FCA Handbook - ANNEX I

C 18.00 — MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS (MKR SA TDI) Currency:

		POSITIONS
		ALL POSITIONS		NET POSITIONS		POSITIONS SUBJECT TO CAPITAL CHARGE
		LONG	SHORT	LONG	SHORT	POSITIONS SUBJECT TO CAPITAL CHARGE
		010	020	030	040	050	060	070
		010	TRADED DEBT INSTRUMENTS IN TRADING BOOK					Cell linked to CA2
011	General risk
012	Derivatives
013	Other assets and liabilities
020	Maturity-based approach
030	Zone 1
040	0 ≤ 1 month
050	> 1 ≤ 3 months
060	> 3 ≤ 6 months
070	> 6 ≤ 12 months
080	Zone 2
090	> 1 ≤ 2 (1,9 for cupon of less than 3 %) years
100	> 2 ≤ 3 (> 1,9 ≤ 2,8 for cupon of less than 3 %) years
110	> 3 ≤ 4 (> 2,8 ≤ 3,6 for cupon of less than 3 %) years
120	Zone 3
130	> 4 ≤ 5 (> 3,6 ≤ 4,3 for cupon of less than 3 %) years
140	> 5 ≤ 7 (> 4,3 ≤ 5,7 for cupon of less than 3 %) years
150	> 7 ≤ 10 (> 5,7 ≤ 7,3 for cupon of less than 3 %) years
160	> 10 ≤ 15 (> 7,3 ≤ 9,3 for cupon of less than 3 %) years
170	> 15 ≤ 20 (> 9,3 ≤ 10,6 for cupon of less than 3%) years
180	> 20 (> 10,6 ≤ 12,0 for cupon of less than 3 %) years
190	(> 12,0 ≤ 20,0 for cupon of less than 3 %) years
200	(> 20 for cupon of less than 3 %) years
210	Duration-based approach
220	Zone 1
230	Zone 2
240	Zone 3
250	Specific risk
251	Own funds requirement for non-securitisation debt instruments
260	Debt securities under the first category in Table 1
270	Debt securities under the second category in Table 1
280	With residual term ≤ 6 months
290	With a residual term > 6 months and ≤ 24 months
300	With a residual term > 24 months
310	Debt securities under the third category in Table 1
320	Debt securities under the fourth category in Table 1
321	Rated nth-to default credit derivatives
325	Own funds requirement for securitisation instruments
330	Own funds requirement for the correlation trading portfolio
340	Particular approach for position risk in CIUs
350	Additional requirements for options (non-delta risks)
360	Simplified method
370	Delta plus approach - additional requirements for gamma risk
380	Delta plus approach - additional requirements for vega risk
390	Scenario matrix approach

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
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
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 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:
	INTERNAL RATING SYSTEM	ORIGINAL EXPOSURE PRE CONVERSION FACTORS		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					RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-FACTOR		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
	PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%)			(-) 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		GUARANTEES	CREDIT DERIVATIVES		ELIGIBLE FINANCIAL COLLATERAL	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 03.00 — CAPITAL RATIOS AND CAPITAL LEVELS (CA3)

Rows	ID	Item
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
			Adjustments to CET1	Adjustments to AT1	Adjustments to T2	Adjustments included in RWAs	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	COMMON EQUITY TIER 1 CAPITAL	OF WHICH: MINORITY INTERESTS	OF WHICH: OWN FUNDS INSTRUMENTS, RELATED RETAINED EARNINGS, SHARE PREMIUM ACCOUNTS AND OTHER RESERVES	ADDITIONAL TIER 1 CAPITAL	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
			OF WHICH: ARISING FROM DEFAULT FUND CONTRIBUTIONS			(-) GUARANTEES	(-) CREDIT DERIVATIVES	(-) FINANCIAL COLLATERAL: SIMPLE METHOD	(-) OTHER FUNDED CREDIT PROTECTION	(-) TOTAL OUTFLOWS	TOTAL INFLOWS (+)		VOLATILITY ADJUSTMENT TO THE EXPOSURE		OF WHICH: VOLATILITY AND MATURITY ADJUSTMENTS		0%	20%	50%	100%		OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK			OF WHICH: WITH A CREDIT ASSESSMENT BY A NOMINATED ECAI
		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:
		INTERNAL RATING SYSTEM	ORIGINAL EXPOSURE PRE CONVERSION FACTORS		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
		PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%)			(-) 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		GUARANTEES	CREDIT DERIVATIVES		ELIGIBLE FINANCIAL COLLATERAL	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 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			MEMORANDUM ITEM:
				UNFUNDED CREDIT PROTECTION		SUBSTITUTION OF THE EXPOSURE DUE TO CRM	EXPECTED LOSS AMOUNT
				PD ASSIGNED TO THE OBLIGOR GRADE (%)	(-) GUARANTEES	(-) CREDIT DERIVATIVES	EXPECTED LOSS AMOUNT	(-) 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			MEMORANDUM ITEM:
	INTERNAL RATING SYSTEM		UNFUNDED CREDIT PROTECTION		SUBSTITUTION OF THE EXPOSURE DUE TO CRM	EXPECTED LOSS AMOUNT
	PD ASSIGNED TO THE OBLIGOR GRADE (%)		(-) GUARANTEES	(-) CREDIT DERIVATIVES	(-) TOTAL OUTFLOWS	EXPECTED LOSS AMOUNT
	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		RISK-WEIGHTED EXPOSURE AMOUNT				TOTAL RISK-WEIGHTED EXPOSURE AMOUNT
			(-) FUNDED CREDIT PROTECTION (Cva)	*(-) UNFUNDED CREDIT PROTECTION ADJUSTED VALUES (G)**		ORIGINAL EXPOSURE PRE CONVERSION FACTORS			(-) UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (Ga)	(-) FUNDED CREDIT PROTECTION	(-) TOTAL OUTFLOWS	TOTAL INFLOWS				0 %	>0 % and <=20 %	>20 % and <=50 %	>50 % and <=100 %		(-) DEDUCTED FROM OWN FUNDS	SUBJECT TO RISK WEIGHTS	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			RISK-WEIGHTED EXPOSURE AMOUNT				TOTAL RISK-WEIGHTED EXPOSURE AMOUNT
				(-) FUNDED CREDIT PROTECTION (Cva)	*(-) UNFUNDED CREDIT PROTECTION ADJUSTED VALUES (G)**		ORIGINAL EXPOSURE PRE CONVERSION FACTORS	(-) UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (Ga)	(-) FUNDED CREDIT PROTECTION	(-) TOTAL OUTFLOWS	TOTAL INFLOWS				0 %	>0 % and <=20 %	>20 % and <=50 %	>50 % and <=100 %		(-) DEDUCTED FROM OWN FUNDS	SUBJECT TO RISK WEIGHTS	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	RE-SECURITISATIONS	E
100	OFF-BALANCE SHEET ITEMS AND DERIVATIVES
110	SECURITISATIONS	A
120		B
130		C
140	RE-SECURITISATIONS	D
150	RE-SECURITISATIONS	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	RE-SECURITISATIONS	E
240	OFF-BALANCE SHEET ITEMS AND DERIVATIVES
250	SECURITISATIONS	A
260		B
270		C
280	RE-SECURITISATIONS	D
290	RE-SECURITISATIONS	E
300	SPONSOR: TOTAL EXPOSURES
310	ON-BALANCE SHEET ITEMS
320	SECURITISATIONS	A
330		B
340		C
350	RE-SECURITISATIONS	D
360	RE-SECURITISATIONS	E
370	OFF-BALANCE SHEET ITEMS AND DERIVATIVES
380	SECURITISATIONS	A
390		B
400		C
410	RE-SECURITISATIONS	D
420	RE-SECURITISATIONS	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
540	ALL OTHER CQS AND UNRATED

C 14.00 — DETAILED INFORMATION ON SECURITISATIONS (SEC Details)

INTERNAL CODE	IDENTIFIER OF THE SECURITISATION	IDENTIFIER OF THE ORIGINATOR	SECURITISATION TYPE: (TRADITIONAL / SYNTHETIC)	ACCOUNTING TREATMENT: Securitised exposures are kept or removed from the balance sheet?	SOLVENCY TREATMENT: Securitisation positions subject to own funds requirements?	SECURITISATION OR RE-SECURITISATION?	RETENTION			ROLE OF THE INSTITUTION: (ORIGINATOR / SPONSOR / ORIGINAL LENDER / INVESTOR)	NON ABCP PROGRAMMES		SECURITISED EXPOSURES									SECURITISATION STRUCTURE								SECURITISATION POSITIONS											(-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS	TOTAL RISK-WEIGHTED EXPOSURE AMOUNT		SECURITISATION POSITIONS - TRADING BOOK
							TYPE OF RETENTION APPLIED	% OF RETENTION AT REPORTING DATE	COMPLIANCE WITH THE RETENTION REQUIREMENT?		ORIGINATION DATE (mm/yyyy)	TOTAL AMOUNT OF SECURITISED EXPOSURES AT ORIGINATION DATE	TOTAL AMOUNT	INSTITUTION'S SHARE (%)	TYPE	APPROACH APPLIED (SA/IRB/MIX)	NUMBER OF EXPOSURES	COUNTRY	ELGD (%)	(-) VALUE ADJUSTMENTS AND PROVISIONS	OWN FUNDS REQUIREMENTS BEFORE SECURITISATION (%)	ON-BALANCE SHEET ITEMS			OFF-BALANCE SHEET ITEMS AND DERIVATIVES			MATURITY		ORIGINAL EXPOSURE PRE-CONVERSION FACTORS						MEMORANDUM ITEMS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES				EARLY AMORTISATION				CTP OR NON-CTP?	NET POSITIONS		TOTAL OWN FUNDS REQUIREMENTS (SA)
																						SENIOR	MEZZANINE	FIRST LOSS	SENIOR	MEZZANINE	FIRST LOSS	FIRST FORESEEABLE TERMINATION DATE	LEGAL FINAL MATURITY DATE	ON-BALANCE SHEET ITEMS			OFF-BALANCE SHEET ITEMS AND DERIVATIVES			DIRECT CREDIT SUBSTITUTES	IRS / CRS	ELIGIBLE LIQUIDITY FACILITIES	OTHER (including non-eligible LF)	CONVERSION FACTOR APPLIED
																														SENIOR	MEZZANINE	FIRST LOSS	SENIOR	MEZZANINE	FIRST LOSS							BEFORE CAP	AFTER CAP
																														SENIOR	MEZZANINE	FIRST LOSS	SENIOR	MEZZANINE	FIRST LOSS							BEFORE CAP	AFTER CAP		LONG	SHORT	SPECIFIC RISK
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	470	480

C 16.00 — OPERATIONAL RISK (OPR)

BANKING ACTIVITIES		RELEVANT INDICATOR			LOANS AND ADVANCES (IN CASE OF ASA APPLICATION)			OWN FUNDS REQUIREMENT	Total operational risk exposure amount	AMA MEMORANDUM ITEMS TO BE REPORTED IF APPLICABLE
		YEAR-3	YEAR-2	LAST YEAR	YEAR-3	YEAR-2	LAST YEAR	OWN FUNDS REQUIREMENT	Total operational risk exposure amount	OF WHICH: DUE TO AN ALLOCATION MECHANISM	OWN FUNDS REQUIREMENT BEFORE ALLEVIATION DUE TO EXPECTED LOSS, DIVERSIFICATION AND RISK MITIGATION TECHNIQUES	(-) ALLEVIATION OF OWN FUNDS REQUIREMENT DUE TO THE EXPECTED LOSS CAPTURED IN BUSINESS PRACTICES	(-) ALLEVIATION OF OWN FUNDS REQUIREMENT DUE TO DIVERSIFICATION	(-) ALLEVIATION OF OWN FUNDS REQUIREMENT DUE TO RISK MITIGATION TECHNIQUES (INSURANCE AND OTHER RISK TRANSFER MECHANISMS)
		010	020	030	040	050	060	070	071	080	090	100	110	120
		010	1. BANKING ACTIVITIES SUBJECT TO BASIC INDICATOR APPROACH (BIA)								Cell linked to CA2
020	2. BANKING ACTIVITIES SUBJECT TO STANDARDISED (TSA) / ALTERNATIVE STANDARDISED (ASA) APPROACHES								Cell linked to CA2
	SUBJECT TO TSA:
030	CORPORATE FINANCE (CF)
040	TRADING AND SALES (TS)
050	RETAIL BROKERAGE (RBr)
060	COMMERCIAL BANKING (CB)
070	RETAIL BANKING (RB)
080	PAYMENT AND SETTLEMENT (PS)
090	AGENCY SERVICES (AS)
100	ASSET MANAGEMENT (AM)
	SUBJECT TO ASA:
110	COMMERCIAL BANKING (CB)
120	RETAIL BANKING (RB)
130	3. BANKING ACTIVITIES SUBJECT TO ADVANCED MEASUREMENT APPROACHES AMA								Cell linked to CA2

C 17.00 — OPERATIONAL RISK: GROSS LOSSES BY BUSINESS LINES AND EVENT TYPES IN THE LAST YEAR (OPR Details)

MAPPING OF LOSSES TO BUSINESS LINES			EVENT TYPES							TOTAL EVENT TYPES	MEMORANDUM ITEM: THRESHOLD APPLIED IN DATA COLLECTION
MAPPING OF LOSSES TO BUSINESS LINES			INTERNAL FRAUD	EXTERNAL FRAUD	EMPLOYMENT PRACTICES AND WORKPLACE SAFETY	CLIENTS, PRODUCTS & BUSINESS PRACTICES	DAMAGE TO PHYSICAL ASSETS	BUSINESS DISRUPTION AND SYSTEM FAILURES	EXECUTION, DELIVERY & PROCESS MANAGEMENT	TOTAL EVENT TYPES	LOWEST	HIGHEST
Rows			010	020	030	040	050	060	070	080	090	100
010	CORPORATE FINANCE [CF]	Number of events
020		Total loss amount
030		Maximum single loss
040		Sum of the five largest losses
110		TRADING AND SALES [TS]	Number of events
120	Total loss amount
130	Maximum single loss
140	Sum of the five largest losses
210	RETAIL BROKERAGE [RBr]		Number of events
220		Total loss amount
230		Maximum single loss
240		Sum of the five largest losses
310		COMMERCIAL BANKING [CB]	Number of events
320	Total loss amount
330	Maximum single loss
340	Sum of the five largest losses
410	RETAIL BANKING [RB]		Number of events
420		Total loss amount
430		Maximum single loss
440		Sum of the five largest losses
510		PAYMENT AND SETTLEMENT [PS]	Number of events
520	Total loss amount
530	Maximum single loss
540	Sum of the five largest losses
610	AGENCY SERVICES [AS]		Number of events
620		Total loss amount
630		Maximum single loss
640		Sum of the five largest losses
710		ASSET MANAGEMENT [AM]	Number of events
720	Total loss amount
730	Maximum single loss
740	Sum of the five largest losses
810	CORPORATE ITEMS [CI]		Number of events
820		Total loss amount
830		Maximum single loss
840		Sum of the five largest losses
910		TOTAL BUSINESS LINES	Number of events
920	Total loss amount
930	Maximum single loss
940	Sum of the five largest losses

C 19.00 — MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS (MKR SA SEC)

		ALL POSITIONS		(-) POSITIONS DEDUCTED FROM OWN FUNDS		NET POSITIONS		BREAKDOWN OF THE NET POSITIONS (LONG) ACCORDING TO SA AND IRB RISK WEIGHTS																							BREAKDOWN OF THE NET POSITIONS (SHORT) ACCORDING TO SA AND IRB RISK WEIGHTS																							OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONS		BEFORE CAP			AFTER CAP			TOTAL OWN FUNDS REQUIREMENTS
		ALL POSITIONS		(-) POSITIONS DEDUCTED FROM OWN FUNDS		NET POSITIONS		RISK WEIGHTS < 1250 %																1250 %		SUPERVISORY FORMULA METHOD		LOOK-THROUGH	INTERNAL ASSESMENT APPROACH		RISK WEIGHTS < 1250 %																1250 %		SUPERVISORY FORMULA METHOD		LOOK-THROUGH	INTERNAL ASSESMENT APPROACH				BEFORE CAP			AFTER CAP
		LONG	SHORT	(-) LONG	(-) SHORT	LONG	SHORT	7 - 10 %	12 - 18 %	20 - 35 %	40 - 75 %	100 %	150 %	200 %	225 %	250 %	300 %	350 %	425 %	500 %	650 %	750 %	850 %	RATED	UNRATED		AVERAGE RISK WEIGHT (%)	LOOK-THROUGH		AVERAGE RISK WEIGHT (%)	7 - 10 %	12 - 18 %	20 - 35 %	40 - 75 %	100 %	150 %	200 %	225 %	250 %	300 %	350 %	425 %	500 %	650 %	750 %	850 %	RATED	UNRATED		AVERAGE RISK WEIGHT (%)	LOOK-THROUGH		AVERAGE RISK WEIGHT (%)	WEIGHTED NET LONG POSITIONS	WEIGHTED NET SHORT POSITIONS	WEIGHTED NET LONG POSITIONS	WEIGHTED NET SHORT POSITIONS	SUM OF WEIGHTED NET LONG AND SHORT POSITIONS	WEIGHTED NET LONG POSITIONS	WEIGHTED NET SHORT POSITIONS	SUM OF WEIGHTED NET LONG AND SHORT POSITIONS
		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	470	480	490	500	510	520	530	540	550	560	570	580	590	600	610
010	TOTAL EXPOSURES																																																													Cell linked to MKR SA TDI {325:060}
020	Of which: RE-SECURITISATIONS
030	ORIGINATOR: TOTAL EXPOSURES
040	SECURITISATIONS
050	RE-SECURITISATIONS
060	INVESTOR: TOTAL EXPOSURES
070	SECURITISATIONS
080	RE-SECURITISATIONS
090	SPONSOR: TOTAL EXPOSURES
100	SECURITISATIONS
110	RE-SECURITISATIONS
	BREAKDOWN OF THE TOTAL SUM OF WEIGHTED NET LONG AND NET SHORT POSITIONS BY UNDERLYING TYPES:
120
130
140
150
160
170
180
190
200
210

C 20.00 — MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN THE CORRELATION TRADING PORTFOLIO (MKR SA CTP)

		ALL POSITIONS		(-) POSITIONS DEDUCTED FROM OWN FUNDS		NET POSITIONS		BREAKDOWN OF THE NET POSITION (LONG) ACCORDING TO SA AND IRB RISK WEIGHTS																	BREAKDOWN OF THE NET POSITION (SHORT) ACCORDING TO SA AND IRB RISK WEIGHTS																	BEFORE CAP		AFTER CAP		TOTAL OWN FUNDS REQUIREMENTS
		ALL POSITIONS		(-) POSITIONS DEDUCTED FROM OWN FUNDS		NET POSITIONS		RISK WEIGHTS < 1250 %										1250 %		SUPERVISORY FORMULA METHOD		LOOK-THROUGH	INTERNAL ASSESMENT APPROACH		RISK WEIGHTS < 1250 %										1250 %		SUPERVISORY FORMULA METHOD		LOOK-THROUGH	INTERNAL ASSESMENT APPROACH		BEFORE CAP		AFTER CAP
		LONG	SHORT	(-) LONG	(-) SHORT	LONG	SHORT	7 - 10 %	12 - 18 %	20 - 35 %	40- 75 %	100 %	250 %	350 %	425 %	650 %	Other	RATED	UNRATED		AVERAGE RISK WEIGHT (%)	LOOK-THROUGH		AVERAGE RISK WEIGHT (%)	7 - 10 %	12 - 18 %	20 - 35 %	40 - 75 %	100 %	250 %	350 %	425 %	650 %	Other	RATED	UNRATED		AVERAGE RISK WEIGHT (%)	LOOK-THROUGH		AVERAGE RISK WEIGHT (%)	WEIGHTED NET LONG POSITIONS	WEIGHTED NET SHORT POSITIONS	WEIGHTED NET LONG POSITIONS	WEIGHTED NET SHORT POSITIONS
		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
010	TOTAL EXPOSURES																																													Cell linked to MKR SA TDI {330:060}
	SECURITISATION POSITIONS:
020	ORIGINATOR: TOTAL EXPOSURES
030	SECURITISATIONS
040	OTHER CTP POSITIONS
050	INVESTOR: TOTAL EXPOSURES
060	SECURITISATIONS
070	OTHER CTP POSITIONS
080	SPONSOR: TOTAL EXPOSURES
090	SECURITISATIONS
100	OTHER CTP POSITIONS
	N-TH-TO-DEFAULT CREDIT DERIVATES:
110	N-TH-TO-DEFAULT CREDIT DERIVATIVES
120	OTHER CTP POSITIONS

C 21.00 — MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES (MKR SA EQU) National market:

		POSITIONS
		ALL POSITIONS		NET POSITIONS		POSITIONS SUBJECT TO CAPITAL CHARGE
		LONG	SHORT	NET POSITIONS
		LONG	SHORT	LONG	SHORT
		010	020	030	040		050	060	070
		010	EQUITIES IN TRADING BOOK					Cell linked to CA
020	General risk
021	Derivatives
022	Other assets and liabilities
030	Exchange traded stock-index futures broadly diversified subject to particular approach
040	Other equities than exchange traded stock-index futures broadly diversified
050	Specific risk
080	Particular approach for position risk in CIUs
090	Additional requirements for options (non-delta risks)
100	Simplified method
110	Delta plus approach - additional requirements for gamma risk
120	Delta plus approach - additional requirements for vega risk
130	Scenario matrix approach

C 22.00 — MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK (MKR SA FX)

		ALL POSITIONS		NET POSITIONS		POSITIONS SUBJECT TO CAPITAL CHARGE (Including redistribution of unmatched positions in currencies subject to special treatment for matched positions)			OWN FUNDS REQUIREMENTS	TOTAL RISK EXPOSURE AMOUNT
		LONG	SHORT	LONG	SHORT	LONG	SHORT	MATCHED	OWN FUNDS REQUIREMENTS	TOTAL RISK EXPOSURE AMOUNT
		020	030	040	050	060	070	080	090	100
		010	TOTAL POSITIONS IN NON-REPORTING CURRENCIES								Cell linked to CA
020	Currencies closely correlated
030	All other currencies (including CIUs treated as different currencies)
040	Gold
050	Additional requirements for options (non-delta risks)
060	Simplified method
070	Delta plus approach - additional requirements for gamma risk
080	Delta plus approach - additional requirements for vega risk
090	Scenario matrix approach
BREAKDOWN OF TOTAL POSITIONS (REPORTING CURRENCY INCLUDED) BY EXPOSURE TYPES
100	Other assets and liabilities other than off-balance sheet items and derivatives
110	Off-balance sheet items
120	Derivatives
Memorandum items: CURRENCY POSITIONS
130	Euro
140	Lek
150	Argentine Peso
160	Australian Dollar
170	Brazilian Real
180	Bulgarian Lev
190	Canadian Dollar
200	Czech Koruna
210	Danish Krone
220	Egyptian Pound
230	Pound Sterling
240	Forint
250	Yen
260	Latvian Lats
270	Lithuanian Litas
280	Denar
290	Mexican Peso
300	Zloty
310	Rumanian Leu
320	Russian Ruble
330	Serbian Dinar
340	Swedish Krona
350	Swiss Franc
360	Turkish Lira
370	Hryvnia
380	US Dollar
390	Iceland Krona
400	Norwegian Krone
410	Hong Kong Dollar
420	New Taiwan Dollar
430	New Zealand Dollar
440	Singapore Dollar
450	Won
460	Yuan Renminbi
470	Other

C 23.00 — MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES (MKR SA COM)

		ALL POSITIONS		NET POSITIONS
		LONG	SHORT	NET POSITIONS
		LONG	SHORT	LONG	SHORT
		010	020	030	040	050	060	070
		010	TOTAL POSITIONS IN COMMODITIES				Cell linked to CA
020	Precious metals (except gold)
030	Base metals
040	Agricultural products (softs)
050	Others
060	Of which energy products (oil, gas)
070	Maturity ladder approach
080	Extended maturity ladder approach
090	Simplified approach: All positions
100	Additional requirements for options (non-delta risks)
110	Simplified method
120	Delta plus approach - additional requirements for gamma risk
130	Delta plus approach - additional requirements for vega risk
140	Scenario matrix approach

C 24.00 — MARKET RISK INTERNAL MODELS (MKR IM)

		VaR		STRESSED VaR		INCREMENTAL DEFAULT AND MIGRATION RISK CAPITAL CHARGE		ALL PRICE RISKS CAPITAL CHARGE FOR CTP			OWN FUNDS REQUIREMENTS	TOTAL RISK EXPOSURE AMOUNT	Number of overshootings during previous 250 working days	VaR Multiplication Factor (m_c)	SVaR Multiplication Factor (m_s)	ASSUMED CHARGE FOR CTP FLOOR - WEIGHTED NET LONG POSITIONS AFTER CAP	ASSUMED CHARGE FOR CTP FLOOR - WEIGHTED NET SHORT POSITIONS AFTER CAP
		MULTIPLICATION FACTOR (m_c) x AVERAGE OF PREVIOUS 60 WORKING DAYS (VaR_avg)	PREVIOUS DAY (VaR_t-1)	MULTIPLICATION FACTOR (m_s) x AVERAGE OF PREVIOUS 60 WORKING DAYS (SVaR_avg)	LATEST AVAILABLE (SVaR_t-1)	12 WEEKS AVERAGE MEASURE	LAST MEASURE	FLOOR	12 WEEKS AVERAGE MEASURE	LAST MEASURE	OWN FUNDS REQUIREMENTS	TOTAL RISK EXPOSURE AMOUNT		VaR Multiplication Factor (m_c)	SVaR Multiplication Factor (m_s)
		030	040	050	060	070	080	090	100	110	120	130	140	150	160	170	180
		010	TOTAL POSITIONS											Cell linked to CA
	Memorandum items: BREAKDOWN OF MARKET RISK
020	Traded debt instruments
030	TDI - General risk
040	TDI - Specific Risk
050	Equities
060	Equities - General risk
070	Equities - Specific Risk
080	Foreign Exchange risk
090	Commodities risk
100	Total amount for general risk
110	Total amount for specific risk

C 25.00 — CREDIT VALUE ADJUSTMENT RISK (CVA)

		EXPOSURE VALUE			VaR		STRESSED VaR		OWN FUNDS REQUIREMENTS	TOTAL RISK EXPOSURE AMOUNT	MEMORANDUM ITEMS			CVA RISK HEDGE NOTIONALS
			of which: OTC Derivatives	of which: SFT	MULTIPLICATION FACTOR (m_c) x AVERAGE OF PREVIOUS 60 WORKING DAYS (VaR_avg)	PREVIOUS DAY (VaR_t-1)	MULTIPLICATION FACTOR (m_s) x AVERAGE OF PREVIOUS 60 WORKING DAYS (SVaR_avg)	LATEST AVAILABLE (SVaR_t-1)	OWN FUNDS REQUIREMENTS	TOTAL RISK EXPOSURE AMOUNT	Number of counterparties	of which: proxy was used to determine credit spread	INCURRED CVA	SINGLE NAME CDS	INDEX CDS
		010	020	030	040	050	060	070	080	090	100	110	120	130	140
		010	CVA risk total									Link to {CA2;r640;c010}
020	According to Advanced method									Link to {CA2;r650;c010}
030	According to Standardised method									Link to {CA2;r660;c010}
040	Based on OEM									Link to {CA2;r670;c010}