LegalizeCommission Implementing Regulation (EU) 2021/451 of 17 December 2020 laying down implementing technical standards for the application of Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to supervisory reporting of institutions and repealing Implementing Regulation (EU) No 680/2014 (Text with EEA relevance)
| INTERNAL CODE | IDENTIFIER OF THE SECURITISATION | INTRA-GROUP, PRIVATE OR PUBLIC SECURITISATION? | ROLE OF THE INSTITUTION (ORIGINATOR / SPONSOR / ORIGINAL LENDER / INVESTOR) | IDENTIFIER OF THE ORIGINATOR | SECURITISATION TYPE | ACCOUNTING TREATMENT: SECURITISED EXPOSURES ARE KEPT OR REMOVED FROM THE BALANCE SHEET? | SOLVENCY TREATMENT: Securitisation positions subject to own funds requirements? | SIGNIFICANT RISK TRANSFER | SECURITISATION OR RE-SECURITISATION? | STS SECURITISATION | SECURITISATION QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT | TYPE OF EXCESS SPREAD | AMORTISATION SYSTEM | COLLATERALISATION OPTIONS | RETENTION | RETENTION | RETENTION | NON ABCP PROGRAMMES | NON ABCP PROGRAMMES | NON ABCP PROGRAMMES | SECURITISED EXPOSURES | SECURITISED EXPOSURES | SECURITISED EXPOSURES | SECURITISED EXPOSURES | SECURITISED EXPOSURES | SECURITISED EXPOSURES | SECURITISED EXPOSURES | SECURITISED EXPOSURES | SECURITISED EXPOSURES | SECURITISED EXPOSURES | SECURITISED EXPOSURES | SECURITISED EXPOSURES | SECURITISED EXPOSURES | SECURITISED EXPOSURES | SECURITISED EXPOSURES | SECURITISED EXPOSURES | SECURITISATION STRUCTURE | SECURITISATION STRUCTURE | SECURITISATION STRUCTURE | SECURITISATION STRUCTURE | SECURITISATION STRUCTURE | SECURITISATION STRUCTURE | SECURITISATION STRUCTURE | SECURITISATION STRUCTURE | SECURITISATION STRUCTURE | SECURITISATION STRUCTURE | SECURITISATION STRUCTURE | SECURITISATION STRUCTURE | SECURITISATION STRUCTURE | SECURITISATION STRUCTURE | SECURITISATION STRUCTURE | SECURITISATION STRUCTURE | SECURITISATION STRUCTURE | SECURITISATION STRUCTURE | SECURITISATION STRUCTURE | SECURITISATION STRUCTURE | SECURITISATION STRUCTURE | SECURITISATION STRUCTURE | SECURITISATION STRUCTURE |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| INTERNAL CODE | IDENTIFIER OF THE SECURITISATION | INTRA-GROUP, PRIVATE OR PUBLIC SECURITISATION? | ROLE OF THE INSTITUTION (ORIGINATOR / SPONSOR / ORIGINAL LENDER / INVESTOR) | IDENTIFIER OF THE ORIGINATOR | SECURITISATION TYPE | ACCOUNTING TREATMENT: SECURITISED EXPOSURES ARE KEPT OR REMOVED FROM THE BALANCE SHEET? | SOLVENCY TREATMENT: Securitisation positions subject to own funds requirements? | SIGNIFICANT RISK TRANSFER | SECURITISATION OR RE-SECURITISATION? | STS SECURITISATION | SECURITISATION QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT | TYPE OF EXCESS SPREAD | AMORTISATION SYSTEM | COLLATERALISATION OPTIONS | TYPE OF RETENTION APPLIED | % OF RETENTION AT REPORTING DATE | COMPLIANCE WITH THE RETENTION REQUIREMENT? | ORIGINATION DATE (yyyy-mm-dd) | DATE OF LATEST ISSUANCE (yyyy-mm-dd) | TOTAL AMOUNT OF SECURITISED EXPOSURES AT ORIGINATION DATE | TOTAL AMOUNT | INSTITUTION'S SHARE (%) | TYPE | % of IRB IN APPROACH APPLIED | NUMBER OF EXPOSURES | EXPOSURES IN DEFAULT W (%) | COUNTRY | LGD (%) | EL (%) | UL (%) | EXPOSURE-WEIGHTED AVERAGE MATURITY OF ASSETS | (-) VALUE ADJUSTMENTS AND PROVISIONS | OWN FUNDS REQUIREMENTS BEFORE SECURITISATION (%) Kirb | % OF RETAIL EXPOSURES IN IRB POOLS | OWN FUNDS REQUIREMENTS BEFORE SECURITISATION (%) Ksa | MEMORANDUM ITEMS | ON-BALANCE SHEET ITEMS | ON-BALANCE SHEET ITEMS | ON-BALANCE SHEET ITEMS | ON-BALANCE SHEET ITEMS | ON-BALANCE SHEET ITEMS | ON-BALANCE SHEET ITEMS | ON-BALANCE SHEET ITEMS | ON-BALANCE SHEET ITEMS | ON-BALANCE SHEET ITEMS | ON-BALANCE SHEET ITEMS | ON-BALANCE SHEET ITEMS | OFF-BALANCE SHEET ITEMS AND DERIVATIVES | OFF-BALANCE SHEET ITEMS AND DERIVATIVES | OFF-BALANCE SHEET ITEMS AND DERIVATIVES | OFF-BALANCE SHEET ITEMS AND DERIVATIVES | OFF-BALANCE SHEET ITEMS AND DERIVATIVES | OFF-BALANCE SHEET ITEMS AND DERIVATIVES | OFF-BALANCE SHEET ITEMS AND DERIVATIVES | MATURITY | MATURITY | MEMORANDUM ITEMS | MEMORANDUM ITEMS | MEMORANDUM ITEMS |
| INTERNAL CODE | IDENTIFIER OF THE SECURITISATION | INTRA-GROUP, PRIVATE OR PUBLIC SECURITISATION? | ROLE OF THE INSTITUTION (ORIGINATOR / SPONSOR / ORIGINAL LENDER / INVESTOR) | IDENTIFIER OF THE ORIGINATOR | SECURITISATION TYPE | ACCOUNTING TREATMENT: SECURITISED EXPOSURES ARE KEPT OR REMOVED FROM THE BALANCE SHEET? | SOLVENCY TREATMENT: Securitisation positions subject to own funds requirements? | SIGNIFICANT RISK TRANSFER | SECURITISATION OR RE-SECURITISATION? | STS SECURITISATION | SECURITISATION QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT | TYPE OF EXCESS SPREAD | AMORTISATION SYSTEM | COLLATERALISATION OPTIONS | TYPE OF RETENTION APPLIED | % OF RETENTION AT REPORTING DATE | COMPLIANCE WITH THE RETENTION REQUIREMENT? | ORIGINATION DATE (yyyy-mm-dd) | DATE OF LATEST ISSUANCE (yyyy-mm-dd) | TOTAL AMOUNT OF SECURITISED EXPOSURES AT ORIGINATION DATE | TOTAL AMOUNT | INSTITUTION'S SHARE (%) | TYPE | % of IRB IN APPROACH APPLIED | NUMBER OF EXPOSURES | EXPOSURES IN DEFAULT W (%) | COUNTRY | LGD (%) | EL (%) | UL (%) | EXPOSURE-WEIGHTED AVERAGE MATURITY OF ASSETS | (-) VALUE ADJUSTMENTS AND PROVISIONS | OWN FUNDS REQUIREMENTS BEFORE SECURITISATION (%) Kirb | % OF RETAIL EXPOSURES IN IRB POOLS | OWN FUNDS REQUIREMENTS BEFORE SECURITISATION (%) Ksa | CREDIT RISK ADJUSTMENTS DURING THE CURRENT PERIOD | SENIOR | SENIOR | SENIOR | MEZZANINE | MEZZANINE | MEZZANINE | FIRST LOSS | FIRST LOSS | FIRST LOSS | OVERCOLLATERALISATION AND FUNDED RESERVE ACCOUNTS | OVERCOLLATERALISATION AND FUNDED RESERVE ACCOUNTS | SENIOR | SENIOR | MEZZANINE | MEZZANINE | FIRST LOSS | FIRST LOSS | SYNTHETIC EXCESS SPREAD | FIRST FORESEEABLE TERMINATION DATE | ORIGINATOR'S CALL OPTIONS INCLUDED IN TRANSACTION | ATTACHMENT POINT OF RISK SOLD (%) | DETACHMENT POINT OF RISK SOLD (%) | RISK TRANSFER CLAIMED BY ORIGINATOR INSTITUTION (%) |
| INTERNAL CODE | IDENTIFIER OF THE SECURITISATION | INTRA-GROUP, PRIVATE OR PUBLIC SECURITISATION? | ROLE OF THE INSTITUTION (ORIGINATOR / SPONSOR / ORIGINAL LENDER / INVESTOR) | IDENTIFIER OF THE ORIGINATOR | SECURITISATION TYPE | ACCOUNTING TREATMENT: SECURITISED EXPOSURES ARE KEPT OR REMOVED FROM THE BALANCE SHEET? | SOLVENCY TREATMENT: Securitisation positions subject to own funds requirements? | SIGNIFICANT RISK TRANSFER | SECURITISATION OR RE-SECURITISATION? | STS SECURITISATION | SECURITISATION QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT | TYPE OF EXCESS SPREAD | AMORTISATION SYSTEM | COLLATERALISATION OPTIONS | TYPE OF RETENTION APPLIED | % OF RETENTION AT REPORTING DATE | COMPLIANCE WITH THE RETENTION REQUIREMENT? | ORIGINATION DATE (yyyy-mm-dd) | DATE OF LATEST ISSUANCE (yyyy-mm-dd) | TOTAL AMOUNT OF SECURITISED EXPOSURES AT ORIGINATION DATE | TOTAL AMOUNT | INSTITUTION'S SHARE (%) | TYPE | % of IRB IN APPROACH APPLIED | NUMBER OF EXPOSURES | EXPOSURES IN DEFAULT W (%) | COUNTRY | LGD (%) | EL (%) | UL (%) | EXPOSURE-WEIGHTED AVERAGE MATURITY OF ASSETS | (-) VALUE ADJUSTMENTS AND PROVISIONS | OWN FUNDS REQUIREMENTS BEFORE SECURITISATION (%) Kirb | % OF RETAIL EXPOSURES IN IRB POOLS | OWN FUNDS REQUIREMENTS BEFORE SECURITISATION (%) Ksa | CREDIT RISK ADJUSTMENTS DURING THE CURRENT PERIOD | AMOUNT | ATTACHMENT POINT (%) | CQS | AMOUNT | NUMBER OF TRANCHES | CQS OF THE MOST SUBORDINATED TRANCHE | AMOUNT | DETACHMENT POINT (%) | CQS | AMOUNT | OF WHICH: NON-REFUNDABLE PURCHASE PRICE DISCOUNT | AMOUNT | ATTACHMENT POINT (%) | AMOUNT | NUMBER OF TRANCHES | AMOUNT | DETACHMENT POINT (%) | SYNTHETIC EXCESS SPREAD | FIRST FORESEEABLE TERMINATION DATE | ORIGINATOR'S CALL OPTIONS INCLUDED IN TRANSACTION | ATTACHMENT POINT OF RISK SOLD (%) | DETACHMENT POINT OF RISK SOLD (%) | RISK TRANSFER CLAIMED BY ORIGINATOR INSTITUTION (%) |
| INTERNAL CODE | IDENTIFIER OF THE SECURITISATION | INTRA-GROUP, PRIVATE OR PUBLIC SECURITISATION? | ROLE OF THE INSTITUTION (ORIGINATOR / SPONSOR / ORIGINAL LENDER / INVESTOR) | IDENTIFIER OF THE ORIGINATOR | SECURITISATION TYPE | ACCOUNTING TREATMENT: SECURITISED EXPOSURES ARE KEPT OR REMOVED FROM THE BALANCE SHEET? | SOLVENCY TREATMENT: Securitisation positions subject to own funds requirements? | SIGNIFICANT RISK TRANSFER | SECURITISATION OR RE-SECURITISATION? | STS SECURITISATION | SECURITISATION QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT | TYPE OF EXCESS SPREAD | AMORTISATION SYSTEM | COLLATERALISATION OPTIONS | TYPE OF RETENTION APPLIED | % OF RETENTION AT REPORTING DATE | COMPLIANCE WITH THE RETENTION REQUIREMENT? | ORIGINATION DATE (yyyy-mm-dd) | DATE OF LATEST ISSUANCE (yyyy-mm-dd) | TOTAL AMOUNT OF SECURITISED EXPOSURES AT ORIGINATION DATE | INSTITUTION'S SHARE (%) | TYPE | % of IRB IN APPROACH APPLIED | NUMBER OF EXPOSURES | EXPOSURES IN DEFAULT W (%) | COUNTRY | LGD (%) | EL (%) | UL (%) | EXPOSURE-WEIGHTED AVERAGE MATURITY OF ASSETS | (-) VALUE ADJUSTMENTS AND PROVISIONS | OWN FUNDS REQUIREMENTS BEFORE SECURITISATION (%) Kirb | % OF RETAIL EXPOSURES IN IRB POOLS | OWN FUNDS REQUIREMENTS BEFORE SECURITISATION (%) Ksa | CREDIT RISK ADJUSTMENTS DURING THE CURRENT PERIOD | AMOUNT | ATTACHMENT POINT (%) | CQS | AMOUNT | NUMBER OF TRANCHES | CQS OF THE MOST SUBORDINATED TRANCHE | AMOUNT | DETACHMENT POINT (%) | CQS | AMOUNT | OF WHICH: NON-REFUNDABLE PURCHASE PRICE DISCOUNT | AMOUNT | ATTACHMENT POINT (%) | AMOUNT | NUMBER OF TRANCHES | AMOUNT | DETACHMENT POINT (%) | SYNTHETIC EXCESS SPREAD | FIRST FORESEEABLE TERMINATION DATE | ORIGINATOR'S CALL OPTIONS INCLUDED IN TRANSACTION | ATTACHMENT POINT OF RISK SOLD (%) | DETACHMENT POINT OF RISK SOLD (%) | RISK TRANSFER CLAIMED BY ORIGINATOR INSTITUTION (%) | |
| 0010 | 0020 | 0021 | 0110 | 0030 | 0040 | 0051 | 0060 | 0061 | 0070 | 0075 | 0446 | 0076 | 0077 | 0078 | 0080 | 0090 | 0100 | 0120 | 0121 | 0130 | 0140 | 0150 | 0160 | 0171 | 0180 | 0181 | 0190 | 0201 | 0202 | 0203 | 0204 | 0210 | 0221 | 0222 | 0223 | 0225 | 0230 | 0231 | 0232 | 0240 | 0241 | 0242 | 0250 | 0251 | 0252 | 0254 | 0255 | 0260 | 0265 | 0270 | 0275 | 0280 | 0285 | 0287 | 0290 | 0291 | 0302 | 0303 | 0304 |
C 14.01 - DETAILED INFORMATION ON SECURITISATIONS BY APPROACH (SEC Details Approach)
Approach:
| INTERNAL CODE | IDENTIFIER OF THE SECURITISATION | SECURITISATION POSITIONS | SECURITISATION POSITIONS | SECURITISATION POSITIONS | SECURITISATION POSITIONS | SECURITISATION POSITIONS | SECURITISATION POSITIONS | SECURITISATION POSITIONS | SECURITISATION POSITIONS | SECURITISATION POSITIONS | SECURITISATION POSITIONS | SECURITISATION POSITIONS | SECURITISATION POSITIONS | SECURITISATION POSITIONS | EXPOSURE VALUE | (-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS**** | TOTAL RISK-WEIGHTED EXPOSURE AMOUNT | TOTAL RISK-WEIGHTED EXPOSURE AMOUNT | TOTAL RISK-WEIGHTED EXPOSURE AMOUNT | TOTAL RISK-WEIGHTED EXPOSURE AMOUNT | MEMORANDUM ITEMS | MEMORANDUM ITEMS | SECURITISATION POSITIONS - TRADING BOOK | SECURITISATION POSITIONS - TRADING BOOK | SECURITISATION POSITIONS - TRADING BOOK |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| INTERNAL CODE | IDENTIFIER OF THE SECURITISATION | ORIGINAL EXPOSURE PRE-CONVERSION FACTORS | ORIGINAL EXPOSURE PRE-CONVERSION FACTORS | ORIGINAL EXPOSURE PRE-CONVERSION FACTORS | ORIGINAL EXPOSURE PRE-CONVERSION FACTORS | ORIGINAL EXPOSURE PRE-CONVERSION FACTORS | ORIGINAL EXPOSURE PRE-CONVERSION FACTORS | ORIGINAL EXPOSURE PRE-CONVERSION FACTORS | ORIGINAL EXPOSURE PRE-CONVERSION FACTORS | ORIGINAL EXPOSURE PRE-CONVERSION FACTORS | MEMORANDUM ITEMS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES PRE CONVERSION FACTORS | MEMORANDUM ITEMS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES PRE CONVERSION FACTORS | MEMORANDUM ITEMS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES PRE CONVERSION FACTORS | MEMORANDUM ITEMS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES PRE CONVERSION FACTORS | EXPOSURE VALUE | (-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS**** | TOTAL RISK-WEIGHTED EXPOSURE AMOUNT | TOTAL RISK-WEIGHTED EXPOSURE AMOUNT | TOTAL RISK-WEIGHTED EXPOSURE AMOUNT | TOTAL RISK-WEIGHTED EXPOSURE AMOUNT | RISK-WEIGHTED EXPOSURE AMOUNT UNDER SEC-ERBA | RISK WEIGHTED EXPOSURE AMOUNT UNDER SEC-SA | CTP OR NON-CTP? | NET POSITIONS | NET POSITIONS |
| INTERNAL CODE | IDENTIFIER OF THE SECURITISATION | ON-BALANCE SHEET ITEMS | ON-BALANCE SHEET ITEMS | ON-BALANCE SHEET ITEMS | OFF-BALANCE SHEET ITEMS AND DERIVATIVES | OFF-BALANCE SHEET ITEMS AND DERIVATIVES | OFF-BALANCE SHEET ITEMS AND DERIVATIVES | OFF-BALANCE SHEET ITEMS AND DERIVATIVES | OFF-BALANCE SHEET ITEMS AND DERIVATIVES | OFF-BALANCE SHEET ITEMS AND DERIVATIVES | DIRECT CREDIT SUBSTITUTES | IRS / CRS | LIQUIDITY FACILITIES | OTHER | EXPOSURE VALUE | (-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS**** | TOTAL RISK-WEIGHTED EXPOSURE AMOUNT | TOTAL RISK-WEIGHTED EXPOSURE AMOUNT | TOTAL RISK-WEIGHTED EXPOSURE AMOUNT | TOTAL RISK-WEIGHTED EXPOSURE AMOUNT | RISK-WEIGHTED EXPOSURE AMOUNT UNDER SEC-ERBA | RISK WEIGHTED EXPOSURE AMOUNT UNDER SEC-SA | CTP OR NON-CTP? | NET POSITIONS | NET POSITIONS |
| INTERNAL CODE | IDENTIFIER OF THE SECURITISATION | SENIOR | MEZZANINE | FIRST LOSS | SENIOR | MEZZANINE | FIRST LOSS | SYNTHETIC EXCESS SPREAD | DIRECT CREDIT SUBSTITUTES | IRS / CRS | LIQUIDITY FACILITIES | OTHER | EXPOSURE VALUE | (-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS**** | BEFORE CAP | (-) REDUCTION DUE TO RISK WEIGHT CAP**** | (-) REDUCTION DUE TO OVERALL CAP**** | AFTER CAP | RISK-WEIGHTED EXPOSURE AMOUNT UNDER SEC-ERBA | RISK WEIGHTED EXPOSURE AMOUNT UNDER SEC-SA | CTP OR NON-CTP? | NET POSITIONS | NET POSITIONS | ||
| INTERNAL CODE | IDENTIFIER OF THE SECURITISATION | SENIOR | MEZZANINE | FIRST LOSS | SENIOR | MEZZANINE | RW CORRESPONDING TO PROTECTION PROVIDER / INSTRUMENT | FIRST LOSS | RW CORRESPONDING TO PROTECTION PROVIDER / INSTRUMENT | SYNTHETIC EXCESS SPREAD | DIRECT CREDIT SUBSTITUTES | IRS / CRS | LIQUIDITY FACILITIES | OTHER | EXPOSURE VALUE | (-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS**** | BEFORE CAP | (-) REDUCTION DUE TO RISK WEIGHT CAP**** | (-) REDUCTION DUE TO OVERALL CAP**** | AFTER CAP | RISK-WEIGHTED EXPOSURE AMOUNT UNDER SEC-ERBA | RISK WEIGHTED EXPOSURE AMOUNT UNDER SEC-SA | CTP OR NON-CTP? | LONG | SHORT |
| 0010 | 0020 | 0310 | 0320 | 0330 | 0340 | 0350 | 0351 | 0360 | 0361 | 0362 | 0370 | 0380 | 0390 | 0400 | 0411 | 0420 | 0430 | 0431 | 0432 | 0440 | 0447 | 0448 | 0450 | 0460 | 0470 |
C 34.01 COUNTERPARTY CREDIT RISK: SIZE OF THE DERIVATIVE BUSINESS (CCR 1)
| MONTH 1 | MONTH 1 | MONTH 1 | MONTH 2 | MONTH 2 | MONTH 2 | MONTH 3 | MONTH 3 | MONTH 3 | QUALITATIVE INFORMATION | ||
|---|---|---|---|---|---|---|---|---|---|---|---|
| LONG DERIVATIVE POSITIONS | SHORT DERIVATIVE POSITIONS | TOTAL | LONG DERIVATIVE POSITIONS | SHORT DERIVATIVE POSITIONS | TOTAL | LONG DERIVATIVE POSITIONS | SHORT DERIVATIVE POSITIONS | TOTAL | QUALITATIVE INFORMATION | ||
| 0010 | 0020 | 0030 | 0040 | 0050 | 0060 | 0070 | 0080 | 0090 | 0100 | ||
| 0010 | Size of the derivative business | ||||||||||
| 0020 | On- and off-balance sheet derivatives | ||||||||||
| 0030 | (-) Credit derivatives that are recognised as internal hedges against non-trading book credit risk exposures | ||||||||||
| 0040 | Total assets | ||||||||||
| 0050 | Percentage of total assets | ||||||||||
| DEROGATION IN ACCORDANCE WITH ARTICLE 273a (4) of Regulation (EU) No 575/2013 | DEROGATION IN ACCORDANCE WITH ARTICLE 273a (4) of Regulation (EU) No 575/2013 | DEROGATION IN ACCORDANCE WITH ARTICLE 273a (4) of Regulation (EU) No 575/2013 | DEROGATION IN ACCORDANCE WITH ARTICLE 273a (4) of Regulation (EU) No 575/2013 | DEROGATION IN ACCORDANCE WITH ARTICLE 273a (4) of Regulation (EU) No 575/2013 | DEROGATION IN ACCORDANCE WITH ARTICLE 273a (4) of Regulation (EU) No 575/2013 | DEROGATION IN ACCORDANCE WITH ARTICLE 273a (4) of Regulation (EU) No 575/2013 | DEROGATION IN ACCORDANCE WITH ARTICLE 273a (4) of Regulation (EU) No 575/2013 | DEROGATION IN ACCORDANCE WITH ARTICLE 273a (4) of Regulation (EU) No 575/2013 | DEROGATION IN ACCORDANCE WITH ARTICLE 273a (4) of Regulation (EU) No 575/2013 | DEROGATION IN ACCORDANCE WITH ARTICLE 273a (4) of Regulation (EU) No 575/2013 | DEROGATION IN ACCORDANCE WITH ARTICLE 273a (4) of Regulation (EU) No 575/2013 |
| 0060 | Are the conditions of Article 273a (4) of Regulation (EU) No 575/2013 met, including the approval from the competent authority? | ||||||||||
| 0070 | Method for calculating exposure values at consolidated level |
C 34.02 COUNTERPARTY CREDIT RISK: CCR EXPOSURES BY APPROACH (CCR 2)
Exposures
| APPROACH | APPROACH | NUMBER OF COUNTERPARTIES | NUMBER OF TRANSACTIONS | NOTIONAL AMOUNTS | CURRENT MARKET VALUE (CMV), POSITIVE | CURRENT MARKET VALUE (CMV), NEGATIVE | VARIATION MARGIN (VM), RECEIVED | VARIATION MARGIN (VM), POSTED | NET INDEPENDENT COLLATERAL AMOUNT (NICA), RECEIVED | NET INDEPENDENT COLLATERAL AMOUNT (NICA), POSTED | REPLACE-MENT COST (RC) | POTENTIAL FUTURE EXPOSURE (PFE) | CURRENT EXPOSURE | EEPE | ALPHA USED FOR COMPUTING REGULATORY EXPOSURE VALUE | EXPOSURE VALUE PRE-CRM | EXPOSURE VALUE POST-CRM | EXPOSURE VALUE | EXPOSURE VALUE | EXPOSURE VALUE | RISK WEIGHTED EXPOSURE AMOUNTS | RISK WEIGHTED EXPOSURE AMOUNTS | RISK WEIGHTED EXPOSURE AMOUNTS |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| APPROACH | APPROACH | NUMBER OF COUNTERPARTIES | NUMBER OF TRANSACTIONS | NOTIONAL AMOUNTS | CURRENT MARKET VALUE (CMV), POSITIVE | CURRENT MARKET VALUE (CMV), NEGATIVE | VARIATION MARGIN (VM), RECEIVED | VARIATION MARGIN (VM), POSTED | NET INDEPENDENT COLLATERAL AMOUNT (NICA), RECEIVED | NET INDEPENDENT COLLATERAL AMOUNT (NICA), POSTED | REPLACE-MENT COST (RC) | POTENTIAL FUTURE EXPOSURE (PFE) | CURRENT EXPOSURE | EEPE | ALPHA USED FOR COMPUTING REGULATORY EXPOSURE VALUE | EXPOSURE VALUE PRE-CRM | EXPOSURE VALUE POST-CRM | Positions treated with the CR Standardised Approach | Positions treated with the CR IRB Approach | Positions treated with the CR Standardised Approach | Positions treated with the CR IRB Approach | ||
| APPROACH | APPROACH | 0010 | 0020 | 0030 | 0040 | 0050 | 0060 | 0070 | 0080 | 0090 | 0100 | 0110 | 0120 | 0130 | 0140 | 0150 | 0160 | 0170 | 0180 | 0190 | 0200 | 0210 | 0220 |
| 0010 | ORIGINAL EXPOSURE METHOD (FOR DERIVATIVES) | 1.4 | |||||||||||||||||||||
| 0020 | SIMPLIFIED SA-CCR (FOR DERIVATIVES) | 1.4 | |||||||||||||||||||||
| 0030 | SA-CCR (FOR DERIVATIVES) | 1.4 | |||||||||||||||||||||
| 0040 | IMM (FOR DERIVATIVES AND SFTS) | ||||||||||||||||||||||
| 0050 | Securities financing transactions netting sets | ||||||||||||||||||||||
| 0060 | Derivatives and long settlement transactions netting sets | ||||||||||||||||||||||
| 0070 | From contractual cross-product netting sets | ||||||||||||||||||||||
| 0080 | FINANCIAL COLLATERAL SIMPLE METHOD (FOR SFTS) | ||||||||||||||||||||||
| 0090 | FINANCIAL COLLATERAL COMPREHENSIVE METHOD (FOR SFTS) | ||||||||||||||||||||||
| 0100 | VAR FOR SFTS | ||||||||||||||||||||||
| 0110 | TOTAL | ||||||||||||||||||||||
| 0120 | of which: SWWR positions | ||||||||||||||||||||||
| 0130 | Margined business | ||||||||||||||||||||||
| 0140 | Unmargined business |
C 34.03 COUNTERPARTY CREDIT RISK: CCR EXPOSURES TREATED WITH STANDARDISED APPROACHES: SA-CCR or SIMPLIFIED SA-CCR (CCR 3)
CCR approach
| RISK CATEGORIES | RISK CATEGORIES | CURRENCY | SECOND CURRENCY IN PAIR | NUMBER OF TRANSACTIONS | NOTIONAL AMOUNTS | CURRENT MARKET VALUE (CMV), POSITIVE | CURRENT MARKET VALUE (CMV), NEGATIVE | ADD-ON |
|---|---|---|---|---|---|---|---|---|
| RISK CATEGORIES | RISK CATEGORIES | 0010 | 0020 | 0030 | 0040 | 0050 | 0060 | 0070 |
| 0010 | TOTAL | |||||||
| 0020 | of which: Mapped to 2 risk categories | |||||||
| 0030 | of which: Mapped to 3 risk categories | |||||||
| 0040 | of which: Mapped to more than 3 risk categories | |||||||
| 0050 | INTEREST RATE RISK | |||||||
| 0060 | of which: Mapped exclusively to Interest rate risk category | |||||||
| 0070 | of which: Largest currency | |||||||
| 0080 | of which: 2nd largest currency | |||||||
| 0090 | of which: 3rd largest currency | |||||||
| 0100 | of which: 4th largest currency | |||||||
| 0110 | of which: 5th largest currency | |||||||
| 0120 | FOREIGN EXCHANGE RISK | |||||||
| 0130 | of which: Mapped exclusively to Foreign Exchange risk category | |||||||
| 0140 | of which: Largest currency pair | |||||||
| 0150 | of which: 2nd largest currency pair | |||||||
| 0160 | of which: 3rd largest currency pair | |||||||
| 0170 | of which: 4th largest currency pair | |||||||
| 0180 | of which: 5th largest currency pair | |||||||
| 0190 | CREDIT RISK | |||||||
| 0200 | of which: Mapped exclusively to Credit risk category | |||||||
| 0210 | Single-name transactions | |||||||
| 0220 | Multi-names transactions | |||||||
| 0230 | EQUITY RISK | |||||||
| 0240 | of which: Mapped exclusively to Equity risk category | |||||||
| 0250 | Single-name transactions | |||||||
| 0260 | Multi-names transactions | |||||||
| 0270 | COMMODITY RISK | |||||||
| 0280 | of which: Mapped exclusively to Commodity risk category | |||||||
| 0290 | Energy | |||||||
| 0300 | Metals | |||||||
| 0310 | Agricultural goods | |||||||
| 0320 | Climatic conditions | |||||||
| 0330 | Other commodities | |||||||
| 0340 | OTHER RISKS |
C 34.04 COUNTERPARTY CREDIT RISK: CCR EXPOSURES TREATED WITH THE ORIGINAL EXPOSURE METHOD (OEM) (CCR 4)
| RISK CATEGORIES | RISK CATEGORIES | NUMBER OF TRANSACTIONS | NOTIONAL AMOUNTS | CURRENT MARKET VALUE (CMV), POSITIVE | CURRENT MARKET VALUE (CMV), NEGATIVE | POTENTIAL FUTURE EXPOSURE (PFE) |
|---|---|---|---|---|---|---|
| RISK CATEGORIES | RISK CATEGORIES | 0010 | 0020 | 0030 | 0040 | 0050 |
| 0010 | TOTAL | |||||
| 0020 | INTEREST RATE RISK | |||||
| 0030 | FOREIGN EXCHANGE RISK | |||||
| 0040 | CREDIT RISK | |||||
| 0050 | EQUITY RISK | |||||
| 0060 | COMMODITY RISK | |||||
| 0070 | of which: electricity |
C 34.05 COUNTERPARTY CREDIT RISK: CCR EXPOSURES TREATED WITH THE INTERNAL MODEL METHOD (IMM) (CCR 5)
| INSTRUMENTS | INSTRUMENTS | INSTRUMENTS | MARGINED | MARGINED | MARGINED | MARGINED | MARGINED | MARGINED | MARGINED | MARGINED | UNMARGINED | UNMARGINED | UNMARGINED | UNMARGINED | UNMARGINED | UNMARGINED | UNMARGINED | UNMARGINED | EXPOSURE VALUE |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| INSTRUMENTS | INSTRUMENTS | INSTRUMENTS | NUMBER OF TRANSACTIONS | NOTIONAL AMOUNTS | CURRENT MARKET VALUE (CMV), POSITIVE | CURRENT MARKET VALUE (CMV), NEGATIVE | CURRENT EXPOSURE | EEPE | Stress EEPE | EXPOSURE VALUE | NUMBER OF TRANSACTIONS | NOTIONAL AMOUNTS | CURRENT MARKET VALUE (CMV), POSITIVE | CURRENT MARKET VALUE (CMV), NEGATIVE | CURRENT EXPOSURE | EEPE | Stress EEPE | EXPOSURE VALUE | EXPOSURE VALUE |
| INSTRUMENTS | INSTRUMENTS | INSTRUMENTS | 0010 | 0020 | 0030 | 0040 | 0050 | 0060 | 0070 | 0080 | 0090 | 0100 | 0110 | 0120 | 0130 | 0140 | 0150 | 0160 | 0170 |
| 0010 | TOTAL | TOTAL | |||||||||||||||||
| 0020 | of which: SWWR positions | of which: SWWR positions | |||||||||||||||||
| 0030 | Netting sets treated with the CR Standardised Approach | Netting sets treated with the CR Standardised Approach | |||||||||||||||||
| 0040 | Netting sets treated with the CR IRB Approach | Netting sets treated with the CR IRB Approach | |||||||||||||||||
| 0050 | OTC DERIVATIVES | INTEREST RATE | |||||||||||||||||
| 0060 | OTC DERIVATIVES | FOREIGN EXCHANGE | |||||||||||||||||
| 0070 | OTC DERIVATIVES | CREDIT | |||||||||||||||||
| 0080 | OTC DERIVATIVES | EQUITY | |||||||||||||||||
| 0090 | OTC DERIVATIVES | COMMODITY | |||||||||||||||||
| 0100 | OTC DERIVATIVES | OTHER | |||||||||||||||||
| 0110 | OTC DERIVATIVES | TOTAL | |||||||||||||||||
| 0120 | EXCHANGE TRADED DERIVATIVES | INTEREST RATE | |||||||||||||||||
| 0130 | EXCHANGE TRADED DERIVATIVES | FOREIGN EXCHANGE | |||||||||||||||||
| 0140 | EXCHANGE TRADED DERIVATIVES | CREDIT | |||||||||||||||||
| 0150 | EXCHANGE TRADED DERIVATIVES | EQUITY | |||||||||||||||||
| 0160 | EXCHANGE TRADED DERIVATIVES | COMMODITY | |||||||||||||||||
| 0170 | EXCHANGE TRADED DERIVATIVES | OTHER | |||||||||||||||||
| 0180 | EXCHANGE TRADED DERIVATIVES | TOTAL | |||||||||||||||||
| 0190 | SECURITIES FINANCING TRANSACTIONS | BOND UNDERLYING | |||||||||||||||||
| 0200 | SECURITIES FINANCING TRANSACTIONS | EQUITY UNDERLYING | |||||||||||||||||
| 0210 | SECURITIES FINANCING TRANSACTIONS | OTHER UNDERLYING | |||||||||||||||||
| 0220 | SECURITIES FINANCING TRANSACTIONS | TOTAL | |||||||||||||||||
| 0230 | CONTRACTUAL CROSS-PRODUCT NETTING SETS | CONTRACTUAL CROSS-PRODUCT NETTING SETS |
C 34.06 COUNTERPARTY CREDIT RISK: TOP TWENTY COUNTERPARTIES (CCR 6)
| NAME | CODE | TYPE OF CODE | NATIONAL CODE | SECTOR OF THE COUN-TERPARTY | COUNTERPARTY TYPE | RESIDENCY OF THE COUNTERPARTY | NUMBER OF TRANSACTIONS | NOTIONAL AMOUNTS | CURRENT MARKET VALUE (CMV), POSITIVE | CURRENT MARKET VALUE (CMV), NEGATIVE | EXPOSURE VALUE POST-CRM | EXPOSURE VALUE | RISK WEIGHTED EXPOSURE AMOUNTS |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 0010 | 0020 | 0030 | 0035 | 0040 | 0050 | 0060 | 0070 | 0080 | 0090 | 0100 | 0110 | 0120 | 0130 |
C 34.07 COUNTERPARTY CREDIT RISK: IRB APPROACH – CCR EXPOSURES BY EXPOSURE CLASS AND PD SCALE (CCR 7)
IRB Exposure class
Own estimates of LGD and/or conversion factors:
| PD scale | PD scale | Exposure value | Exposure weighted average PD (%) | Number of obligors | Exposure weighted average LGD (%) | Exposure weighted average maturity (years) | Risk weighted exposure amounts | Density of risk weighted exposure amounts |
|---|---|---|---|---|---|---|---|---|
| PD scale | PD scale | 0010 | 0020 | 0030 | 0040 | 0050 | 0060 | 0070 |
| 0010 | 0.00 to <0.15 | |||||||
| 0020 | 0.00 to <0.10 | |||||||
| 0030 | 0.10 to <0.15 | |||||||
| 0040 | 0.15 to <0.25 | |||||||
| 0050 | 0.25 to <0.50 | |||||||
| 0060 | 0.50 to <0.75 | |||||||
| 0070 | 0.75 to <2.50 | |||||||
| 0080 | 0.75 to <1.75 | |||||||
| 0090 | 1.75 to <2.5 | |||||||
| 0100 | 2.50 to <10.00 | |||||||
| 0110 | 2.50 to <5.00 | |||||||
| 0120 | 5.00 to <10.00 | |||||||
| 0130 | 10.00 to <100.00 | |||||||
| 0140 | 10.00 to <20.00 | |||||||
| 0150 | 20.00 to <30.00 | |||||||
| 0160 | 30.00 to <100.00 | |||||||
| 0170 | 100.00 (Default) | |||||||
| 0180 | Total |
C 34.08 COUNTERPARTY CREDIT RISK: COMPOSITION OF COLLATERAL FOR CCR EXPOSURES (CCR 8)
| Collateral type | Collateral type | Collateral used in derivative transactions | Collateral used in derivative transactions | Collateral used in derivative transactions | Collateral used in derivative transactions | Collateral used in derivative transactions | Collateral used in derivative transactions | Collateral used in derivative transactions | Collateral used in derivative transactions | Collateral used in SFTs | Collateral used in SFTs | Collateral used in SFTs | Collateral used in SFTs | Collateral used in SFTs | Collateral used in SFTs | Collateral used in SFTs | Collateral used in SFTs | Collateral used in SFTs | Collateral used in SFTs |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Collateral type | Collateral type | Fair value of collateral received | Fair value of collateral received | Fair value of collateral received | Fair value of collateral received | Fair value of posted collateral | Fair value of posted collateral | Fair value of posted collateral | Fair value of posted collateral | Fair value of collateral received | Fair value of collateral received | Fair value of collateral received | Fair value of collateral received | Fair value of collateral received | Fair value of posted collateral | Fair value of posted collateral | Fair value of posted collateral | Fair value of posted collateral | Fair value of posted collateral |
| Collateral type | Collateral type | Segregated | Segregated | Unsegregated | Unsegregated | Segregated | Segregated | Unsegregated | Unsegregated | Segregated | Segregated | Unsegregated | Unsegregated | Unsegregated | Segregated | Segregated | Unsegregated | Unsegregated | Unsegregated |
| Collateral type | Collateral type | Initial margin | Variation margin | Initial margin | Variation margin | Initial margin | Variation margin | Initial margin | Variation margin | Initial margin | Variation margin | Initial margin | Variation margin | SFT security | Initial margin | Variation margin | Initial margin | Variation margin | SFT security |
| Collateral type | Collateral type | 0010 | 0020 | 0030 | 0040 | 0050 | 0060 | 0070 | 0080 | 0090 | 0100 | 0110 | 0120 | 0130 | 0140 | 0150 | 0160 | 0170 | 0180 |
| 0010 | Cash – domestic currency | ||||||||||||||||||
| 0020 | Cash – other currencies | ||||||||||||||||||
| 0030 | Domestic sovereign debt | ||||||||||||||||||
| 0040 | Other sovereign debt | ||||||||||||||||||
| 0050 | Government agency debt | ||||||||||||||||||
| 0060 | Corporate bonds | ||||||||||||||||||
| 0070 | Equity securities | ||||||||||||||||||
| 0080 | Other collateral | ||||||||||||||||||
| 0090 | Total |
C 34.09 COUNTERPARTY CREDIT RISK: CREDIT DERIVATIVES EXPOSURES (CCR 9)
| Product type | Product type | NOTIONAL AMOUNTS | NOTIONAL AMOUNTS | FAIR VALUES | FAIR VALUES |
|---|---|---|---|---|---|
| Product type | Product type | PROTECTION BOUGHT | PROTECTION SOLD | PROTECTION BOUGHT | PROTECTION SOLD |
| Product type | Product type | 0010 | 0020 | 0030 | 0040 |
| 0010 | Single-name credit default swaps | ||||
| 0020 | Index credit default swaps | ||||
| 0030 | Total return swaps | ||||
| 0040 | Credit options | ||||
| 0050 | Other credit derivatives | ||||
| 0060 | Total | ||||
| FAIR VALUE BREAKDOWN | FAIR VALUE BREAKDOWN | FAIR VALUE BREAKDOWN | FAIR VALUE BREAKDOWN | FAIR VALUE BREAKDOWN | FAIR VALUE BREAKDOWN |
| 0070 | Positive fair value (asset) | ||||
| 0080 | Negative fair value (liability) |
C 34.10 COUNTERPARTY CREDIT RISK: EXPOSURES TO CCPs (CCR 10)
| EXPOSURE VALUE | RISK WEIGHTED EXPOSURE AMOUNTS | ||
|---|---|---|---|
| 0010 | 0020 | ||
| 0010 | Exposures to QCCPs (total) | ||
| 0020 | Exposures for trades at QCCPs (excluding initial margin and default fund contributions); of which | ||
| 0030 | (i) OTC derivatives | ||
| 0040 | (ii) Exchange-traded derivatives | ||
| 0050 | (iii) SFTs | ||
| 0060 | (iv) Netting sets where cross-product netting has been approved | ||
| 0070 | Segregated initial margin | ||
| 0080 | Non-segregated initial margin | ||
| 0090 | Prefunded default fund contributions | ||
| 0100 | Unfunded default fund contributions | ||
| 0110 | Exposures to non-QCCPs (total) | ||
| 0120 | Exposures for trades at non-QCCPs (excluding initial margin and default fund contributions); of which | ||
| 0130 | (i) OTC derivatives | ||
| 0140 | (ii) Exchange-traded derivatives | ||
| 0150 | (iii) SFTs | ||
| 0160 | (iv) Netting sets where cross-product netting has been approved | ||
| 0170 | Segregated initial margin | ||
| 0180 | Non-segregated initial margin | ||
| 0190 | Prefunded default fund contributions | ||
| 0200 | Unfunded default fund contributions |
C 34.11 COUNTERPARTY CREDIT RISK: RWEA FLOW STATEMENTS OF CCR EXPOSURES UNDER THE IMM (CCR 11)
| RISK WEIGHTED EXPOSURE AMOUNTS | RISK WEIGHTED EXPOSURE AMOUNTS | ||
|---|---|---|---|
| QUARTERLY FLOWS | ANNUAL FLOWS | ||
| 0010 | 0020 | ||
| 0010 | Risk Weighted Exposure Amounts as at the end of the previous reporting period | ||
| 0020 | Asset size | ||
| 0030 | Credit quality of counterparties | ||
| 0040 | Model updates (IMM only) | ||
| 0050 | Methodology and policy (IMM only) | ||
| 0060 | Acquisitions and disposals | ||
| 0070 | Foreign exchange movements | ||
| 0080 | Other | ||
| 0090 | Risk Weighted Exposure Amounts as at the end of the current reporting period |
C 16.00 - OPERATIONAL RISK (OPR)
| BANKING ACTIVITIES | BANKING ACTIVITIES | RELEVANT INDICATOR | RELEVANT INDICATOR | RELEVANT INDICATOR | LOANS AND ADVANCES (IN CASE OF ASA APPLICATION) | LOANS AND ADVANCES (IN CASE OF ASA APPLICATION) | LOANS AND ADVANCES (IN CASE OF ASA APPLICATION) | OWN FUNDS REQUIREMENT | Total operational risk exposure amount | AMA MEMORANDUM ITEMS TO BE REPORTED IF APPLICABLE | AMA MEMORANDUM ITEMS TO BE REPORTED IF APPLICABLE | AMA MEMORANDUM ITEMS TO BE REPORTED IF APPLICABLE | AMA MEMORANDUM ITEMS TO BE REPORTED IF APPLICABLE | AMA MEMORANDUM ITEMS TO BE REPORTED IF APPLICABLE |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| BANKING ACTIVITIES | BANKING ACTIVITIES | 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) |
| BANKING ACTIVITIES | BANKING ACTIVITIES | 0010 | 0020 | 0030 | 0040 | 0050 | 0060 | 0070 | 0O71 | 0080 | 0090 | 0100 | 0110 | 0120 |
| 0010 | 1. BANKING ACTIVITIES SUBJECT TO BASIC INDICATOR APPROACH (BIA) | Cell linked to CA2 | ||||||||||||
| 0020 | 2. BANKING ACTIVITIES SUBJECT TO STANDARDISED (TSA) / ALTERNATIVE STANDARDISED (ASA) APPROACHES | Cell linked to CA2 | ||||||||||||
| SUBJECT TO TSA: | ||||||||||||||
| 0030 | CORPORATE FINANCE (CF) | |||||||||||||
| 0040 | TRADING AND SALES (TS) | |||||||||||||
| 0050 | RETAIL BROKERAGE (RBr) | |||||||||||||
| 0060 | COMMERCIAL BANKING (CB) | |||||||||||||
| 0070 | RETAIL BANKING (RB) | |||||||||||||
| 0080 | PAYMENT AND SETTLEMENT (PS) | |||||||||||||
| 0090 | AGENCY SERVICES (AS) | |||||||||||||
| 0100 | ASSET MANAGEMENT (AM) | |||||||||||||
| SUBJECT TO ASA: | ||||||||||||||
| 0110 | COMMERCIAL BANKING (CB) | |||||||||||||
| 0120 | RETAIL BANKING (RB) | |||||||||||||
| 0130 | 3. BANKING ACTIVITIES SUBJECT TO ADVANCED MEASUREMENT APPROACHES AMA | Cell linked to CA2 |
C 17.01 - OPERATIONAL RISK: LOSSES AND RECOVERIES BY BUSINESS LINES AND EVENT TYPES IN THE LAST YEAR (OPR DETAILS 1)
| MAPPING OF LOSSES TO BUSINESS LINES | MAPPING OF LOSSES TO BUSINESS LINES | MAPPING OF LOSSES TO BUSINESS LINES | EVENT TYPES | EVENT TYPES | EVENT TYPES | EVENT TYPES | EVENT TYPES | EVENT TYPES | EVENT TYPES | TOTAL EVENT TYPES | MEMORANDUM ITEM: THRESHOLD APPLIED IN DATA COLLECTION | MEMORANDUM ITEM: THRESHOLD APPLIED IN DATA COLLECTION |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| MAPPING OF LOSSES TO BUSINESS LINES | MAPPING OF LOSSES TO BUSINESS LINES | 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 | 0010 | 0020 | 0030 | 0040 | 0050 | 0060 | 0070 | 0080 | 0090 | 0100 | ||
| 0010 | CORPORATE FINANCE [CF] | Number of events (new events) | ||||||||||
| 0020 | CORPORATE FINANCE [CF] | Gross loss amount (new events) | ||||||||||
| 0030 | CORPORATE FINANCE [CF] | Number of events subject to loss adjustments | ||||||||||
| 0040 | CORPORATE FINANCE [CF] | Loss adjustments relating to previous reporting periods | ||||||||||
| 0050 | CORPORATE FINANCE [CF] | Maximum single loss | ||||||||||
| 0060 | CORPORATE FINANCE [CF] | Sum of the five largest losses | ||||||||||
| 0070 | CORPORATE FINANCE [CF] | Total direct loss recovery | ||||||||||
| 0080 | CORPORATE FINANCE [CF] | Total recovery from insurance and other risk transfer mechanisms | ||||||||||
| 0110 | TRADING AND SALES [TS] | Number of events (new events) | ||||||||||
| 0120 | TRADING AND SALES [TS] | Gross loss amount (new events) | ||||||||||
| 0130 | TRADING AND SALES [TS] | Number of events subject to loss adjustments | ||||||||||
| 0140 | TRADING AND SALES [TS] | Loss adjustments relating to previous reporting periods | ||||||||||
| 0150 | TRADING AND SALES [TS] | Maximum single loss | ||||||||||
| 0160 | TRADING AND SALES [TS] | Sum of the five largest losses | ||||||||||
| 0170 | TRADING AND SALES [TS] | Total direct loss recovery | ||||||||||
| 0180 | TRADING AND SALES [TS] | Total recovery from insurance and other risk transfer mechanisms | ||||||||||
| 0210 | RETAIL BROKERAGE [RBr] | Number of events (new events) | ||||||||||
| 0220 | RETAIL BROKERAGE [RBr] | Gross loss amount (new events) | ||||||||||
| 0230 | RETAIL BROKERAGE [RBr] | Number of events subject to loss adjustments | ||||||||||
| 0240 | RETAIL BROKERAGE [RBr] | Loss adjustments relating to previous reporting periods | ||||||||||
| 0250 | RETAIL BROKERAGE [RBr] | Maximum single loss | ||||||||||
| 0260 | RETAIL BROKERAGE [RBr] | Sum of the five largest losses | ||||||||||
| 0270 | RETAIL BROKERAGE [RBr] | Total direct loss recovery | ||||||||||
| 0280 | RETAIL BROKERAGE [RBr] | Total recovery from insurance and other risk transfer mechanisms | ||||||||||
| 0310 | COMMERCIAL BANKING [CB] | Number of events (new events) | ||||||||||
| 0320 | COMMERCIAL BANKING [CB] | Gross loss amount (new events) | ||||||||||
| 0330 | COMMERCIAL BANKING [CB] | Number of events subject to loss adjustments | ||||||||||
| 0340 | COMMERCIAL BANKING [CB] | Loss adjustments relating to previous reporting periods | ||||||||||
| 0350 | COMMERCIAL BANKING [CB] | Maximum single loss | ||||||||||
| 0360 | COMMERCIAL BANKING [CB] | Sum of the five largest losses | ||||||||||
| 0370 | COMMERCIAL BANKING [CB] | Total direct loss recovery | ||||||||||
| 0380 | COMMERCIAL BANKING [CB] | Total recovery from insurance and other risk transfer mechanisms | ||||||||||
| 0410 | RETAIL BANKING [RB] | Number of events (new events) | ||||||||||
| 0420 | RETAIL BANKING [RB] | Gross loss amount (new events) | ||||||||||
| 0430 | RETAIL BANKING [RB] | Number of events subject to loss adjustments | ||||||||||
| 0440 | RETAIL BANKING [RB] | Loss adjustments relating to previous reporting periods | ||||||||||
| 0450 | RETAIL BANKING [RB] | Maximum single loss | ||||||||||
| 0460 | RETAIL BANKING [RB] | Sum of the five largest losses | ||||||||||
| 0470 | RETAIL BANKING [RB] | Total direct loss recovery | ||||||||||
| 0480 | RETAIL BANKING [RB] | Total recovery from insurance and other risk transfer mechanisms | ||||||||||
| 0510 | PAYMENT AND SETTLEMENT [PS] | Number of events (new events) | ||||||||||
| 0520 | PAYMENT AND SETTLEMENT [PS] | Gross loss amount (new events) | ||||||||||
| 0530 | PAYMENT AND SETTLEMENT [PS] | Number of events subject to loss adjustments | ||||||||||
| 0540 | PAYMENT AND SETTLEMENT [PS] | Loss adjustments relating to previous reporting periods | ||||||||||
| 0550 | PAYMENT AND SETTLEMENT [PS] | Maximum single loss | ||||||||||
| 0560 | PAYMENT AND SETTLEMENT [PS] | Sum of the five largest losses | ||||||||||
| 0570 | PAYMENT AND SETTLEMENT [PS] | Total direct loss recovery | ||||||||||
| 0580 | PAYMENT AND SETTLEMENT [PS] | Total recovery from insurance and other risk transfer mechanisms | ||||||||||
| 0610 | AGENCY SERVICES [AS] | Number of events (new events) | ||||||||||
| 0620 | AGENCY SERVICES [AS] | Gross loss amount (new events) | ||||||||||
| 0630 | AGENCY SERVICES [AS] | Number of events subject to loss adjustments | ||||||||||
| 0640 | AGENCY SERVICES [AS] | Loss adjustments relating to previous reporting periods | ||||||||||
| 0650 | AGENCY SERVICES [AS] | Maximum single loss | ||||||||||
| 0660 | AGENCY SERVICES [AS] | Sum of the five largest losses | ||||||||||
| 0670 | AGENCY SERVICES [AS] | Total direct loss recovery | ||||||||||
| 0680 | AGENCY SERVICES [AS] | Total recovery from insurance and other risk transfer mechanisms | ||||||||||
| 0710 | ASSET MANAGEMENT [AM] | Number of events (new events) | ||||||||||
| 0720 | ASSET MANAGEMENT [AM] | Gross loss amount (new events) | ||||||||||
| 0730 | ASSET MANAGEMENT [AM] | Number of events subject to loss adjustments | ||||||||||
| 0740 | ASSET MANAGEMENT [AM] | Loss adjustments relating to previous reporting periods | ||||||||||
| 0750 | ASSET MANAGEMENT [AM] | Maximum single loss | ||||||||||
| 0760 | ASSET MANAGEMENT [AM] | Sum of the five largest losses | ||||||||||
| 0770 | ASSET MANAGEMENT [AM] | Total direct loss recovery | ||||||||||
| 0780 | ASSET MANAGEMENT [AM] | Total recovery from insurance and other risk transfer mechanisms | ||||||||||
| 0810 | CORPORATE ITEMS [CI] | Number of events (new events) | ||||||||||
| 0820 | CORPORATE ITEMS [CI] | Gross loss amount (new events) | ||||||||||
| 0830 | CORPORATE ITEMS [CI] | Number of events subject to loss adjustments | ||||||||||
| 0840 | CORPORATE ITEMS [CI] | Loss adjustments relating to previous reporting periods | ||||||||||
| 0850 | CORPORATE ITEMS [CI] | Maximum single loss | ||||||||||
| 0860 | CORPORATE ITEMS [CI] | Sum of the five largest losses | ||||||||||
| 0870 | CORPORATE ITEMS [CI] | Total direct loss recovery | ||||||||||
| 0880 | CORPORATE ITEMS [CI] | Total recovery from insurance and other risk transfer mechanisms | ||||||||||
| 0910 | TOTAL BUSINESS LINES | Number of events (new events). Of which: | ||||||||||
| 0911 | TOTAL BUSINESS LINES | related to losses ≥ 10,000 and < 20,000 | ||||||||||
| 0912 | TOTAL BUSINESS LINES | related to losses ≥ 20,000 and < 100,000 | ||||||||||
| 0913 | TOTAL BUSINESS LINES | related to losses ≥ 100,000 and < 1,000,000 | ||||||||||
| 0914 | TOTAL BUSINESS LINES | related to losses ≥ 1,000,000 | ||||||||||
| 0920 | TOTAL BUSINESS LINES | Gross loss amount (new events). Of which: | ||||||||||
| 0921 | TOTAL BUSINESS LINES | related to losses ≥ 10,000 and < 20,000 | ||||||||||
| 0922 | TOTAL BUSINESS LINES | related to losses ≥ 20,000 and < 100,000 | ||||||||||
| 0923 | related to losses ≥ 100,000 and < 1,000,000 | |||||||||||
| 0924 | related to losses ≥ 1,000,000 | |||||||||||
| 0930 | Number of events subject to loss adjustments. Of which: | |||||||||||
| 0935 | of which: number of events with a positive loss adjustment | |||||||||||
| 0936 | of which: number of events with a negative loss adjustment | |||||||||||
| 0940 | Loss adjustments relating to previous reporting periods | |||||||||||
| 0945 | of which: positive loss adjustment amounts (+) | |||||||||||
| 0946 | of which: negative loss adjustment amounts (-) | |||||||||||
| 0950 | Maximum single loss | |||||||||||
| 0960 | Sum of the five largest losses | |||||||||||
| 0970 | Total direct loss recovery | |||||||||||
| 0980 | Total recovery from insurance and other risk transfer mechanisms |
C 17.02 - OPERATIONAL RISK: LARGE LOSS EVENTS (OPR DETAILS 2)
| Event ID | Date of accounting | Date of occurrence | Date of discovery | Event Type | Gross loss | Gross loss net of direct recoveries | GROSS LOSS BY BUSINESS LINE | GROSS LOSS BY BUSINESS LINE | GROSS LOSS BY BUSINESS LINE | GROSS LOSS BY BUSINESS LINE | GROSS LOSS BY BUSINESS LINE | GROSS LOSS BY BUSINESS LINE | GROSS LOSS BY BUSINESS LINE | GROSS LOSS BY BUSINESS LINE | GROSS LOSS BY BUSINESS LINE | Legal Entity name | Code | Type of code | Business Unit | Description | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Event ID | Date of accounting | Date of occurrence | Date of discovery | Event Type | Gross loss | Gross loss net of direct recoveries | Corporate Finance [CF] | Trading and Sales [TS] | Retail Brokerage [RBr] | Commercial Banking [CB] | Retail Banking [RB] | Payment and Settlement [PS] | Agency Services [AS] | Asset Management [AM] | Corporate Items [CI] | Legal Entity name | Code | Type of code | Business Unit | Description | |
| Rows | 0010 | 0020 | 0030 | 0040 | 0050 | 0060 | 0070 | 0080 | 0090 | 0100 | 0110 | 0120 | 0130 | 0140 | 0150 | 0160 | 0170 | 0181 | 0185 | 0190 | 0200 |
| … |
C 18.00 - MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS (MKR SA TDI)
Currency:
| POSITIONS | POSITIONS | POSITIONS | POSITIONS | POSITIONS | OWN FUNDS REQUIREMENTS | TOTAL RISK EXPOSURE AMOUNT | ||
|---|---|---|---|---|---|---|---|---|
| ALL POSITIONS | ALL POSITIONS | NET POSITIONS | NET POSITIONS | POSITIONS SUBJECT TO CAPITAL CHARGE | OWN FUNDS REQUIREMENTS | TOTAL RISK EXPOSURE AMOUNT | ||
| LONG | SHORT | LONG | SHORT | POSITIONS SUBJECT TO CAPITAL CHARGE | OWN FUNDS REQUIREMENTS | TOTAL RISK EXPOSURE AMOUNT | ||
| 0010 | 0020 | 0030 | 0040 | 0050 | 0060 | 0070 | ||
| 0010 | TRADED DEBT INSTRUMENTS IN TRADING BOOK | Cell linked to CA2 | ||||||
| 0011 | General risk | |||||||
| 0012 | Derivatives | |||||||
| 0013 | Other assets and liabilities | |||||||
| 0020 | Maturity-based approach | |||||||
| 0030 | Zone 1 | |||||||
| 0040 | 0 ≤ 1 month | |||||||
| 0050 | > 1 ≤ 3 months | |||||||
| 0060 | > 3 ≤ 6 months | |||||||
| 0070 | > 6 ≤ 12 months | |||||||
| 0080 | Zone 2 | |||||||
| 0090 | > 1 ≤ 2 (1,9 for cupon of less than 3%) years | |||||||
| 0100 | > 2 ≤ 3 (> 1,9 ≤ 2,8 for cupon of less than 3%) years | |||||||
| 0110 | > 3 ≤ 4 (> 2,8 ≤ 3,6 for cupon of less than 3%) years | |||||||
| 0120 | Zone 3 | |||||||
| 0130 | > 4 ≤ 5 (> 3,6 ≤ 4,3 for cupon of less than 3%) years | |||||||
| 0140 | > 5 ≤ 7 (> 4,3 ≤ 5,7 for cupon of less than 3%) years | |||||||
| 0150 | > 7 ≤ 10 (> 5,7 ≤ 7,3 for cupon of less than 3%) years | |||||||
| 0160 | > 10 ≤ 15 (> 7,3 ≤ 9,3 for cupon of less than 3%) years | |||||||
| 0170 | > 15 ≤ 20 (> 9,3 ≤ 10,6 for cupon of less than 3%) years | |||||||
| 0180 | > 20 (> 10,6 ≤ 12,0 for cupon of less than 3%) years | |||||||
| 0190 | (> 12,0 ≤ 20,0 for cupon of less than 3%) years | |||||||
| 0200 | (> 20 for cupon of less than 3%) years | |||||||
| 0210 | Duration-based approach | |||||||
| 0220 | Zone 1 | |||||||
| 0230 | Zone 2 | |||||||
| 0240 | Zone 3 | |||||||
| 0250 | Specific risk | |||||||
| 0251 | Own funds requirement for non-securitisation debt instruments | |||||||
| 0260 | Debt securities under the first category in Table 1 | |||||||
| 0270 | Debt securities under the second category in Table 1 | |||||||
| 0280 | With residual term ≤ 6 months | |||||||
| 0290 | With a residual term > 6 months and ≤ 24 months | |||||||
| 0300 | With a residual term > 24 months | |||||||
| 0310 | Debt securities under the third category in Table 1 | |||||||
| 0320 | Debt securities under the fourth category in Table 1 | |||||||
| 0321 | Rated nth-to default credit derivatives | |||||||
| 0325 | Own funds requirement for securitisation instruments | |||||||
| 0330 | Own funds requirement for the correlation trading portfolio | |||||||
| 0350 | Additional requirements for options (non-delta risks) | |||||||
| 0360 | Simplified method | |||||||
| 0370 | Delta plus approach - additional requirements for gamma risk | |||||||
| 0380 | Delta plus approach - additional requirements for vega risk | |||||||
| 0385 | Delta plus approach - non-continuous options and warrants | |||||||
| 0390 | Scenario matrix approach |
C 19.00 - MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS (MKR SA SEC)
| ALL POSITIONS | ALL POSITIONS | (-) POSITIONS DEDUCTED FROM OWN FUNDS | (-) POSITIONS DEDUCTED FROM OWN FUNDS | NET POSITIONS | NET POSITIONS | BREAKDOWN OF THE NET POSITIONS (LONG) ACCORDING TO RISK WEIGHTS | BREAKDOWN OF THE NET POSITIONS (LONG) ACCORDING TO RISK WEIGHTS | BREAKDOWN OF THE NET POSITIONS (LONG) ACCORDING TO RISK WEIGHTS | BREAKDOWN OF THE NET POSITIONS (LONG) ACCORDING TO RISK WEIGHTS | BREAKDOWN OF THE NET POSITIONS (LONG) ACCORDING TO RISK WEIGHTS | BREAKDOWN OF THE NET POSITIONS (LONG) ACCORDING TO RISK WEIGHTS | BREAKDOWN OF THE NET POSITIONS (LONG) ACCORDING TO RISK WEIGHTS | BREAKDOWN OF THE NET POSITIONS (LONG) ACCORDING TO RISK WEIGHTS | BREAKDOWN OF THE NET POSITIONS (LONG) ACCORDING TO RISK WEIGHTS | BREAKDOWN OF THE NET POSITIONS (LONG) ACCORDING TO RISK WEIGHTS | BREAKDOWN OF THE NET POSITIONS (LONG) ACCORDING TO RISK WEIGHTS | BREAKDOWN OF THE NET POSITIONS (LONG) ACCORDING TO RISK WEIGHTS | BREAKDOWN OF THE NET POSITIONS (LONG) ACCORDING TO RISK WEIGHTS | BREAKDOWN OF THE NET POSITIONS (LONG) ACCORDING TO RISK WEIGHTS | BREAKDOWN OF THE NET POSITIONS (LONG) ACCORDING TO RISK WEIGHTS | BREAKDOWN OF THE NET POSITIONS (LONG) ACCORDING TO RISK WEIGHTS | BREAKDOWN OF THE NET POSITIONS (LONG) ACCORDING TO RISK WEIGHTS | BREAKDOWN OF THE NET POSITIONS (SHORT) ACCORDING TO RISK WEIGHTS | BREAKDOWN OF THE NET POSITIONS (SHORT) ACCORDING TO RISK WEIGHTS | BREAKDOWN OF THE NET POSITIONS (SHORT) ACCORDING TO RISK WEIGHTS | BREAKDOWN OF THE NET POSITIONS (SHORT) ACCORDING TO RISK WEIGHTS | BREAKDOWN OF THE NET POSITIONS (SHORT) ACCORDING TO RISK WEIGHTS | BREAKDOWN OF THE NET POSITIONS (SHORT) ACCORDING TO RISK WEIGHTS | BREAKDOWN OF THE NET POSITIONS (SHORT) ACCORDING TO RISK WEIGHTS | BREAKDOWN OF THE NET POSITIONS (SHORT) ACCORDING TO RISK WEIGHTS | BREAKDOWN OF THE NET POSITIONS (SHORT) ACCORDING TO RISK WEIGHTS | BREAKDOWN OF THE NET POSITIONS (SHORT) ACCORDING TO RISK WEIGHTS | BREAKDOWN OF THE NET POSITIONS (SHORT) ACCORDING TO RISK WEIGHTS | BREAKDOWN OF THE NET POSITIONS (SHORT) ACCORDING TO RISK WEIGHTS | BREAKDOWN OF THE NET POSITIONS (SHORT) ACCORDING TO RISK WEIGHTS | BREAKDOWN OF THE NET POSITIONS (SHORT) ACCORDING TO RISK WEIGHTS | BREAKDOWN OF THE NET POSITIONS (SHORT) ACCORDING TO RISK WEIGHTS | BREAKDOWN OF THE NET POSITIONS (SHORT) ACCORDING TO RISK WEIGHTS | BREAKDOWN OF THE NET POSITIONS (SHORT) ACCORDING TO RISK WEIGHTS | BREAKDOWN OF THE NET POSITIONS (SHORT) ACCORDING TO RISK WEIGHTS | BREAKDOWN OF THE NET POSITION ACCORDING TO APPROACHES | BREAKDOWN OF THE NET POSITION ACCORDING TO APPROACHES | BREAKDOWN OF THE NET POSITION ACCORDING TO APPROACHES | BREAKDOWN OF THE NET POSITION ACCORDING TO APPROACHES | BREAKDOWN OF THE NET POSITION ACCORDING TO APPROACHES | BREAKDOWN OF THE NET POSITION ACCORDING TO APPROACHES | OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF CHAPTER 2 OF REGULATION (EU) 2017/2402 | OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF CHAPTER 2 OF REGULATION (EU) 2017/2402 | BEFORE CAP | AFTER CAP / TOTAL OWN FUND REQUIREMENTS | ||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| LONG | SHORT | (-) LONG | (-) SHORT | LONG | SHORT | [0 - 10%] | [10 - 12%] | [12 - 20%] | [20 - 40%] | [40 - 100%] | [100 - 150%] | [150 - 200%] | [200 - 225%] | [225 - 250%] | [250 - 300%] | [300 - 350%] | [350 - 425%] | [425 - 500%] | [500 - 650%] | [650 - 750%] | [750 - 850%] | [850 - 1250%] | [0 - 10%] | [10 - 12%] | [12 - 20%] | [20 - 40%] | [40 - 100%] | [100 - 150%] | [150 - 200%] | [200 - 225%] | [225 - 250%] | [250 - 300%] | [300 - 350%] | [350 - 425%] | [425 - 500%] | [500 - 650%] | [650 - 750%] | [750 - 850%] | [850 - 1250%] | 1250% | SEC-IRBA | SEC-SA | SEC-ERBA | INTERNAL ASSESSMENT APPROACH | SPECIFIC TREATMENT FOR SENIOR TRANCHES OF QUALIFYING NPE SECURITI-SATIONS | OTHER (RW=1 250 %) | WEIGHTED NET LONG POSITIONS | WEIGHTED NET SHORT POSITIONS | BEFORE CAP | AFTER CAP / TOTAL OWN FUND REQUIREMENTS | ||
| 0010 | 0020 | 0030 | 0040 | 0050 | 0060 | 0061 | 0062 | 0063 | 0064 | 0065 | 0066 | 0071 | 0072 | 0073 | 0074 | 0075 | 0076 | 0077 | 0078 | 0079 | 0081 | 0082 | 0085 | 0086 | 0087 | 0088 | 0089 | 0091 | 0092 | 0093 | 0094 | 0095 | 0096 | 0097 | 0098 | 0099 | 0101 | 0102 | 0103 | 0104 | 0402 | 0403 | 0404 | 0405 | 0900 | 0406 | 0530 | 0540 | 0570 | 0601 | ||
| 0010 | TOTAL EXPOSURES | Cell linked to MKR SA TDI {325:060} | ||||||||||||||||||||||||||||||||||||||||||||||||||
| 0020 | Of which: RE-SECURITISATIONS | |||||||||||||||||||||||||||||||||||||||||||||||||||
| 0030 | ORIGINATOR: TOTAL EXPOSURES | |||||||||||||||||||||||||||||||||||||||||||||||||||
| 0040 | SECURITISATIONS | |||||||||||||||||||||||||||||||||||||||||||||||||||
| 0041 | OF WHICH: QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT | |||||||||||||||||||||||||||||||||||||||||||||||||||
| 0050 | RE-SECURITISATIONS | |||||||||||||||||||||||||||||||||||||||||||||||||||
| 0060 | INVESTOR: TOTAL EXPOSURES | |||||||||||||||||||||||||||||||||||||||||||||||||||
| 0070 | SECURITISATIONS | |||||||||||||||||||||||||||||||||||||||||||||||||||
| 0071 | OF WHICH: QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT | |||||||||||||||||||||||||||||||||||||||||||||||||||
| 0080 | RE-SECURITISATIONS | |||||||||||||||||||||||||||||||||||||||||||||||||||
| 0090 | SPONSOR: TOTAL EXPOSURES | |||||||||||||||||||||||||||||||||||||||||||||||||||
| 0100 | SECURITISATIONS | |||||||||||||||||||||||||||||||||||||||||||||||||||
| 0101 | OF WHICH: QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT | |||||||||||||||||||||||||||||||||||||||||||||||||||
| 0110 | RE-SECURITISATIONS |
C 20.00 - MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN THE CORRELATION TRADING PORTFOLIO (MKR SA CTP)
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