Implementing regulation 2014/680 - Implementing technical standards with regard to supervisory reporting of institutions according to Regulation 575/2013 - Main contents

Template code

Name of the template /group of templates

Short name

CAPITAL ADEQUACY

CA

C 01.00

OWN FUNDS

CA1

C 02.00

OWN FUNDS REQUIREMENTS

CA2

C 03.00

CAPITAL RATIOS

CA3

C 04.00

MEMORANDUM ITEMS:

CA4

TRANSITIONAL PROVISIONS

CA5

C 05.01

TRANSITIONAL PROVISIONS

CA5.1

C 05.02

GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUING STATE AID

CA5.2

GROUP SOLVENCY

GS

C 06.00

GROUP SOLVENCY

GS

CREDIT RISK

CR

C 07.00

CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: STANDARDISED APPROACH TO CAPITAL REQUIREMENTS

CR SA

CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS

CR IRB

C 08.01

CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS

CR IRB 1

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

GEOGRAPHICAL BREAKDOWN

CR GB

C 09.01

Table 9.1 - Geographical breakdown of exposures by residence of the obligor (SA exposures)

CR GB 1

C 09.02

Table 9.2 - Geographical breakdown of exposures by residence of the obligor (IRB exposures)

CR GB 2

C 09.03

Table 9.3 - Breakdown of total own funds requirements for credit risk of relevant credit exposures by country

CR GB 3

CREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS

CR EQU IRB

C 10.01

CREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS

CR EQU IRB 1

C 10.02

CREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS. BREAKDOWN OF TOTAL EXPOSURES UNDER THE PD/LGD APRROACH BY OBLIGOR GRADES:

CR EQU IRB 2

C 11.00

SETTLEMENT/DELIVERY RISK

CR SETT

C 12.00

CREDIT RISK: SECURITISATIONS - STANDARDISED APPROACH TO OWN FUNDS REQUIREMENTS

CR SEC SA

C 13.00

CREDIT RISK: SECURITISATIONS - IRB APPROACH TO OWN FUNDS REQUIREMENTS

CR SEC IRB

C 14.00

DETAILED INFORMATION ON SECURITISATIONS

CR SEC Details

OPERATIONAL RISK

OPR

C 16.00

OPERATIONAL RISK

OPR

C 17.00

OPERATIONAL RISK: GROSS LOSSES BY BUSINESS LINES AND EVENT TYPES IN THE LAST YEAR

OPR Details

MARKET RISK

MKR

C 18.00

MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS

MKR SA TDI

C 19.00

MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS

MKR SA SEC

C 20.00

MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN THE CORRELATION TRADING PORTFOLIO

MKR SA CTP

C 21.00

MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES

MKR SA EQU

C 22.00

MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK

MKR SA FX

C 23.00

MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES

MKR SA COM

C 24.00

MARKET RISK INTERNAL MODELS

MKR IM

C 25.00

CREDIT VALUE ADJUSTMENT RISK

CVA

1

OWN FUNDS

1.1

TIER 1 CAPITAL

1.1.1

COMMON EQUITY TIER 1 CAPITAL

1.1.1.1

Capital instruments eligible as CET1 Capital

1.1.1.1.1

Paid up capital instruments

1.1.1.1.2*

Memorandum item: Capital instruments not eligible

1.1.1.1.3

Share premium

1.1.1.1.4

(-) Own CET1 instruments

1.1.1.1.4.1

(-) Direct holdings of CET1 instruments

1.1.1.1.4.2

(-) Indirect holdings of CET1 instruments

1.1.1.1.4.3

(-) Synthetic holdings of CET1 instruments

1.1.1.1.5

(-) Actual or contingent obligations to purchase own CET1 instruments

1.1.1.2

Retained earnings

1.1.1.2.1

Previous years retained earnings

1.1.1.2.2

Profit or loss eligible

1.1.1.2.2.1

Profit or loss attributable to owners of the parent

1.1.1.2.2.2

(-) Part of interim or year-end profit not eligible

1.1.1.3

Accumulated other comprehensive income

1.1.1.4

Other reserves

1.1.1.5

Funds for general banking risk

1.1.1.6

Transitional adjustments due to grandfathered CET1 Capital instruments

1.1.1.7

Minority interest given recognition in CET1 capital

1.1.1.8

Transitional adjustments due to additional minority interests

1.1.1.9

Adjustments to CET1 due to prudential filters

1.1.1.9.1

(-) Increases in equity resulting from securitised assets

1.1.1.9.2

Cash flow hedge reserve

1.1.1.9.3

Cumulative gains and losses due to changes in own credit risk on fair valued liabilities

1.1.1.9.4

Fair value gains and losses arising from the institution's own credit risk related to derivative liabilities

1.1.1.9.5

(-) Value adjustments due to the requirements for prudent valuation

1.1.1.10

(-) Goodwill

1.1.1.10.1

(-) Goodwill accounted for as intangible asset

1.1.1.10.2

(-) Goodwill included in the valuation of significant investments

1.1.1.10.3

Deferred tax liabilities associated to goodwill

1.1.1.11

(-) Other intangible assets

1.1.1.11.1

(-) Other intangible assets gross amount

1.1.1.11.2

Deferred tax liabilities associated to other intangible assets

1.1.1.12

(-) Deferred tax assets that rely on future profitability and do not arise from temporary differences net of associated tax liabilities

1.1.1.13

(-) IRB shortfall of credit risk adjustments to expected losses

1.1.1.14

(-)Defined benefit pension fund assets

1.1.1.14.1

(-)Defined benefit pension fund assets gross amount

1.1.1.14.2

Deferred tax liabilities associated to defined benefit pension fund assets

1.1.1.14.3

Defined benefit pension fund assets which the institution has an unrestricted ability to use

1.1.1.15

(-) Reciprocal cross holdings in CET1 Capital

1.1.1.16

(-) Excess of deduction from AT1 items over AT1 Capital

1.1.1.17

(-) Qualifying holdings outside the financial sector which can alternatively be subject to a 1 250 % risk weight

1.1.1.18

(-) Securitisation positions which can alternatively be subject to a 1 250 % risk weight

1.1.1.19

(-) Free deliveries which can alternatively be subject to a 1 250 % risk weight

1.1.1.20

(-) Positions in a basket for which an institution cannot determine the risk weight under the IRB approach, and can alternatively be subject to a 1 250 % risk weight

1.1.1.21

(-) Equity exposures under an internal models approach which can alternatively be subject to a 1 250 % risk weight

1.1.1.22

(-) CET1 instruments of financial sector entites where the institution does not have a significant investment

1.1.1.23

(-) Deductible deferred tax assets that rely on future profitability and arise from temporary differences

1.1.1.24

(-) CET1 instruments of financial sector entities where the institution has a significant investment

1.1.1.25

(-) Amount exceeding the 17,65 % threshold

1.1.1.26

Other transitional adjustments to CET1 Capital

1.1.1.27

(-) Additional deductions of CET1 Capital due to Article 3 CRR

1.1.1.28

CET1 capital elements or deductions - other

1.1.2

ADDITIONAL TIER 1 CAPITAL

1.1.2.1

Capital instruments eligible as AT1 Capital

1.1.2.1.1

Paid up capital instruments

1.1.2.1.2*

Memorandum item: Capital instruments not eligible

1.1.2.1.3

Share premium

1.1.2.1.4

(-) Own AT1 instruments

1.1.2.1.4.1

(-) Direct holdings of AT1 instruments

1.1.2.1.4.2

(-) Indirect holdings of AT1 instruments

1.1.2.1.4.3

(-) Synthetic holdings of AT1 instruments

1.1.2.1.5

(-) Actual or contingent obligations to purchase own AT1 instruments

1.1.2.2

Transitional adjustments due to grandfathered AT1 Capital instruments

1.1.2.3

Instruments issued by subsidiaries that are given recognition in AT1 Capital

1.1.2.4

Transitional adjustments due to additional recognition in AT1 Capital of instruments issued by subsidiaries

1.1.2.5

(-) Reciprocal cross holdings in AT1 Capital

1.1.2.6

(-) AT1 instruments of financial sector entities where the institution does not have a significant investment

1.1.2.7

(-) AT1 instruments of financial sector entities where the institution has a significant investment

1.1.2.8

(-) Excess of deduction from T2 items over T2 Capital

1.1.2.9

Other transitional adjustments to AT1 Capital

1.1.2.10

Excess of deduction from AT1 items over AT1 Capital (deducted in CET1)

1.1.2.11

(-) Additional deductions of AT1 Capital due to Article 3 CRR

1.1.2.12

AT1 capital elements or deductions - other

1.2

TIER 2 CAPITAL

1.2.1

Capital instruments and subordinated loans eligible as T2 Capital

1.2.1.1

Paid up capital instruments and subordinated loans

1.2.1.1*

Memorandum item: Capital instruments and subordinated loans not eligible

1.2.1.3

Share premium

1.2.1.4

(-) Own T2 instruments

1.2.1.4.1

(-) Direct holdings of T2 instruments

1.2.1.4.2

(-) Indirect holdings of T2 instruments

1.2.1.4.3

(-) Synthetic holdings of T2 instruments

1.2.1.5

(-) Actual or contingent obligations to purchase own T2 instruments

1.2.2

Transitional adjustments due to grandfathered T2 Capital instruments and subordinated loans

1.2.3

Instruments issued by subsidiaries that are given recognition in T2 Capital

1.2.4

Transitional adjustments due to additional recognition in T2 Capital of instruments issued by subsidiaries

1.2.5

IRB Excess of provisions over expected losses eligible

1.2.6

SA General credit risk adjustments

1.2.7

(-) Reciprocal cross holdings in T2 Capital

1.2.8

(-) T2 instruments of financial sector entities where the institution does not have a significant investment

1.2.9

(-) T2 instruments of financial sector entities where the institution has a significant investment

1.2.10

Other transitional adjustments to T2 Capital

1.2.11

Excess of deduction from T2 items over T2 Capital (deducted in AT1)

1.2.12

(-) Additional deductions of T2 Capital due to Article 3 CRR

1.2.13

T2 capital elements or deductions - other

1

TOTAL RISK EXPOSURE AMOUNT

1*

Of which: Investment firms under Article 95 paragraph 2 and Article 98 of CRR

1**

Of which: Investment firms under Article 96 paragraph 2 and Article 97 of CRR

1.1

RISK WEIGHTED EXPOSURE AMOUNTS FOR CREDIT, COUNTERPARTY CREDIT AND DILUTION RISKS AND FREE DELIVERIES

1.1.1

Standardised approach (SA)

1.1.1.1

SA exposure classes excluding securitisation positions

1.1.1.1.01

Central governments or central banks

1.1.1.1.02

Regional governments or local authorities

1.1.1.1.03

Public sector entities

1.1.1.1.04

Multilateral Development Banks

1.1.1.1.05

International Organisations

1.1.1.1.06

Institutions

1.1.1.1.07

Corporates

1.1.1.1.08

Retail

1.1.1.1.09

Secured by mortgages on immovable property

1.1.1.1.10

Exposures in default

1.1.1.1.11

Items associated with particular high risk

1.1.1.1.12

Covered bonds

1.1.1.1.13

Claims on institutions and corporates with a short-term credit assessment

1.1.1.1.14

Collective investments undertakings (CIU)

1.1.1.1.15

Equity

1.1.1.1.16

Other items

1.1.1.2

Securitisation positions SA

1.1.1.2*

of which: resecuritisation

1.1.2

Internal ratings based Approach (IRB)

1.1.2.1

IRB approaches when neither own estimates of LGD nor Conversion Factors are used

1.1.2.1.01

Central governments and central banks

1.1.2.1.02

Institutions

1.1.2.1.03

Corporates - SME

1.1.2.1.04

Corporates - Specialised Lending

1.1.2.1.05

Corporates - Other

1.1.2.2

IRB approaches when own estimates of LGD and/or Conversion Factors are used

1.1.2.2.01

Central governments and central banks

1.1.2.2.02

Institutions

1.1.2.2.03

Corporates - SME

1.1.2.2.04

Corporates - Specialised Lending

1.1.2.2.05

Corporates - Other

1.1.2.2.06

Retail - Secured by real estate SME

1.1.2.2.07

Retail - Secured by real estate non-SME

1.1.2.2.08

Retail - Qualifying revolving

1.1.2.2.09

Retail - Other SME

1.1.2.2.10

Retail - Other non-SME

1.1.2.3

Equity IRB

1.1.2.4

Securitisation positions IRB

1.1.2.4*

Of which: resecuritisation

1.1.2.5

Other non credit-obligation assets

1.1.3

Risk exposure amount for contributions to the default fund of a CCP

1.2

TOTAL RISK EXPOSURE AMOUNT FOR SETTLEMENT/DELIVERY

1.2.1

Settlement/delivery risk in the non-Trading book

1.2.2

Settlement/delivery risk in the Trading book

1.3

TOTAL RISK EXPOSURE AMOUNT FOR POSITION, FOREIGN EXCHANGE AND COMMODITIES RISKS

1.3.1

Risk exposure amount for position, foreign exchange and commodities risks under standardised approaches (SA)

1.3.1.1

Traded debt instruments

1.3.1.2

Equity

1.3.1.3

Foreign Exchange

1.3.1.4

Commodities

1.3.2

Risk exposure amount for Position, foreign exchange and commodities risks under internal models (IM)

1.4

TOTAL RISK EXPOSURE AMOUNT FOR OPERATIONAL RISK (OpR )

1.4.1

OpR Basic indicator approach (BIA)

1.4.2

OpR Standardised (STA) / Alternative Standardised (ASA) approaches

1.4.3

OpR Advanced measurement approaches (AMA)

1.5

ADDITIONAL RISK EXPOSURE AMOUNT DUE TO FIXED OVERHEADS

1.6

TOTAL RISK EXPOSURE AMOUNT FOR CREDIT VALUATION ADJUSTMENT

1.6.1

Advanced method

1.6.2

Standardised method

1.6.3

Based on OEM

1.7

TOTAL RISK EXPOSURE AMOUNT RELATED TO LARGE EXPOSURES IN THE TRADING BOOK

1.8

OTHER RISK EXPOSURE AMOUNTS

1.8.2

Of which: Additional stricter prudential requirements based on Art 458

1.8.2*

Of which: requirements for large exposures

1.8.2**

Of which: due to modified risk weights for targeting asset bubbles in the residential and commercial property

1.8.2***

Of which: due to intra financial sector exposures

1.8.3

Of which: Additional stricter prudential requirements based on Art 459

1.8.4

Of which: Additional risk exposure amount due to Article 3 CRR

1

CET1 Capital ratio

2

Surplus(+)/Deficit(-) of CET1 capital

3

T1 Capital ratio

4

Surplus(+)/Deficit(-) of T1 capital

5

Total capital ratio

6

Surplus(+)/Deficit(-) of total capital

7

CET1 capital ratio including Pillar II adjustments

8

Target CET1 capital ratio due to Pillar II adjustments

9

T1 capital ratio including Pillar II adjustments

10

Target T1 capital ratio due to Pillar II adjustments

11

Total capital ratio including Pillar II adjustments

12

Target Total capital ratio due to Pillar II adjustments

010

1

Total deferred tax assets

1.1

Deferred tax assets that do not rely on future profitability

1.2

Deferred tax assets that rely on future profitability and do not arise from temporary differences

1.3

Deferred tax assets that rely on future profitability and arise from temporary differences

2

Total deferred tax liabilities

2.1

Deferred tax liabilities non deductible from deferred tax assets that rely on future profitability

2.2

Deferred tax liabilities deductible from deferred tax assets that rely on future profitability

2.2.1

Deductible deferred tax liabilities associated with deferred tax assets that rely on future profitability and do not arise from temporary differences

2.2.2

Deductible deferred tax liabilities associated with deferred tax assets that rely on future profitability and arise from temporary differences

3

IRB excess (+) or shortfall (-) of credit risk adjustments, additional value adjustments and other own funds reductions to expected losses for non defaulted exposures

3.1

Total credit risk adjustments, additional value adjustments and other own funds reductions eligible for inclusion in the calculation of the expected loss amount

3.1.1

General credit risk adjustments

3.1.2

Specific credit risk adjustments

3.1.3

Additional value adjustments and other own funds reductions

3.2

Total expected losses eligible

4

IRB excess (+) or shortfall (-) of specific credit risk adjustments to expected losses for defaulted exposures

4.1

Specific credit risk adjustments and positions treated similarily

4.2

Total expected losses eligible

5

Risk weighted exposure amounts for calculating the cap to the excess of provision eligible as T2

6

Total gross provisions eligible for inclusion in T2 capital

7

Risk weighted exposure amounts for calculating the cap to the provision eligible as T2

8

Threshold non deductible of holdings in financial sector entities where an institution does not have a significant investment

9

10 % CET1 threshold

10

17,65 % CET1 threshold

11

Eligible capital for the purposes of qualifying holdings outside the financial sector and large exposures

12

Holdings of CET1 capital of financial sector entities where the institution does not have a significant investment, net of short positions

12.1

Direct holdings of CET1 capital of financial sector entities where the institution does not have a significant investment

12.1.1

Gross direct holdings of CET1 capital of financial sector entities where the institution does not have a significant investment

12.1.2

(-) Permitted offsetting short positions in relation to the direct gross holdings included above

12.2

Indirect holdings of CET1 capital of financial sector entities where the institution does not have a significant investment

12.2.1

Gross indirect holdings of CET1 capital of financial sector entities where the institution does not have a significant investment

12.2.2

(-) Permitted offsetting short positions in relation to the indirect gross holdings included above

12.3

Synthetic holdings of CET1 capital of financial sector entities where the institution does not have a significant investment

12.3.1

Gross synthetic holdings of CET1 capital of financial sector entities where the institution does not have a significant investment

12.3.2

(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above

13

Holdings of AT1 capital of financial sector entities where the institution does not have a significant investment, net of short positions

13.1

Direct holdings of AT1 capital of financial sector entities where the institution does not have a significant investment

13.1.1

Gross direct holdings of AT1 capital of financial sector entities where the institution does not have a significant investment

13.1.2

(-) Permitted offsetting short positions in relation to the direct gross holdings included above

13.2

Indirect holdings of AT1 capital of financial sector entities where the institution does not have a significant investment

13.2.1

Gross indirect holdings of AT1 capital of financial sector entities where the institution does not have a significant investment

13.2.2

(-) Permitted offsetting short positions in relation to the indirect gross holdings included above

13.3

Synthetic holdings of AT1 capital of financial sector entities where the institution does not have a significant investment

13.3.1

Gross synthetic holdings of AT1 capital of financial sector entities where the institution does not have a significant investment

13.3.2

(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above

14

Holdings of T2 capital of financial sector entities where the institution does not have a significant investment, net of short positions

14.1

Direct holdings of T2 capital of financial sector entities where the institution does not have a significant investment

14.1.1

Gross direct holdings of T2 capital of financial sector entities where the institution does not have a significant investment

14.1.2

(-) Permitted offsetting short positions in relation to the direct gross holdings included above

14.2

Indirect holdings of T2 capital of financial sector entities where the institution does not have a significant investment

14.2.1

Gross indirect holdings of T2 capital of financial sector entities where the institution does not have a significant investment

14.2.2

(-) Permitted offsetting short positions in relation to the indirect gross holdings included above

14.3

Synthetic holdings of T2 capital of financial sector entities where the institution does not have a significant investment

14.3.1

Gross synthetic holdings of T2 capital of financial sector entities where the institution does not have a significant investment

14.3.2

(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above

15

Holdings of CET1 capital of financial sector entities where the institution has a significant investment, net of short positions

15.1

Direct holdings of CET1 capital of financial sector entities where the institution has a significant investment

15.1.1

Gross direct holdings of CET1 capital of financial sector entities where the institution has a significant investment

15.1.2

(-) Permitted offsetting short positions in relation to the direct gross holdings included above

15.2

Indirect holdings of CET1 capital of financial sector entities where the institution has a significant investment

15.2.1

Gross indirect holdings of CET1 capital of financial sector entities where the institution has a significant investment

15.2.2

(-) Permitted offsetting short positions in relation to the indirect gross holdings included above

15.3

Synthetic holdings of CET1 capital of financial sector entities where the institution has a significant investment

15.3.1

Gross synthetic holdings of CET1 capital of financial sector entities where the institution has a significant investment

15.3.2

(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above

16

Holdings of AT1 capital of financial sector entities where the institution has a significant investment, net of short positions

16.1

Direct holdings of AT1 capital of financial sector entities where the institution has a significant investment

16.1.1

Gross direct holdings of AT1 capital of financial sector entities where the institution has a significant investment

16.1.2

(-) Permitted offsetting short positions in relation to the direct gross holdings included above

16.2

Indirect holdings of AT1 capital of financial sector entities where the institution has a significant investment

16.2.1

Gross indirect holdings of AT1 capital of financial sector entities where the institution has a significant investment

16.2.2

(-) Permitted offsetting short positions in relation to the indirect gross holdings included above

16.3

Synthetic holdings of AT1 capital of financial sector entities where the institution has a significant investment

16.3.1

Gross synthetic holdings of AT1 capital of financial sector entities where the institution has a significant investment

16.3.2

(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above

17

Holdings of T2 capital of financial sector entities where the institution has a significant investment, net of short positions

17.1

Direct holdings of T2 capital of financial sector entities where the institution has a significant investment

17.1.1

Gross direct holdings of T2 capital of financial sector entities where the institution has a significant investment

17.1.2

(-) Permitted offsetting short positions in relation to the direct gross holdings included above

17.2

Indirect holdings of T2 capital of financial sector entities where the institution has a significant investment

17.2.1

Gross indirect holdings of T2 capital of financial sector entities where the institution has a significant investment

17.2.2

(-) Permitted offsetting short positions in relation to the indirect gross holdings included above

17.3

Synthetic holdings of T2 capital of financial sector entities where the institution has a significant investment

17.3.1

Gross synthetic holdings of T2 capital of financial sector entities where the institution has a significant investment

17.3.2

(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above

18

Risk weighted exposures of CET1 holdings in financial sector entities which are not deducted from the institution's CET1 capital

19

Risk weighted exposures of AT1 holdings in financial sector entities which are not deducted from the institution's AT1 capital

20

Risk weighted exposures of T2 holdings in financial sector entities which are not deducted from the institution's T2 capital

21

Holdings on CET1 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived

22

Holdings on CET1 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived

23

Holdings on AT1 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived

24

Holdings on AT1 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived

25

Holdings on T2 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived

26

Holdings on T2 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived

27

Combined buffer requirement

Capital conservation buffer

Conservation buffer due to macro-prudential or systemic risk identified at the level of a Member State

Institution specific countercyclical capital buffer

Systemic risk buffer

Systemical important institution buffer

Global Systemically Important Institution buffer

Other Systemically Important Institution buffer

28

Own funds requirements related to Pillar II adjustments

29

Initial capital

30

Own funds based on Fixed Overheads

31

Non-domestic original exposures

32

Total original exposures

Adjustments to total own funds

Own funds fully adjusted for Basel I floor

Own funds requirements for Basel I floor

Own funds requirements for Basel I floor - SA alternative

Eligible amount without transitional provisions

ID

Item

010

020

030

040

050

060

1

TOTAL ADJUSTMENTS

1.1

GRANDFATHERED INSTRUMENTS

link to {CA1;r220}

link to {CA1;r660}

link to {CA1;r880}

1.1.1

Grandfathered instruments: Instruments constituting state aid

1.1.1.1

Instruments that qualified as own funds according to 2006/48/EC

1.1.1.2

Instruments issued by institutions that are incorporated in a Member State that is subject to an Economic Adjustment Programme

1.1.2

Instruments not constituting state aid

link to {CA5.2;r010;c060}

link to {CA5.2;r020;c060}

link to {CA5.2;r090;c060}

1.2

MINORITY INTERESTS AND EQUIVALENTS

link to {CA1;r240}

link to {CA1;r680}

link to {CA1;r900}

1.2.1

Capital instruments and items that do not qualify as minority interests

1.2.2

Transitional recognition in consolidated own funds of minority interests

1.2.3

Transitional recognition in consolidated own funds of qualifying Additional Tier 1 capital

1.2.4

Transitional recognition in consolidated own funds of qualifying Tier 2 capital

1.3

OTHER TRANSITIONAL ADJUSTMENTS

link to {CA1;r520}

link to {CA1;r730}

link to {CA1;r960}

1.3.1

Unrealised gains and losses

1.3.1.1

Unrealised gains

1.3.1.2

Unrealised losses

1.3.1.3.

Unrealised gains on exposures to central governments classified in the ‘Available for sale’ category of EU-endorsed IAS39

1.3.1.4.

Unrealised loss on exposures to central governments classified in the ‘Available for sale’ category of EU-endorsed IAS39

1.3.1.5.

Fair value gains and losses arising from the institution's own credit risk related to derivative liabilities

1.3.2

Deductions

1.3.2.1

Losses for the current financial year

1.3.2.2

Intangible assets

1.3.2.3

Deferred tax assets that rely on future profitability and do not arise from temporary differences

1.3.2.4

IRB shortfall of provisions to expected losses

1.3.2.5

Defined benefit pension fund assets

1.3.2.5*

of which: Introduction of amendments to IAS 19 - positive item

1.3.2.5**

of which: Introduction of amendments to IAS 19 - negative item

1.3.2.6

Own instruments

1.3.2.6.1

Own CET1 instruments

1.3.2.6.1**

of which: Direct holdings

1.3.2.6.1*

of which: Indirect holdings

1.3.2.6.2

Own AT1 instruments

1.3.2.6.2**

of which: Direct holdings

1.3.2.6.2*

of which: Indirect holdings

1.3.2.6.3

Own T2 instruments

1.3.2.6.3*

of which: Direct holdings

1.3.2.6.3**

of which: Indirect holdings

1.3.2.7

Reciprocal cross holdings

1.3.2.7.1

Reciprocal cross holdings in CET1 Capital

1.3.2.7.1.1

Reciprocal cross holdings in CET1 Capital of financial sector entities where the institution does not have a significant investment

1.3.2.7.1.2

Reciprocal cross holdings in CET1 Capital of financial sector entities where the institution has a significant investment

1.3.2.7.2

Reciprocal cross holdings in AT1 Capital

1.3.2.7.2.1

Reciprocal cross holdings in AT1 Capital of financial sector entities where the institution does not have a significant investment

1.3.2.7.2.2

Reciprocal cross holdings in AT1 Capital of financial sector entities where the institution has a significant investment

1.3.2.7.3

Reciprocal cross holdings in T2 Capital

1.3.2.7.3.1

Reciprocal cross holdings in T2 Capital of financial sector entities where the institution does not have a significant investment

1.3.2.7.3.2

Reciprocal cross holdings in T2 Capital of financial sector entities where the institution has a significant investment

1.3.2.8

Own funds instruments of financial sector entities where the institution does not have a significant investment

1.3.2.8.1

CET1 instruments of financial sector entities where the institution does not have a significant investment

1.3.2.8.2

AT1 instruments of financial sector entities where the institution does not have a significant investment

1.3.2.8.3

T2 instruments of financial sector entities where the institution does not have a significant investment

1.3.2.9

Deferred tax assets that are dependent on future profitability and arise from temporary differences and CET1 instruments of financial sector entities where the institution has a significant investment

1.3.2.10

Own funds instruments of financial sector entities where the institution has a significant investment

1.3.2.10.1

CET1 instruments of financial sector entities where the institution has a significant investment

1.3.2.10.2

AT1 instruments of financial sector entities where the institution has a significant investment

1.3.2.10.3

T2 instruments of financial sector entities where the institution has a significant investment

1.3.2.11

Exemption from deduction of Equity Holdings in Insurance Companies from CET 1 Items

1.3.3

Additional filters and deductions

ID

Item

010

020

030

040

050

060

1.

Instruments that qualified for point a) of Article 57 of 2006/48/EC

link to {CA5.1;r060;c010)

2.

Instruments that qualified for point ca) of Article 57 and Article 154(8) and (9) of 2006/48/EC, subject to the limit of Article 489

link to {CA5.1;r060;c020)

2.1

Total instruments without a call or an incentive to redeem

2.2.

Grandfathered instruments with a call and incentive to redeem

2.2.1

Instruments with a call exercisable after the reporting date, and which meet the conditions in Article 49 of CRR after the date of effective maturity

2.2.2

Instruments with a call exercisable after the reporting date, and which do not meet the conditions in Article 49 of CRR after the date of effective maturity

2.2.3

Instruments with a call exercisable prior to or on 20 July 2011, and which do not meet the conditions in Article 49 of CRR after the date of effective maturity

2.3

Excess on the limit of CET1 grandfathered instruments

3

Items that qualified for points e), f), g) or h) of Article 57 of 2006/48/EC, subject to the limit of Article 490

link to {CA5.1;r060;c030)

3.1

Total items without an incentive to redeem

3.2

Grandfathered items with an incentive to redeem

3.2.1

Items with a call exercisable after the reporting date, and which meet the conditions in Article 63 of CRR after the date of effective maturity

3.2.2

Items with a call exercisable after the reporting date, and which do not meet the conditions in Article 63 of CRR after the date of effective maturity

3.2.3

Items with a call exercisable prior to or on 20 July 2011, and which do not meet the conditions in Article 63 of CRR after the date of effective maturity

3.3

Excess on the limit of AT1 grandfathered instruments

CODE

LEI code

INSITUTION OR EQUIVALENT (YES / NO)

SCOPE OF DATA: SOLO FULLY CONSOLIDATED (SF), SOLO PARTIALLY CONSOLIDATED (SP) OR SUBCONSOLIDATED (SC)

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 REQUIRE-MENTS

POSITION, FX AND COMMODITIES RISKS

OPERATIONAL RISK

OTHER RISK EXPOSURE AMOUNTS

TOTAL TIER 1 CAPITAL

TIER 2 CAPITAL

CREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/DELIVERY RISK

POSITION, FX AND COMMODITIES RISKS

OPERATIONAL RISK

OTHER RISK EXPOSURE AMOUNTS

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

OF WHICH: COMMON EQUITY TIER 1

OF WHICH: ADDITIONAL TIER 1

OF WHICH: CONRIBUTIONS TO CONSOLIDATED RESULT

OF WHICH: (-) GOODWILL / (+) NEGATIVE GOODWILL

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

SYSTEMICAL IMPORTANT INSTITUTION BUFFER

GLOBAL SYSTEMICALLY IMPORTANT INSTITUTION BUFFER

OTHER SYSTEMICALLY IMPORTANT INSTITUTION BUFFER

COMMON EQUITY TIER 1 CAPITAL

ADDITIONAL TIER 1 CAPITAL

MINORITY INTERESTS INCLUDED IN CONSOLIDATED COMMON EQUITY TIER 1 CAPITAL

QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED ADDITIONAL TIER 1 CAPITAL

OF WHICH: OWN FUNDS INSTRUMENTS, RELATED RETAINED EARNINGS AND SHARE PREMIUM ACCOUNTS

OF WHICH: QUALIFYING TIER 1 CAPITAL

OF WHICH: T1 INSTRUMENTS, RELATED RETAINED EARNINGS AND SHARE PREMIUM ACCOUNTS

OF WHICH: MINORITY INTERESTS

OF WHICH: OWN FUNDS INSTRUMENTS, RELATED RETAINED EARNINGS, SHARE PREMIUM ACCOUNTS AND OTHER RESERVES

OF WHICH: QUALIFYING ADDITIONAL TIER 1 CAPITAL

OF WHICH: QUALIFYING TIER 2 CAPITAL

020

025

030

040

050

060

070

080

090

100

110

120

130

140

150

160

170

180

190

200

210

220

230

240

250

260

270

280

290

300

310

320

330

340

350

360

370

380

390

400

410

420

430

440

450

460

470

480

TOTAL

OF WHICH: ARISING FROM DEFAULT FUND CONTRIBUTIONS

UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (Ga)

FUNDED CREDIT PROTECTION

SUBSTITUTION OF THE EXPOSURE DUE TO CRM

VOLATILITY ADJUSTMENT TO THE EXPOSURE

(-) FINANCIAL COLLATERAL: ADJUSTED VALUE (Cvam)

0%

20%

50%

100%

OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK

OF WHICH: WITH A CREDIT ASSESSMENT BY A NOMINATED ECAI

OF WHICH: WITH A CREDIT ASSESSMENT DERIVED FROM CENTRAL GOVERNMENT

(-) CREDIT DERIVATIVES

(-) FINANCIAL COLLATERAL: SIMPLE METHOD

(-) OTHER FUNDED CREDIT PROTECTION

(-) TOTAL OUTFLOWS

TOTAL INFLOWS (+)

OF WHICH: VOLATILITY AND MATURITY ADJUSTMENTS

020

030

040

050

060

070

080

090

100

110

120

130

140

150

160

170

180

190

200

210

215

220

230

240

TOTAL EXPOSURES

Cell linked to CA

of which: SME

of which: SME subject to SME-supporting factor

of which: Secured by mortgages on immovable property - Residential property

of which: Exposures under the permanent partial use of the standardised approach

of which: Exposures under the standardised approach with prior supervisory permission to carry out a sequential IRB implementation

On balance sheet exposures subject to credit risk

Off balance sheet exposures subject to credit risk

Securities Financing Transactions

of which: centrally cleared through a QCCP

Derivatives & Long Settlement Transactions

of which: centrally cleared through a QCCP

From Contractual Cross Product Netting

0 %

2 %

4 %

10 %

20 %

35 %

50 %

70 %

75 %

100 %

150 %

250 %

370 %

1 250 %

Other risk weights

Exposures secured by mortgages on commercial immovable property

Exposures in default subject to a risk weight of 100 %

Exposures secured by mortgages on residential property

Exposures in default subject to a risk weight of 150 %

(-) OTHER FUNDED CREDIT PROTECTION

SUBSTITUTION OF THE EXPOSURE DUE TO CRM

OWN ESTIMATES OF LGD'S ARE USED: UNFUNDED CREDIT PROTECTION

FUNDED CREDIT PROTECTION

UNFUNDED CREDIT PROTECTION

EXPECTED LOSS AMOUNT

(-) VALUE ADJUSTMENTS AND PROVISIONS

NUMBER OF OBLIGORS

OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

(-) GUARANTEES

(-) CREDIT DERIVATIVES

(-) TOTAL OUTFLOWS

TOTAL INFLOWS (+)

OF WHICH: OFF BALANCE SHEET ITEMS

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

OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

OTHER PHYSICAL COLLATERAL

RECEIVABLES

020

030

040

050

060

070

080

090

100

110

120

130

140

150

160

170

180

190

200

210

220

230

240

250

255

260

270

280

290

300

TOTAL EXPOSURES

Cell linked to CA

BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:

On balance sheet items subject to credit risk

Off balance sheet items subject to credit risk

Exposures / Transactions subject to counterparty credit risk

Securities Financing Transactions

Derivatives & Long Settlement Transactions

From Contractual Cross Product Netting

EXPOSURES ASSIGNED TO OBLIGOR GRADES OR POOLS: TOTAL

SPECIALIZED LENDING SLOTTING CRITERIA: TOTAL

BREAKDOWN BY RISK WEIGHTS OF TOTAL EXPOSURES UNDER SPECIALIZED LENDING SLOTTING CRITERIA:

RISK WEIGHT: 0 %

50 %

70 %

Of which: in category 1

90 %

115 %

250 %

ALTERNATIVE TREATMENT: SECURED BY REAL ESTATE

EXPOSURES FROM FREE DELIVERIES APPLYING RISK WEIGHTS UNDER THE ALTERNATIVE TREATMENT OR 100% AND OTHER EXPOSURES SUBJECT TO RISK WEIGHTS

DILUTION RISK: TOTAL PURCHASED RECEIVABLES

(-) OTHER FUNDED CREDIT PROTECTION

SUBSTITUTION OF THE EXPOSURE DUE TO CRM

OWN ESTIMATES OF LGD'S ARE USED: UNFUNDED CREDIT PROTECTION

FUNDED CREDIT PROTECTION

UNFUNDED CREDIT PROTECTION

EXPECTED LOSS AMOUNT

(-) VALUE ADJUSTMENTS AND PROVISIONS

NUMBER OF OBLIGORS

OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

(-) GUARANTEES

(-) CREDIT DERIVATIVES

(-) TOTAL OUTFLOWS

TOTAL INFLOWS (+)

OF WHICH: OFF BALANCE SHEET ITEMS

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

OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

OTHER PHYSICAL COLLATERAL

RECEIVABLES

020

030

040

050

060

070

080

090

100

110

120

130

140

150

160

170

180

190

200

210

220

230

240

250

255

260

270

280

290

300

BREAKDOWN OF TOTAL EXPOSURES ASSIGNED TO OBLIGOR GRADES OR POOLS:

OBLIGOR GRADE OR POOL:1

2

.....

N

020

040

050

055

060

070

075

080

090

Central governments or central banks

Regional governments or local authorities

Public sector entities

Multilateral Development Banks

International Organisations

Institutions

Corporates

of which: SME

Retail

of which: SME

Secured by mortgages on immovable property

of which: SME

Exposures in default

Items associated with particularly high risk

Covered bonds

Claims on institutions and corporates with a short-term credit assessment

Collective investments undertakings (CIU)

Equity exposures

Other exposures

Total exposures

030

040

050

055

060

070

080

090

100

105

110

120

125

130

Central governments or central banks

Institutions

Corporates

Of Which: Specialised Lending