ANNEX VIII
TEMPLATES FOR REPORTING LARGE EXPOSURES AND CONCENTRATION RISK
LARGE EXPOSURES TEMPLATES
|
Template number |
Template code |
Name of the template/group of templates |
Short name |
|
|
|
LARGE EXPOSURES |
LE |
|
26 |
C 26.00 |
Large Exposures limits |
LE LIMITS |
|
27 |
C 27.00 |
Identification of the counterparty |
LE 1 |
|
28 |
C 28.00 |
Exposures in the non-trading and trading book |
LE 2 |
|
29 |
C 29.00 |
Detail of the exposures to individual clients within groups of connected clients |
LE 3 |
|
30 |
C 30.00 |
Maturity buckets of the exposures in the non-trading and trading book |
LE 4 |
|
31 |
C 31.00 |
Maturity buckets of exposures to individual clients within groups of connected clients |
LE 5 |
C 26.00 — Large Exposures limits (LE Limits)
|
|
Applicable limit |
|
|
column |
||
|
010 |
||
|
row |
|
|
|
010 |
Non institutions |
|
|
020 |
Institutions |
|
|
030 |
Institutions in % |
|
C 27.00 — Identification of the counterparty (LE 1)
|
COUNTERPARTY IDENTIFICATION |
||||||
|
Code |
Name |
LEI code |
Residence of the counterparty |
Sector of the counterparty |
NACE code |
Type of counterparty |
|
010 |
020 |
030 |
040 |
050 |
060 |
070 |
|
|
|
|
|
|
|
|
C 28.00 — Exposures in the non-trading and trading book (LE 2)
|
COUNTERPARTY |
ORIGINAL EXPOSURES |
(-) Value adjustments and provisions |
(-) Exposures deducted from own funds |
Exposure value before application of exemptions and CRM |
ELIGIBLE CREDIT RISK MITIGATION (CRM) TECHNIQUES |
(-) Amounts exempted |
Exposure value after application of exemptions and CRM |
|||||||||||||||||||||||||||
|
Code |
Group or individual |
Transactions where there is an exposure to underlying assets |
|
(-) Substitution effect of eligible credit risk mitigation techniques |
(-) Funded credit protection other than substitution effect |
(-) Real estate |
||||||||||||||||||||||||||||
|
|
Direct exposures |
Indirect exposures |
Additional exposures arising from transactions where there is an exposure to underlying assets |
|||||||||||||||||||||||||||||||
|
Total original exposure |
Of which: defaulted |
Debt instruments |
Equity instruments |
Derivatives |
Off balance sheet items |
Debt instruments |
Equity instruments |
Derivatives |
Off balance sheet items |
Total |
Of which: Non-trading book |
% of eligible capital |
(-) Debt instruments |
(-) Equity instruments |
(-) Derivatives |
(-) Off balance sheet items |
Total |
Of which: Non-trading book |
% of eligible capital |
|||||||||||||||
|
Loan commitments |
Financial guarantees |
Other commitments |
Loan commitments |
Financial guarantees |
Other commitments |
(-) Loan commitments |
(-) Financial guarantees |
(-) Other commitments |
||||||||||||||||||||||||||
|
010 |
020 |
030 |
040 |
050 |
060 |
070 |
080 |
090 |
100 |
110 |
120 |
130 |
140 |
150 |
160 |
170 |
180 |
190 |
200 |
210 |
220 |
230 |
240 |
250 |
260 |
270 |
280 |
290 |
300 |
310 |
320 |
330 |
340 |
350 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
C 29.00 — Detail of the exposures to individual clients within groups of connected clients (LE 3)
|
COUNTERPARTY |
ORIGINAL EXPOSURES |
(-) Value adjustments and provisions |
(-) Exposures deducted from own funds |
Exposure value before application of exemptions and CRM |
ELIGIBLE CREDIT RISK MITIGATION (CRM) TECHNIQUES |
(-) Amounts exempted |
Exposure value after application of exemptions and CRM |
||||||||||||||||||||||||||||
|
Code |
Group code |
Transactions where there is an exposure to underlying assets |
Type of connection |
|
(-) Substitution effect of eligible credit risk mitigation techniques |
(-) Funded credit protection other than substitution effect |
(-) Real estate |
||||||||||||||||||||||||||||
|
|
Direct exposures |
Indirect exposures |
Additional exposures arising from transactions where there is an exposure to underlying assets |
||||||||||||||||||||||||||||||||
|
Total original exposure |
Of which: defaulted |
Debt instruments |
Equity instruments |
Derivatives |
Off balance sheet items |
Debt instruments |
Equity instruments |
Derivatives |
Off balance sheet items |
Total |
Of which: Non-trading book |
% of eligible capital |
(-) Debt instruments |
(-) Equity instruments |
(-) Derivatives |
(-) Off balance sheet items |
Total |
Of which: Non-trading book |
% of eligible capital |
||||||||||||||||
|
Loan commitments |
Financial guarantees |
Other commitments |
Loan commitments |
Financial guarantees |
Other commitments |
(-) Loan commitments |
(-) Financial guarantees |
(-) Other commitments |
|||||||||||||||||||||||||||
|
010 |
020 |
030 |
040 |
050 |
060 |
070 |
080 |
090 |
100 |
110 |
120 |
130 |
140 |
150 |
160 |
170 |
180 |
190 |
200 |
210 |
220 |
230 |
240 |
250 |
260 |
270 |
280 |
290 |
300 |
310 |
320 |
330 |
340 |
350 |
360 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
C 30.00 — Maturity buckets of the exposures in the non-trading and trading book (LE 4)
|
COUNTER PARTY |
MATURITY BUCKETS OF THE EXPOSURE |
MATURITY BUCKETS OF THE EXPOSURE |
||||||||||||||||||||||
|
Code |
Up to 1 Month |
Greater than 1 month up to 2 Months |
Greater than 2 months up to 3 Months |
Greater than 3 months up to 4 Months |
Greater than 4 months up to 5 Months |
Greater than 5 months up to 6 Months |
Greater than 6 months up to 7 Months |
Greater than 7 months up to 8 Months |
Greater than 8 months up to 9 Months |
Greater than 9 months up to 10 Months |
Greater than 10 months up to 11 Months |
Greater than 11 months up to 12 Months |
Greater than 12 months up to 15 Months |
Greater than 15 months up to 18 Months |
Greater than 18 months up to 21 Months |
Greater than 21 months up to 24 Months |
Greater than 24 months up to 27 Months |
Greater than 27 months up to 30 Months |
Greater than 30 months up to 33 Months |
Greater than 33 months up to 36 Months |
Greater than 3 years up to 5 years |
Greater than 5 years up to 10 years |
Greater than 10 years |
Undefined maturity |
|
010 |
020 |
030 |
040 |
050 |
060 |
070 |
080 |
090 |
100 |
110 |
120 |
130 |
140 |
150 |
160 |
170 |
180 |
190 |
200 |
210 |
220 |
230 |
240 |
250 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
C 31.00 — Maturity buckets of the exposures to individual clients within groups of connected clients (LE 5)
|
COUNTERPARTY |
MATURITY BUCKETS OF THE EXPOSURE |
MATURITY BUCKETS OF THE EXPOSURE |
|||||||||||||||||||||||
|
Code |
Group code |
Up to 1 Month |
Greater than 1 month up to 2 Months |
Greater than 2 months up to 3 Months |
Greater than 3 months up to 4 Months |
Greater than 4 months up to 5 Months |
Greater than 5 months up to 6 Months |
Greater than 6 months up to 7 Months |
Greater than 7 months up to 8 Months |
Greater than 8 months up to 9 Months |
Greater than 9 months up to 10 Months |
Greater than 10 months up to 11 Months |
Greater than 11 months up to 12 Months |
Greater than 12 months up to 15 Months |
Greater than 15 months up to 18 Months |
Greater than 18 months up to 21 Months |
Greater than 21 months up to 24 Months |
Greater than 24 months up to 27 Months |
Greater than 27 months up to 30 Months |
Greater than 30 months up to 33 Months |
Greater than 33 months up to 36 Months |
Greater than 3 years up to 5 years |
Greater than 5 years up to 10 years |
Greater than 10 years |
Undefined maturity |
|
010 |
020 |
030 |
040 |
050 |
060 |
070 |
080 |
090 |
100 |
110 |
120 |
130 |
140 |
150 |
160 |
170 |
180 |
190 |
200 |
210 |
220 |
230 |
240 |
250 |
260 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|