LegalizeCommission Implementing Regulation (EU) 2021/451 of 17 December 2020 laying down implementing technical standards for the application of Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to supervisory reporting of institutions and repealing Implementing Regulation (EU) No 680/2014 (Text with EEA relevance)
| OBLIGOR GRADE (ROW IDENTIFIER) | INTERNAL RATING SCALE | ORIGINAL EXPOSURE PRE CONVERSION FACTORS | ORIGINAL EXPOSURE PRE CONVERSION FACTORS | CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE | CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE | CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE | CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE | 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 | CREDIT RISK MITIGATION TECHNIQUES TAKEN INTO ACCOUNT IN LGD ESTIMATES EXCLUDING DOUBLE DEFAULT TREATMENT | CREDIT RISK MITIGATION TECHNIQUES TAKEN INTO ACCOUNT IN LGD ESTIMATES EXCLUDING DOUBLE DEFAULT TREATMENT | CREDIT RISK MITIGATION TECHNIQUES TAKEN INTO ACCOUNT IN LGD ESTIMATES EXCLUDING DOUBLE DEFAULT TREATMENT | CREDIT RISK MITIGATION TECHNIQUES TAKEN INTO ACCOUNT IN LGD ESTIMATES EXCLUDING DOUBLE DEFAULT TREATMENT | CREDIT RISK MITIGATION TECHNIQUES TAKEN INTO ACCOUNT IN LGD ESTIMATES EXCLUDING DOUBLE DEFAULT TREATMENT | CREDIT RISK MITIGATION TECHNIQUES TAKEN INTO ACCOUNT IN LGD ESTIMATES EXCLUDING DOUBLE DEFAULT TREATMENT | CREDIT RISK MITIGATION TECHNIQUES TAKEN INTO ACCOUNT IN LGD ESTIMATES EXCLUDING DOUBLE DEFAULT TREATMENT | 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 | RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS | MEMORANDUM ITEMS: | MEMORANDUM ITEMS: | MEMORANDUM ITEMS: | MEMORANDUM ITEMS: | ||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| OBLIGOR GRADE (ROW IDENTIFIER) | INTERNAL RATING SCALE | ORIGINAL EXPOSURE PRE CONVERSION FACTORS | ORIGINAL EXPOSURE PRE CONVERSION FACTORS | UNFUNDED CREDIT PROTECTION | UNFUNDED CREDIT PROTECTION | (-) OTHER FUNDED CREDIT PROTECTION | SUBSTITUTION OF THE EXPOSURE DUE TO CRM | SUBSTITUTION OF THE EXPOSURE DUE TO CRM | EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS | EXPOSURE VALUE | OWN ESTIMATES OF LGD'S ARE USED: UNFUNDED CREDIT PROTECTION | OWN ESTIMATES OF LGD'S ARE USED: UNFUNDED CREDIT PROTECTION | FUNDED CREDIT PROTECTION | FUNDED CREDIT PROTECTION | FUNDED CREDIT PROTECTION | FUNDED CREDIT PROTECTION | FUNDED CREDIT PROTECTION | FUNDED CREDIT PROTECTION | FUNDED CREDIT PROTECTION | UNFUNDED CREDIT PROTECTION | 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 | RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS | EXPECTED LOSS AMOUNT | (-) VALUE ADJUSTMENTS AND PROVISIONS | NUMBER OF OBLIGORS | PRE-CREDIT DERIVATIVES RISK WEIGHTED EXPOSURE AMOUNT | ||||
| OBLIGOR GRADE (ROW IDENTIFIER) | PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%) | OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES | (-) GUARANTEES | (-) CREDIT DERIVATIVES | (-) OTHER FUNDED CREDIT PROTECTION | (-) TOTAL OUTFLOWS | TOTAL INFLOWS (+) | EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS | OF WHICH: OFF BALANCE SHEET ITEMS | EXPOSURE VALUE | 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 | OTHER ELIGIBLE COLLATERAL | UNFUNDED CREDIT PROTECTION | 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 | OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES | EXPECTED LOSS AMOUNT | (-) VALUE ADJUSTMENTS AND PROVISIONS | NUMBER OF OBLIGORS | PRE-CREDIT DERIVATIVES RISK WEIGHTED EXPOSURE AMOUNT | |||||
| OBLIGOR GRADE (ROW IDENTIFIER) | PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%) | OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES | (-) GUARANTEES | (-) CREDIT DERIVATIVES | (-) OTHER FUNDED CREDIT PROTECTION | (-) TOTAL OUTFLOWS | TOTAL INFLOWS (+) | EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS | OF WHICH: OFF BALANCE SHEET ITEMS | EXPOSURE VALUE | 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 | CASH ON DEPOSIT | LIFE INSURANCE POLICIES | INSTRUMENTS HELD BY A THIRD PARTY | ELIGIBLE FINANCIAL COLLATERAL | REAL ESTATE | OTHER PHYSICAL COLLATERAL | UNFUNDED CREDIT PROTECTION | 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 | OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES | EXPECTED LOSS AMOUNT | (-) VALUE ADJUSTMENTS AND PROVISIONS | NUMBER OF OBLIGORS | PRE-CREDIT DERIVATIVES RISK WEIGHTED EXPOSURE AMOUNT | ||
| OBLIGOR GRADE (ROW IDENTIFIER) | PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%) | OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES | (-) GUARANTEES | (-) CREDIT DERIVATIVES | (-) OTHER FUNDED CREDIT PROTECTION | (-) TOTAL OUTFLOWS | TOTAL INFLOWS (+) | EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS | OF WHICH: OFF BALANCE SHEET ITEMS | EXPOSURE VALUE | 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 | CASH ON DEPOSIT | LIFE INSURANCE POLICIES | INSTRUMENTS HELD BY A THIRD PARTY | ELIGIBLE FINANCIAL COLLATERAL | REAL ESTATE | OTHER PHYSICAL COLLATERAL | UNFUNDED CREDIT PROTECTION | 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 | OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES | EXPECTED LOSS AMOUNT | (-) VALUE ADJUSTMENTS AND PROVISIONS | NUMBER OF OBLIGORS | PRE-CREDIT DERIVATIVES RISK WEIGHTED EXPOSURE AMOUNT | ||
| 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 |
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 | 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 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| PD RANGE | PD RANGE | 0010 | 0020 | 0030 | 0040 | 0050 | 0060 | 0070 | 0080 | 0090 | 0100 | 0110 |
| 0010 | 0.00 to <0.15 | |||||||||||
| 0020 | 0.00 to <0.10 | |||||||||||
| 0030 | 0.10 to <0.15 | |||||||||||
| 0040 | 0.15 to <0.25 | |||||||||||
| 0050 | 0.25 to <0.50 | |||||||||||
| 0060 | 0.50 to <0.75 | |||||||||||
| 0070 | 0.75 to <2.5 | |||||||||||
| 0080 | 0.75 to <1.75 | |||||||||||
| 0090 | 1.75 to <2.5 | |||||||||||
| 0100 | 2.5 to <10 | |||||||||||
| 0110 | 2.5 to <5 | |||||||||||
| 0120 | 5 to <10 | |||||||||||
| 0130 | 10 to <100 | |||||||||||
| 0140 | 10 to <20 | |||||||||||
| 0150 | 20 to <30 | |||||||||||
| 0160 | 30 to <100 | |||||||||||
| 0170 | 100 (Default) |
C 08.04 - CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: RWEA FLOW STATEMENTS (CR IRB 4)
| RISK WEIGHTED EXPOSURE AMOUNT | ||
|---|---|---|
| 0010 | ||
| 0010 | RISK WEIGHTED EXPOSURE AMOUNT AT THE END OF THE PREVIOUS REPORTING PERIOD | |
| 0020 | ASSET SIZE (+/-) | |
| 0030 | ASSET QUALITY (+/-) | |
| 0040 | MODEL UPDATES (+/-) | |
| 0050 | METHODOLOGY AND POLICY (+/-) | |
| 0060 | ACQUISITIONS AND DISPOSALS (+/-) | |
| 0070 | FOREIGN EXCHANGE MOVEMENTS (+/-) | |
| 0080 | OTHER (+/-) | |
| 0090 | RISK WEIGHTED EXPOSURE AMOUNT AT THE END OF THE REPORTING PERIOD |
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 | PD RANGE | ARITHMETIC AVERAGE PD (%) | NUMBER OF OBLIGORS AT THE END OF THE PREVIOUS YEAR | OBSERVED AVERAGE DEFAULT RATE (%) | AVERAGE HISTORICAL ANNUAL DEFAULT RATE (%) | |
|---|---|---|---|---|---|---|
| PD RANGE | PD RANGE | ARITHMETIC AVERAGE PD (%) | NUMBER OF OBLIGORS AT THE END OF THE PREVIOUS YEAR | OF WHICH: DEFAULTED DURING THE YEAR | OBSERVED AVERAGE DEFAULT RATE (%) | AVERAGE HISTORICAL ANNUAL DEFAULT RATE (%) |
| PD RANGE | PD RANGE | 0010 | 0020 | 0030 | 0040 | 0050 |
| 0010 | 0.00 to <0.15 | |||||
| 0020 | 0.00 to <0.10 | |||||
| 0030 | 0.10 to <0.15 | |||||
| 0040 | 0.15 to <0.25 | |||||
| 0050 | 0.25 to <0.50 | |||||
| 0060 | 0.50 to <0.75 | |||||
| 0070 | 0.75 to <2.5 | |||||
| 0080 | 0.75 to <1.75 | |||||
| 0090 | 1.75 to <2.5 | |||||
| 0100 | 2.5 to <10 | |||||
| 0110 | 2.5 to <5 | |||||
| 0120 | 5 to <10 | |||||
| 0130 | 10 to <100 | |||||
| 0140 | 10 to <20 | |||||
| 0150 | 20 to <30 | |||||
| 0160 | 30 to <100 | |||||
| 0170 | 100 (Default) |
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 (%) | |
|---|---|---|---|---|---|
| PD RANGE | EXTERNAL RATING EQUIVALENT | ARITHMETIC AVERAGE PD (%) | NUMBER OF OBLIGORS AT THE END OF THE PREVIOUS YEAR | OF WHICH: DEFAULTED DURING THE YEAR | AVERAGE HISTORICAL ANNUAL DEFAULT RATE (%) |
| 0005 | 0006 | 0010 | 0020 | 0030 | 0050 |
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 | |||||||
|---|---|---|---|---|---|---|---|---|---|---|---|
| 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 | ||||||
| ORIGINAL EXPOSURE PRE CONVERSION FACTORS | EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS | OF WHICH: OFF BALANCE SHEET ITEMS | EXPOSURE VALUE | OF WHICH: OFF BALANCE SHEET ITEMS | OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK | RISK WEIGHT | RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS | (-) VALUE ADJUSTMENTS AND PROVISIONS | |||
| 0010 | 0020 | 0030 | 0040 | 0050 | 0060 | 0070 | 0080 | 0100 | |||
| 0010 | CATEGORY 1 | LESS THAN 2.5 YEARS | 50 % | ||||||||
| 0020 | CATEGORY 1 | EQUAL TO OR MORE THAN 2.5 YEARS | 70 % | ||||||||
| 0030 | CATEGORY 2 | LESS THAN 2.5 YEARS | 70 % | ||||||||
| 0040 | CATEGORY 2 | EQUAL TO OR MORE THAN 2.5 YEARS | 90 % | ||||||||
| 0050 | CATEGORY 3 | LESS THAN 2.5 YEARS | 115 % | ||||||||
| 0060 | CATEGORY 3 | EQUAL TO OR MORE THAN 2.5 YEARS | 115 % | ||||||||
| 0070 | CATEGORY 4 | LESS THAN 2.5 YEARS | 250 % | ||||||||
| 0080 | CATEGORY 4 | EQUAL TO OR MORE THAN 2.5 YEARS | 250 % | ||||||||
| 0090 | CATEGORY 5 | LESS THAN 2.5 YEARS | — | ||||||||
| 0100 | CATEGORY 5 | EQUAL TO OR MORE THAN 2.5 YEARS | — | ||||||||
| 0110 | TOTAL | LESS THAN 2.5 YEARS | |||||||||
| 0120 | TOTAL | EQUAL TO OR MORE THAN 2.5 YEARS |
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 | |||||
| 0020 | OF WHICH: REGIONAL GOVERNMENTS OR LOCAL AUTHORITIES | |||||
| 0030 | OF WHICH: PUBLIC SECTOR ENTITIES | |||||
| 0040 | INSTITUTIONS | |||||
| 0050 | CORPORATES | |||||
| 0060 | OF WHICH: CORPORATES - SPECIALISED LENDING, EXCLUDING SLOTTING APPROACH | |||||
| 0070 | OF WHICH: CORPORATES - SPECIALISED LENDING, INCLUDING SLOTTING APPROACH | |||||
| 0080 | OF WHICH: CORPORATES - SMES | |||||
| 0090 | RETAIL | |||||
| 0100 | OF WHICH RETAIL – SECURED BY REAL ESTATE SMES | |||||
| 0110 | OF WHICH RETAIL – SECURED BY REAL ESTATE NON-SMES | |||||
| 0120 | OF WHICH RETAIL – QUALIFYING REVOLVING | |||||
| 0130 | OF WHICH RETAIL – OTHER SMES | |||||
| 0140 | OF WHICH RETAIL – OTHER NON-SMES | |||||
| 0150 | EQUITY | |||||
| 0160 | OTHER NON-CREDIT OBLIGATION ASSETS | |||||
| 0170 | TOTAL |
C 09.01 - GEOGRAPHICAL BREAKDOWN OF EXPOSURES BY RESIDENCE OF THE OBLIGOR: SA EXPOSURES (CR GB 1)
Country:
| ORIGINAL EXPOSURE PRE CONVERSION FACTORS | ORIGINAL EXPOSURE PRE CONVERSION FACTORS | Observed new defaults for the period | General credit risk adjustments | Specific credit risk adjustments | Write offs | Additional value adjustments and other own funds reductions | Credit risk adjustments/write-offs for observed new defaults | 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 | ||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Defaulted exposures | Observed new defaults for the period | General credit risk adjustments | Specific credit risk adjustments | Write offs | Additional value adjustments and other own funds reductions | Credit risk adjustments/write-offs for observed new defaults | 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 | |||
| 0010 | 0020 | 0040 | 0050 | 0055 | 0060 | 0061 | 0070 | 0075 | 0080 | 0081 | 0082 | 0090 | ||
| 0010 | Central governments or central banks | |||||||||||||
| 0020 | Regional governments or local authorities | |||||||||||||
| 0030 | Public sector entities | |||||||||||||
| 0040 | Multilateral Development Banks | |||||||||||||
| 0050 | International Organisations | |||||||||||||
| 0060 | Institutions | |||||||||||||
| 0070 | Corporates | |||||||||||||
| 0075 | of which: SME | |||||||||||||
| 0080 | Retail | |||||||||||||
| 0085 | of which: SME | |||||||||||||
| 0090 | Secured by mortgages on immovable property | |||||||||||||
| 0095 | of which: SME | |||||||||||||
| 0100 | Exposures in default | |||||||||||||
| 0110 | Items associated with particularly high risk | |||||||||||||
| 0120 | Covered bonds | |||||||||||||
| 0130 | Claims on institutions and corporates with a short-term credit assessment | |||||||||||||
| 0140 | Collective investments undertakings (CIU) | |||||||||||||
| 0141 | Look-through approach | |||||||||||||
| 0142 | Mandate-based approach | |||||||||||||
| 0143 | Fall-back approach | |||||||||||||
| 0150 | Equity exposures | |||||||||||||
| 0160 | Other exposures | |||||||||||||
| 0170 | Total exposures |
C 09.02 - GEOGRAPHICAL BREAKDOWN OF EXPOSURES BY RESIDENCE OF THE OBLIGOR: IRB EXPOSURES (CR GB 2)
Country:
| ORIGINAL EXPOSURE PRE CONVERSION FACTORS | ORIGINAL EXPOSURE PRE CONVERSION FACTORS | Observed new defaults for the period | General credit risk adjustments | Specific credit risk adjustments | Write off | Credit risk adjustments/write-offs for observed new defaults | PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%) | EXPOSURE WEIGHTED AVERAGE LGD (%) | EXPOSURE WEIGHTED AVERAGE LGD (%) | EXPOSURE VALUE | 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 | EXPECTED LOSS AMOUNT | |||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Of which: defaulted | Observed new defaults for the period | General credit risk adjustments | Specific credit risk adjustments | Write off | Credit risk adjustments/write-offs for observed new defaults | PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%) | Of which: defaulted | EXPOSURE VALUE | RISK WEIGHTED EXPOSURE AMOUNT PRE SUPPORTING FACTORS | Of which: defaulted | (-) 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 | EXPECTED LOSS AMOUNT | ||||
| 0010 | 0030 | 0040 | 0050 | 0055 | 0060 | 0070 | 0080 | 0090 | 0100 | 0105 | 0110 | 0120 | 0121 | 0122 | 0125 | 0130 | ||
| 0010 | Central governments or central banks | |||||||||||||||||
| 0020 | Institutions | |||||||||||||||||
| 0030 | Corporates | |||||||||||||||||
| 0042 | Of Which: Specialised Lending (excl. SL under the slotting approach) | |||||||||||||||||
| 0045 | Of Which: Specialised Lending under the slotting approach | |||||||||||||||||
| 0050 | Of Which: SME | |||||||||||||||||
| 0060 | Retail | |||||||||||||||||
| 0070 | Secured by immovable property | |||||||||||||||||
| 0080 | SME | |||||||||||||||||
| 0090 | Non-SME | |||||||||||||||||
| 0100 | Qualifying Revolving | |||||||||||||||||
| 0110 | Other Retail | |||||||||||||||||
| 0120 | SME | |||||||||||||||||
| 0130 | Non-SME | |||||||||||||||||
| 0140 | Equity | |||||||||||||||||
| 0150 | Total exposures |
C 09.04 - BREAKDOWN OF CREDIT EXPOSURES RELEVANT FOR THE CALCULATION OF THE COUNTERCYCLICAL BUFFER BY COUNTRY AND INSTITUTION-SPECIFIC COUNTERCYCLICAL BUFFER RATE (CCB)
Country:
| Amount | Percentage | Qualitative information | ||
|---|---|---|---|---|
| 0010 | 0020 | 0030 | ||
| Relevant credit exposures - Credit Risk | Relevant credit exposures - Credit Risk | |||
| 0010 | Exposure value under the Standardised Approach | |||
| 0020 | Exposure value under the IRB Approach | |||
| Relevant credit exposures – Market risk | Relevant credit exposures – Market risk | |||
| 0030 | Sum of long and short positions of trading book exposures for standardised approaches | |||
| 0040 | Value of trading book exposures for internal models | |||
| Relevant credit exposures – Securitisation | Relevant credit exposures – Securitisation | |||
| 0055 | Exposure value of securitisation positions in the banking book | |||
| Own funds requirements and weights | Own funds requirements and weights | |||
| 0070 | Total own funds requirements for CCB | |||
| 0080 | Own funds requirements for relevant credit exposures – Credit risk | |||
| 0090 | Own funds requirements for relevant credit exposures – Market risk | |||
| 0100 | Own funds requirements for relevant credit exposures – Securitisation positions in the banking book | |||
| 0110 | Own funds requirements weights | |||
| Countercyclical capital buffer rates | Countercyclical capital buffer rates | |||
| 0120 | Countercyclical capital buffer rate set by the Designated Authority | |||
| 0130 | Countercyclical capital buffer rate applicable for the country of the institution | |||
| 0140 | Institution-specific countercyclical capital buffer rate | |||
| Use of 2 % threshold | Use of 2 % threshold | |||
| 0150 | Use of 2 % threshold for general credit exposure | |||
| 0160 | Use of 2 % threshold for trading book exposure |
C 10.01 - CREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS (CR EQU IRB 1)
| INTERNAL RATING SCALE | ORIGINAL EXPOSURE PRE CONVERSION FACTORS | CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE | CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE | CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE | EXPOSURE VALUE | EXPOSURE WEIGHTED AVERAGE LGD (%) | RISK WEIGHTED EXPOSURE AMOUNT | MEMORANDUM ITEM: | |||
|---|---|---|---|---|---|---|---|---|---|---|---|
| INTERNAL RATING SCALE | ORIGINAL EXPOSURE PRE CONVERSION FACTORS | UNFUNDED CREDIT PROTECTION | UNFUNDED CREDIT PROTECTION | SUBSTITUTION OF THE EXPOSURE DUE TO CRM | EXPOSURE VALUE | OF WHICH: OFF BALANCE SHEET ITEMS | EXPOSURE WEIGHTED AVERAGE LGD (%) | RISK WEIGHTED EXPOSURE AMOUNT | EXPECTED LOSS AMOUNT | ||
| PD ASSIGNED TO THE OBLIGOR GRADE (%) | ORIGINAL EXPOSURE PRE CONVERSION FACTORS | (-) GUARANTEES | (-) CREDIT DERIVATIVES | (-) TOTAL OUTFLOWS | EXPOSURE VALUE | OF WHICH: OFF BALANCE SHEET ITEMS | EXPOSURE WEIGHTED AVERAGE LGD (%) | RISK WEIGHTED EXPOSURE AMOUNT | EXPECTED LOSS AMOUNT | ||
| 0010 | 0020 | 0030 | 0040 | 0050 | 0060 | 0061 | 0070 | 0080 | 0090 | ||
| 0010 | TOTAL IRB EQUITY EXPOSURES | Cell linked to CA | |||||||||
| 0020 | PD/LGD APRROACH: TOTAL | ||||||||||
| 0050 | SIMPLE RISK WEIGHT APPROACH: TOTAL | ||||||||||
| 0060 | BREAKDOWN OF TOTAL EXPOSURES UNDER THE SIMPLE RISK WEIGHT APRROACH BY RISK WEIGHTS: | BREAKDOWN OF TOTAL EXPOSURES UNDER THE SIMPLE RISK WEIGHT APRROACH BY RISK WEIGHTS: | BREAKDOWN OF TOTAL EXPOSURES UNDER THE SIMPLE RISK WEIGHT APRROACH BY RISK WEIGHTS: | BREAKDOWN OF TOTAL EXPOSURES UNDER THE SIMPLE RISK WEIGHT APRROACH BY RISK WEIGHTS: | BREAKDOWN OF TOTAL EXPOSURES UNDER THE SIMPLE RISK WEIGHT APRROACH BY RISK WEIGHTS: | BREAKDOWN OF TOTAL EXPOSURES UNDER THE SIMPLE RISK WEIGHT APRROACH BY RISK WEIGHTS: | BREAKDOWN OF TOTAL EXPOSURES UNDER THE SIMPLE RISK WEIGHT APRROACH BY RISK WEIGHTS: | BREAKDOWN OF TOTAL EXPOSURES UNDER THE SIMPLE RISK WEIGHT APRROACH BY RISK WEIGHTS: | BREAKDOWN OF TOTAL EXPOSURES UNDER THE SIMPLE RISK WEIGHT APRROACH BY RISK WEIGHTS: | BREAKDOWN OF TOTAL EXPOSURES UNDER THE SIMPLE RISK WEIGHT APRROACH BY RISK WEIGHTS: | BREAKDOWN OF TOTAL EXPOSURES UNDER THE SIMPLE RISK WEIGHT APRROACH BY RISK WEIGHTS: |
| 0070 | RISK WEIGHT: 190 % | ||||||||||
| 0080 | 290 % | ||||||||||
| 0090 | 370 % | ||||||||||
| 0100 | INTERNAL MODELS APPROACH | ||||||||||
| 0110 | EQUITY EXPOSURES SUBJECT TO RISK WEIGHTS | ||||||||||
| 0120 | CIU EXPOSURES SUBJECT TO THE FALL-BACK APPROACH |
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)
| OBLIGOR GRADE (ROW IDENTIFIER) | INTERNAL RATING SCALE | ORIGINAL EXPOSURE PRE CONVERSION FACTORS | CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE | CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE | CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE | EXPOSURE VALUE | EXPOSURE WEIGHTED AVERAGE LGD (%) | RISK WEIGHTED EXPOSURE AMOUNT | MEMORANDUM ITEM: |
|---|---|---|---|---|---|---|---|---|---|
| OBLIGOR GRADE (ROW IDENTIFIER) | INTERNAL RATING SCALE | ORIGINAL EXPOSURE PRE CONVERSION FACTORS | UNFUNDED CREDIT PROTECTION | UNFUNDED CREDIT PROTECTION | SUBSTITUTION OF THE EXPOSURE DUE TO CRM | EXPOSURE VALUE | EXPOSURE WEIGHTED AVERAGE LGD (%) | RISK WEIGHTED EXPOSURE AMOUNT | EXPECTED LOSS AMOUNT |
| OBLIGOR GRADE (ROW IDENTIFIER) | PD ASSIGNED TO THE OBLIGOR GRADE (%) | ORIGINAL EXPOSURE PRE CONVERSION FACTORS | (-) GUARANTEES | (-) CREDIT DERIVATIVES | (-) TOTAL OUTFLOWS | EXPOSURE VALUE | EXPOSURE WEIGHTED AVERAGE LGD (%) | RISK WEIGHTED EXPOSURE AMOUNT | EXPECTED LOSS AMOUNT |
| 0005 | 0010 | 0020 | 0030 | 0040 | 0050 | 0060 | 0070 | 0080 | 0090 |
C 11.00 - SETTLEMENT/DELIVERY RISK (CR SETT)
| UNSETTLED TRANSACTIONS AT SETTLEMENT PRICE | PRICE DIFFERENCE EXPOSURE DUE TO UNSETTLED TRANSACTIONS | OWN FUNDS REQUIREMENTS | TOTAL SETTLEMENT RISK EXPOSURE AMOUNT | ||
|---|---|---|---|---|---|
| 0010 | 0020 | 0030 | 0040 | ||
| 0010 | Total unsettled transactions in the Non-trading Book | Cell linked to CA | |||
| 0020 | Transactions unsettled up to 4 days (Factor 0%) | ||||
| 0030 | Transactions unsettled between 5 and 15 days (Factor 8%) | ||||
| 0040 | Transactions unsettled between 16 and 30 days (Factor 50%) | ||||
| 0050 | Transactions unsettled between 31 and 45 days (Factor 75%) | ||||
| 0060 | Transactions unsettled for 46 days or more (Factor 100%) | ||||
| 0070 | Total unsettled transactions in the Trading Book | Cell linked to CA | |||
| 0080 | Transactions unsettled up to 4 days (Factor 0%) | ||||
| 0090 | Transactions unsettled between 5 and 15 days (Factor 8%) | ||||
| 0100 | Transactions unsettled between 16 and 30 days (Factor 50%) | ||||
| 0110 | Transactions unsettled between 31 and 45 days (Factor 75%) | ||||
| 0120 | Transactions unsettled for 46 days or more (Factor 100%) |
C 13.01 - CREDIT RISK: SECURITISATIONS (CR SEC)
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