ANNEX V
Template EU LI1 - Differences between the accounting scope and the scope of prudential consolidation and mapping of financial statement categories with regulatory risk categories
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e |
f |
g |
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Carrying values as reported in published financial statements |
Carrying values under scope of prudential consolidation |
Carrying values of items |
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Subject to the credit risk framework |
Subject to the CCR framework |
Subject to the securitisation framework |
Subject to the market risk framework |
Not subject to own funds requirements or subject to deduction from own funds |
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Breakdown by asset clases according to the balance sheet in the published financial statements |
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…. |
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xxx |
Total assets |
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Breakdown by liability classes according to the balance sheet in the published financial statements |
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…. |
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xxx |
Total liabilities |
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Template EU LI2 - Main sources of differences between regulatory exposure amounts and carrying values in financial statements
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a |
b |
c |
d |
e |
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Total |
Items subject to |
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Credit risk framework |
Securitisation framework |
CCR framework |
Market risk framework |
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1 |
Assets carrying value amount under the scope of prudential consolidation (as per template LI1) |
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2 |
Liabilities carrying value amount under the scope of prudential consolidation (as per template LI1) |
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3 |
Total net amount under the scope of prudential consolidation |
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4 |
Off-balance-sheet amounts |
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5 |
Differences in valuations |
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6 |
Differences due to different netting rules, other than those already included in row 2 |
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7 |
Differences due to consideration of provisions |
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8 |
Differences due to the use of credit risk mitigation techniques (CRMs) |
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9 |
Differences due to credit conversion factors |
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10 |
Differences due to Securitisation with risk transfer |
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11 |
Other differences |
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12 |
Exposure amounts considered for regulatory purposes |
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Template EU LI3 - Outline of the differences in the scopes of consolidation (entity by entity)
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a |
b |
c |
d |
e |
f |
g |
h |
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Name of the entity |
Method of accounting consolidation |
Method of prudential consolidation |
Description of the entity |
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Full consolidation |
Proportional consolidation |
Equity method |
Neither consolidated nor deducted |
Deducted |
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Entity A |
Full consolidation |
X |
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Credit institution |
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Entity N |
Full consolidation |
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X |
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Credit institution |
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Entity Z |
Full consolidation |
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X |
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Insurance entity |
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Entity AA |
Full consolidation |
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X |
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Immaterial leasing company |
Table EU LIA - Explanations of differences between accounting and regulatory exposure amounts
Free format text boxes for disclosure of qualitative information
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Legal basis |
Row number |
Qualitative information - Free format |
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Article 436(b) CRR |
(a) |
Differences between columns (a) and (b) in template EU LI1 |
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Article 436(d) CRR |
(b) |
Qualitative information on the main sources of differences between the accounting and regulatoy scope of consolidation shown in template EU LI2 |
Table EU LIB - Other qualitative information on the scope of application
Free format text boxes for disclosure of qualitative information
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Legal basis |
Row number |
Qualitative information - Free format |
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Article 436(f) CRR |
(a) |
Impediment to the prompt transfer of own funds or to the repayment of liabilities within the group |
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Article 436(g) CRR |
(b) |
Subsidiaries not included in the consolidation with own funds less than required |
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Article 436(h) CRR |
(c) |
Use of derogation referred to in Article 7 CRR or individual consolidation method laid down in Article 9 CRR |
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Article 436(g) CRR |
(d) |
Aggregate amount by which the actual own funds are less than required in all subsidiaries that are not included in the consolidation |
Template EU PV1 - Prudent valuation adjustments (PVA)
Fixed format
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a |
b |
c |
d |
e |
EU e1 |
EU e2 |
f |
g |
h |
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Risk category |
Category level AVA - Valuation uncertainty |
Total category level post-diversification |
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Category level AVA |
Equity |
Interest Rates |
Foreign exchange |
Credit |
Commodities |
Unearned credit spreads AVA |
Investment and funding costs AVA |
Of which: Total core approach in the trading book |
Of which: Total core approach in the banking book |
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1 |
Market price uncertainty |
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2 |
Not applicable |
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3 |
Close-out cost |
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4 |
Concentrated positions |
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5 |
Early termination |
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6 |
Model risk |
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7 |
Operational risk |
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8 |
Not applicable |
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9 |
Not applicable |
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10 |
Future administrative costs |
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11 |
Not applicable |
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12 |
Total Additional Valuation Adjustments (AVAs) |
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