ANNEX VIII
TEMPLATES FOR REPORTING LARGE EXPOSURES AND CONCENTRATION RISK
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LARGE EXPOSURES TEMPLATES |
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Template number |
Template code |
Name of the template /group of templates |
Short name |
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LARGE EXPOSURES |
LE |
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26 |
C 26.00 |
Large Exposures limits |
LE LIMITS |
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27 |
C 27.00 |
Identification of the counterparty |
LE 1 |
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28 |
C 28.00 |
Exposures in the non-trading and trading book |
LE 2 |
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29 |
C 29.00 |
Detail of the exposures to individual clients within groups of connected clients |
LE 3 |
C 26.00 — Large Exposures limits (LE Limits)
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Applicable limit |
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010 |
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010 |
Non institutions |
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020 |
Institutions |
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030 |
Institutions in % |
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040 |
Globally Systemic Important Institutions (G-SIIs) |
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C 27.00 — Identification of the counterparty (LE 1)
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COUNTERPARTY IDENTIFICATION |
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Code |
Type of code |
Name |
National code |
Residence of the counterparty |
Sector of the counterparty |
NACE code |
Type of counterparty |
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011 |
015 |
021 |
035 |
040 |
050 |
060 |
070 |
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C 28.00 — Exposures in the non-trading and trading book (LE 2)
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COUNTERPARTY |
ORIGINAL EXPOSURES |
(-) Value adjustments and provisions |
(-) Exposures deducted from CET 1 or Additional Tier 1 items |
Exposure value before application of exemptions and CRM |
ELIGIBLE CREDIT RISK MITIGATION (CRM) TECHNIQUES |
(-) Amounts exempted |
Exposure value after application of exemptions and CRM |
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Code |
Group or individual |
Transactions where there is an exposure to underlying assets |
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(-) Substitution effect of eligible credit risk mitigation techniques |
(-) Funded credit protection other than substitution effect |
(-) Real estate |
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Direct exposures |
Indirect exposures |
Additional exposures arising from transactions where there is an exposure to underlying assets |
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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 Tier 1 capital |
(-) Debt instruments |
(-) Equity instruments |
(-) Derivatives |
(-) Off balance sheet items |
Total |
Of which: Non-trading book |
% of Tier 1 capital |
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Loan commitments |
Financial guarantees |
Other commitments |
Loan commitments |
Financial guarantees |
Other commitments |
(-) Loan commitments |
(-) Financial guarantees |
(-) Other commitments |
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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 |
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C 29.00 — Detail of the exposures to individual clients within groups of connected clients (LE 3)
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COUNTERPARTY |
ORIGINAL EXPOSURES |
(-) Value adjustments and provisions |
(-) Exposures deducted from CET 1 or Additional Tier 1 items |
Exposure value before application of exemptions and CRM |
ELIGIBLE CREDIT RISK MITIGATION (CRM) TECHNIQUES |
(-) Amounts exempted |
Exposure value after application of exemptions and CRM |
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Code |
Group code |
Transactions where there is an exposure to underlying assets |
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(-) Substitution effect of eligible credit risk mitigation techniques |
(-) Funded credit protection other than substitution effect |
(-) Real estate |
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Direct exposures |
Indirect exposures |
Additional exposures arising from transactions where there is an exposure to underlying assets |
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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 Tier 1 capital |
(-) Debt instruments |
(-) Equity instruments |
(-) Derivatives |
(-) Off balance sheet items |
Total |
Of which: Non-trading book |
% of Tier 1 capital |
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Loan commitments |
Financial guarantees |
Other commitments |
Loan commitments |
Financial guarantees |
Other commitments |
(-) Loan commitments |
(-) Financial guarantees |
(-) Other commitments |
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010 |
020 |
030 |
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 |
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