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[{"$nulls":25},"2.2","CA","CA: Capital Adequacy Summary",{"$nulls":4},"Aggregated",{"$nulls":4},"Total commodities",null,"Model 1",null,"Central governments or central banks",null,"Central Governments and Central Banks",null,"Yes",null,"Synthetic Securitisation"]
[{"$nulls":25},"2006-03-17","GROUP Solvency Details","GROUP Solvency Details: Information on Affiliates",{"$nulls":4},1,{"$nulls":4},"Precious metals (except gold)",null,"Model 2",null,"Regional governments or local authorities",null,"Institutions",null,"No",null,"Total Securitisation"]
[{"$nulls":26},"CR SA","CR SA: Credit, Counterparty Credit and Delivery Risks - Standardised Approach to Capital Requirements","E3","AP",null,null,2,{"$nulls":4},"Base metals",null,"Model 3",null,"Administrative bodies and non-comercial undertakings",null,"Of Which: Credit Institutions and Investment Firms",{"$nulls":3},"Traditional Securitisation"]
[{"$nulls":26},"CR IRB","CR IRB: Credit, Counterparty Credit and Delivery Risks - IRB Approach to Capital Requirements","F4","AR","F5","AT",3,{"$nulls":4},"Agricultural products (softs)",null,"Model 4",null,"Multilateral Development Banks",null,"Corporates"]
[{"$nulls":26},"CR EQU IRB","CR EQU IRB",{"$nulls":4},4,{"$nulls":4},"Other, including energy products",null,"Model 5",null,"International Organisations",null,"Of Which: Specialised Lending"]
[{"$nulls":26},"CR SEC SA","CR SEC SA: Credit Risk Securitisations - Standardised Approach to Capital Requirements","C2","AV",null,null,5,{"$nulls":6},"Model 6",null,"Institutions",null,"Of Which: SME"]
[{"$nulls":26},"CR SEC IRB","CR SEC IRB: Credit Risk: Securitisations - IRB Approach to Capital Requirements","C4","AV",null,null,6,{"$nulls":6},"Model 7",null,"Corporates",null,"Retail"]
[{"$nulls":26},"CR SEC Details","CR SEC Details: Credit Rirk - Detailes Information on Securitisations by Originators and Sponsors",{"$nulls":4},7,{"$nulls":6},"Model 8",null,"Retail",null,"Secured by Real Estate"]
[{"$nulls":26},"CR TB SETT","CR TB SETT: Settlement Risk in the Trading Book",{"$nulls":4},8,{"$nulls":6},"Model 9",null,"Secured on real estate property",null,"Qualifying Revolving"]
[{"$nulls":26},"MKR SA TDI","MKR SA TDI: Market Risk SA for Position Risks in Traded Debt Instruments","E3","AH",null,null,9,{"$nulls":6},"Model 10",null,"Past due items",null,"Other Retail"]
[{"$nulls":26},"MKR SA EQU","MKR SA EQU: Market Risk SA for Position Risk in Equities","E3","AJ",null,null,10,{"$nulls":8},"Items belonging to regulatory high-risk categories",null,"Of Which: SME"]
[{"$nulls":26},"MKR SA FX","MKR SA FX: Market Risk SA for Foreign Exchange Risk",{"$nulls":4},11,{"$nulls":8},"Covered bonds",null,"Equity"]
[{"$nulls":26},"MKR SA COM","MKR SA COM: Market Risk SA for Commodities","E3","AL",null,null,12,{"$nulls":8},"Total",null,"Total"]
[{"$nulls":26},"MKR IM","MKR IM: Market Risk Internal Models",{"$nulls":4},13,{"$nulls":8},"Short-term claims on institutions and corporate"]
[{"$nulls":26},"MKR IM Details","MKR IM Details: Market Risk Internal Models Details","Z1","AN",null,null,14,{"$nulls":8},"Collective investments undertakings (CIU)"]
[{"$nulls":26},"OPR","OPR: Operational Risk",{"$nulls":4},15,{"$nulls":8},"Other items"]
[{"$nulls":26},"OPR Details","OPR Details: Gross losses by business lines and event types in the last year",{"$nulls":4},16]
[{"$nulls":26},"OPR LOSS Details","OPR LOSS Details: Major operational risk losses recorded in the last year or which are still open",{"$nulls":4},17]
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[{"$nulls":32},19]
[{"$nulls":32},20]
[{"$nulls":32},21]
[{"$nulls":32},22]
[{"$nulls":32},23]
[{"$nulls":32},24]
[{"$nulls":32},25]
[{"$nulls":32},26]
[{"$nulls":32},27]
[{"$nulls":32},28]
[{"$nulls":32},29]
[{"$nulls":32},30]

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["NOTICE: All the data will be published. \nPlease refer www.corep.info document for detailed instructions. Use \"Case\" sheet for complete test cases."]
[]
["REFERENCE:"]
["Date:","2005-12-31","Currency:","EUR"]
["In the following rows the Institution shall provide detailed information on the nature of the reported operations or activities or make a reference to the attached file where this information is included. Comments shall also be provided on the doubts or concerns that could arrise while filling in the templates. © CEBS Secretariat Ltd. "]
["General","Description","Explanatory file/s (optional):"]
[]
["Aggregated Operation","Description","Explanatory file/s (optional):"]
[]
["Operation 1","Description","Explanatory file/s (optional):"]
[]
["Operation 2","Description","Explanatory file/s (optional):"]
[]
["Operation 3","Description","Explanatory file/s (optional):"]
[]
["Operation 4","Description","Explanatory file/s (optional):"]
[]
["Operation 5","Description","Explanatory file/s (optional):"]
[]
["Operation 6","Description","Explanatory file/s (optional):"]
[]
["Operation 7","Description","Explanatory file/s (optional):"]
[]
["Operation 8","Description","Explanatory file/s (optional):"]
[]
["Operation 9","Description","Explanatory file/s (optional):"]
[]
["Operation 10","Description","Explanatory file/s (optional):"]
[]
["Operation 11","Description","Explanatory file/s (optional):"]
[]
["Operation 12","Description","Explanatory file/s (optional):"]
[]
["Operation 13","Description","Explanatory file/s (optional):"]
[]
["Operation 14","Description","Explanatory file/s (optional):"]
[]
["Operation 15","Description","Explanatory file/s (optional):"]
[]
["Operation 16","Description","Explanatory file/s (optional):"]
[]
["Operation 17","Description","Explanatory file/s (optional):"]
[]
["Operation 18","Description","Explanatory file/s (optional):"]
[]
["Operation 19","Description","Explanatory file/s (optional):"]
[]
["Operation 20","Description","Explanatory file/s (optional):"]
["If more operations are to be reported, insert as many rows as necessary."]

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[]
[null,"ID","Label","Amount (a)","Legal References & Comments"]
[null,1,"TOTAL OWN FUNDS FOR SOLVENCY PURPOSES",null,"=1.1+1.2+1.3+1.6+1.7\n=1.4+1.5+1.6+1.7"]
[null,"1.1","ORIGINAL OWN FUNDS",null,"Eligible Tier 1 capital\n1.1.1+1.1.2+1.1.3+1.1.4+1.1.5"]
[null,"1.1.1","Eligible Capital",null,"1.1.1.1+1.1.1.2+1.1.1.3+1.1.1.4"]
[null,"1.1.1*","Of which: Non-innovative instruments subject to limit",null,"See item 1.1.5.2"]
[null,"1.1.1**","Of which: Innovative instruments subject to limit",null,"Corresponds to the type of instruments referred to Basel Committee on Banking Supervision' s press release (Sydney, October 1998). See item 1.1.5.3"]
[null,"1.1.1.1","Paid up capital",null,"Article 57, sentence 1 lit.(a).\n≈ FINREP: Paid in capital"]
[null,"1.1.1.2","(-) Own shares",null,"Article 57, sentence 2 lit. (i)\n≈ FINREP: Treasury shares"]
[null,"1.1.1.3","Share premium",null,"Article 57, sentence 1 lit. (a)\n≈ FINREP: Share premium"]
[null,"1.1.1.4","Other instruments eligible as capital",null,"Article 57, sentence 1 lit.(a).\nSee also Guidelines on Prudential Filters for Regulatory Capital (CEBS, 21.12.2004) due to the application of IAS-type accounting rules.\nThis item includes the instruments eligible as original own funds but classified as debt under the IAS-type accounting rules\n≈ FINREP: Includes amongst others the item \"Other equity:other\" and \"share capital repayable on demand (e.g. cooperative shares)\""]
[null,"1.1.2","Eligible Reserves",null,"1.1.2.1+1.1.2.2+1.1.2.3+1.1.2.4+1.1.2.5+1.1.2.6"]
[null,"1.1.2.1","Reserves",null,"Article 57 sentence 1 lit.(b), including profit and losses brought forward as a result of the application of the final profit or loss.\nArticle 65 (1) lit. (b), (c) and (d) and (2)\n≈ FINREP: Reserve+Revaluation reserves (excludes the valuation differences included in 1.1.2.6)"]
[null,"1.1.2.2","Minority interest",null,"Article 65 (1) lit. (a) and (2).\n≈ FINREP: Minority interest (excludes the valuation differences included in 1.1.2.6)"]
[null,"1.1.2.2*","Of which: Non-innovative instruments subject to limit",null,"See item 1.1.5.2"]
[null,"1.1.2.2**","Of which: Innovative instruments subject to limit",null,"Corresponds to the type of instruments referred to Basel Committee on Banking Supervision' s press release (Sydney, October 1998). See item 1.1.5.3"]
[null,"1.1.2.3","Interim profits",null,"= 1.1.2.3.01+1.1.2.3.02.\nArticle 57, sentence 3 (starting \"For the purposes….\")"]
[null,"1.1.2.3.01","Income (positive) from current year",null,"≈ FINREP: Part of (positive Income from current year - interim dividends), when verified by persons responsible for the auditing of the accounts according to Article 57, sentence 3"]
[null,"1.1.2.3.02","Part of Income (positive) of the current year to be filtered out to valuation differences",null,"Component of the Income (positive) from the current year subject to prudential filter in 1.1.2.6 (1.1.2.6.07 and 1.1.2.6.11)"]
[null,"1.1.2.4a","(-) Material losses of the current financial year",null,"= Min [(1.1.2.4a.01+1.1.2.4a.02); 0] if material according to article 57, sentence 2 lit. (k)"]
[null,"1.1.2.4a.01","Income from current year when it is unaudited",null,"≈ FINREP: (Part of) Income - interim dividends when conditions in Art 57, sentence 3 are not fulfilled and so the amount has not been verified by persons responsible for the auditing of the accounts."]
[null,"1.1.2.4a.02","Part of the unaudited income from the current year to be filtered out to valuation differences",null,"Component of the unaudited Income from current year subject to prudential filter in 1.1.2.6 (1.1.2.6.07 and 1.1.2.6.11)"]
[null,"1.1.2.4b","Interim profits or material losses of the current financial year",null,"= 1.1.2.4b.01+1.1.2.4b.02\nArticle 57, sentence 3 if positive or Article 57, sentence 2 lit (k) if negative"]
[null,"1.1.2.4b.01","(-) Income (negative) from current year",null,"≈ FINREP: Negative Income from current year - interim dividends, when verified by persons responsible for the auditing of the accounts according to Article 57, sentence 3"]
[null,"1.1.2.4b.02","Part of Income (negative) from current year to be filtered out to valuation differences",null,"Component of the Income (negative) from current year subject to prudential filter in 1.1.2.6 (1.1.2.6.07 and 1.1.2.6.11)"]
[null,"1.1.2.5","(-) Net gains from capitalisation of future margin income from securitisations",null,"Article 57, sentence 4"]
[null,"1.1.2.6","Valuation differences eligible as original own funds",null," 1.1.2.6.i ,, i = 01 to 16\nFor reporting purposes all valuation differences must be included in this item. Nevertheless, this does not preclude the whole amount of an item being transferred to additional own funds"]
[null,"1.1.2.6.01","Valuation differences in AFS equities",null,"Includes the cash flow hedges related to AFS equities (see also 1.1.2.6.09).\n≈ FINREP: Respective part of Revaluation reserves (valuation diferences) + Minority interest: revaluation reserves"]
[null,"1.1.2.6.02","Adjustment to Valuation differences in AFS equities",null,"See Guidelines on Prudential Filters for Regulatory Capital (CEBS, 21.12.2004) due to the application of IAS-type accounting rules."]
[null,"1.1.2.6.03","Valuation differences in AFS loans and receivables",null,"Includes the cash flow hedges related to AFS loans and recievables. (see also 1.1.2.6.09).\n≈ FINREP: Respective part of Revaluation reserves (valuation diferences) + Minority interest: revaluation reserves"]
[null,"1.1.2.6.04","Adjustment to Valuation differences in AFS loans and receivables",null,"See Guidelines on Prudential Filters for Regulatory Capital (CEBS, 21.12.2004) due to the application of IAS-type accounting rules."]
[null,"1.1.2.6.05","Valuation differences in other AFS assets",null,"Includes the cash flow hedges related to other AFS assets (see also 1.1.2.6.09). \n≈ FINREP: Respective part of Revaluation reserves (valuation diferences) + Minority interest: revaluation reserves"]
[null,"1.1.2.6.06","Adjustment to Valuation differences in other AFS assets",null,"See Guidelines on Prudential Filters for Regulatory Capital (CEBS, 21.12.2004) due to the application of IAS-type accounting rules."]
[null,"1.1.2.6.07","Valuation differences in FVO financial liabilities (own credit risk)",null,"≈ FINREP: Respective part of Income from current year + Reserves (included retained earnings) + Minority interest: other (relationed to income)"]
[null,"1.1.2.6.08","Adjustment to Valuation differences in FVO financial liabilities (own credit risk)",null,"Article 64, para 4.\nSee Guidelines on Prudential Filters for Regulatory Capital (CEBS, 21.12.2004) due to the application of IAS-type accounting rules.\nFINREP : table 15, fourth column \"Amount of cumulative change in fair values attributable to changes in credit risk\" "]
[null,"1.1.2.6.09","Valuation differences in cash flow hedges not related to AFS assets",null,"In principle cash flow hedges related to AFS assets are excluded. Nevertheless, in case of neutralisation of AFS assets to which the  cash flow hedges are related, these cash flow hedges may be included in this item. \n≈ FINREP: Respective part of Revaluation reserves (valuation diferences) + Minority interest: revaluation reserves"]
[null,"1.1.2.6.10","Adjustment to Valuation differences in cash flow hedges",null,"Article 64, para 4.\nSee Guidelines on Prudential Filters for Regulatory Capital (CEBS, 21.12.2004) due to the application of IAS-type accounting rules."]
[null,"1.1.2.6.11","Valuation differences in investment property",null,"≈ FINREP: Respective part of Income from current year + Reserves (included retained earnings) + Minority interest: other (in relation to income)"]
[null,"1.1.2.6.12","Adjustment to Valuation differences in investment property",null,"See Guidelines on Prudential Filters for Regulatory Capital (CEBS, 21.12.2004) due to the application of IAS-type accounting rules."]
[null,"1.1.2.6.13","Valuation differences in property, plant and equipment",null,"≈ FINREP: Respective part of Revaluation reserves (positive valuation diferences in tangible assets) + Minority interest: revaluation reserves (positive valuation differences in tangible assets)"]
[null,"1.1.2.6.14","Adjustment to Valuation differences in property, plant and equipment",null,"See Guidelines on Prudential Filters for Regulatory Capital (CEBS, 21.12.2004) due to the application of IAS-type accounting rules."]
[null,"1.1.2.6.15","Other valuation differences affecting the eligible reserves",null,"≈ FINREP: Respective part of Revaluation reserves (valuation diferences) + Minority interest: revaluation reserves"]
[null,"1.1.2.6.16","Adjustment to Other valuation differences affecting the eligible reserves",null,"See Guidelines on Prudential Filters for Regulatory Capital (CEBS, 21.12.2004) due to the application of IAS-type accounting rules."]
[null,"1.1.3","Funds for general banking risks",null,"Article 57, sentence 1 lit. (c). When applicable according to accounting rules"]
[null,"1.1.4","Other country specific Original Own Funds",null,"=1.1.4.1+1.1.4.2+1.1.4.3+1.1.4.4"]
[null,"1.1.4.1","Non-innovative instruments subject to limit",null,"See item 1.1.5.2"]
[null,"1.1.4.2","Innovative instruments subject to limit",null,"Corresponds to the type of instruments referred to Basel Committee on Banking Supervision' s press release (Sydney, October 1998). See item 1.1.5.3"]
[null,"1.1.4.3","Positive filter of first time adoption of IAS-type accounting rules",null,"See Guidelines on Prudential Filters for Regulatory Capital (CEBS, 21.12.2004) due to the application of IAS-type accounting rules."]
[null,"1.1.4.4","Other",null,"Includes those prudential filters not listed above that increase the original own funds"]
[null,"1.1.5","(-) Other deductions from Original Own Funds",null,"=1.1.5.1+1.1.5.2+1.1.5.3+1.1.5.4"]
[null,"1.1.5.1","(-) Intangible assets",null,"Article 57, sentence 2 lit. (j)\nIncludes any goodwill not already deducted (first consolidation difference) within 1.1.2.1 Reserves."]
[null,"1.1.5.2","(-) Excess on limits for non innovative instruments",null,"Is the result of the application of the limit on instruments referred to in 1.1.1*, 1.1.2.2* and 1.1.4.1 in relation with item 1.1 following the International Convergence of Capital Measurement and Capital Standards, Basel Committee on Banking Supervision (July 1988)."]
[null,"1.1.5.3","(-) Excess on limits for innovative instruments",null,"Is the result of the application of the limit on instruments referred to 1.1.1**, 1.1.2.2** and 1.1.4.2 in relation with item 1.1 following the Basel Committee on Banking Supervision' s press release (Sydney, October 1998)."]
[null,"1.1.5.4","(-) Other country specific deductions to Original Own Funds",null,"=1.1.5.4.1+1.1.5.4.2"]
[null,"1.1.5.4.1","(-) Negative filter of first time adoption of IAS-type accounting rules",null,"See Guidelines on Prudential Filters for Regulatory Capital (CEBS, 21.12.2004) due to the application of IAS-type accounting rules."]
[null,"1.1.5.4.2","(-) Other",null,"Includes those prudential filters not listed above that reduce the original own funds"]
[null,"1.2","ADDITIONAL OWN FUNDS",null,"Article 66 para. 1 lit. (a). Eligible Tier 2 capital\n=1.2.1+1.2.2+1.2.3"]
[null,"1.2.1","Core Additional Own Funds",null,"Eligible Upper Tier 2 capital.\n=1.2.1.1+1.2.1.2+1.2.1.3+1.2.1.4+1.2.1.5+1.2.1.6+1.2.1.7+1.2.1.8"]
[null,"1.2.1.1","Excess on limits for original own funds transferred to core additional own funds",null,"The excess on limits for original own funds (see items 1.1.5.2 and 1.1.5.3)  that are eligible for inclusion within core additional own funds.\n=1.1.5.2+1.1.5.3"]
[null,"1.2.1.2","Adjustments made to valuation differences in original own funds transferred to core additional own funds\"",null,"Guidelines on Prudential Filters for Regulatory Capital (CEBS, 21.12.2004)\n 1.2.1.2.i ,, i = 01 to 05"]
[null,"1.2.1.2.01","Adjustment to Valuation differences in AFS equities transferred to core additional own funds",null,"See Guidelines on Prudential Filters for Regulatory Capital (CEBS, 21.12.2004) due to the application of IAS-type accounting rules.\nThe amount or part of the amount in 1.1.2.6.02"]
[null,"1.2.1.2.02","Adjustment to Valuation differences in other AFS assets transferred to core additional own funds",null,"See Guidelines on Prudential Filters for Regulatory Capital (CEBS, 21.12.2004) due to the application of IAS-type accounting rules. The amount or part of the amount in 1.1.2.6.06"]
[null,"1.2.1.2.03","Adjustment to Valuation differences in investment property transferred to additional own funds",null,"See Guidelines on Prudential Filters for Regulatory Capital (CEBS, 21.12.2004) due to the application of IAS-type accounting rules. The amount or part of the amount in 1.1.2.6.12"]
[null,"1.2.1.2.04","Adjustment to Valuation differences in property, plant and equipment transferred to additional own funds",null,"See Guidelines on Prudential Filters for Regulatory Capital (CEBS, 21.12.2004) due to the application of IAS-type accounting rules. The amount or part of the amount in 1.1.2.6.14"]
[null,"1.2.1.2.05","Other adjustments to valuation differences affecting the eligible reserves transferred to core additional own funds",null,"See Guidelines on Prudential Filters for Regulatory Capital (CEBS, 21.12.2004) due to the application of IAS-type accounting rules. The amount or part of the amount in 1.1.2.6.16 and any other adjusments not explicitly listed above."]
[null,"1.2.1.3","Revaluation reserves",null,"Article 57, sentence 1 lit. (d), net of valuation differences airising from IAS-type accounting rules which have already been included and filtered within the original own funds, some of them having been transferred to core additional own funds (item 1.2.1.2)"]
[null,"1.2.1.4","Value adjustments for credit risk positions in standardised approach",null,"Art. 57, sentence 1 lit.(e)"]
[null,"1.2.1.5","Other items",null,"Article 57, sentence 1 lit. (f) in conjunction with Article 63 para. (1)"]
[null,"1.2.1.6","Securities of indeterminate duration and other instruments",null,"Article 57, sentence 1 lit. (f) in conjunction with Article 63 para. (2)"]
[null,"1.2.1.7","IRB Provision excess",null,"Article 63 para. (3)"]
[null,"1.2.1.8","Country specific Core Additional Own Funds"]
[null,"1.2.2","Supplementary Additional Own Funds",null,"Article 66  para. 1 lit. (b). Eligible Lower Tier 2 capital.\n=1.2.2.1+1.2.2.2+1.2.2.3+1.2.2.4+1.2.2.5"]
[null,"1.2.2.1","Commitments of the members of credit institutions set up as co-operative societies",null,"Article 57, sentence 1 lit. (g)"]
[null,"1.2.2.2","Fixed-term cumulative preferential shares",null,"Article 57, sentence 1 lit. (h) in conjunction with Article 64 (3), sentence 1"]
[null,"1.2.2.3","Subordinated loan capital",null,"Article 57, sentence 1 lit. (h) in conjunction with Article 64 (3), sentence 2, paying particular attention to letter (c) whose calendar effects have been considered\""]
[null,"1.2.2.4","Country specific Supplementary Additional Own Funds"]
[null,"1.2.2.5","(-) Excess on limits for Supplementary Additional Own Funds",null,"Article 66 (1) lit. (b)"]
[null,"1.2.3","(-) Deductions from Additional Own Funds",null,"=1.2.3.1+1.2.3.2"]
[null,"1.2.3.1","(-) Excess on limits for Additional Own Funds",null,"Article 66 (1) lit. (a). According to the particular rules governing the deductions in 1.2.3.2, the latter may be deducted before calculating the excess on limits for additional own funds."]
[null,"1.2.3.2","(-) Other country-specific deductions to Additional Own Funds"]
[null,"1.3","(-) DEDUCTIONS FROM ORIGINAL AND ADDITIONAL OWN FUNDS",null," 1.3.i ,, i = 1 to 11\nAlso=1.3.T1*+1.3.T2*"]
[null,"\n1.3.T1*","Of which:\n(-) From Original Own Funds",null,"Article 66, para 2.\nDeduction from original own funds (item 1.1) is, at least, 50% of (1.3 less 1.3.11) (see 1.3.T2*). See also item 1.4.\nIn the case of item 1.3.11, the competent authorities may decide to apply deductions from original or additional  own funds in different proportions according to Article 61, paragraph 1."]
[null,"1.3.T2*","(-) From Additional Own Funds",null,"Article 66, para 2. \nWhen 50% of item 1.3 exceeds item 1.2, the excess will also be deducted from item 1.1, so being included in 1.3.T1*. See item 1.5\nIn the case of item 1.3.11, the competent authorities may decide to apply deductions from original or additional  own funds in different proportions according to Article 61, paragraph 1."]
[null,"1.3.1","(-) Holdings in other credit and financial institutions amounting to more than 10% of their capital",null,"Article 66 (1) lit. (c) in conjunction with Article 57 sentence 2 lit. (l)"]
[null,"1.3.2","(-) Subordinated claims and other items in other credit and financial institutions in which holdings exceed 10% of their capital",null,"Article 66 (1) lit. (c) in conjunction with Article 57 sentence 2 lit. (m)"]
[null,"1.3.3","(-) Excess on limit for holdings, subordinated claims and other items in credit and financial institutions in which holdings are up to 10% of their capital",null,"Article 66 (1) lit. (c) in conjunction with Article 57 sentence 2 lit. (n), 1st alternative"]
[null,"1.3.4","(-) Participations hold in insurance undertakings, reinsurance undertakings and insurance holding companies",null,"Article 57, sentence 2 lit. (o)\nIt must be noted that supervisors may not apply deductions referred in this line (see article 59) and apply mutatis mutandis methods 1, 2 or 3 of Annex 1 to Directive 2002/87.\nThe issue as to how credit institutions considered as conglomerate apply for reporting pursposes the joint forum method should be dealt with (further clarification necessary)"]
[null,"1.3.5","(-) Other instruments hold in respect of insurance undertakings, reinsurance undertakings and insurance holding companies in which a participation is maintained",null,"Article 57, sentence 2 lit. (p)\nIt must be noted that supervisors may not apply deductions referred in this line (see article 59) and apply mutatis mutandis methods 1, 2 or 3 of Annex 1 to Directive 2002/87.\nThe issue as how credit institutions considered as conglomerate apply for reporting purposes the joint forum method should be dealt with (further clarification necessarry)"]
[null,"1.3.6","(-) Country-specific deductions from  Original and Additional Own Funds"]
[null,"1.3.LE","Memorandum item:\nOwn Funds relevant for limits to large exposures when additional capital to cover market risks is not used AND for limits to qualifying participating interests",null,"=1.1+(1.2-1.2.1.7)+1.3.1+1.3.2+1.3.3+1.3.4+1.3.5+1.3.6\nNonetheless, if specific local rules are applied for the definition of capital relevant for large exposures or for limits to qualifying participating interests, other components might be taken into account in the formula above."]
[null,"1.3.7","(-) Certain securitisation exposures not included in risk-weighted assets",null,"Article 57, sentence 2 lit (r), unless Article 66, para 2, sentence 3 applies."]
[null,"1.3.8","(-) IRB Provision shortfall",null,"Article 57 sentence 2 lit. (q)"]
[null,"1.3.9","(-) Qualified participating interest in non financial institutions",null,"Article 120, Article 122 (2)"]
[null,"1.3.10","(-) Free deliveries from 5 business days post second contractual payment or delivery leg until extinction of the transaction",null,"Annex II paragraph 2 Table 1a of Directive 93/6"]
[null,"1.3.11","(-) Other country specific deductions from Original and Additional Own Funds",null,"Article 61, paragraph 1\n"]
[null,"1.4","TOTAL ORIGINAL OWN FUNDS FOR GENERAL SOLVENCY PURPOSES",null,"=1.1+1.3.T1*"]
[null,"1.5","TOTAL ADDITIONAL OWN FUNDS FOR GENERAL SOLVENCY PURPOSES",null,"=1.2+1.3.T2*"]
[null,"1.6","TOTAL ADDITIONAL OWN FUNDS SPECIFIC TO COVER MARKET RISKS",null,"Tier 3 capital\n=1.6.1+1.6.2+1.6.3+1.6.4+1.6.5+1.6.6+1.6.7"]
[null,"1.6.1","Excess on limits for additional own funds transferred to additional own funds specific to cover market risks",null,"Directive 93/6 Article 13 para. 5 in conjunction with para. 2 lit. (c). The excess on limits for additional own funds (see items 1.2.3.1)  that is allowed to be eligible for inclusion within additional own funds specific to cover market risks."]
[null,"1.6.2","Net trading book profits",null,"Directive 93/6 Article 13 para. 2 lit. (b). Includes the profit/losses originating from valuation adjustments/reserves as laid down in Annex VII, part B, paragraph 14-14a of Directive 93/6."]
[null,"1.6.3","Short term subordinated loan capital  ",null,"Directive 93/6 Article 13 para. 2 lit. (c)"]
[null,"1.6.4","(-) Illiquid assets",null,"Directive 93/6 Article 13 para. 2 lit. (d)"]
[null,"1.6.5","(-) Excess on limit for Own Funds Specific to Cover Market Risks",null,"Directive 93/6 Article 13, para. 4 in conjunction with Article 14."]
[null,"1.6.LE","Memorandum item:\nTotal own funds relevant for the limits of large exposures when additional capital to cover market risks is used",null,"=1.3.LE+1.3.9+1.3.10+1.6.1+1.6.2+1.6.3+1.6.5\nNonetheless, if specific local rules are applied for the definition of capital relevant for large exposures, other components might be taken into account in the formula above."]
[null,"1.6.6","(-) Country specific deductions from Own Funds Specific to Cover Market Risks",null,"For instance, capital amounts for backing any overshooting of the large exposure limits in the trading book\nDirective 93/6 Art. 31 lit (b)"]
[null,"1.6.7","(-) Unused but eligible Own Funds Specific to Cover Market Risks",null,"Directive 93/6 Article 13, para.2\n=-Max[1.6.1+1.6.2+1.6.3+1.6.4+1.6.5+1.6.6-2.3 ; 0]"]
[null,"1.7","(-) DEDUCTIONS FROM TOTAL OWN FUNDS",null,"=1.7.1+1.7.2"]
[null,"1.7.1","Country specific deductions from total own funds",null,"Country specific deductions from own funds not allocated to original, additional or addtional to cover market risks own funds"]
[null,"1.7.2","Participations in insurance undertakings",null,"Transitional treatment under article 154 paragraph 1b"]
[null,"1.8\n1.8.1","MEMORANDUM ITEMS:\nIRB provision excess (+) / shortfall (-)",null,"\n=1.8.1.1+1.8.1.2"]
[null,"1.8.1.1","Amount of provisions for IRB"]
[null,"\n1.8.1.1*","Of which:\n      General provision / Collective impairment"]
[null,"1.8.1.1**","Specific provision / Individual Impairment"]
[null,"1.8.1.1***","Credit revaluation reserves"]
[null,"1.8.1.2","(-) IRB measurement of expected losses"]
[null,"1.8.2","Gross amount of subordinated loan capital",null,"Without taking into account the reduction in the eligible amount during the five years before repayment. Art. 64, para 3 (c)"]
[null,"1.8.3","Minimum initial capital required",null,"Article 9, 10(2) and 10(4) of Directive 2000/12 and articles  5(1), 5(3), 6, 9, 10(1) and 10(3) of Directive 93/6."]
[]
[null,2,"CAPITAL REQUIREMENTS",null," =2.1+2.2+2.3+2.4+2.5+2.6\nFor investment firms under article 20(2) and 24 of Directive 93/6 = Max [2.1+2.2+2.3+2.6, 2.5]\nFor investment firms under article 20(3) and 25 of Directive 93/6 = 2.1+2.2+2.3+2.5+2.6\nFor investment firms under article 45b of Directive 93/6 = Min[2.4,(12/88)*max(2.1+2.2+2.3, 2.5)] plus, if applicable, an incremental increase + 2.6"]
[null,"2a","Of which: Investment firms under article 20(2) and 24",null,"For investment firms under article 20(2) and 24 of Directive 93/6 = Max [2.1+2.2+2.3+2.6, 2.5]"]
[null,"2b","Of which: Investment firms under article 20(3) and 25",null,"For investment firms under article 20(3) and 25 of Directive 93/6 = 2.1+2.2+2.3+2.5+2.6"]
[null,"2c","Of which: Investment firms under article 45b",null,"For investment firms under article 45b, paragraphs 1 to 3 of Directive 93/6 = Min[2.4,(12/88)*max(2.1+2.2+2.3, 2.5)] plus, if applicable, an incremental increase + 2.6"]
[null,"2.1","TOTAL CAPITAL REQUIREMENTS FOR CREDIT, COUNTERPARTY CREDIT, DILUTION AND DELIVERY RISKS",null,"=2.1.1+2.1.2"]
[null,"2.1.1","Standardised approach (SA)",null,"CR SA template at the level of total exposures.\n =2.1.1.1a or 2.1.1.1b+2.1.1.2\n2.1.1.1a. or 2.1.1.1b because national supervisors may alternatively require to apply the IRB exposure classes referred to in Art. 86, para 1 for reporting the credit risk standardised approach (e.g. in case of simoultaneous application of stardard and IRB approaches)."]
[null,"2.1.1.1a","SA exposure classes excluding securitization positions",null,"CR SA template at the level of total exposures.\nThe SA exposure classes are those mentioned in Art. 79, para 1, excluding securitisation positions.\n 2.1.1.1.ia , i = 1 to 15"]
[null,"2.1.1.1a.01","Central governments or central banks",null,"CR SA. Claims or contingent claims"]
[null,"2.1.1.1a.02","Regional governments or local authorities",null,"CR SA. Claims or contingent claims"]
[null,"2.1.1.1a.03","Administrative bodies and non-comercial undertakings",null,"CR SA. Claims or contingent claims"]
[null,"2.1.1.1a.04","Multilateral Developments Banks",null,"CR SA. Claims or contingent claims"]
[null,"2.1.1.1a.05","International Organisations",null,"CR SA. Claims or contingent claims"]
[null,"2.1.1.1a.06","Institutions",null,"CR SA. Claims or contingent claims"]
[null,"2.1.1.1a.07","Corporates",null,"CR SA. Claims or contingent claims"]
[null,"2.1.1.1a.08","Retail",null,"CR SA. Claims or contingent claims"]
[null,"2.1.1.1a.09","Secured by real estate property",null,"CR SA. Claims or contingent claims"]
[null,"2.1.1.1a.10","Past due items",null,"CR SA. Claims or contingent claims"]
[null,"2.1.1.1a.11","Items belongning to regulatory high-risk categories",null,"CR SA. Claims or contingent claims"]
[null,"2.1.1.1a.12","Covered bonds",null,"CR SA. Claims"]
[null,"2.1.1.1a.13","Short-term claims on institutions and corporate",null,"CR SA."]
[null,"2.1.1.1a.14","Collective investments undertakings (CIU)",null,"CR SA. Claims"]
[null,"2.1.1.1a.15","Other items",null,"CR SA"]
[null,"2.1.1.1b","IRB exposure classes excluding securitization positions",null,"CR SA template at the level of total exposures+2.1.1.1.06b\n 2.1.1.1.ib, i = 1 to 6\nSee comment to item 2.1.1. For the mapping of SA into IRB  exposures classes particular attention may be paid to paragraphs 2, 3, 5, 6, 8 and 9 of Art. 86 and paragraphs 11 and 12 of Art. 87."]
[null,"2.1.1.1b.01","Central governments and central banks",null,"CR SA. Claims or contingent claims"]
[null,"2.1.1.1b.02","Institutions",null,"CR SA. Claims or contingent claims"]
[null,"2.1.1.1b.03","Corporates",null,"CR SA. Claims or contingent claims"]
[null,"2.1.1.1b.04","Retail",null,"CR SA. Claims or contingent claims"]
[null,"2.1.1.1b.05","Equity",null,"CR SA. Claims or contingent claims"]
[null,"2.1.1.1b.06","Other non-credit obligation assets",null,"No link. In principle the capital requirement will be the 8% of the exposure to non credit-obligation assets (see annex 7 part 3 paragraph 15 of Directive 2000/12 and annex 7 part 1 paragraph 25)."]
[null,"2.1.1.2","Securitization positions SA",null,"CR SEC SA"]
[null,"2.1.2","Internal ratings based Approach (IRB)",null,"=2.1.2.1+2.1.2.2+2.1.2.3+2.1.2.4+2.1.2.5"]
[null,"2.1.2.1","IRB approaches when neither own estimates of LGD nor Conversion Factors are used",null,"CR IRB"]
[null,"2.1.2.1.01","Central governments and central banks",null,"CR IRB"]
[null,"2.1.2.1.02","Institutions",null,"CR IRB"]
[null,"2.1.2.1.03","Corporates",null,"CR IRB"]
[null,"2.1.2.2","IRB approaches when own estimates of LGD and/or Conversion Factors are used",null,"CR IRB"]
[null,"2.1.2.2.01","Central governments and central banks",null,"CR IRB"]
[null,"2.1.2.2.02","Institutions",null,"CR IRB"]
[null,"2.1.2.2.03","Corporates",null,"CR IRB"]
[null,"2.1.2.2.04","Retail",null,"CR IRB"]
[null,"2.1.2.3","Equity IRB",null,"CR EQU IRB"]
[null,"2.1.2.4","Securitization positions IRB",null,"CR SEC IRB"]
[null,"2.1.2.5","Other non credit-obligation assets",null,"No link. In principle the capital requirement will be the 8% of the exposure to non credit-obligation assets."]
[null,"2.2","SETTLEMENT RISK",null,"CR TB SETT"]
[null,"2.3","TOTAL CAPITAL REQUIREMENTS FOR POSITION, FOREIGN EXCHANGE AND COMMODITY RISKS",null,"=2.3.1+2.3.2"]
[null,"2.3.1","Position, foreign exchange and commodity risks under standardised approaches (SA)",null,"=2.3.1.1+2.3.1.2+2.3.1.3+2.3.1.4"]
[null,"2.3.1.1","Traded debt instruments",null,"MKR SA TDI"]
[null,"2.3.1.2","Equity",null,"MKR SA EQU"]
[null,"2.3.1.3","Foreign Exchange",null,"MKR SA FX"]
[null,"2.3.1.4","Commodities",null,"MKR SA COM"]
[null,"2.3.2","Position, foreign exchange and commodity risks under internal models (IM)",null,"=MKR IM"]
[null,"2.4","TOTAL CAPITAL REQUIREMENTS FOR OPERATIONAL RISKS (OpR )",null,"=2.4.1+2.4.2+2.4.3\nFor investment firms under article 20(2), 24, 20(3) and 25 this element will be zero."]
[null,"2.4.1","OpR Basic indicator approach",null,"See OPR"]
[null,"2.4.2","OpR Standardised (STA) / Alternative Standardised (ASA) approaches",null,"See OPR"]
[null,"2.4.3","OpR Advanced measurement approaches",null,"See OPR"]
[null,"2.5","CAPITAL REQUIREMENTS RELATED TO FIXED OVERHEADS",null,"Only for investment firms under articles 20(2), 24, 20(3), 25 and 45b of Directive 93/6. See also article 21 of Directive 93/6."]
[null,"2.6","OTHER AND TRANSITIONAL CAPITAL REQUIREMENTS",null,"=2.6.1+2.6.2+2.6.3"]
[null,"2.6.1","Complements to overall floor for Capital Requirements",null,"Includes complements to capital requirements stemming from provisions in article 152 of Directive 2000/12\nWithout link to any template. ³ 0"]
[null,"2.6.2","Complement to capital requirements for investment firms under article 45(b)",null,"For investment firms under article 45b, the amount referred to in paragraph 4 (starting \"Applying this ….\") of article 45b of Directive 93/6. "]
[null,"2.6.3","Other country specific own funds requirements",null,"Without link to any template. To introduce national flexibility."]
[null,"3","MEMORANDUM ITEMS:"]
[null,"3.1","Surplus (+) / Deficit (-) of own funds, before other and transitional capital requirements",null,"=1-(2-2.6)"]
[null,"3.1.a","Solvency ratio (%), before other and transitional capital requirements",null,"=1/(2-2.6)*8%"]
[null,"3.2","Surplus (+) / Deficit (-) of own funds",null,"=1-2"]
[null,"3.2.a","Solvency ratio (%) ",null,"=1/2*8% "]
[null,"3.3","Surplus (+) / Deficit (-) of own funds taking into account the supervisory review process",null,"Includes the effect of the review and evaluation performed by competent authorities as indicated in article 124 and annex XI of Directive 2000/12. Accordingly it takes into account the specific own funds requirements laid down in paragraph 2 of article 136 of Directive 2000/12."]
[null,"3.3.a","Solvency index ratio (%) taking into account the supervisory review process",null,"Total own funds for solvency purposes/ capital requirements* 100%.\nBoth figures are those used for assessing the surplus (+) / deficit (-) in 3.3"]
[null,"3.4","Internal assessment Surplus (+) / Deficit (-) of capital",null,"=3.3.1-3.3.2"]
[null,"3.4.1","Internal assessment of capital",null,"Article 123 of Directive 2000/12"]
[null,"3.4.2","Internal assessment of capital needs",null,"Article 123 of Directive 2000/12"]
[null,"(a) Convention on signs: Any amount that increases the own funds or the capital requirements will be reported as a positive figure. On the contrary, any amount that reduces the total own funds or the capital requirements will be reported as a negative figure. Where there is a negative sign (-) preceding the label of an item no positive figure is expected to be reported for that item."]

{"sheet":"GROUP Solvency Details","index":3,"n_rows":19,"n_cols":13,"rows_kept":19,"hidden":true,"merged":[[3,1,3,2],[3,8,4,8],[3,9,4,9],[3,11,4,11],[3,12,4,12]],"flags":["formulas_cached_only"]}
[]
[null,"GROUP Solvency Details",{"$nulls":3},"GROUP SOLVENCY DETAILS: INFORMATION ON AFFILIATES"]
[]
[null,"CONSOLIDATED SUB-GROUPS AND REGULATED ENTITIES",{"$nulls":6},"CAPITAL REQUIREMENTS","TOTAL OWN FUNDS FOR SOLVENCY PURPOSES",null,"SURPLUS (+) / DEFICIT (-) OF OWN FUNDS","SURPLUS (+) / DEFICIT (-) OF OWN FUNDS TAKING INTO ACCOUNT THE SUPERVISORY REVIEW PROCESS"]
[null,"NAME","CODE","Total capital Requirements for credit, counterparty credit, dilution and delivery risks","Settlement risk","Total capital requirements for position, FX and commodity risks","Operational risk","Other and transitional capital requirements",null,null,"OF WHICH:\nTOTAL ORIGINAL OWN FUNDS FOR GENERAL SOLVENCY PURPOSES"]
[null,1,2,3,4,5,6,7,8,9,10,"11=9-8",12]
{"$rows_empty":12}
[null,"..."]

{"sheet":"GROUP Solvency Details Ref list","index":4,"n_rows":18,"n_cols":4,"rows_kept":18,"hidden":true,"merged":[[4,1,4,3]],"flags":["formulas_cached_only"]}
[]
[null,"GROUP Solvency Details"]
[]
[null,"ID","Label","Legal references & Comments"]
[null,"COLUMNS"]
[null,null,"CONSOLIDATED SUB-GROUPS AND REGULATED ENTITIES","This template is mainly designed to gather information on the credit and other regulated financial institutions and subconsolidated subgroups which, being within the scope of application of the consolidation (Article 133, paragraphs 1 and 2, and Article 134), are effectively subject to solvency  requirements on individual or subconsolidated basis. Accordingly, those subsidiaries under article 69 of Directive 2000/12 are excluded, although ecah supervisor may decide to extend the application of this template to any financial institution. \nIn the case of proportional consolidation of participations the figures related to capital requirements and own funds will reflect the respective proportional amounts"]
[null,{"v":1,"d":"1.00"},"Name","Name of the consolidated sub group or regulated entity"]
[null,{"v":2,"d":"2.00"},"Code","Code assigned to the consolidated sub group or regulated entity"]
[null,{"v":3,"d":"3.00"},"Total capital Requirements for credit, counterparty credit, dilution and delivery risks","See CA template"]
[null,{"v":4,"d":"4.00"},"Settlement risk","See CA template"]
[null,{"v":5,"d":"5.00"},"Total capital requirements for position, FX and commodity risks","See CA template"]
[null,{"v":6,"d":"6.00"},"Operational risk","See CA template"]
[null,{"v":7,"d":"7.00"},"Other and transitional capital requirements","See CA template"]
[null,{"v":8,"d":"8.00"},"Capital requirements","See CA template"]
[null,{"v":9,"d":"9.00"},"Total own funds for solvency purposes","See CA template"]
[null,{"v":10,"d":"10.00"},"Of which: total own original funds for general solvency purposes","See CA template"]
[null,{"v":11,"d":"11.00"},"Surplus (+) / deficit (-) of own funds","See CA template"]
[null,{"v":12,"d":"12.00"},"Surplus (+) / deficit (-) of own funds taking into account the supervisory review process","See CA template"]

{"sheet":"CR SA","index":5,"n_rows":36,"n_cols":24,"rows_kept":36,"hidden":true,"merged":[[2,1,2,2],[2,4,2,5],[4,2,4,3],[4,4,7,4],[4,5,7,5],[4,6,4,11],[4,12,7,12],[4,13,4,15],[4,16,7,16],[4,17,4,20],[4,21,7,21],[4,22,7,22],[4,23,7,23],[5,3,7,3],[5,6,5,7],[5,8,5,9],[5,10,5,11],[5,13,7,13],[5,14,7,14],[5,17,7,17],[5,18,7,18],[5,19,7,19],[5,20,7,20],[6,6,7,6],[6,7,7,7],[6,8,7,8],[6,9,7,9],[6,10,7,10],[6,11,7,11],[6,15,7,15],[10,1,10,23],[16,1,16,23],[35,1,35,23]],"flags":["formulas_cached_only"]}
[]
[null,"CR SA","CREDIT, COUNTERPARTY CREDIT AND DELIVERY RISKS: STANDARDISED APPROACH TO CAPITAL REQUIREMENTS"]
[null," SA Exposure class / IRB Exposure class:"]
[]
[null,null,"ORIGINAL EXPOSURE PRE CONVERSION FACTORS",null,"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",{"$nulls":5},"NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS","CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE AMOUNT OF THE EXPOSURE: FUNDED CREDIT PROTECTION. FINANCIAL COLLATERAL COMPREHENSIVE METHOD ",null,null,"FULLY ADJUSTED EXPOSURE VALUE (E*)","BREAKDOWN OF THE FULLY ADJUSTED EXPOSURE OF OFF-BALANCE SHEET ITEMS BY CONVERSION FACTORS",{"$nulls":3},"EXPOSURE VALUE ","RISK WEIGHTED EXPOSURE AMOUNT","CAPITAL REQUIREMENTS"]
[{"$nulls":3},"OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK",null,null,"UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (Ga)",null,"FUNDED CREDIT PROTECTION",null,"SUBSTITUTION OF THE EXPOSURE DUE TO CRM",null,null,"VOLATILITY ADJUSTMENT TO THE EXPOSURE ","FINANCIAL COLLATERAL: ADJUSTED VALUE (Cvam)\n(-)",null,null,{"v":0,"d":"0%"},{"v":0.2,"d":"20%"},{"v":0.5,"d":"50%"},{"v":1,"d":"100%"}]
[{"$nulls":6},"GUARANTEES","CREDIT DERIVATIVES","FINANCIAL COLLATERAL: SIMPLE METHOD","OTHER FUNDED CREDIT PROTECTION","TOTAL OUTFLOWS (-)","TOTAL INFLOWS",{"$nulls":3},"VOLATILITY AND MATURITY ADJUSTMENTS (-)"]
[]
[null,null,1,2,3,"4=1+3",5,6,7,8,9,10,"11=4+9+10",12,13,14,"15=11+12+13",16,17,18,19,"20=15-16-0,8*17-0,5*18",21,22]
[null,"TOTAL EXPOSURES",{"$nulls":21},"CELL LINKED TO CA TEMPLATE"]
[null,"  BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:"]
[null,"  On balance sheet items"]
[null,"  Off balance sheet items"]
[null,"  Securities Financing Transactions & Long Settlement Transactions"]
[null,"  Derivatives"]
[null,"  From Contractual Cross Product Netting"]
[null,"  BREAKDOWN OF TOTAL EXPOSURES BY RISK WEIGHTS:"]
[null,"\n0%"]
[null,{"v":0.1,"d":"0.10"}]
[null,{"v":0.2,"d":"0.20"}]
[null,0.35]
[null,{"v":0.5,"d":"0.50"}]
[null,"of which:                past due (a)"]
[null,"without credit assessment by a nominated ECAI (a)"]
[null,"secured by commercial real estate(a)"]
[null,0.75]
[null,{"v":1,"d":"1.00"}]
[null,"of which:                 past due (a)"]
[null,"without credit assessment by a nominated ECAI (a)"]
[null,"secured by real estate (a)"]
[null,{"v":1.5,"d":"1.50"}]
[null,"of which:                 past due (a)"]
[null,{"v":2,"d":"2.00"}]
[null,"Other risk weights"]
[]
[null,"(a) These rows would be applicable if the Institution reports the data for the IRB exposure classes and for the Total exposure class."]

{"sheet":"CR SA Ref list","index":6,"n_rows":55,"n_cols":4,"rows_kept":55,"hidden":true,"merged":[[4,1,4,3],[16,3,18,3],[29,1,29,3],[40,1,40,3]],"flags":["formulas_cached_only"]}
[]
["CR SA"]
[]
[null,"ID","Label","Legal References & Comments"]
[null,"COLUMNS"]
[null,{"v":1,"d":"1.00"},"Original exposure pre conversion factors","Article 74 paragraph 1 of Directive 2000/12. Exposure value without taking into account value adjustments and provisions, conversion factors and the effect of credit risk mitigation techniques with the following qualifications stemming from article 78 paragraph 2 of Directive 2000/12:\nFor Derivative instruments, repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions subject to annex 3 of Directive 2000/12,  the original exposure will correspond to the Exposure Value for Counterparty Credit Risk calculated according to the methods laid down in annex 3 parts 3, 4, 5, 6 and 7 of Directive 2000/12.\nIn the case of master netting agreements covering repurchase transactions and / or securities or commodities lending or borrowing transactions and/ or other capital market driven transactions subject to annex 8 of Directive 2000/12, the effect of Funded Credit Protection in the form of master netting agreements as under annex 8 part 3 paragraph 23 shall be included ."]
[null,{"v":2,"d":"2.00"},"Of which: Arising from Counterparty Credit Risk","For Derivative instruments, repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions subject to annex 3 of Directive 2000/12,  the original exposure will correspond to the Exposure Value for Counterparty Credit Risk calculated according to the methods laid down in annex 3 parts 3, 4, 5, 6 and 7 of Directive 2000/12."]
[null,{"v":3,"d":"3.00"},"Value adjustments and provision associated with the original exposure (-)","Value adjustment and provisions included in the corresponding accounting framework (Directive 86/635 or Regulation 1606/2002) that affect the valuation of assets and off-balance sheet items according to article 74 paragraph 1 of Directive 2000/12. "]
[null,{"v":4,"d":"4.00"},"Exposure net of value adjustments and provisions","Columns 1-3"]
[null,"5-10","CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE","Credit risk mitigation techniques as defined in article 4 (30) of Directive 2000/12 that reduce the credit risk of an exposure or exposures via the substitution of exposures as defined below in Inflows and Outflows."]
[null,"5-6","Unfunded credit protection: adjusted values (Ga)","Annex 8 part 3 paragraph 88 of Directive 2000/12."]
[null,{"v":5,"d":"5.00"},"Guarantees","Unfunded Credit Protection as defined in article 4 (32) of Directive 2000/12 different from Credit Derivatives"]
[null,{"v":6,"d":"6.00"},"Credit derivatives","Annex 8 part 1 paragraph 29 and 30 of Directive 2000/12."]
[null,"7-8","Funded credit protection","Article 4 definition 31 in Directive 2000/12 and annex VIII part 1 paragraphs 3, 4, 7 to 10, 23, 24, 25, therefore excluding master netting agreements (already included in Original Exposure pre conversion factors). Credit linked Notes and on -balance sheet netting according to Annex 8 Part 3 are treated as cash collateral."]
[null,{"v":7,"d":"7.00"},"Financial collateral: simple method","Annex 8 part 3 paragraphs 25 and 26 of Directive 2000/12."]
[null,{"v":8,"d":"8.00"},"Other funded credit protection","Annex 8 part 3 paragraph 80-83 of Directive 2000/12."]
[null,"9-10","SUBSTITUTION OF THE EXPOSURE DUE TO CRM","Annex 8 part 3 paragraph 27, 88, 89 of Directive 2000/12. Outflows correspond to the covered part of the EXPOSURE NET OF VALUE ADJUSTMENTS AND PROVISIONS, that is deducted from the obligor's exposure class and, when relevant, risk weight or obligor grade, and subsequently assigned to the protection provider's exposure class and, when relevant, risk weight or obligor grade. This amount will be considered as an Inflow into the protection provider's exposure class and, when relevant, risk weights or obligor grades.\nInflows and outflows within the same exposure classes and, when relevant,  risk weights or obligor grades should also be reported."]
[null,{"v":9,"d":"9.00"},"Outflows (-)"]
[null,{"v":10,"d":"10.00"},"Inflows (+)"]
[null,{"v":11,"d":"11.00"},"NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS","Exposure assigned in the corresponding risk weight and exposure class after taking into account outflows and inflows due to CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE"]
[null,"12-14","CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE AMOUNT OF THE EXPOSURE: FUNDED CREDIT PROTECTION. FINANCIAL COLLATERAL COMPREHENSIVE METHOD ","Annex 8 part 3 paragraph 31 to 60 of Directive 2000/12. It also includes credit linked notes (Annex 8 part 3 paragraph 3 of Directive 2000/12)"]
[null,{"v":12,"d":"12.00"},"Volatility adjustment to the exposure (+)","Annex 8 part 3 paragraph 34 of Directive 2000/12. The amount to be reported is given by the impact of  the volatility adjustment to the exposure (Eva-E) = E*He"]
[null,{"v":13,"d":"13.00"},"Financial collateral: adjusted value (Cvam)","Annex 8 part 4 paragraph 7 of Directive 2000/12. For trading book operations includes financial collateral and commodities eligible for trading book exposures according to annex 2 paragraph 8 of Directive 93/6. The amount to be reported corresponds to Cvam= C*(1-Hc-Hfx)*(t-t*)/(T-t*), where for a definition of C, Hc, Hfx, t, T and t* see annex 8 parts 3 and 4 of Directive 2000/12."]
[null,{"v":14,"d":"14.00"},"VOLATILITY AND MATURITY ADJUSTMENTS","Annex 8 part 3 paragraph 31, 32, 33 of Directive 2000/12 and annex 8 part 4 paragraph 7 of Directive 2000/12. The amount to be reported is the joint impact of volatility and maturity adjustments (Cvam-C) = C*[(1-Hc-Hfx)*(t-t*)/(T-t*)-1], where the impact of volatility adjustment is (Cva-C) = C*[(1-Hc-Hfx)-1] and the impact of maturity adjustments is (Cvam-Cva)= C*(1-Hc-Hfx)*[(t-t*)/(T-t*)-1]"]
[null,{"v":15,"d":"15.00"},"Fully adjusted exposure value (E*)","Annex 8 part 3 paragraphs 23, 34 and 61 of Directive 2000/12."]
[null,"16-19","Breakdown of the fully adjusted exposure of off-balance sheet items by conversion factors","Article 78 paragraph 1 of Directive 2000/12 and article 4 definition 28. See also annex 8 part 3 paragraph 61 of Directive 2000/12."]
[null,{"v":20,"d":"20.00"},"Exposure value","Annex 8 part 3 of Directive 2000/12. Exposure value after taking into account value adjustments, all credit risk mitigants and credit conversion factors that is to be assigned to risk weights according to article 80 and annex VI Part 1 of Directive 200/12"]
[null,{"v":21,"d":"21.00"},"Risk weighted exposure amount","Article 80 paragraphs 1 and 2 of Directive 2000/12. "]
[null,{"v":22,"d":"22.00"},"Capital requirements","Article 75 and 78 to 83 of Directive 2000/12"]
[null,"ROWS"]
[null,null,"On-balance sheet items","Assets referred to in article 74 of Directive 2000/12 not included in any other category"]
[null,null,"Off-balance sheet items","Items included in annex 2 of Directive 2000/12 except those included as Securities Financing Transactions & Long Settlement Transactions or from Contractual Cross Product Netting"]
[null,null,"Securities Financing Transactions & Long Settlement Transactions","Securities Financing Transactions (SFT), as defined in paragraph 17 of the Basle Committe document \"The Application of Basel II to Trading Activities and the Treatment of Double Default Effects\", includes: (i) Repurchase and reverse repurchase agreements as well as securities or commodities lending and borrowing transactions as defined in article 3 paragraphs (m) and (n) of Directive 93/6; (ii) margin lending transactions as defined in part 1 of annex 3 of Directive 2000/12.\nLong Settlement Transactions as defined in part 1 of annex 3 of Directive 2000/12."]
[null,null,"Derivatives","Items included in Annex 4 of Directive 2000/12"]
[null,null,"From Contractual Cross Product Netting","Exposures that due to the existence of a contractual cross product netting (as defined in part 1 of annex 3 of Directive 2000/12) can not be assigned to either Derivatives or Securities Financing Transactions & Long Settlement Transactions will be included under this category. "]
[null,null,"Of which: past due","Article 79 paragraph 1.j) of Directive 2000/12."]
[null,null,"Without credit assessment by a nominated ECAI","See article 81 for and annex 6 of Directive 2000/12"]
[null,null,"Secured by real estate","Exposures under article 79 paragraph 1.i) of Directive 2000/12 that are subject to a 100% risk weight."]
[null,null,"Secured by commercial real estate","Annex 6 Part 1 paragraphs 48-57 of Directive 2000/12"]
[null,null,"Other risk weights","For reporting those exposures not subject to the risk weights listed in the template, as a result of national discretion. Countries may require a further breakdown of this line."]
[null,"OTHER"]
[null,null,"SA EXPOSURE CLASSES","SA exposure classes will comprise those in article 79 (1) plus the \"Total\".\nIn principle, for Institutions applying the Standardized Approach (SA) to all their exposures subject to minimum own funds requirements for credit risk, the SA exposure classes breakdown will apply. "]
[null,null,"IRB  EXPOSURE CLASSES"," IRB exposure classes will comprise those cited below plus the \"Total\". In principle, for Institutions applying only to part of their exposures the SA, the IRB exposure classes' breakdown will apply."]
[null,null,"CENTRAL GOVERNMENT AND CENTRAL BANKS","Article 86 of Directive 2000/12"]
[null,null,"INSTITUTIONS","Article 86 of Directive 2000/12"]
[null,null,"OF WHICH: CREDIT INSTITUTIONS & INVESTMENT FIRMS","For a definition of credit institution see article 4 definition 1 of Directive 2000/12. For Investment firm see article 3 definition 1(b) of Directive 93/6"]
[null,null,"CORPORATE","Article 86 of Directive 2000/12"]
[null,null,"OF WHICH: SPECIALIZED LENDING","Article 86 paragraph 6 of Directive 2000/12"]
[null,null,"                   SME","SME stands for companies for which the criteria in annex 7 part 1 paragraph 4 of Directive 2000/12 for size adjustment are satisfied. Includes those exposures falling under annex 7 part 1 paragraph 9a of Directive 2000/12."]
[null,null,"RETAIL","Article 86 of Directive 2000/12"]
[null,null,"SECURED BY REAL ESTATE","Annex 7 part 1 paragraphs 9 to 14 of Directive 2000/12."]
[null,null,"QUALIFYING REVOLVING","Annex 7 part 1 paragraphs 9 to 14 of Directive 2000/12."]
[null,null,"OTHER RETAIL","Annex 7 part 1 paragraphs 9 to 14 of Directive 2000/12."]
[null,null,"OF WHICH: SME","Article 86 paragraph 4 (a) of Directive 2000/12. Excludes those exposures falling under annex 7 part 1 paragraph 9a of Directive 2000/12."]
[null,null,"EQUITY","Article 86 of Directive 2000/12"]

{"sheet":"CR IRB","index":7,"n_rows":41,"n_cols":29,"rows_kept":41,"hidden":true,"merged":[[3,5,3,6],[4,5,4,6],[7,2,8,2],[7,3,8,4],[7,10,11,10],[7,12,11,12],[7,14,7,20],[7,22,11,22],[7,23,11,23],[7,24,11,24],[7,25,11,25],[7,26,7,28],[8,5,8,6],[8,7,11,7],[8,14,8,15],[8,16,8,20],[8,21,11,21],[8,26,11,26],[8,27,11,27],[8,28,11,28],[9,2,11,2],[9,3,11,3],[9,4,11,4],[9,5,11,5],[9,6,11,6],[9,8,11,8],[9,9,11,9],[9,11,11,11],[9,13,11,13],[9,14,11,14],[9,15,11,15],[9,16,11,16],[9,17,11,17],[10,1,11,1],[10,18,11,18],[10,19,11,19],[10,20,11,20],[14,1,14,28],[21,1,21,28],[22,21,25,21],[27,1,27,28],[38,1,38,28],[39,1,39,28]],"flags":["formulas_cached_only"]}
[]
[null,"CR IRB","CREDIT, COUNTERPARTY CREDIT AND DELIVERY RISKS: IRB APPROACH TO CAPITAL REQUIREMENTS"]
[]
[null,"IRB Exposure class:"]
[null,"Own estimates of LGD and/or conversion factors:"]
[]
[]
[null,null,"INTERNAL RATING SYSTEM","ORIGINAL EXPOSURE PRE CONVERSION FACTORS",null,"CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE",{"$nulls":4},"EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS",null,"EXPOSURE VALUE",null,"CREDIT RISK MITIGATION TECHNIQUES TAKEN INTO ACCOUNT IN LGD ESTIMATES EXCLUDING DOUBLE DEFAULT TREATMENT",{"$nulls":6},"SUBJECT TO DOUBLE DEFAULT TREATMENT","EXPOSURE WEIGHTED AVERAGE LGD (%)","EXPOSURE-WEIGHTED AVERAGE MATURITY VALUE (DAYS)","RISK WEIGHTED EXPOSURE AMOUNT","CAPITAL REQUIREMENTS","MEMORANDUM ITEMS:"]
[{"$nulls":5},"UNFUNDED CREDIT PROTECTION",null,"OTHER FUNDED CREDIT PROTECTION","SUBSTITUTION OF THE EXPOSURE DUE TO CRM",{"$nulls":5},"OWN ESTIMATES OF LGD'S ARE USED:\nUNFUNDED CREDIT PROTECTION",null,"FUNDED CREDIT PROTECTION",{"$nulls":4},"UNFUNDED CREDIT PROTECTION",{"$nulls":4},"EXPECTED LOSS AMOUNT","VALUE ADJUSTMENTS AND PROVISIONS","NUMBER OF OBLIGORS"]
[null,null,"PD ASSIGNED TO THE OBLIGOR GRADE OR POOL\n(%)",null,"OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK","GUARANTEES","CREDIT DERIVATIVES",null,"TOTAL OUTFLOWS\n(-)","TOTAL INFLOWS",null,"OF WHICH: OFF BALANCE SHEET ITEMS",null,"OF WHICH: OFF BALANCE SHEET ITEMS","GUARANTEES","CREDIT DERIVATIVES","OWN ESTIMATES OF LGD'S ARE USED:\nOTHER FUNDED CREDIT PROTECTION","ELIGIBLE FINANCIAL COLLATERAL","OTHER ELIGIBLE COLLATERAL"]
[{"$nulls":18},"REAL ESTATE","OTHER PHYSICAL COLLATERAL ","RECEIVABLES"]
[]
[null,null,{"v":1,"d":"1.00"},{"v":2,"d":"2.00"},{"v":3,"d":"3.00"},{"v":4,"d":"4.00"},{"v":5,"d":"5.00"},{"v":6,"d":"6.00"},{"v":7,"d":"7.00"},{"v":8,"d":"8.00"},"9=2+7+8",{"v":10,"d":"10.00"},{"v":11,"d":"11.00"},{"v":12,"d":"12.00"},{"v":13,"d":"13.00"},{"v":14,"d":"14.00"},{"v":15,"d":"15.00"},{"v":16,"d":"16.00"},{"v":17,"d":"17.00"},{"v":18,"d":"18.00"},{"v":19,"d":"19.00"},{"v":20,"d":"20.00"},{"v":21,"d":"21.00"},{"v":22,"d":"22.00"},{"v":23,"d":"23.00"},{"v":24,"d":"24.00"},{"v":25,"d":"25.00"},{"v":26,"d":"26.00"},{"v":27,"d":"27.00"}]
[null,"1. TOTAL EXPOSURES",{"$nulls":23},"CELL LINKED TO CA TEMPLATE"]
[null," BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:"]
[null,"On balance sheet items"]
[null,"Off balance sheet items"]
[null,"Securities Financing Transactions & Long Settlement Transactions"]
[null,"Derivatives"]
[null,"From Contractual Cross Product Netting"]
[null,"1.1 EXPOSURES ASSIGNED TO OBLIGOR GRADES: TOTAL"]
[null,"BREAKDOWN OF TOTAL EXPOSURES ASSIGNED TO OBLIGOR GRADES OR POOLS:"]
[null,"OBLIGOR GRADE OR POOL(a):1"]
[null,{"v":2,"d":"2.00"}]
[null,"....."]
[null,"N"]
[null,"1.2 SPECIALIZED LENDING SLOTTING CRITERIA (b): TOTAL"]
[null,"BREAKDOWN BY RISK WEIGHTS OF TOTAL EXPOSURES UNDER SPECIALIZED LENDING SLOTTING CRITERIA:"]
[null,"RISK WEIGHT: 0%"]
[null,{"v":0.5,"d":"50%"}]
[null,{"v":0.7,"d":"70%"}]
[null,"Of which: in category 1"]
[null,{"v":0.9,"d":"90%"}]
[null,{"v":1.15,"d":"115%"}]
[null,{"v":2.5,"d":"250%"}]
[null,"1.3 ALTERNATIVE TREATMENT: SECURED BY REAL ESTATE"]
[null,"1.4 EXPOSURES FROM FREE DELIVERIES APPLYING RISK WEIGHTS UNDER THE ALTERNATIVE TREATMENT OR 100%"]
[null,"1.5 DILUTION RISK: TOTAL PURCHASED RECEIVABLES"]
[]
[null,"(a) Order from the lower to the higher according to average PD assigned to the obligor grade or pool. PD of obligors in default shall be 100%. Exposures subject to the alternative treatment for real estate collateral (only available when not using own estimates for the LGD) will not be assigned according to the PD of the obligor."]
[null,"(b) This row will be available for the specialized lending, corporate and total exposure classes"]

{"sheet":"CR IRB Ref list","index":8,"n_rows":51,"n_cols":4,"rows_kept":51,"hidden":true,"merged":[[4,1,4,3],[13,3,15,3],[36,1,36,3],[48,1,48,3]],"flags":["formulas_cached_only"]}
[]
["CR IRB"]
[]
[null,"ID","Label","Legal References & Comments"]
[null,"COLUMNS"]
[null,{"v":1,"d":"1.00"},"Internal rating system","Annex 7 Part 1 paragraph 1 and annex 7 part 4 paragraphs 1 and 2 of Directive 2000/12.\nIn case the reporting institution applies a unique rating system or is able to report according to an internal master scale these will be used. In any other case, the different rating systems should be merged and ordered according to the following criteria: Obligor grades or pools of the different rating systems should be pooled together and ordered from the lower PD assigned to each obligor grade or pool to the higher."]
[null,{"v":1,"d":"1.00"},"PD ASSIGNED TO THE OBLIGOR GRADE OR POOL","Annex 7 part 4 paragraphs 59 to 72 of Directive 2000/12.\nFor each individual grade or pool the PD assigned to the specific obligor grade or pool should be reported. \nFor figures corresponding to an aggregation of obligor grades or pools (e.g. 1. Total Exposures, On balance sheet items, Off balance sheet items, ..., 1.1 Exposures assigned to obligor grades, 1.5 Dilution Risk) the exposure weighted average of the PDs assigned to the obligor grades or pools included in the aggregation should be provided."]
[null,{"v":2,"d":"2.00"},"ORIGINAL EXPOSURE PRE CONVERSION FACTORS","Article 74 paragraph 1 of Directive 2000/12. Exposure value without taking into account value adjustments and provisions, conversion factors and the effect of credit risk mitigation techniques except in the case of Funded Credit Protection in the form of master netting agreements.\nAnnex 7 Part 3 paragraphs 1 to 13 of Directive 2000/12 except: 3 (effect of on balance sheet netting to be reported separatedly as Funded Credit Protection) ,11,12,13 (application of credit conversion factors to be provided separatedly).\nExposures that qualify for the double default treatment will be classified according to the PD of the obligor"]
[null,{"v":3,"d":"3.00"},"OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK","See CR SA template"]
[null,"4-8","CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE","Credit risk mitigation techniques as defined in article 4 (30) that reduce the credit risk of an exposure or exposures via the substitution of exposures as defined below in Inflows and Outflows."]
[null,{"v":4,"d":"4.00"},"Guarantees:","When own estimates of LGD are not used: The Adjusted Value (Ga) as defined in annex 8 part 3 paragraphs 91 to 93 of Directive 2000/12/EC should be provided.\nWhen Own estimates of LGD are used: Annex 7 part 4 paragraph from 95 to 101 of Directive 2000/12/EC. The nominal amount of the guarantee should be reported."]
[null,{"v":5,"d":"5.00"},"Credit derivatives","When own estimates of LGD are not used: The Adjusted Value (Ga) as defined in annex 8 part 3 paragraphs 91 to 93 of Directive 2000/12/EC should be provided.\nWhen Own estimates of LGD are used: Annex 7 part 4 paragraph from 95 to 101 of Directive 2000/12/EC. The nominal amount of the credit derivative should be reported. \nCredit derivatives will be reported in column 5 when the adjustment is not made in the LGD. When the adjustment is made in the LGD column 14 shall be used."]
[null,{"v":6,"d":"6.00"},"Other funded credit protection","When own estimates of LGD are not used: annex 8 part 3 paragraphs 80 to 83 of Directive 2000/12/EC.\nWhen own estimates of LGD are used: those credit risk mitigants that comply with the criteria in annex 8 part 2 paragraphs 12 and 13 of Directive 2000/12. To be reported in column 6 when the adjustment is not made in the LGD. When the adjustment is made in the LGD column 15 shall be used"]
[null,"7-8","SUBSTITUTION OF THE EXPOSURE DUE TO CRM","When own estimates of LGD are not used: annex 8 part 3 paragraph 91.\nWhen own estimates of LGD are used: For exposures to central government and central banks, institutions and corporates: Annex 7, Part 2 paragraph 6. For retail exposures Annex 7 part 2 paragraph 19. \nOutflows correspond to the covered part of the Original Exposure pre conversion factors, that is deducted from the obligor's exposure class and, when relevant, risk weight or obligor grade or pool, and subsequently assigned to the protection provider's exposure class and, when relevant, risk weight or obligor grade or pool. This amount will be considered as an Inflow into the protection provider's exposure class and, when relevant, risk weights or obligor grades or pools.\nInflows and outflows within the same exposure classes and, when relevant,  risk weights, obligor grades or pools should also be considered."]
[null,{"v":7,"d":"7.00"},"Outflows (-)"]
[null,{"v":8,"d":"8.00"},"Inflows (+)"]
[null,{"v":9,"d":"9.00"},"Exposure after CRM substitution effects pre conversion factors","Exposure assigned in the corresponding obligor grade or pool and exposure class after taking into account outflows and inflows due to CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE"]
[null,"10, 12","OF WHICH: OFF BALANCE SHEET ITEMS","See legal references & comments for rows"]
[null,{"v":11,"d":"11.00"},"EXPOSURE VALUE","Annex 7 part 3 of Directive 2000/12/EC except paragraphs 14 and 15. "]
[null,"13-19","CREDIT RISK MITIGATION TECHNIQUES TAKEN INTO ACCOUNT IN LGD ESTIMATES EXCLUDING DOUBLE DEFAULT TREATMENT","Excludes the CRM techniques that have an impact on LGDs as a result of the application of the substitution effect of CRM techniques taken into account in columns 6 to 10. \nWhen own estimates of LGD are not used: Annex 8 part 3 paragraphs 62, 69, 77, 78 and 79 of Directive 2000/12.\nWhen own estimates of LGD are used:\n  - Regarding unfunded credit protection, for exposures to central government and central banks, institutions and corporates: Annex 7, Part 2 paragraph 10. For retail exposures Annex 7 part 2 paragraph 21.\n  - Regarding funded credit protection collateral taken into account in the LGD estimates according to paragraphs 77 and 78 of annex 7 part 4 of Directive 2000/12"]
[null,{"v":13,"d":"13.00"},"Guarantees:","See column 4"]
[null,{"v":14,"d":"14.00"},"Credit derivatives","See column 5"]
[null,{"v":15,"d":"15.00"},"Other funded credit protection","See column 6"]
[null,{"v":16,"d":"16.00"},"Eligible financial collateral ","For trading book operations includes financial instruments and commodities eligible for trading book exposures according to annex 2 paragraph 8 of Directive 93/6. Credit linked Notes and on -balance sheet netting according to Annex 8 Part 3 are treated as cash collateral.\nWhen own estimates of LGD are not used: Annex 8 part 1 paragaphs 7 to 11 of Directive 2000/12, adjusted value (Cvam) as set out in Annex 8 part 3 paragraph 34 of Directive 2000/12/EC shall be reported.\nWhen own estimates of LGD are used: financial collateral taken into account in the LGD estimates according to paragraphs 77 and 78 of annex 7 part 4 of Directive 2000/12. The amount to be reported should be the estimated market value of the collateral."]
[null,"17-19","Other eligible collateral","When own estimates of LGD are not used: annex 8 part 1 paragraphs 12 to 22 and annex 8 part 3 paragraphs 63 to 68 of Directive 2000/12/EC.\nWhen own estimates of LGD are used: other collateral taken into account in the LGD estimates according to paragraphs 77 and 78 of annex 7 part 4 of Directive 2000/12."]
[null,{"v":17,"d":"17.00"},"Real estate","When own estimates of LGD are not used: annex 8 part 1 paragraphs 13 to 19. Leasing of real estate property will also be included (see annex 8 part 1 paragraphs 22). See also annex 8 part 3 paragraphs 63 to 66 of Directive 2000/12/EC.\nWhen own estimates of LGD are used: the amount to be reported should be the estimated market value."]
[null,{"v":18,"d":"18.00"},"Other physical collateral","When own estimates of LGD are not used: Annex 8 part 1 paragraphs 21. Leasing of property different from real estate will also be included (see annex 8 part 1 paragraphs 22). See also annex 8 part 3 paragraph 68 of Directive 2000/12/EC. \nWhen own estimates of LGD are used: the amount to be reported should be the estimated market value of collateral."]
[null,{"v":19,"d":"19.00"},"Receivables","When own estimates of LGD are not used: annex 8 part 1 paragraph 20 and annex 8 part 3 paragraph 67 of Directive 2000/12/EC.\nWhen own estimates of LGD are used: the amount to be reported should be the estimated market value of collateral."]
[null,{"v":20,"d":"20.00"},"SUBJECT TO DOUBLE  DEFAULT TREATMENT: UNFUNDED CREDIT PROTECTION","Guarantees and credit derivatives covering exposures subject to the double default treatment. See annex 8 part 1 paragraph 28a and annex 8 part 2 paragraph 20a of Directive 2000/12.. See also legal references & comments for guarantees and credit derivatives."]
[null,{"v":21,"d":"21.00"},"EXPOSURE WEIGHTED AVERAGE LGD (%)","Annex 12 part 3 paragraph 14 e.ii) of Directive 2000/12. All the impact of CRM techniques on LGD values as specified in Annexes 7 and 8 of Directive 2000/12 should be considered. In the case of exposures subject to the double default treatment the LGD to be reported will correspond to the one selected according to annex 7 part 2 paragraph 10a of Directive 2000/12.\nFor defaulted exposures, provisions laid down in annex 7 part 4 paragraph 79 should be considered."]
[null,{"v":22,"d":"22.00"},"EXPOSURE-WEIGHTED AVERAGE MATURITY VALUE (DAYS)","Annex 7 part 2 paragraphs 11 to 14"]
[null,{"v":23,"d":"23.00"},"RISK WEIGHTED EXPOSURE AMOUNT","For Central governments and Central Banks, Corporate and Institutions see annex 7 part 1 paragraph 3 and 3a of Directive 2000/12. For Retail see see annex 7 part 1 paragraph 9 of Directive 2000/12."]
[null,{"v":24,"d":"24.00"},"CAPITAL REQUIREMENTS","Article 75 of Directive 2000/12."]
[null,{"v":25,"d":"25.00"},"EXPECTED LOSS AMOUNT","For the definition of Expected Loss see Article 4 paragraph 29 of Directive 2000/12, for calculation see Annex 7 Part 1 paragraphs from 27 to 33  of Directive 2000/12 "]
[null,{"v":26,"d":"26.00"},"VALUE ADJUSTMENTS AND PROVISIONS","Annex 7 part 1 paragraph 34 of Directive 2000/12"]
[null,{"v":27,"d":"27.00"},"NUMBER OF OBLIGORS","Annex 7 part 4 paragraphs 20, 23 and 25 of Directive 2000/12"]
[null,"ROWS"]
[null,null,"On-balance sheet items","See CR SA template"]
[null,null,"Off-balance sheet items","See CR SA template"]
[null,null,"Securities Financing Transactions & Long Settlement Transactions","See CR SA template"]
[null,null,"Derivatives","See CR SA template"]
[null,null,"From Contractual Cross Product Netting","See CR SA template"]
[null,null,"Obligor grade or pool","For exposures to Corporates, institutions and Central governments and Central Banks see Annex 7 part 4 paragraph 7 of Directive 2000/12. For retail exposures see see Annex 7 part 4 paragraph 15 of Directive 2000/12.\nExposures for dilution risk of purchased receivables will not be reported by obligor grades or pools and will be reported in row DILUTION RISK: TOTAL PURCHASED RECEIVABLES.\nWhere the institution uses a large number of grades or pools, a reduced number of grades or pools to be reported may be agreed with the competent authorities. "]
[null,null,"SPECIALIZED LENDING SLOTTING CRITERIA ","Annex 7 part 1 paragraph 5 of Directive 2000/12/EC. This only applies to the corporate exposure class"]
[null,null,"Of which: In category 1","Annex 7 part 1 paragraph 5 table 1 of Directive 2000/12/EC."]
[null,null,"ALTERNATIVE TREATMENT: SECURED BY REAL ESTATE","Articles 92 and 93, annex 8 part 3 paragraph 74 to 76 of Directive 2000/12/EC. "]
[null,null,"EXPOSURES FROM FREE DELIVERIES APPLYING RISK WEIGHTS UNDER THE ALTERNATIVE TREATMENT OR 100%","Exposures arising from free deliveries for which the alternative treatment referred to in annex 2 paragraph 2b of Directive 93/6, first subparagraph last sentence is used or for which a 100% risk weight is applied according to annex 2 paragraph 2b last subparagraph of Directive 93/6."]
[null,null,"DILUTION RISK: TOTAL PURCHASED RECEIVABLES","See article 4 (24) of Directive 2000/12 for a definition of dilution risk. For calculation of risk weight for dilution risk see annex 7 part 1 paragraph 26 of Directive 2000/12"]
[null,"OTHER"]
[null,null,"IRB Exposure classes","See CR SA template. The equity exposure class does not apply to this template"]
[null,null,"Own estimates of LGD and/or credit conversion factors","Article 86 of Directive 2000/12. Yes shall be reported when the Institution has been approved to use own estimates for the corresponding exposure class. If an Institution or group uses a mix of approaches for the estimate of LGD's for certain exposure classes, different reportings should be provided for each approach. Therefore no mixed reporting of own estimates of LGD's and supervisory LGD's should be provided."]

{"sheet":"CR EQU IRB","index":9,"n_rows":25,"n_cols":17,"rows_kept":25,"hidden":true,"merged":[[3,2,3,11],[5,2,6,2],[5,3,8,3],[5,8,8,8],[5,10,8,10],[5,12,8,12],[5,13,8,13],[5,14,8,14],[5,15,5,16],[6,4,6,5],[6,15,8,15],[6,16,8,16],[7,2,8,2],[7,4,8,4],[7,5,8,5],[7,6,8,6],[7,7,8,7],[7,9,8,9],[7,11,8,11],[12,1,12,16],[18,1,18,16]],"flags":["formulas_cached_only"]}
[]
[null,"CR EQU IRB","CREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS"]
[]
[]
[]
[null,null,"INTERNAL RATING SYSTEM","ORIGINAL EXPOSURE PRE CONVERSION FACTORS","CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE",{"$nulls":3},"EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTOR",null,"EXPOSURE VALUE",null,"EXPOSURE WEIGHTED AVERAGE LGD\n(%)","RISK WEIGHTED EXPOSURE AMOUNTS","CAPITAL REQUIREMENTS","MEMORANDUM ITEM:"]
[{"$nulls":4},"UNFUNDED CREDIT PROTECTION",null,"SUBSTITUTION OF THE EXPOSURE DUE TO CRM",{"$nulls":8},"EXPECTED LOSS AMOUNT","VALUE ADJUSTMENTS AND PROVISIONS"]
[null,null,"PD ASSIGNED TO THE OBLIGOR GRADE\n(%)",null,"GUARANTEES","CREDIT DERIVATIVES","TOTAL OUTFLOWS\n(-)","TOTAL INFLOWS",null,"OF WHICH: OFF BALANCE SHEET ITEMS",null,"OF WHICH: OFF BALANCE SHEET ITEMS"]
[]
[null,null,1,2,3,4,5,6,7,8,9,10,11,12,13,14,15]
[null,"TOTAL IRB EQUITY EXPOSURES",{"$nulls":12},"CELL LINKED TO THE CA TEMPLATE"]
[null,"1. PD/LGD APRROACH: TOTAL "]
[null,"BREAKDOWN OF TOTAL EXPOSURES UNDER THE PD/LGD APRROACH BY OBLIGOR GRADES:"]
[null,"OBLIGOR GRADE(a): 1"]
[null,2]
[null,"....."]
[null,"N"]
[null,"2. SIMPLE RISK WEIGHT APPROACH: TOTAL"]
[null,"BREAKDOWN OF TOTAL EXPOSURES UNDER THE SIMPLE RISK WEIGHT APRROACH BY RISK WEIGHTS:"]
[null,"RISK WEIGHT: 190%"]
[null,{"v":2.9,"d":"290%"}]
[null,{"v":3.7,"d":"370%"}]
[null,"3. INTERNAL MODELS APPROACH"]
[]
[null,"(a) Order from the lower to the higher according to the PD assigned to the obligor grade"]

{"sheet":"CR EQU IRB Ref list","index":10,"n_rows":27,"n_cols":4,"rows_kept":27,"hidden":true,"flags":["formulas_cached_only"]}
[]
["CR EQU IRB"]
[]
[null,"ID","Label","Legal References & Comments"]
[null,"COLUMNS"]
[null,1,"Internal rating system","See CR IRB template. "]
[null,1,"PD ASSIGNED TO THE OBLIGOR GRADE","See \" PD assigned to the Obligor grade or pool\" in the CR IRB template"]
[null,2,"ORIGINAL EXPOSURE PRE CONVERSION FACTORS","For PD LGD approach see annex 7 part 3 paragraph 14 of Directive 2000/12\nFor the simple risk weight, see annex 7 part 1 paragraph 18 of Directive 2000/12"]
[null,"3-6","CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE","See CR IRB template and annex 7 part 1 paragraphs 19, 22 and 24 of Directive 2000/12"]
[null,3,"Guarantees:","See CR IRB template. "]
[null,4,"Credit derivatives","  \"       \"   "]
[null,"5-6","SUBSTITUTION OF THE EXPOSURE DUE TO CRM","  \"       \"   "]
[null,5,"Outflows (-)","  \"       \"   "]
[null,6,"Inflows (+)","  \"       \"   "]
[null,7,"EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS","  \"       \"   "]
[null,"8,10","Off balance sheet items","See CR SA template"]
[null,9,"Exposure value","Annex 7 part 3 paragraph 14 of Directive 2000/12/EC "]
[null,11,"Exposure weighted average LGD  (%)","See annex 7 part 2 paragraphs 23 and 24 of Directive 2000/12"]
[null,12,"Risk-weighted exposure amounts","For PD LGD approach, see annex 7 part 1 paragraphs 20 to 22 of Directive 2000/12\nFor simple risk weight see annex 7 part 1 paragraph 17 of Directive 2000/12\nFor the internal models, see annex 7 part 1 paragraph 23 of Directive 2000/12"]
[null,13,"Capital requirements","See CR IRB template"]
[null,14,"EXPECTED LOSS AMOUNT","For PD LGD approach, see annex 7 part 1 paragraph 31 of Directive 2000/12\nFor the simple risk weight, see annex 7 part 1 paragraph 30 of Directive 2000/12"]
[null,15,"Value adjustments and provisions","See IRB template"]
[null,"OTHER"]
[null,null,"PD LGD Approach ","Annex 7 part 1 paragraphs 20 to 22 of Directive 2000/12"]
[null,null,"Obligor grade"," See \"Obligor grade or pool\" in CR IRB template. Annex 7 part 2 paragraph 22 for PD determination in PD LGD approach according to the methods for corporate exposures."]
[null,null,"Simple risk weight approach","Annex 7 part 1 paragraphs 17and 18 of Directive 2000/12"]
[null,null,"internal models approach","Annex 7 part 1 paragraph 23 of Directive 2000/12"]

{"sheet":"CR SEC SA","index":11,"n_rows":24,"n_cols":35,"rows_kept":24,"hidden":true,"merged":[[0,0,0,1],[1,2,1,3],[3,2,5,2],[3,3,3,5],[3,7,5,7],[3,8,5,8],[3,9,3,12],[3,13,5,13],[3,14,5,14],[3,15,5,15],[3,16,3,19],[3,20,5,20],[3,23,3,30],[3,31,5,31],[3,32,5,32],[3,33,5,33],[3,34,5,34],[4,3,5,3],[4,5,5,5],[4,6,5,6],[4,9,5,9],[4,10,5,10],[4,11,4,12],[4,16,5,16],[4,17,5,17],[4,18,5,18],[4,19,5,19],[4,21,5,21],[4,22,5,22],[4,23,4,26],[4,27,4,28],[4,29,4,30],[7,0,7,1],[8,0,8,1],[15,0,15,1],[21,0,21,1]],"flags":["formulas_cached_only"]}
["CR SEC SA",null,"CREDIT RISK: SECURITISATIONS - STANDARDISED APPROACH TO CAPITAL REQUIREMENTS"]
[null,"Securitization type:"]
[]
[null,null,"TOTAL AMOUNT OF SECURITISED EXPOSURES ORIGINATED","SYNTHETIC SECURITIZATIONS: CREDIT PROTECTION TO THE SECURITISED EXPOSURES",null,null,"SECURITISATION POSITIONS","VALUE ADJUSTMENTS AND PROVISIONS        (-)","EXPOSURE NET OF VALUE ADJUSTMENTS AND PROVISIONS","CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE",{"$nulls":3},"NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS","CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE AMOUNT OF THE EXPOSURE: FUNDED CREDIT PROTECTION FINANCIAL COLLATERAL COMPREHENSIVE METHOD ADJUSTED VALUE (Cvam)\n(-)","FULLY ADJUSTED EXPOSURE VALUE (E*)","BREAKDOWN OF THE FULLY ADJUSTED EXPOSURE VALUE (E*) OF OFF BALANCE SHEET ITEMS ACCORDING TO CONVERSION FACTORS",{"$nulls":3},"EXPOSURE VALUE    ",null,null,"BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS ACCORDING TO RISK WEIGHTS",{"$nulls":7},"RISK WEIGHTED EXPOSURE AMOUNT","TOTAL CAPITAL REQUIREMENTS BEFORE CAP","MEMORANDUM ITEM:\nCAPITAL REQUIREMENTS CORRESPONDING TO THE OUTFLOWS FROM THE SA SECURITISATION TO OTHER EXPOSURE CLASSES","TOTAL CAPITAL REQUIREMENTS AFTER CAP"]
[{"$nulls":3},"FUNDED PROTECTION (Cvam)\n(-)","TOTAL OUTFLOWS (-)                                    ","NOTIONAL AMOUNT RETAINED OR REPURCHASED OF CREDIT PROTECTION","ORIGINAL EXPOSURE PRE CONVERSION FACTORS",null,null,"UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (Ga)","FUNDED CREDIT PROTECTION","SUBSTITUTION OF THE EXPOSURE DUE TO CRM",{"$nulls":4},{"v":0,"d":"0%"},">0 and <=20",">20 and <=50",">50 and <=100",null,"DEDUCTED FROM OWN FUNDS\n(-)","SUBJECT TO RISK WEIGHTS","RATED\n(CREDIT QUALITY STEPS 1 TO 4)",{"$nulls":3},{"v":12.5,"d":"1250%"},null,"LOOK-THROUGH"]
[{"$nulls":4},"UNFUNDED PROTECTION ADJUSTED VALUE (Ga)                                      ",{"$nulls":6},"TOTAL OUTFLOWS (-)","TOTAL INFLOWS (a)",{"$nulls":10},{"v":0.2,"d":"20%"},{"v":0.5,"d":"50%"},{"v":1,"d":"100%"},{"v":3.5,"d":"350%"},"RATED","UNRATED",null,"OF WHICH: SECOND LOSS IN ABCP"]
[null,null,1,2,3,4,5,6,"7=5+6",8,9,10,11,12,13,14,15,16,17,18,19,20,"21=19+20",22,23,24,25,26,27,28,29,30,31,32,33]
["TOTAL EXPOSURES",{"$nulls":22},"º",{"$nulls":10},"cell linked to CA"]
["ORIGINATOR: TOTAL EXPOSURES"]
[null,"ON BALANCE SHEET ITEMS"]
[null,"MOST SENIOR"]
[null,"MEZZANINE"]
[null,"FIRST LOSS"]
[null,"OFF BALANCE SHEET ITEMS AND DERIVATIVES"]
[null,"EARLY AMORTIZATION"]
["INVESTOR: TOTAL EXPOSURES"]
[null,"ON BALANCE SHEET ITEMS"]
[null,"MOST SENIOR"]
[null,"MEZZANINE"]
[null,"FIRST LOSS"]
[null,"OFF BALANCE SHEET ITEMS AND DERIVATIVES"]
["SPONSOR: TOTAL EXPOSURES"]
[null,"ON BALANCE SHEET ITEMS"]
[null,"OFF BALANCE ITEMS AND DERIVATIVES"]

{"sheet":"CR SEC SA Ref list","index":12,"n_rows":47,"n_cols":4,"rows_kept":47,"hidden":true,"merged":[[4,1,4,3],[33,1,33,3],[43,1,43,3]],"flags":["formulas_cached_only"]}
[]
[null,"CR SEC SA"]
[]
[null,"ID","Label","Legal references & Comments"]
[null,"COLUMNS"]
[null,{"v":1,"d":"1.00"},"TOTAL AMOUNT OF SECURITISATION EXPOSURES ORIGINATED","Originator credit institutions must report the current amount of exposures underlying a securitisation transaction. In case of early amortization clauses, institutions must specify the amount of \"investors' interest\" as defined in Annex 9, Part 4, paragraph 20 of the Directive 2000/12."]
[null,"2-4","SYNTHETIC SECURITIZATIONS: CREDIT PROTECTION TO THE UNDERLYING ASSETS","Annex 9 part 2 paragraphs 4 to 7 of Directive 2000/12"]
[null,{"v":2,"d":"2.00"},"FUNDED PROTECTION (Cvam) (-)","See CR SA template considering provisions in annex 9 part 2 paragraphs 5 to 7 of Directive 2000/12"]
[null,{"v":3,"d":"3.00"},"UNFUNDED PROTECTION ADJUSTED VALUE (b) (Ga) (-)                                ","See CR SA template considering provisions in annex 9 part 2 paragraphs 5 to 7 of Directive 2000/12"]
[null,{"v":4,"d":"4.00"},"NOTIONAL AMOUNT RETAINED OR REPURCHASED OF CREDIT PROTECTION","The effect of supervisory haircuts in the credit protection should not be taken into account when computing the retained or repurchased amount of credit protection"]
[null,{"v":5,"d":"5.00"},"SECURITISATION POSITIONS:\nORIGINAL EXPOSURE PRE CONVERSION FACTORS","Securitization positions according to annex IX, part 4 paragraphs 1,2, 4 and 5 without applying conversion factors and gross of value adjustments and provisions.\nNetting only relevant with respect to multiple derivative contracts provided to the same SSPE, covered by eligible netting agreement.\nFor originators in synthetic securitisations will be the result of the column computation: (1) + (2) + (3) - (4)."]
[null,{"v":6,"d":"6.00"},"VALUE ADJUSTMENTS AND PROVISIONS (-)","See CR SA template"]
[null,{"v":7,"d":"7.00"},"EXPOSURE NET OF VALUE ADJUSTMENTS AND PROVISIONS","Securitization positions according to annex IX, part 4 paragraphs 1,2, 4 and 5 without applying convesion factors"]
[null,"8-11","CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE","See CR SA template"]
[null,{"v":8,"d":"8.00"},"UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (Ga)","See CR SA template"]
[null,{"v":9,"d":"9.00"},"FUNDED CREDIT PROTECTION","See CR SA template"]
[null,{"v":10,"d":"10.00"},"TOTAL OUTFLOWS (-)","See CR SA template"]
[null,{"v":11,"d":"11.00"},"TOTAL INFLOWS","See CR SA template"]
[null,{"v":12,"d":"12.00"},"NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS","See CR SA template."]
[null,{"v":13,"d":"13.00"},"CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE AMOUNT OF THE EXPOSURE: FUNDED CREDIT PROTECTION FINANCIAL COLLATERAL COMPREHENSIVE METHOD ADJUSTED VALUE (Cvam)","See CR SA template"]
[null,{"v":14,"d":"14.00"},"FULLY ADJUSTED EXPOSURE VALUE (E*)","Securitization positions according to annex 9, part 4 paragraphs 1, 2 (a), 2 (b), 3, 4 and 5, therefore without applying the conversion figures laid down in annex 9 part 4 paragraph 2 ©"]
[null,"15-18","BREAKDOWN OF THE FULLY ADJUSTED EXPOSURE VALUE (E*) OF OFF BALANCE SHEET ITEMS ACCORDING TO CONVERSION FACTORS","Annex 9 part 4 paragraph 2 (c) of Directive 2000/12"]
[null,{"v":19,"d":"19.00"},"EXPOSURE VALUE    ","Securitization positions according to annex 9, part 4 paragraphs 1 to 5 of Directive 2000/12"]
[null,{"v":20,"d":"20.00"},"EXPOSURE VALUE DEDUCTED FROM OWN FUNDS","Annex 9 part 4 paragraph 34 of Directive 2000/12"]
[null,{"v":21,"d":"21.00"},"EXPOSURE VALUE SUBJECT TO RISK WEIGHTS","=19+20"]
[null,"'22-26","Rated","Annex 9, Part 1, paragraph 1 of Directive 2000/12"]
[null,{"v":27,"d":"27.00"},"Unrated","Annex 9, Part 1, paragraph 1 of Directive 2000/12"]
[null,{"v":29,"d":"29.00"},"OF WHICH: SECOND LOSS IN ABCP","Exposure value subject to the treatment specified in annex 9 part 4 paragraph 12"]
[null,{"v":28,"d":"28.00"},"LOOK-THROUGH","Annex IX, Part 4, paragraphs 11, 12,  or 14 of Directive 2000/12. The look-through columns comprise all the cases of unrated exposures where the risk weight is obtainned from the underlying portfolio of exposures (average risk weight of the pool, highest risk weight of the pool, or the use of a concentration ratio)."]
[null,{"v":30,"d":"30.00"},"RISK WEIGHTED EXPOSURE AMOUNT","Annex 9 part 4 of Directive 2000/12 without taking into account the provisions in annex 9 part 4 paragraphs 9 or 23 of Directive 2000/12 regarding the maximum risk-weighted exposure amounts"]
[null,{"v":31,"d":"31.00"},"TOTAL CAPITAL REQUIREMENTS BEFORE CAP","Capital requirements derived from the risk weighted exposure amount without taking into account the provisions in annex 9 part 4 paragraphs 9 or 23 of Directive 2000/12 regarding the maximum risk-weighted exposure amounts"]
[null,{"v":32,"d":"32.00"},"MEMORANDUM ITEM: CAPITAL REQUIREMENTS CORRESPONDING TO THE OUTFLOWS FROM THE SA SECURITISATION TO OTHER EXPOSURE CLASSES","Capital requirements stemming from exposures redistributed to the risk mitigant provider, and therefore computed in the corresponding template, that are considered in the computation of the CAP for securitisation positions"]
[null,{"v":33,"d":"33.00"},"TOTAL CAPITAL REQUIREMENTS AFTER CAP","Total capital requirements subject to securitisation treatment after applying the cap as specified in annex 9, Part 4, paragraphs 9 or 23 of Directive 2000/12"]
[null,"ROWS"]
[null,null,"Originator","Article 4.41 of Directive 2000/12"]
[null,null,"Investor","Credit institution that holds a securitisation positions in a securitisation transaction for which it is neither originator nor sponsor"]
[null,null,"Sponsor","Article 4.42 of Directive 2000/12. If a sponsor is also securitising it own assets, it should fill in in the originator's rows the information regarding its own securitised assets"]
[null,null,"ON BALANCE SHEET ITEMS","See CR SA template"]
[null,null,"OFF BALANCE SHEET ITEMS AND DERIVATIVES","See CR SA template. This category includes any off-balance sheet exposures provided to a securitisation structure. For liquidity facilities, credit facilities, servicer cash advances and market disruption lines, institutions should provide the undrawn amount. For interest rate and currency swaps they should provide the exposure value according to paragraph 3 of part 4, Annex IX of Directive 2000/12 as specified in the CR SA template."]
[null,null,"Most senior","Annex 9, Part 4, paragraph 46 of Directive 2000/12"]
[null,null,"Mezanine","All tranches that do not qualify as most senior or first losses will be included in this category."]
[null,null,"First Loss","Positions in those securitisation tranches (Article 4.39 of Directive 2000/12) that will take the first Euro of loss (e.g. refundable purchase discounts, subordinated loans, or credit protection provided to such tranches). Nevertheless, if this tranche does not provide a significant meaningful credit enhancement (as referred in annex 9 part 4 paragraph 13) to the next tranch in the ranking of the securitisantion, also this latter tranche will be considered as a first loss tranche. This assessment of the credit enhancement provided by the different tranches will be repeated until the credit enhancement provided by first loss tranche or tranches is deemed to be meaningful."]
[null,null,"Early amortisation","Article 100, paragraph 2 of Directive 2000/12. Only relevant for originators in revolving exposure securitisations containing early amortisation provisions. "]
[null,"OTHER"]
[null,null,"Securitisation type","The securitisation type breakdown is: total, traditional and synthetic as defined below"]
[null,null,"Traditional securitisation","Article 4.37 of Directive 2000/12"]
[null,"                                                                                 ","Synthetic securitisation","Article 4.38 of Directive 2000/12"]

{"sheet":"CR SEC IRB","index":13,"n_rows":26,"n_cols":41,"rows_kept":26,"hidden":true,"merged":[[3,2,3,3],[5,2,7,2],[5,3,5,5],[5,7,5,10],[5,11,7,11],[5,12,7,12],[5,13,7,13],[5,14,5,17],[5,18,7,18],[5,21,5,35],[5,36,7,36],[5,37,7,37],[5,38,7,38],[5,39,7,39],[5,40,7,40],[6,3,7,3],[6,5,7,5],[6,6,7,6],[6,7,7,7],[6,8,7,8],[6,9,6,10],[6,14,7,14],[6,15,7,15],[6,16,7,16],[6,17,7,17],[6,19,7,19],[6,20,7,20],[6,21,6,28],[6,29,6,30],[6,31,6,32],[6,33,7,33],[6,34,6,35],[9,0,9,1],[10,0,10,1],[17,0,17,1],[23,0,23,1],[26,29,26,36]],"flags":["formulas_cached_only"]}
[]
[]
[null,"CR SEC IRB","CREDIT RISK: SECURITISATIONS - IRB APPROACH TO CAPITAL REQUIREMENTS"]
[null,"Securitization type:"]
[]
[null,null,"TOTAL AMOUNT OF SECURITISED EXPOSURES ORIGINATED","SYNTHETIC SECURITIZATIONS: CREDIT PROTECTION TO THE SECURITISED EXPOSURES",null,null,"SECURITISATION POSITIONS","CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE",{"$nulls":3},"EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS","CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE AMOUNT OF THE EXPOSURE: FUNDED CREDIT PROTECTION FINANCIAL COLLATERAL COMPREHENSIVE METHOD ADJUSTED VALUE (Cvam)\n(-)","FULLY ADJUSTED EXPOSURE VALUE (E*)","BREAKDOWN OF THE FULLY ADJUSTED EXPOSURE VALUE (E*) OF OFF BALANCE SHEET ITEMS ACCORDING TO CREDIT CONVERSION FACTORS",{"$nulls":3},"EXPOSURE VALUE    ",null,null,"BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS ACCORDING TO RISK WEIGHTS",{"$nulls":14},"REDUCTION IN RISK WEIGHTED EXPOSURE AMOUNT DUE TO VALUE ADJUSTMENTS AND PROVISIONS\n(-)","RISK WEIGHTED EXPOSURE AMOUNT","TOTAL CAPITAL REQUIREMENTS BEFORE CAP (i)","MEMORANDUM ITEM:\nCAPITAL REQUIREMENTS CORRESPONDING TO THE OUTFLOWS FROM THE IRB SECURITISATION TO OTHER EXPOSURE CLASSES ","TOTAL CAPITAL REQUIREMENTS AFTER CAP"]
[{"$nulls":3},"FUNDED PROTECTION (Cvam)\n(-)","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",{"$nulls":4},{"v":0,"d":"0%"},">0 and <=20",">20 and <=50",">50 and <=100",null,"DEDUCTED FROM OWN FUNDS\n(-)","SUBJECT TO RISK WEIGHTS","RATINGS BASED METHOD\n(CREDIT QUALITY STEPS 1 TO 11 IN LONG TERM TABLE OR 1 TO 3 IN SHORT TERM TABLE)",{"$nulls":7},{"v":12.5,"d":"1250%"},null,"SUPERVISORY FORMULA METHOD",null,"LOOK-THROUGH (g)"," INTERNAL ASSESMENT APPROACH"]
[{"$nulls":4},"UNFUNDED PROTECTION ADJUSTED VALUE (Ga)                                      ",{"$nulls":4},"TOTAL OUTFLOWS (-)","TOTAL INFLOWS",{"$nulls":10},"6 - 10%","12 - 18%","20 - 35%","50 - 75%",{"v":1,"d":"100%"},{"v":2.5,"d":"250%"},{"v":4.25,"d":"425%"},{"v":6.5,"d":"650%"},"RATED","UNRATED",null,"AVERAGE RISK WEIGHT (%) (f )",null,null,"AVERAGE RISK WEIGHT (%)"]
[null,null,1,2,3,4,5,6,7,8,9,10,11,12,13,14,15,16,17,18,"19=17+18",20,21,22,23,24,25,26,27,28,29,30,31,32,33,34,35,36,37,38,39]
["TOTAL EXPOSURES",{"$nulls":39},"cell linked to CA"]
["ORIGINATOR: TOTAL EXPOSURES"]
[null,"ON BALANCE SHEET ITEMS"]
[null,"MOST SENIOR"]
[null,"MEZZANINE"]
[null,"FIRST LOSS"]
[null,"OFF BALANCE SHEET ITEMS AND DERIVATIVES"]
[null,"EARLY AMORTIZATION"]
["INVESTOR: TOTAL EXPOSURES"]
[null,"ON BALANCE SHEET ITEMS"]
[null,"MOST SENIOR"]
[null,"MEZZANINE"]
[null,"FIRST LOSS"]
[null,"OFF BALANCE  SHEET ITEMS AND DERIVATIVES"]
["SPONSOR: TOTAL EXPOSURES"]
[null,"ON BALANCE SHEET ITEMS"]
[null,"OFF BALANCE SHEET ITEMS AND DERIVATIVES"]

{"sheet":"CR SEC IRB Ref list","index":14,"n_rows":50,"n_cols":4,"rows_kept":50,"hidden":true,"merged":[[4,1,4,3],[36,1,36,3],[46,1,46,3]],"flags":["formulas_cached_only"]}
[]
[null,"CR SEC IRB"]
[]
[null,"ID","Label","Legal references & Comments"]
[null,"COLUMNS"]
[null,{"v":1,"d":"1.00"},"TOTAL AMOUNT OF SECURITISATION EXPOSURES ORIGINATED","Originator credit institutions must report the current amount of exposures underlying a securitisation transaction.\nIn case of early amortization clauses, institutions must specify the amount of \"investors' interest\" as defined in  Annex 9, Part 4, paragraph 68 of the Directive 2000/12."]
[null,"2-4","SYNTHETIC SECURITIZATIONS: CREDIT PROTECTION TO THE UNDERLYING ASSETS","Annex 9 part 2 paragraphs 4 to 7 of Directive 2000/12"]
[null,{"v":2,"d":"2.00"},"FUNDED PROTECTION (Cvam) (-)","See CR SA template considering provisions in annex 9 part 2 paragraphs 5, 6 and 8 of Directive 2000/12"]
[null,{"v":3,"d":"3.00"},"UNFUNDED PROTECTION ADJUSTED VALUE (Ga) (-)                                ","See CR SA template considering provisions in annex 9 part 2 paragraphs 5, 6 and 8 of Directive 2000/12"]
[null,{"v":4,"d":"4.00"},"NOTIONAL AMOUNT RETAINED OR REPURCHASED OF CREDIT PROTECTION","The effect of supervisory haircuts in the credit protection should not be taken into account when computing the retained or repurchased amount of credit protection"]
[null,{"v":5,"d":"5.00"},"SECURITISATION POSITIONS:\nORIGINAL EXPOSURE PRE CONVERSION FACTORS","Securitization positions according to annex IX, part 4 paragraphs 1,2, 4 and 5 without applying credit convesion factors and gross of value adjustments and provisions.\nNetting only relevant with respect to multiple derivative contracts provided to the same SSPE, covered by eligible netting agreement\nFor originators in synthetic securitisations will be the result of the column computation: (1) + (2) + (3) - (4)."]
[null,"6-9","CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE","See CR SA template"]
[null,{"v":6,"d":"6.00"},"UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (Ga)","See CR SA template"]
[null,{"v":7,"d":"7.00"},"FUNDED CREDIT PROTECTION","See CR SA template"]
[null,{"v":8,"d":"8.00"},"TOTAL OUTFLOWS (-)","See CR SA template"]
[null,{"v":9,"d":"9.00"},"TOTAL INFLOWS","See CR SA template"]
[null,{"v":10,"d":"10.00"},"EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS","See CR SA template. "]
[null,{"v":11,"d":"11.00"},"CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE AMOUNT OF THE EXPOSURE: FUNDED CREDIT PROTECTION FINANCIAL COLLATERAL COMPREHENSIVE METHOD ADJUSTED VALUE (Cvam)","See CR SA template"]
[null,{"v":12,"d":"12.00"},"FULLY ADJUSTED EXPOSURE VALUE (E*)","Securitization positions according to annex 9, part 4 paragraphs 1, 2 (a), 2 (b), 3, 4 and 5, therefore without applying the conversion figures laid down in annex 9 part 4 paragraph 2 ©"]
[null,"13-16","BREAKDOWN OF THE FULLY ADJUSTED EXPOSURE VALUE (E*) OF OFF BALANCE SHEET ITEMS ACCORDING TO CONVERSION FACTORS","Annex 9 part 4 paragraph 2 (c) of Directive 2000/12"]
[null,{"v":17,"d":"17.00"},"EXPOSURE VALUE    ","Securitization positions according to annex 9, part 4 paragraphs 1 to 5 of Directive 2000/12"]
[null,{"v":18,"d":"18.00"},"EXPOSURE VALUE DEDUCTED FROM OWN FUNDS","Annex 9 part 4 paragraph 72 of Directive 2000/12. See also paragraph 73"]
[null,{"v":19,"d":"19.00"},"EXPOSURE VALUE SUBJECT TO RISK WEIGHTS","=17+18"]
[null,"21-27","RATINGS BASED METHOD","Annex 9 part 4 paragraphs 45 to 49"]
[null,{"v":28,"d":"28.00"},"Rated","Annex 9, Part 1, paragraph 1 of Directive 2000/12"]
[null,{"v":29,"d":"29.00"},"Unrated","Annex 9, Part 1, paragraph 1 of Directive 2000/12"]
[null,{"v":30,"d":"30.00"},"SUPERVISORY FORMULA METHOD","Annex 9 part 4 paragraphs 50 to 52"]
[null,{"v":31,"d":"31.00"},"AVERAGE RISK WEIGHT","For positions with credit risk mitigation, the credit institution shall indicate the \"effective risk weight\" of the position when full protection has been received, according to what is established in annex 9, part 4, paragraph 61 of Directive 2000/12/EC. When the position benefits from partial protection, the credit institution must apply the Supervisory Formula Method using the T adjusted according to what is established in annex 9, part 4, paragraph 61 of Directive 2000/12/EC. Exposure value weighted average risk weight should be provided"]
[null,{"v":32,"d":"32.00"},"LOOK-THROUGH","Annex IX, part 4, paragraphs 56 and 57 of Directive 2000/12/EC."]
[null,{"v":33,"d":"33.00"},"INTERNAL ASSESSMENT APPROACH","Annex 9 part 4 paragraphs 42 and 43"]
[null,{"v":34,"d":"34.00"},"AVERAGE RISK WEIGHT","Exposure value weighted average risk weight should be provided"]
[null,{"v":35,"d":"35.00"},"REDUCTION IN RISK WEIGHTED EXPOSURE AMOUNT DUE TO VALUE ADJUSTMENTS AND PROVISIONS (-)","Annex 9 part 4 paragraphs 70 and 71. Paragraph 70 only applicable for originators and when the exposure has not been deducted from own funds"]
[null,{"v":36,"d":"36.00"},"RISK WEIGHTED EXPOSURE AMOUNT","Annex 9 part 4 of Directive 2000/12 without taking into account the provisions in annex 9 part 4 paragraph 44 of Directive 2000/12 regarding the maximum risk-weighted exposure amounts"]
[null,{"v":37,"d":"37.00"},"TOTAL CAPITAL REQUIREMENTS BEFORE CAP","Capital requirements derived from the risk weighted exposure amount without taking into account the provisions in annex 9 part 4 paragraph 44 of Directive 2000/12 regarding the maximum risk-weighted exposure amounts"]
[null,{"v":38,"d":"38.00"},"MEMORANDUM ITEM: CAPITAL REQUIREMENTS CORRESPONDING TO THE OUTFLOWS FROM THE SA SECURITISATION TO OTHER EXPOSURE CLASSES","Capital requirements stemming from exposures redistributed to the risk mitigant provider, and therefore computed in the corresponding template, that are considered in the computation of the CAP for securitisation positions"]
[null,{"v":39,"d":"39.00"},"TOTAL CAPITAL REQUIREMENTS AFTER CAP","Total capital requirements subject to securitisation treatment after applying the cap as specified in annex 9, Part 4, paragraph 44 of Directive 2000/12"]
[null,"ROWS"]
[null,null,"Originator","Article 4.41 of Directive 2000/12"]
[null,null,"Investor","Credit institution that holds a securitisation positions in a securitisation transaction for which it is neither originator nor sponsor"]
[null,null,"Sponsor","Article 4.42 of Directive 2000/12. If a sponsor is also securitising it own assets, it should fill in in the originator's rows the information regarding its own securitised assets"]
[null,null,"ON BALANCE SHEET ITEMS","See CR SA template"]
[null,null,"OFF BALANCE SHEET ITEMS AND DERIVATIVES","See CR SA template. This category includes any off-balance sheet exposures provided to a securitisation structure. For liquidity facilities, credit facilities, servicer cash advances and market disruption lines, institutions should provide the undrawn amount. For interest rate and currency swaps they should provide the exposure value according to paragraph 3 of part 4, Annex IX of Directive 2000/12 as specified in the CR SA template."]
[null,null,"Most senior","Annex 9, Part 4, paragraph 46 of Directive 2000/12"]
[null,null,"Mezanine","All tranches that do not qualify as most senior or first losses will be included in this category."]
[null,null,"First Loss","Positions in those securitisation tranches (Article 4.39 of Directive 2000/12) that will take the first Euro of loss (e.g. refundable purchase discounts, subordinated loans, or credit protection provided to such tranches). Nevertheless, if this tranche does not provide a significant meaningful credit enhancement (as referred in annex 9 part 4 paragraph 13) to the next tranch in the ranking of the securitisantion, also this latter tranche will be considered as a first loss tranche. This assessment of the credit enhancement provided by the different tranches will be repeated until the credit enhancement provided by first loss tranche or tranches is deemed to be meaningful."]
[null,null,"Early amortisation","Article 100, paragraph 2 of Directive 2000/12. Only relevant for originators in revolving exposure securitisations containning early amortisation provisions. "]
[null,"OTHER"]
[null,null,"Securitisation type","The securitisation type breakdown is: total, traditional and synthetic as defined below"]
[null,null,"Traditional securitisation","Article 4.37 of Directive 2000/12"]
[null,"                                                                                 ","Synthetic securitisation","Article 4.38 of Directive 2000/12"]

{"sheet":"CR SEC Details","index":15,"n_rows":18,"n_cols":30,"rows_kept":18,"hidden":true,"merged":[[3,1,6,1],[3,2,6,2],[3,3,6,3],[3,4,6,4],[3,5,3,6],[3,16,3,26],[3,27,6,27],[3,28,6,28],[3,29,6,29],[4,5,6,5],[4,6,6,6],[4,7,5,7],[4,8,6,8],[4,9,6,9],[4,10,6,10],[4,11,6,11],[4,12,6,12],[4,13,6,13],[4,14,6,14],[4,15,6,15],[4,22,4,24],[4,25,4,26],[5,16,5,17],[5,18,5,19],[5,20,5,21],[5,22,6,22],[5,23,6,23],[5,24,6,24],[5,25,6,25],[5,26,6,26]],"flags":["formulas_cached_only"]}
[]
[null,"CR SEC Details",{"$nulls":3},"CREDIT RISK: DETAILED INFORMATION ON SECURITISATIONS BY ORIGINATORS AND SPONSORS"]
[]
[null,"INTERNAL CODE","IDENTIFIER OF THE SECURITISATION","SECURITISATION TYPE:\n(TRADITIONAL / SYNTHETIC)    ","ROLE OF THE INSTITUTION:\n(SPONSOR / ORIGINATOR)","NON ABCP PROGRAMS",null,null,"SECURITISED EXPOSURES ORIGINATED",{"$nulls":6},"SECURITISATION STRUCTURE","SECURITISATION POSITIONS (ORIGINAL EXPOSURE PRE CONVERSION FACTORS)",{"$nulls":10},"EXPOSURE VALUE DEDUCTED FROM OWN FUNDS\n(-)","TOTAL CAPITAL REQUIREMENTS BEFORE CAP","TOTAL CAPITAL REQUIREMENTS AFTER CAP"]
[{"$nulls":5},"ORIGINATION DATE \n(mm/yyyy)","TOTAL AMOUNT OF SECURITISED EXPOSURES ORIGINATED AT ORIGINATION DATE","TOTAL AMOUNT ","INSTITUTION'S SHARE\n(%)","TYPE","APPROACH APPLIED (SA/IRB/MIX)","NUMBER OF EXPOSURES"," ELGD %    ","VALUE ADJUSTMENTS AND PROVISIONS","OWN FUNDS REQUIREMENTS BEFORE SECURITISATION %","FIRST LOSS","ON BALANCE SHEET ITEMS",{"$nulls":5},"OFF-BALANCE SHEET ITEMS AND DERIVATIVES",null,null,"EARLY AMORTISATION"]
[{"$nulls":16},"MOST SENIOR",null,"MEZZANINE ",null,"FIRST LOSS ",null,"DIRECT CREDIT SUBSTITUTE","ELIGIBLE LIQUIDITY FACILITIES","OTHER","CONTROLLED? (yes/No)","CREDIT CONVERSION FACTOR APPLIED"]
[{"$nulls":16},"RATED","UNRATED","RATED","UNRATED","RATED","UNRATED"]
[null,1,2,3,4,5,6,7,8,9,10,11,12,13,14,15,16,17,18,19,20,21,22,23,24,25,26,27,28,29]
{"$rows_empty":9}
[null,"...",{"$nulls":13},"..."]

{"sheet":"CR SEC Details Ref list","index":16,"n_rows":38,"n_cols":4,"rows_kept":38,"hidden":true,"merged":[[4,1,4,3]],"flags":["formulas_cached_only"]}
[]
[null,"CR SEC Details"]
[]
[null,"ID","Label","Legal references & Comments"]
[null,"COLUMNS"]
[null,{"v":1,"d":"1.00"},"INTERNAL CODE","Internal code used by the institution to identify the securitisation"]
[null,{"v":2,"d":"2.00"},"IDENTIFIER OF THE SECURITISATION","Name or coding by which the securitisation is known in the market"]
[null,{"v":3,"d":"3.00"},"SECURITISATION TYPE: (TRADITIONAL / SYNTHETIC)    ","Report T for Traditional and S for Synthetic. See CR SEC SA and CR SEC IRB"]
[null,{"v":4,"d":"4.00"},"ROLE OF THE INSTITUTION: (SPONSOR / ORIGINATOR)","Report S for Sponsor and O for Originator. See CR SEC SA and CR SEC IRB"]
[null,{"v":5,"d":"5.00"},"ORIGINATION DATE ","Origination date is the cut-off date of the pool (closing date). "]
[null,{"v":6,"d":"6.00"},"TOTAL AMOUNT OF SECURITISED EXPOSURES ORIGINATED AT ORIGINATION DATE","See CR SEC SA and CR SEC IRB and Origination date above. In the case of multi-seller securitisations, only the amount corresponding to the reporting institution should be reported"]
[null,"7-14","SECURITISED EXPOSURES ORIGINATED","In the case of multi-seller securitisations, only the amount corresponding to the reporting institution should be reported"]
[null,{"v":7,"d":"7.00"},"TOTAL AMOUNT","See CR SEC SA and CR SEC IRB. "]
[null,{"v":8,"d":"8.00"},"INSTITUTION'S SHARE","In the case of multi-seller securitisations, credit institutions should report the share the total amount of securitised exposures originated by them represents on the total securitised exposures of the securitisation."]
[null,{"v":9,"d":"9.00"},"TYPE","The credit institution must choose among the following codes for the different options available:   1-residential mortgages, 2-commercial mortgages, 3-credit card receivables, 4-leasing,  5-loans to corporates or SMEs (treated as corporates), 6-consumer loans, 7-trade receivables, 8-securitisations (re-securitisation), 9-other assets. In case the pool consists of different types of assets, the institution should indicate the most important type"]
[null,{"v":10,"d":"10.00"},"APPROACH APPLIED (SA/IRB/MIX)","Report SA for Standardised Approach, IRB for Internal Ratings Based Approach and M if both approaches are used in the treatment of the securitised exposures"]
[null,{"v":11,"d":"11.00"},"NUMBER OF EXPOSURES","Only relevant for credit institutions using the IRB approach to securitisation positions; credit institution should indicate the following letter code according to the relevant interval: (a) N<6; (b) 6<=N<34 (c) 34<=N<=100; (d) 100<N<=1000; (e) N>1000."]
[null,{"v":12,"d":"12.00"}," ELGD %    ","Only applicable to institutions applying the Supervisory Formula Method. The exposure-weighted average loss-given-default (ELGD) should be calculated as indicated in annex 9, part 4, paragraph 51 of Directive 2000/12."]
[null,{"v":13,"d":"13.00"},"VALUE ADJUSTMENTS AND PROVISIONS","See CR SEC SA and CR SEC IRB"]
[null,{"v":14,"d":"14.00"},"OWN FUNDS REQUIREMENTS BEFORE SECURITISATION %","Own funds requirements as if the securitised exposures were not securitised (as percentage of the total amount of securitised exposures originated)"]
[null,{"v":15,"d":"15.00"},"SECURITISATION STRUCTURE\nFIRST LOSS","See CR SEC SA and CR SEC IRB. In the case of multi-seller securitisations, only the amount corresponding or attributed to the reporting institution should be reported."]
[null,"16-26","SECURITISATION POSITIONS:\nORIGINAL EXPOSURE PRE CONVERSION FACTORS","See CR SEC SA and CR SEC IRB"]
[null,"16-21","ON BALANCE SHEET ITEMS","See CR SEC SA and CR SEC IRB"]
[null,"16-17","MOST SENIOR","See CR SEC SA and CR SEC IRB"]
[null,"18-19","MEZZANINE ","See CR SEC SA and CR SEC IRB"]
[null,"20-21","FIRST LOSS","See CR SEC SA and CR SEC IRB"]
[null,"16,18,20","RATED","See CR SEC SA and CR SEC IRB"]
[null,"17,19,21","UNRATED","See CR SEC SA and CR SEC IRB"]
[null,"22-24","OFF-BALANCE SHEET ITEMS AND DERIVATIVES","See CR SEC SA and CR SEC IRB"]
[null,{"v":22,"d":"22.00"},"DIRECT CREDIT SUBSTITUTE","See full risk items in annex 2 of Directive 2000/12"]
[null,{"v":23,"d":"23.00"},"ELIGIBLE LIQUIDITY FACILITIES","Liquidity facilities satisfying the requirements established in annex 9, part 4, paragraph 14 of Directive 2000/12"]
[null,{"v":24,"d":"24.00"},"OTHER","Other off balance sheet items and derivatives not included above"]
[null,"25-26","EARLY AMORTISATION","See CR SEC SA and CR SEC IRB"]
[null,{"v":25,"d":"25.00"},"CONTROLLED? (yes/No)","Yes should be reported when the conditions in annex 9 part 4 paragraph 26 are met"]
[null,{"v":26,"d":"26.00"},"CREDIT CONVERSION FACTOR APPLIED","See CR SEC SA and CR SEC IRB"]
[null,{"v":27,"d":"27.00"},"EXPOSURE VALUE DEDUCTED FROM OWN FUNDS (-)","See CR SEC SA and CR SEC IRB"]
[null,{"v":28,"d":"28.00"},"TOTAL CAPITAL REQUIREMENTS BEFORE CAP","See CR SEC SA and CR SEC IRB"]
[null,{"v":29,"d":"29.00"},"TOTAL CAPITAL REQUIREMENTS AFTER CAP","See CR SEC SA and CR SEC IRB"]

{"sheet":"CR TB SETT","index":17,"n_rows":11,"n_cols":8,"rows_kept":11,"hidden":true,"flags":["formulas_cached_only"]}
[]
[null,"CR TB SETT",null,null,"                    SETTLEMENT RISK IN THE TRADING BOOK"]
[]
[{"$nulls":5},"UNSETTLED TRANSACTIONS AT SETTLEMENT PRICE","PRICE DIFFERENCE EXPOSURE DUE TO UNSETTLED TRANSACTIONS","CAPITAL REQUIREMENTS"]
[{"$nulls":5},"(1)","(2)","(3)"]
[null,"1. Total unsettled transactions in the Trading Book",{"$nulls":5},"Link to CA"]
[{"$nulls":3},"1.1 Transactions unsettled up to 4 days"]
[{"$nulls":3},"1.2 Transactions unsettled between 5 and 15 days"]
[{"$nulls":3},"1.3 Transactions unsettled between 16 and 30 days"]
[{"$nulls":3},"1.4 Transactions unsettled between 31 and 45 days"]
[{"$nulls":3},"1.5 Transactions unsettled for 46 days or more"]

{"sheet":"CR TB SETT Ref list","index":18,"n_rows":15,"n_cols":4,"rows_kept":15,"hidden":true,"merged":[[4,1,4,3],[8,1,8,3]],"flags":["formulas_cached_only"]}
[]
[null,"CR TB SETT"]
[]
[null,"ID","Label","Legal references & Comments"]
[null,"COLUMNS"]
[null,"1","Unsettled transactions at settlement price","Annex II, paragraph 1of Directive 93/6/EEC"]
[null,"2","Price difference exposure due to unsettled transactions","Annex II, paragraph 1 of Directive 93/6/EEC"]
[null,"3","Capital requirements","The capital charge for any exposure according to Annex II of Directive 93/6/EEC"]
[null,"ROWS"]
[null,"1","TOTAL UNSETTLED TRANSACTIONS IN THE TRADING BOOK","Unsettled transactions in the Trading Book and their correspondent capital requirements for settlement risk according to article 18, paragraph 1 (a) and Annex II of Directive 93/6/CEE, and article 75 (b) of Directive 2000/12/EC. Be aware that the counterparty risk referred to in Annex II will be dealt with as part of the credit risk."]
[null,"1.1","Transactions unsettled up to 4 days","Annex II, paragraph 2 Table 1 column A of Directive 93/6/EEC"]
[null,"1.2","Transactions unsettled between 5 and 15 days","Id."]
[null,"1.3","Transactions unsettled between 16 and 30 days","Id."]
[null,"1.4","Transactions unsettled between 31 and 45 days","Id."]
[null,"1.5","Transactions unsettled for 46 days or more","Id."]

{"sheet":"MKR SA TDI","index":19,"n_rows":58,"n_cols":15,"rows_kept":58,"hidden":true,"merged":[[4,5,4,12],[4,13,6,13],[4,14,6,14],[5,5,5,6],[5,8,5,9],[5,10,5,11],[46,2,46,4]],"flags":["formulas_cached_only"]}
[]
[null,"MKR SA TDI",{"$nulls":5},"MARKET RISK: STANDARDISED APPROACHES FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS"]
[null,"Currency:"]
[]
[{"$nulls":5},"POSITIONS",{"$nulls":7},"RISK CAPITAL CHARGE\n(%)","CAPITAL REQUIREMENTS"]
[{"$nulls":5},"ALL POSITIONS",null,"REDUCTION EFFECT FOR UNDERWRITING POSITIONS","NET POSITIONS",null,"ALLOWANCE DUE TO TRADING BOOK POSITIONS HEDGED BY CREDIT DERIVATIVES",null,"NET POSITIONS SUBJECT TO CAPITAL CHARGE"]
[{"$nulls":5},"LONG","SHORT",null,"LONG","SHORT","TO LONG NET POSITIONS","TO SHORT NET POSITIONS"]
[{"$nulls":5},"(1)","(2)","(3)","(4)","(5)","(6)","(7)","(8)",null,"(9)"]
[null,"TRADED DEBT INSTRUMENTS IN TRADING BOOK",{"$nulls":12},"Link to CA template"]
[null,"    1 General risk. Maturity-based approach"]
[null,null,"1.1 Zone 1"]
[{"$nulls":3},"0 ≤ 1 month"]
[{"$nulls":3},"> 1 ≤ 3 months"]
[{"$nulls":3},"> 3 ≤ 6 months"]
[{"$nulls":3},"> 6 ≤ 12 months"]
[null,null,"1.2 Zone 2"]
[{"$nulls":3},"> 1 ≤ 2 (1,9 for cupon of less than 3%) years"]
[{"$nulls":3},"> 2 ≤ 3 (> 1,9 ≤ 2,8 for cupon of less than 3%) years"]
[{"$nulls":3},"> 3 ≤ 4 (> 2,8 ≤ 3,6 for cupon of less than 3%) years"]
[null,null,"1.3 Zone 3"]
[{"$nulls":3},"> 4 ≤ 5    (> 3,6 ≤ 4,3 for cupon of less than 3%) years"]
[{"$nulls":3},"> 5 ≤ 7     (> 4,3 ≤ 5,7 for cupon of less than 3%) years"]
[{"$nulls":3},"> 7 ≤ 10   (> 5,7 ≤ 7,3 for cupon of less than 3%) years"]
[{"$nulls":3},"> 10 ≤ 15 (> 7,3 ≤ 9,3 for cupon of less than 3%) years"]
[{"$nulls":3},"> 15 ≤ 20 (> 9,3 ≤ 10,6 for cupon of less than 3%) years"]
[{"$nulls":3},"> 20         (> 10,6 ≤ 12,0 for cupon of less than 3%) years"]
[{"$nulls":3},"                 (> 12,0 ≤ 20,0 for cupon of less than 3%) years"]
[{"$nulls":3},"                 (> 20 for cupon of less than 3%) years"]
[null,null,"1.a Matched weighted position in all maturity bands",{"$nulls":10},{"v":10,"d":"10.00"}]
[null,null,"1.b Matched weighted position in zone 1",{"$nulls":10},{"v":40,"d":"40.00"}]
[null,null,"1.c Matched weighted position in zone 2",{"$nulls":10},{"v":30,"d":"30.00"}]
[null,null,"1.d Matched weighted position in zone 3",{"$nulls":10},{"v":30,"d":"30.00"}]
[null,null,"1.e1 Matched weighted position between zone 1 and 2",{"$nulls":10},{"v":40,"d":"40.00"}]
[null,null,"1.e2 Matched weighted position between zone 2 and 3",{"$nulls":10},{"v":40,"d":"40.00"}]
[null,null,"1.f Matched weighted position between zone 1 and 3",{"$nulls":10},{"v":150,"d":"150.00"}]
[null,null,"1.g Residual unmatched weighted positions",{"$nulls":10},{"v":100,"d":"100.00"}]
[null,"    2 General risk. Duration-based approach"]
[null,null,"2.1 Zone 1"]
[null,null,"2.2 Zone 2"]
[null,null,"2.3 Zone 3"]
[null,null,"2.a Matched duration-weighted position in all zones",{"$nulls":10},{"v":2,"d":"2.00"}]
[null,null,"2.b1 Matched duration-weighted position between zone 1 and 2",{"$nulls":10},{"v":40,"d":"40.00"}]
[null,null,"2.b2 Matched duration-weighted position between zone 2 and 3",{"$nulls":10},{"v":40,"d":"40.00"}]
[null,null,"2.c Matched duration-weighted position between zone 1 and 3",{"$nulls":10},{"v":150,"d":"150.00"}]
[null,null,"2.d Residual unmatched duration-weighted positions",{"$nulls":10},{"v":100,"d":"100.00"}]
[null,"    3 Specific risk"]
[null,null,"3.1 Debt securities under the first category in Table 1 (paragraph 14 annex I, Directive 93/6) or article 19, paragraph 1",{"$nulls":10},{"v":0,"d":"0.00"}]
[null,null,"3.2 Debt securities under the second category in Table 1 (paragraph 14 annex I, Directive 93/6)"]
[{"$nulls":3},"3.2.a With residual term  ≤ 6 months",{"$nulls":9},0.25]
[{"$nulls":3},"3.2.b With a residual term > 6 months and ≤ 24 months",{"$nulls":9},{"v":1,"d":"1.00"}]
[{"$nulls":3},"3.2.c With a residual term > 24 months",{"$nulls":9},{"v":1.6,"d":"1.60"}]
[null,null,"3.3 Debt securities under the third category in Table 1 (paragraph 14 annex I, Directive 93/6)",{"$nulls":10},{"v":8,"d":"8.00"}]
[null,null,"3.4 Debt securities under the fourth category in Table 1 (paragraph 14 annex I, Directive 93/6)",{"$nulls":10},{"v":12,"d":"12.00"}]
[null,null,"3.5 Securitisation exposures subject to 1250% risk weighting or deduction and unrated liquidity facilities"]
[null,"    4 Particular approach for position risk in CIUs"]
[null,"    5 Margin-based approach for exchange traded futures and options"]
[null,"    6 Margin-based approach for OTC futures and options"]
[null,"    7 Other non-delta risks for options"]

{"sheet":"MKR SA TDI Ref list","index":20,"n_rows":47,"n_cols":4,"rows_kept":47,"hidden":true,"merged":[[4,1,4,3],[12,1,12,3],[45,1,45,3]],"flags":["formulas_cached_only"]}
[]
[null,"MKR SA TDI"]
[]
[null,"ID","Label","Legal references & Comments"]
[null,"COLUMNS"]
[null,1.2,"All positions","Articles 11 and 33 of Directive 93/6/EEC. These are gross positions not netted by instruments but excluding underwriting positions subcribed or sub-underwritten by third parties (Annex I, paragraph 41-firstly of the same Directive). Regarding the distinction between Long and Short positions, also applicable to these gross positions, see Annex I, paragraph 4, last sub-paragraph of the same Directive."]
[null,3,"Reduction effect for underwriting positions","Annex I, paragraph 41-secondly and 41-thirdly of Directive 93/6/EEC"]
[null,4.5,"Net positions","Annex I, paragraphs 1-5 and 13 of Directive 93/6/EEC. Regarding the distinction between Long and Short positions see Annex I, paragraph 4, last sub-paragraph of the same Directive"]
[null,6.7,"Allowance for specific risk due to credit derivatives","Annex I, paragraphs 42-46 of Directive 93/6/CEE. Reduction in the net positions to be subject to a capital charge for specific risk due to credit derivatives"]
[null,8,"Net position subject to capital charge","Those net positions that, according to the different appraches considered in Annex I of Directive 93/6/EEC, receive a capital charge"]
[null,null,"Risk capital charge","The capital charged (%) for position risks on the relevant net positions according to the different appraches considered in Annex I of Directive 93/6/EEC"]
[null,"9","Capital requirements","The capital charge for any relevant position according to Annex I of Directive 93/6/EEC"]
[null,"ROWS","ROWS"]
[null,null,"Traded debt instruments in trading book","Positions in traded debt instruments in Trading Book and their correspondent capital requirements for position risk according to article 18, paragraph 1 (a) and Annex I of Directive 93/6/CEE, and article 75 (b) of Directive 2000/12/EC"]
[null,"1","General risk. Maturity-based approach","Positions in traded debt instruments subject to the maturiry-based apprach according to Annex I, paragraphs 17-24 of Directive 93/6/CEE and their correspondent capital requirements set up in paragraph 25"]
[null,"1.1","Zone 1","Annex I, paragraph 20 Table 2 of Directive 93/6/EEC"]
[null,"1.2","Zone 2","Annex I, paragraph 20 Table 2 of Directive 93/6/EEC"]
[null,"1.3","Zone 3","Annex I, paragraph 20 Table 2 of Directive 93/6/EEC"]
[null,"1.a","Matched weighted position in all maturity bands","Annex I, paragraphs 19-25 of Directive 93/6/CEE "]
[null,"1.b","Matched weighted position in zone 1","Annex I, paragraphs 19-25 of Directive 93/6/CEE "]
[null,"1.c","Matched weighted position in zone 2","Annex I, paragraphs 19-25 of Directive 93/6/CEE "]
[null,"1.d","Matched weighted position in zone 3","Annex I, paragraphs 19-25 of Directive 93/6/CEE "]
[null,"1.e1","Matched weighted position between zone 1 and 2","Annex I, paragraphs 19-25 of Directive 93/6/CEE "]
[null,"1.e2","Matched weighted position between zone 2 and 3","Annex I, paragraphs 19-25 of Directive 93/6/CEE "]
[null,"1.f","Matched weighted position between zone 1 and 3","Annex I, paragraphs 19-25 of Directive 93/6/CEE "]
[null,"1.g","Residual unmatched weighted positions","Annex I, paragraphs 19-25 of Directive 93/6/CEE "]
[null,"2","General risk. Duration-based approach","Positions in traded debt instruments subject to the duration-based apprach according to Annex I, paragraphs 26-31 of Directive 93/6/CEE and their correspondent capital requirements set up in paragraph 32"]
[null,"2.1","Zone 1","Annex I, paragraph 29 Table 3 of Directive 93/6/EEC"]
[null,"2.2","Zone 2","Annex I, paragraph 29 Table 3 of Directive 93/6/EEC"]
[null,"2.3","Zone 3","Annex I, paragraph 29 Table 3 of Directive 93/6/EEC"]
[null,"2.a","Matched duration-weighted position in all zones","Annex I, paragraphs 28-32 of Directive 93/6/EEC "]
[null,"2.b1","Matched duration-weighted position between zone 1 and 2","Annex I, paragraphs 28-32 of Directive 93/6/EEC "]
[null,"2.b2","Matched duration-weighted position between zone 2 and 3","Annex I, paragraphs 28-32 of Directive 93/6/EEC "]
[null,"2.c","Matched duration-weighted position between zone 1 and 3","Annex I, paragraphs 28-32 of Directive 93/6/EEC "]
[null,"2.d","Residual unmatched duration-weighted positions","Annex I, paragraphs 28-32 of Directive 93/6/EEC "]
[null,"3","Specific risk","Positions in traded debt instruments subject to the specific risk capital charge and their correspondent capital charge according to Annex I, paragraphs 14-16 of Directive 93/6/EEC. Be also aware of last sentence of paragraph 1."]
[null,"3.1","Debt securities under the first category in Table 1 (paragraph 14 annex I, Directive 93/6) or article 19, paragraph 1","Positions in traded debt instruments subject to the specific risk capital charge and their correspondent capital charge according to Annex I, paragraphs 14-16 of Directive 93/6/EEC. Be also aware of last sentence of paragraph 1."]
[null,"3.2","Debt securities under the second category in Table 1 (paragraph 14 annex I, Directive 93/6)","Positions in traded debt instruments subject to the specific risk capital charge and their correspondent capital charge according to Annex I, paragraphs 14-16 of Directive 93/6/EEC. Be also aware of last sentence of paragraph 1."]
[null,"3.3","Debt securities under the third category in Table 1 (paragraph 14 annex I, Directive 93/6)","Positions in traded debt instruments subject to the specific risk capital charge and their correspondent capital charge according to Annex I, paragraphs 14-16 of Directive 93/6/EEC. Be also aware of last sentence of paragraph 1."]
[null,"3.4 ","Debt securities under the fourth category in Table 1 (paragraph 14 annex I, Directive 93/6)","Positions in traded debt instruments subject to the specific risk capital charge and their correspondent capital charge according to Annex I, paragraphs 14-16 of Directive 93/6/EEC. Be also aware of last sentence of paragraph 1."]
[null,"3.5","Securitization exposures subject to 1250% risk weighting or deduction and unrated liquidity facilities","Annex I, paragraph 14 of Directive 93/6/EEC"]
[null,"4","Particular approach for position risk in CIUs","Annex I, paragraphs 47-56 of Directive 93/6/EEC. Applicable when positions in CIUs or the underlying instruments are not treated in accordance with the methods set out in Annex V. It includes, if it is the case, the effects of applicable caps in the capital requirements. "]
[null,"5","Margin-based approach for exchange traded futures and options","Annex I, paragraphs 4-5 of Directive 93/6/EEC"]
[null,"6","Margin-based approach for OTC futures and options","Annex I, paragraphs 4-5 of Directive 93/6/EEC"]
[null,"7","Other non-delta risks for options","Annex I, paragraph 5, 3rd sub-paragraph, first sentence of Directive 93/6/EEC.\n\"It includes the additional capital requirement for other risks, apart from delta risk, associated with options (i.e. gamma and vega risks). This additional capital requirement may be assessed by different approaches (e.g. Simplified, Delta-plus or Scenario approaches referred to in Part A.5 of the Amendment to the Basel Capital Accord to Incorporate Market Risks, January 1996) and, as usually, it may be broken down into the different approaches aplicable if considered necessary by local supervisors.\""]
[null,"OTHERS"]
[null,null,"Currency","Annex I, paragraph 13 of Directive 93/6/EEC.\nBe aware that capital requirement for general and specific risk shall be calculated in each individual currency separately but may be reported aggregated for all the currencies"]

{"sheet":"MKR SA EQU","index":21,"n_rows":19,"n_cols":13,"rows_kept":19,"hidden":true,"merged":[[4,5,4,10],[4,11,6,11],[4,12,6,12],[5,5,5,6],[5,8,5,9]],"flags":["formulas_cached_only"]}
[]
[null,"MKR SA EQU",{"$nulls":4},"MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES"]
[null,"National market:"]
[]
[{"$nulls":5},"POSITIONS",{"$nulls":5},"RISK CAPITAL CHARGE\n(%)","CAPITAL REQUIREMENTS"]
[{"$nulls":5},"ALL POSITIONS",null,"REDUCTION EFFECT FOR UNDERWRITING POSITIONS","NET POSITIONS",null,"NET POSITIONS SUBJECT TO CAPITAL CHARGE"]
[{"$nulls":5},"LONG","SHORT",null,"LONG","SHORT"]
[{"$nulls":5},"(1)","(2)","(3)","(4)","(5)","(6)",null,"(7)"]
[null,"EQUITIES IN TRADING BOOK",{"$nulls":10},"Link to CA template"]
[null,"    1 General risk",{"$nulls":9},{"v":8,"d":"8.00"}]
[null,null,"1.1 Exchange traded stock-index futures broadly diversified subject to particular approach"]
[null,null,"1.2 Other equities than exchange traded stock-index futures broadly diversified"]
[null,"    2 Specific risk"]
[null,null,"2.1 High quality, liquid and diversified portfolios subject to lower capital requirements",{"$nulls":8},{"v":2,"d":"2.00"}]
[null,null,"2.2 Other equities than high quality, liquid and diversified portfolios",{"$nulls":8},{"v":4,"d":"4.00"}]
[null,"    3 Particular approach for position risk in CIUs"]
[null,"    4 Margin-based approach for exchange-traded futures and options"]
[null,"    5 Margin-based approach for OTC futures and options"]
[null,"    6 Other non-delta risks for options"]

{"sheet":"MKR SA EQU Ref list","index":22,"n_rows":25,"n_cols":4,"rows_kept":25,"hidden":true,"merged":[[4,1,4,3],[11,1,11,3],[23,1,23,3]],"flags":["formulas_cached_only"]}
[]
[null,"MKR SA EQU"]
[]
[null,"ID","Label","Legal references & Comments"]
[null,"COLUMNS"]
[null,1.2,"All positions","Articles 11 and 33 of Directive 93/6/EEC. These are gross positions not netted by instruments but excluding underwriting positions subcribed or sub-underwritten by third parties (Annex I, paragraph 4-firstly of the same Directive). Regarding the distinction between Long and Short positions, also applicable to these gross positions, see Annex I, paragraph 4, last sub-paragraph of the same Directive."]
[null,3,"Reduction effect for underwriting positions","Annex I, paragraph 41-secondly of Directive 93/6/EEC"]
[null,4.5,"Net positions","Annex I, paragraphs 1-5 of Directive 93/6/EEC. Regarding the distinction between Long and Short positions see Annex I, paragraph 4, last sub-paragraph of the same Directive"]
[null,6,"Net position subject to capital charge","Those net positions that, according to the different appraches considered in Annex I of Directive 93/6/EEC, receive a capital charge"]
[null,null,"Risk capital charge","The capital charged (%) for position risks on the relevant net positions according to the different appraches considered in Annex I of Directive 93/6/EEC"]
[null,"7","Capital requirements","The capital charge for any relevant position according to Annex I of Directive 93/6/EEC"]
[null,"ROWS"]
[null,null,"Equities in Trading Book","Positions in traded debt instruments in Trading Book and their correspondent capital requirements for position risk according to article 18, paragraph 1 (a) and Annex I of Directive 93/6/CEE, and article 75 (b) of Directive 2000/12/EC"]
[null,1,"General risk","Positions in equities subject to general risk  and their correspondent capital requirement according to Annex I, paragraphs 36 and 39-40 of Directive 93/6/CEE"]
[null,"1.1","Exchange traded stock-index futures broadly diversified and subject to particular approach","Annex I, paragraphs 39-40 of Directive 93/6/EEC"]
[null,"1.2","Other equities than exchange traded stock-index futures broadly diversified","Annex I, paragraph 34 of Directive 93/6/EEC"]
[null,"2","Specific risk","Positions in equities subject to specific risk and the correspondent capital requirement according to Annex I, paragraphs 34-35 and 39-40 of Directive 93/6/EEC. Be also aware of last sentence of paragraph 1."]
[null,"2.1","High quality, liquid and diversified portfolios subject to lower capital requirements","Annex I, paragraph 35 of Directive 93/6/EEC"]
[null,"2.2","Other equities than high quality, liquid and diversified portfolios","Annex I, paragraph 34 of Directive 93/6/EEC"]
[null,"3","Particular approach for position risk in Cius","Annex I, paragraphs 47-56 of Directive 93/6/EEC.  Applicable when positions in CIUs or the underlying instruments are not treated in accordance with the methods set out in Annex V. It includes, if it is the case, the effects of applicable caps in the capital requirements."]
[null,"4","Margin-based approach for exchange traded futures and options","Annex I, paragraphs 4-5 of Directive 93/6/EEC"]
[null,"5","Margin-based approach for OTC futures and options","Annex I, paragraphs 4-5 of Directive 93/6/EEC"]
[null,"6","Other non-delta risks for options","Annex I, paragraph 5, 3rd sub-paragraph, first sentence of Directive 93/6/EEC\n\"It includes the additional capital requirement for other risks, apart from delta risk, associated with options (i.e. gamma and vega risks). This additional capital requirement may be assessed by different approaches (e.g. Simplified, Delta-plus or Scenario approaches referred to in Part A.5 of the Amendment to the Basel Capital Accord to Incorporate Market Risks, January 1996) and, as usually, it may be broken down into the different approaches aplicable if considered necessary by local supervisors.\""]
[null,"OTHERS"]
[null,null,"National market","National supervisors may decide that the long or short position in the market must be calculated on a market-by-market basis, i.e a separate  calculation has to be carried out for each national market in which the bank holds equities (Ammendment to the Capital Accord to Incorporate Market Risks: A.2, paragraph 2)"]

{"sheet":"MKR SA FX","index":23,"n_rows":33,"n_cols":18,"rows_kept":33,"hidden":true,"merged":[[4,5,4,8],[4,9,6,10],[4,11,6,13],[4,14,6,16],[4,17,7,17],[5,5,7,5],[5,6,7,6],[5,7,5,8],[6,7,6,8]],"flags":["formulas_cached_only"]}
[]
[null,"MKR SA FX",{"$nulls":5},"MARKET RISK STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK"]
[]
[]
[{"$nulls":5},"ALL POSITIONS",{"$nulls":3},"NET POSITIONS",null,"POSITIONS SUBJECT TO CAPITAL CHARGE\n(Including redistribution of unmatched positions in currencies subject to special treatment for matched positions)",null,null,"RISK CAPITAL CHARGE\n(%)",null,null,"CAPITAL REQUIREMENTS"]
[{"$nulls":5},"LONG","SHORT","Memorandum items:"]
[{"$nulls":7},"Hedging positions for capital ratio"]
[{"$nulls":7},"Long","Short","LONG","SHORT","LONG","SHORT","MATCHED","LONG","SHORT","MATCHED"]
[{"$nulls":5},"(1)","(2)","(3)","(4)","(5)","(6)","(7)","(8)","(9)",{"$nulls":3},"(10)"]
[null,"TOTAL POSITIONS IN NON-REPORTING CURRENCIES",{"$nulls":15},"Link to Ca"]
[null,"    1 Currencies in second stage of EMU",{"$nulls":14},"1,6"]
[null,"    2 Currencies subject to intergovernmental agreements"]
[null,"    3 Currencies closely correlated",{"$nulls":14},{"v":4,"d":"4.00"}]
[null,"    4 All other currencies (inc. CIUs trated as different currencies)",{"$nulls":12},{"v":8,"d":"8.00"},{"v":8,"d":"8.00"}]
[null,"    5 Gold",{"$nulls":12},{"v":8,"d":"8.00"},{"v":8,"d":"8.00"}]
[null,"    6 Other non-delta risks for currency options"]
[null,"Memorandum items: Currency positions"]
[null,null,"Euro"]
[null,null,"ERM2 currencies"]
[{"$nulls":3},"DKK"]
[{"$nulls":3},"EEK"]
[{"$nulls":3},"LTL"]
[{"$nulls":3},"SIT"]
[null,null,"GBP"]
[null,null,"SEK"]
[null,null,"CHF"]
[null,null,"Other EEE currencies"]
[null,null,"USD"]
[null,null,"CAD"]
[null,null,"AUD"]
[null,null,"JPY"]
[null,null,"Other non-EEE currencies"]
[null,null,"CIUs trated as separate currencies"]

{"sheet":"MKR SA FX Ref list","index":24,"n_rows":32,"n_cols":4,"rows_kept":32,"hidden":true,"merged":[[4,1,4,3],[12,1,12,3]],"flags":["formulas_cached_only"]}
[]
[null,"MKR SA FX"]
[]
[null,"ID","Label","Legal references & Comments"]
[null,"COLUMNS"]
[null,1,"All positions: Long","Gross positions due to assets, amounts to be received and similar items referred to in Annex III, paragraph 2.1 of Directive 93/6/EEC"]
[null,2,"All positions: Short","Gross positiions due to liabilities, amounts to be paid and similar items referred to in Annex III, paragraph 2.1 of Directive 93/6/EEC"]
[null,3.4,"Memorandum item: Hedging positions for capital ratio","Annex III, paragraph 2.1, penultimate sub-paragraph of Directive 93/6/EEC"]
[null,5.6,"Net positions","Annex III, paragraph 2.1, last sub-paragraph of Directive 93/6/EEC. The net positions are calculated by each currency, accordingly there may be simoultaneos long and short positions."]
[null,"7,8,9","Positions subject to capital charge","Annex III, paragraphs 2.2, 3.1 and 3.2 of Directive 93/6/EEC"]
[null,null,"Risk capital charge (%)","Annex III, paragraphs 1, 3.1 and 3.2 of Directive 93/6/EEC"]
[null,10,"Capital requirements","The capital charge for any relevant position according to Annex III of Directive 93/6/EEC"]
[null,"ROWS"]
[null,null,"TOTAL POSITIONS IN NON-REPORTING CURRENCIES","Positions in non-reporting currencies and their correspondent capital requirements according to article 18, paragraph 1 (b) and Annex III, paragraph 2.2 (for conversion into the reporting currency) of Directive 93/6/EEC and article 75 (c) of Directive 2000/12/EC"]
[null,"1","Currencies in second stage of EMU","Positions and their correspondent capital requirements for currencies referred to in Annex III, paragraph 3.2, last sub-paragraph of Directive 93/6/EEC"]
[null,"2","Currencies subject to intergovernmental agreements","Positions and their correspondent capital requirements for currencies referred to in Annex III, paragraph 3.2, first sub-paragraph of Directive 93/6/EEC"]
[null,"3","Currencies closely correlated","Positions and their correspondent capital requirements for currencies referred to in Annex III, paragraph 3.1 of Directive 93/6/EEC"]
[null,"4","All other currencies (inc. CIUs trated as different currencies)","Positions and their correspondent capital requirements for currencies subject to the general procedure referred to in Annex III, paragraphs 1 and 2.2 of Directive 93/6/EEC. It is also relevant to take into account the unmatched positions arising from the application of the special treatments considered in paragraphs 3.1, 3.2 and 3.3"]
[null,"5","Gold","Positions and their correspondent capital requirements for currencies subject to the general procedure referred to in Annex III, paragraphs 1 and 2.2 of Directive 93/6/EEC. "]
[null,"6","Other non-delta risks for currency options","Annex I, paragraph 5, 3rd sub-paragraph, first sentence of Directive 93/6/EEC\n\"It includes the additional capital requirement for other risks, apart from delta risk, associated with options (i.e. gamma and vega risks). This additional capital requirement may be assessed by different approaches (e.g. Simplified, Delta-plus or Scenario approaches referred to in Part A.5 of the Amendment to the Basel Capital Accord to Incorporate Market Risks, January 1996) and, as usually, it may be broken down into the different approaches aplicable if considered necessary by local supervisors.\""]
[null,null,"Memorandum items: Currency positions","Following international codification"]
[null,null,"Euro"]
[null,null,"ERM2 currencies","Currencies under the Exchange Rate Mechanism 2"]
[null,null,"GBP"]
[null,null,"SEK"]
[null,null,"CHF"]
[null,null,"Other EEE currencies","Other currencies of countries in the European Economic "]
[null,null,"USD"]
[null,null,"CAD"]
[null,null,"AUD"]
[null,null,"Other currencies","Rest of non-reporting currencies"]
[null,null,"CIUs trated as separate currencies","Annex III, paragraph 2.1, last sub-paragraph of Directive 93/6/EEC"]

{"sheet":"MKR SA COM","index":25,"n_rows":43,"n_cols":15,"rows_kept":43,"hidden":true,"merged":[[4,6,4,9],[4,10,6,11],[4,12,7,12],[4,13,7,13],[4,14,7,14],[5,6,7,6],[5,7,7,7],[5,8,5,9],[6,8,6,9]],"flags":["formulas_cached_only"]}
[]
[null,"MKR SA COM",{"$nulls":6},"MARKET RISK STANDARDISED APPROACHES FOR COMMODITIES"]
[null,"Commodity:"]
[]
[{"$nulls":6},"ALL POSITIONS",{"$nulls":3},"NET POSITIONS",null,"POSITIONS SUBJECT TO CAPITAL CHARGE","RISK CAPITAL CHARGE\n(%)","CAPITAL REQUIREMENTS"]
[{"$nulls":6},"LONG","SHORT","MEMORANDUM ITEMS:"]
[{"$nulls":8},"Positions which are purely stock financing"]
[{"$nulls":8},"Long","Short","LONG","SHORT"]
[{"$nulls":6},"(1)","(2)","(3)","(4)","(5)","(6)","(7)",null,"(8)"]
[null,"TOTAL POSITIONS IN COMMODITIES",{"$nulls":12},"Link to CA"]
[null,null,"1 Maturity ladder approach"]
[null,"    ",null,"1.1 Maturity zone ≤ 1 year"]
[{"$nulls":4},"0 ≤ 1 month"]
[{"$nulls":4},"> 1 ≤ 3 months"]
[{"$nulls":4},"> 3 ≤ 6 months"]
[{"$nulls":4},"> 6 ≤ 12 months"]
[null,"    ",null,"1.2 Maturity zone > 1 year and ≤ 3 years"]
[{"$nulls":4},"> 1 ≤ 2 years"]
[{"$nulls":4},"> 2 ≤ 3 years"]
[null,"    ",null,"1.3 Maturity zone > 3 years"]
[null,"    ",null,"1.a Matched long and short positions within each maturity band",{"$nulls":9},{"v":1.5,"d":"1.50"}]
[{"$nulls":3},"1.b Matched positions between two maturity bands",{"$nulls":9},{"v":0.6,"d":"0.60"}]
[{"$nulls":3},"1.c Residual unmatched positions",{"$nulls":9},{"v":15,"d":"15.00"}]
[null,null,"2 Extended maturity ladder approach"]
[{"$nulls":3},"2.1 Maturity zone ≤ 1 year"]
[{"$nulls":4},"0 ≤ 1 month"]
[{"$nulls":4},"> 1 ≤ 3 months"]
[{"$nulls":4},"> 3 ≤ 6 months"]
[{"$nulls":4},"> 6 ≤ 12 months"]
[{"$nulls":3},"2.2 Maturity zone > 1 year and ≤ 3 years"]
[{"$nulls":4},"> 1 ≤ 2 years"]
[{"$nulls":4},"> 2 ≤ 3 years"]
[{"$nulls":3},"2.3 Maturity zone > 3 years"]
[null,"    ",null,"2.a Matched long and short positions within each maturity band"]
[{"$nulls":3},"2.b Matched positions between two maturity bands"]
[{"$nulls":3},"2.c Residual unmatched positions"]
[null,null,"3 Simplified approach: All positions"]
[{"$nulls":3},"3.a Net positions",{"$nulls":9},{"v":15,"d":"15.00"}]
[{"$nulls":3},"3.b Gross positions",{"$nulls":9},{"v":3,"d":"3.00"}]
[null,null,"4 Margin-based approach for exchange traded futures and options"]
[null,null,"5 Margin-based approach for OTC futures and options"]
[null,null,"6 Other non-delta risks for commodity options"]
[null,null,"7 Risk of shortage of liquidity"]

{"sheet":"MKR SA COM Ref list","index":26,"n_rows":33,"n_cols":4,"rows_kept":33,"hidden":true,"merged":[[4,1,4,3],[10,1,10,3],[31,1,31,3]],"flags":["formulas_cached_only"]}
[]
[null,"MKR SA COM"]
[]
[null,"ID","Label","Legal references & Comments"]
[null,"COLUMNS"]
[null,1.2,"All positions: Long / Short","Gross long/short positions considered positions in the same commodity according to Annex IV, paragraphs 1 and 7 (see also 13) of Directive 93/6/EEC"]
[null,3.4,"Memorandum items: Positions which are purely stock financing","Annex IV, paragraph 3 of Directive 93/6/EEC"]
[null,5.6,"Positions subject to capital charge","Those net positions that, according to the different appraches considered in Annex IV of Directive 93/6/EEC, receive a capital charge"]
[null,7,"Risk capital charge (%)","The capital charged (%) for market risks on the relevant net positions according to the different appraches considered in Annex IV of Directive 93/6/EEC"]
[null,8,"Capital requirements","The capital charge for any relevant position according to Annex IV of Directive 93/6/EEC"]
[null,"ROWS"]
[null,null,"TOTAL POSITIONS IN COMMODITIES","Positions in commodities and their correspondent capital requirements for market risk according to article 18, paragraph 1 (b) and Annex IV of Directive 93/6/CEE, and article 75 (c) of Directive 2000/12/EC"]
[null,1,"Maturity ladder approach","Positions in commodities subject to the Maturity Ladder approach as referred to in Annex IV, paragraphs 13-18 of Directive 93/6/EEC"]
[null,"1.1","Maturity zone ≤ 1 year","Annex IV, paragraph 13 Table 1 of Directive 93/6/EEC"]
[null,"1.2","Maturity zone > 1 year and ≤ 3 years","Annex IV, paragraph 13 Table 1 of Directive 93/6/EEC"]
[null,"1.3","Maturity zone > 3 years","Annex IV, paragraph 13 Table 1 of Directive 93/6/EEC"]
[null,"1.a","Matched long and short positions within each maturity band","Annex IV, paragraph 17 (a) of Directive 93/6/EEC"]
[null,"1.b","Matched positions between two maturity bands","Annex IV, paragraph 17 (b) of Directive 93/6/EEC"]
[null,"1.c","Residual unmatched positions","Annex IV, paragraph 17 (c) of Directive 93/6/EEC"]
[null,"2","Extended maturity ladder approach","Positions in commodities subject to the Extended Maturity Ladder approach as referred to in Annex IV, paragraph 21of Directive 93/6/EEC"]
[null,"2.1","Maturity zone ≤ 1 year","Annex IV, paragraph 13 Table 1 of Directive 93/6/EEC"]
[null,"2.2","Maturity zone > 1 year and ≤ 3 years","Annex IV, paragraph 13 Table 1 of Directive 93/6/EEC"]
[null,"2.3","Maturity zone > 3 years","Annex IV, paragraph 13 Table 1 of Directive 93/6/EEC"]
[null,"2.a","Matched long and short positions within each maturity band","Annex IV, paragraph 17 (a) and 21 Table 2 of Directive 93/6/EEC"]
[null,"2.b","Matched positions between two maturity bands","Annex IV, paragraph 17 (b) and 21 Table 2 of Directive 93/6/EEC"]
[null,"2.c","Residual unmatched positions","Annex IV, paragraph 17 (c) and 21 Table 2 of Directive 93/6/EEC"]
[null,"3","Simplified approach: All positions","Positions in commodities subject to the Simplified approach as referred to in Annex IV, paragraph 19-20 of Directive 93/6/EEC"]
[null,"4","Margin-based approach for exchange traded futures and options","Annex IV, paragraph 8, 2nd sub-paragraph of Directive 93/6/EEC"]
[null,"5","Margin-based approach for OTC futures and options","Annex IV, paragraph 8, 3rd sub-paragraph of Directive 93/6/EEC"]
[null,"6","Other non-delta risks for commodity options","Annex IV, paragraph 10, 3rd sub-paragraph of Directive 93/6/EEC\n\"It includes the additional capital requirement for other risks, apart from delta risk, associated with options (i.e. gamma and vega risks). This additional capital requirement may be assessed by different approaches (e.g. Simplified, Delta-plus or Scenario approaches referred to in Part A.5 of the Amendment to the Basel Capital Accord to Incorporate Market Risks, January 1996) and, as usually, it may be broken down into the different approaches aplicable if considered necessary by local supervisors.\""]
[null,"7","Risk of shortage of liquidity","Annex IV, paragraph 5 of Directive 93/6/EEC"]
[null,"OTHERS"]
[null,null,"Commodity","Annex IV, paragraphs 17 to 20 of Directive 93/6/EEC.\nBe aware that capital requirements for general and specific risks shall be calculated in each individual commodity separately. Nevertheless, for reporting purposes supervisors may require that positions in commodities are grouped together or in the four main groups of commodities referred to in Table 2."]

{"sheet":"MKR IM","index":27,"n_rows":18,"n_cols":10,"rows_kept":18,"hidden":true,"merged":[[1,2,1,9],[3,1,5,2],[3,3,4,3],[3,4,4,4],[3,5,4,5],[3,6,4,6],[3,7,4,7],[3,8,3,9],[6,1,6,2],[7,1,7,2],[8,1,8,2],[9,1,9,2],[10,1,10,2],[11,1,11,2],[12,1,12,2],[13,1,13,2],[14,1,14,2],[15,1,15,2],[16,1,16,2],[17,1,17,2]],"flags":["formulas_cached_only"]}
[]
[null,"MKR IM","MARKET RISK INTERNAL MODELS"]
[]
[{"$nulls":3},"MULTIPLICATION FACTOR x AVERAGE OF PREVIOUS 60 WORKING DAYS VaR","PREVIOUS DAY VaR","SPECIFIC RISK SURCHARGE","INCREMENTAL DEFAULT RISK SURCHARGE","CAPITAL REQUIREMENTS","Memorandum items:"]
[{"$nulls":8},"Number of overshootings\nduring previous 250 working days","Multiplication Factor"]
[{"$nulls":3},"(1)","(2)","(3)","(4)","(5)=Max [(1),(2)]+(3)+(4)","(6)","(7)"]
[null,"TOTAL POSITIONS",{"$nulls":5},"Link to CA template"]
[null,"Memorandum items: breakdown of market risk"]
[null,"\n1 Traded debt instruments"]
[null,"   1.1 TDI - General risk"]
[null,"   1.2 TDI - Specific Risk"]
[null,"2 Equities"]
[null,"   2.1 Equities - General risk"]
[null,"   2.2 Equities - Specific Risk"]
[null,"3 Foreign Exchange risk"]
[null,"4 Commodity risk"]
[null,"5 Total amount for general risk"]
[null,"6 Total amount for specific risk"]

{"sheet":"MKR IM Ref list","index":28,"n_rows":24,"n_cols":4,"rows_kept":24,"hidden":true,"merged":[[4,1,4,3],[12,1,12,3]],"flags":["formulas_cached_only"]}
[]
[null,"MKR IM"]
[]
[null,"ID","Label","Legal References & Comments"]
[null,"COLUMNS"]
[null,1,"Multiplication factor x Average of previous 60 working days VaR","Annex 5 point 10 b and, if applicable, paragraph 8 of Directive 93/6"]
[null,2,"Previous day VaR","Annex 5 point 10 a and, if applicable, paragraph 8 of Directive 93/6"]
[null,3,"Specific risk charge","Article 45c of Directive 93/6. If applicable, the specific risk surcharge according to annex 5 point 8 of Directive 93/6 as stood prior to 31 December 2006."]
[null,4,"Incremental default risk surcharge","If applicable, the incremental default risk surcharge according to annex 5 paragraph 4 of Directive 93/6 should be included"]
[null,5,"Capital Requirements","Directive 93/6/EEC , annex 5 point 10  and 8: total VAR of all risk factors taking into account correlation effects if applicable."]
[null,6,"Number of overshootings (during previous 250 working days)","Annex 5 paragraph 7 of Directive 93/6"]
[null,7,"Multiplication Factor","Annex 5 paragraphs  6 and 7 of Directive 93/6"]
[null,"ROWS"]
[null,null,"Total Positions","Corresponds to the part of position risk referred to in annex 5 paragraph 1 linked to the risk factors specified in paragraph 13 of Directive 93/6"]
[null,"1","Traded debt instruments","Corresponds to the part of position risk referred to in annex 5 paragraph 1 linked to the interest rates risk factors as specified in paragraph 13 of Directive 93/6"]
[null,"1.1","TDI General Risk","General risk defined in Annex 1 paragraph 12 of Directive 93/6"]
[null,"1.2","TDI Specific Risk","Specific risk defined in Annex 1 paragraph 12 of Directive 93/6"]
[null,"2","Equities","Corresponds to the part of position risk referred to in annex 5 paragraph 1 linked to the equity risk factors as specified in paragraph 13 of Directive 93/6"]
[null,"2.1","Equities General Risk","General risk defined in Annex 1 paragraph 12 of Directive 93/6"]
[null,"2.2","Equities Specific Risk","Specific risk defined in Annex 1 paragraph 12 of Directive 93/6"]
[null,"3","Foreign exchange risk","Annex 5 paragraphs 1 and 13 of Directive 93/6"]
[null,"4","Commodities risk","Annex 5 paragraphs 1 and 13 of Directive 93/6"]
[null,"5","Total amount for general risk","Directive 93/6/EEC , annex 5 paragraphs 10 a or 10 b : VAR for general risk of all risk factors (taking into account correlation effects if applicable). If applicable, correlation effects should be taken into account"]
[null,"6","Total amount for specific risk","Directive 93/6/EEC , annex 5 point 8 : VAR for specific risk of equities and traded debt instruments of trading book (taking into account correlation effects if applicable). If applicable, correlation effects should be taken into account"]

{"sheet":"MKR IM Details","index":29,"n_rows":33,"n_cols":10,"rows_kept":33,"hidden":true,"merged":[[11,1,13,1],[11,2,11,5],[11,6,13,6],[11,7,13,7],[11,8,12,9],[12,2,12,3],[12,4,13,4],[12,5,13,5]],"flags":["formulas_cached_only"]}
[]
[null,"MKR IM Details","MARKET RISKS INTERNAL MODELS DETAILS"]
[]
[null,"BASIC INFORMATION"]
[null,"REGULATORY VaR",{"$nulls":3},"INTERNAL VaR"]
[null,"INSTRUMENT CODE FOR REGULATORY MODEL","SPECIFIC RISK EQUITIES CALCULATION CODE","SPECIFIC RISK DEBT INSTRUMENTS CALCULATION CODE","P&L CODE USED FOR THE CALCULATION OF NUMBER OF OVERSHOOTINGS","CONFIDENCE INTERVAL OF INTERNAL VaR (a)","HOLDING PERIOD OF INTERNAL VaR (b)"]
[null,"(1)","(2)","(3)","(4)","(5)","(6)"]
[]
[]
[]
[]
[null,"Day ","REGULATORY VaR ",{"$nulls":3},"INTERNAL VaR\n(c) ","INTERNAL VaR LIMIT\n(d)","P&L EFFECTIVELY USED FOR BACKTESTING"]
[null,null,"CONFIDENCE LEVEL = 99%",null,"SPECIFIC RISK SURCHARGE","INCREMENTAL DEFAULT RISK SURCHARGE"]
[null,null,"Var (T=10)","VaR (T=1)",{"$nulls":4},"Hypothetical","Actual"]
[null,"(7)","(8)","(9)","(10)","(11)","(12)","(13)","(14)","(15)"]
[null,1]
[null,2]
[null,3]
[null,4]
[null,5]
[null,6]
[null,7]
[null,8]
[null,9]
[null,10]
[null,"…"]
[null,"…"]
[null,91]
[null,92]
[]
[null,"(a) To be filled out in case that the internal VaR calculation is based on a confidence interval different from 99 % "]
[null,"(b) To be filled out in case that the internal VaR calculation is based on a holding period different from 10 days"]
[null,"(c) To be filled out in case that the internal VaR calculation differs from (8) or (9)"]

{"sheet":"MKR IM Details Ref list","index":30,"n_rows":21,"n_cols":4,"rows_kept":21,"hidden":true,"merged":[[4,1,4,3]],"flags":["formulas_cached_only"]}
[]
[null,"MKR IM Details"]
[]
[null,"ID","Label","Legal References & Comments"]
[null,"COLUMNS"]
[{"$nulls":3},"GENERAL COMMENT: This template may be required for each individual model used and/or for the aggregation of all the individual models. Accordingly, in the case of the aggregation of all the individual models, some of the codes that follows, that may be incompatible at the individual level, may be reported simultaneously."]
[null,1,"Instrument code","The Instrument code indicates the instrument category or categories covered by the regulatory model:\n1 = equities;\n2 = debt instruments;\n3 = foreign currencies;\n4 = commodities.\nFor instance, if a VaR (total) is calculated for equities, debt instruments and foreign currencies, the code is 123."]
[null,2,"Specific risk equities calculation code ","Indicates the specific risk calculation code for equities. These code are: \n1 = specific risk is not modeled; \n2 = specific risk is modeled, including event and default risk (cfannex V, paragraph 9 of directive 93/6/EEC);  \n3 = specific risk is modeled, excluding event and default risk, with that part of the value-at risk that concerns specific risk (cf. annex V, paragraph 8, a) of the directive 93/6/EEC); \n4 = specific risk is modeled, excluding event and default risk, with a calculation for subtrading books involving specific risk (cf. annex V, paragraph 8, b) of directive 93/6/EEC)."]
[null,3,"Specific risk debt instrument calculation code  ","Indicate the specific risk calculation code for debt instruments. These code are: \n1 = specific risk is not modeled; \n2 = specific risk is modeled, including event and default risk (cfannex V, paragraph 9 of directive 93/6/EEC);  \n3 = specific risk is modeled, excluding event and default risk, with that part of the value-at risk that concerns specific risk (cf. annex V, paragraph 8, a) of the directive 93/6/EEC); \n4 = specific risk is modeled, excluding event and default risk, with a calculation for subtrading books involving specific risk (cf. annex V, paragraph 8, b) of directive 93/6/EEC)."]
[null,4,"P&L code used for the calculation of number of overshootings","The P&L code indicates the type of results that are used to calculate the plus-factor (cf. annex V, paragraph 7 of the directive 93/6/EEC): \n1 = actual trading results for the days concerned (cf. annex V, paragraph 3 of the directive 93/06/EEC); \n2 = hypothetical trading results for the days concerned on the positions fixed at the end of the previous (trading) day (cf. annex V, paragraph 3 of the directive 93/6/EEC"]
[null,5,"Confidence interval of internal VaR","Confidence interval used for risk management purpose (no legal reference); To be filled out in case that the internal VaR calculation is based on a confidence interval different from 99 % "]
[null,6,"Holding period of internal VaR ","Holding period used for risk management purpose (no legal reference); To be filled out in case that the internal VaR calculation is based on a holding period different from 10 days"]
[null,7,"Day","Predefined; ranging from 1 to 92"]
[null,8,"Regulatory VaR (confidence interval = 99 %) Var (T=10)","VaR calculated in accordance of provisions in annex 5 of the Directive 93/6/EEC, before application of a multiplication factor, with a holding period of 10 days and an confidence interval of 99 %."]
[null,9,"Regulatory VaR (confidence interval = 99 %) Var (T=1)","VaR calculated in accordance of provisions in annex 5 of the Directive 93/6/EEC, before application of a multiplication factor, with a holding period of 1 day and an confidence interval of 99 %."]
[null,10,"VaR S (specific risk surchage)","Surcharge for specific risk defined in annex V, paragraph 8 of directive 93/06/EEC"]
[null,11,"Internal VaR","VaR result used for risk management purposes. Calculations must be based on the informations provided in columns 5 and 6"]
[null,12,"Internal VaR Limit","Internal VaR limit related to the internal VaR. Calculations must be based on the informations provided in columns 5 and 6"]
[null,null,"P&L effectively used for  backtesting:","Only one of the following two P&L will be used"]
[null,13,"Hypothetical","Hypothetical daily P&L defined in annex V, paragraph 3 of directive 93/06/EEC"]
[null,14,"Actual","Real daily P&L defined in annex V, paragraph 3 of directive 93/06/EEC"]

{"sheet":"OPR","index":31,"n_rows":24,"n_cols":15,"rows_kept":24,"hidden":true,"merged":[[3,1,6,1],[3,8,5,8],[3,10,3,14],[4,2,5,2],[4,3,5,3],[4,4,5,4],[4,5,5,5],[4,6,5,6],[4,7,5,7],[4,9,5,9],[4,10,5,10],[4,11,5,11],[4,12,4,13],[4,14,5,14]],"flags":["formulas_cached_only"]}
[]
[null,"OPR",{"$nulls":4},"OPERATIONAL RISK"]
[]
[null,"BANKING ACTIVITIES","GROSS INCOME",null,null,"LOANS AND ADVANCES\n(IN CASE OF ASA APPLICATION)",null,null,"CAPITAL\nREQUIREMENTS",null,"AMA MEMORANDUM ITEMS TO BE REPORTED IF APPLICABLE"]
[null,null,"YEAR-3","YEAR-2","LAST YEAR","YEAR-3","YEAR-2","LAST YEAR",null,"OF WHICH:\nDUE TO AN ALLOCATION MECHANISM","CAPITAL REQUIREMENTS BEFORE ALLEVIATION DUE TO EXPECTED LOSS AND RISK TRANSFER MECHANISMS","ALLEVIATION OF CAPITAL REQUIREMENTS DUE TO THE EXPECTED LOSS CAPTURED IN BUSINESS PRACTICES","ALLEVIATION OF CAPITAL REQUIREMENTS DUE TO RISK TRANSFER MECHANISMS",null,"EXCESS ON LIMIT FOR CAPITAL ALLEVIATION OF RISK TRANSFER MECHANISMS"]
[{"$nulls":13},"OF WHICH: DUE TO INSURANCE"]
[null,null,1,2,3,4,5,6,7,8,"9 = 7+10+11",10,11,12,13]
[null,"1. TOTAL BANKING ACTIVITIES SUBJECT TO BASIC INDICATOR APPROACH (BIA)",{"$nulls":6},"Cell linked to the CA templae"]
[null,"2. TOTAL BANKING ACTIVITIES SUBJECT TO STANDARDISED (STA) / ALTERNATIVE STANDARDISED (ASA) APPROACHES",{"$nulls":6},"Cell linked to the CA templae"]
[null,"SUBJECT TO STA:"]
[null,"CORPORATE FINANCE (CF)"]
[null,"TRADING AND SALES (TS)"]
[null,"RETAIL BROKERAGE (RBr)"]
[null,"COMMERCIAL BANKING (CB)"]
[null,"RETAIL BANKING (RB)"]
[null,"PAYMENT AND SETTLEMENT (PS)"]
[null,"AGENCY SERVICES (AS)"]
[null,"ASSET MANAGEMENT (AM)"]
[null,"SUBJECT TO ASA:"]
[null,"COMMERCIAL BANKING (CB)"]
[null,"RETAIL BANKING (RB)"]
[null,"3. TOTAL BANKING ACTIVITIES SUBJECT TO AMA (a)",{"$nulls":6},"Cell linked to the CA template"]
[]
[null,"(a) Information on the Gross Income for activities subject to AMA calculations will be provided in the case of combined use of different methodologies as indicated in Annex 10 part 4"]

{"sheet":"OPR Ref list","index":32,"n_rows":19,"n_cols":4,"rows_kept":19,"hidden":true,"merged":[[4,1,4,3],[13,1,13,3]],"flags":["formulas_cached_only"]}
[]
[null,"OPR"]
[]
[null,"ID","Label","Legal References & Comments"]
[null,"COLUMNS"]
[null,"1,2,3","Gross Income","For the definition and time horizon see Annex X, Part 1, Paragraphs 2-9 and Part 2, paragraphs 4 and 5, of Directive 2000/12"]
[null,"4,5,6","Loans and advances (in case of ASA application)","Annex X, Part 2, Paragraphs 10-12"]
[null,"7","Capital requirements","The capital charge for operational risk calculated according to Annex X of Directive 2000/12"]
[null,"8","Of which: due to an allocation mechanism","Annex X, Part 3, Paragraphs 30-31. To be reported only by those institutions that apply the allocation mechanism."]
[null,"9","Capital requirements before alleviation due to expected loss and risk transfer mechanisms","For the treatment of expected loss see Annex X, Part 3, Paragraph  8. Risk transfer mechanisms encompass insurance and other risk transfer mechanisms as referred to in annex X, part 3, paragraph 25."]
[null,"10","Alleviation of capital requirements due to the expected loss captured in business practices","For the treatment of expected loss see Annex X, Part 3, Paragraph  8"]
[null,"11","Alleviation of capital requirements due to risk transfer mechanisms","Annex X, Part 3, Paragraphs 25-29"]
[null,"12","Excess on limit for capital alleviation of risk transfer mechanisms","Annex X, Part 3, Paragraph 29"]
[null,"ROWS"]
[null,null,"Total banking activities subject to Basic Indicator approach (BIA)","Art. 103, Annex X, Part 1"]
[null,null,"Total banking activities subject to Standardised (STA) / Alternative Standardised (ASA) approaches ","Art. 104, Annex X, Part 2"]
[null,null,"Subject to STA","Annex X, Part 2, Table 2. For business lines' mapping see annex X, Part 2, Paragraph 8"]
[null,null,"Subject to ASA","Art. 104 (3), Annex  X Part 2, Paragraphs 9-16"]
[null,null,"Total banking activities subject to Advanced Measurement Approaches (AMA)","Art. 105, Annex X, Part 3"]

{"sheet":"OPR Details","index":33,"n_rows":33,"n_cols":13,"rows_kept":33,"hidden":true,"merged":[[3,1,4,2],[3,3,3,9],[3,10,4,10],[3,11,3,12],[5,1,5,2],[6,1,8,1],[9,1,11,1],[12,1,14,1],[15,1,17,1],[18,1,20,1],[21,1,23,1],[24,1,26,1],[27,1,29,1],[30,1,32,1]],"flags":["formulas_cached_only"]}
[]
[null,"OPR Details","OPERATIONAL RISK: GROSS LOSSES BY BUSINESS LINES AND EVENT TYPES IN THE LAST YEAR"]
[]
[null,"MAPPING OF LOSSES TO BUSINESS LINES",null,"EVENT TYPES",{"$nulls":6},"TOTAL BY EACH BUSINESS LINE","MEMORANDUM ITEM: THRESHOLD APPLIED IN DATA COLLECTION"]
[{"$nulls":3},"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",null,"LOWEST ","HIGHEST"]
[{"$nulls":3},1,2,3,4,5,6,7,8,9,10]
[null,"CORPORATE FINANCE [CF]","Number of events"]
[null,null,"Total loss amount"]
[null,null,"Maximum single loss"]
[null,"TRADING AND SALES [TS]","Number of events"]
[null,null,"Total loss amount"]
[null,null,"Maximum single loss"]
[null,"RETAIL BROKERAGE [RBr]","Number of events"]
[null,null,"Total loss amount"]
[null,null,"Maximum single loss"]
[null,"COMMERCIAL BANKING [CB]","Number of events"]
[null,null,"Total loss amount"]
[null,null,"Maximum single loss"]
[null,"RETAIL BANKING [RB]","Number of events"]
[null,null,"Total loss amount"]
[null,null,"Maximum single loss"]
[null,"PAYMENT AND SETTLEMENT [PS]","Number of events"]
[null,null,"Total loss amount"]
[null,null,"Maximum single loss"]
[null,"AGENCY SERVICES [AS]","Number of events"]
[null,null,"Total loss amount"]
[null,null,"Maximum single loss"]
[null,"ASSET MANAGEMENT [AM]","Number of events"]
[null,null,"Total loss amount"]
[null,null,"Maximum single loss"]
[null,"TOTAL BY EACH EVENT TYPE","Number of events"]
[null,null,"Total loss amount"]
[null,null,"Maximum single loss"]

{"sheet":"OPR Details Ref list","index":34,"n_rows":16,"n_cols":4,"rows_kept":16,"hidden":true,"merged":[[4,1,4,3],[9,1,9,3]],"flags":["formulas_cached_only"]}
[]
[null,"OPR Details"]
[]
[null,"ID","LABEL","Legal References & Comments"]
[null,"COLUMNS"]
[null,"1 to 7","Definition of Event Types","Annex 10, Part 5 of Directive 2000/12"]
[null,8,"Total by each business line","For each business line the figures are the simple aggregation (number of events and total loss amount) or the maximum (maximum single loss) of the data by event types. But there is a particular case for the data on number of events and maximun single loss in row \"total by each event type\" (see comments below)"]
[null,null,"Memorandum items:Thresholds applied in Data Collection","Annex 10, Part 3, last sentence of paragraph 15 of Directive 2000/12"]
[null,"9,10","Lowest / Highest","Annex 10 part 3 paragraph 15 of Directive 2000/12. If there is only one threshold for all the events in each  business line, only the column lowest should be filled in. In the case that there are different thresholds applied within the same regulatory business line, then both columns should be filled in."]
[null,"ROWS"]
[null,null,"Definition of Business Lines","See OPR template"]
[null,null,"Mapping of losses to business lines","Annex 10, Part 3, Paragraphs 14-15 and 17 of Directive 2000/12. The following information required for each business line should be reported according to the thresholds applied (see above)."]
[null,null,"Number of events","Number of events recorded by business line.\nIf one event has an impact on several business lines it should be reported in all the business lines where the loss is over the relevant threshold. Also, in this case the total number of events in column 8 and row \"total by each event type\" will be lower than the aggregation of the number by business lines since those events with multiple impacts will be considered as just one."]
[null,null,"Total loss amount","Aggregation of the losses recorded in the internal data base for each  business line and, if it is the case, broken down by event types"]
[null,null,"Maximum single loss","Maximum single loss recorded by business line. In the case of the maximum single loss in column 8 and row \"total by each event type\" those events with an impact on different business lines should be considered as a single one and, accordingly, the maximum single loss in that cell may be higher than the higher of the maximum single losses by business lines."]
[null,null,"Total by each event type","For each event type the figures are:\n- The number of events over the threshold by event type for the total business lines. This figure may be lower than the aggregation of the number of events by business lines since here those events with multiple impacts will be considered as just one.\n- The total loss amount is the simple aggregation of the total loss amount for each business line.\n- The maximum single loss is the maximum loss over the threshold for each event type and for the total business lines. This figure may be higher than the highest single loss recorded at each business line when an event impacts different business lines."]

{"sheet":"OPR LOSS Details","index":35,"n_rows":6,"n_cols":22,"rows_kept":6,"hidden":true,"merged":[[3,1,4,1],[3,2,3,3],[3,4,4,4],[3,5,4,5],[3,6,4,6],[3,7,4,7],[3,8,4,8],[3,9,3,16],[3,17,4,17],[3,18,3,21]],"flags":["formulas_cached_only"]}
[]
[null,"OPR LOSS Details",{"$nulls":9},"MAJOR OPERATIONAL RISK LOSSES RECORDED IN THE LAST YEAR OR WHICH ARE STILL OPEN"]
[]
[null,"\nINTERNAL REFERENCE NUMBER",null,null,"STATUS:\n\nENDED?\n\nYES/NO","LOSS ALREADY DIRECTLY RECOVERED","LOSS ALREADY RECOVERED FROM RISK TRANSFER MECHANISMS","LOSS POTENTIALLY TO BE RECOVERED DIRECTLY OR FROM RISK TRANSFER MECHANISMS","RELATED\nTO\n\"CR\"\nor\n\"MKR\"","BREAKDOWN OF GROSS LOSS (%) BY BUSINESS LINES",{"$nulls":7},"RISK EVENT TYPE\n(NUMBER)","RELEVANT DATES FOR THE EVENTS"]
[null,null,"GROSS LOSS\nAMOUNT","OF WHICH: UNREALIZED",{"$nulls":5},"CF","TS","RBr","CB","RB","PS","AS","AM",null,"OCURRENCE","RECOGNITION","1ST PAYMENT FROM RISK TRANSFER MECHANISMS","LATEST PAYMENT FROM RISK TRANSFER MECHANISMS"]
[null,1,2,3,4,5,6,7,8,9,10,11,12,13,14,15,16,17,18,19,20,21]

{"sheet":"OPR LOSS Details Ref list","index":36,"n_rows":21,"n_cols":4,"rows_kept":21,"hidden":true,"merged":[[4,1,4,3],[19,1,19,3]],"flags":["formulas_cached_only"]}
[]
[null,"OPR LOSS Details"]
[]
[null,"ID","LABEL","Legal References & Comments"]
[null,"COLUMNS"]
[null,"1","Internal reference number","Internal code used by the institution in its internal database in order to identify each loss"]
[null,"2","Gross loss amount","Annex X, Part 3, Paragraph 16"]
[null,"3","Of which: unrealized","The part of the gross loss amount not yet accounted for"]
[null,"4","Status: ended?: Yes / No","Yes, if the loss amount is finally determined and there is no expectation on additional losses."]
[null,"5","Loss already directly recovered","Annex X, Part 3, Paragraph 16. Any amount recovered by the institution in the course of its activities trying to revert the impact of a loss event. Accordingly, no recovery from insurance is included."]
[null,"6","Loss already recovered from risk transfer mechanisms","Annex X, Part 3, Paragraph 16.\nPayments received in compensation of operational risk losses which were covered by risk transfer mechanisms."]
[null,"7","Loss potentially to be recovered directly or from risk transfer mechanisms","Annex X, Part 3, Paragraph 16. Any amount that is expected yet to be recovered by, either the institution in the course of its activities trying to revert the impact of a loss event, or as a compensation of operational risk losses covered by risk transfer mechanisms"]
[null,"8","Related to \"CR\" or \"MKR\"","Annex X, Part 3, Paragraph 14.\n\"CR\": stands for credit risk; \"MKR\": stands for market risk"]
[null,"9-16","Breakdown of gross loss (%) by business lines","Annex X, Part 3, Paragraph 14\nFor the meaning of the code for each business line see template OPR"]
[null,"17","Risk event type (number)","Annex X, Part 3, Paragraph 14.\nThe number is that used for each event type in the template OPR Details"]
[null,"18","Date of ocurrence","Annex X, Part 3, Paragraph 16.\nDate when the event ocurred or when it started"]
[null,"19","Date of recognition","Annex X, Part 3, Paragraph 16.\nDate when the event was recognized"]
[null,"20","Date of the first payment from risk transfer mechanisms","Annex X, Part 3, Paragraph 16.\nDate when the first compensation from an insurance company is received"]
[null,"21","Date of the latest payment from risk transfer mechanisms","Annex X, Part 3, Paragraph 16.\nDate when the latest compensation from an insurance company is received"]
[null,"OTHER"]
[null,null,"Major operational risk losses recorded in the last year or still open","The losses to be reported are dependent upon the reporting threshold imposed by the competent authorities"]