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.
| ALL POSITIONS | ALL POSITIONS | (-) POSITIONS DEDUCTED FROM OWN FUNDS | (-) POSITIONS DEDUCTED FROM OWN FUNDS | NET POSITIONS | NET POSITIONS | BREAKDOWN OF THE NET POSITION (LONG) ACCORDING TO RISK WEIGHTS | BREAKDOWN OF THE NET POSITION (LONG) ACCORDING TO RISK WEIGHTS | BREAKDOWN OF THE NET POSITION (LONG) ACCORDING TO RISK WEIGHTS | BREAKDOWN OF THE NET POSITION (LONG) ACCORDING TO RISK WEIGHTS | BREAKDOWN OF THE NET POSITION (LONG) ACCORDING TO RISK WEIGHTS | BREAKDOWN OF THE NET POSITION (LONG) ACCORDING TO RISK WEIGHTS | BREAKDOWN OF THE NET POSITION (LONG) ACCORDING TO RISK WEIGHTS | BREAKDOWN OF THE NET POSITION (LONG) ACCORDING TO RISK WEIGHTS | BREAKDOWN OF THE NET POSITION (LONG) ACCORDING TO RISK WEIGHTS | BREAKDOWN OF THE NET POSITION (LONG) ACCORDING TO RISK WEIGHTS | BREAKDOWN OF THE NET POSITION (LONG) ACCORDING TO RISK WEIGHTS | BREAKDOWN OF THE NET POSITION (SHORT) ACCORDING TO RISK WEIGHTS | BREAKDOWN OF THE NET POSITION (SHORT) ACCORDING TO RISK WEIGHTS | BREAKDOWN OF THE NET POSITION (SHORT) ACCORDING TO RISK WEIGHTS | BREAKDOWN OF THE NET POSITION (SHORT) ACCORDING TO RISK WEIGHTS | BREAKDOWN OF THE NET POSITION (SHORT) ACCORDING TO RISK WEIGHTS | BREAKDOWN OF THE NET POSITION (SHORT) ACCORDING TO RISK WEIGHTS | BREAKDOWN OF THE NET POSITION (SHORT) ACCORDING TO RISK WEIGHTS | BREAKDOWN OF THE NET POSITION (SHORT) ACCORDING TO RISK WEIGHTS | BREAKDOWN OF THE NET POSITION (SHORT) ACCORDING TO RISK WEIGHTS | BREAKDOWN OF THE NET POSITION (SHORT) ACCORDING TO RISK WEIGHTS | BREAKDOWN OF THE NET POSITION (SHORT) ACCORDING TO RISK WEIGHTS | BREAKDOWN OF THE NET POSITION ACCORDING TO APPROACHES | BREAKDOWN OF THE NET POSITION ACCORDING TO APPROACHES | BREAKDOWN OF THE NET POSITION ACCORDING TO APPROACHES | BREAKDOWN OF THE NET POSITION ACCORDING TO APPROACHES | BREAKDOWN OF THE NET POSITION ACCORDING TO APPROACHES | BREAKDOWN OF THE NET POSITION ACCORDING TO APPROACHES | BEFORE CAP | BEFORE CAP | AFTER CAP | AFTER CAP | TOTAL OWN FUNDS REQUIRE-MENTS | ||
| LONG | SHORT | (-) LONG | (-) SHORT | LONG | SHORT | [0 - 10%] | [10 - 12%] | [12 - 20%] | [20 - 40%] | [40 - 100%] | [100 - 250%] | [250 - 350%] | [350 - 425%] | [425 - 650%] | [650 - 1250%] | 1250% | [0 - 10%] | [10 - 12%] | [12 - 20%] | [20 - 40%] | [40 - 100%] | [100 - 250%] | [250 - 350%] | [350 - 425%] | [425 - 650%] | [650 - 1250%] | 1250% | SEC-IRBA | SEC-SA | SEC-ERBA | INTERNAL ASSESS-MENT APPROACH | SPECIFIC TREATMENT FOR SENIOR TRANCHES OF QUALIFYING NPE SECURITI-SATIONS | OTHER (RW = 1250%) | WEIGHTED NET LONG POSITIONS | WEIGHTED NET SHORT POSITIONS | WEIGHTED NET LONG POSITIONS | WEIGHTED NET SHORT POSITIONS | TOTAL OWN FUNDS REQUIRE-MENTS | ||
| 0010 | 0020 | 0030 | 0040 | 0050 | 0060 | 0071 | 0072 | 0073 | 0074 | 0075 | 0076 | 0077 | 0078 | 0079 | 0081 | 0082 | 0086 | 0087 | 0088 | 0089 | 0091 | 0092 | 0093 | 0094 | 0095 | 0096 | 0097 | 0402 | 0403 | 0404 | 0405 | 0900 | 0406 | 0410 | 0420 | 0430 | 0440 | 0450 | ||
| 0010 | TOTAL EXPOSURES | Cell linked to MKR SA TDI {0330:0060} | ||||||||||||||||||||||||||||||||||||||
| SECURITISATION POSITIONS: | SECURITISATION POSITIONS: | SECURITISATION POSITIONS: | SECURITISATION POSITIONS: | SECURITISATION POSITIONS: | SECURITISATION POSITIONS: | SECURITISATION POSITIONS: | SECURITISATION POSITIONS: | SECURITISATION POSITIONS: | SECURITISATION POSITIONS: | SECURITISATION POSITIONS: | SECURITISATION POSITIONS: | SECURITISATION POSITIONS: | SECURITISATION POSITIONS: | SECURITISATION POSITIONS: | SECURITISATION POSITIONS: | SECURITISATION POSITIONS: | SECURITISATION POSITIONS: | SECURITISATION POSITIONS: | SECURITISATION POSITIONS: | SECURITISATION POSITIONS: | SECURITISATION POSITIONS: | SECURITISATION POSITIONS: | SECURITISATION POSITIONS: | SECURITISATION POSITIONS: | SECURITISATION POSITIONS: | SECURITISATION POSITIONS: | SECURITISATION POSITIONS: | SECURITISATION POSITIONS: | SECURITISATION POSITIONS: | SECURITISATION POSITIONS: | SECURITISATION POSITIONS: | SECURITISATION POSITIONS: | SECURITISATION POSITIONS: | SECURITISATION POSITIONS: | SECURITISATION POSITIONS: | SECURITISATION POSITIONS: | SECURITISATION POSITIONS: | SECURITISATION POSITIONS: | SECURITISATION POSITIONS: | |
| 0020 | ORIGINATOR: TOTAL EXPOSURES | |||||||||||||||||||||||||||||||||||||||
| 0030 | SECURITISATIONS | |||||||||||||||||||||||||||||||||||||||
| 0040 | OTHER CTP POSITIONS | |||||||||||||||||||||||||||||||||||||||
| 0050 | INVESTOR: TOTAL EXPOSURES | |||||||||||||||||||||||||||||||||||||||
| 0060 | SECURITISATIONS | |||||||||||||||||||||||||||||||||||||||
| 0070 | OTHER CTP POSITIONS | |||||||||||||||||||||||||||||||||||||||
| 0080 | SPONSOR: TOTAL EXPOSURES | |||||||||||||||||||||||||||||||||||||||
| 0090 | SECURITISATIONS | |||||||||||||||||||||||||||||||||||||||
| 0100 | OTHER CTP POSITIONS | |||||||||||||||||||||||||||||||||||||||
| N-TH-TO-DEFAULT CREDIT DERIVATIVES: | N-TH-TO-DEFAULT CREDIT DERIVATIVES: | N-TH-TO-DEFAULT CREDIT DERIVATIVES: | N-TH-TO-DEFAULT CREDIT DERIVATIVES: | N-TH-TO-DEFAULT CREDIT DERIVATIVES: | N-TH-TO-DEFAULT CREDIT DERIVATIVES: | N-TH-TO-DEFAULT CREDIT DERIVATIVES: | N-TH-TO-DEFAULT CREDIT DERIVATIVES: | N-TH-TO-DEFAULT CREDIT DERIVATIVES: | N-TH-TO-DEFAULT CREDIT DERIVATIVES: | N-TH-TO-DEFAULT CREDIT DERIVATIVES: | N-TH-TO-DEFAULT CREDIT DERIVATIVES: | N-TH-TO-DEFAULT CREDIT DERIVATIVES: | N-TH-TO-DEFAULT CREDIT DERIVATIVES: | N-TH-TO-DEFAULT CREDIT DERIVATIVES: | N-TH-TO-DEFAULT CREDIT DERIVATIVES: | N-TH-TO-DEFAULT CREDIT DERIVATIVES: | N-TH-TO-DEFAULT CREDIT DERIVATIVES: | N-TH-TO-DEFAULT CREDIT DERIVATIVES: | N-TH-TO-DEFAULT CREDIT DERIVATIVES: | N-TH-TO-DEFAULT CREDIT DERIVATIVES: | N-TH-TO-DEFAULT CREDIT DERIVATIVES: | N-TH-TO-DEFAULT CREDIT DERIVATIVES: | N-TH-TO-DEFAULT CREDIT DERIVATIVES: | N-TH-TO-DEFAULT CREDIT DERIVATIVES: | N-TH-TO-DEFAULT CREDIT DERIVATIVES: | N-TH-TO-DEFAULT CREDIT DERIVATIVES: | N-TH-TO-DEFAULT CREDIT DERIVATIVES: | N-TH-TO-DEFAULT CREDIT DERIVATIVES: | N-TH-TO-DEFAULT CREDIT DERIVATIVES: | N-TH-TO-DEFAULT CREDIT DERIVATIVES: | N-TH-TO-DEFAULT CREDIT DERIVATIVES: | N-TH-TO-DEFAULT CREDIT DERIVATIVES: | N-TH-TO-DEFAULT CREDIT DERIVATIVES: | N-TH-TO-DEFAULT CREDIT DERIVATIVES: | N-TH-TO-DEFAULT CREDIT DERIVATIVES: | N-TH-TO-DEFAULT CREDIT DERIVATIVES: | N-TH-TO-DEFAULT CREDIT DERIVATIVES: | N-TH-TO-DEFAULT CREDIT DERIVATIVES: | N-TH-TO-DEFAULT CREDIT DERIVATIVES: | |
| 0110 | N-TH-TO-DEFAULT CREDIT DERIVATIVES | |||||||||||||||||||||||||||||||||||||||
| 0120 | OTHER CTP POSITIONS |
C 21.00 - MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES (MKR SA EQU)
National market:
| POSITIONS | POSITIONS | POSITIONS | POSITIONS | POSITIONS | OWN FUNDS REQUIREMENTS | TOTAL RISK EXPOSURE AMOUNT | ||
| ALL POSITIONS | ALL POSITIONS | NET POSITIONS | NET POSITIONS | POSITIONS SUBJECT TO CAPITAL CHARGE | OWN FUNDS REQUIREMENTS | TOTAL RISK EXPOSURE AMOUNT | ||
| LONG | SHORT | NET POSITIONS | NET POSITIONS | POSITIONS SUBJECT TO CAPITAL CHARGE | OWN FUNDS REQUIREMENTS | TOTAL RISK EXPOSURE AMOUNT | ||
| LONG | SHORT | LONG | SHORT | POSITIONS SUBJECT TO CAPITAL CHARGE | OWN FUNDS REQUIREMENTS | TOTAL RISK EXPOSURE AMOUNT | ||
| 0010 | 0020 | 0030 | 0040 | 0050 | 0060 | 0070 | ||
| 0010 | EQUITIES IN TRADING BOOK | Cell linked to CA | ||||||
| 0020 | General risk | |||||||
| 0021 | Derivatives | |||||||
| 0022 | Other assets and liabilities | |||||||
| 0030 | Exchange traded stock-index futures broadly diversified subject to particular approach | |||||||
| 0040 | Other equities than exchange traded stock-index futures broadly diversified | |||||||
| 0050 | Specific risk | |||||||
| 0090 | Additional requirements for options (non-delta risks) | |||||||
| 0100 | Simplified method | |||||||
| 0110 | Delta plus approach - additional requirements for gamma risk | |||||||
| 0120 | Delta plus approach - additional requirements for vega risk | |||||||
| 0125 | Delta plus approach - non-continuous options and warrants | |||||||
| 0130 | Scenario matrix approach |
C 22.00 - MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK (MKR SA FX)
| ALL POSITIONS | ALL POSITIONS | NET POSITIONS | NET POSITIONS | POSITIONS SUBJECT TO CAPITAL CHARGE (Including redistribution of unmatched positions in non-reporting currencies subject to special treatment for matched positions) | POSITIONS SUBJECT TO CAPITAL CHARGE (Including redistribution of unmatched positions in non-reporting currencies subject to special treatment for matched positions) | POSITIONS SUBJECT TO CAPITAL CHARGE (Including redistribution of unmatched positions in non-reporting currencies subject to special treatment for matched positions) | OWN FUNDS REQUIREMENTS | TOTAL RISK EXPOSURE AMOUNT | ||
| LONG | SHORT | LONG | SHORT | LONG | SHORT | MATCHED | OWN FUNDS REQUIREMENTS | TOTAL RISK EXPOSURE AMOUNT | ||
| 0020 | 0030 | 0040 | 0050 | 0060 | 0070 | 0080 | 0090 | 0100 | ||
| 0010 | TOTAL POSITIONS | Cell linked to CA | ||||||||
| 0020 | Currencies closely correlated | |||||||||
| 0025 | of which: reporting currency | |||||||||
| 0030 | All other currencies (including CIUs treated as different currencies) | |||||||||
| 0040 | Gold | |||||||||
| 0050 | Additional requirements for options (non-delta risks) | |||||||||
| 0060 | Simplified method | |||||||||
| 0070 | Delta plus approach - additional requirements for gamma risk | |||||||||
| 0080 | Delta plus approach - additional requirements for vega risk | |||||||||
| 0085 | Delta plus approach - non-continuous options and warrants | |||||||||
| 0090 | Scenario matrix approach | |||||||||
| BREAKDOWN OF TOTAL POSITIONS (REPORTING CURRENCY INCLUDED) BY EXPOSURE TYPES | BREAKDOWN OF TOTAL POSITIONS (REPORTING CURRENCY INCLUDED) BY EXPOSURE TYPES | BREAKDOWN OF TOTAL POSITIONS (REPORTING CURRENCY INCLUDED) BY EXPOSURE TYPES | BREAKDOWN OF TOTAL POSITIONS (REPORTING CURRENCY INCLUDED) BY EXPOSURE TYPES | BREAKDOWN OF TOTAL POSITIONS (REPORTING CURRENCY INCLUDED) BY EXPOSURE TYPES | BREAKDOWN OF TOTAL POSITIONS (REPORTING CURRENCY INCLUDED) BY EXPOSURE TYPES | BREAKDOWN OF TOTAL POSITIONS (REPORTING CURRENCY INCLUDED) BY EXPOSURE TYPES | BREAKDOWN OF TOTAL POSITIONS (REPORTING CURRENCY INCLUDED) BY EXPOSURE TYPES | BREAKDOWN OF TOTAL POSITIONS (REPORTING CURRENCY INCLUDED) BY EXPOSURE TYPES | BREAKDOWN OF TOTAL POSITIONS (REPORTING CURRENCY INCLUDED) BY EXPOSURE TYPES | BREAKDOWN OF TOTAL POSITIONS (REPORTING CURRENCY INCLUDED) BY EXPOSURE TYPES |
| 0100 | Other assets and liabilities other than off-balance sheet items and derivatives | |||||||||
| 0110 | Off-balance sheet items | |||||||||
| 0120 | Derivatives | |||||||||
| Memorandum items: CURRENCY POSITIONS | Memorandum items: CURRENCY POSITIONS | Memorandum items: CURRENCY POSITIONS | Memorandum items: CURRENCY POSITIONS | Memorandum items: CURRENCY POSITIONS | Memorandum items: CURRENCY POSITIONS | Memorandum items: CURRENCY POSITIONS | Memorandum items: CURRENCY POSITIONS | Memorandum items: CURRENCY POSITIONS | Memorandum items: CURRENCY POSITIONS | Memorandum items: CURRENCY POSITIONS |
| 0130 | Euro | |||||||||
| 0140 | Lek | |||||||||
| 0150 | Argentine Peso | |||||||||
| 0160 | Australian Dollar | |||||||||
| 0170 | Brazilian Real | |||||||||
| 0180 | Bulgarian Lev | |||||||||
| 0190 | Canadian Dollar | |||||||||
| 0200 | Czech Koruna | |||||||||
| 0210 | Danish Krone | |||||||||
| 0220 | Egyptian Pound | |||||||||
| 0230 | Pound Sterling | |||||||||
| 0240 | Forint | |||||||||
| 0250 | Yen | |||||||||
| 0270 | Lithuanian Litas | |||||||||
| 0280 | Denar | |||||||||
| 0290 | Mexican Peso | |||||||||
| 0300 | Zloty | |||||||||
| 0310 | Rumanian Leu | |||||||||
| 0320 | Russian Ruble | |||||||||
| 0330 | Serbian Dinar | |||||||||
| 0340 | Swedish Krona | |||||||||
| 0350 | Swiss Franc | |||||||||
| 0360 | Turkish Lira | |||||||||
| 0370 | Hryvnia | |||||||||
| 0380 | US Dollar | |||||||||
| 0390 | Iceland Krona | |||||||||
| 0400 | Norwegian Krone | |||||||||
| 0410 | Hong Kong Dollar | |||||||||
| 0420 | New Taiwan Dollar | |||||||||
| 0430 | New Zealand Dollar | |||||||||
| 0440 | Singapore Dollar | |||||||||
| 0450 | Won | |||||||||
| 0460 | Yuan Renminbi | |||||||||
| 0470 | Other | |||||||||
| 0480 | Croatian Kuna |
C 23.00 - MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES (MKR SA COM)
| ALL POSITIONS | ALL POSITIONS | NET POSITIONS | NET POSITIONS | POSITIONS SUBJECT TO CAPITAL CHARGE | OWN FUNDS REQUIREMENTS | TOTAL RISK EXPOSURE AMOUNT | ||
| LONG | SHORT | NET POSITIONS | NET POSITIONS | POSITIONS SUBJECT TO CAPITAL CHARGE | OWN FUNDS REQUIREMENTS | TOTAL RISK EXPOSURE AMOUNT | ||
| LONG | SHORT | LONG | SHORT | POSITIONS SUBJECT TO CAPITAL CHARGE | OWN FUNDS REQUIREMENTS | TOTAL RISK EXPOSURE AMOUNT | ||
| 0010 | 0020 | 0030 | 0040 | 0050 | 0060 | 0070 | ||
| 0010 | TOTAL POSITIONS IN COMMODITIES | Cell linked to CA | ||||||
| 0020 | Precious metals (except gold) | |||||||
| 0030 | Base metals | |||||||
| 0040 | Agricultural products (softs) | |||||||
| 0050 | Others | |||||||
| 0060 | Of which energy products (oil, gas) | |||||||
| 0070 | Maturity ladder approach | |||||||
| 0080 | Extended maturity ladder approach | |||||||
| 0090 | Simplified approach: All positions | |||||||
| 0100 | Additional requirements for options (non-delta risks) | |||||||
| 0110 | Simplified method | |||||||
| 0120 | Delta plus approach - additional requirements for gamma risk | |||||||
| 0130 | Delta plus approach - additional requirements for vega risk | |||||||
| 0135 | Delta plus approach - non-continuous options and warrants | |||||||
| 0140 | Scenario matrix approach |
C 24.00 - MARKET RISK INTERNAL MODELS (MKR IM)
| VaR | VaR | STRESSED VaR | STRESSED VaR | INCREMENTAL DEFAULT AND MIGRATION RISK CAPITAL CHARGE | INCREMENTAL DEFAULT AND MIGRATION RISK CAPITAL CHARGE | ALL PRICE RISKS CAPITAL CHARGE FOR CTP | ALL PRICE RISKS CAPITAL CHARGE FOR CTP | ALL PRICE RISKS CAPITAL CHARGE FOR CTP | OWN FUNDS REQUIREMENTS | TOTAL RISK EXPOSURE AMOUNT | Number of overshootings during previous 250 working days | VaR Multiplication Factor (mc) | SVaR Multiplication Factor (ms) | ASSUMED CHARGE FOR CTP FLOOR - WEIGHTED NET LONG POSITIONS AFTER CAP | ASSUMED CHARGE FOR CTP FLOOR - WEIGHTED NET SHORT POSITIONS AFTER CAP | ||
| MULTIPLICATION FACTOR (mc) x AVERAGE OF PREVIOUS 60 WORKING DAYS (VaRavg) | PREVIOUS DAY (VaRt-1) | MULTIPLICATION FACTOR (ms) x AVERAGE OF PREVIOUS 60 WORKING DAYS (SVaRavg) | LATEST AVAILABLE (SVaRt-1) | 12 WEEKS AVERAGE MEASURE | LAST MEASURE | FLOOR | 12 WEEKS AVERAGE MEASURE | LAST MEASURE | OWN FUNDS REQUIREMENTS | TOTAL RISK EXPOSURE AMOUNT | Number of overshootings during previous 250 working days | VaR Multiplication Factor (mc) | SVaR Multiplication Factor (ms) | ASSUMED CHARGE FOR CTP FLOOR - WEIGHTED NET LONG POSITIONS AFTER CAP | ASSUMED CHARGE FOR CTP FLOOR - WEIGHTED NET SHORT POSITIONS AFTER CAP | ||
| 0030 | 0040 | 0050 | 0060 | 0070 | 0080 | 0090 | 0100 | 0110 | 0120 | 0130 | 0140 | 0150 | 0160 | 0170 | 0180 | ||
| 0010 | TOTAL POSITIONS | Cell linked to CA | |||||||||||||||
| Memorandum items: BREAKDOWN OF MARKET RISK | Memorandum items: BREAKDOWN OF MARKET RISK | Memorandum items: BREAKDOWN OF MARKET RISK | Memorandum items: BREAKDOWN OF MARKET RISK | Memorandum items: BREAKDOWN OF MARKET RISK | Memorandum items: BREAKDOWN OF MARKET RISK | Memorandum items: BREAKDOWN OF MARKET RISK | Memorandum items: BREAKDOWN OF MARKET RISK | Memorandum items: BREAKDOWN OF MARKET RISK | Memorandum items: BREAKDOWN OF MARKET RISK | Memorandum items: BREAKDOWN OF MARKET RISK | Memorandum items: BREAKDOWN OF MARKET RISK | Memorandum items: BREAKDOWN OF MARKET RISK | Memorandum items: BREAKDOWN OF MARKET RISK | Memorandum items: BREAKDOWN OF MARKET RISK | Memorandum items: BREAKDOWN OF MARKET RISK | Memorandum items: BREAKDOWN OF MARKET RISK | |
| 0020 | Traded debt instruments | ||||||||||||||||
| 0030 | TDI - General risk | ||||||||||||||||
| 0040 | TDI - Specific Risk | ||||||||||||||||
| 0050 | Equities | ||||||||||||||||
| 0060 | Equities - General risk | ||||||||||||||||
| 0070 | Equities - Specific Risk | ||||||||||||||||
| 0080 | Foreign Exchange risk | ||||||||||||||||
| 0090 | Commodities risk | ||||||||||||||||
| 0100 | Total amount for general risk | ||||||||||||||||
| 0110 | Total amount for specific risk |
C 25.00 - CREDIT VALUE ADJUSTMENT RISK (CVA)
| EXPOSURE VALUE | EXPOSURE VALUE | EXPOSURE VALUE | VaR | VaR | STRESSED VaR | STRESSED VaR | OWN FUNDS REQUIREMENTS | TOTAL RISK EXPOSURE AMOUNT | MEMORANDUM ITEMS | MEMORANDUM ITEMS | MEMORANDUM ITEMS | CVA RISK HEDGE NOTIONALS | CVA RISK HEDGE NOTIONALS | ||
| of which: OTC Derivatives | of which: SFT | MULTIPLICATION FACTOR (mc) x AVERAGE OF PREVIOUS 60 WORKING DAYS (VaRavg) | PREVIOUS DAY (VaRt-1) | MULTIPLICATION FACTOR (ms) x AVERAGE OF PREVIOUS 60 WORKING DAYS (SVaRavg) | LATEST AVAILABLE (SVaRt-1) | OWN FUNDS REQUIREMENTS | TOTAL RISK EXPOSURE AMOUNT | Number of counterparties | of which: proxy was used to determine credit spread | INCURRED CVA | SINGLE NAME CDS | INDEX CDS | |||
| 0010 | 0020 | 0030 | 0040 | 0050 | 0060 | 0070 | 0080 | 0090 | 0100 | 0110 | 0120 | 0130 | 0140 | ||
| 0010 | CVA risk total | Link to {CA2;r640;c010} | |||||||||||||
| 0020 | According to Advanced method | Link to {CA2;r650;c010} | |||||||||||||
| 0030 | According to Standardised method | Link to {CA2;r660;c010} | |||||||||||||
| 0040 | Based on OEM | Link to {CA2;r670;c010} |
C 32.01 - Prudent Valuation: Fair-Valued Assets and Liabilities (PRUVAL 1)
| FAIR-VALUED ASSETS AND LIABILITIES | FAIR-VALUED ASSETS AND LIABILITIES EXCLUDED BECAUSE OF PARTIAL IMPACT ON CET1 | FAIR-VALUED ASSETS AND LIABILITIES EXCLUDED BECAUSE OF PARTIAL IMPACT ON CET1 | FAIR-VALUED ASSETS AND LIABILITIES EXCLUDED BECAUSE OF PARTIAL IMPACT ON CET1 | FAIR-VALUED ASSETS AND LIABILITIES EXCLUDED BECAUSE OF PARTIAL IMPACT ON CET1 | FAIR-VALUED ASSETS AND LIABILITIES EXCLUDED BECAUSE OF PARTIAL IMPACT ON CET1 | FAIR-VALUED ASSETS AND LIABILITIES INCLUDED IN ART. 4(1) THRESHOLD | |||||
| FAIR-VALUED ASSETS AND LIABILITIES | OF WHICH: TRADING BOOK | EXACTLY MATCHING | HEDGE ACCOUNTING | PRUDENTIAL FILTERS | OTHER | COMMENTS FOR OTHER | FAIR-VALUED ASSETS AND LIABILITIES INCLUDED IN ART. 4(1) THRESHOLD | OF WHICH: TRADING BOOK | |||
| 0010 | 0020 | 0030 | 0040 | 0050 | 0060 | 0070 | 0080 | 0090 | |||
| 0010 | 1 | TOTAL FAIR-VALUED ASSETS AND LIABILITIES | |||||||||
| 0020 | 1.1 | TOTAL FAIR-VALUED ASSETS | |||||||||
| 0030 | 1.1.1 | FINANCIAL ASSETS HELD FOR TRADING | |||||||||
| 0040 | 1.1.2 | TRADING FINANCIAL ASSETS | |||||||||
| 0050 | 1.1.3 | NON-TRADING FINANCIAL ASSETS MANDATORILY AT FAIR VALUE THROUGH PROFIT OR LOSS | |||||||||
| 0060 | 1.1.4 | FINANCIAL ASSETS DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS | |||||||||
| 0070 | 1.1.5 | FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME | |||||||||
| 0080 | 1.1.6 | NON-TRADING NON-DERIVATIVE FINANCIAL ASSETS MEASURED AT FAIR VALUE THROUGH PROFIT OR LOSS | |||||||||
| 0090 | 1.1.7 | NON-TRADING NON-DERIVATIVE FINANCIAL ASSETS MEASURED AT FAIR VALUE TO EQUITY | |||||||||
| 0100 | 1.1.8 | OTHER NON-TRADING NON-DERIVATIVE FINANCIAL ASSETS | |||||||||
| 0110 | 1.1.9 | DERIVATIVES - HEDGE ACCOUNTING | |||||||||
| 0120 | 1.1.10 | FAIR VALUE CHANGES OF THE HEDGED ITEMS IN PORTFOLIO HEDGE OF INTEREST RATE RISK | |||||||||
| 0130 | 1.1.11 | INVESTMENTS IN SUBSIDIARIES, JOINT VENTURES AND ASSOCIATES | |||||||||
| 0140 | 1.1.12 | (-) HAIRCUTS FOR TRADING ASSETS AT FAIR VALUE | |||||||||
| 0142 | 1.1.13 | OTHER ASSETS | |||||||||
| 0143 | 1.1.14 | NON-CURRENT ASSETS AND DISPOSAL GROUPS CLASSIFIED AS HELD FOR SALE | |||||||||
| 0150 | 1.2 | TOTAL FAIR-VALUED LIABILITIES | |||||||||
| 0160 | 1.2.1 | FINANCIAL LIABILITIES HELD FOR TRADING | |||||||||
| 0170 | 1.2.2 | TRADING FINANCIAL LIABILITIES | |||||||||
| 0180 | 1.2.3 | FINANCIAL LIABILITIES DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS | |||||||||
| 0190 | 1.2.4 | DERIVATIVES - HEDGE ACCOUNTING | |||||||||
| 0200 | 1.2.5 | FAIR VALUE CHANGES OF THE HEDGED ITEMS IN PORTFOLIO HEDGE OF INTEREST RATE RISK | |||||||||
| 0210 | 1.2.6 | HAIRCUTS FOR TRADING LIABILITIES AT FAIR VALUE | |||||||||
| 0220 | 1.2.7 | OTHER LIABILITIES | |||||||||
| 0230 | 1.2.8 | LIABILITIES INCLUDED IN DISPOSAL GROUPS CLASSIFIED AS HELD FOR SALE |
C 32.02 - PRUDENT VALUATION: CORE APPROACH (PRUVAL 2)
| CATEGORY LEVEL AVA | CATEGORY LEVEL AVA | CATEGORY LEVEL AVA | CATEGORY LEVEL AVA | CATEGORY LEVEL AVA | CATEGORY LEVEL AVA | CATEGORY LEVEL AVA | CATEGORY LEVEL AVA | CATEGORY LEVEL AVA | CATEGORY LEVEL AVA | TOTAL AVA | UPSIDE UNCERTAINTY | FAIR-VALUED ASSETS AND LIABILITIES | FAIR-VALUED ASSETS AND LIABILITIES | QTD REVENUE | IPV DIFFE-RENCE | FAIR VALUE ADJUSTMENTS | FAIR VALUE ADJUSTMENTS | FAIR VALUE ADJUSTMENTS | FAIR VALUE ADJUSTMENTS | FAIR VALUE ADJUSTMENTS | FAIR VALUE ADJUSTMENTS | FAIR VALUE ADJUSTMENTS | FAIR VALUE ADJUSTMENTS | FAIR VALUE ADJUSTMENTS | DAY 1 P&L | EXPLANATION DESCRIPTION | |||
| MARKET PRICE UNCERTAINTY | CLOSE-OUT COSTS | MODEL RISK | CONCENTRATED POSITIONS | FUTURE ADMINIS-TRATIVE COSTS | EARLY TERMINATION | OPERATIONAL RISK | TOTAL AVA | UPSIDE UNCERTAINTY | FAIR-VALUED ASSETS | FAIR-VALUED LIABILITIES | QTD REVENUE | IPV DIFFE-RENCE | MARKET PRICE UNCERTAINTY | CLOSE-OUT COSTS | MODEL RISK | CONCENTRATED POSITIONS | UN-EARNED CREDIT SPREADS | INVES-TING AND FUNDING COSTS | FUTURE ADMINIS-TRATIVE COSTS | EARLY TERMINATION | OPERATIONAL RISK | DAY 1 P&L | EXPLANATION DESCRIPTION | ||||||
| MARKET PRICE UNCERTAINTY | OF WHICH: CALCULATED USING THE EXPERT BASED APPROACH | CLOSE-OUT COSTS | OF WHICH: CALCULATED USING THE EXPERT BASED APPROACH | MODEL RISK | OF WHICH: CALCULATED USING THE EXPERT BASED APPROACH | CONCENTRATED POSITIONS | FUTURE ADMINIS-TRATIVE COSTS | EARLY TERMINATION | OPERATIONAL RISK | TOTAL AVA | UPSIDE UNCERTAINTY | FAIR-VALUED ASSETS | FAIR-VALUED LIABILITIES | QTD REVENUE | IPV DIFFE-RENCE | MARKET PRICE UNCERTAINTY | CLOSE-OUT COSTS | MODEL RISK | CONCENTRATED POSITIONS | UN-EARNED CREDIT SPREADS | INVES-TING AND FUNDING COSTS | FUTURE ADMINIS-TRATIVE COSTS | EARLY TERMINATION | OPERATIONAL RISK | DAY 1 P&L | EXPLANATION DESCRIPTION | |||
| 0010 | 0020 | 0030 | 0040 | 0050 | 0060 | 0070 | 0080 | 0090 | 0100 | 0110 | 0120 | 0130 | 0140 | 0150 | 0160 | 0170 | 0180 | 0190 | 0200 | 0210 | 0220 | 0230 | 0240 | 0250 | 0260 | 0270 | |||
| 0010 | 1 | TOTAL CORE APPROACH | |||||||||||||||||||||||||||
| 0020 | OF WHICH: TRADING BOOK | ||||||||||||||||||||||||||||
| 0030 | 1.1 | PORTFOLIOS UNDER ARTICLES 9 TO 17 - TOTAL CATEGORY LEVEL POST-DIVERSIFICATION | |||||||||||||||||||||||||||
| 0040 | 1.1.1 | TOTAL CATEGORY LEVEL PRE-DIVERSIFICATION | |||||||||||||||||||||||||||
| 0050 | 1.1.1* | OF WHICH: UNEARNED CREDIT SPREADS AVA | |||||||||||||||||||||||||||
| 0060 | 1.1.1** | OF WHICH: INVESTMENT AND FUNDING COSTS AVA | |||||||||||||||||||||||||||
| 0070 | 1.1.1*** | OF WHICH: AVA ASSESSED TO HAVE ZERO VALUE UNDER ARTICLE 9(2) OF DELEGATED REGULATION (EU) 2016/101 | |||||||||||||||||||||||||||
| 0080 | 1.1.1 | OF WHICH: AVA ASSESSED TO HAVE ZERO VALUE UNDER ARTICLE 10(2) AND (3) OF DELEGATED REGULATION (EU) 2016/101 | |||||||||||||||||||||||||||
| 0090 | 1.1.1.1 | INTEREST RATES | |||||||||||||||||||||||||||
| 0100 | 1.1.1.2 | FOREIGN EXCHANGE | |||||||||||||||||||||||||||
| 0110 | 1.1.1.3 | CREDIT | |||||||||||||||||||||||||||
| 0120 | 1.1.1.4 | EQUITIES | |||||||||||||||||||||||||||
| 0130 | 1.1.1.5 | COMMODITIES | |||||||||||||||||||||||||||
| 0140 | 1.1.2 | (-) DIVERSIFICATION BENEFITS | |||||||||||||||||||||||||||
| 0150 | 1.1.2.1 | (-) DIVERSIFICATION BENEFIT CALCULATED USING METHOD 1 | |||||||||||||||||||||||||||
| 0160 | 1.1.2.2 | (-) DIVERSIFICATION BENEFIT CALCULATED USING METHOD 2 | |||||||||||||||||||||||||||
| 0170 | 1.1.2.2* | MEMORANDUM ITEM: PRE-DIVERSIFICATION AVAS REDUCED BY MORE THAN 90% BY DIVERSIFICATION UNDER METHOD 2 | |||||||||||||||||||||||||||
| 0180 | 1.2 | PORTFOLIOS UNDER THE FALL-BACK APPROACH | |||||||||||||||||||||||||||
| 0190 | 1.2.1 | 100% OF NET UNREALISED PROFIT | |||||||||||||||||||||||||||
| 0200 | 1.2.2 | 10% OF NOTIONAL VALUE | |||||||||||||||||||||||||||
| 0210 | 1.2.3 | 25% OF INCEPTION VALUE |
C 32.03 - Prudent Valuation: Model Risk AVA (PRUVAL 3)
| RANK | MODEL | RISK CATEGORY | PRODUCT | OBSER-VABILITY | MODEL RISK AVA | AGGREGATED AVA CALCULATED UNDER METHOD 2 | FAIR-VALUED ASSETS AND LIABILITIES | FAIR-VALUED ASSETS AND LIABILITIES | IPV DIFFERENCE (OUTPUT TESTING) | IPV COVERAGE (OUTPUT TESTING) | FAIR VALUE ADJUSTMENTS | FAIR VALUE ADJUSTMENTS | DAY1 P&L | ||
| RANK | MODEL | RISK CATEGORY | PRODUCT | OBSER-VABILITY | MODEL RISK AVA | OF WHICH: USING THE EXPERT BASED APPROACH | OF WHICH: AGGRE-GATED USING METHOD 2 | AGGREGATED AVA CALCULATED UNDER METHOD 2 | FAIR VALUED ASSETS | FAIR VALUED LIABILITIES | IPV DIFFERENCE (OUTPUT TESTING) | IPV COVERAGE (OUTPUT TESTING) | MODEL RISK | EARLY TERMINATION | DAY1 P&L |
| 0005 | 0010 | 0020 | 0030 | 0040 | 0050 | 0060 | 0070 | 0080 | 0090 | 0100 | 0110 | 0120 | 0130 | 0140 | 0150 |
C 32.04 - Prudent Valuation: Concentrated Positions AVA (PRUVAL 4)
| RANK | RISK CATEGORY | PRODUCT | UNDERLYING | CONCEN-TRATED POSITION SIZE | SIZE MEASURE | MARKET VALUE | PRUDENT EXIT PERIOD | CONCEN-TRATED POSITIONS AVA | CONCEN-TRATED POSITION FAIR VALUE ADJUSTMENT | IPV DIFFERENCE |
|---|---|---|---|---|---|---|---|---|---|---|
| 0005 | 0010 | 0020 | 0030 | 0040 | 0050 | 0060 | 0070 | 0080 | 0090 | 0100 |
C 33.00 - GENERAL GOVERNMENTS EXPOSURES BY COUNTRY OF THE COUNTERPARTY (GOV)
Country:
| Direct exposures | Direct exposures | Direct exposures | Direct exposures | Direct exposures | Direct exposures | Direct exposures | Direct exposures | Direct exposures | Direct exposures | Direct exposures | Direct exposures | Direct exposures | Direct exposures | Direct exposures | Direct exposures | Direct exposures | Direct exposures | Direct exposures | Direct exposures | Direct exposures | Direct exposures | Direct exposures | Direct exposures | Direct exposures | Direct exposures | Memorandum item: credit derivatives sold on general government exposures | Memorandum item: credit derivatives sold on general government exposures | Exposure value | Risk weighted exposure amount | ||
| On-balance sheet exposures | On-balance sheet exposures | On-balance sheet exposures | On-balance sheet exposures | On-balance sheet exposures | On-balance sheet exposures | On-balance sheet exposures | On-balance sheet exposures | On-balance sheet exposures | On-balance sheet exposures | On-balance sheet exposures | On-balance sheet exposures | On-balance sheet exposures | On-balance sheet exposures | Accumulated impairment | Accumulated negative changes in fair value due to credit risk | Derivatives | Derivatives | Derivatives | Derivatives | Off-balance sheet exposures | Off-balance sheet exposures | Off-balance sheet exposures | Memorandum item: credit derivatives sold on general government exposures | Memorandum item: credit derivatives sold on general government exposures | Exposure value | Risk weighted exposure amount | |||||
| Total gross carrying amount of non-derivative financial assets | Total carrying amount of non-derivative financial assets (net of short positions) | Non-derivative financial assets by accounting portfolios | Non-derivative financial assets by accounting portfolios | Non-derivative financial assets by accounting portfolios | Non-derivative financial assets by accounting portfolios | Non-derivative financial assets by accounting portfolios | Non-derivative financial assets by accounting portfolios | Non-derivative financial assets by accounting portfolios | Non-derivative financial assets by accounting portfolios | Non-derivative financial assets by accounting portfolios | Non-derivative financial assets by accounting portfolios | Short positions | Accumulated impairment | Accumulated negative changes in fair value due to credit risk | Derivatives with positive fair value | Derivatives with positive fair value | Derivatives with negative fair value | Derivatives with negative fair value | Nominal amount | Provisions | Accumulated negative changes in fair value due to credit risk | Derivatives with positive fair value - Carrying amount | Derivatives with negative fair value - Carrying amount | Exposure value | Risk weighted exposure amount | ||||||
| Total gross carrying amount of non-derivative financial assets | Total carrying amount of non-derivative financial assets (net of short positions) | Financial assets held for trading | Trading financial assets | Non-trading financial assets mandatorily at fair value through profit or loss | Financial assets designated at fair value through profit or loss | Non-trading non-derivative financial assets measured at fair value through profit or loss | Financial assets at fair value through other comprehensive income | Non-trading non-derivative financial assets measured at fair value to equity | Financial assets at amortised cost | Non-trading non-derivative financial assets measured at a cost-based method | Other non-trading non-derivative financial assets | Short positions | Of which: Short positions from reverse repurchased loans classified as held for trading or trading financial assets | Accumulated impairment | of which: from financial assets at fair value through other comprehensive income or from non-trading non-derivative financial assets measured at fair value to equity | Accumulated negative changes in fair value due to credit risk | of which: from non-trading financial assets mandatorily at fair value through profit or loss, financial assets designated at fair value through profit or loss or from non-trading financial assets measured at fair value through profit or loss | of which: from financial assets at fair value through other comprehensive income or from non-trading non-derivative financial assets measured at fair value to equity | Carrying amount | Notional amount | Carrying amount | Notional amount | Nominal amount | Provisions | Accumulated negative changes in fair value due to credit risk | Derivatives with positive fair value - Carrying amount | Derivatives with negative fair value - Carrying amount | Exposure value | Risk weighted exposure amount | ||
| 0010 | 0020 | 0030 | 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 | ||
| 0010 | Total exposures | ||||||||||||||||||||||||||||||
| BREAKDOWN OF TOTAL EXPOSURES BY RISK, REGULATORY APPROACH AND EXPOSURE CLASSES: | BREAKDOWN OF TOTAL EXPOSURES BY RISK, REGULATORY APPROACH AND EXPOSURE CLASSES: | BREAKDOWN OF TOTAL EXPOSURES BY RISK, REGULATORY APPROACH AND EXPOSURE CLASSES: | BREAKDOWN OF TOTAL EXPOSURES BY RISK, REGULATORY APPROACH AND EXPOSURE CLASSES: | BREAKDOWN OF TOTAL EXPOSURES BY RISK, REGULATORY APPROACH AND EXPOSURE CLASSES: | BREAKDOWN OF TOTAL EXPOSURES BY RISK, REGULATORY APPROACH AND EXPOSURE CLASSES: | BREAKDOWN OF TOTAL EXPOSURES BY RISK, REGULATORY APPROACH AND EXPOSURE CLASSES: | BREAKDOWN OF TOTAL EXPOSURES BY RISK, REGULATORY APPROACH AND EXPOSURE CLASSES: | BREAKDOWN OF TOTAL EXPOSURES BY RISK, REGULATORY APPROACH AND EXPOSURE CLASSES: | BREAKDOWN OF TOTAL EXPOSURES BY RISK, REGULATORY APPROACH AND EXPOSURE CLASSES: | BREAKDOWN OF TOTAL EXPOSURES BY RISK, REGULATORY APPROACH AND EXPOSURE CLASSES: | BREAKDOWN OF TOTAL EXPOSURES BY RISK, REGULATORY APPROACH AND EXPOSURE CLASSES: | BREAKDOWN OF TOTAL EXPOSURES BY RISK, REGULATORY APPROACH AND EXPOSURE CLASSES: | BREAKDOWN OF TOTAL EXPOSURES BY RISK, REGULATORY APPROACH AND EXPOSURE CLASSES: | BREAKDOWN OF TOTAL EXPOSURES BY RISK, REGULATORY APPROACH AND EXPOSURE CLASSES: | BREAKDOWN OF TOTAL EXPOSURES BY RISK, REGULATORY APPROACH AND EXPOSURE CLASSES: | BREAKDOWN OF TOTAL EXPOSURES BY RISK, REGULATORY APPROACH AND EXPOSURE CLASSES: | BREAKDOWN OF TOTAL EXPOSURES BY RISK, REGULATORY APPROACH AND EXPOSURE CLASSES: | BREAKDOWN OF TOTAL EXPOSURES BY RISK, REGULATORY APPROACH AND EXPOSURE CLASSES: | BREAKDOWN OF TOTAL EXPOSURES BY RISK, REGULATORY APPROACH AND EXPOSURE CLASSES: | BREAKDOWN OF TOTAL EXPOSURES BY RISK, REGULATORY APPROACH AND EXPOSURE CLASSES: | BREAKDOWN OF TOTAL EXPOSURES BY RISK, REGULATORY APPROACH AND EXPOSURE CLASSES: | BREAKDOWN OF TOTAL EXPOSURES BY RISK, REGULATORY APPROACH AND EXPOSURE CLASSES: | BREAKDOWN OF TOTAL EXPOSURES BY RISK, REGULATORY APPROACH AND EXPOSURE CLASSES: | BREAKDOWN OF TOTAL EXPOSURES BY RISK, REGULATORY APPROACH AND EXPOSURE CLASSES: | BREAKDOWN OF TOTAL EXPOSURES BY RISK, REGULATORY APPROACH AND EXPOSURE CLASSES: | BREAKDOWN OF TOTAL EXPOSURES BY RISK, REGULATORY APPROACH AND EXPOSURE CLASSES: | BREAKDOWN OF TOTAL EXPOSURES BY RISK, REGULATORY APPROACH AND EXPOSURE CLASSES: | BREAKDOWN OF TOTAL EXPOSURES BY RISK, REGULATORY APPROACH AND EXPOSURE CLASSES: | BREAKDOWN OF TOTAL EXPOSURES BY RISK, REGULATORY APPROACH AND EXPOSURE CLASSES: | BREAKDOWN OF TOTAL EXPOSURES BY RISK, REGULATORY APPROACH AND EXPOSURE CLASSES: | BREAKDOWN OF TOTAL EXPOSURES BY RISK, REGULATORY APPROACH AND EXPOSURE CLASSES: |
| 0020 | Exposures under the credit risk framework | ||||||||||||||||||||||||||||||
| 0030 | Standardised Approach | ||||||||||||||||||||||||||||||
| 0040 | Central governments | ||||||||||||||||||||||||||||||
| 0050 | Regional governments or local authorities | ||||||||||||||||||||||||||||||
| 0060 | Public sector entities | ||||||||||||||||||||||||||||||
| 0070 | International Organisations | ||||||||||||||||||||||||||||||
| 0075 | Other general government exposures subject to Standardised Approach | ||||||||||||||||||||||||||||||
| 0080 | IRB Approach | ||||||||||||||||||||||||||||||
| 0090 | Central governments | ||||||||||||||||||||||||||||||
| 0100 | Regional governments or local authorities [Central governments] | ||||||||||||||||||||||||||||||
| 0110 | Regional governments or local authorities [Institutions] | ||||||||||||||||||||||||||||||
| 0120 | Public sector entities [Central governments] | ||||||||||||||||||||||||||||||
| 0130 | Public sector entities [Institutions] | ||||||||||||||||||||||||||||||
| 0140 | International Organisations [Central governments] | ||||||||||||||||||||||||||||||
| 0155 | Other general government exposures subject to IRB approach | ||||||||||||||||||||||||||||||
| 0160 | Exposures under the market risk framework | ||||||||||||||||||||||||||||||
| BREAKDOWN OF TOTAL EXPOSURES BY RESIDUAL MATURITY: | BREAKDOWN OF TOTAL EXPOSURES BY RESIDUAL MATURITY: | BREAKDOWN OF TOTAL EXPOSURES BY RESIDUAL MATURITY: | BREAKDOWN OF TOTAL EXPOSURES BY RESIDUAL MATURITY: | BREAKDOWN OF TOTAL EXPOSURES BY RESIDUAL MATURITY: | BREAKDOWN OF TOTAL EXPOSURES BY RESIDUAL MATURITY: | BREAKDOWN OF TOTAL EXPOSURES BY RESIDUAL MATURITY: | BREAKDOWN OF TOTAL EXPOSURES BY RESIDUAL MATURITY: | BREAKDOWN OF TOTAL EXPOSURES BY RESIDUAL MATURITY: | BREAKDOWN OF TOTAL EXPOSURES BY RESIDUAL MATURITY: | BREAKDOWN OF TOTAL EXPOSURES BY RESIDUAL MATURITY: | BREAKDOWN OF TOTAL EXPOSURES BY RESIDUAL MATURITY: | BREAKDOWN OF TOTAL EXPOSURES BY RESIDUAL MATURITY: | BREAKDOWN OF TOTAL EXPOSURES BY RESIDUAL MATURITY: | BREAKDOWN OF TOTAL EXPOSURES BY RESIDUAL MATURITY: | BREAKDOWN OF TOTAL EXPOSURES BY RESIDUAL MATURITY: | BREAKDOWN OF TOTAL EXPOSURES BY RESIDUAL MATURITY: | BREAKDOWN OF TOTAL EXPOSURES BY RESIDUAL MATURITY: | BREAKDOWN OF TOTAL EXPOSURES BY RESIDUAL MATURITY: | BREAKDOWN OF TOTAL EXPOSURES BY RESIDUAL MATURITY: | BREAKDOWN OF TOTAL EXPOSURES BY RESIDUAL MATURITY: | BREAKDOWN OF TOTAL EXPOSURES BY RESIDUAL MATURITY: | BREAKDOWN OF TOTAL EXPOSURES BY RESIDUAL MATURITY: | BREAKDOWN OF TOTAL EXPOSURES BY RESIDUAL MATURITY: | BREAKDOWN OF TOTAL EXPOSURES BY RESIDUAL MATURITY: | BREAKDOWN OF TOTAL EXPOSURES BY RESIDUAL MATURITY: | BREAKDOWN OF TOTAL EXPOSURES BY RESIDUAL MATURITY: | BREAKDOWN OF TOTAL EXPOSURES BY RESIDUAL MATURITY: | BREAKDOWN OF TOTAL EXPOSURES BY RESIDUAL MATURITY: | BREAKDOWN OF TOTAL EXPOSURES BY RESIDUAL MATURITY: | BREAKDOWN OF TOTAL EXPOSURES BY RESIDUAL MATURITY: | BREAKDOWN OF TOTAL EXPOSURES BY RESIDUAL MATURITY: |
| 0170 | [ 0 - 3M] | ||||||||||||||||||||||||||||||
| 0180 | [ 3M - 1Y] | ||||||||||||||||||||||||||||||
| 0190 | [ 1Y - 2Y] | ||||||||||||||||||||||||||||||
| 0200 | [ 2Y - 3Y] | ||||||||||||||||||||||||||||||
| 0210 | [3Y - 5Y] | ||||||||||||||||||||||||||||||
| 0220 | [5Y - 10Y] | ||||||||||||||||||||||||||||||
| 0230 | [10Y - more] |
C 35.01 - NPE LOSS COVERAGE: THE CALCULATION OF DEDUCTIONS FOR NON-PERFORMING EXPOSURES (NPE LC1)
| Time passed since exposures classified as non-performing | Time passed since exposures classified as non-performing | Time passed since exposures classified as non-performing | Time passed since exposures classified as non-performing | Time passed since exposures classified as non-performing | Time passed since exposures classified as non-performing | Time passed since exposures classified as non-performing | Time passed since exposures classified as non-performing | Time passed since exposures classified as non-performing | Time passed since exposures classified as non-performing | Total | ||
| <= 1 year | > 1 year <= 2 years | > 2 years <= 3 years | > 3 years <= 4 years | > 4 years <= 5 years | > 5 years <= 6 years | > 6 years <= 7 years | > 7 years <= 8 years | > 8 years <= 9 years | > 9 years | Total | ||
| 0010 | 0020 | 0030 | 0040 | 0050 | 0060 | 0070 | 0080 | 0090 | 0100 | 0110 | ||
| 0010 | Applicable amount of insufficient coverage | |||||||||||
| MINIMUM COVERAGE REQUIREMENT | MINIMUM COVERAGE REQUIREMENT | MINIMUM COVERAGE REQUIREMENT | MINIMUM COVERAGE REQUIREMENT | MINIMUM COVERAGE REQUIREMENT | MINIMUM COVERAGE REQUIREMENT | MINIMUM COVERAGE REQUIREMENT | MINIMUM COVERAGE REQUIREMENT | MINIMUM COVERAGE REQUIREMENT | MINIMUM COVERAGE REQUIREMENT | MINIMUM COVERAGE REQUIREMENT | MINIMUM COVERAGE REQUIREMENT | MINIMUM COVERAGE REQUIREMENT |
| 0020 | Total minimum coverage requirement | |||||||||||
| 0030 | Unsecured part of NPEs | |||||||||||
| 0040 | Secured part of NPEs | |||||||||||
| 0050 | Exposure value | |||||||||||
| 0060 | Unsecured part of NPEs | |||||||||||
| 0070 | Secured part of NPEs | |||||||||||
| AVAILABLE COVERAGE | AVAILABLE COVERAGE | AVAILABLE COVERAGE | AVAILABLE COVERAGE | AVAILABLE COVERAGE | AVAILABLE COVERAGE | AVAILABLE COVERAGE | AVAILABLE COVERAGE | AVAILABLE COVERAGE | AVAILABLE COVERAGE | AVAILABLE COVERAGE | AVAILABLE COVERAGE | AVAILABLE COVERAGE |
| 0080 | Total provisions and adjustments or deductions (capped) | |||||||||||
| 0090 | Total provisions and adjustments or deductions (uncapped) | |||||||||||
| 0100 | Specific credit risk adjustments | |||||||||||
| 0110 | Additional valuation adjustments | |||||||||||
| 0120 | Other own funds reductions | |||||||||||
| 0130 | IRB shortfall | |||||||||||
| 0140 | Difference between the purchase price and the amount owed by the debtor | |||||||||||
| 0150 | Amounts written-off by the institution since the exposure was classified as non-performing |
C 35.02 - NPE LOSS COVERAGE: MINIMUM COVERAGE REQUIREMENTS AND EXPOSURE VALUES OF NON-PERFORMING EXPOSURES EXCLUDING FORBORNE EXPOSURES THAT FALL UNDER ARTICLE 47C (6) CRR (NPE LC2)
| Time passed since exposures classified as non-performing | Time passed since exposures classified as non-performing | Time passed since exposures classified as non-performing | Time passed since exposures classified as non-performing | Time passed since exposures classified as non-performing | Time passed since exposures classified as non-performing | Time passed since exposures classified as non-performing | Time passed since exposures classified as non-performing | Time passed since exposures classified as non-performing | Time passed since exposures classified as non-performing | Total | ||
| <= 1 year | > 1 year <= 2 years | > 2 years <= 3 years | > 3 years <= 4 years | > 4 years <= 5 years | > 5 years <= 6 years | > 6 years <= 7 years | > 7 years <= 8 years | > 8 years <= 9 years | > 9 years | Total | ||
| 0010 | 0020 | 0030 | 0040 | 0050 | 0060 | 0070 | 0080 | 0090 | 0100 | 0110 | ||
| 0010 | TOTAL MINIMUM COVERAGE REQUIREMENT | |||||||||||
| 0020 | Unsecured part of NPEs | |||||||||||
| 0030 | Part of NPEs secured by immovable property or residential loan guaranteed by an eligible protection provider | |||||||||||
| 0040 | Part of NPEs secured by other funded or unfunded credit protection | |||||||||||
| 0050 | Part of NPEs guaranteed or insured by an official export credit agency | |||||||||||
| 0060 | EXPOSURE VALUE | |||||||||||
| 0070 | Unsecured part of NPEs | |||||||||||
| Factor | 0.35 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | ||||
| 0080 | Part of NPEs secured by immovable property or residential loan guaranteed by an eligible protection provider | |||||||||||
| Factor | 0.25 | 0.35 | 0.55 | 0.7 | 0.8 | 0.85 | 1 | |||||
| 0090 | Part of NPEs secured by other funded or unfunded credit protection | |||||||||||
| Factor | 0.25 | 0.35 | 0.55 | 0.8 | 1 | 1 | 1 | |||||
| 0100 | Part of NPEs guaranteed or insured by an official export credit agency | |||||||||||
| Factor | 1 | 1 | 1 |
C 35.03 - NPE LOSS COVERAGE: MINIMUM COVERAGE REQUIREMENTS AND EXPOSURE VALUES OF NON-PERFORMING FORBORNE EXPOSURES THAT FALL UNDER ARTICLE 47C (6) CRR (NPE LC3)
| Time passed since exposures classified as non-performing | Time passed since exposures classified as non-performing | Time passed since exposures classified as non-performing | Time passed since exposures classified as non-performing | Time passed since exposures classified as non-performing | Time passed since exposures classified as non-performing | Time passed since exposures classified as non-performing | Time passed since exposures classified as non-performing | Time passed since exposures classified as non-performing | Time passed since exposures classified as non-performing | TOTAL | ||
| <= 1 year | > 1 year <= 2 years | > 2 years <= 3 years | > 3 years <= 4 years | > 4 years <= 5 years | > 5 years <= 6 years | > 6 years <= 7 years | > 7 years <= 8 years | > 8 years <= 9 years | > 9 years | TOTAL | ||
| 0010 | 0020 | 0030 | 0040 | 0050 | 0060 | 0070 | 0080 | 0090 | 0100 | 0110 | ||
| 0010 | TOTAL MINIMUM COVERAGE REQUIREMENT | |||||||||||
| 0020 | Unsecured part of NPEs | |||||||||||
| 0030 | Part of NPEs secured by immovable property or residential loan guaranteed by an eligible protection provider | |||||||||||
| 0040 | Part of NPEs secured by other funded or unfunded credit protection | |||||||||||
| 0050 | EXPOSURE VALUE | |||||||||||
| 0060 | Unsecured part of NPEs First forbearance measure applied between 1 year and 2 years after classification as non-performing (>1 year; <=2 years) | |||||||||||
| Factor | 0 | 0 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | |||
| 0070 | Part of NPEs secured by immovable property or residential loan guaranteed by an eligible protection provider Breakdown by point in time of granting the first forbearance measure | |||||||||||
| 0080 | > 2 and <= 3 years after classification as NPE | |||||||||||
| Factor | 0 | 0 | 0.35 | 0.55 | 0.7 | 0.8 | 0.85 | 1 | ||||
| 0090 | > 3 and <= 4 years after classification as NPE | |||||||||||
| Factor | 0.25 | 0.25 | 0.55 | 0.7 | 0.8 | 0.85 | 1 | |||||
| 0100 | > 4 and <= 5 years after classification as NPE | |||||||||||
| Factor | 0.35 | 0.35 | 0.7 | 0.8 | 0.85 | 1 | ||||||
| 0110 | > 5 and <= 6 years after classification as NPE | |||||||||||
| Factor | 0.55 | 0.55 | 0.8 | 0.85 | 1 | |||||||
| 0120 | Part of NPEs secured by other funded or unfunded credit protection Breakdown by point in time of granting the first forbearance measure | |||||||||||
| 0130 | > 2 and <= 3 years after classification as NPE | |||||||||||
| Factor | 0 | 0 | 0.35 | 0.55 | 0.8 | 1 | 1 | 1 | ||||
| 0140 | > 3 and <= 4 years after classification as NPE | |||||||||||
| Factor | 0.25 | 0.25 | 0.55 | 0.8 | 1 | 1 | 1 | |||||
| 0150 | > 4 and <= 5 years after classification as NPE | |||||||||||
| Factor | 0.35 | 0.35 | 0.8 | 1 | 1 | 1 | ||||||
| 0160 | > 5 and <= 6 years after classification as NPE | |||||||||||
| Factor | 0.55 | 0.55 | 1 | 1 | 1 | ’ |
ANNEX II
‘ANNEX II
INSTRUCTIONS FOR REPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS
Table of Contents
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