 

020

OF WHICH: RE-SECURITISATIONS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Cell linked to CA

 

030

ORIGINATOR: TOTAL EXPOSURES

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

040

ON-BALANCE SHEET ITEMS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

050

SECURITISATIONS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

060

RE-SECURITISATIONS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

070

OFF-BALANCE SHEET ITEMS AND DERIVATIVES

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

080

SECURITISATIONS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

090

RE-SECURITISATIONS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

100

EARLY AMORTISATION

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

110

INVESTOR: TOTAL EXPOSURES