|
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:
|
|
(b) |
Institutions shall submit the following information with a semi-annual frequency:
|
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:
|
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 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
.... |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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NNN |
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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 |
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Cell linked to CA |
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020 |
of which: SME |
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030 |
of which: SME subject to SME-supporting factor |
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040 |
of which: Secured by mortgages on immovable property - Residential property |
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050 |
of which: Exposures under the permanent partial use of the standardised approach |
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060 |
of which: Exposures under the standardised approach with prior supervisory permission to carry out a sequential IRB implementation |
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BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES: |
||||||||||||||||||||||||||
|
070 |
On balance sheet exposures subject to credit risk |
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080 |
Off balance sheet exposures subject to credit risk |
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090 |
Securities Financing Transactions |
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100 |
of which: centrally cleared through a QCCP |
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110 |
Derivatives & Long Settlement Transactions |
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120 |
of which: centrally cleared through a QCCP |
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130 |
From Contractual Cross Product Netting |
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BREAKDOWN OF TOTAL EXPOSURES BY RISK WEIGHTS: |
||||||||||||||||||||||||||
|
140 |
0 % |
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150 |
2 % |
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160 |
4 % |
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170 |
10 % |
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180 |
20 % |
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190 |
35 % |
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200 |
50 % |
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210 |
70 % |
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220 |
75 % |
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230 |
100 % |
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240 |
150 % |
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250 |
250 % |
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260 |
370 % |
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270 |
1 250 % |
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280 |
Other risk weights |
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|
|
MEMORANDUM ITEMS |
||||||||||||||||||||||||||
|
290 |
Exposures secured by mortgages on commercial immovable property |
|
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300 |
Exposures in default subject to a risk weight of 100 % |
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|
310 |
Exposures secured by mortgages on residential property |
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320 |
Exposures in default subject to a risk weight of 150 % |
|
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|
|
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 |
|
|
|
|
|
|
|
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|
|
|
|
|
|
|
|
|
|
|
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|
|
Cell linked to CA |
|
|
|
|
|
|
BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES: |
|||||||||||||||||||||||||||||||
|
020 |
On balance sheet items subject to credit risk |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
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|
|
|
|
|
030 |
Off balance sheet items subject to credit risk |
|
|
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|
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|
|
|
|
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|
|
|
|
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|
|
Exposures / Transactions subject to counterparty credit risk |
|
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|
|
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|
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|
040 |
Securities Financing Transactions |
|
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|
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|
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|
050 |
Derivatives & Long Settlement Transactions |
|
|
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|
|
|
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|
|
|
|
|
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
060 |
From Contractual Cross Product Netting |
|
|
|
|
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|
|
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|
|
|
|
|
|
|
|
|
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|
|
|
|
|
|
|
070 |
EXPOSURES ASSIGNED TO OBLIGOR GRADES OR POOLS: TOTAL |
|
|
|
|
|
|
|
|
|
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|
|
|
|
|
|
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|
|
|
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|
|
080 |
SPECIALIZED LENDING SLOTTING CRITERIA: TOTAL |
|
|
|
|
|
|
|
|
|
|
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BREAKDOWN BY RISK WEIGHTS OF TOTAL EXPOSURES UNDER SPECIALIZED LENDING SLOTTING CRITERIA: |
|||||||||||||||||||||||||||||||
|
090 |
RISK WEIGHT: 0 % |
|
|
|
|
|
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|
|
|
|
|
|
|
|
|
|
|
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|
|
|
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|
|
|
|
|
|
|
|
100 |
50 % |
|
|
|
|
|
|
|
|
|
|
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|
|
|
|
|
|
|
|
|
|
|
|
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|
|
|
|
|
|
|
|
110 |
70 % |
|
|
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|
|
|
|
|
|
|
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|
|
|
|
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|
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|
|
120 |
Of which: in category 1 |
|
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|
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|
|
|
|
|
|
|
|
130 |
90 % |
|
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|
|
|
|
|
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|
|
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
140 |
115 % |
|
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|
|
|
|
|
|
|
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|
|
|
|
|
|
|
|
|
|
|
|
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|
|
|
|
|
|
|
150 |
250 % |
|
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|
|
|
|
|
|
|
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|
|
|
|
|
|
|
|
|
|
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|
|
|
|
|
|
|
|
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 |
|
|
|
|
|
|
|
|
|
|
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|
|
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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: |
|||||||||||||||||||||||||||||||
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OBLIGOR GRADE OR POOL:1 |
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2 |
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..... |
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N |
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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 |
|
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|
|
|
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|
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|
020 |
Regional governments or local authorities |
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|
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030 |
Public sector entities |
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040 |
Multilateral Development Banks |
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050 |
International Organisations |
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|
060 |
Institutions |
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|
|
|
|
|
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|
070 |
Corporates |
|
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075 |
of which: SME |
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080 |
Retail |
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085 |
of which: SME |
|
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090 |
Secured by mortgages on immovable property |
|
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095 |
of which: SME |
|
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100 |
Exposures in default |
|
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110 |
Items associated with particularly high risk |
|
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120 |
Covered bonds |
|
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130 |
Claims on institutions and corporates with a short-term credit assessment |
|
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140 |
Collective investments undertakings (CIU) |
|
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150 |
Equity exposures |
|
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160 |
Other exposures |
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|
Total exposures |
|
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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 |
|
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|
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|
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020 |
Institutions |
|
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030 |
Corporates |
|
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040 |
Of Which: Specialised Lending |
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050 |
Of Which: SME |
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|
060 |
Retail |
|
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070 |
Secured by real estate property |
|
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080 |
SME |
|
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090 |
Non-SME |
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100 |
Qualifying Revolving |
|
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110 |
Other Retail |
|
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120 |
SME |
|
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130 |
Non-SME |
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140 |
Equity |
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Total exposures |
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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 |
|
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|
050 |
SIMPLE RISK WEIGHT APPROACH: TOTAL |
|
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|
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 |
|
|
|
|
|
|
|
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|
|
002 |
|
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|
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|
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|
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|
… |
|
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|
NNN |
|
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|
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 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
040 |
ON-BALANCE SHEET ITEMS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
050 |
SECURITISATIONS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
060 |
RE-SECURITISATIONS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
070 |
OFF-BALANCE SHEET ITEMS AND DERIVATIVES |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
080 |
SECURITISATIONS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
090 |
RE-SECURITISATIONS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
100 |
EARLY AMORTISATION |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
110 |
INVESTOR: TOTAL EXPOSURES |
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||||||||