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 IN ACCORDANCE WITH ARTICLE 180(1), POINT (f) OF REGULATION (EU) No 575/2013 (CR IRB 5B) |
CR IRB 5B |
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 |
|
0352 |
1.1.1.11.1.1 |
(-) Of which: software assets accounted for as intangible assets before deduction of deferred tax liabilities |
|
0360 |
1.1.1.11.2 |
Deferred tax liabilities associated to other intangible assets |
|
0362 |
1.1.1.11.2.1 |
Of which: Deferred tax liabilities associated with software assets accounted for as 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 of Regulation (EU) No 575/2013 |
|
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 of Regulation (EU) No 575/2013 |
|
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 of Regulation (EU) No 575/2013 |
|
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 of Regulation (EU) No 575/2013 |
|
0030 |
1** |
Of which : Investment firms under Article 96, paragraph 2 and Article 97 of Regulation (EU) No 575/2013 |
|
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 of Regulation (EU) No 575/2013 |
|
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 |
|
0212 |
1.1.1.1.16.1 |
Of which: software assets accounted for as intangible assets |
|
0240 |
1.1.2 |
Internal ratings based Approach (IRB) |
|
0241 |
1.1.2* |
Of which: Additional stricter prudential requirements based on Article 164 of Regulation (EU) No 575/2013 |
|
0242 |
1.1.2** |
Of which: Additional stricter prudential requirements based on Article 124 of Regulation (EU) No 575/2013 |
|
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 |
|
0455 |
1.1.2.5.1 |
Of which: software assets accounted for as intangible 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 of Regulation (EU) No 575/2013 |
|
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 of Regulation (EU) No 575/2013 |
|
0760 |
1.8.4 |
Of which: Additional risk exposure amount due to Article 3 of Regulation (EU) No 575/2013 |
|
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 of Regulation (EU) No 575/2013 and Article 104a of Directive 2013/36/EU |
|
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 |
Software assets accounted for as intangible assets exempted from the deduction 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 powers in accordance with Article 59 of Directive 2014/59/EU |
|
|
|
|
|
|
0064 |
1.1.4.2* |
of which: Instruments governed by third-country law without effective and enforceable exercise of powers in accordance with Article 59 of Directive 2014/59/EU |
|
|
|
|
|
|
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 01/01/2018 – 31/12/2019 |
|
|
|
|
|
|
0443 |
1.3.4.3 |
Memorandum item: ECL impact of the dynamic component for the period starting on 01/01/2020 |
|
|
|
|
|
|
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 Article 57, point (a) of Directive 2006/48/EC |
|
|
|
|
|
link to {CA5.1;r060;c010) |
0020 |
2. |
Instruments that qualified for Article 57, point (ca) and Article 154(8) and (9) of Directive 2006/48/EC, subject to the limit of Article 489 of Regulation (EU) No 575/2013 |
|
|
|
|
|
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 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013 after the date of effective maturity |
|
|
|
|
|
|
0080 |
2.3 |
Excess on the limit of CET1 grandfathered instruments |
|
|
|
|
|
|
0090 |
3 |
Items that qualified for Article 57, points (e), (f), (g) or (h) of Directive 2006/48/EC, subject to the limit of Article 490 of Regulation (EU) No 575/2013 |
|
|
|
|
|
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 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013 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 |
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TOTAL RISK EXPOSURE AMOUNT |
|
QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS |
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CONSOLIDATED OWN FUNDS |
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COMBINED BUFFER REQUIREMENTS |
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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 |
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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 |
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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 (%) |
TOTAL RISK EXPOSURE AMOUNT |
|
OWN FUNDS |
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|
TOTAL RISK EXPOSURE AMOUNT |
|
QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS |
|
CONSOLIDATED OWN FUNDS |
|
COMBINED BUFFER REQUIREMENT |
|
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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 |
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|
TIER 2 CAPITAL |
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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 |
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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 |
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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 |
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C 07.00 - CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: STANDARDISED APPROACH TO CAPITAL REQUIREMENTS (CR SA)
SA Exposure class
|
ORIGINAL EXPOSURE PRE CONVERSION FACTORS |
(-) VALUE ADJUSTMENTS AND PROVISIONS ASSOCIATED WITH THE ORIGINAL EXPOSURE |
EXPOSURE NET OF VALUE ADJUSTMENTS AND PROVISIONS |
CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE |
NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS |
CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE EXPOSURE AMOUNT: FUNDED CREDIT PROTECTION. FINANCIAL COLLATERAL COMPREHENSIVE METHOD |
FULLY ADJUSTED EXPOSURE VALUE (E*) |
BREAKDOWN OF THE FULLY ADJUSTED EXPOSURE 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 |
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Cell linked to CA |
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0015 |
of which: Defaulted exposures in exposure classes ‘items associated with a particular high risk’ and ‘equity exposures’ |
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0020 |
of which: SME |
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0030 |
of which: Exposures subject to SME-supporting factor |
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0035 |
of which: Exposures subject to the Infrastructure supporting factor |
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0040 |
of which: Secured by mortgages on immovable property - Residential property |
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0050 |
of which: Exposures under the permanent partial use of the standardised approach |
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0060 |
of which: Exposures under the standardised approach with prior supervisory permission to carry out a sequential IRB implementation |
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BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES: |
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0070 |
On balance sheet exposures subject to credit risk |
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0080 |
Off balance sheet exposures subject to credit risk |
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Exposures / Transactions subject to counterparty credit risk |
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0090 |
Securities Financing Transactions netting sets |
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0100 |
of which: centrally cleared through a QCCP |
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0110 |
Derivatives & Long Settlement Transactions netting sets |
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0120 |
of which: centrally cleared through a QCCP |
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0130 |
From Contractual Cross Product netting sets |
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BREAKDOWN OF TOTAL EXPOSURES BY RISK WEIGHTS: |
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0140 |
0 % |
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0150 |
2 % |
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0160 |
4 % |
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0170 |
10 % |
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0180 |
20 % |
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0190 |
35 % |
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0200 |
50 % |
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0210 |
70 % |
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0220 |
75 % |
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0230 |
100 % |
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0240 |
150 % |
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0250 |
250 % |
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0260 |
370 % |
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0270 |
1 250 % |
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0280 |
Other risk weights |
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BREAKDOWN OF TOTAL EXPOSURES BY APPROACH (CIU): |
||||||||||||||||||||||||||||
0281 |
Look-through approach |
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0282 |
Mandate-based approach |
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0283 |
Fall-back approach |
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MEMORANDUM ITEMS |
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0290 |
Exposures secured by mortgages on commercial immovable property |
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0300 |
Exposures in default subject to a risk weight of 100 % |
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0310 |
Exposures secured by mortgages on residential property |
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0320 |
Exposures in default subject to a risk weight of 150 % |
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C 08.01 - CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS (CR IRB 1)
IRB Exposure class:
Own estimates of LGD and/or conversion factors:
|
INTERNAL RATING 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 |
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Cell linked to CA |
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|
0015 |
of which: Exposures subject to SME-supporting factor |
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0016 |
of which: Exposures subject to the Infrastructure supporting factor |
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BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES: |
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0020 |
On balance sheet items subject to credit risk |
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0030 |
Off balance sheet items subject to credit risk |
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Exposures / Transactions subject to counterparty credit risk |
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0040 |
Securities Financing Transactions netting sets |
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0050 |
Derivatives & Long Settlement Transactions netting sets |
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0060 |
From Contractual Cross Product netting sets |
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0070 |
EXPOSURES ASSIGNED TO OBLIGOR GRADES OR POOLS: TOTAL |
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0080 |
SPECIALIZED LENDING SLOTTING APPROACH: TOTAL |
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0160 |
ALTERNATIVE TREATMENT: SECURED BY REAL ESTATE |
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0170 |
EXPOSURES FROM FREE DELIVERIES APPLYING RISK WEIGHTS UNDER THE ALTERNATIVE TREATMENT OR 100% AND OTHER EXPOSURES SUBJECT TO RISK WEIGHTS |
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0180 |
DILUTION RISK: TOTAL PURCHASED RECEIVABLES |
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C 08.02 - CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BREAKDOWN BY OBLIGOR GRADES OR POOLS (CR IRB 2)
IRB Exposure class:
Own estimates of LGD and/or conversion factors:
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 |
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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 (%) |
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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 |
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ELIGIBLE FINANCIAL COLLATERAL |
OTHER ELIGIBLE COLLATERAL |
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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 |
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0005 |
0010 |
0020 |
0030 |
0040 |
0050 |
0060 |
0070 |
0080 |
0090 |
0100 |
0110 |
0120 |
0130 |
0140 |
0150 |
0160 |
0170 |
0171 |
0172 |
0173 |
0180 |
0190 |
0200 |
0220 |
0230 |
0240 |
0250 |
0255 |
0256 |
0257 |
0260 |
0270 |
0280 |
0290 |
0300 |
0310 |
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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 |
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0010 |
0020 |
0030 |
0040 |
0050 |
0060 |
0070 |
0080 |
0090 |
0100 |
0110 |
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0010 |
0.00 to <0.15 |
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0020 |
0.00 to <0.10 |
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0030 |
0.10 to <0.15 |
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0040 |
0.15 to <0.25 |
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0050 |
0.25 to <0.50 |
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0060 |
0.50 to <0.75 |
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0070 |
0.75 to <2.5 |
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0080 |
0.75 to <1.75 |
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0090 |
1.75 to <2.5 |
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0100 |
2.5 to <10 |
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0110 |
2.5 to <5 |
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0120 |
5 to <10 |
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0130 |
10 to <100 |
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0140 |
10 to <20 |
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0150 |
20 to <30 |
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0160 |
30 to <100 |
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0170 |
100 (Default) |
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C 08.04 - CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: RWEA FLOW STATEMENTS (CR IRB 4)
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RISK WEIGHTED EXPOSURE AMOUNT |
|
0010 |
||
0010 |
RISK WEIGHTED EXPOSURE AMOUNT AT THE END OF THE PREVIOUS REPORTING PERIOD |
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0020 |
ASSET SIZE (+/-) |
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0030 |
ASSET QUALITY (+/-) |
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0040 |
MODEL UPDATES (+/-) |
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0050 |
METHODOLOGY AND POLICY (+/-) |
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0060 |
ACQUISITIONS AND DISPOSALS (+/-) |
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0070 |
FOREIGN EXCHANGE MOVEMENTS (+/-) |
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0080 |
OTHER (+/-) |
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0090 |
RISK WEIGHTED EXPOSURE AMOUNT AT THE END OF THE REPORTING PERIOD |
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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 (%) |
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OF WHICH: DEFAULTED DURING THE YEAR |
||||||
0010 |
0020 |
0030 |
0040 |
0050 |
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0010 |
0.00 to <0.15 |
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0020 |
0.00 to <0.10 |
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0030 |
0.10 to <0.15 |
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0040 |
0.15 to <0.25 |
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0050 |
0.25 to <0.50 |
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0060 |
0.50 to <0.75 |
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0070 |
0.75 to <2.5 |
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0080 |
0.75 to <1.75 |
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0090 |
1.75 to <2.5 |
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0100 |
2.5 to <10 |
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0110 |
2.5 to <5 |
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0120 |
5 to <10 |
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0130 |
10 to <100 |
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0140 |
10 to <20 |
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0150 |
20 to <30 |
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0160 |
30 to <100 |
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0170 |
100 (Default) |
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C 08.05.1 - CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BACK-TESTING OF PD IN ACCORDANCE WITH ARTICLE 180(1), POINT (f) OF REGULATION (EU) No 575/2013 (CR IRB 5B)
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 |
|
AVERAGE HISTORICAL ANNUAL DEFAULT RATE (%) |
OF WHICH: DEFAULTED DURING THE YEAR |
|||||
0005 |
0006 |
0010 |
0020 |
0030 |
0050 |
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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 |
|
|||
(-) 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 |
0100 |
|||
0010 |
CATEGORY 1 |
LESS THAN 2.5 YEARS |
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50 % |
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0020 |
EQUAL TO OR MORE THAN 2.5 YEARS |
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70 % |
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0030 |
CATEGORY 2 |
LESS THAN 2.5 YEARS |
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70 % |
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0040 |
EQUAL TO OR MORE THAN 2.5 YEARS |
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90 % |
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0050 |
CATEGORY 3 |
LESS THAN 2.5 YEARS |
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115 % |
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0060 |
EQUAL TO OR MORE THAN 2.5 YEARS |
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115 % |
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0070 |
CATEGORY 4 |
LESS THAN 2.5 YEARS |
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250 % |
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0080 |
EQUAL TO OR MORE THAN 2.5 YEARS |
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250 % |
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0090 |
CATEGORY 5 |
LESS THAN 2.5 YEARS |
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— |
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0100 |
EQUAL TO OR MORE THAN 2.5 YEARS |
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— |
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0110 |
TOTAL |
LESS THAN 2.5 YEARS |
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0120 |
EQUAL TO OR MORE THAN 2.5 YEARS |
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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 ARTICLE 166 OF REGULATION (EU) No 575/2013 |
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 |
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0020 |
OF WHICH: REGIONAL GOVERNMENTS OR LOCAL AUTHORITIES |
|
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|
0030 |
OF WHICH: PUBLIC SECTOR ENTITIES |
|
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|
0040 |
INSTITUTIONS |