Flexible format disclosure

(a)

Article 439 (a) CRR

Description of the methodology used to assign internal capital and credit limits for counterparty credit exposures, including the methods to assign those limits to exposures to central counterparties

(b)

Article 439 (b) CRR

Description of policies related to guarantees and other credit risk mitigants, such as the policies for securing collateral and establishing credit reserves

(c)

Article 439 (c) CRR

Description of policies with respect to Wrong-Way risk as defined in Article 291 of the CRR

(d)

Article 431 (3) and (4) CRR

Any other risk management objectives and relevant policies related to CCR

(e)

Article 439 (d) CRR

The amount of collateral the institution would have to provide if its credit rating was downgraded

a

b

c

d

e

f

g

h

Replacement cost (RC)

Potential future exposure (PFE)

EEPE

Alpha used for computing regulatory exposure value

Exposure value pre-CRM

Exposure value post-CRM

Exposure value

RWEA

EU-1

EU - Original Exposure Method (for derivatives)

1,4

EU-2

EU - Simplified SA-CCR (for derivatives)

1,4

1

SA-CCR (for derivatives)

1,4

2

IMM (for derivatives and SFTs)

2a

Of which securities financing transactions netting sets

2b

Of which derivatives and long settlement transactions netting sets

2c

Of which from contractual cross-product netting sets

3

Financial collateral simple method (for SFTs)

4

Financial collateral comprehensive method (for SFTs)

5

VaR for SFTs

6

Total

a

b

Exposure value

RWEA

1

Total transactions subject to the Advanced method

2

(i)  VaR component (including the 3× multiplier)

3

(ii)  stressed VaR component (including the 3× multiplier)

4

Transactions subject to the Standardised method

EU-4

Transactions subject to the Alternative approach (Based on the Original Exposure Method)

5

Total transactions subject to own funds requirements for CVA risk

Exposure classes

Risk weight

a

b

c

d

e

f

g

h

i

j

k

l

0 %

2 %

4 %

10 %

20 %

50 %

70 %

75 %

100 %

150 %

Others

Total exposure value

1

Central governments or central banks

2

Regional government or local authorities

3

Public sector entities

4

Multilateral development banks

5

International organisations

6

Institutions

7

Corporates

8

Retail

9

Institutions and corporates with a short-term credit assessment

10

Other items

11

Total exposure value

a

b

c

d

e

f

g

PD scale

Exposure value

Exposure weighted average PD (%)

Number of obligors

Exposure weighted average LGD (%)

Exposure weighted average maturity (years)

RWEA

Density of risk weighted exposure amounts

1 … x

Exposure class X

1

0,00 to < 0,15

2

0,15 to < 0,25

3

0,25 to < 0,50

4

0,50 to < 0,75

5

0,75 to < 2,50

6

2,50 to < 10,00

7

10,00 to < 100,00

8

100,00 (Default)

x

Sub-total (Exposure class X)

y

Total (all CCR relevant exposure classes)

a

b

c

d

e

f

g

h

Collateral used in derivative transactions

Collateral used in SFTs

Collateral type

Fair value of collateral received

Fair value of posted collateral

Fair value of collateral received

Fair value of posted collateral

Segregated

Unsegregated

Segregated

Unsegregated

Segregated

Unsegregated

Segregated

Unsegregated

1

Cash – domestic currency

2

Cash – other currencies

3

Domestic sovereign debt

4

Other sovereign debt

5

Government agency debt

6

Corporate bonds

7

Equity securities

8

Other collateral

9

Total

a

b

Protection bought

Protection sold

Notionals

1

Single-name credit default swaps

2

Index credit default swaps

3

Total return swaps

4

Credit options

5

Other credit derivatives

6

Total notionals

Fair values

7

Positive fair value (asset)

8

Negative fair value (liability)

a

RWEA

1

RWEA as at the end of the previous reporting period

2

Asset size

3

Credit quality of counterparties

4

Model updates (IMM only)

5

Methodology and policy (IMM only)

6

Acquisitions and disposals

7

Foreign exchange movements

8

Other

9

RWEA as at the end of the current reporting period

a

b

Exposure value

RWEA

1

Exposures to QCCPs (total)

2

Exposures for trades at QCCPs (excluding initial margin and default fund contributions); of which

3

(i)  OTC derivatives

4

(ii)  Exchange-traded derivatives

5

(iii)  SFTs

6

(iv)  Netting sets where cross-product netting has been approved

7

Segregated initial margin

8

Non-segregated initial margin

9

Prefunded default fund contributions

10

Unfunded default fund contributions

11

Exposures to non-QCCPs (total)

12

Exposures for trades at non-QCCPs (excluding initial margin and default fund contributions); of which

13

(i)  OTC derivatives

14

(ii)  Exchange-traded derivatives

15

(iii)  SFTs

16

(iv)  Netting sets where cross-product netting has been approved

17

Segregated initial margin

18

Non-segregated initial margin

19

Prefunded default fund contributions

20

Unfunded default fund contributions