ANNEX VIII

LARGE EXPOSURES TEMPLATES

Template number

Template code

Name of the template/group of templates

Short name

LARGE EXPOSURES

LE

26

C 26.00

Large Exposures limits

LE LIMITS

27

C 27.00

Identification of the counterparty

LE 1

28

C 28.00

Exposures in the non-trading and trading book

LE 2

29

C 29.00

Detail of the exposures to individual clients within groups of connected clients

LE 3

30

C 30.00

Maturity buckets of the exposures in the non-trading and trading book

LE 4

31

C 31.00

Maturity buckets of exposures to individual clients within groups of connected clients

LE 5

C 26.00 — Large Exposures limits (LE Limits)

Applicable limit

column

010

row

010

Non institutions

020

Institutions

030

Institutions in %

C 27.00 — Identification of the counterparty (LE 1)

COUNTERPARTY IDENTIFICATION

Code

Name

LEI code

Residence of the counterparty

Sector of the counterparty

NACE code

Type of counterparty

010

020

030

040

050

060

070

C 28.00 — Exposures in the non-trading and trading book (LE 2)

COUNTERPARTY

ORIGINAL EXPOSURES

(-) Value adjustments and provisions

(-) Exposures deducted from own funds

Exposure value before application of exemptions and CRM

ELIGIBLE CREDIT RISK MITIGATION (CRM) TECHNIQUES

(-) Amounts exempted

Exposure value after application of exemptions and CRM

Code

Group or individual

Transactions where there is an exposure to underlying assets

(-) Substitution effect of eligible credit risk mitigation techniques

(-) Funded credit protection other than substitution effect

(-) Real estate

Direct exposures

Indirect exposures

Additional exposures arising from transactions where there is an exposure to underlying assets

Total original exposure

Of which: defaulted

Debt instruments

Equity instruments

Derivatives

Off balance sheet items

Debt instruments

Equity instruments

Derivatives

Off balance sheet items

Total

Of which: Non-trading book

% of eligible capital

(-) Debt instruments

(-) Equity instruments

(-) Derivatives

(-) Off balance sheet items

Total

Of which: Non-trading book

% of eligible capital

Loan commitments

Financial guarantees

Other commitments

Loan commitments

Financial guarantees

Other commitments

(-) Loan commitments

(-) Financial guarantees

(-) Other commitments

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

C 29.00 — Detail of the exposures to individual clients within groups of connected clients (LE 3)

COUNTERPARTY

ORIGINAL EXPOSURES

(-) Value adjustments and provisions

(-) Exposures deducted from own funds

Exposure value before application of exemptions and CRM

ELIGIBLE CREDIT RISK MITIGATION (CRM) TECHNIQUES

(-) Amounts exempted

Exposure value after application of exemptions and CRM

Code

Group code

Transactions where there is an exposure to underlying assets

Type of connection

(-) Substitution effect of eligible credit risk mitigation techniques

(-) Funded credit protection other than substitution effect

(-) Real estate

Direct exposures

Indirect exposures

Additional exposures arising from transactions where there is an exposure to underlying assets

Total original exposure

Of which: defaulted

Debt instruments

Equity instruments

Derivatives

Off balance sheet items

Debt instruments

Equity instruments

Derivatives

Off balance sheet items

Total

Of which: Non-trading book

% of eligible capital

(-) Debt instruments

(-) Equity instruments

(-) Derivatives

(-) Off balance sheet items

Total

Of which: Non-trading book

% of eligible capital

Loan commitments

Financial guarantees

Other commitments

Loan commitments

Financial guarantees

Other commitments

(-) Loan commitments

(-) Financial guarantees

(-) Other commitments

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

C 30.00 — Maturity buckets of the exposures in the non-trading and trading book (LE 4)

COUNTER PARTY

MATURITY BUCKETS OF THE EXPOSURE

MATURITY BUCKETS OF THE EXPOSURE

Code

Up to 1 Month

Greater than 1 month up to 2 Months

Greater than 2 months up to 3 Months

Greater than 3 months up to 4 Months

Greater than 4 months up to 5 Months

Greater than 5 months up to 6 Months

Greater than 6 months up to 7 Months

Greater than 7 months up to 8 Months

Greater than 8 months up to 9 Months

Greater than 9 months up to 10 Months

Greater than 10 months up to 11 Months

Greater than 11 months up to 12 Months

Greater than 12 months up to 15 Months

Greater than 15 months up to 18 Months

Greater than 18 months up to 21 Months

Greater than 21 months up to 24 Months

Greater than 24 months up to 27 Months

Greater than 27 months up to 30 Months

Greater than 30 months up to 33 Months

Greater than 33 months up to 36 Months

Greater than 3 years up to 5 years

Greater than 5 years up to 10 years

Greater than 10 years

Undefined maturity

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

C 31.00 — Maturity buckets of the exposures to individual clients within groups of connected clients (LE 5)

COUNTERPARTY

MATURITY BUCKETS OF THE EXPOSURE

MATURITY BUCKETS OF THE EXPOSURE

Code

Group code

Up to 1 Month

Greater than 1 month up to 2 Months

Greater than 2 months up to 3 Months

Greater than 3 months up to 4 Months

Greater than 4 months up to 5 Months

Greater than 5 months up to 6 Months

Greater than 6 months up to 7 Months

Greater than 7 months up to 8 Months

Greater than 8 months up to 9 Months

Greater than 9 months up to 10 Months

Greater than 10 months up to 11 Months

Greater than 11 months up to 12 Months

Greater than 12 months up to 15 Months

Greater than 15 months up to 18 Months

Greater than 18 months up to 21 Months

Greater than 21 months up to 24 Months

Greater than 24 months up to 27 Months

Greater than 27 months up to 30 Months

Greater than 30 months up to 33 Months

Greater than 33 months up to 36 Months

Greater than 3 years up to 5 years

Greater than 5 years up to 10 years

Greater than 10 years

Undefined maturity

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