Content Options

Content Options

Status: Please note you should read all Brexit changes to the FCA Handbook and BTS alongside the main FCA transitional directions. Where these directions apply the 'standstill', firms have the choice between complying with the pre-IP completion day rules, or the post-IP completion day rules. To see a full list of Handbook modules affected, please see Annex B to the main FCA transitional directions.

CHAPTER 1 SUBJECT MATTER AND SCOPE

Article 1 Subject matter and scope

This Regulation lays down uniform requirements in relation to supervisory reporting to competent authorities for the following areas:

  1. (a)

    own funds requirements and financial information according to Article 99 of Regulation (EU) No 575/2013;

  2. (b)

    losses stemming from lending collateralised by immovable property according to Article 101(4)(a) of Regulation (EU) No 575/2013;

  3. (c)

    large exposures and other largest exposures according to Article 394(1) of Regulation (EU) No 575/2013;

  4. (d)

    leverage ratio according to Article 430 of Regulation (EU) No 575/2013;

  5. (e)

    liquidity Coverage requirements and Net Stable Funding requirements according to Article 415 of Regulation (EU) No 575/2013;

  6. (f)

    asset encumbrance according to Article 100 of Regulation (EU) No 575/2013;

  7. (g)

    additional liquidity monitoring metrics according to Article 415(3)(b) of Regulation (EU) No 575/2013.

CHAPTER 2 REPORTING REFERENCE AND REMITTANCE DATES AND REPORTING THRESHOLDS

Article 2 Reporting reference dates

  1. (1)

    Institutions shall submit information to competent authorities as it stands on the following reporting reference dates:

    1. (a)

      Monthly reporting: on the last day of each month;

    2. (b)

      Quarterly reporting: 31 March, 30 June, 30 September and 31 December;

    3. (c)

      Semi-annual reporting: 30 June and 31 December;

    4. (d)

      Annual reporting: 31 December.

  2. (2)

    Information submitted pursuant to the templates set out in Annex III and Annex IV according to the instructions in Annex V referring to a certain period shall be reported cumulatively from the first day of the accounting year to the reference date.

  3. (3)

    Where institutions are permitted by the law of the United Kingdom (or any part of it) to report their financial information based on their accounting year-end which deviates from the calendar year, reporting reference dates may be adjusted accordingly, so that reporting of financial information is done every three, six or twelve months from their accounting year-end, respectively.

Article 3 Reporting remittance dates

  1. (1)

    Institutions shall submit information to competent authorities by close of business of the following remittance dates:

    1. (a)

      Monthly reporting: 15th calendar day after the reporting reference date;

    2. (b)

      Quarterly reporting: 12 May, 11 August, 11 November and 11 February;

    3. (c)

      Semi-annual reporting: 11 August and 11 February;

    4. (d)

      Annual reporting: 11 February.

  2. (2)

    If the remittance day is a public holiday in the United Kingdom, or a Saturday or a Sunday, data shall be submitted on the following working day.

  3. (3)

    Where institutions report their financial information using adjusted reporting reference dates based on their accounting year-end as set out in Article 2 paragraph 3, the remittance dates may also be adjusted accordingly so that the same remittance period from the adjusted reporting reference date is maintained.

  4. (4)

    Institutions may submit unaudited figures. Where audited figures deviate from submitted unaudited figures, the revised, audited figures shall be submitted without undue delay. Unaudited figures are figures that have not received an external auditor's opinion whereas audited figures are figures audited by an external auditor expressing an audit opinion.

  5. (5)

    Other corrections to the submitted reports shall also be submitted to the competent authorities without undue delay.

Article 4 Reporting thresholds — entry and exit criteria

  1. (1)

    Institutions shall start reporting information subject to thresholds from the next reporting reference date where they have exceeded the threshold on two consecutive reporting reference dates.

  2. (2)

    For the first two reporting reference dates on which institutions have to comply with the requirements of this Regulation, institutions shall report the information subject to thresholds if they exceed the relevant thresholds on the same reporting reference date.

  3. (3)

    Institutions may stop reporting information subject to thresholds from the next reporting reference date where they have fallen below the relevant thresholds on three consecutive reporting reference dates.

CHAPTER 3 FORMAT AND FREQUENCY OF REPORTING ON OWN FUNDS, OWN FUNDS REQUIREMENTS AND FINANCIAL INFORMATION

SECTION 1 Format and frequency of reporting on own funds and own funds requirements

Article 5 Format and frequency of reporting on own funds and on own funds requirements for institutions on an individual basis, except for investment firms subject to article 95 and 96 of Regulation (EU) No 575/2013

In order to report information on own funds and on own funds requirements according to Article 99 of Regulation (EU) No 575/2013 on an individual basis, institutions shall submit all the information listed in paragraphs (a) and (b).

  1. (a)

    Institutions shall submit the following information with a quarterly frequency:

    1. (1)

      the information relating to own funds and own funds requirements as specified in templates 1 to 5 of Annex I, according to the instructions in Part II point 1 of Annex II;

    2. (2)

      the information on credit risk and counterparty credit risk exposures treated under the Standardised Approach as specified in template 7 of Annex I, according to the instructions in Part II point 3.2 of Annex II;

    3. (3)

      the information on credit risk and counterparty credit risk exposures treated under the Internal Rating Based Approach as specified in template 8 of Annex I, according to the instructions in Part II point 3.3 of Annex II;

    4. (4)

      the information on the geographical distribution of exposures by country, as well as aggregated at a total level, as specified in template 9 of Annex I, according to the instructions in Part II point 3.4 of Annex II. With regard to the information specified in templates 9.1 and 9.2 in particular, information on the geographical distribution of exposures by country shall be reported where non-domestic original exposures in all "non-domestic" countries in all exposures classes, as reported in row 850 of template 4 of Annex I, are equal or higher than 10 % of total domestic and non-domestic original exposures as reported in row 860 of template 4 of Annex I. For this purpose exposures shall be deemed to be domestic where they are exposures to counterparties located in the United Kingdom. The entry and exit criteria of Article 4 shall apply;

    5. (5)

      the information on equity exposures treated under the Internal Ratings Based Approach as specified in template 10 of Annex I, according to the instructions in Part II point 3.5 of Annex II;

    6. (6)

      the information on settlement risk as specified in template 11 of Annex I, according to the instructions in Part II point 3.6 of Annex II;

    7. (7)

      the information on securitisations exposures treated under the Standardised Approach as specified in template 12 of Annex I, according to the instructions in Part II point 3.7 of Annex II;

    8. (8)

      the information on securitisation exposures treated under the Internal Rating Based Approach as specified in template 13 of Annex I, according to the instructions in Part II point 3.8 of Annex II;

    9. (9)

      the information on own funds requirements and losses relating to operational risk as specified in template 16 of Annex I, according to the instructions in Part II point 4.1 of Annex II;

    10. (10)

      the information on own funds requirements relating to market risk as specified in templates 18 to 24 of Annex I, according to the instructions in Part II point 5.1 to 5.7 of Annex II;

    11. (11)

      the information on own funds requirements relating to credit valuation adjustment risk as specified in template 25 of Annex I, according to the instructions in Part II point 5.8 of Annex II;

    12. (12)

      the information on prudent valuation specified in template 32 of Annex I in accordance with the instructions in Part II, point 6 of Annex II as follows:

      1. (i)

        all institutions shall report the information specified in template 32.1 of Annex I in accordance with the instructions in Part II, point 6 of Annex II;

      2. (ii)

        in addition to the reporting referred to in point (i), institutions that apply the core approach pursuant to Regulation (EU) 2016/101 shall also report the information specified in template 32.2 of Annex I in accordance with the instructions in Part II, point 6 of Annex II;

      3. (iii)

        in addition to the requirements referred to in points (i) and (ii), institutions that apply the core approach pursuant to Regulation (EU) 2016/101 and which exceed the threshold referred to in Article 4(1) of that Regulation at their respective reporting level, shall also report the information specified in templates 32.3 and 32.4 of Annex I in accordance with the instructions in Part II, point 6 of Annex II.

      For the purposes of point (a)(12), the entry and exit criteria of Article 4 shall not apply.

  2. (b)

    Institutions shall submit the following information with a semi-annual frequency:

    1. (1)

      the information on all securitisation exposures as specified in template 14 of Annex I, according to the instructions in point 3.9 of Part II of Annex II.

      Institutions shall be exempted from submitting those securitisation details where they are part of a group and subject to own funds requirements in the United Kingdom on a consolidated basis;

    2. (2)

      the information on material losses stemming from operational risk events as follows:

      1. (a)

        institutions which calculate own funds requirements relating to operational risk in accordance with Chapter 4 of Title III of Part Three of Regulation (EU) No 575/2013 shall report this information as specified in templates 17.01 and 17.02 of Annex I, in accordance with the instructions in point 4.2 of Part II of Annex II;

      2. (b)

        institutions which calculate the own funds requirements relating to operational risk in accordance with Chapter 3 of Title III of Part Three of Regulation (EU) No 575/2013 and that meet at least one of the following criteria shall report this information as specified in templates 17.01 and 17.02 of Annex I in accordance with the instructions in point 4.2 of Part II of Annex II:

        1. (i)

          the ratio of the individual balance sheet total to the sum of individual balance sheet totals of all institutions within the United Kingdom is equal to or above 1 %, where balance sheet total figures are based on year-end figures for the year before the year preceding the reporting reference date;

        2. (ii)

          the total value of the institution's assets exceeds EUR 30 billion;

        3. (iii)

          the total value of the institution's assets exceeds both EUR 5 billion and 20 % of the GDP of the United Kingdom;

        4. (iv)

          the institution is one of the three largest institutions established in the United Kingdom measured by the total value of its assets;

      3. (c)

        institutions which calculate the own funds requirements relating to operational risk in accordance with Chapter 3 of Title III of Part Three of Regulation (EU) No 575/2013 and for which none of the conditions in point (b) is met, shall report the information referred to in points (i) and (ii) below in accordance with the instructions in point 4.2 of Part II of Annex II:

        1. (i)

          the information as specified for column 080 of template 17.01 of Annex I for the following rows:

          • number of events (new events) (row 910),
          • gross loss amount (new events) (row 920),
          • number of events subject to loss adjustments (row 930),
          • loss adjustments relating to previous reporting periods (row 940),
          • maximum single loss (row 950),
          • sum of the five largest losses (row 960),
          • total direct loss recovery (except insurance and other risk transfer mechanisms) (row 970),
          • total recoveries from insurance and other risk transfer mechanisms (row 980);

        2. (ii)

          the information as specified in template 17.02 of Annex I;

      4. (d)

        the institutions referred to in point (c) may report the complete set of information specified in templates 17.01 and 17.02 of Annex I, in accordance with the instructions in point 4.2 of Part II of Annex II;

      5. (e)

        institutions which calculate the own funds requirements relating to operational risk in accordance with Chapter 2 of Title III of Part Three of Regulation (EU) No 575/2013 and that meet at least one of the conditions (ii) to (v) of point (b) shall report this information as specified in templates 17.01 and 17.02 of Annex I in accordance with the instructions in point 4.2 of Part II of Annex II;

      6. (f)

        institutions which calculate the own funds requirements relating to operational risk in accordance with Chapter 2 of Title III of Part Three of Regulation (EU) No 575/2013 and for which none of the conditions set out in points (ii) to (v) of point (b) are met, may report the information referred to in templates 17.01 and 17.02 of Annex I in accordance with the instructions in point 4.2 of Part II of Annex II;

      7. (g)

        the entry and exit criteria of Article 4 shall apply;

    3. (3)

      the information on sovereign exposures as follows:

      1. (a)

        institutions shall report the information specified in template 33 of Annex I in accordance with the instructions in point 7 of Part II of Annex II where the aggregate carrying amount of financial assets from the counterparty sector "General governments" is equal or higher than 1 % of the sum of total carrying amount for "Debt securities and Loans and advances". For the purposes of determining those carrying amounts, institutions shall apply the definitions used in templates 4.1 to 4.4.1 of Annex III or templates 4.1 to 4.4.1 and 4.6 to 4.10 of Annex IV, as applicable;

      2. (b)

        institutions that meet the criterion referred to in point (a) and where the value reported for domestic exposures of non-derivative financial assets as defined in row 010, column 010 of template 33 of Annex I is less than 90 % of the value reported for domestic and non-domestic exposures for the same data point, shall report the information specified in template 33 of Annex I in accordance with the instructions in point 7 of Part II of Annex II of Annex II aggregated at a total level and for each individual country they are exposed to;

      3. (c)

        institutions that meet the criterion referred to in point (a) but do not meet the criterion referred in point (b) shall report the information specified in template 33 of Annex I in accordance with the instructions in point 7 of Part II of Annex II with exposures aggregated at both a total level and at domestic level;

      4. (d)

        the entry and exit criteria of Article 4 shall apply.

Article 6 Format and frequency of reporting on own funds and own funds requirements on a consolidated basis, except for groups which only consist of investment firms subject to articles 95 and 96 of Regulation (EU) No 575/2013

In order to report information on own funds and own funds requirements according to Article 99 of Regulation (EU) No 575/2013 on a consolidated basis, institutions in the United Kingdom shall submit:

  1. (a)

    the information specified in Article 5 in the frequency specified therein but on a consolidated basis;

  2. (b)

    the information specified in template 6 of Annex I according to the instructions provided in point 2 of Part II of Annex II regarding entities included in the scope of consolidation, with a semi-annual frequency.

Article 7 Format and frequency of reporting on own funds and own funds requirements for investment firms subject to Articles 95 and 96 Regulation (EU) No 575/2013 on an individual basis

  1. (1)

    In order to report information on own funds and on own funds requirements according to Article 99 of Regulation (EU) No 575/2013 on an individual basis, investment firms subject to Article 95 of Regulation (EU) No 575/2013 shall submit the information specified in templates 1 to 5 of Annex I, according to the instructions in point 1 of Part II of Annex II with a quarterly frequency.

  2. (2)

    In order to report information on own funds and own funds requirements according to Article 99 of Regulation (EU) No 575/2013 on an individual basis, investment firms subject to Article 96 of Regulation (EU) No 575/2013 shall submit the information specified in points (a) and (b) (1) of Article 5 of this Regulation with the frequency specified therein.

Article 8 Format and frequency of reporting on own funds and own funds requirements for groups which only consist of investment firms subject to Article 95 and 96 Regulation (EU) No 575/2013 on a consolidated basis

  1. (1)

    In order to report information on own funds and on own funds requirements according to Article 99 of Regulation (EU) No 575/2013 on a consolidated basis, investment firms of groups which consist only of investment firms subject to Article 95 of Regulation (EU) No 575/2013 shall submit the following information on a consolidated basis:

    1. (a)

      the information on own funds and own funds requirements as specified in templates 1 to 5 of Annex I according to the instructions in point 1 of Part II of Annex II, with a quarterly frequency;

    2. (b)

      the information on own funds and own funds requirements regarding entities included in the scope of consolidation as specified in template 6 of Annex I, according to the instructions in point 2 of Part II of Annex II, with a semi-annual frequency.

  2. (2)

    In order to report information on own funds and on own funds requirements according to Article 99 of Regulation (EU) No 575/2013 on a consolidated basis, investment firms of groups which consist of investment firms subject to both Article 95 and Article 96 as well as groups which consist only of investment firms subject to Article 96 of Regulation (EU) No 575/2013 shall submit the following information on a consolidated basis:

    1. (a)

      the information specified in points (a) and (b) (1) of Article 5, with the frequency specified therein;

    2. (b)

      the information regarding entities included in the scope of consolidation as specified in template 6 of Annex I, according to the instructions of point 2 of Part II of Annex II, with a semi-annual frequency.

SECTION 2 Format and frequency of reporting on financial information on a consolidated basis

Article 9 Format and frequency of reporting on financial information for institutions subject to section 403(1) of the Companies Act 2006 and other credit institutions not subject to that section applying UK-adopted international accounting standards on a consolidated basis

  1. (1)

    In order to report financial information on a consolidated basis according to Article 99 (2) of Regulation (EU) No 575/2013, institutions established in the United Kingdom shall submit the information specified in Annex III on a consolidated basis, according to the instructions in Annex V and the information specified in Annex VIII on a consolidated basis, according to the instructions in Annex IX.

  2. (2)

    The information referred to in paragraph 1 shall be submitted according to the following specifications:

    1. (a)

      the information specified in Part 1 of Annex III with a quarterly frequency;

    2. (b)

      the information specified in Part 3 of Annex III with a semi-annual frequency;

    3. (c)

      the information specified in Part 4 of Annex III with an annual frequency;

    4. (d)

      the information specified in template 20 in Part 2 of Annex III with a quarterly frequency where the institution exceeds the threshold defined in the second sentence of point (4) of Article 5(a). The entry and exit criteria referred to in Article 4 shall apply;

    5. (e)

      the information specified in template 21 in Part 2 of Annex III where tangible assets subject to operating leases are equal or higher than 10 % of total tangible assets as reported in template 1.1 in Part 1 of Annex III with a quarterly frequency. The entry and exit criteria referred to in Article 4 shall apply;

    6. (f)

      the information specified in template 22 in Part 2 of Annex III where net fee and commission income is equal or higher than 10 % of the sum of net fee and commission income and net interest income as reported in template 2 in Part 1 of Annex III with a quarterly frequency. The entry and exit criteria referred to in Article 4 shall apply;

    7. (g)

      the information specified in Annex VIII for exposures whose exposure value is larger than or equal to EUR 300 million but less than 10 % of the institution's eligible capital with a quarterly frequency.

Article 10 Format and frequency of reporting on financial information for credit institutions applying Regulation (EC) No 1606/2002 on a consolidated basis, by virtue of Article 99(3) Regulation (EU) No 575/2013

Where a competent authority has extended the reporting requirements of financial information on a consolidated basis to institutions in a Member State in accordance with Article 99(3) Regulation (EU) No 575/2013, institutions shall submit financial information according to Article 9.

Article 11 Format and frequency of reporting on financial information for institutions applying national accounting frameworks developed under Directive 86/635/EEC UK law on a consolidated basis

  1. (1)

    Where a competent authority has extended the reporting requirements of financial information on a consolidated basis to institutions established in the United Kingdom in accordance with Article 99(6) Regulation (EU) No 575/2013, institutions shall submit the information specified in Annex IV on a consolidated basis, according to the instructions in Annex V and the information specified in Annex VIII on a consolidated basis, according to the instructions in Annex IX.

  2. (2)

    The information referred to in paragraph 1 shall be submitted according to the following specifications:

    1. (a)

      the information specified in Part 1 of Annex IV with a quarterly frequency;

    2. (b)

      the information specified in Part 3 of Annex IV with a semi-annual frequency;

    3. (c)

      the information specified in Part 4 of Annex IV with an annual frequency;

    4. (d)

      the information specified in template 20 in Part 2 of Annex IV with a quarterly frequency in the manner provided in point (4) of Article 5 (a). The entry and exit criteria referred to in Article 4 shall apply;

    5. (e)

      the information specified in template 21 in Part 2 of Annex IV where tangible assets subject to operating leases are equal or higher than 10 % of total tangible assets as reported in template 1.1 in Part 1 of Annex IV with a quarterly frequency. The entry and exit criteria referred to in Article 4 shall apply;

    6. (f)

      the information specified in template 22 in Part 2 of Annex IV where net fee and commission income is equal or higher than 10 % of the sum of net fee and commission income and net interest income as reported in template 2 in Part 1 of Annex IV with a quarterly frequency. The entry and exit criteria referred to in Article 4 shall apply;

    7. (g)

      the information specified in Annex VIII for exposures whose exposure value is larger than or equal to EUR 300 million but less than 10 % of the institution's eligible capital with a quarterly frequency.

CHAPTER 4 FORMAT AND FREQUENCY OF SPECIFIC REPORTING OBLIGATIONS ON LOSSES STEMMING FROM LENDING COLLATERALISED BY IMMOVABLE PROPERTY ACCORDING TO ARTICLE 101 OF REGULATION (EU) No 575/2013

Article 12

  1. (1)

    Institutions shall submit information as specified in Annex VI according to the instructions in Annex VII on a consolidated basis with a semi-annual frequency.

  2. (2)

    Institutions shall submit information as specified in Annex VI according to the instructions in Annex VII on an individual basis with a semi-annual frequency.

CHAPTER 5 FORMAT AND FREQUENCY OF REPORTING ON LARGE EXPOSURES ON AN INDIVIDUAL AND A CONSOLIDATED BASIS

Article 13

  1. (1)

    In order to report information on large exposures to clients and groups of connected clients according to Article 394(1) of Regulation (EU) No 575/2013 on an individual and a consolidated basis, institutions shall submit the information specified in Annex VIII according to the instructions in Annex IX, with a quarterly frequency.

  2. (2)

    In order to report information on the twenty largest exposures to clients or groups of connected clients according to the last sentence of Article 394(1) of Regulation (EU) No 575/2013 on a consolidated basis, institutions which are subject to Chapter 3 of Title II of Part Three of Regulation (EU) No 575/2013 shall submit the information specified in Annex VIII according to the instructions in Annex IX, with a quarterly frequency.

  3. (3)

    In order to report information on the ten largest exposures to institutions as well as on the ten largest exposures to unregulated financial entities according to Article 394(2) of Regulation (EU) No 575/2013 on a consolidated basis, institutions shall submit the information specified in Annex VIII according to the instructions in Annex IX, with a quarterly frequency.

CHAPTER 6 FORMAT AND FREQUENCY OF REPORTING ON LEVERAGE RATIO ON AN INDIVIDUAL AND A CONSOLIDATED BASIS

Article 14

  1. (1)

    In order to report information on the leverage ratio according to Article 430 (1) of Regulation (EU) No 575/2013 on an individual and a consolidated basis, institutions shall submit the information specified in Annex X according to the instructions in Annex XI, with a quarterly frequency.

  2. (2)

    The reporting of the data shall be based on the methodology used for the calculation of the leverage ratio as end of quarter leverage ratio.

  3. (3)

    Institutions are required to report the information referred to in paragraph 14 of Part II of Annex XI in the next reporting period, where any of the following conditions is met:

    1. (a)

      the derivatives share referred to in paragraph 7 of Part II of Annex XI exceeds 1,5 %;

    2. (b)

      the derivatives share referred to in paragraph 7 of Part II of Annex XI exceeds 2,0 %.

    The entry criteria set out in Article 4 shall apply, except for point (b) of the first subparagraph of this paragraph where institutions start reporting information from the next reporting reference date where they have exceeded the relevant applicable threshold on one reporting reference date.

  4. (4)

    Institutions for which the total notional value of derivatives as defined in paragraph 9 of Part II of Annex XI exceeds EUR 10 billion shall report the information referred to in paragraph 14 of Part II of Annex XI, irrespective of whether their derivatives share fulfils the conditions referred to in paragraph 3.

    The entry criteria set out in Article 4 shall not apply. Institutions shall start reporting information from the next reporting reference date where they have exceeded the relevant applicable threshold on one reporting reference date.

  5. (5)

    Institutions are required to report the information referred to in paragraph 15 of Part II of Annex XI in the next reporting period where any of the following conditions is met:

    1. (a)

      the credit derivatives volume referred to in paragraph 10 of Part II of Annex XI exceeds EUR 300 million;

    2. (b)

      the credit derivatives volume referred to in paragraph 10 of Part II of Annex XI exceeds EUR 500 million.

    The entry criteria of Article 4 shall apply, except for point (b) where institutions shall start reporting information from the next reporting reference date where they have exceeded the relevant applicable threshold on one reporting reference date.

  6. (6)

    Where the threshold that is specified in paragraph 39 of Part II of Annex XI is in all cases not met, institutions shall be exempted from the requirement to report information as specified in paragraph 40 of Part II of Annex XI.

CHAPTER 7 FORMAT AND FREQUENCY OF REPORTING ON LIQUIDITY AND ON STABLE FUNDING ON AN INDIVIDUAL AND A CONSOLIDATED BASIS

Article 15 Format and frequency of reporting on liquidity coverage requirement

  1. (1)

    In order to report information on the liquidity coverage requirement in accordance with Article 415 of Regulation (EU) No 575/2013 on an individual and consolidated basis, institutions shall apply the following:

    1. (a)

      credit institutions shall submit the information specified in Annex XXIV according to the instructions in Annex XXV with a monthly frequency;

    2. (b)

      all other institutions except those specified in point (a), shall submit the information specified in Annex XII according to the instructions in Annex XIII with a monthly frequency.

  2. (2)

    The information set out in Annexes XII and XXIV shall take into account the information submitted for the reference date and the information on the cash-flows of the institution over the following 30 calendar days.

Article 16 Format and frequency of reporting on stable funding

In order to report information on the stable funding according to Article 415 of Regulation (EU) No 575/2013 on an individual and consolidated basis, institutions shall submit the information specified in Annex XII according to the instructions in Annex XIII with a quarterly frequency.

CHAPTER 7a

Article 16a Format and frequency of reporting on asset encumbrance on an individual and a consolidated basis

  1. (1)

    In order to report information on asset encumbrance in accordance with Article 100 of Regulation (EU) No 575/2013 on an individual and a consolidated basis, institutions shall submit the information specified in Annex XVI to this Regulation according to the instructions set out in Annex XVII to this Regulation.

  2. (2)

    The information referred to in paragraph 1 shall be submitted according to the following specifications:

    1. (a)

      the information specified in Parts A, B and D of Annex XVI with a quarterly frequency;

    2. (b)

      the information specified in Part C of Annex XVI with an annual frequency;

    3. (c)

      the information specified in Part E of Annex XVI with a semi-annual frequency.

  3. (3)

    Institutions shall not be required to report the information in Parts B, C or E of Annex XVI where all of the following conditions are met:

    1. (a)

      the institution has total assets, as calculated in accordance with paragraph 10 of point 1.6 of Annex XVII, of less than EUR 30 billion;

    2. (b)

      the asset encumbrance level of the institution, as calculated in accordance with paragraph 9 of point 1.6 of Annex XVII, is below 15 %.

  4. (4)

    Institutions shall only be required to report the information in Part D of Annex XVI where they issue CRR covered bonds within the meaning of Article 4(1)(128A) of Regulation (EU) No 575/2013.

CHAPTER 7b

Article 16b

  1. (1)

    In order to report information on additional liquidity monitoring metrics in accordance with Article 415(3)(b) of Regulation (EU) No 575/2013 on an individual and a consolidated basis, institutions shall submit all of the following information with a monthly frequency:

    1. (a)

      the information specified in Annex XVIII in accordance with the instructions in Annex XIX;

    2. (b)

      the information specified in Annex XX in accordance with the instructions in Annex XXI;

    3. (c)

      the information specified in Annex XXII in accordance with the instructions in Annex XXIII.

  2. (2)

    By way of derogation from paragraph 1, an institution may report the information on additional liquidity monitoring metrics with a quarterly frequency where all of the following conditions are met:

    1. (a)

      the institution does not form part of a group comprising credit institutions, investment firms or financial institutions with subsidiaries or parent institutions located in jurisdictions other than the institution's jurisdiction of incorporation;

    2. (b)

      the ratio of the individual balance sheet total of the institution to the sum of individual balance sheet totals of all institutions in the United Kingdom is below 1 % for two consecutive years preceding the year of reporting;

    3. (c)

      the institution has total assets, calculated in accordance with the law of the United Kingdom (or any part of it) which, immediately before IP completion day, implemented Council Directive 86/635/EEC, as that law has effect on IP completion day, of less than EUR 30 billion.

    For the purposes of point (b), balance sheet total figures for calculating the ratio shall be based on year-end audited figures for the year before the year preceding the reporting reference date.

  3. (3)

    For the purposes of the obligations set out in paragraphs 1 and 2, the first month for which information on additional liquidity monitoring metrics is to be reported shall be April 2016.

CHAPTER 8 IT SOLUTIONS FOR THE SUBMISSION OF DATA FROM INSTITUTIONS TO COMPETENT AUTHORITIES

Article 17

  1. (1)

    Institutions shall submit the information referred to in this Regulation in the data exchange formats and representations specified by competent authorities, respecting the data point definitions included in the single data point model referred to in Annex XIV and the validation rules referred to in Annex XV as well as the following specifications:

    1. (a)

      information not required or not applicable shall not be included in a data submission;

    2. (b)

      numeric values shall be submitted as facts according to the following:

      1. (i)

        data points with the data type "Monetary" shall be reported using a minimum precision equivalent to thousands of units;

      2. (ii)

        data points with the data type "Percentage" shall be expressed as per unit with a minimum precision equivalent to four decimals;

      3. (iii)

        data points with the data type "Integer" shall be reported using no decimals and a precision equivalent to units.

  2. (2)

    The data submitted by the institutions shall be associated with the following information:

    1. (a)

      reporting reference date and reference period;

    2. (b)

      reporting currency;

    3. (c)

      accounting standard;

    4. (d)

      identifier of the reporting institution;

    5. (e)

      level of application as individual or consolidated.

CHAPTER 9 TRANSITIONAL AND FINAL PROVISIONS

Article 18 Transitional period

The remittance date for data with a quarterly reporting frequency relating to the reference date 31 March 2014 for information to be reported shall be 30 June 2014 at the latest.

For the period from 31 March 2014 to 30 April 2014 as a deviation from point (a) of Article 3(1) the reporting remittance date relating to monthly reporting shall be 30 June 2014.

For the period from 31 May 2014 to 31 December 2014 as a deviation from point (a) of Article 3(1) the reporting remittance date relating to monthly reporting shall be the thirtieth calendar day after the reporting reference date

In respect of information to be reported pursuant to Article 16a, the first reporting reference date shall be 31 December 2014.

Without prejudice to Article 2, the first remittance date for templates 18 and 19 in Annex III shall be 31 December 2014. Rows and columns of templates 6, 9.1, 20.4, 20.5, and 20.7 in Annex III referring to forborne exposures and to non-performing exposures shall be completed for the remittance date 31 December 2014.

By way of derogation from Article 3(1)(a), for the months from April 2016 to October 2016 inclusive, the reporting remittance date relating to the monthly reporting of the additional liquidity monitoring metrics shall be the thirtieth calendar day after the reporting reference date.

For the period from 10 September 2016 to 10 March 2017, as a deviation from point (a) of Article 3(1), the reporting remittance date relating to the monthly reporting of the LCR for credit institutions shall be the 30th calendar day after the reporting reference date.

Article 19 Entry into Force

This Regulation shall enter into force on the day following that of its publication in the Official Journal of the European Union.

This Regulation shall apply from 1 January 2014.

Articles 9, 10 and 11 shall apply from 1 July 2014.

Article 15 shall apply from 1 March 2014.

Article 16a shall apply from 1 December 2014.

Signature

This Regulation shall be binding in its entirety and directly applicable in all Member States.

ANNEX I

COREP TEMPLATES

Template number

Template code

Name of the template /group of templates

Short name

CAPITAL ADEQUACY

CA

1

C 01.00

OWN FUNDS

CA1

2

C 02.00

OWN FUNDS REQUIREMENTS

CA2

3

C 03.00

CAPITAL RATIOS

CA3

4

C 04.00

MEMORANDUM ITEMS:

CA4

TRANSITIONAL PROVISIONS

CA5

5,1

C 05.01

TRANSITIONAL PROVISIONS

CA5.1

5,2

C 05.02

GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUING STATE AID

CA5.2

GROUP SOLVENCY

GS

6

C 06.00

GROUP SOLVENCY

GS

CREDIT RISK

CR

7

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

8,1

C 08.01

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

CR IRB 1

8,2

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

9,1

C 09.01

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

CR GB 1

9,2

C 09.02

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

CR GB 2

9,3

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

10,1

C 10.01

CREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS

CR EQU IRB 1

10,2

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

11

C 11.00

SETTLEMENT/DELIVERY RISK

CR SETT

12

C 12.00

CREDIT RISK: SECURITISATIONS - STANDARDISED APPROACH TO OWN FUNDS REQUIREMENTS

CR SEC SA

13

C 13.00

CREDIT RISK: SECURITISATIONS - IRB APPROACH TO OWN FUNDS REQUIREMENTS

CR SEC IRB

14

C 14.00

DETAILED INFORMATION ON SECURITISATIONS

CR SEC Details

OPERATIONAL RISK

OPR

16

C 16.00

OPERATIONAL RISK

OPR

17

C 17.00

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

OPR Details

MARKET RISK

MKR

18

C 18.00

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

MKR SA TDI

19

C 19.00

MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS

MKR SA SEC

20

C 20.00

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

MKR SA CTP

21

C 21.00

MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES

MKR SA EQU

22

C 22.00

MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK

MKR SA FX

23

C 23.00

MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES

MKR SA COM

24

C 24.00

MARKET RISK INTERNAL MODELS

MKR IM

25

C 25.00

CREDIT VALUE ADJUSTMENT RISK

CVA

C 01.00 — OWN FUNDS (CA1)

Rows

ID

Item

Amount

010

1

OWN FUNDS

015

1.1

TIER 1 CAPITAL

020

1.1.1

COMMON EQUITY TIER 1 CAPITAL

030

1.1.1.1

Capital instruments eligible as CET1 Capital

040

1.1.1.1.1

Paid up capital instruments

050

1.1.1.1.2*

Memorandum item: Capital instruments not eligible

060

1.1.1.1.3

Share premium

070

1.1.1.1.4

(-) Own CET1 instruments

080

1.1.1.1.4.1

(-) Direct holdings of CET1 instruments

090

1.1.1.1.4.2

(-) Indirect holdings of CET1 instruments

091

1.1.1.1.4.3

(-) Synthetic holdings of CET1 instruments

092

1.1.1.1.5

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

130

1.1.1.2

Retained earnings

140

1.1.1.2.1

Previous years retained earnings

150

1.1.1.2.2

Profit or loss eligible

160

1.1.1.2.2.1

Profit or loss attributable to owners of the parent

170

1.1.1.2.2.2

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

180

1.1.1.3

Accumulated other comprehensive income

200

1.1.1.4

Other reserves

210

1.1.1.5

Funds for general banking risk

220

1.1.1.6

Transitional adjustments due to grandfathered CET1 Capital instruments

230

1.1.1.7

Minority interest given recognition in CET1 capital

240

1.1.1.8

Transitional adjustments due to additional minority interests

250

1.1.1.9

Adjustments to CET1 due to prudential filters

260

1.1.1.9.1

(-) Increases in equity resulting from securitised assets

270

1.1.1.9.2

Cash flow hedge reserve

280

1.1.1.9.3

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

285

1.1.1.9.4

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

290

1.1.1.9.5

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

300

1.1.1.10

(-) Goodwill

310

1.1.1.10.1

(-) Goodwill accounted for as intangible asset

320

1.1.1.10.2

(-) Goodwill included in the valuation of significant investments

330

1.1.1.10.3

Deferred tax liabilities associated to goodwill

340

1.1.1.11

(-) Other intangible assets

350

1.1.1.11.1

(-) Other intangible assets gross amount

360

1.1.1.11.2

Deferred tax liabilities associated to other intangible assets

370

1.1.1.12

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

380

1.1.1.13

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

390

1.1.1.14

(-)Defined benefit pension fund assets

400

1.1.1.14.1

(-)Defined benefit pension fund assets gross amount

410

1.1.1.14.2

Deferred tax liabilities associated to defined benefit pension fund assets

420

1.1.1.14.3

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

430

1.1.1.15

(-) Reciprocal cross holdings in CET1 Capital

440

1.1.1.16

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

450

1.1.1.17

(-) Qualifying holdings outside the financial sector which can alternatively be subject to a 1250 % risk weight

460

1.1.1.18

(-) Securitisation positions which can alternatively be subject to a 1250 % risk weight

470

1.1.1.19

(-) Free deliveries which can alternatively be subject to a 1250 % risk weight

471

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 1250 % risk weight

472

1.1.1.21

(-) Equity exposures under an internal models approach which can alternatively be subject to a 1250 % risk weight

480

1.1.1.22

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

490

1.1.1.23

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

500

1.1.1.24

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

510

1.1.1.25

(-) Amount exceeding the 17,65 % threshold

520

1.1.1.26

Other transitional adjustments to CET1 Capital

524

1.1.1.27

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

529

1.1.1.28

CET1 capital elements or deductions - other

530

1.1.2

ADDITIONAL TIER 1 CAPITAL

540

1.1.2.1

Capital instruments eligible as AT1 Capital

550

1.1.2.1.1

Paid up capital instruments

560

1.1.2.1.2*

Memorandum item: Capital instruments not eligible

570

1.1.2.1.3

Share premium

580

1.1.2.1.4

(-) Own AT1 instruments

590

1.1.2.1.4.1

(-) Direct holdings of AT1 instruments

620

1.1.2.1.4.2

(-) Indirect holdings of AT1 instruments

621

1.1.2.1.4.3

(-) Synthetic holdings of AT1 instruments

622

1.1.2.1.5

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

660

1.1.2.2

Transitional adjustments due to grandfathered AT1 Capital instruments

670

1.1.2.3

Instruments issued by subsidiaries that are given recognition in AT1 Capital

680

1.1.2.4

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

690

1.1.2.5

(-) Reciprocal cross holdings in AT1 Capital

700

1.1.2.6

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

710

1.1.2.7

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

720

1.1.2.8

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

730

1.1.2.9

Other transitional adjustments to AT1 Capital

740

1.1.2.10

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

744

1.1.2.11

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

748

1.1.2.12

AT1 capital elements or deductions - other

750

1.2

TIER 2 CAPITAL

760

1.2.1

Capital instruments and subordinated loans eligible as T2 Capital

770

1.2.1.1

Paid up capital instruments and subordinated loans

780

1.2.1.1*

Memorandum item: Capital instruments and subordinated loans not eligible

790

1.2.1.3

Share premium

800

1.2.1.4

(-) Own T2 instruments

810

1.2.1.4.1

(-) Direct holdings of T2 instruments

840

1.2.1.4.2

(-) Indirect holdings of T2 instruments

841

1.2.1.4.3

(-) Synthetic holdings of T2 instruments

842

1.2.1.5

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

880

1.2.2

Transitional adjustments due to grandfathered T2 Capital instruments and subordinated loans

890

1.2.3

Instruments issued by subsidiaries that are given recognition in T2 Capital

900

1.2.4

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

910

1.2.5

IRB Excess of provisions over expected losses eligible

920

1.2.6

SA General credit risk adjustments

930

1.2.7

(-) Reciprocal cross holdings in T2 Capital

940

1.2.8

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

950

1.2.9

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

960

1.2.10

Other transitional adjustments to T2 Capital

970

1.2.11

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

974

1.2.12

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

978

1.2.13

T2 capital elements or deductions - other

C 02.00 — OWN FUNDS REQUIREMENTS (CA2)

Rows

Item

Label

Amount

010

1

TOTAL RISK EXPOSURE AMOUNT

020

1*

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

030

1**

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

040

1.1

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

050

1.1.1

Standardised approach (SA)

060

1.1.1.1

SA exposure classes excluding securitisation positions

070

1.1.1.1.01

Central governments or central banks

080

1.1.1.1.02

Regional governments or local authorities

090

1.1.1.1.03

Public sector entities

100

1.1.1.1.04

Multilateral Development Banks

110

1.1.1.1.05

International Organisations

120

1.1.1.1.06

Institutions

130

1.1.1.1.07

Corporates

140

1.1.1.1.08

Retail

150

1.1.1.1.09

Secured by mortgages on immovable property

160

1.1.1.1.10

Exposures in default

170

1.1.1.1.11

Items associated with particular high risk

180

1.1.1.1.12

Covered bonds

190

1.1.1.1.13

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

200

1.1.1.1.14

Collective investments undertakings (CIU)

210

1.1.1.1.15

Equity

211

1.1.1.1.16

Other items

220

1.1.1.2

Securitisation positions SA

230

1.1.1.2*

of which: resecuritisation

240

1.1.2

Internal ratings based Approach (IRB)

250

1.1.2.1

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

260

1.1.2.1.01

Central governments and central banks

270

1.1.2.1.02

Institutions

280

1.1.2.1.03

Corporates - SME

290

1.1.2.1.04

Corporates - Specialised Lending

300

1.1.2.1.05

Corporates - Other

310

1.1.2.2

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

320

1.1.2.2.01

Central governments and central banks

330

1.1.2.2.02

Institutions

340

1.1.2.2.03

Corporates - SME

350

1.1.2.2.04

Corporates - Specialised Lending

360

1.1.2.2.05

Corporates - Other

370

1.1.2.2.06

Retail - Secured by real estate SME

380

1.1.2.2.07

Retail - Secured by real estate non-SME

390

1.1.2.2.08

Retail - Qualifying revolving

400

1.1.2.2.09

Retail - Other SME

410

1.1.2.2.10

Retail - Other non-SME

420

1.1.2.3

Equity IRB

430

1.1.2.4

Securitisation positions IRB

440

1.1.2.4*

Of which: resecuritisation

450

1.1.2.5

Other non credit-obligation assets

460

1.1.3

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

490

1.2

TOTAL RISK EXPOSURE AMOUNT FOR SETTLEMENT/DELIVERY

500

1.2.1

Settlement/delivery risk in the non-Trading book

510

1.2.2

Settlement/delivery risk in the Trading book

520

1.3

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

530

1.3.1

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

540

1.3.1.1

Traded debt instruments

550

1.3.1.2

Equity

560

1.3.1.3

Foreign Exchange

570

1.3.1.4

Commodities

580

1.3.2

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

590

1.4

TOTAL RISK EXPOSURE AMOUNT FOR OPERATIONAL RISK (OpR )

600

1.4.1

OpR Basic indicator approach (BIA)

610

1.4.2

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

620

1.4.3

OpR Advanced measurement approaches (AMA)

630

1.5

ADDITIONAL RISK EXPOSURE AMOUNT DUE TO FIXED OVERHEADS

640

1.6

TOTAL RISK EXPOSURE AMOUNT FOR CREDIT VALUATION ADJUSTMENT

650

1.6.1

Advanced method

660

1.6.2

Standardised method

670

1.6.3

Based on OEM

680

1.7

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

690

1.8

OTHER RISK EXPOSURE AMOUNTS

710

1.8.2

Of which: Additional stricter prudential requirements based on Art 458

720

1.8.2*

Of which: requirements for large exposures

730

1.8.2**

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

740

1.8.2***

Of which: due to intra financial sector exposures

750

1.8.3

Of which: Additional stricter prudential requirements based on Art 459

760

1.8.4

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

C 03.00 — CAPITAL RATIOS AND CAPITAL LEVELS (CA3)

Rows

ID

Item

Amount

010

1

CET1 Capital ratio

020

2

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

030

3

T1 Capital ratio

040

4

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

050

5

Total capital ratio

060

6

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

Memorandum Items: Capital ratios due to Pillar II adjustments

070

7

CET1 capital ratio including Pillar II adjustments

080

8

Target CET1 capital ratio due to Pillar II adjustments

090

9

T1 capital ratio including Pillar II adjustments

100

10

Target T1 capital ratio due to Pillar II adjustments

110

11

Total capital ratio including Pillar II adjustments

120

12

Target Total capital ratio due to Pillar II adjustments

C 04.00 — MEMORANDUM ITEMS (CA4)

Row

ID

Item

Column

Deferred tax assest and liabilities

010

010

1

Total deferred tax assets

020

1.1

Deferred tax assets that do not rely on future profitability

030

1.2

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

040

1.3

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

050

2

Total deferred tax liabilities

060

2.1

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

070

2.2

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

080

2.2.1

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

090

2.2.2

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

Credit risk adjustments and expected losses

100

3

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

110

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

120

3.1.1

General credit risk adjustments

130

3.1.2

Specific credit risk adjustments

131

3.1.3

Additional value adjustments and other own funds reductions

140

3.2

Total expected losses eligible

145

4

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

150

4.1

Specific credit risk adjustments and positions treated similarily

155

4.2

Total expected losses eligible

160

5

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

170

6

Total gross provisions eligible for inclusion in T2 capital

180

7

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

Thresholds for Common Equity Tier 1 deductions

190

8

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

200

9

10 % CET1 threshold

210

10

17,65 % CET1 threshold

220

11

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

Investments in the capital of financial sector entities where the institution does not have a significant investment

230

12

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

240

12.1

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

250

12.1.1

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

260

12.1.2

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

270

12.2

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

280

12.2.1

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

290

12.2.2

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

291

12.3

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

292

12.3.1

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

293

12.3.2

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

300

13

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

310

13.1

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

320

13.1.1

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

330

13.1.2

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

340

13.2

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

350

13.2.1

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

360

13.2.2

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

361

13.3

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

362

13.3.1

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

363

13.3.2

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

370

14

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

380

14.1

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

390

14.1.1

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

400

14.1.2

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

410

14.2

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

420

14.2.1

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

430

14.2.2

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

431

14.3

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

432

14.3.1

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

433

14.3.2

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

Investments in the capital of financial sector entities where the institution has a significant investment

440

15

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

450

15.1

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

460

15.1.1

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

470

15.1.2

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

480

15.2

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

490

15.2.1

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

500

15.2.2

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

501

15.3

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

502

15.3.1

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

503

15.3.2

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

510

16

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

520

16.1

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

530

16.1.1

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

540

16.1.2

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

550

16.2

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

560

16.2.1

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

570

16.2.2

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

571

16.3

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

572

16.3.1

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

573

16.3.2

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

580

17

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

590

17.1

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

600

17.1.1

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

610

17.1.2

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

620

17.2

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

630

17.2.1

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

640

17.2.2

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

641

17.3

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

642

17.3.1

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

643

17.3.2

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

Total risk exposure amounts of holdings not deducted from the corresponding capital category:

650

18

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

660

19

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

670

20

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

Temporary waiver from deduction from own funds

680

21

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

690

22

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

700

23

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

710

24

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

720

25

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

730

26

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

Capital buffers

740

27

Combined buffer requirement

750

Capital conservation buffer

760

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

770

Institution specific countercyclical capital buffer

780

Systemic risk buffer

790

Systemical important institution buffer

800

Global Systemically Important Institution buffer

810

Other Systemically Important Institution buffer

Pillar II requirements

820

28

Own funds requirements related to Pillar II adjustments

Additional information for investment firms

830

29

Initial capital

840

30

Own funds based on Fixed Overheads

Additional information for calculation of reporting thresholds

850

31

Non-domestic original exposures

860

32

Total original exposures

Basel I floor

870

Adjustments to total own funds

880

Own funds fully adjusted for Basel I floor

890

Own funds requirements for Basel I floor

900

Own funds requirements for Basel I floor - SA alternative

C 05.01 — TRANSITIONAL PROVISIONS (CA5.1)

Adjustments to CET1

Adjustments to AT1

Adjustments to T2

Adjustments included in RWAs

Memorandum items

Applicable percentage

Eligible amount without transitional provisions

Code

ID

Item

010

020

030

040

050

060

010

1

TOTAL ADJUSTMENTS

020

1.1

GRANDFATHERED INSTRUMENTS

link to {CA1;r220}

link to {CA1;r660}

link to {CA1;r880}

030

1.1.1

Grandfathered instruments: Instruments constituting state aid

040

1.1.1.1

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

050

1.1.1.2

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

060

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}

070

1.2

MINORITY INTERESTS AND EQUIVALENTS

link to {CA1;r240}

link to {CA1;r680}

link to {CA1;r900}

080

1.2.1

Capital instruments and items that do not qualify as minority interests

090

1.2.2

Transitional recognition in consolidated own funds of minority interests

091

1.2.3

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

092

1.2.4

Transitional recognition in consolidated own funds of qualifying Tier 2 capital

100

1.3

OTHER TRANSITIONAL ADJUSTMENTS

link to {CA1;r520}

link to {CA1;r730}

link to {CA1;r960}

110

1.3.1

Unrealised gains and losses

120

1.3.1.1

Unrealised gains

130

1.3.1.2

Unrealised losses

133

1.3.1.3.

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

136

1.3.1.4.

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

138

1.3.1.5.

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

140

1.3.2

Deductions

150

1.3.2.1

Losses for the current financial year

160

1.3.2.2

Intangible assets

170

1.3.2.3

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

180

1.3.2.4

IRB shortfall of provisions to expected losses

190

1.3.2.5

Defined benefit pension fund assets

194

1.3.2.5*

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

198

1.3.2.5**

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

200

1.3.2.6

Own instruments

210

1.3.2.6.1

Own CET1 instruments

211

1.3.2.6.1**

of which: Direct holdings

212

1.3.2.6.1*

of which: Indirect holdings

220

1.3.2.6.2

Own AT1 instruments

221

1.3.2.6.2**

of which: Direct holdings

222

1.3.2.6.2*

of which: Indirect holdings

230

1.3.2.6.3

Own T2 instruments

231

1.3.2.6.3*

of which: Direct holdings

232

1.3.2.6.3**

of which: Indirect holdings

240

1.3.2.7

Reciprocal cross holdings

250

1.3.2.7.1

Reciprocal cross holdings in CET1 Capital

260

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

270

1.3.2.7.1.2

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

280

1.3.2.7.2

Reciprocal cross holdings in AT1 Capital

290

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

300

1.3.2.7.2.2

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

310

1.3.2.7.3

Reciprocal cross holdings in T2 Capital

320

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

330

1.3.2.7.3.2

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

340

1.3.2.8

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

350

1.3.2.8.1

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

360

1.3.2.8.2

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

370

1.3.2.8.3

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

380

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

390

1.3.2.10

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

400

1.3.2.10.1

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

410

1.3.2.10.2

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

420

1.3.2.10.3

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

425

1.3.2.11

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

430

1.3.3

Additional filters and deductions

C 05.02 — GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUING STATE AID (CA5.2)

CA 5.2 Grandfathered instruments: Instruments not constituting State aid

Amount of instruments plus related share premium

Base for calculating the limit

Applicable percentage

Limit

(-) Amount that exceeds the limits for grandfathering

Total grandfathered amount

Code

ID

Item

010

020

030

040

050

060

010

1.

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

link to {CA5.1;r060;c010)

020

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)

030

2.1

Total instruments without a call or an incentive to redeem

040

2.2.

Grandfathered instruments with a call and incentive to redeem

050

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

060

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

070

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

080

2.3

Excess on the limit of CET1 grandfathered instruments

090

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)

100

3.1

Total items without an incentive to redeem

110

3.2

Grandfathered items with an incentive to redeem

120

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

130

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

140

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

150

3.3

Excess on the limit of AT1 grandfathered instruments

C 06.00 — GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS)

ENTITIES WITHIN SCOPE OF CONSOLIDATION

INFORMATION ON ENTITIES SUBJECT TO OWN FUNDS REQUIREMENTS

INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP

CAPITAL BUFFERS

NAME

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

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

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: QUALIFYING OWN FUNDS

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

010

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

010

TOTAL

001

002

....

NNN

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

NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS

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 OF OFF-BALANCE SHEET ITEMS BY CONVERSION FACTORS

EXPOSURE VALUE

RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR

RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR

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

(-) GUARANTEES

(-) CREDIT DERIVATIVES

(-) FINANCIAL COLLATERAL: SIMPLE METHOD

(-) OTHER FUNDED CREDIT PROTECTION

(-) TOTAL OUTFLOWS

TOTAL INFLOWS (+)

OF WHICH: VOLATILITY AND MATURITY ADJUSTMENTS

010

020

030

040

050

060

070

080

090

100

110

120

130

140

150

160

170

180

190

200

210

215

220

230

240

010

TOTAL EXPOSURES

Cell linked to CA

020

of which: SME

030

of which: SME subject to SME-supporting factor

040

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

050

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

060

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:

070

On balance sheet exposures subject to credit risk

080

Off balance sheet exposures subject to credit risk

090

Securities Financing Transactions

100

of which: centrally cleared through a QCCP

110

Derivatives & Long Settlement Transactions

120

of which: centrally cleared through a QCCP

130

From Contractual Cross Product Netting

BREAKDOWN OF TOTAL EXPOSURES BY RISK WEIGHTS:

140

0 %

150

2 %

160

4 %

170

10 %

180

20 %

190

35 %

200

50 %

210

70 %

220

75 %

230

100 %

240

150 %

250

250 %

260

370 %

270

1250 %

280

Other risk weights

MEMORANDUM ITEMS

290

Exposures secured by mortgages on commercial immovable property

300

Exposures in default subject to a risk weight of 100 %

310

Exposures secured by mortgages on residential property

320

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 SYSTEM

ORIGINAL EXPOSURE PRE CONVERSION FACTORS

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

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 SME-SUPPORTING FACTOR

RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR

MEMORANDUM ITEMS:

UNFUNDED CREDIT PROTECTION

(-) 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

PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%)

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

REAL ESTATE

OTHER PHYSICAL COLLATERAL

RECEIVABLES

010

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

010

TOTAL EXPOSURES

Cell linked to CA

BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:

020

On balance sheet items subject to credit risk

030

Off balance sheet items subject to credit risk

Exposures / Transactions subject to counterparty credit risk

040

Securities Financing Transactions

050

Derivatives & Long Settlement Transactions

060

From Contractual Cross Product Netting

070

EXPOSURES ASSIGNED TO OBLIGOR GRADES OR POOLS: TOTAL

080

SPECIALIZED LENDING SLOTTING CRITERIA: TOTAL

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

090

RISK WEIGHT: 0 %

100

50 %

110

70 %

120

Of which: in category 1

130

90 %

140

115 %

150

250 %

160

ALTERNATIVE TREATMENT: SECURED BY REAL ESTATE

170

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

180

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:

INTERNAL RATING SYSTEM

ORIGINAL EXPOSURE PRE CONVERSION FACTORS

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

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 SME-FACTOR

RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-FACTOR

MEMORANDUM ITEMS:

UNFUNDED CREDIT PROTECTION

(-) 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

PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%)

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

REAL ESTATE

OTHER PHYSICAL COLLATERAL

RECEIVABLES

010

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

C 09.01 — GEOGRAPHICAL BREAKDOWN OF EXPOSURES BY RESIDENCE OF THE OBLIGOR: SA EXPOSURES (CR GB 1) Country:

ORIGINAL EXPOSURE PRE CONVERSION FACTORS

Exposures in default

Observed new defaults for the period

General credit risk adjustments

Specific credit risk adjustments

Of which: write off

Credit risk adjustments/write-offs for observed new defaults

EXPOSURE VALUE

RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR

RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR

010

020

040

050

055

060

070

075

080

090

010

Central governments or central banks

020

Regional governments or local authorities

030

Public sector entities

040

Multilateral Development Banks

050

International Organisations

060

Institutions

070

Corporates

075

of which: SME

080

Retail

085

of which: SME

090

Secured by mortgages on immovable property

095

of which: SME

100

Exposures in default

110

Items associated with particularly high risk

120

Covered bonds

130

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

140

Collective investments undertakings (CIU)

150

Equity exposures

160

Other exposures

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

Of which: defaulted

Observed new defaults for the period

General credit risk adjustments

Specific credit risk adjustments

Of which: write off

Credit risk adjustments/write-offs for observed new defaults

PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%)

EXPOSURE WEIGHTED AVERAGE LGD (%)

Of which: defaulted

EXPOSURE VALUE

RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR

Of which: defaulted

RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR

EXPECTED LOSS AMOUNT

010

030

040

050

055

060

070

080

090

100

105

110

120

125

130

010

Central governments or central banks

020

Institutions

030

Corporates

040

Of Which: Specialised Lending

050

Of Which: SME

060

Retail

070

Secured by real estate property

080

SME

090

Non-SME

100

Qualifying Revolving

110

Other Retail

120

SME

130

Non-SME

140

Equity

Total exposures

C 09.03 — BREAKDOWN OF TOTAL OWN FUNDS REQUIREMENTS FOR CREDIT RISK OF RELEVANT CREDIT EXPOSURES BY COUNTRY (CR GB 3) Country:

Amount

010

010

Own fund requirements for credit risk

C 10.01 — CREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS (CR EQU IRB 1)

INTERNAL RATING SYSTEM

ORIGINAL EXPOSURE PRE CONVERSION FACTORS

CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE

EXPOSURE VALUE

EXPOSURE WEIGHTED AVERAGE LGD (%)

RISK WEIGHTED EXPOSURE AMOUNT

MEMORANDUM ITEM:

UNFUNDED CREDIT PROTECTION

SUBSTITUTION OF THE EXPOSURE DUE TO CRM

EXPECTED LOSS AMOUNT

PD ASSIGNED TO THE OBLIGOR GRADE (%)

(-) GUARANTEES

(-) CREDIT DERIVATIVES

(-) TOTAL OUTFLOWS

010

020

030

040

050

060

070

080

090

010

TOTAL IRB EQUITY EXPOSURES

Cell linked to CA

020

PD/LGD APRROACH: TOTAL

050

SIMPLE RISK WEIGHT APPROACH: TOTAL

060

BREAKDOWN OF TOTAL EXPOSURES UNDER THE SIMPLE RISK WEIGHT APRROACH BY RISK WEIGHTS:

070

RISK WEIGHT: 190 %

080

290 %

090

370 %

100

INTERNAL MODELS APPROACH

110

EQUITY EXPOSURES SUBJECT TO RISK WEIGHTS

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)

INTERNAL RATING SYSTEM

ORIGINAL EXPOSURE PRE CONVERSION FACTORS

CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE

EXPOSURE VALUE

EXPOSURE WEIGHTED AVERAGE LGD (%)

RISK WEIGHTED EXPOSURE AMOUNT

MEMORANDUM ITEM:

UNFUNDED CREDIT PROTECTION

SUBSTITUTION OF THE EXPOSURE DUE TO CRM

EXPECTED LOSS AMOUNT

PD ASSIGNED TO THE OBLIGOR GRADE (%)

(-) GUARANTEES

(-) CREDIT DERIVATIVES

(-) TOTAL OUTFLOWS

010

020

030

040

050

060

070

080

090

BREAKDOWN OF TOTAL EXPOSURES UNDER THE PD/LGD APRROACH BY OBLIGOR GRADES:

OBLIGOR GRADE(a): 001

002

NNN

C 11.00 — SETTLEMENT/DELIVERY RISK (CR SETT)

UNSETTLED TRANSACTIONS AT SETTLEMENT PRICE

PRICE DIFFERENCE EXPOSURE DUE TO UNSETTLED TRANSACTIONS

OWN FUNDS REQUIREMENTS

TOTAL SETTLEMENT RISK EXPOSURE AMOUNT

010

020

030

040

010

Total unsettled transactions in the Non-trading Book

Cell linked to CA

020

Transactions unsettled up to 4 days (Factor 0 %)

030

Transactions unsettled between 5 and 15 days (Factor 8 %)

040

Transactions unsettled between 16 and 30 days (Factor 50 %)

050

Transactions unsettled between 31 and 45 days (Factor 75 %)

060

Transactions unsettled for 46 days or more (Factor 100 %)

070

Total unsettled transactions in the Trading Book

Cell linked to CA

080

Transactions unsettled up to 4 days (Factor 0 %)

090

Transactions unsettled between 5 and 15 days (Factor 8 %)

100

Transactions unsettled between 16 and 30 days (Factor 50 %)

110

Transactions unsettled between 31 and 45 days (Factor 75 %)

120

Transactions unsettled for 46 days or more (Factor 100 %)

C 12.00 — CREDIT RISK: SECURITISATIONS - STANDARDISED APPROACH TO OWN FUNDS REQUIREMENTS (CR SEC SA)

TOTAL AMOUNT OF SECURITISATI0N EXPOSURES ORIGINATED

SYNTHETIC SECURITISATIONS: CREDIT PROTECTION TO THE SECURITISED EXPOSURES

SECURITISATION POSITIONS

(-) VALUE ADJUSTMENTS AND PROVISIONS

EXPOSURE NET OF VALUE ADJUSTMENTS AND PROVISIONS

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 AMOUNT OF THE EXPOSURE: FUNDED CREDIT PROTECTION FINANCIAL COLLATERAL COMPREHENSIVE METHOD ADJUSTED VALUE (Cvam)

FULLY ADJUSTED EXPOSURE VALUE (E*)

BREAKDOWN OF THE FULLY ADJUSTED EXPOSURE VALUE (E*) OF OFF BALANCE SHEET ITEMS ACCORDING TO CONVERSION FACTORS

EXPOSURE VALUE

BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS

BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS

RISK-WEIGHTED EXPOSURE AMOUNT

OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONS

ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO MATURITY MISMATCHES

TOTAL RISK-WEIGHTED EXPOSURE AMOUNT

MEMORANDUM ITEM: RISK WEIGHTED EXPOSURE AMOUNT CORRESPONDING TO THE OUTFLOWS FROM THE SA SECURITISATION TO OTHER EXPOSURE CLASSES

(-) FUNDED CREDIT PROTECTION (Cva)

(-) TOTAL OUTFLOWS

NOTIONAL AMOUNT RETAINED OR REPURCHASED OF CREDIT PROTECTION

ORIGINAL EXPOSURE PRE CONVERSION FACTORS

(-) UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (Ga)

(-) FUNDED CREDIT PROTECTION

SUBSTITUTION OF THE EXPOSURE DUE TO CRM

0 %

>0 % and <=20 %

>20 % and <=50 %

>50 % and <=100 %

(-) DEDUCTED FROM OWN FUNDS

SUBJECT TO RISK WEIGHTS

RATED (CREDIT QUALITY STEPS)

1250%

LOOK-THROUGH

INTERNAL ASSESMENT APPROACH

(-) UNFUNDED CREDIT PROTECTION ADJUSTED VALUES (G*)

(-) TOTAL OUTFLOWS

TOTAL INFLOWS

CQS 1

CQS 2

CQS 3

CQS 4

ALL OTHER CQS

UNRATED

OF WHICH: SECOND LOSS IN ABCP

OF WHICH: AVERAGE RISK WEIGHT (%)

AVERAGE RISK WEIGHT (%)

OF WHICH: SYNTHETIC SECURITISATIONS

BEFORE CAP

AFTER CAP

010

020

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

010

TOTAL EXPOSURES

Cell linked to CA

020

OF WHICH: RE-SECURITISATIONS

Cell linked to CA

030

ORIGINATOR: TOTAL EXPOSURES

040

ON-BALANCE SHEET ITEMS

050

SECURITISATIONS

060

RE-SECURITISATIONS

070

OFF-BALANCE SHEET ITEMS AND DERIVATIVES

080

SECURITISATIONS

090

RE-SECURITISATIONS

100

EARLY AMORTISATION

110

INVESTOR: TOTAL EXPOSURES

120

ON-BALANCE SHEET ITEMS

130

SECURITISATIONS

140

RE-SECURITISATIONS

150

OFF-BALANCE SHEET ITEMS AND DERIVATIVES

160

SECURITISATIONS

170

RE-SECURITISATIONS

180

SPONSOR: TOTAL EXPOSURES

190

ON-BALANCE SHEET ITEMS

200

SECURITISATIONS

210

RE-SECURITISATIONS

220

OFF-BALANCE SHEET ITEMS AND DERIVATIVES

230

SECURITISATIONS

240

RE-SECURITISATIONS

BREAKDOWN OF OUTSTANDING POSITIONS ACCORDING TO CQS AT INCEPTION:

250

CQS 1

260

CQS 2

270

CQS 3

280

CQS 4

290

ALL OTHER CQS AND UNRATED

C 13.00 — CREDIT RISK: SECURITISATIONS - IRB APPROACH TO OWN FUNDS REQUIREMENTS (CR SEC IRB)

TOTAL AMOUNT OF SECURITISATI0N EXPOSURES ORIGINATED

SYNTHETIC SECURITIZATIONS: CREDIT PROTECTION TO THE SECURITISED EXPOSURES

SECURITISATION POSITIONS

CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE

EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS

(-) CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE AMOUNT OF THE EXPOSURE: FUNDED CREDIT PROTECTION FINANCIAL COLLATERAL COMPREHENSIVE METHOD ADJUSTED VALUE (Cvam)

FULLY ADJUSTED EXPOSURE VALUE (E*)

BREAKDOWN OF THE FULLY ADJUSTED EXPOSURE VALUE (E*) OF OFF BALANCE SHEET ITEMS ACCORDING TO CREDIT CONVERSION FACTORS

EXPOSURE VALUE

BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS

(-) REDUCTION IN RISK WEIGHTED EXPOSURE AMOUNT DUE TO VALUE ADJUSTMENTS AND PROVISIONS

RISK-WEIGHTED EXPOSURE AMOUNT

OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONS

ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO MATURITY MISMATCHES

TOTAL RISK-WEIGHTED EXPOSURE AMOUNT

MEMORANDUM ITEM: RISK WEIGHTED EXPOSURE AMOUNT CORRESPONDING TO THE OUTFLOWS FROM THE IRB SECURITISATION TO OTHER EXPOSURE CLASSES

(-) FUNDED CREDIT PROTECTION (Cva)

(-) TOTAL OUTFLOWS

NOTIONAL AMOUNT RETAINED OR REPURCHASED OF CREDIT PROTECTION

ORIGINAL EXPOSURE PRE CONVERSION FACTORS

(-) UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (Ga)

(-) FUNDED CREDIT PROTECTION

SUBSTITUTION OF THE EXPOSURE DUE TO CRM

0 %

>0 % and <=20 %

>20 % and <=50 %

>50 % and <=100 %

(-) DEDUCTED FROM OWN FUNDS

SUBJECT TO RISK WEIGHTS

RATINGS BASED METHOD (CREDIT QUALITY STEPS)

1250%

SUPERVISORY FORMULA METHOD

LOOK-THROUGH

INTERNAL ASSESSMENT APPROACH

(-) UNFUNDED CREDIT PROTECTION ADJUSTED VALUES (G*)

(-) TOTAL OUTFLOWS

TOTAL INFLOWS

CQS 1 & S/T CQS 1

CQS 2

CQS 3

CQS 4 & S/T CQS 2

CQS 5

CQS 6

CQS 7 & S/T CQS 3

CQS 8

CQS 9

CQS 10

CQS 11

ALL OTHER CQS

UNRATED

AVERAGE RISK WEIGHT (%)

AVERAGE RISK WEIGHT (%)

AVERAGE RISK WEIGHT (%)

OF WHICH: SYNTHETIC SECURITISATIONS

BEFORE CAP

AFTER CAP

010

020

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

010

TOTAL EXPOSURES

Cell linked to CA

020

OF WHICH: RE-SECURITISATIONS

Cell linked to CA

030

ORIGINATOR: TOTAL EXPOSURES

040

ON-BALANCE SHEET ITEMS

050

SECURITISATIONS

A

060

B

070

C

080

RE-SECURITISATIONS

D

090

E

100

OFF-BALANCE SHEET ITEMS AND DERIVATIVES

110

SECURITISATIONS

A

120

B

130

C

140

RE-SECURITISATIONS

D

150

E

160

EARLY AMORTISATION

170

INVESTOR: TOTAL EXPOSURES

180

ON-BALANCE SHEET ITEMS

190

SECURITISATIONS

A

200

B

210

C

220

RE-SECURITISATIONS

D

230

E

240

OFF-BALANCE SHEET ITEMS AND DERIVATIVES

250

SECURITISATIONS

A

260

B

270

C

280

RE-SECURITISATIONS

D

290

E

300

SPONSOR: TOTAL EXPOSURES

310

ON-BALANCE SHEET ITEMS

320

SECURITISATIONS

A

330

B

340

C

350

RE-SECURITISATIONS

D

360

E

370

OFF-BALANCE SHEET ITEMS AND DERIVATIVES

380

SECURITISATIONS

A

390

B

400

C

410

RE-SECURITISATIONS

D

420

E

BREAKDOWN OF OUTSTANDING POSITIONS ACCORDING TO CQS AT INCEPTION:

430

CQS 1 & S/T CQS 1

440

CQS 2

450

CQS 3

460

CQS 4 & S/T CQS 2

470

CQS 5

480

CQS 6

490

CQS 7 & S/T CQS 3

500

CQS 8

510

CQS 9

520

CQS 10

530

CQS 11