|
19.3.2021 |
EN |
Official Journal of the European Union |
L 97/1 |
COMMISSION IMPLEMENTING REGULATION (EU) 2021/451
of 17 December 2020
laying down implementing technical standards for the application of Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to supervisory reporting of institutions and repealing Implementing Regulation (EU) No 680/2014
(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 first subparagraph of Article 415(3), the first subparagraph of Article 415(3a), the first subparagraph of Article 430(7) and the second subparagraph of Article 430(9) thereof,
Whereas:
|
(1) |
Without prejudice to the powers of competent authorities under Article 104(1), point (j), of Directive 2013/36/EU of the European Parliament and of the Council (2) Commission Implementing Regulation (EU) No 680/2014 (3) lays down, on the basis of Article 430 of Regulation (EU) No 575/2013, a coherent reporting framework. Implementing Regulation (EU) No 680/2014 has been amended several times following the amendments of Regulation (EU) No 575/2013 adopted to introduce, further develop or adapt prudential elements. |
|
(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) |
Taking into account the international standards of the Basel Committee on Banking Supervision, Regulation (EU) 2019/876 of the European Parliament and of the Council (4) amended Regulation (EU) No 575/2013 in a number of aspects, such as the leverage ratio, the net stable funding requirement, requirements for own funds and eligible liabilities, counterparty credit risk, market risk, exposures to central counterparties, exposures to collective investment undertakings, large exposures, and reporting and disclosure requirements. The reporting framework laid down in Implementing Regulation (EU) No 680/2014 should therefore be revised and the set of templates for the collection of information for supervisory reporting purposes should be updated. |
|
(4) |
Regulation (EU) 2019/876 introduced in Regulation (EU) No 575/2013 a Tier 1 capital leverage ratio requirement calibrated at 3 %, a range of adjustments to the calculation of leverage ratio exposure, and a leverage ratio buffer requirement for institutions identified as global systemically important institutions (G-SIIs) in accordance with Directive 2013/36/EU. The leverage ratio reporting should therefore be updated to reflect those requirements and adjustments in the exposure calculation. |
|
(5) |
Regulation (EU) 2019/876 introduced in Regulation (EU) No 575/2013 net stable funding ratio (NSFR) reporting requirements, including simplified requirements. It is therefore necessary to lay down a new set of reporting templates and instructions. |
|
(6) |
Regulation (EU) 2019/876 introduced in Regulation (EU) No 575/2013 a new supporting factor to be applied to infrastructure projects’ exposures and updated approaches to calculating risk-weighted exposure amounts for collective investment undertakings. It is therefore necessary to lay down, also in accordance with the disclosures framework, new templates and instructions for reporting on credit risk and update the current instructions. |
|
(7) |
Regulation (EU) 2019/876 replaced in Regulation (EU) No 575/2013 the standardised approach with a more risk sensitive standardised approach for counterparty credit risk (SA-CCR) and a simplified version (the simplified SA-CCR) for institutions that meet predefined eligibility criteria. The original exposure method, though revised, remains available for institutions meeting predefined criteria. It is therefore necessary to add new templates and instructions for reporting on counterparty credit risk and update the current instructions. |
|
(8) |
Regulation (EU) 2019/876 replaced in Regulation (EU) No 575/2013 the references to ‘eligible capital’ in the calculation of large exposures with references to ‘Tier 1 capital’ and introduced another threshold for reporting of large exposures on a consolidated basis. The large exposures reporting should therefore be updated. |
|
(9) |
Regulation (EU) 2019/630 of the European Parliament and of the Council (5) introduced in Regulation (EU) No 575/2013 a prudential backstop for non-performing exposures (NPEs) imposing a deduction from institutions’ own funds where NPEs are not sufficiently covered by provisions or other adjustments, following a predefined calendar to build up a full coverage over time. That prudential backstop is based on the definitions of ‘non-performing exposure’ and ‘forbearance measures’ laid down in Implementing Regulation (EU) No 680/2014. It is therefore necessary to amend templates and instructions to ensure that there is a single definition of ‘non-performing exposure’ and ‘forbearance measures’ for both reporting and prudential backstop purposes. New templates are also necessary for the collection of information for the backstop calculation. |
|
(10) |
Regulation (EU) 2019/2033 of the European Parliament and of the Council (6) repeals with effect from 26 June 2026 Chapter 1 of Title I of Part Three, Section 2 (Articles 95 to 98), of Regulation (EU) No 575/2013. For this reason, provisions on reporting for groups that consist only of investment firms subject to Articles 95 and 96 of Regulation (EU) No 575/2013 on an individual basis or a consolidated basis should cease to apply on 26 June 2026. |
|
(11) |
In view of the scope of those amendments and for the sake of clarity, it is appropriate to repeal Implementing Regulation (EU) No 680/2014 and replace it with this Regulation. |
|
(12) |
Regulation (EU) 2020/873 of the European Parliament and of the Council (7) is part of a series of measures to mitigate the impact of the COVID-19 pandemic on institutions across the Union. That Regulation introduced certain amendments to Regulations (EU) No 575/2013 and (EU) 2019/876 that have an impact on supervisory reporting. Those amendments should therefore be reflected in the reporting framework. |
|
(13) |
Institutions should start supervisory reporting for the end of second quarter of 2021. However, reporting for the leverage ratio buffer should start from January 2023 as the application of the leverage buffer requirements was postponed to January 2023 by Regulation (EU) 2020/873. |
|
(14) |
This Regulation is based on the draft implementing technical standards submitted to the Commission by the European Banking Authority (EBA). |
|
(15) |
The EBA 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 advice 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 (8), with the exception of the provisions reflecting the amendments of Regulation (EU) No 575/2013 by Regulation (EU) 2020/873. The EBA decided that it would have been highly disproportionate to carry out public consultations or a cost-benefit analysis on those provisions as they concern very few rows in reporting templates on solvency and leverage and are not likely to materially affect the costs of reporting. In addition, such public consultation or a cost-benefit analysis would prevent supervisors from the timely collection of relevant data in a coherent and regular manner. |
|
(16) |
To provide institutions with sufficient time to prepare for reporting in accordance with this Regulation, it should enter into force on the day following the date of its publication in the Official Journal of the European Union, |
HAS ADOPTED THIS REGULATION:
Article 1
Subject matter and scope
This Regulation lays down uniform reporting formats and templates, instructions on and a methodology for how to use those templates, the frequency and dates of reporting, the definitions and the IT solutions for the reporting of institutions to their competent authorities in accordance with Article 415, paragraphs 3 and 3a, of Regulation (EU) No 575/2013, and Article 430, paragraphs 1 to 4 and paragraphs 7 and 9 of that Regulation.
Article 2
Reporting reference dates
1. Institutions shall submit information to competent authorities as this information 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 Annexes III and IV, in accordance with the instructions in Annex V and 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 and of information for the purposes of identifying global systemically important institutions (G-SIIs) and assigning G-SII buffer rates is done every three, six or 12 months from their accounting year-end, respectively.
Article 3
Reporting remittance dates
1. Institutions shall submit information to competent authorities by close of business on 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 or the information for the purposes of identifying G-SIIs and assigning G-SII buffer rates using adjusted reporting reference dates based on their accounting year-end as set out in paragraph 3 of Article 2, 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 that meet the conditions set out in in Article 4(1), point (145), of Regulation (EU) No 575/2013 shall start reporting information as small and non-complex institutions on the first reporting reference date after those conditions have been met. Where institutions no longer meet those conditions, they shall stop reporting the information on the first reporting reference date thereafter.
2. Institutions that meet the conditions set out in Article 4(1), point (146), of Regulation (EU) No 575/2013 shall start reporting information as large institutions, on the first reporting reference date after those conditions have been met. Where institutions no longer meet those conditions, they shall stop reporting the information on the first reporting reference date thereafter.
3. Institutions shall start reporting information subject to the thresholds set out in this Regulation on the next reporting reference date after those thresholds have been exceeded on two consecutive reporting reference dates. Institutions may stop reporting information subject to the thresholds set out in this Regulation on the next reporting reference date where they have fallen below the relevant thresholds on three consecutive reporting reference dates.
Article 5
Reporting on own funds and own funds requirements on an individual basis – quarterly reporting
1. In order to report information on own funds and on own funds requirements in accordance with Article 430(1), point (a), of Regulation (EU) No 575/2013 on an individual basis, institutions shall submit information referred to in this Article with a quarterly frequency.
2. Institutions shall submit information on own funds and own funds requirements as specified in Annex I, templates 1 to 5, in accordance with the instructions in Annex II, Part II, point 1.
3. Institutions shall submit information on credit risk and counterparty credit risk exposures treated under the standardised approach as specified in Annex I, template 7, in accordance with the instructions in Annex II, Part II, point 3.2.
4. Institutions shall submit information on credit risk and counterparty credit risk exposures treated under the internal ratings-based approach as specified in Annex I, templates 8.1 and 8.2, in accordance with the instructions in Annex II, Part II, point 3.3.
5. Institutions shall submit information on the geographical distribution of exposures by country, as well as aggregated exposures at a total level, as specified in Annex I, template 9, in accordance with the instructions in Annex II, Part II, point 3.4.
Institutions shall submit information specified in templates 9.1 and 9.2, and in particular information on the geographical distribution of exposures by country, where non-domestic original exposures in all non-domestic countries in all exposure classes, as reported in accordance with Annex I, template 4, row 0850, are equal to or higher than 10 % of total domestic and non-domestic original exposures as reported in accordance with Annex I, template 4, row 0860. Exposures shall be deemed to be domestic where they are exposures to counterparties located in the Member State where the institution is established.
The entry and exit criteria set out in Article 4 shall apply.
6. Institutions shall submit information on counterparty credit risk as specified in Annex I, templates 34.01 to 34.05 and 34.08 to 34.10, in accordance with the instructions in Annex II, Part II, point 3.9.
7. Institutions applying the standardised approach or the internal model method for the calculation of counterparty credit risk exposures in accordance with Part Three, Title II, Chapter 6, Sections 3 and 6, of Regulation (EU) No 575/2013 shall submit information on counterparty credit risk as specified in Annex I, template 34.06, in accordance with the instructions in Annex II, Part II, point 3.9.7.
8. Institutions shall submit information on equity exposures treated under the internal ratings-based approach as specified in Annex I, template 10, in accordance with the instructions in Annex II, Part II, point 3.5.
9. Institutions shall submit information on settlement risk as specified in Annex I, template 11, in accordance with the instructions in Annex II, Part II, point 3.6.
10. Institutions shall submit information on securitisation exposures as specified in Annex I, template 13.01, in accordance with the instructions in Annex II, Part II, point 3.7.
11. Institutions shall submit information on own funds requirements and losses relating to operational risk as specified in Annex I, template 16, in accordance with the instructions in Annex II, Part II, point 4.1.
12. Institutions shall submit information on own funds requirements relating to market risk as specified in Annex I, templates 18 to 24, in accordance with the instructions in Annex II, Part II, points 5.1 to 5.7.
13. Institutions shall submit information on own funds requirements relating to credit valuation adjustment risk as specified in Annex I, template 25, in accordance with the instructions in Annex II, Part II, point 5.8.
14. Institutions shall submit information on prudent valuation as specified in Annex I, template 32, in accordance with the instructions in Annex II, Part II, point 6, as follows:
|
(a) |
all institutions shall submit the information specified in Annex I, template 32.1, in accordance with the instructions in Annex II, Part II, point 6; |
|
(b) |
institutions that apply the core approach in accordance with Commission Delegated Regulation (EU) 2016/101 (9) shall, in addition to information referred in point (a) of this paragraph, report the information specified in Annex I, template 32.2, in accordance with the instructions in Annex II, Part II, point 6; |
|
(c) |
institutions that apply the core approach in accordance with Commission Delegated Regulation (EU) 2016/101 and which exceed the threshold referred to in Article 4(1) of that Regulation shall, in addition to information referred in points (a) and (b) of this paragraph, report the information specified in Annex I, templates 32.3 and 32.4, in accordance with the instructions in Annex II, Part II, point 6. |
For the purposes of this paragraph, the entry and exit criteria set out in Article 4 shall not apply.
15. Institutions shall submit information on the prudential backstop for non-performing exposures (NPEs) as specified in Annex I, templates 35.01, 35.02 and 35.03, in accordance with the instructions in Annex II, Part II, point 8.
Article 6
Reporting on own funds and own funds requirements on an individual basis – semi-annual reporting
1. In order to report information on own funds and on own funds requirements in accordance with Article 430(1), point (a), of Regulation (EU) No 575/2013 on an individual basis, institutions shall submit information referred to in this Article with a semi-annual frequency.
2. Institutions shall submit information on all securitisation exposures as specified in Annex I, templates 14 and 14.01, in accordance with the instructions in Annex II, Part II, point 3.8; except where they are part of a group in the same country in which they are subject to own funds requirements.
3. Institutions shall submit information on sovereign exposures as follows:
|
(a) |
where the aggregate carrying amount of financial assets from the counterparty sector ‘General governments’ is equal to or higher than 1 % of the sum of total carrying amount for ‘Debt securities’ and ‘Loans and advances’ institutions shall submit the information as specified in Annex I, template 33, in accordance with the instructions in Annex II, Part II, point 7, and shall follow the instructions in Annex V regarding template 4 in Annex III or Annex IV, as applicable, to calculate the relevant values; |
|
(b) |
where the value reported for domestic exposures of non-derivative financial assets as defined in row 0010, column 0010 in Annex I, template 33 is less than 90 % of the value reported for domestic and non-domestic exposures for the same data point institutions that meet the condition referred to in point (a) shall submit the information as specified in Annex I, template 33, in accordance with the instructions in Annex II, Part II, point 7, with a full country breakdown; |
|
(c) |
institutions that meet the conditions referred to in point (a) and do not meet the condition referred in point (b) shall submit the information specified in template 33, in accordance with the instructions in Annex II, Part II, point 7, with exposures aggregated at:
|
The entry and exit criteria of Article 4(3) shall apply.
4. Information on material losses regarding operational risk shall be reported as follows:
|
(a) |
institutions that calculate own funds requirements relating to operational risk in accordance with Part Three, Title III, Chapter 4, of Regulation (EU) No 575/2013 shall report that information as specified in Annex I, templates 17.01 and 17.02, in accordance with the instructions in Annex II, Part II, point 4.2; |
|
(b) |
large institutions that calculate own funds requirements relating to operational risk in accordance with Part Three, Title III, Chapter 3, of Regulation (EU) No 575/2013 shall report that information as specified in Annex I, templates 17.01 and 17.02, in accordance with the instructions in Annex II, Part II, point 4.2; |
|
(c) |
institutions other than large institutions that calculate own funds requirements relating to operational risk in accordance with Part Three, Title III, Chapter 3, of Regulation (EU) No 575/2013 shall report, in accordance with the instructions in Annex II, Part II, point 4.2, the following information:
|
|
(d) |
the institutions referred to in point (c) may report the complete set of information specified in Annex I, templates 17.01 and 17.02, in accordance with the instructions in Annex II, Part II, point 4.2; |
|
(e) |
large institutions that calculate own funds requirements relating to operational risk in accordance with Part Three, Title III, Chapter 2, of Regulation (EU) No 575/2013 shall report the information as specified in Annex I, templates 17.01 and 17.02, in accordance with the instructions in Annex II, Part II, point 4.2; |
|
(f) |
institutions other than large institutions that calculate own funds requirements relating to operational risk in accordance with Part Three, Title III, Chapter 2, of Regulation (EU) No 575/2013 may report the information as specified in Annex I, templates 17.01 and 17.02, in accordance with the instructions in Annex II, Part II, point 4.2. |
The entry and exit criteria of Article 4(3) shall apply.
5. Institutions applying the simplified standardised approach or the original exposure method for the calculation of counterparty credit risk exposures in accordance with Part Three, Title II, Chapter 6, Sections 4 and 5 Regulation (EU) No 575/2013 shall submit the information on counterparty credit risk as specified in Annex I, template 34.06, in accordance with the instructions in Annex II, Part II, point 3.9.7.
Article 7
Reporting on own funds and own funds requirements on a consolidated basis
In order to report information on own funds and on own funds requirements in accordance with Article 430(1), point (a), of Regulation (EU) No 575/2013 on a consolidated basis, institutions shall submit the information specified in:
|
(a) |
Articles 5 and 6 of this Implementing Regulation on a consolidated basis with the frequency specified therein; and |
|
(b) |
template 6 of Annex I, in accordance with the instructions provided in Annex II, Part II, point 2 regarding entities included in the scope of consolidation, with a semi-annual frequency. |
Article 8
Reporting on own funds and own funds requirements – additional reporting requirements on individual and consolidated basis
1. Institutions subject to a requirement to disclose the information referred to in Article 438, points (e) or (h), or Article 452, points (b), (g) or (h), of Regulation (EU) No 575/2013 with the frequency set out in Article 433a or Article 433c, as applicable, on an individual basis in accordance with Article 6 or on a consolidated basis in accordance with Article 13, as applicable, of that Regulation, shall submit the information on credit risk and counterparty credit risk, as specified in Annex I, templates 8.3, 8.4, 8.5, 8.5.1, 8.6, 8.7 and 34.11, to this Regulation, with the same frequency and on the same basis, following the instructions in Annex II, Part II, points 3.3 and 3.9.12, to this Regulation.
2. Institutions subject to a requirement to disclose the information referred to in point (l) of Article 439 of Regulation (EU) No 575/2013 with the frequency set out in Article 433a or Article 433c, as applicable, on an individual basis in accordance with Article 6 or on a consolidated basis in accordance with Article 13, as applicable, of that Regulation, shall submit the information on counterparty credit risk, as specified in Annex I, template 34.07, to this Regulation, with the same frequency and on the same basis, following the instructions in Annex II, Part II, point 3.9.8, to this Regulation.
Article 9
Reporting on own funds and own funds requirements for investment firms subject to Articles 95 and 96 of Regulation (EU) No 575/2013 on an individual basis
1. Investment firms that apply the transitional provisions of Article 57(3) of Regulation (EU) 2019/2033 shall submit information as set out in this Article.
2. In order to report information on own funds and on own funds requirements in accordance with Article 430(1), point (a), of Regulation (EU) No 575/2013 on an individual basis, with the exception of information on the leverage ratio, investment firms making use of Article 57(3) of Regulation (EU) 2019/2033 with reference to Article 95 of Regulation (EU) No 575/2013 shall submit the information specified in Annex I, templates 1 to 5, in accordance with the instructions in Annex II, Part II, point 1, with a quarterly frequency.
3. In order to report information on own funds and own funds requirements in accordance with Article 430(1), point (a), of Regulation (EU) No 575/2013 on an individual basis, investment firms making use of Article 57(3) of Regulation (EU) 2019/2033 with reference to Article 96 of Regulation (EU) No 575/2013 shall submit the information referred to in Article 5, paragraphs (1) to (5) and paragraphs (8) to (13), and Article 6(2) of this Regulation with the frequency laid down in those Articles.
Article 10
Reporting on own funds and own funds requirements for groups that consist only of investment firms subject to Articles 95 and 96 of Regulation (EU) No 575/2013 on a consolidated basis
1. Investment firms that apply the transitional provisions of Article 57(3) of Regulation (EU) 2019/2033 shall submit information as set out in this Article.
2. In order to report information on own funds and on own funds requirements in accordance with Article 430(1), point (a), of Regulation (EU) No 575/2013 on a consolidated basis, with the exception of information on the leverage ratio, investment firms of groups that consist only of investment firms making use of Article 57(3) of Regulation (EU) 2019/2033 with reference 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 on own funds requirements as specified in Annex I, templates 1 to 5, in accordance with the instructions in Annex II, Part II, point 1, with a quarterly frequency; |
|
(b) |
the information on own funds and on own funds requirements regarding entities included in the scope of consolidation as specified in Annex I, template 6, in accordance with the instructions in Annex II, Part II, point 2, with a semi-annual frequency. |
3. In order to report information on own funds and on own funds requirements in accordance with Article 430(1), point (a), of Regulation (EU) No 575/2013 on a consolidated basis, investment firms of groups that consist only of investment firms subject to Article 95 and investment firms subject to Article 96 or of groups that consist only of investment firms making use of Article 57(3) of Regulation (EU) 2019/2033 with reference to Article 96 of Regulation (EU) No 575/2013 shall submit the following information on a consolidated basis:
|
(a) |
the information specified in Article 5, paragraphs (1) to (5) and paragraphs (8) to (13) Article 6(2) of this Regulation with the frequency laid down in those Articles; |
|
(b) |
the information regarding entities included in the scope of consolidation specified in Annex I, template 6, in accordance with the instructions in Annex II, Part II, point 2, with a semi-annual frequency. |
Article 11
Reporting on financial information on a consolidated basis for institutions subject to Regulation (EC) No 1606/2002 of the European Parliament and of the Council (10)
1. In order to report financial information on a consolidated basis in accordance with Article 430(3) or (4) of Regulation (EU) No 575/2013, institutions shall submit the information as specified in Annex III on a consolidated basis, in accordance with the instructions in Annex V.
2. The information referred to in paragraph 1 shall be submitted as follows:
|
(a) |
the information specified in Annex III, Part 1, with a quarterly frequency; |
|
(b) |
the information specified in Annex III, Part 3, with a semi-annual frequency; |
|
(c) |
the information specified in Annex III, Part 4, with the exception of the information specified in template 47, with an annual frequency; |
|
(d) |
the information specified in Annex III, Part 2, template 20, with a quarterly frequency where the institution exceeds the threshold laid down in Article 5(5), the second subparagraph; |
|
(e) |
the information specified in Annex III, Part 2, template 21, with a quarterly frequency where tangible assets subject to operating leases are equal to or higher than 10 % of total tangible assets as reported in accordance with Annex III, Part 1,template 1.1; |
|
(f) |
the information specified in Annex III, Part 2, template 22, with a quarterly frequency where net fee and commission income is equal to or higher than 10 % of the sum of net fee and commission income and net interest income as reported in accordance with Annex III, Part 1, template 2; |
|
(g) |
the information specified in Annex III, Part 2, templates 23 to 26, with a quarterly frequency where both of the following conditions are fulfilled:
|
|
(h) |
the information specified in Annex III, Part 4, template 47, with an annual frequency where both of the conditions set out in point (g) of this paragraph are fulfilled. |
For the purpose of point (g)(ii), the ratio shall not include loans and advances classified as held for sale, cash balances at central banks and other demand deposits in either the denominator or the numerator.
For the purposes of points (d) to (h) of this paragraph, the entry and exit criteria referred to in Article 4(3) shall apply.
Article 12
Reporting on financial information on a consolidated basis for institutions applying national accounting frameworks
1. Where a competent authority has extended the reporting requirements on financial information to institutions established in a Member State in accordance with Article 430(9) of Regulation (EU) No 575/2013, institutions shall submit the information as specified in Annex IV to this Regulation on a consolidated basis, in accordance with the instructions in Annex V to this Regulation.
2. The information referred to in paragraph 1 shall be submitted as follows:
|
(a) |
the information specified in Annex IV, Part 1, with a quarterly frequency; |
|
(b) |
the information specified in Annex IV, Part 3, with a semi-annual frequency; |
|
(c) |
the information specified in Annex IV, Part 4, with the exception of the information specified in template 47, with an annual frequency; |
|
(d) |
the information specified in Annex IV, Part 2, template 20, with a quarterly frequency where the institution exceeds the threshold laid down in Article 5(5), the second subparagraph; |
|
(e) |
the information specified in Annex IV, Part 2, template 21, with a quarterly frequency where tangible assets subject to operating leases are equal to or higher than 10 % of total tangible assets as reported in accordance with Annex IV, Part 1, template 1.1; |
|
(f) |
the information specified in Annex IV, Part 2, template 22, with a quarterly frequency where net fee and commission income is equal to or higher than 10 % of the sum of net fee and commission income and net interest income as reported in accordance with Annex IV, Part 1, template 2; |
|
(g) |
the information specified in Annex IV, Part 2, templates 23 to 26, with a quarterly frequency where both of the following conditions are fulfilled:
|
|
(h) |
the information specified in Annex IV, Part 4, template 47, with an annual frequency where both of the conditions set out in point (g) of this paragraph are fulfilled. |
For the purposes of points (d) to (h) of this paragraph, the entry and exit criteria referred to in Article 4(3) shall apply.
Article 13
Reporting on losses stemming from lending collateralised by immovable property in accordance with Article 430a(1) of Regulation (EU) No 575/2013 on an individual and a consolidated basis
1. Institutions shall submit the information as specified in Annex VI, in accordance with the instructions in Annex VII, on a consolidated basis with an annual frequency.
2. Institutions shall submit the information as specified in Annex VI, in accordance with the instructions in Annex VII, on a individual basis with an annual frequency.
3. Where an institution has a branch in another Member State, that branch shall submit to the competent authority of the host Member State the information specified in Annex VI related to that branch, in accordance with the instructions in Annex VII, with an annual frequency.
Article 14
Reporting on large exposures on an individual and a consolidated basis
1. In order to report information on large exposures to clients and groups of connected clients in accordance with Article 394 of Regulation (EU) No 575/2013 on an individual and a consolidated basis, institutions shall submit the information as specified in Annex VIII, in accordance with the instructions in Annex IX, with a quarterly frequency.
2. In order to report information on the 20 largest exposures to clients or groups of connected clients in accordance with Article 394(1) of Regulation (EU) No 575/2013 on a consolidated basis, institutions subject to Part Three, Title II, Chapter 3 of Regulation (EU) No 575/2013 shall submit the information specified in Annex VIII, in accordance with the instructions in Annex IX, with a quarterly frequency.
3. In order to report information on exposures of a value greater than or equal to EUR 300 million but less than 10 % of the institution’s Tier 1 capital in accordance with Article 394(1) of Regulation (EU) No 575/2013 on a consolidated basis, institutions shall submit the information specified in Annex VIII, in accordance with the instructions in Annex IX, with a quarterly frequency.
4. In order to report information on the 10 largest exposures to institutions on a consolidated basis, and on the 10 largest exposures to shadow banking entities that carry out banking activities outside the regulated framework on a consolidated basis, in accordance with Article 394(2) of Regulation (EU) No 575/2013, institutions shall submit the information as specified in Annex VIII, in accordance with the instructions in Annex IX, with a quarterly frequency.
Article 15
Reporting on leverage ratio on an individual and a consolidated basis
1. In order to report information on the leverage ratio in accordance with Article 430(1), point (a), of Regulation (EU) No 575/2013 on an individual and a consolidated basis, institutions shall submit the information as specified in Annex X, in accordance with the instructions in Annex XI, with a quarterly frequency. Only large institutions shall submit template 48.00 of Annex X.
2. The information specified in Annex X, template 40.00, cell {r0410;c0010} shall be reported only by:
|
(a) |
large institutions that either are G-SIIs or have issued securities that are admitted to trading on a regulated market with a semi-annual frequency; |
|
(b) |
large institutions other than G-SIIs that are not listed institutions with an annual frequency; |
|
(c) |
institutions other than large institutions and small and non-complex institutions that have issued securities that are admitted to trading on a regulated market with an annual frequency. |
3. Institutions shall calculate the leverage ratio at the reporting reference date in accordance with Article 429 of Regulation (EU) No 575/2013.
4. Institutions shall report the information referred to in Annex XI, Part II, point 13, where at least one of the following conditions is met:
|
(a) |
the derivatives share referred to in Annex XI, Part II, point 5, is more than 1,5 %; |
|
(b) |
the derivatives share referred to in Annex XI, Part II, point 5, exceeds 2 %. |
If an institution meets only the point (a) condition, the entry and exit criteria of Article 4(3) shall apply.
If an institution meets both the point (a) and point (b) conditions, it shall start reporting that information for the reference date following the reporting reference date on which it exceeded the threshold.
5. Institutions for which the total notional value of derivatives as defined in Annex XI, Part II, point 8, exceeds EUR 10 000 million shall report the information referred to in Annex XI, Part II, point 13, even if their derivatives share does not fulfil the conditions set out in paragraph 4 of this Article.
For the purposes of this paragraph, the entry criteria of Article 4(3) shall not apply. Institutions shall start reporting information from the next reporting reference date where they have exceeded the threshold on one reporting reference date.
6. Institutions are required to report the information referred to in Annex XI, Part II, point 14, where at least one of the following conditions is met:
|
(a) |
the credit derivatives volume referred to in Annex XI, Part II, point 9, is more than EUR 300 million; |
|
(b) |
the credit derivatives volume referred to in Annex XI, Part II, point 9, exceeds EUR 500 million. |
If an institution meets only the point (a) condition, the entry and exit criteria of Article 4(3) shall apply. If an institution meets both the point (a) and point (b) conditions, it shall start reporting that information for the reference date following the reporting reference date on which it exceeded the threshold.
Article 16
Reporting on the liquidity coverage requirement on an individual and a consolidated basis
1. In order to report information on the liquidity coverage requirement in accordance with Article 430(1), point (d), of Regulation (EU) No 575/2013 on an individual and a consolidated basis, institutions shall submit the information specified in Annex XXIV to this Regulation, in accordance with the instructions in Annex XXV to this Regulation, with a monthly frequency;
2. The information set out in Annex XXIV 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 17
Reporting on stable funding on an individual and a consolidated basis
In order to report information on stable funding in accordance with Article 430(1), point (d), of Regulation (EU) No 575/2013 on an individual and a consolidated basis, institutions shall submit the information specified in Annex XII, in accordance with the instructions in Annex XIII, with a quarterly frequency as follows:
|
(a) |
small and non-complex institutions that have chosen to calculate their net stable funding ratio (NSFR) using the methodology set out in Part Six, Title IV, Chapters 6 and 7 of Regulation (EU) No 575/2013, with the prior permission of their competent authority in accordance with Article 428ai of that Regulation, shall submit templates 82 and 83 of Annex XII to this Regulation, in accordance with the instructions in Annex XIII to this Regulation; |
|
(b) |
institutions other than those referred to in point (a) shall submit templates 80 and 81 of Annex XII, in accordance with the instructions in Annex XIII; |
|
(c) |
all institutions shall submit template 84 of Annex XII, in accordance with the instructions in Annex XIII. |
Article 18
Reporting on additional liquidity monitoring metrics on an individual and a consolidated basis
1. In order to report information on additional liquidity monitoring metrics in accordance with Article 430(1), point (d), of Regulation (EU) No 575/2013 on an individual and a consolidated basis, institutions shall submit all of the following information with a monthly frequency:
|
(a) |
the information specified in Annex XVIII in accordance with the instructions in Annex XIX; |
|
(b) |
the information specified in Annex XX in accordance with the instructions in Annex XXI; |
|
(c) |
the information specified in Annex XXII in accordance with the instructions in Annex XXIII. |
2. By way of derogation from paragraph 1, an institution that meets all the conditions set out in Article 4(1), point (145), of Regulation (EU) No 575/2013 may report the information on additional liquidity monitoring metrics with a quarterly frequency.
Article 19
Reporting on asset encumbrance on an individual and a consolidated basis
1. In order to report information on asset encumbrance in accordance with Article 430(1), point (g), of Regulation (EU) No 575/2013 on an individual and a consolidated basis, institutions shall submit the information specified in Annex XVI to this Regulation, in accordance with the instructions set out in Annex XVII to this Regulation.
2. The information referred to in paragraph 1 shall be submitted as follows:
|
(a) |
the information specified in Annex XVI, Parts A, B and D, with a quarterly frequency; |
|
(b) |
the information specified in Annex XVI, Part C, with an annual frequency; |
|
(c) |
the information specified in Annex XVI, Part E, with a semi-annual frequency. |
3. Institutions shall not be required to report the information specified in Annex XVI, Parts B, C and E, where both of the following conditions are met:
|
(a) |
the institution is not considered a large institution; |
|
(b) |
the asset encumbrance level of the institution, as calculated in accordance with Annex XVII, point 1.6, sub-point 9, is below 15 %. |
The entry and exit criteria of Article 4(3) shall apply.
4. Institutions shall report the information specified in Annex XVI, Part D, only where they issue bonds referred to in Article 52(4), the first subparagraph, of Directive 2009/65/EC of the European Parliament and of the Council (11).
The entry and exit criteria of Article 4(3) shall apply.
Article 20
Supplementary reporting on a consolidated basis for the purposes of identifying G-SIIs and assigning G-SII buffer rates
1. In order to report supplementary information for the purposes of identifying G-SIIs and assigning G-SII buffer rates under Article 131 of Directive 2013/36/EU, EU parent institutions, EU parent financial holdings and EU parent mixed financial holdings shall submit the information as specified in Annex XXVI, in accordance with the instructions in Annex XXVII, on a consolidated basis with a quarterly frequency.
2. EU parent institutions, EU parent financial holdings and EU parent mixed financial holdings shall only submit the information referred to in paragraph 1, where both of the following conditions are met:
|
(a) |
the total exposure measure of the group, including insurance subsidiaries, is equal to or exceeds EUR 125 000 million; |
|
(b) |
the EU parent or any of its subsidiaries or any branch operated by the parent or by a subsidiary is located in a participating Member State as referred to in Article 4 of Regulation (EU) No 806/2014 of the European Parliament and of the Council (12). |
3. By way of derogation from Article 3(1), point (b), the information referred to in paragraph 1 of this Article shall be submitted by close of business on the following remittance dates: 1 July, 1 October, 2 January and 1 April.
4. By way of derogation from Article 4, the following shall apply with regard to the threshold specified in paragraph 2, point (a), of this Article:
|
(a) |
the EU parent institution, EU parent financial holding or EU parent mixed financial holding shall immediately start reporting the information in accordance with this Article where its leverage ratio exposure measure exceeds the specified threshold as of the end of the accounting year, and shall report this information at least for the end of that accounting year and the subsequent three quarterly reference dates; |
|
(b) |
the EU parent institution, EU parent financial holding or EU parent mixed financial holding shall immediately stop reporting the information in accordance with this Article where its leverage ratio exposure measure falls below the specified threshold as of the end of their accounting year. |
Article 21
Data exchange formats and information accompanying submissions
1. Institutions shall submit the information in the data exchange formats and representations specified by the competent authorities and respecting the data point definition of the data point model referred to in Annex XIV and the validation formulae referred to 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) |
numerical values shall be submitted as follows:
|
|
(c) |
institutions and insurance undertakings shall be identified solely by their Legal Entity Identifier (LEI); |
|
(d) |
legal entities and counterparties other than institutions and insurance undertakings shall be identified by their LEI where available. |
2. Institutions shall accompany the submitted data by the following information:
|
(a) |
reporting reference date and reference period; |
|
(b) |
reporting currency; |
|
(c) |
accounting standard; |
|
(d) |
Legal Entity Identifier (LEI) of the reporting institution; |
|
(e) |
scope of consolidation. |
Article 22
Repeal of Implementing Regulation (EU) No 680/2014
Implementing Regulation (EU) No 680/2014 is repealed.
References to the repealed Regulation shall be construed as references to this Regulation.
Article 23
Entry into force and application
This Regulation shall enter into force on the day following that of its publication in the Official Journal of the European Union.
It shall apply from 28 June 2021.
Notwithstanding the second paragraph of this Article, reporting on leverage ratio buffer requirement for institutions identified as G-SIIs provided for in template 47 of Annex X shall apply from 1 January 2023.
Articles 9 and 10 shall cease to apply on 26 June 2026.
This Regulation shall be binding in its entirety and directly applicable in all Member States.
Done at Brussels, 17 December 2020.
For the Commission
The President
Ursula VON DER LEYEN
(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) Commission Implementing Regulation (EU) No 680/2014 laying down implementing technical standards with regard to supervisory reporting of institutions according to Regulation (EU) No 575/2013 (OJ L 191, 28.6.2014, p. 1).
(4) Regulation (EU) 2019/876 of the European Parliament and of the Council of 20 May 2019 amending Regulation (EU) No 575/2013 as regards the leverage ratio, the net stable funding ratio, requirements for own funds and eligible liabilities, counterparty credit risk, market risk, exposures to central counterparties, exposures to collective investment undertakings, large exposures, reporting and disclosure requirements, and Regulation (EU) No 648/2012 (OJ L 150, 7.6.2019, p. 1).
(5) Regulation (EU) 2019/630 of the European Parliament and of the Council of 17 April 2019 amending Regulation (EU) No 575/2013 as regards minimum loss coverage for non-performing exposures (OJ L 111, 25.4.2019, p. 4).
(6) Regulation (EU) 2019/2033 of the European Parliament and of the Council of 27 November 2019 on the prudential requirements of investment firms and amending Regulations (EU) No 1093/2010, (EU) No 575/2013, (EU) No 600/2014 and (EU) No 806/2014 (OJ L 314, 5.12.2019, p. 1).
(7) Regulation (EU) 2020/873 of the European Parliament and of the Council of 24 June 2020 amending Regulations (EU) No 575/2013 and (EU) 2019/876 as regards certain adjustments in response to the COVID-19 pandemic (OJ L 204, 26.6.2020, p. 4).
(8) 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).
(9) Commission Delegated Regulation (EU) 2016/101 of 26 October 2015 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards for prudent valuation under Article 105(14) (OJ L 21, 28.1.2016, p. 54).
(10) 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).
(11) Directive 2009/65/EC of the European Parliament and of the Council of 13 July 2009 on the coordination of laws, regulations and administrative provisions relating to undertakings for collective investment in transferable securities (UCITS) (OJ L 302, 17.11.2009, p. 32).
(12) Regulation (EU) No 806/2014 of the European Parliament and of the Council of 15 July 2014 establishing uniform rules and a uniform procedure for the resolution of credit institutions and certain investment firms in the framework of a Single Resolution Mechanism and a Single Resolution Fund and amending Regulation (EU) No 1093/2010 (OJ L 225, 30.7.2014, p. 1).
ANNEX I
REPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS
|
COREP TEMPLATES |
|||
|
Template number |
Template code |
Name of the template /group of templates |
Short name |
|
|
|
CAPITAL ADEQUACY |
CA |
|
1 |
C 01.00 |
OWN FUNDS |
CA1 |
|
2 |
C 02.00 |
OWN FUNDS REQUIREMENTS |
CA2 |
|
3 |
C 03.00 |
CAPITAL RATIOS |
CA3 |
|
4 |
C 04.00 |
MEMORANDUM ITEMS |
CA4 |
|
|
|
TRANSITIONAL PROVISIONS |
CA5 |
|
5.1 |
C 05.01 |
TRANSITIONAL PROVISIONS |
CA5.1 |
|
5.2 |
C 05.02 |
GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUING STATE AID |
CA5.2 |
|
|
|
GROUP SOLVENCY |
GS |
|
6.1 |
C 06.01 |
GROUP SOLVENCY: INFORMATION ON AFFILIATES - TOTAL |
GS Total |
|
6.2 |
C 06.02 |
GROUP SOLVENCY: INFORMATION ON AFFILIATES |
GS |
|
|
|
CREDIT RISK |
CR |
|
7 |
C 07.00 |
CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: STANDARDISED APPROACH TO CAPITAL REQUIREMENTS |
CR SA |
|
|
|
CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS |
CR IRB |
|
8.1 |
C 08.01 |
CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS |
CR IRB 1 |
|
8.2 |
C 08.02 |
CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS (Breakdown by obligor grades or pools) |
CR IRB 2 |
|
8.3 |
C 08.03 |
CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BREAKDOWN BY PD RANGES |
CR IRB 3 |
|
8.4 |
C 08.04 |
CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: RWEA FLOW STATEMENTS |
CR IRB 4 |
|
8.5 |
C 08.05 |
CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BACK-TESTING OF PD |
CR IRB 5 |
|
8.5.1 |
C 08.05.1 |
CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BACK-TESTING OF PD ACCORDING TO POINT (f) OF ARTICLE 180(1) (CR IRB 5) |
|
|
8.6 |
C 08.06 |
CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: SPECIALISED LENDING SLOTTING APPROACH |
CR IRB 6 |
|
8.7 |
C 08.07 |
CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: SCOPE OF USE OF IRB AND SA APPROACHES |
CR IRB 7 |
|
|
|
GEOGRAPHICAL BREAKDOWN |
CR GB |
|
9.1 |
C 09.01 |
Table 9.1 - Geographical breakdown of exposures by residence of the obligor (SA exposures) |
CR GB 1 |
|
9.2 |
C 09.02 |
Table 9.2 - Geographical breakdown of exposures by residence of the obligor (IRB exposures) |
CR GB 2 |
|
9.4 |
C 09.04 |
Table 9.4 - Breakdown of credit exposures relevant for the calculation of the countercyclical buffer by country and institution-specific countercyclical buffer rate |
CCB |
|
|
|
CREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS |
CR EQU IRB |
|
10.1 |
C 10.01 |
CREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS |
CR EQU IRB 1 |
|
10.2 |
C 10.02 |
CREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS. BREAKDOWN OF TOTAL EXPOSURES UNDER THE PD/LGD APRROACH BY OBLIGOR GRADES: |
CR EQU IRB 2 |
|
11 |
C 11.00 |
SETTLEMENT/DELIVERY RISK |
CR SETT |
|
13.1 |
C 13.01 |
CREDIT RISK: SECURITISATIONS |
CR SEC |
|
14 |
C 14.00 |
DETAILED INFORMATION ON SECURITISATIONS |
CR SEC Details |
|
14.1 |
C 14.01 |
DETAILED INFORMATION ON SECURITISATIONS BY APPROACH |
CR SEC Details 2 |
|
|
|
COUNTERPARTY CREDIT RISK |
CCR |
|
34.01 |
C 34.01 |
COUNTERPARTY CREDIT RISK: SIZE OF THE DERIVATIVE BUSINESS |
CCR 1 |
|
34.02 |
C 34.02 |
COUNTERPARTY CREDIT RISK: CCR EXPOSURES BY APPROACH |
CCR 2 |
|
34.03 |
C 34.03 |
COUNTERPARTY CREDIT RISK: CCR EXPOSURES TREATED WITH STANDARDISED APPROACHES: SA-CCR or SIMPLIFIED SA-CCR |
CCR 3 |
|
34.04 |
C 34.04 |
COUNTERPARTY CREDIT RISK: CCR EXPOSURES TREATED WITH THE THE ORIGINAL EXPOSURE METHOD (OEM) |
CCR 4 |
|
34.05 |
C 34.05 |
COUNTERPARTY CREDIT RISK: CCR EXPOSURES TREATED WITH THE INTERNAL MODEL METHOD (IMM) |
CCR 5 |
|
34.06 |
C 34.06 |
COUNTERPARTY CREDIT RISK: TOP TWENTY COUNTERPARTIES |
CCR 6 |
|
34.07 |
C 34.07 |
COUNTERPARTY CREDIT RISK: IRB APPROACH – CCR EXPOSURES BY EXPOSURE CLASS AND PD SCALE |
CCR 7 |
|
34.08 |
C 34.08 |
COUNTERPARTY CREDIT RISK: COMPOSITION OF COLLATERAL FOR CCR EXPOSURES |
CCR 8 |
|
34.09 |
C 34.09 |
COUNTERPARTY CREDIT RISK: CREDIT DERIVATIVES EXPOSURES |
CCR 9 |
|
34.10 |
C 34.10 |
COUNTERPARTY CREDIT RISK: EXPOSURES TO CCPs |
CCR 10 |
|
34.11 |
C 34.11 |
COUNTERPARTY CREDIT RISK: RWEA FLOW STATEMENTS OF CCR EXPOSURES UNDER THE IMM |
CCR 11 |
|
|
|
OPERATIONAL RISK |
OPR |
|
16 |
C 16.00 |
OPERATIONAL RISK |
OPR |
|
|
|
OPERATIONAL RISK: LOSSES AND RECOVERIES |
|
|
17.1 |
C 17.01 |
OPERATIONAL RISK: LOSSES AND RECOVERIES BY BUSINESS LINES AND EVENT TYPES IN THE LAST YEAR |
OPR DETAILS 1 |
|
17.2 |
C 17.02 |
OPERATIONAL RISK: LARGE LOSS EVENTS |
OPR DETAILS 2 |
|
|
|
MARKET RISK |
MKR |
|
18 |
C 18.00 |
MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS |
MKR SA TDI |
|
19 |
C 19.00 |
MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS |
MKR SA SEC |
|
20 |
C 20.00 |
MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN THE CORRELATION TRADING PORTFOLIO |
MKR SA CTP |
|
21 |
C 21.00 |
MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES |
MKR SA EQU |
|
22 |
C 22.00 |
MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK |
MKR SA FX |
|
23 |
C 23.00 |
MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES |
MKR SA COM |
|
24 |
C 24.00 |
MARKET RISK INTERNAL MODELS |
MKR IM |
|
25 |
C 25.00 |
CREDIT VALUE ADJUSTMENT RISK |
CVA |
|
|
|
PRUDENT VALUATION |
MKR |
|
32.1 |
C 32.01 |
PRUDENT VALUATION: FAIR-VALUED ASSETS AND LIABILITIES |
PRUVAL 1 |
|
32.2 |
C 32.02 |
PRUDENT VALUATION: CORE APPROACH |
PRUVAL 2 |
|
32.3 |
C 32.03 |
PRUDENT VALUATION: MODEL RISK AVA |
PRUVAL 3 |
|
32.4 |
C 32.04 |
PRUDENT VALUATION: CONCENTRATED POSITIONS AVA |
PRUVAL 4 |
|
|
|
GENERAL GOVERNMENTS EXPOSURES |
MKR |
|
33 |
C 33.00 |
GENERAL GOVERNMENTS EXPOSURES BY COUNTRY OF THE COUNTERPARTY |
GOV |
|
|
|
NPE LOSS COVERAGE |
NPE LC |
|
35.1 |
C 35.01 |
NPE LOSS COVERAGE: THE CALCULATION OF DEDUCTIONS FOR NON-PERFORMING EXPOSURES |
NPE LC1 |
|
35.2 |
C 35.02 |
NPE LOSS COVERAGE: MINIMUM COVERAGE REQUIREMENTS AND EXPOSURE VALUES OF NON-PERFORMING EXPOSURES EXCLUDING FORBORNE EXPOSURES THAT FALL UNDER ARTICLE 47C (6) OF THE CRR |
NPE LC2 |
|
35.3 |
C 35.03 |
NPE LOSS COVERAGE: MINIMUM COVERAGE REQUIREMENTS AND EXPOSURE VALUES OF NON-PERFORMING FORBORNE EXPOSURES THAT FALL UNDER ARTICLE 47C (6) OF THE CRR |
NPE LC3 |
C 01.00 - OWN FUNDS (CA1)
|
Rows |
ID |
Item |
Amount |
|
0010 |
1 |
OWN FUNDS |
|
|
0015 |
1.1 |
TIER 1 CAPITAL |
|
|
0020 |
1.1.1 |
COMMON EQUITY TIER 1 CAPITAL |
|
|
0030 |
1.1.1.1 |
Capital instruments eligible as CET1 Capital |
|
|
0040 |
1.1.1.1.1 |
Fully paid up capital instruments |
|
|
0045 |
1.1.1.1.1* |
Of which: Capital instruments subscribed by public authorities in emergency situations |
|
|
0050 |
1.1.1.1.2* |
Memorandum item: Capital instruments not eligible |
|
|
0060 |
1.1.1.1.3 |
Share premium |
|
|
0070 |
1.1.1.1.4 |
(-) Own CET1 instruments |
|
|
0080 |
1.1.1.1.4.1 |
(-) Direct holdings of CET1 instruments |
|
|
0090 |
1.1.1.1.4.2 |
(-) Indirect holdings of CET1 instruments |
|
|
0091 |
1.1.1.1.4.3 |
(-) Synthetic holdings of CET1 instruments |
|
|
0092 |
1.1.1.1.5 |
(-) Actual or contingent obligations to purchase own CET1 instruments |
|
|
0130 |
1.1.1.2 |
Retained earnings |
|
|
0140 |
1.1.1.2.1 |
Previous years retained earnings |
|
|
0150 |
1.1.1.2.2 |
Profit or loss eligible |
|
|
0160 |
1.1.1.2.2.1 |
Profit or loss attributable to owners of the parent |
|
|
0170 |
1.1.1.2.2.2 |
(-) Part of interim or year-end profit not eligible |
|
|
0180 |
1.1.1.3 |
Accumulated other comprehensive income |
|
|
0200 |
1.1.1.4 |
Other reserves |
|
|
0210 |
1.1.1.5 |
Funds for general banking risk |
|
|
0220 |
1.1.1.6 |
Transitional adjustments due to grandfathered CET1 Capital instruments |
|
|
0230 |
1.1.1.7 |
Minority interest given recognition in CET1 capital |
|
|
0240 |
1.1.1.8 |
Transitional adjustments due to additional minority interests |
|
|
0250 |
1.1.1.9 |
Adjustments to CET1 due to prudential filters |
|
|
0260 |
1.1.1.9.1 |
(-) Increases in equity resulting from securitised assets |
|
|
0270 |
1.1.1.9.2 |
Cash flow hedge reserve |
|
|
0280 |
1.1.1.9.3 |
Cumulative gains and losses due to changes in own credit risk on fair valued liabilities |
|
|
0285 |
1.1.1.9.4 |
Fair value gains and losses arising from the institution's own credit risk related to derivative liabilities |
|
|
0290 |
1.1.1.9.5 |
(-) Value adjustments due to the requirements for prudent valuation |
|
|
0300 |
1.1.1.10 |
(-) Goodwill |
|
|
0310 |
1.1.1.10.1 |
(-) Goodwill accounted for as intangible asset |
|
|
0320 |
1.1.1.10.2 |
(-) Goodwill included in the valuation of significant investments |
|
|
0330 |
1.1.1.10.3 |
Deferred tax liabilities associated to goodwill |
|
|
0335 |
1.1.1.10.4 |
Accounting revaluation of subsidiaries' goodwill derived from the consolidation of subsidiaries attributable to third persons |
|
|
0340 |
1.1.1.11 |
(-) Other intangible assets |
|
|
0350 |
1.1.1.11.1 |
(-) Other intangible assets before deduction of deferred tax liabilities |
|
|
0360 |
1.1.1.11.2 |
Deferred tax liabilities associated to other intangible assets |
|
|
0365 |
1.1.1.11.3 |
Accounting revaluation of subsidiaries' other intangible assets derived from the consolidation of subsidiaries attributable to third persons |
|
|
0370 |
1.1.1.12 |
(-) Deferred tax assets that rely on future profitability and do not arise from temporary differences net of associated tax liabilities |
|
|
0380 |
1.1.1.13 |
(-) IRB shortfall of credit risk adjustments to expected losses |
|
|
0390 |
1.1.1.14 |
(-) Defined benefit pension fund assets |
|
|
0400 |
1.1.1.14.1 |
(-) Defined benefit pension fund assets |
|
|
0410 |
1.1.1.14.2 |
Deferred tax liabilities associated to defined benefit pension fund assets |
|
|
0420 |
1.1.1.14.3 |
Defined benefit pension fund assets which the institution has an unrestricted ability to use |
|
|
0430 |
1.1.1.15 |
(-) Reciprocal cross holdings in CET1 Capital |
|
|
0440 |
1.1.1.16 |
(-) Excess of deduction from AT1 items over AT1 Capital |
|
|
0450 |
1.1.1.17 |
(-) Qualifying holdings outside the financial sector which can alternatively be subject to a 1 250 % risk weight |
|
|
0460 |
1.1.1.18 |
(-) Securitisation positions which can alternatively be subject to a 1 250 % risk weight |
|
|
0470 |
1.1.1.19 |
(-) Free deliveries which can alternatively be subject to a 1 250 % risk weight |
|
|
0471 |
1.1.1.20 |
(-) Positions in a basket for which an institution cannot determine the risk weight under the IRB approach, and can alternatively be subject to a 1 250 % risk weight |
|
|
0472 |
1.1.1.21 |
(-) Equity exposures under an internal models approach which can alternatively be subject to a 1 250 % risk weight |
|
|
0480 |
1.1.1.22 |
(-) CET1 instruments of financial sector entites where the institution does not have a significant investment |
|
|
0490 |
1.1.1.23 |
(-) Deductible deferred tax assets that rely on future profitability and arise from temporary differences |
|
|
0500 |
1.1.1.24 |
(-) CET1 instruments of financial sector entities where the institution has a significant investment |
|
|
0510 |
1.1.1.25 |
(-) Amount exceeding the 17.65 % threshold |
|
|
0511 |
1.1.1.25.1 |
(-) Amount exceeding the 17.65 % threshold related to CET1 instruments of financial sector entities where the institution has a significant investment |
|
|
0512 |
1.1.1.25.2 |
(-) Amount exceeding the 17.65 % threshold related to deferred tax assets arising from temporary differences |
|
|
0513 |
1.1.1.25A |
(-) Insufficient coverage for non-performing exposures |
|
|
0514 |
1.1.1.25B |
(-) Minimum value commitment shortfalls |
|
|
0515 |
1.1.1.25C |
(-) Other foreseeable tax charges |
|
|
0520 |
1.1.1.26 |
Other transitional adjustments to CET1 Capital |
|
|
0524 |
1.1.1.27 |
(-) Additional deductions of CET1 Capital due to Article 3 CRR |
|
|
0529 |
1.1.1.28 |
CET1 capital elements or deductions - other |
|
|
0530 |
1.1.2 |
ADDITIONAL TIER 1 CAPITAL |
|
|
0540 |
1.1.2.1 |
Capital instruments eligible as AT1 Capital |
|
|
0551 |
1.1.2.1.1 |
Fully paid up, directly issued capital instruments |
|
|
0560 |
1.1.2.1.2* |
Memorandum item: Capital instruments not eligible |
|
|
0571 |
1.1.2.1.3 |
Share premium |
|
|
0580 |
1.1.2.1.4 |
(-) Own AT1 instruments |
|
|
0590 |
1.1.2.1.4.1 |
(-) Direct holdings of AT1 instruments |
|
|
0620 |
1.1.2.1.4.2 |
(-) Indirect holdings of AT1 instruments |
|
|
0621 |
1.1.2.1.4.3 |
(-) Synthetic holdings of AT1 instruments |
|
|
0622 |
1.1.2.1.5 |
(-) Actual or contingent obligations to purchase own AT1 instruments |
|
|
0660 |
1.1.2.2 |
Transitional adjustments due to grandfathered AT1 Capital instruments |
|
|
0670 |
1.1.2.3 |
Instruments issued by subsidiaries that are given recognition in AT1 Capital |
|
|
0680 |
1.1.2.4 |
Transitional adjustments due to additional recognition in AT1 Capital of instruments issued by subsidiaries |
|
|
0690 |
1.1.2.5 |
(-) Reciprocal cross holdings in AT1 Capital |
|
|
0700 |
1.1.2.6 |
(-) AT1 instruments of financial sector entities where the institution does not have a significant investment |
|
|
0710 |
1.1.2.7 |
(-) AT1 instruments of financial sector entities where the institution has a significant investment |
|
|
0720 |
1.1.2.8 |
(-) Excess of deduction from T2 items over T2 Capital |
|
|
0730 |
1.1.2.9 |
Other transitional adjustments to AT1 Capital |
|
|
0740 |
1.1.2.10 |
Excess of deduction from AT1 items over AT1 Capital (deducted in CET1) |
|
|
0744 |
1.1.2.11 |
(-) Additional deductions of AT1 Capital due to Article 3 CRR |
|
|
0748 |
1.1.2.12 |
AT1 capital elements or deductions - other |
|
|
0750 |
1.2 |
TIER 2 CAPITAL |
|
|
0760 |
1.2.1 |
Capital instruments eligible as T2 Capital |
|
|
0771 |
1.2.1.1 |
Fully paid up, directly issued capital instruments |
|
|
0780 |
1.2.1.2* |
Memorandum item: Capital instruments not eligible |
|
|
0791 |
1.2.1.3 |
Share premium |
|
|
0800 |
1.2.1.4 |
(-) Own T2 instruments |
|
|
0810 |
1.2.1.4.1 |
(-) Direct holdings of T2 instruments |
|
|
0840 |
1.2.1.4.2 |
(-) Indirect holdings of T2 instruments |
|
|
0841 |
1.2.1.4.3 |
(-) Synthetic holdings of T2 instruments |
|
|
0842 |
1.2.1.5 |
(-) Actual or contingent obligations to purchase own T2 instruments |
|
|
0880 |
1.2.2 |
Transitional adjustments due to grandfathered T2 Capital instruments |
|
|
0890 |
1.2.3 |
Instruments issued by subsidiaries that are given recognition in T2 Capital |
|
|
0900 |
1.2.4 |
Transitional adjustments due to additional recognition in T2 Capital of instruments issued by subsidiaries |
|
|
0910 |
1.2.5 |
IRB Excess of provisions over expected losses eligible |
|
|
0920 |
1.2.6 |
SA General credit risk adjustments |
|
|
0930 |
1.2.7 |
(-) Reciprocal cross holdings in T2 Capital |
|
|
0940 |
1.2.8 |
(-) T2 instruments of financial sector entities where the institution does not have a significant investment |
|
|
0950 |
1.2.9 |
(-) T2 instruments of financial sector entities where the institution has a significant investment |
|
|
0955 |
1.2.9A |
(-) Excess of deductions from eligible liabilities over eligible liabilities |
|
|
0960 |
1.2.10 |
Other transitional adjustments to T2 Capital |
|
|
0970 |
1.2.11 |
Excess of deduction from T2 items over T2 Capital (deducted in AT1) |
|
|
0974 |
1.2.12 |
(-) Additional deductions of T2 Capital due to Article 3 CRR |
|
|
0978 |
1.2.13 |
T2 capital elements or deductions - other |
|
C 02.00 - OWN FUNDS REQUIREMENTS (CA2)
|
Rows |
Item |
Label |
Amount |
|
0010 |
1 |
TOTAL RISK EXPOSURE AMOUNT |
|
|
0020 |
1* |
Of which: Investment firms under Article 95 paragraph 2 and Article 98 CRR |
|
|
0030 |
1** |
Of which: Investment firms under Article 96 paragraph 2 and Article 97 CRR |
|
|
0040 |
1.1 |
RISK WEIGHTED EXPOSURE AMOUNTS FOR CREDIT, COUNTERPARTY CREDIT AND DILUTION RISKS AND FREE DELIVERIES |
|
|
0050 |
1.1.1 |
Standardised approach (SA) |
|
|
0051 |
1.1.1* |
Of which: Additional stricter prudential requirements based on Article 124 CRR |
|
|
0060 |
1.1.1.1 |
SA exposure classes excluding securitisation positions |
|
|
0070 |
1.1.1.1.01 |
Central governments or central banks |
|
|
0080 |
1.1.1.1.02 |
Regional governments or local authorities |
|
|
0090 |
1.1.1.1.03 |
Public sector entities |
|
|
0100 |
1.1.1.1.04 |
Multilateral Development Banks |
|
|
0110 |
1.1.1.1.05 |
International Organisations |
|
|
0120 |
1.1.1.1.06 |
Institutions |
|
|
0130 |
1.1.1.1.07 |
Corporates |
|
|
0140 |
1.1.1.1.08 |
Retail |
|
|
0150 |
1.1.1.1.09 |
Secured by mortgages on immovable property |
|
|
0160 |
1.1.1.1.10 |
Exposures in default |
|
|
0170 |
1.1.1.1.11 |
Items associated with particular high risk |
|
|
0180 |
1.1.1.1.12 |
Covered bonds |
|
|
0190 |
1.1.1.1.13 |
Claims on institutions and corporates with a short-term credit assessment |
|
|
0200 |
1.1.1.1.14 |
Collective investments undertakings (CIU) |
|
|
0210 |
1.1.1.1.15 |
Equity |
|
|
0211 |
1.1.1.1.16 |
Other items |
|
|
0240 |
1.1.2 |
Internal ratings based Approach (IRB) |
|
|
0241 |
1.1.2* |
Of which: Additional stricter prudential requirements based on Article 164 CRR |
|
|
0242 |
1.1.2** |
Of which: Additional stricter prudential requirements based on Article 124 CRR |
|
|
0250 |
1.1.2.1 |
IRB approaches when neither own estimates of LGD nor Conversion Factors are used |
|
|
0260 |
1.1.2.1.01 |
Central governments and central banks |
|
|
0270 |
1.1.2.1.02 |
Institutions |
|
|
0280 |
1.1.2.1.03 |
Corporates - SME |
|
|
0290 |
1.1.2.1.04 |
Corporates - Specialised Lending |
|
|
0300 |
1.1.2.1.05 |
Corporates - Other |
|
|
0310 |
1.1.2.2 |
IRB approaches when own estimates of LGD and/or Conversion Factors are used |
|
|
0320 |
1.1.2.2.01 |
Central governments and central banks |
|
|
0330 |
1.1.2.2.02 |
Institutions |
|
|
0340 |
1.1.2.2.03 |
Corporates - SME |
|
|
0350 |
1.1.2.2.04 |
Corporates - Specialised Lending |
|
|
0360 |
1.1.2.2.05 |
Corporates - Other |
|
|
0370 |
1.1.2.2.06 |
Retail - Secured by real estate SME |
|
|
0380 |
1.1.2.2.07 |
Retail - Secured by real estate non-SME |
|
|
0390 |
1.1.2.2.08 |
Retail - Qualifying revolving |
|
|
0400 |
1.1.2.2.09 |
Retail - Other SME |
|
|
0410 |
1.1.2.2.10 |
Retail - Other non-SME |
|
|
0420 |
1.1.2.3 |
Equity IRB |
|
|
0450 |
1.1.2.5 |
Other non credit-obligation assets |
|
|
0460 |
1.1.3 |
Risk exposure amount for contributions to the default fund of a CCP |
|
|
0470 |
1.1.4 |
Securitisation positions |
|
|
0490 |
1.2 |
TOTAL RISK EXPOSURE AMOUNT FOR SETTLEMENT/DELIVERY |
|
|
0500 |
1.2.1 |
Settlement/delivery risk in the non-Trading book |
|
|
0510 |
1.2.2 |
Settlement/delivery risk in the Trading book |
|
|
0520 |
1.3 |
TOTAL RISK EXPOSURE AMOUNT FOR POSITION, FOREIGN EXCHANGE AND COMMODITIES RISKS |
|
|
0530 |
1.3.1 |
Risk exposure amount for position, foreign exchange and commodities risks under standardised approaches (SA) |
|
|
0540 |
1.3.1.1 |
Traded debt instruments |
|
|
0550 |
1.3.1.2 |
Equity |
|
|
0555 |
1.3.1.3 |
Particular approach for position risk in CIUs |
|
|
0556 |
1.3.1.3* |
Memo item: CIUs exclusively invested in traded debt instruments |
|
|
0557 |
1.3.1.3** |
Memo item: CIUs invested exclusively in equity instruments or in mixed instruments |
|
|
0560 |
1.3.1.4 |
Foreign Exchange |
|
|
0570 |
1.3.1.5 |
Commodities |
|
|
0580 |
1.3.2 |
Risk exposure amount for Position, foreign exchange and commodities risks under internal models (IM) |
|
|
0590 |
1.4 |
TOTAL RISK EXPOSURE AMOUNT FOR OPERATIONAL RISK (OpR ) |
|
|
0600 |
1.4.1 |
OpR Basic indicator approach (BIA) |
|
|
0610 |
1.4.2 |
OpR Standardised (STA) / Alternative Standardised (ASA) approaches |
|
|
0620 |
1.4.3 |
OpR Advanced measurement approaches (AMA) |
|
|
0630 |
1.5 |
ADDITIONAL RISK EXPOSURE AMOUNT DUE TO FIXED OVERHEADS |
|
|
0640 |
1.6 |
TOTAL RISK EXPOSURE AMOUNT FOR CREDIT VALUATION ADJUSTMENT |
|
|
0650 |
1.6.1 |
Advanced method |
|
|
0660 |
1.6.2 |
Standardised method |
|
|
0670 |
1.6.3 |
Based on OEM |
|
|
0680 |
1.7 |
TOTAL RISK EXPOSURE AMOUNT RELATED TO LARGE EXPOSURES IN THE TRADING BOOK |
|
|
0690 |
1.8 |
OTHER RISK EXPOSURE AMOUNTS |
|
|
0710 |
1.8.2 |
Of which: Additional stricter prudential requirements based on Article 458 CRR |
|
|
0720 |
1.8.2* |
Of which: requirements for large exposures |
|
|
0730 |
1.8.2** |
Of which: due to modified risk weights for targeting asset bubbles in the residential and commercial property |
|
|
0740 |
1.8.2*** |
Of which: due to intra financial sector exposures |
|
|
0750 |
1.8.3 |
Of which: Additional stricter prudential requirements based on Article 459 CRR |
|
|
0760 |
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 |
|
0010 |
1 |
CET1 Capital ratio |
|
|
0020 |
2 |
Surplus(+)/Deficit(-) of CET1 capital |
|
|
0030 |
3 |
T1 Capital ratio |
|
|
0040 |
4 |
Surplus(+)/Deficit(-) of T1 capital |
|
|
0050 |
5 |
Total capital ratio |
|
|
0060 |
6 |
Surplus(+)/Deficit(-) of total capital |
|
|
Memorandum Items: Total SREP Capital Requirement (TSCR), Overall Capital Requirement (OCR) and Pillar 2 Guidance (P2G) |
|||
|
0130 |
13 |
Total SREP capital requirement (TSCR) ratio |
|
|
0140 |
13* |
TSCR: to be made up of CET1 capital |
|
|
0150 |
13** |
TSCR: to be made up of Tier 1 capital |
|
|
0160 |
14 |
Overall capital requirement (OCR) ratio |
|
|
0170 |
14* |
OCR: to be made up of CET1 capital |
|
|
0180 |
14** |
OCR: to be made up of Tier 1 capital |
|
|
0190 |
15 |
OCR and Pillar 2 Guidance (P2G) |
|
|
0200 |
15* |
OCR and P2G: to be made up of CET1 capital |
|
|
0210 |
15** |
OCR and P2G: to be made up of Tier 1 capital |
|
|
0220 |
16 |
Surplus(+)/Deficit(-) of CET1 capital considering the requirements of Article 92 CRR and 104a CRD |
|
|
Memorandum Items: Capital ratios without application of the transitional provisions on IFRS 9 |
|||
|
0300 |
20 |
CET1 Capital ratio without application of the transitional provisions on IFRS 9 |
|
|
0310 |
21 |
T1 Capital ratio without application of the transitional provisions on IFRS 9 |
|
|
0320 |
22 |
Total capital ratio without application of the transitional provisions on IFRS 9 |
|
C 04.00 - MEMORANDUM ITEMS (CA4)
|
Row |
ID |
Item |
Column |
|
Deferred tax assest and liabilities |
0010 |
||
|
0010 |
1 |
Total deferred tax assets |
|
|
0020 |
1.1 |
Deferred tax assets that do not rely on future profitability |
|
|
0030 |
1.2 |
Deferred tax assets that rely on future profitability and do not arise from temporary differences |
|
|
0040 |
1.3 |
Deferred tax assets that rely on future profitability and arise from temporary differences |
|
|
0050 |
2 |
Total deferred tax liabilities |
|
|
0060 |
2.1 |
Deferred tax liabilities non deductible from deferred tax assets that rely on future profitability |
|
|
0070 |
2.2 |
Deferred tax liabilities deductible from deferred tax assets that rely on future profitability |
|
|
0080 |
2.2.1 |
Deductible deferred tax liabilities associated with deferred tax assets that rely on future profitability and do not arise from temporary differences |
|
|
0090 |
2.2.2 |
Deductible deferred tax liabilities associated with deferred tax assets that rely on future profitability and arise from temporary differences |
|
|
0093 |
2A |
Tax overpayments and tax loss carry backs |
|
|
0096 |
2B |
Deferred Tax Assets subject to a risk weight of 250% |
|
|
0097 |
2C |
Deferred Tax Assets subject to a risk weight of 0% |
|
|
Exception from deductions from CET1 |
|||
|
0901 |
2W |
Exception from deduction of intangible assets from CET1 |
|
|
Accounting classification of AT1 instruments |
|||
|
0905 |
2Y |
Capital instruments and the related share premium accounts classified as equity under applicable accounting standards |
|
|
0906 |
2Z |
Capital instruments and the related share premium accounts classified as liabilities under applicable accounting standards |
|
|
Credit risk adjustments and expected losses |
|||
|
0100 |
3 |
IRB excess (+) or shortfall (-) of credit risk adjustments, additional value adjustments and other own funds reductions to expected losses for non defaulted exposures |
|
|
0110 |
3.1 |
Total credit risk adjustments, additional value adjustments and other own funds reductions eligible for inclusion in the calculation of the expected loss amount |
|
|
0120 |
3.1.1 |
General credit risk adjustments |
|
|
0130 |
3.1.2 |
Specific credit risk adjustments |
|
|
0131 |
3.1.3 |
Additional value adjustments and other own funds reductions |
|
|
0140 |
3.2 |
Total expected losses eligible |
|
|
0145 |
4 |
IRB excess (+) or shortfall (-) of specific credit risk adjustments to expected losses for defaulted exposures |
|
|
0150 |
4.1 |
Specific credit risk adjustments and positions treated similarily |
|
|
0155 |
4.2 |
Total expected losses eligible |
|
|
0160 |
5 |
Risk weighted exposure amounts for calculating the cap to the excess of provision eligible as T2 |
|
|
0170 |
6 |
Total gross provisions eligible for inclusion in T2 capital |
|
|
0180 |
7 |
Risk weighted exposure amounts for calculating the cap to the provision eligible as T2 |
|
|
Thresholds for Common Equity Tier 1 deductions |
|||
|
0190 |
8 |
Threshold non deductible of holdings in financial sector entities where an institution does not have a significant investment |
|
|
0200 |
9 |
10% CET1 threshold |
|
|
0210 |
10 |
17.65% CET1 threshold |
|
|
0225 |
11 |
Eligible capital for the purposes of qualifying holdings outside the financial sector |
|
|
Investments in the capital of financial sector entities where the institution does not have a significant investment |
|||
|
0230 |
12 |
Holdings of CET1 capital of financial sector entities where the institution does not have a significant investment, net of short positions |
|
|
0240 |
12.1 |
Direct holdings of CET1 capital of financial sector entities where the institution does not have a significant investment |
|
|
0250 |
12.1.1 |
Gross direct holdings of CET1 capital of financial sector entities where the institution does not have a significant investment |
|
|
0260 |
12.1.2 |
(-) Permitted offsetting short positions in relation to the direct gross holdings included above |
|
|
0270 |
12.2 |
Indirect holdings of CET1 capital of financial sector entities where the institution does not have a significant investment |
|
|
0280 |
12.2.1 |
Gross indirect holdings of CET1 capital of financial sector entities where the institution does not have a significant investment |
|
|
0290 |
12.2.2 |
(-) Permitted offsetting short positions in relation to the indirect gross holdings included above |
|
|
0291 |
12.3 |
Synthetic holdings of CET1 capital of financial sector entities where the institution does not have a significant investment |
|
|
0292 |
12.3.1 |
Gross synthetic holdings of CET1 capital of financial sector entities where the institution does not have a significant investment |
|
|
0293 |
12.3.2 |
(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above |
|
|
0300 |
13 |
Holdings of AT1 capital of financial sector entities where the institution does not have a significant investment, net of short positions |
|
|
0310 |
13.1 |
Direct holdings of AT1 capital of financial sector entities where the institution does not have a significant investment |
|
|
0320 |
13.1.1 |
Gross direct holdings of AT1 capital of financial sector entities where the institution does not have a significant investment |
|
|
0330 |
13.1.2 |
(-) Permitted offsetting short positions in relation to the direct gross holdings included above |
|
|
0340 |
13.2 |
Indirect holdings of AT1 capital of financial sector entities where the institution does not have a significant investment |
|
|
0350 |
13.2.1 |
Gross indirect holdings of AT1 capital of financial sector entities where the institution does not have a significant investment |
|
|
0360 |
13.2.2 |
(-) Permitted offsetting short positions in relation to the indirect gross holdings included above |
|
|
0361 |
13.3 |
Synthetic holdings of AT1 capital of financial sector entities where the institution does not have a significant investment |
|
|
0362 |
13.3.1 |
Gross synthetic holdings of AT1 capital of financial sector entities where the institution does not have a significant investment |
|
|
0363 |
13.3.2 |
(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above |
|
|
0370 |
14 |
Holdings of T2 capital of financial sector entities where the institution does not have a significant investment, net of short positions |
|
|
0380 |
14.1 |
Direct holdings of T2 capital of financial sector entities where the institution does not have a significant investment |
|
|
0390 |
14.1.1 |
Gross direct holdings of T2 capital of financial sector entities where the institution does not have a significant investment |
|
|
0400 |
14.1.2 |
(-) Permitted offsetting short positions in relation to the direct gross holdings included above |
|
|
0410 |
14.2 |
Indirect holdings of T2 capital of financial sector entities where the institution does not have a significant investment |
|
|
0420 |
14.2.1 |
Gross indirect holdings of T2 capital of financial sector entities where the institution does not have a significant investment |
|
|
0430 |
14.2.2 |
(-) Permitted offsetting short positions in relation to the indirect gross holdings included above |
|
|
0431 |
14.3 |
Synthetic holdings of T2 capital of financial sector entities where the institution does not have a significant investment |
|
|
0432 |
14.3.1 |
Gross synthetic holdings of T2 capital of financial sector entities where the institution does not have a significant investment |
|
|
0433 |
14.3.2 |
(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above |
|
|
Investments in the capital of financial sector entities where the institution has a significant investment |
|||
|
0440 |
15 |
Holdings of CET1 capital of financial sector entities where the institution has a significant investment, net of short positions |
|
|
0450 |
15.1 |
Direct holdings of CET1 capital of financial sector entities where the institution has a significant investment |
|
|
0460 |
15.1.1 |
Gross direct holdings of CET1 capital of financial sector entities where the institution has a significant investment |
|
|
0470 |
15.1.2 |
(-) Permitted offsetting short positions in relation to the direct gross holdings included above |
|
|
0480 |
15.2 |
Indirect holdings of CET1 capital of financial sector entities where the institution has a significant investment |
|
|
0490 |
15.2.1 |
Gross indirect holdings of CET1 capital of financial sector entities where the institution has a significant investment |
|
|
0500 |
15.2.2 |
(-) Permitted offsetting short positions in relation to the indirect gross holdings included above |
|
|
0501 |
15.3 |
Synthetic holdings of CET1 capital of financial sector entities where the institution has a significant investment |
|
|
0502 |
15.3.1 |
Gross synthetic holdings of CET1 capital of financial sector entities where the institution has a significant investment |
|
|
0503 |
15.3.2 |
(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above |
|
|
0504 |
15A |
Investments in CET1 capital of financial sector entities where the institution has a significant investment - subject to a risk weight of 250% |
|
|
0510 |
16 |
Holdings of AT1 capital of financial sector entities where the institution has a significant investment, net of short positions |
|
|
0520 |
16.1 |
Direct holdings of AT1 capital of financial sector entities where the institution has a significant investment |
|
|
0530 |
16.1.1 |
Gross direct holdings of AT1 capital of financial sector entities where the institution has a significant investment |
|
|
0540 |
16.1.2 |
(-) Permitted offsetting short positions in relation to the direct gross holdings included above |
|
|
0550 |
16.2 |
Indirect holdings of AT1 capital of financial sector entities where the institution has a significant investment |
|
|
0560 |
16.2.1 |
Gross indirect holdings of AT1 capital of financial sector entities where the institution has a significant investment |
|
|
0570 |
16.2.2 |
(-) Permitted offsetting short positions in relation to the indirect gross holdings included above |
|
|
0571 |
16.3 |
Synthetic holdings of AT1 capital of financial sector entities where the institution has a significant investment |
|
|
0572 |
16.3.1 |
Gross synthetic holdings of AT1 capital of financial sector entities where the institution has a significant investment |
|
|
0573 |
16.3.2 |
(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above |
|
|
0580 |
17 |
Holdings of T2 capital of financial sector entities where the institution has a significant investment, net of short positions |
|
|
0590 |
17.1 |
Direct holdings of T2 capital of financial sector entities where the institution has a significant investment |
|
|
0600 |
17.1.1 |
Gross direct holdings of T2 capital of financial sector entities where the institution has a significant investment |
|
|
0610 |
17.1.2 |
(-) Permitted offsetting short positions in relation to the direct gross holdings included above |
|
|
0620 |
17.2 |
Indirect holdings of T2 capital of financial sector entities where the institution has a significant investment |
|
|
0630 |
17.2.1 |
Gross indirect holdings of T2 capital of financial sector entities where the institution has a significant investment |
|
|
0640 |
17.2.2 |
(-) Permitted offsetting short positions in relation to the indirect gross holdings included above |
|
|
0641 |
17.3 |
Synthetic holdings of T2 capital of financial sector entities where the institution has a significant investment |
|
|
0642 |
17.3.1 |
Gross synthetic holdings of T2 capital of financial sector entities where the institution has a significant investment |
|
|
0643 |
17.3.2 |
(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above |
|
|
Total risk exposure amounts of holdings not deducted from the corresponding capital category: |
|||
|
0650 |
18 |
Risk weighted exposures of CET1 holdings in financial sector entities which are not deducted from the institution's CET1 capital |
|
|
0660 |
19 |
Risk weighted exposures of AT1 holdings in financial sector entities which are not deducted from the institution's AT1 capital |
|
|
0670 |
20 |
Risk weighted exposures of T2 holdings in financial sector entities which are not deducted from the institution's T2 capital |
|
|
Temporary waiver from deduction from own funds |
|
||
|
0680 |
21 |
Holdings on CET1 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived |
|
|
0690 |
22 |
Holdings on CET1 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived |
|
|
0700 |
23 |
Holdings on AT1 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived |
|
|
0710 |
24 |
Holdings on AT1 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived |
|
|
0720 |
25 |
Holdings on T2 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived |
|
|
0730 |
26 |
Holdings on T2 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived |
|
|
Capital buffers |
|||
|
0740 |
27 |
Combined buffer requirement |
|
|
0750 |
|
Capital conservation buffer |
|
|
0760 |
|
Conservation buffer due to macro-prudential or systemic risk identified at the level of a Member State |
|
|
0770 |
|
Institution specific countercyclical capital buffer |
|
|
0780 |
|
Systemic risk buffer |
|
|
0800 |
|
Global Systemically Important Institution buffer |
|
|
0810 |
|
Other Systemically Important Institution buffer |
|
|
Pillar II requirements |
|||
|
0820 |
28 |
Own funds requirements related to Pillar II adjustments |
|
|
Additional information for investment firms |
|||
|
0830 |
29 |
Initial capital |
|
|
0840 |
30 |
Own funds based on Fixed Overheads |
|
|
Additional information for calculation of reporting thresholds |
|||
|
0850 |
31 |
Non-domestic original exposures |
|
|
0860 |
32 |
Total original exposures |
|
C 05.01 - TRANSITIONAL PROVISIONS (CA5.1)
|
|
Adjustments to CET1 |
Adjustments to AT1 |
Adjustments to T2 |
Adjustments included in RWAs |
Memorandum items |
|||
|
Applicable percentage |
Eligible amount without transitional provisions |
|||||||
|
Code |
ID |
Item |
0010 |
0020 |
0030 |
0040 |
0050 |
0060 |
|
0010 |
1 |
TOTAL ADJUSTMENTS |
|
|
|
|
|
|
|
0020 |
1.1 |
GRANDFATHERED INSTRUMENTS |
link to {CA1;r0220} |
link to {CA1;r0660} |
link to {CA1;r0880} |
|
|
|
|
0060 |
1.1.2 |
Instruments not constituting state aid |
|
|
|
|
|
|
|
0061 |
1.1.3 |
Instruments issued through special purpose vehicles |
|
|
|
|
|
|
|
0062 |
1.1.4 |
Instruments issued before 27 June 2019 that do not meet the eligibility criteria related to write-down and conversion powers pursuant to Article 59 BRRD or are subject to set-off or netting arrangements |
|
|
|
|
|
|
|
0063 |
1.1.4.1* |
of which: Instruments without legally or contractually mandatory write-down or conversion upon exercise of Article 59 BRRD powers |
|
|
|
|
|
|
|
0064 |
1.1.4.2* |
of which: Instruments governed by third-country law without effective and enforceable exercise of Article 59 BRRD powers |
|
|
|
|
|
|
|
0065 |
1.1.4.3* |
of which: Instruments subject to set-off or netting arrangements |
|
|
|
|
|
|
|
0070 |
1.2 |
MINORITY INTERESTS AND EQUIVALENTS |
link to {CA1;r0240} |
link to {CA1;r0680} |
link to {CA1;r0900} |
|
|
|
|
0080 |
1.2.1 |
Capital instruments and items that do not qualify as minority interests |
|
|
|
|
|
|
|
0090 |
1.2.2 |
Transitional recognition in consolidated own funds of minority interests |
|
|
|
|
|
|
|
0091 |
1.2.3 |
Transitional recognition in consolidated own funds of qualifying Additional Tier 1 capital |
|
|
|
|
|
|
|
0092 |
1.2.4 |
Transitional recognition in consolidated own funds of qualifying Tier 2 capital |
|
|
|
|
|
|
|
0100 |
1.3 |
OTHER TRANSITIONAL ADJUSTMENTS |
link to {CA1;r0520} |
link to {CA1;r0730} |
link to {CA1;r0960} |
|
|
|
|
0111 |
1.3.1.6 |
Unrealised gains and losses from certain debt exposures to central governments, regional governments, local authorities and PSEs |
|
|
|
|
|
|
|
0112 |
1.3.1.6.1 |
of which: amount A |
|
|
|
|
|
|
|
0140 |
1.3.2 |
Deductions |
|
|
|
|
|
|
|
0170 |
1.3.2.3 |
Deferred tax assets that rely on future profitability and do not arise from temporary differences |
|
|
|
|
|
|
|
0380 |
1.3.2.9 |
Deferred tax assets that are dependent on future profitability and arise from temporary differences and CET1 instruments of financial sector entities where the institution has a significant investment |
|
|
|
|
|
|
|
0385 |
1.3.2.9a |
Deferred tax assets that are dependent on future profitability and arise from temporary differences |
|
|
|
|
|
|
|
0425 |
1.3.2.11 |
Exemption from deduction of Equity Holdings in Insurance Companies from CET 1 Items |
|
|
|
|
|
|
|
0430 |
1.3.3 |
Additional filters and deductions |
|
|
|
|
|
|
|
0440 |
1.3.4 |
Adjustments due to IFRS 9 transitional arrangements |
|
|
|
|
|
|
|
0441 |
1.3.4.1 |
Memorandum item: ECL impact of the static component |
|
|
|
|
|
|
|
0442 |
1.3.4.2 |
Memorandum item: ECL impact of the dynamic component for the period 1.1.2018 – 31.12.2019 |
|
|
|
|
|
|
|
0443 |
1.3.4.3 |
Memorandum item: ECL impact of the dynamic component for the period starting on 1.1.2020 |
|
|
|
|
|
|
C 05.02 - GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUING STATE AID (CA5.2)
|
|
Amount of instruments plus related share premium |
Base for calculating the limit |
Applicable percentage |
Limit |
(-) Amount that exceeds the limits for grandfathering |
Total grandfathered amount |
||
|
Code |
ID |
Item |
0010 |
0020 |
0030 |
0040 |
0050 |
0060 |
|
0010 |
1. |
Instruments that qualified for point (a) of Article 57 of 2006/48/EC |
|
|
|
|
|
link to {CA5.1;r060;c010) |
|
0020 |
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 CRR |
|
|
|
|
|
link to {CA5.1;r060;c020) |
|
0030 |
2.1 |
Total instruments without a call or an incentive to redeem |
|
|
|
|
|
|
|
0040 |
2.2. |
Grandfathered instruments with a call and incentive to redeem |
|
|
|
|
|
|
|
0050 |
2.2.1 |
Instruments with a call exercisable after the reporting date, and which meet the conditions in Article 52 CRR after the date of effective maturity |
|
|
|
|
|
|
|
0060 |
2.2.2 |
Instruments with a call exercisable after the reporting date, and which do not meet the conditions in Article 52 CRR after the date of effective maturity |
|
|
|
|
|
|
|
0070 |
2.2.3 |
Instruments with a call exercisable prior to or on 20 July 2011, and which do not meet the conditions in Article 52 CRR after the date of effective maturity |
|
|
|
|
|
|
|
0080 |
2.3 |
Excess on the limit of CET1 grandfathered instruments |
|
|
|
|
|
|
|
0090 |
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 CRR |
|
|
|
|
|
link to {CA5.1;r060;c030) |
|
0100 |
3.1 |
Total items without an incentive to redeem |
|
|
|
|
|
|
|
0110 |
3.2 |
Grandfathered items with an incentive to redeem |
|
|
|
|
|
|
|
0120 |
3.2.1 |
Items with a call exercisable after the reporting date, and which meet the conditions in Article 63 CRR after the date of effective maturity |
|
|
|
|
|
|
|
0130 |
3.2.2 |
Items with a call exercisable after the reporting date, and which do not meet the conditions in Article 63 CRR after the date of effective maturity |
|
|
|
|
|
|
|
0140 |
3.2.3 |
Items with a call exercisable prior to or on 20 July 2011, and which do not meet the conditions in Article 63 CRR after the date of effective maturity |
|
|
|
|
|
|
|
0150 |
3.3 |
Excess on the limit of AT1 grandfathered instruments |
|
|
|
|
|
|
C 06.01 - GROUP SOLVENCY: INFORMATION ON AFFILIATES - TOTAL (GS TOTAL)
|
|
INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP |
CAPITAL BUFFERS |
||||||||||||||||||||||
|
TOTAL RISK EXPOSURE AMOUNT |
|
QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS |
|
|
CONSOLIDATED OWN FUNDS |
|
COMBINED BUFFER REQUIREMENTS |
|
||||||||||||||||
|
CREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/DELIVERY RISK |
POSITION, FX AND COMMODITIES RISKS |
OPERATIONAL RISK |
OTHER RISK EXPOSURE AMOUNTS |
QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 1 CAPITAL |
|
|
QUALIFYING OWN FUNDS INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 2 CAPITAL |
MEMORANDUM ITEM: GOODWILL (-) / (+) NEGATIVE GOODWILL |
OF WHICH: COMMON EQUITY TIER 1 |
OF WHICH: ADDITIONAL TIER 1 |
OF WHICH: CONRIBUTIONS TO CONSOLIDATED RESULT |
OF WHICH: (-) GOODWILL / (+) NEGATIVE GOODWILL |
CAPITAL CONSERVATION BUFFER |
INSTITUTION SPECIFIC COUNTER-CYCLICAL CAPITAL BUFFER |
CONSERVATION BUFFER DUE TO MACRO-PRUDENTIAL OR SYSTEMIC RISK IDENTIFIED AT THE LEVEL OF A MEMBER STATE |
SYSTEMIC RISK BUFFER |
GLOBAL SYSTEMICALLY IMPORTANT INSTITUTION BUFFER |
OTHER SYSTEMICALLY IMPORTANT INSTITUTION BUFFER |
||||||
|
MINORITY INTERESTS INCLUDED IN CONSOLIDATED COMMON EQUITY TIER 1 CAPITAL |
QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED ADDITIONAL TIER 1 CAPITAL |
|||||||||||||||||||||||
|
0250 |
0260 |
0270 |
0280 |
0290 |
0300 |
0310 |
0320 |
0330 |
0340 |
0350 |
0360 |
0370 |
0380 |
0390 |
0400 |
0410 |
0420 |
0430 |
0440 |
0450 |
0470 |
0480 |
||
|
0010 |
TOTAL |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
C 06.02 - GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS)
|
ENTITIES WITHIN SCOPE OF CONSOLIDATION |
INFORMATION ON ENTITIES SUBJECT TO OWN FUNDS REQUIREMENTS |
INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP |
CAPITAL BUFFERS |
||||||||||||||||||||||||||||||||||||||||||||||
|
NAME |
CODE |
TYPE OF CODE |
NATIONAL CODE |
INSTITUTION OR EQUIVALENT (YES/NO) |
TYPE OF ENTITY |
SCOPE OF DATA: SOLO FULLY CONSOLIDATED (SF) OR SOLO PARTIALLY CONSOLIDATED (SP) |
COUNTRY CODE |
SHARE OF HOLDING (%) |
|
|
OWN FUNDS |
|
|
TOTAL RISK EXPOSURE AMOUNT |
|
QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS |
|
CONSOLIDATED OWN FUNDS |
|
COMBINED BUFFER REQUIREMENT |
|
||||||||||||||||||||||||||||
|
TOTAL RISK EXPOSURE AMOUNT |
CREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/DELIVERY RISK |
POSITION, FX AND COMMODITIES RISKS |
OPERATIONAL RISK |
OTHER RISK EXPOSURE AMOUNTS |
TOTAL TIER 1 CAPITAL |
|
|
TIER 2 CAPITAL |
|
CREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/DELIVERY RISK |
POSITION, FX AND COMMODITIES RISKS |
OPERATIONAL RISK |
OTHER RISK EXPOSURE AMOUNTS |
QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 1 CAPITAL |
|
QUALIFYING OWN FUNDS INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 2 CAPITAL |
MEMORANDUM ITEM: GOODWILL (-) / (+) NEGATIVE GOODWILL |
OF WHICH: COMMON EQUITY TIER 1 |
OF WHICH: ADDITIONAL TIER 1 |
OF WHICH: CONRIBUTIONS TO CONSOLIDATED RESULT |
OF WHICH: (-) GOODWILL / (+) NEGATIVE GOODWILL |
CAPITAL CONSERVATION BUFFER |
INSTITUTION SPECIFIC COUNTER-CYCLICAL CAPITAL BUFFER |
CONSERVATION BUFFER DUE TO MACRO-PRUDENTIAL OR SYSTEMIC RISK IDENTIFIED AT THE LEVEL OF A MEMBER STATE |
SYSTEMIC RISK BUFFER |
GLOBAL SYSTEMICALLY IMPORTANT INSTITUTION BUFFER |
OTHER SYSTEMICALLY IMPORTANT INSTITUTION BUFFER |
||||||||||||||||||||||
|
COMMON EQUITY TIER 1 CAPITAL |
|
ADDITIONAL TIER 1 CAPITAL |
|
MINORITY INTERESTS INCLUDED IN CONSOLIDATED COMMON EQUITY TIER 1 CAPITAL |
QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED ADDITIONAL TIER 1 CAPITAL |
||||||||||||||||||||||||||||||||||||||||||||
|
OF WHICH: QUALIFYING OWN FUNDS |
RELATED OWN FUNDS INSTRUMENTS, RELATED RETAINED EARNINGS AND SHARE PREMIUM ACCOUNTS |
OF WHICH: QUALIFYING TIER 1 CAPITAL |
RELATED T1 INSTRUMENTS, RELATED RETAINED EARNINGS AND SHARE PREMIUM ACCOUNTS |
OF WHICH: MINORITY INTERESTS |
RELATED OWN FUNDS INSTRUMENTS, RELATED RETAINED EARNINGS, SHARE PREMIUM ACCOUNTS AND OTHER RESERVES |
OF WHICH: QUALIFYING ADDITIONAL TIER 1 CAPITAL |
OF WHICH: QUALIFYING TIER 2 CAPITAL |
||||||||||||||||||||||||||||||||||||||||||
|
0011 |
0021 |
0026 |
0027 |
0030 |
0035 |
0040 |
0050 |
0060 |
0070 |
0080 |
0090 |
0100 |
0110 |
0120 |
0130 |
0140 |
0150 |
0160 |
0170 |
0180 |
0190 |
0200 |
0210 |
0220 |
0230 |
0240 |
0250 |
0260 |
0270 |
0280 |
0290 |
0300 |
0310 |
0320 |
0330 |
0340 |
0350 |
0360 |
0370 |
0380 |
0390 |
0400 |
0410 |
0420 |
0430 |
0440 |
0450 |
0470 |
0480 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
C 07.00 - CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: STANDARDISED APPROACH TO CAPITAL REQUIREMENTS (CR SA)
SA Exposure class
|
|
ORIGINAL EXPOSURE PRE CONVERSION FACTORS |
(-) VALUE ADJUSTMENTS AND PROVISIONS ASSOCIATED WITH THE ORIGINAL EXPOSURE |
EXPOSURE NET OF VALUE ADJUSTMENTS AND PROVISIONS |
CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE |
NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS |
CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE EXPOSURE AMOUNT: FUNDED CREDIT PROTECTION. FINANCIAL COLLATERAL COMPREHENSIVE METHOD |
FULLY ADJUSTED EXPOSURE VALUE (E*) |
BREAKDOWN OF THE FULLY ADJUSTED EXPOSURE VALUE OF OFF-BALANCE SHEET ITEMS BY CONVERSION FACTORS |
EXPOSURE VALUE |
|
RISK WEIGHTED EXPOSURE AMOUNT PRE SUPPORTING FACTORS |
(-) ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO SME SUPPORTING FACTOR |
(-) ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO THE INFRASTRUCTURE SUPPORTING FACTOR |
RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS |
|
|||||||||||||
|
UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (Ga) |
FUNDED CREDIT PROTECTION |
SUBSTITUTION OF THE EXPOSURE DUE TO CRM |
VOLATILITY ADJUSTMENT TO THE EXPOSURE |
(-) FINANCIAL COLLATERAL: ADJUSTED VALUE (Cvam) |
0 % |
20 % |
50 % |
100 % |
OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK |
|
OF WHICH: WITH A CREDIT ASSESSMENT BY A NOMINATED ECAI |
OF WHICH: WITH A CREDIT ASSESSMENT DERIVED FROM CENTRAL GOVERNMENT |
||||||||||||||||
|
(-) GUARANTEES |
(-) CREDIT DERIVATIVES |
(-) FINANCIAL COLLATERAL: SIMPLE METHOD |
(-) OTHER FUNDED CREDIT PROTECTION |
(-) TOTAL OUTFLOWS |
TOTAL INFLOWS (+) |
|
(-) OF WHICH: VOLATILITY AND MATURITY ADJUSTMENTS |
OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK EXCLUDING EXPOSURES CLEARED THROUGH A CCP |
||||||||||||||||||||
|
0010 |
0030 |
0040 |
0050 |
0060 |
0070 |
0080 |
0090 |
0100 |
0110 |
0120 |
0130 |
0140 |
0150 |
0160 |
0170 |
0180 |
0190 |
0200 |
0210 |
0211 |
0215 |
0216 |
0217 |
0220 |
0230 |
0240 |
||
|
0010 |
TOTAL EXPOSURES |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cell linked to CA |
|
|
|
0015 |
of which: Defaulted exposures |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0020 |
of which: SME |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0030 |
of which: Exposures subject to SME-supporting factor |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0035 |
of which: Exposures subject to the Infrastructure supporting factor |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0040 |
of which: Secured by mortgages on immovable property - Residential property |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0050 |
of which: Exposures under the permanent partial use of the standardised approach |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0060 |
of which: Exposures under the standardised approach with prior supervisory permission to carry out a sequential IRB implementation |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES: |
||||||||||||||||||||||||||||
|
0070 |
On balance sheet exposures subject to credit risk |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0080 |
Off balance sheet exposures subject to credit risk |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Exposures / Transactions subject to counterparty credit risk |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0090 |
Securities Financing Transactions netting sets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0100 |
of which: centrally cleared through a QCCP |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0110 |
Derivatives & Long Settlement Transactions netting sets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0120 |
of which: centrally cleared through a QCCP |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0130 |
From Contractual Cross Product netting sets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BREAKDOWN OF TOTAL EXPOSURES BY RISK WEIGHTS: |
||||||||||||||||||||||||||||
|
0140 |
0 % |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0150 |
2 % |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0160 |
4 % |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0170 |
10 % |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0180 |
20 % |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0190 |
35 % |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0200 |
50 % |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0210 |
70 % |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0220 |
75 % |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0230 |
100 % |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0240 |
150 % |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0250 |
250 % |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0260 |
370 % |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0270 |
1 250 % |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0280 |
Other risk weights |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BREAKDOWN OF TOTAL EXPOSURES BY APPROACH (CIU): |
||||||||||||||||||||||||||||
|
0281 |
Look-through approach |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0282 |
Mandate-based approach |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0283 |
Fall-back approach |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
MEMORANDUM ITEMS |
||||||||||||||||||||||||||||
|
0290 |
Exposures secured by mortgages on commercial immovable property |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0300 |
Exposures in default subject to a risk weight of 100 % |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0310 |
Exposures secured by mortgages on residential property |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0320 |
Exposures in default subject to a risk weight of 150 % |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
C 08.01 - CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS (CR IRB 1)
IRB Exposure class:
Own estimates of LGD and/or conversion factors:
|
|
INTERNAL RATING SCALE |
ORIGINAL EXPOSURE PRE CONVERSION FACTORS |
CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE |
EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS |
|
EXPOSURE VALUE |
|
CREDIT RISK MITIGATION TECHNIQUES TAKEN INTO ACCOUNT IN LGD ESTIMATES EXCLUDING DOUBLE DEFAULT TREATMENT |
SUBJECT TO DOUBLE DEFAULT TREATMENT |
EXPOSURE WEIGHTED AVERAGE LGD (%) |
EXPOSURE WEIGHTED AVERAGE LGD (%) FOR LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES |
EXPOSURE-WEIGHTED AVERAGE MATURITY VALUE (DAYS) |
RISK WEIGHTED EXPOSURE AMOUNT PRE SUPPORTING FACTORS |
(-) ADJUSTMENT TO RISK-WEIGHTED EXPOSURE AMOUNT DUE TO SME SUPPORTING FACTOR |
(-) ADJUSTMENT TO RISK-WEIGHTED EXPOSURE AMOUNT DUE TO THE INFRASTRUCTURE SUPPORTING FACTOR |
RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS |
MEMORANDUM ITEMS: |
|||||||||||||||||||||
|
UNFUNDED CREDIT PROTECTION |
(-) OTHER FUNDED CREDIT PROTECTION |
SUBSTITUTION OF THE EXPOSURE DUE TO CRM |
|
OWN ESTIMATES OF LGD'S ARE USED: UNFUNDED CREDIT PROTECTION |
FUNDED CREDIT PROTECTION |
UNFUNDED CREDIT PROTECTION |
EXPECTED LOSS AMOUNT |
(-) VALUE ADJUSTMENTS AND PROVISIONS |
NUMBER OF OBLIGORS |
PRE-CREDIT DERIVATIVES RISK WEIGHTED EXPOSURE AMOUNT |
||||||||||||||||||||||||||||
|
PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%) |
|
OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES |
(-) GUARANTEES |
(-) CREDIT DERIVATIVES |
(-) TOTAL OUTFLOWS |
TOTAL INFLOWS (+) |
OF WHICH: OFF BALANCE SHEET ITEMS |
OF WHICH: OFF BALANCE SHEET ITEMS |
OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK |
OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES |
GUARANTEES |
CREDIT DERIVATIVES |
OWN ESTIMATES OF LGD'S ARE USED: OTHER FUNDED CREDIT PROTECTION |
|
ELIGIBLE FINANCIAL COLLATERAL |
OTHER ELIGIBLE COLLATERAL |
|
OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES |
||||||||||||||||||||
|
CASH ON DEPOSIT |
LIFE INSURANCE POLICIES |
INSTRUMENTS HELD BY A THIRD PARTY |
REAL ESTATE |
OTHER PHYSICAL COLLATERAL |
RECEIVABLES |
|||||||||||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||||||||
|
0010 |
0020 |
0030 |
0040 |
0050 |
0060 |
0070 |
0080 |
0090 |
0100 |
0110 |
0120 |
0130 |
0140 |
0150 |
0160 |
0170 |
0171 |
0172 |
0173 |
0180 |
0190 |
0200 |
0210 |
0220 |
0230 |
0240 |
0250 |
0255 |
0256 |
0257 |
0260 |
0270 |
0280 |
0290 |
0300 |
0310 |
||
|
0010 |
TOTAL EXPOSURES |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cell linked to CA |
|
|
|
|
|
|
0015 |
of which: Exposures subject to SME-supporting factor |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0016 |
of which: Exposures subject to the Infrastructure supporting factor |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES: |
|
||||||||||||||||||||||||||||||||||||
|
0020 |
On balance sheet items subject to credit risk |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0030 |
Off balance sheet items subject to credit risk |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Exposures / Transactions subject to counterparty credit risk |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0040 |
Securities Financing Transactions netting sets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0050 |
Derivatives & Long Settlement Transactions netting sets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0060 |
From Contractual Cross Product netting sets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0070 |
EXPOSURES ASSIGNED TO OBLIGOR GRADES OR POOLS: TOTAL |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0080 |
SPECIALIZED LENDING SLOTTING APPROACH: TOTAL |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0160 |
ALTERNATIVE TREATMENT: SECURED BY REAL ESTATE |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0170 |
EXPOSURES FROM FREE DELIVERIES APPLYING RISK WEIGHTS UNDER THE ALTERNATIVE TREATMENT OR 100% AND OTHER EXPOSURES SUBJECT TO RISK WEIGHTS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0180 |
DILUTION RISK: TOTAL PURCHASED RECEIVABLES |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
C 08.02 - CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BREAKDOWN BY OBLIGOR GRADES OR POOLS (CR IRB 2)
IRB Exposure class:
Own estimates of LGD and/or conversion factors:
|
OBLIGOR GRADE (ROW IDENTIFIER) |
INTERNAL RATING SCALE |
ORIGINAL EXPOSURE PRE CONVERSION FACTORS |
CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE |
EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS |
|
EXPOSURE VALUE |
|
CREDIT RISK MITIGATION TECHNIQUES TAKEN INTO ACCOUNT IN LGD ESTIMATES EXCLUDING DOUBLE DEFAULT TREATMENT |
SUBJECT TO DOUBLE DEFAULT TREATMENT |
EXPOSURE WEIGHTED AVERAGE LGD (%) |
EXPOSURE WEIGHTED AVERAGE LGD (%) FOR LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES |
EXPOSURE-WEIGHTED AVERAGE MATURITY VALUE (DAYS) |
RISK WEIGHTED EXPOSURE AMOUNT PRE SUPPORTING FACTORS |
(-) ADJUSTMENT TO RISK-WEIGHTED EXPOSURE AMOUNT DUE TO SME SUPPORTING FACTOR |
(-) ADJUSTMENT TO RISK-WEIGHTED EXPOSURE AMOUNT DUE TO THE INFRASTRUCTURE SUPPORTING FACTOR |
RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS |
MEMORANDUM ITEMS: |
||||||||||||||||||||
|
UNFUNDED CREDIT PROTECTION |
(-) OTHER FUNDED CREDIT PROTECTION |
SUBSTITUTION OF THE EXPOSURE DUE TO CRM |
OWN ESTIMATES OF LGD'S ARE USED: UNFUNDED CREDIT PROTECTION |
FUNDED CREDIT PROTECTION |
UNFUNDED CREDIT PROTECTION |
EXPECTED LOSS AMOUNT |
(-) VALUE ADJUSTMENTS AND PROVISIONS |
NUMBER OF OBLIGORS |
PRE-CREDIT DERIVATIVES RISK WEIGHTED EXPOSURE AMOUNT |
||||||||||||||||||||||||||||
|
PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%) |
|
OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES |
(-) GUARANTEES |
(-) CREDIT DERIVATIVES |
(-) TOTAL OUTFLOWS |
TOTAL INFLOWS (+) |
OF WHICH: OFF BALANCE SHEET ITEMS |
OF WHICH: OFF BALANCE SHEET ITEMS |
OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK |
OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES |
GUARANTEES |
CREDIT DERIVATIVES |
OWN ESTIMATES OF LGD'S ARE USED: OTHER FUNDED CREDIT PROTECTION |
|
ELIGIBLE FINANCIAL COLLATERAL |
OTHER ELIGIBLE COLLATERAL |
|
OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES |
|||||||||||||||||||
|
CASH ON DEPOSIT |
LIFE INSURANCE POLICIES |
INSTRUMENTS HELD BY A THIRD PARTY |
REAL ESTATE |
OTHER PHYSICAL COLLATERAL |
RECEIVABLES |
||||||||||||||||||||||||||||||||
|
|
|||||||||||||||||||||||||||||||||||||
|
0005 |
0010 |
0020 |
0030 |
0040 |
0050 |
0060 |
0070 |
0080 |
0090 |
0100 |
0110 |
0120 |
0130 |
0140 |
0150 |
0160 |
0170 |
0171 |
0172 |
0173 |
0180 |
0190 |
0200 |
0210 |
0220 |
0230 |
0240 |
0250 |
0255 |
0256 |
0257 |
0260 |
0270 |
0280 |
0290 |
0300 |
0310 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
C 08.03 - CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BREAKDOWN BY PD RANGES (CR IRB 3)
IRB Exposure class:
Own estimates of LGD and/or conversion factors:
|
PD RANGE |
ON-BALANCE SHEET EXPOSURES |
OFF-BALANCE-SHEET EXPOSURES PRE-CONVERSION FACTORS |
EXPOSURE WEIGHTED AVERAGE CONVERSION FACTORS |
EXPOSURE VALUE POST CONVERSION FACTORS AND POST CRM |
EXPOSURE WEIGHTED AVERAGE PD (%) |
NUMBER OF OBLIGORS |
EXPOSURE WEIGHTED AVERAGE LGD (%) |
EXPOSURE WEIGHTED AVERAGE MATURITY (YEARS) |
RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS |
EXPECTED LOSS AMOUNT |
VALUE ADJUST-MENTS AND PROVISIONS |
|
|
0010 |
0020 |
0030 |
0040 |
0050 |
0060 |
0070 |
0080 |
0090 |
0100 |
0110 |
||
|
0010 |
0.00 to <0.15 |
|
|
|
|
|
|
|
|
|
|
|
|
0020 |
0.00 to <0.10 |
|
|
|
|
|
|
|
|
|
|
|
|
0030 |
0.10 to <0.15 |
|
|
|
|
|
|
|
|
|
|
|
|
0040 |
0.15 to <0.25 |
|
|
|
|
|
|
|
|
|
|
|
|
0050 |
0.25 to <0.50 |
|
|
|
|
|
|
|
|
|
|
|
|
0060 |
0.50 to <0.75 |
|
|
|
|
|
|
|
|
|
|
|
|
0070 |
0.75 to <2.5 |
|
|
|
|
|
|
|
|
|
|
|
|
0080 |
0.75 to <1.75 |
|
|
|
|
|
|
|
|
|
|
|
|
0090 |
1.75 to <2.5 |
|
|
|
|
|
|
|
|
|
|
|
|
0100 |
2.5 to <10 |
|
|
|
|
|
|
|
|
|
|
|
|
0110 |
2.5 to <5 |
|
|
|
|
|
|
|
|
|
|
|
|
0120 |
5 to <10 |
|
|
|
|
|
|
|
|
|
|
|
|
0130 |
10 to <100 |
|
|
|
|
|
|
|
|
|
|
|
|
0140 |
10 to <20 |
|
|
|
|
|
|
|
|
|
|
|
|
0150 |
20 to <30 |
|
|
|
|
|
|
|
|
|
|
|
|
0160 |
30 to <100 |
|
|
|
|
|
|
|
|
|
|
|
|
0170 |
100 (Default) |
|
|
|
|
|
|
|
|
|
|
|
C 08.04 - CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: RWEA FLOW STATEMENTS (CR IRB 4)
|
|
RISK WEIGHTED EXPOSURE AMOUNT |
|
|
0010 |
||
|
0010 |
RISK WEIGHTED EXPOSURE AMOUNT AT THE END OF THE PREVIOUS REPORTING PERIOD |
|
|
0020 |
ASSET SIZE (+/-) |
|
|
0030 |
ASSET QUALITY (+/-) |
|
|
0040 |
MODEL UPDATES (+/-) |
|
|
0050 |
METHODOLOGY AND POLICY (+/-) |
|
|
0060 |
ACQUISITIONS AND DISPOSALS (+/-) |
|
|
0070 |
FOREIGN EXCHANGE MOVEMENTS (+/-) |
|
|
0080 |
OTHER (+/-) |
|
|
0090 |
RISK WEIGHTED EXPOSURE AMOUNT AT THE END OF THE REPORTING PERIOD |
|
C 08.05 - CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BACK-TESTING OF PD (CR IRB 5)
IRB Exposure class:
Own estimates of LGD and/or conversion factors:
|
PD RANGE |
ARITHMETIC AVERAGE PD (%) |
NUMBER OF OBLIGORS AT THE END OF THE PREVIOUS YEAR |
|
OBSERVED AVERAGE DEFAULT RATE (%) |
AVERAGE HISTORICAL ANNUAL DEFAULT RATE (%) |
|
|
OF WHICH: DEFAULTED DURING THE YEAR |
||||||
|
0010 |
0020 |
0030 |
0040 |
0050 |
||
|
0010 |
0.00 to <0.15 |
|
|
|
|
|
|
0020 |
0.00 to <0.10 |
|
|
|
|
|
|
0030 |
0.10 to <0.15 |
|
|
|
|
|
|
0040 |
0.15 to <0.25 |
|
|
|
|
|
|
0050 |
0.25 to <0.50 |
|
|
|
|
|
|
0060 |
0.50 to <0.75 |
|
|
|
|
|
|
0070 |
0.75 to <2.5 |
|
|
|
|
|
|
0080 |
0.75 to <1.75 |
|
|
|
|
|
|
0090 |
1.75 to <2.5 |
|
|
|
|
|
|
0100 |
2.5 to <10 |
|
|
|
|
|
|
0110 |
2.5 to <5 |
|
|
|
|
|
|
0120 |
5 to <10 |
|
|
|
|
|
|
0130 |
10 to <100 |
|
|
|
|
|
|
0140 |
10 to <20 |
|
|
|
|
|
|
0150 |
20 to <30 |
|
|
|
|
|
|
0160 |
30 to <100 |
|
|
|
|
|
|
0170 |
100 (Default) |
|
|
|
|
|
C 08.05.1 - CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BACK-TESTING OF PD ACCORDING TO POINT (f) OF ARTICLE 180(1) (CR IRB 5)
IRB Exposure class:
Own estimates of LGD and/or conversion factors:
|
PD RANGE |
EXTERNAL RATING EQUIVALENT |
ARITHMETIC AVERAGE PD (%) |
NUMBER OF OBLIGORS AT THE END OF THE PREVIOUS YEAR |
|
OBSERVED AVERAGE DEFAULT RATE (%) |
AVERAGE HISTORICAL ANNUAL DEFAULT RATE (%) |
|
OF WHICH: DEFAULTED DURING THE YEAR |
||||||
|
0005 |
0006 |
0010 |
0020 |
0030 |
0040 |
0050 |
|
|
|
|
|
|
|
|
C 08.06 - CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: SPECIALISED LENDING SLOTTING APPROACH (CR IRB 6)
Type of specialised lending:
|
|
ORIGINAL EXPOSURE PRE CONVERSION FACTORS |
EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS |
|
EXPOSURE VALUE |
|
RISK WEIGHT |
RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS |
MEMORANDUM ITEMS: |
||||
|
EXPECTED LOSS AMOUNT |
(-) VALUE ADJUSTMENTS AND PROVISIONS |
|||||||||||
|
OF WHICH: OFF BALANCE SHEET ITEMS |
OF WHICH: OFF BALANCE SHEET ITEMS |
OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK |
||||||||||
|
0010 |
0020 |
0030 |
0040 |
0050 |
0060 |
0070 |
0080 |
0090 |
0100 |
|||
|
0010 |
CATEGORY 1 |
LESS THAN 2.5 YEARS |
|
|
|
|
|
|
50 % |
|
|
|
|
0020 |
EQUAL TO OR MORE THAN 2.5 YEARS |
|
|
|
|
|
|
70 % |
|
|
|
|
|
0030 |
CATEGORY 2 |
LESS THAN 2.5 YEARS |
|
|
|
|
|
|
70 % |
|
|
|
|
0040 |
EQUAL TO OR MORE THAN 2.5 YEARS |
|
|
|
|
|
|
90 % |
|
|
|
|
|
0050 |
CATEGORY 3 |
LESS THAN 2.5 YEARS |
|
|
|
|
|
|
115 % |
|
|
|
|
0060 |
EQUAL TO OR MORE THAN 2.5 YEARS |
|
|
|
|
|
|
115 % |
|
|
|
|
|
0070 |
CATEGORY 4 |
LESS THAN 2.5 YEARS |
|
|
|
|
|
|
250 % |
|
|
|
|
0080 |
EQUAL TO OR MORE THAN 2.5 YEARS |
|
|
|
|
|
|
250 % |
|
|
|
|
|
0090 |
CATEGORY 5 |
LESS THAN 2.5 YEARS |
|
|
|
|
|
|
— |
|
|
|
|
0100 |
EQUAL TO OR MORE THAN 2.5 YEARS |
|
|
|
|
|
|
— |
|
|
|
|
|
0110 |
TOTAL |
LESS THAN 2.5 YEARS |
|
|
|
|
|
|
|
|
|
|
|
0120 |
EQUAL TO OR MORE THAN 2.5 YEARS |
|
|
|
|
|
|
|
|
|
|
|
C 08.07 - CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: SCOPE OF USE OF IRB AND SA APPROACHES (CR IRB 7)
|
|
TOTAL EXPOSURE VALUE AS DEFINED IN ART 166 CRR |
TOTAL EXPOSURE VALUE SUBJECT TO SA AND IRB |
PERCENTAGE OF TOTAL EXPOSURE VALUE SUBJECT TO PERMANENT PARTIAL USE OF SA (%) |
PERCENTAGE OF TOTAL EXPOSURE VALUE SUBJECT TO A ROLL-OUT PLAN (%) |
PERCENTAGE OF TOTAL EXPOSURE VALUE SUBJECT TO IRB APPROACH (%) |
|
|
0010 |
0020 |
0030 |
0040 |
0050 |
||
|
0010 |
CENTRAL GOVERNMENTS OR CENTRAL BANKS |
|
|
|
|
|
|
0020 |
OF WHICH: REGIONAL GOVERNMENTS OR LOCAL AUTHORITIES |
|
|
|
|
|
|
0030 |
OF WHICH: PUBLIC SECTOR ENTITIES |
|
|
|
|
|
|
0040 |
INSTITUTIONS |
|
|
|
|
|
|
0050 |
CORPORATES |
|
|
|
|
|
|
0060 |
OF WHICH: CORPORATES - SPECIALISED LENDING, EXCLUDING SLOTTING APPROACH |
|
|
|
|
|
|
0070 |
OF WHICH: CORPORATES - SPECIALISED LENDING, INCLUDING SLOTTING APPROACH |
|
|
|
|
|
|
0080 |
OF WHICH: CORPORATES - SMES |
|
|
|
|
|
|
0090 |
RETAIL |
|
|
|
|
|
|
0100 |
OF WHICH RETAIL – SECURED BY REAL ESTATE SMES |
|
|
|
|
|
|
0110 |
OF WHICH RETAIL – SECURED BY REAL ESTATE NON-SMES |
|
|
|
|
|
|
0120 |
OF WHICH RETAIL – QUALIFYING REVOLVING |
|
|
|
|
|
|
0130 |
OF WHICH RETAIL – OTHER SMES |
|
|
|
|
|
|
0140 |
OF WHICH RETAIL – OTHER NON-SMES |
|
|
|
|
|
|
0150 |
EQUITY |
|
|
|
|
|
|
0160 |
OTHER NON-CREDIT OBLIGATION ASSETS |
|
|
|
|
|
|
0170 |
TOTAL |
|
|
|
|
|
C 09.01 - GEOGRAPHICAL BREAKDOWN OF EXPOSURES BY RESIDENCE OF THE OBLIGOR: SA EXPOSURES (CR GB 1)
Country:
|
|
ORIGINAL EXPOSURE PRE CONVERSION FACTORS |
Observed new defaults for the period |
General credit risk adjustments |
Specific credit risk adjustments |
Write offs |
Additional value adjustments and other own funds reductions |
Credit risk adjustments/write-offs for observed new defaults |
EXPOSURE VALUE |
RISK WEIGHTED EXPOSURE AMOUNT PRE SUPPORTING FACTORS |
(-) ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO SME SUPPORTING FACTOR |
(-) ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO THE INFRASTRUCTURE SUPPORTING FACTOR |
RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS |
||
|
|
Defaulted exposures |
|||||||||||||
|
0010 |
0020 |
0040 |
0050 |
0055 |
0060 |
0061 |
0070 |
0075 |
0080 |
0081 |
0082 |
0090 |
||
|
0010 |
Central governments or central banks |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0020 |
Regional governments or local authorities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0030 |
Public sector entities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0040 |
Multilateral Development Banks |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0050 |
International Organisations |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0060 |
Institutions |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0070 |
Corporates |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0075 |
of which: SME |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0080 |
Retail |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0085 |
of which: SME |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0090 |
Secured by mortgages on immovable property |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0095 |
of which: SME |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0100 |
Exposures in default |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0110 |
Items associated with particularly high risk |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0120 |
Covered bonds |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0130 |
Claims on institutions and corporates with a short-term credit assessment |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0140 |
Collective investments undertakings (CIU) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0141 |
Look-through approach |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0142 |
Mandate-based approach |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0143 |
Fall-back approach |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0150 |
Equity exposures |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0160 |
Other exposures |
|
|
|
|
|
|
|
|
|
|
|||