LegalizeCommission Implementing Regulation (EU) 2022/1994 of 21 November 2022 amending the implementing technical standards laid down in Implementing Regulation (EU) 2021/451 as regards own funds, asset encumbrance, liquidity and reporting for the purposes of identifying global systemically important institutions (Text with EEA relevance)
This is the act as published. Later amendments are not folded into the text below: each one is a separate act in this repository and an entry in this law's history.
| INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP | INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP | INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP | INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP | INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP | INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP | INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP | INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP | INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP | INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP | INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP | INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP | INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP | INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP | INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP | INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP | CAPITAL BUFFERS | CAPITAL BUFFERS | CAPITAL BUFFERS | CAPITAL BUFFERS | CAPITAL BUFFERS | CAPITAL BUFFERS | CAPITAL BUFFERS | ||
| TOTAL RISK EXPOSURE AMOUNT | QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS | CONSOLIDATED OWN FUNDS | COMBINED BUFFER REQUIREMENTS | |||||||||||||||||||||
| TOTAL RISK EXPOSURE AMOUNT | CREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/DELIVERY RISK | POSITION, FX AND COMMODITIES RISKS | OPERATIONAL RISK | OTHER RISK EXPOSURE AMOUNTS | QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS | 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 | CONSOLIDATED OWN FUNDS | OF WHICH: COMMON EQUITY TIER 1 | OF WHICH: ADDITIONAL TIER 1 | OF WHICH: CONRIBUTIONS TO CONSOLIDATED RESULT | OF WHICH: (–) GOODWILL / (+) NEGATIVE GOODWILL | COMBINED BUFFER REQUIREMENTS | 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 | ||||
| TOTAL RISK EXPOSURE AMOUNT | CREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/DELIVERY RISK | POSITION, FX AND COMMODITIES RISKS | OPERATIONAL RISK | OTHER RISK EXPOSURE AMOUNTS | QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS | QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 1 CAPITAL | MINORITY INTERESTS INCLUDED IN CONSOLIDATED COMMON EQUITY TIER 1 CAPITAL | QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED ADDITIONAL TIER 1 CAPITAL | QUALIFYING OWN FUNDS INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 2 CAPITAL | MEMORANDUM ITEM: GOODWILL (–) / (+) NEGATIVE GOODWILL | CONSOLIDATED OWN FUNDS | OF WHICH: COMMON EQUITY TIER 1 | OF WHICH: ADDITIONAL TIER 1 | OF WHICH: CONRIBUTIONS TO CONSOLIDATED RESULT | OF WHICH: (–) GOODWILL / (+) NEGATIVE GOODWILL | COMBINED BUFFER REQUIREMENTS | 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 | ||
| 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 |
C 06.02 - GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS)
| ENTITIES WITHIN SCOPE OF CONSOLIDATION | ENTITIES WITHIN SCOPE OF CONSOLIDATION | ENTITIES WITHIN SCOPE OF CONSOLIDATION | ENTITIES WITHIN SCOPE OF CONSOLIDATION | ENTITIES WITHIN SCOPE OF CONSOLIDATION | ENTITIES WITHIN SCOPE OF CONSOLIDATION | ENTITIES WITHIN SCOPE OF CONSOLIDATION | ENTITIES WITHIN SCOPE OF CONSOLIDATION | ENTITIES WITHIN SCOPE OF CONSOLIDATION | INFORMATION ON ENTITIES SUBJECT TO OWN FUNDS REQUIREMENTS | INFORMATION ON ENTITIES SUBJECT TO OWN FUNDS REQUIREMENTS | INFORMATION ON ENTITIES SUBJECT TO OWN FUNDS REQUIREMENTS | INFORMATION ON ENTITIES SUBJECT TO OWN FUNDS REQUIREMENTS | INFORMATION ON ENTITIES SUBJECT TO OWN FUNDS REQUIREMENTS | INFORMATION ON ENTITIES SUBJECT TO OWN FUNDS REQUIREMENTS | INFORMATION ON ENTITIES SUBJECT TO OWN FUNDS REQUIREMENTS | INFORMATION ON ENTITIES SUBJECT TO OWN FUNDS REQUIREMENTS | INFORMATION ON ENTITIES SUBJECT TO OWN FUNDS REQUIREMENTS | INFORMATION ON ENTITIES SUBJECT TO OWN FUNDS REQUIREMENTS | INFORMATION ON ENTITIES SUBJECT TO OWN FUNDS REQUIREMENTS | INFORMATION ON ENTITIES SUBJECT TO OWN FUNDS REQUIREMENTS | INFORMATION ON ENTITIES SUBJECT TO OWN FUNDS REQUIREMENTS | INFORMATION ON ENTITIES SUBJECT TO OWN FUNDS REQUIREMENTS | INFORMATION ON ENTITIES SUBJECT TO OWN FUNDS REQUIREMENTS | INFORMATION ON ENTITIES SUBJECT TO OWN FUNDS REQUIREMENTS | INFORMATION ON ENTITIES SUBJECT TO OWN FUNDS REQUIREMENTS | INFORMATION ON ENTITIES SUBJECT TO OWN FUNDS REQUIREMENTS | INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP | INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP | INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP | INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP | INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP | INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP | INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP | INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP | INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP | INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP | INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP | INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP | INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP | INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP | INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP | INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP | CAPITAL BUFFERS | CAPITAL BUFFERS | CAPITAL BUFFERS | CAPITAL BUFFERS | CAPITAL BUFFERS | CAPITAL BUFFERS | CAPITAL BUFFERS |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 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 | TOTAL RISK EXPOSURE AMOUNT | QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS | CONSOLIDATED OWN FUNDS | COMBINED BUFFER REQUIREMENT | |||||||||||||||||||||||||||||||||||
| 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 | CREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/DELIVERY RISK | POSITION, FX AND COMMODITIES RISKS | OPERATIONAL RISK | OTHER RISK EXPOSURE AMOUNTS | OWN FUNDS | TOTAL TIER 1 CAPITAL | TIER 2 CAPITAL | TOTAL RISK EXPOSURE AMOUNT | CREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/DELIVERY RISK | POSITION, FX AND COMMODITIES RISKS | OPERATIONAL RISK | OTHER RISK EXPOSURE AMOUNTS | QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS | 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 | CONSOLIDATED OWN FUNDS | OF WHICH: COMMON EQUITY TIER 1 | OF WHICH: ADDITIONAL TIER 1 | OF WHICH: CONRIBUTIONS TO CONSOLIDATED RESULT | OF WHICH: (-) GOODWILL / (+) NEGATIVE GOODWILL | COMBINED BUFFER REQUIREMENT | 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 | ||||||||||||
| 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 | CREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/DELIVERY RISK | POSITION, FX AND COMMODITIES RISKS | OPERATIONAL RISK | OTHER RISK EXPOSURE AMOUNTS | OWN FUNDS | TOTAL TIER 1 CAPITAL | COMMON EQUITY TIER 1 CAPITAL | ADDITIONAL TIER 1 CAPITAL | TIER 2 CAPITAL | TOTAL RISK EXPOSURE AMOUNT | CREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/DELIVERY RISK | POSITION, FX AND COMMODITIES RISKS | OPERATIONAL RISK | OTHER RISK EXPOSURE AMOUNTS | QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS | QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 1 CAPITAL | MINORITY INTERESTS INCLUDED IN CONSOLIDATED COMMON EQUITY TIER 1 CAPITAL | QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED ADDITIONAL TIER 1 CAPITAL | QUALIFYING OWN FUNDS INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 2 CAPITAL | MEMORANDUM ITEM: GOODWILL (-) / (+) NEGATIVE GOODWILL | CONSOLIDATED OWN FUNDS | OF WHICH: COMMON EQUITY TIER 1 | OF WHICH: ADDITIONAL TIER 1 | OF WHICH: CONRIBUTIONS TO CONSOLIDATED RESULT | OF WHICH: (-) GOODWILL / (+) NEGATIVE GOODWILL | COMBINED BUFFER REQUIREMENT | 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 | ||||||||
| 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 | CREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/DELIVERY RISK | POSITION, FX AND COMMODITIES RISKS | OPERATIONAL RISK | OTHER RISK EXPOSURE AMOUNTS | OWN FUNDS | OF WHICH: QUALIFYING OWN FUNDS | RELATED OWN FUNDS INSTRUMENTS, RELATED RETAINED EARNINGS AND SHARE PREMIUM ACCOUNTS | TOTAL TIER 1 CAPITAL | OF WHICH: QUALIFYING TIER 1 CAPITAL | RELATED T1 INSTRUMENTS, RELATED RETAINED EARNINGS AND SHARE PREMIUM ACCOUNTS | COMMON EQUITY TIER 1 CAPITAL | OF WHICH: MINORITY INTERESTS | RELATED OWN FUNDS INSTRUMENTS, RELATED RETAINED EARNINGS, SHARE PREMIUM ACCOUNTS AND OTHER RESERVES | ADDITIONAL TIER 1 CAPITAL | OF WHICH: QUALIFYING ADDITIONAL TIER 1 CAPITAL | TIER 2 CAPITAL | OF WHICH: QUALIFYING TIER 2 CAPITAL | TOTAL RISK EXPOSURE AMOUNT | CREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/DELIVERY RISK | POSITION, FX AND COMMODITIES RISKS | OPERATIONAL RISK | OTHER RISK EXPOSURE AMOUNTS | QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS | QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 1 CAPITAL | MINORITY INTERESTS INCLUDED IN CONSOLIDATED COMMON EQUITY TIER 1 CAPITAL | QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED ADDITIONAL TIER 1 CAPITAL | QUALIFYING OWN FUNDS INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 2 CAPITAL | MEMORANDUM ITEM: GOODWILL (-) / (+) NEGATIVE GOODWILL | CONSOLIDATED OWN FUNDS | OF WHICH: COMMON EQUITY TIER 1 | OF WHICH: ADDITIONAL TIER 1 | OF WHICH: CONRIBUTIONS TO CONSOLIDATED RESULT | OF WHICH: (-) GOODWILL / (+) NEGATIVE GOODWILL | COMBINED BUFFER REQUIREMENT | 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 |
| 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 |
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 | 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 | NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS | CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE EXPOSURE AMOUNT: FUNDED CREDIT PROTECTION. FINANCIAL COLLATERAL COMPREHENSIVE METHOD | CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE EXPOSURE AMOUNT: FUNDED CREDIT PROTECTION. FINANCIAL COLLATERAL COMPREHENSIVE METHOD | 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 | BREAKDOWN OF THE FULLY ADJUSTED EXPOSURE VALUE OF OFF-BALANCE SHEET ITEMS BY CONVERSION FACTORS | BREAKDOWN OF THE FULLY ADJUSTED EXPOSURE VALUE OF OFF-BALANCE SHEET ITEMS BY CONVERSION FACTORS | 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 | ||||||
| ORIGINAL EXPOSURE PRE CONVERSION FACTORS | (-) VALUE ADJUSTMENTS AND PROVISIONS ASSOCIATED WITH THE ORIGINAL EXPOSURE | EXPOSURE NET OF VALUE ADJUSTMENTS AND PROVISIONS | UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (Ga) | UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (Ga) | FUNDED CREDIT PROTECTION | FUNDED CREDIT PROTECTION | SUBSTITUTION OF THE EXPOSURE DUE TO CRM | SUBSTITUTION OF THE EXPOSURE DUE TO CRM | NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS | VOLATILITY ADJUSTMENT TO THE EXPOSURE | (-) FINANCIAL COLLATERAL: ADJUSTED VALUE (Cvam) | (-) FINANCIAL COLLATERAL: ADJUSTED VALUE (Cvam) | FULLY ADJUSTED EXPOSURE VALUE (E*) | 0 % | 20 % | 50 % | 100 % | EXPOSURE VALUE | OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK | 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 | OF WHICH: WITH A CREDIT ASSESSMENT BY A NOMINATED ECAI | OF WHICH: WITH A CREDIT ASSESSMENT DERIVED FROM CENTRAL GOVERNMENT | |||
| ORIGINAL EXPOSURE PRE CONVERSION FACTORS | (-) VALUE ADJUSTMENTS AND PROVISIONS ASSOCIATED WITH THE ORIGINAL EXPOSURE | EXPOSURE NET OF VALUE ADJUSTMENTS AND PROVISIONS | (-) GUARANTEES | (-) CREDIT DERIVATIVES | (-) FINANCIAL COLLATERAL: SIMPLE METHOD | (-) OTHER FUNDED CREDIT PROTECTION | (-) TOTAL OUTFLOWS | TOTAL INFLOWS (+) | NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS | VOLATILITY ADJUSTMENT TO THE EXPOSURE | (-) OF WHICH: VOLATILITY AND MATURITY ADJUSTMENTS | FULLY ADJUSTED EXPOSURE VALUE (E*) | 0 % | 20 % | 50 % | 100 % | EXPOSURE VALUE | OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK | OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK EXCLUDING EXPOSURES CLEARED THROUGH A CCP | 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 | OF WHICH: WITH A CREDIT ASSESSMENT BY A NOMINATED ECAI | OF WHICH: WITH A CREDIT ASSESSMENT DERIVED FROM CENTRAL GOVERNMENT | |||
| 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 | Cell linked to CA | ||||||||||||||||||||||||||
| 0015 | of which: Defaulted exposures in exposure classes “items associated with a particular high risk” and “equity exposures” | |||||||||||||||||||||||||||
| 0020 | of which: SME | |||||||||||||||||||||||||||
| 0030 | of which: Exposures subject to SME-supporting factor | |||||||||||||||||||||||||||
| 0035 | of which: Exposures subject to the Infrastructure supporting factor | |||||||||||||||||||||||||||
| 0040 | of which: Secured by mortgages on immovable property - Residential property | |||||||||||||||||||||||||||
| 0050 | of which: Exposures under the permanent partial use of the standardised approach | |||||||||||||||||||||||||||
| 0060 | of which: Exposures under the standardised approach with prior supervisory permission to carry out a sequential IRB implementation | |||||||||||||||||||||||||||
| BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES: | BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES: | BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES: | BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES: | BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES: | BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES: | BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES: | BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES: | BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES: | BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES: | BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES: | BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES: | BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES: | BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES: | BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES: | BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES: | BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES: | BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES: | BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES: | BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES: | BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES: | BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES: | BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES: | BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES: | BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES: | BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES: | BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES: | BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES: | BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES: |
| 0070 | On balance sheet exposures subject to credit risk | |||||||||||||||||||||||||||
| 0080 | Off balance sheet exposures subject to credit risk | |||||||||||||||||||||||||||
| Exposures / Transactions subject to counterparty credit risk | ||||||||||||||||||||||||||||
| 0090 | Securities Financing Transactions netting sets | |||||||||||||||||||||||||||
| 0100 | of which: centrally cleared through a QCCP | |||||||||||||||||||||||||||
| 0110 | Derivatives & Long Settlement Transactions netting sets | |||||||||||||||||||||||||||
| 0120 | of which: centrally cleared through a QCCP | |||||||||||||||||||||||||||
| 0130 | From Contractual Cross Product netting sets | |||||||||||||||||||||||||||
| BREAKDOWN OF TOTAL EXPOSURES BY RISK WEIGHTS: | BREAKDOWN OF TOTAL EXPOSURES BY RISK WEIGHTS: | BREAKDOWN OF TOTAL EXPOSURES BY RISK WEIGHTS: | BREAKDOWN OF TOTAL EXPOSURES BY RISK WEIGHTS: | BREAKDOWN OF TOTAL EXPOSURES BY RISK WEIGHTS: | BREAKDOWN OF TOTAL EXPOSURES BY RISK WEIGHTS: | BREAKDOWN OF TOTAL EXPOSURES BY RISK WEIGHTS: | BREAKDOWN OF TOTAL EXPOSURES BY RISK WEIGHTS: | BREAKDOWN OF TOTAL EXPOSURES BY RISK WEIGHTS: | BREAKDOWN OF TOTAL EXPOSURES BY RISK WEIGHTS: | BREAKDOWN OF TOTAL EXPOSURES BY RISK WEIGHTS: | BREAKDOWN OF TOTAL EXPOSURES BY RISK WEIGHTS: | BREAKDOWN OF TOTAL EXPOSURES BY RISK WEIGHTS: | BREAKDOWN OF TOTAL EXPOSURES BY RISK WEIGHTS: | BREAKDOWN OF TOTAL EXPOSURES BY RISK WEIGHTS: | BREAKDOWN OF TOTAL EXPOSURES BY RISK WEIGHTS: | BREAKDOWN OF TOTAL EXPOSURES BY RISK WEIGHTS: | BREAKDOWN OF TOTAL EXPOSURES BY RISK WEIGHTS: | BREAKDOWN OF TOTAL EXPOSURES BY RISK WEIGHTS: | BREAKDOWN OF TOTAL EXPOSURES BY RISK WEIGHTS: | BREAKDOWN OF TOTAL EXPOSURES BY RISK WEIGHTS: | BREAKDOWN OF TOTAL EXPOSURES BY RISK WEIGHTS: | BREAKDOWN OF TOTAL EXPOSURES BY RISK WEIGHTS: | BREAKDOWN OF TOTAL EXPOSURES BY RISK WEIGHTS: | BREAKDOWN OF TOTAL EXPOSURES BY RISK WEIGHTS: | BREAKDOWN OF TOTAL EXPOSURES BY RISK WEIGHTS: | BREAKDOWN OF TOTAL EXPOSURES BY RISK WEIGHTS: | BREAKDOWN OF TOTAL EXPOSURES BY RISK WEIGHTS: | BREAKDOWN OF TOTAL EXPOSURES BY RISK WEIGHTS: |
| 0140 | 0 % | |||||||||||||||||||||||||||
| 0150 | 2 % | |||||||||||||||||||||||||||
| 0160 | 4 % | |||||||||||||||||||||||||||
| 0170 | 10 % | |||||||||||||||||||||||||||
| 0180 | 20 % | |||||||||||||||||||||||||||
| 0190 | 35 % | |||||||||||||||||||||||||||
| 0200 | 50 % | |||||||||||||||||||||||||||
| 0210 | 70 % | |||||||||||||||||||||||||||
| 0220 | 75 % | |||||||||||||||||||||||||||
| 0230 | 100 % | |||||||||||||||||||||||||||
| 0240 | 150 % | |||||||||||||||||||||||||||
| 0250 | 250 % | |||||||||||||||||||||||||||
| 0260 | 370 % | |||||||||||||||||||||||||||
| 0270 | 1 250 % | |||||||||||||||||||||||||||
| 0280 | Other risk weights | |||||||||||||||||||||||||||
| BREAKDOWN OF TOTAL EXPOSURES BY APPROACH (CIU): | BREAKDOWN OF TOTAL EXPOSURES BY APPROACH (CIU): | BREAKDOWN OF TOTAL EXPOSURES BY APPROACH (CIU): | BREAKDOWN OF TOTAL EXPOSURES BY APPROACH (CIU): | BREAKDOWN OF TOTAL EXPOSURES BY APPROACH (CIU): | BREAKDOWN OF TOTAL EXPOSURES BY APPROACH (CIU): | BREAKDOWN OF TOTAL EXPOSURES BY APPROACH (CIU): | BREAKDOWN OF TOTAL EXPOSURES BY APPROACH (CIU): | BREAKDOWN OF TOTAL EXPOSURES BY APPROACH (CIU): | BREAKDOWN OF TOTAL EXPOSURES BY APPROACH (CIU): | BREAKDOWN OF TOTAL EXPOSURES BY APPROACH (CIU): | BREAKDOWN OF TOTAL EXPOSURES BY APPROACH (CIU): | BREAKDOWN OF TOTAL EXPOSURES BY APPROACH (CIU): | BREAKDOWN OF TOTAL EXPOSURES BY APPROACH (CIU): | BREAKDOWN OF TOTAL EXPOSURES BY APPROACH (CIU): | BREAKDOWN OF TOTAL EXPOSURES BY APPROACH (CIU): | BREAKDOWN OF TOTAL EXPOSURES BY APPROACH (CIU): | BREAKDOWN OF TOTAL EXPOSURES BY APPROACH (CIU): | BREAKDOWN OF TOTAL EXPOSURES BY APPROACH (CIU): | BREAKDOWN OF TOTAL EXPOSURES BY APPROACH (CIU): | BREAKDOWN OF TOTAL EXPOSURES BY APPROACH (CIU): | BREAKDOWN OF TOTAL EXPOSURES BY APPROACH (CIU): | BREAKDOWN OF TOTAL EXPOSURES BY APPROACH (CIU): | BREAKDOWN OF TOTAL EXPOSURES BY APPROACH (CIU): | BREAKDOWN OF TOTAL EXPOSURES BY APPROACH (CIU): | BREAKDOWN OF TOTAL EXPOSURES BY APPROACH (CIU): | BREAKDOWN OF TOTAL EXPOSURES BY APPROACH (CIU): | BREAKDOWN OF TOTAL EXPOSURES BY APPROACH (CIU): | BREAKDOWN OF TOTAL EXPOSURES BY APPROACH (CIU): |
| 0281 | Look-through approach | |||||||||||||||||||||||||||
| 0282 | Mandate-based approach | |||||||||||||||||||||||||||
| 0283 | Fall-back approach | |||||||||||||||||||||||||||
| MEMORANDUM ITEMS | MEMORANDUM ITEMS | MEMORANDUM ITEMS | MEMORANDUM ITEMS | MEMORANDUM ITEMS | MEMORANDUM ITEMS | MEMORANDUM ITEMS | MEMORANDUM ITEMS | MEMORANDUM ITEMS | MEMORANDUM ITEMS | MEMORANDUM ITEMS | MEMORANDUM ITEMS | MEMORANDUM ITEMS | MEMORANDUM ITEMS | MEMORANDUM ITEMS | MEMORANDUM ITEMS | MEMORANDUM ITEMS | MEMORANDUM ITEMS | MEMORANDUM ITEMS | MEMORANDUM ITEMS | MEMORANDUM ITEMS | MEMORANDUM ITEMS | MEMORANDUM ITEMS | MEMORANDUM ITEMS | MEMORANDUM ITEMS | MEMORANDUM ITEMS | MEMORANDUM ITEMS | MEMORANDUM ITEMS | MEMORANDUM ITEMS |
| 0290 | Exposures secured by mortgages on commercial immovable property | |||||||||||||||||||||||||||
| 0300 | Exposures in default subject to a risk weight of 100 % | |||||||||||||||||||||||||||
| 0310 | Exposures secured by mortgages on residential property | |||||||||||||||||||||||||||
| 0320 | Exposures in default subject to a risk weight of 150 % |
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 | 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 | 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: | ||||||
| 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 | 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 | ||||||
| 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 | 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 | |||||||
| 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 | RECEIVABLES | 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 | ||||
| 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 | RECEIVABLES | 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 | ||||
| 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 | Cell linked to CA | ||||||||||||||||||||||||||||||||||||
| 0015 | of which: Exposures subject to SME-supporting factor | |||||||||||||||||||||||||||||||||||||
| 0016 | of which: Exposures subject to the Infrastructure supporting factor | |||||||||||||||||||||||||||||||||||||
| BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES: | ||||||||||||||||||||||||||||||||||||||
| 0020 | On balance sheet items subject to credit risk | |||||||||||||||||||||||||||||||||||||
| 0030 | Off balance sheet items subject to credit risk | |||||||||||||||||||||||||||||||||||||
| Exposures / Transactions subject to counterparty credit risk | ||||||||||||||||||||||||||||||||||||||
| 0040 | Securities Financing Transactions netting sets | |||||||||||||||||||||||||||||||||||||
| 0050 | Derivatives & Long Settlement Transactions netting sets | |||||||||||||||||||||||||||||||||||||
| 0060 | From Contractual Cross Product netting sets | |||||||||||||||||||||||||||||||||||||
| 0070 | EXPOSURES ASSIGNED TO OBLIGOR GRADES OR POOLS: TOTAL | |||||||||||||||||||||||||||||||||||||
| 0080 | SPECIALIZED LENDING SLOTTING APPROACH: TOTAL | |||||||||||||||||||||||||||||||||||||
| 0160 | ALTERNATIVE TREATMENT: SECURED BY REAL ESTATE | |||||||||||||||||||||||||||||||||||||
| 0170 | EXPOSURES FROM FREE DELIVERIES APPLYING RISK WEIGHTS UNDER THE ALTERNATIVE TREATMENT OR 100% AND OTHER EXPOSURES SUBJECT TO RISK WEIGHTS | |||||||||||||||||||||||||||||||||||||
| 0180 | DILUTION RISK: TOTAL PURCHASED RECEIVABLES |
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 | 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:
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