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[null,null,"Colours used to highlight changes based on the COREP rev2 framework (published in January 2010)"]
[]
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[{"$nulls":4},"Cells included in the current Guidelines"]
[]
[{"$nulls":4},"CRD II amendments not included in January 2010 version\n"]
[]
[{"$nulls":4},"CRD III amendments\n"]
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[null,null,"Abc",null,"Wording insertions"]
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[null,null,"Abc",null,"Wording deletions"]

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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: Instruments ranking pari passu with ordinary shares ",null,"Recital 4 of Directive 2009/111/EC and Article 57 (a) of amended Directive 2006/48/EC: Instruments that are regarded under national law as equity capital, rank pari passu with ordinary shares during liquidation and fully absorb losses on a going concern basis pari passu with ordinary shares. PLEASE REPORT BOTH THE NOMINAL AMOUNT OF THE PAID IN INSTRUMENTS AND THE PREMIUM ATTACHED TO IT. \nExclude from this item those instruments that provide preferential rights for dividend payment on a non-cumulative basis (see item 1.1.1****). Include instruments issued by mutual co-operative or similar institutions which are deemed to be equivalent to ordinary shares in terms of capital qualities."]
[null,"1.1.1****","Of which: Instruments providing preferential rights for dividend payment on a non-cumulative basis",null,"Recital 4 of Directive 2009/111/EC and Article 57(a) of amended Directive 2006/48/EC: Instruments providing preferential rights for dividend payment on a non-cumulative basis, provided that they are included in Article 22 of Council Directive 86/635/EEC, rank pari passu with ordinary shares during liquidation and fully absorb losses on a going concern basis pari passu with ordinary shares; PLEASE REPORT BOTH THE NOMINAL AMOUNT OF THE PAID IN INSTRUMENTS AND THE PREMIUM ATTACHED TO IT\nExclude from this item those instruments that rank pari passu with ordinary shares (see item 1.1.1***). Include instruments issued by mutual co-operative or similar institutions which are deemed to be equivalent to instruments which provide preferential rights for dividend payment on a non-cumulative basis provided that they are included in Article 22 of Directive 86/635/EEC, rank pari passu with ordinary shares during liquidation and fully absorb losses on a going-concern basis pari passu with ordinary shares."]
[null,"1.1.1.1","Paid up capital",null,"Article 57, sentence 1 lit.(a) of Directive 2006/48/EC.\n≈ FINREP: Paid in capital"]
[null,"1.1.1.2","(-) Own shares",null,"Article 57, sentence 2 lit. (i) of Directive 2006/48/EC\n≈ FINREP: Treasury shares"]
[null,"1.1.1.3","Share premium",null,"Article 57, sentence 1 lit. (a) of Directive 2006/48/EC\n≈ FINREP: Share premium"]
[null,"1.1.1.4","Other instruments eligible as capital",null,"Article 57, sentence 1 lit.(a) of Directive 2006/48/EC even if the instruments are classified as debt under the IAS-type accounting rules.\nSee also Guidelines on Prudential Filters for Regulatory Capital (CEBS, 21.12.2004) due to the application of 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+1.1.2.4a+1.1.2.4b+1.1.2.5+1.1.2.6"]
[null,"1.1.2.1","Reserves",null,"=1.1.2.1.01+1.1.2.1.02\nArticle 57 sentence 1 lit.(b) of Directive 2006/48/EC, 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) of Directive 2006/48/EC\n≈ FINREP: Reserve+Revaluation reserves (excludes the valuation differences included in 1.1.2.6)"]
[null,"1.1.2.1.01","Reserves (including valuation differences)",null,"≈ FINREP: Reserve+Revaluation reserves"]
[null,"1.1.2.1.02","Part of reserves to be filtered out to valuation differences",null,"Component of reserves subject to prudential filters"]
[null,"1.1.2.2","Minority interest",null,"=1.1.2.2.01+1.1.2.2.02+1.1.2.2.03\nArticle 65 (1) lit. (a) and (2) of Directive 2006/48/EC.\n≈ FINREP: Minority interest (excludes the valuation differences included in 1.1.2.6)"]
[null,"1.1.2.2***01","Of which: Hybrid instruments that must be converted during emergency situations",null,"see item 1.1.5.2a\nArticle 65 (1) point a) in conjuction with Article 66 (1a) lit. (a) of amended Directive 2006/48/EC, as long as they comply with the requirements of Articles 63a and 63 (2) lit. (a), (c), (d) and (e) of amended Directive 2006/48/EC. "]
[null,"1.1.2.2***02","Of which: Hybrid instruments (undated, without incentive to redeem)",null,"see item 1.1.5.2a\nArticle 65(1) point a) in conjuction with Article 66 (1a) lit. (b) of amended Directive 2006/48/EC, as long as they comply with the requirements of Articles 63a and 63 (2) lit. (a), (c), (d) and (e) of amended Directive 2006/48/EC. "]
[null,"1.1.2.2***03","Of which: Hybrid instruments (dated or with incentive to redeem)",null,"see item 1.1.5.2a\nArticle 65(1) point a) in conjuction with Article 66 (1a) lit. (c) of amended Directive 2006/48/EC, as long as they comply with the requirements of Articles 63a and 63 (2) lit. (a), (c), (d) and (e) of amended Directive 2006/48/EC. "]
[null,"1.1.2.2***04","Of which: Grandfathered instruments without incentive to redeem subject to limit",null,"see item 1.1.5.2a  \nInstruments without incentive to redeem, issued indirectly, that are grandfathered in accordance with Article 154 (8) of amended Directive 2006/48/EC and instruments which do not comply with the requirements of Articles 63a and 63 (2) lit. (a), (c), (d) and (e) of amended Directive 2006/48/EC and are grandfathered in accordance with Article 154 (9) of amended Directive 2006/48/EC."]
[null,"1.1.2.2***05","Of which: Grandfathered instruments with incentive to redeem subject to limit",null,"see item 1.1.5.2a. \nInstruments with incentive to redeem, issued indirectly, and that are grandfathered in accordance with Article 154 (8) of amended Directive 2006/48/EC and instruments which do not comply with the requirements of Article 63a and 63 (2) lit. (a), (c), (d) and (e) of amended Directive 2006/48/EC and are grandfathered in accordance with Article 154 (9) of amended Directive 2006/48/EC."]
[null,"1.1.2.2.01","Minority interest (including valuation differences)",null,"≈ FINREP: Minority interest"]
[null,"1.1.2.2.02","Part of minority interest to be filtered out to valuation differences",null,"Component of minority interest subject to prudential filters"]
[null,"1.1.2.2.03","(-) Adjustment to minority interest",null,"Minority interest not eligible as original own funds"]
[null,"1.1.2.3","Interim profits",null,"= 1.1.2.3.01+1.1.2.3.02.\nArticle 57, sentence 3 of Directive 2006/48/EC (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 of Directive 2006/48/EC."]
[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) of Directive 2006/48/EC."]
[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 of Directive 2006/48/EC 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 of Directive 2006/48/EC if positive or Article 57, sentence 2 lit (k) of Directive 2006/48/EC 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 "]
[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 of Directive 2006/48/EC"]
[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 differences) + 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 differences) + 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 differences) + 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 of Directive 2006/48/EC.\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 differences) + Minority interest: revaluation reserves"]
[null,"1.1.2.6.10","Adjustment to Valuation differences in cash flow hedges",null,"Article 64, paragraph 4 of Directive 2006/48/EC.\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 differences 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 differences) + 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) of Directive 2006/48/EC. When applicable according to accounting rules"]
[null,"1.1.4","Other and country specific Original Own Funds",null,"=1.1.4.1a+1.1.4.3+1.1.4.4"]
[null,"1.1.4.1a","Hybrid instruments ",null,"=1.1.4.1a.01+1.1.4.1a.02+1.1.4.1a.03+1.1.4.1a.04+1.1.4.1a.05\nThis item should include not only hybrid instruments directly issued but also those hybrids indirectly issued that, because of being an accounting liability, do not give rise to minority interests."]
[null,"1.1.4.1a.01","Hybrid instruments that must be converted during emergency situations",null,"see item 1.1.5.2a\nArticle 57 sentence 1 lit. (ca) and Article 66 (1a) lit. (a) of amended Directive 2006/48/EC, as long as they comply with the requirements of Articles 63a and 63 (2) lit. (a), (c), (d) and (e) of amended Directive 2006/48/EC. "]
[null,"1.1.4.1a.02","Hybrid instruments (undated, without incentive to redeem)",null,"see item 1.1.5.2a\nArticle 57 sentence 1 lit. (ca) and Article 66 (1a) lit. (b) of amended Directive 2006/48/EC, as long as they comply with the requirements of Articles 63a and 63 (2) lit. (a), (c), (d) and (e) of amended Directive 2006/48/EC. "]
[null,"1.1.4.1a.03","Hybrid instruments (dated or with incentive to redeem)",null,"see item 1.1.5.2a\nArticle 57 sentence 1 lit. (ca) and Article 66 (1a) lit. (c) of amended Directive 2006/48/EC, as long as they comply with the requirements of Articles 63a and 63 (2) lit. (a), (c), (d) and (e) of amended Directive 2006/48/EC. "]
[null,"1.1.4.1a.04","Grandfathered hybrid instruments without incentive to redeem subject to limit",null,"see item 1.1.5.2a  \nInstruments of Article 57 sentence 1 lit. (a) and (ca) of amended Directive 2006/48/EC without incentive to redeem, that are grandfathered in accordance with Article 154 (8) of amended Directive 2006/48/EC and instruments which do not comply with the requirements of Articles 63a and 63 (2) lit. (a), (c), (d) and (e) of amended Directive 2006/48/EC and are grandfathered in accordance with Article 154 (9) of amended Directive 2006/48/EC."]
[null,"1.1.4.1a.05","Grandfathered hybrid instruments with incentive to redeem subject to limit",null,"see item 1.1.5.2a  \nInstruments of Article 57 sentence 1 lit. (a) and (ca) of amended Directive 2006/48/EC with incentive to redeem, that are grandfathered in accordance with Article 154 (8) of amended Directive 2006/48/EC and instruments which do not comply with the requirements of Articles 63a and 63 (2) lit. (a), (c), (d) and (e) of amended Directive 2006/48/EC and are grandfathered in accordance with Article 154 (9) of amended Directive 2006/48/EC."]
[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+1.1.5.2a+1.1.5.3a+1.1.5.4"]
[null,"1.1.5.1","(-) Intangible assets",null,"Article 57, sentence 2 lit. (j) of Directive 2006/48/EC.\nIncludes any goodwill not already deducted (first consolidation difference) within 1.1.2.1 Reserves."]
[null,"1.1.5.2a\n","(-) Excess on the limits for hybrid instruments",null,"=1.1.5.2a.01+1.1.5.2a.02+1.1.5.2a.03+1.1.5.2a.04\nIs the result of the application of the limits referred to in Article 66 (1a) lit. a) to c) and Article 154 (8) and (9) of amended Directive 2006/48/EC on instruments referred to in 1.1.2.2***01 to 1.1.2.2***05 and 1.1.4.1a."]
[null,"1.1.5.2a.01","(-) Excess on the limit for all hybrid instruments (other than the transitional limit for grandfathered instruments)",null,"Article 66 (1a) lit (a) of amended Directive 2006/48/EC."]
[null,"1.1.5.2a.02","(-) Excess on the limit for hybrid instruments, except those that must be converted during emergency situations",null,"Article 66 (1a) lit (b) of amended Directive 2006/48/EC."]
[null,"1.1.5.2a.03","(-) Excess on the limit for hybrid instruments, dated or with incentive to redeem",null,"Article 66 (1a) lit (c) of amended Directive 2006/48/EC."]
[null,"1.1.5.2a.04"," (-) Excess on the transitional limit for grandfathered instruments",null,"Article 154 (8) and (9) of amended Directive 2006/48/EC on instruments referred to in 1.1.2.2***04, 1.1.2.2***05 and  1.1.4.1a.04, 1.1.4.1a.05."]
[null,"1.1.5.3a","(-) Additional value adjustment necessary with respect to fair value instruments",null,"Article 64 paragraph 5 of Directive 2006/48/EC"]
[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) of Directive 2006/48/EC. 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 1.1.5.2a) that are eligible for inclusion within core additional own funds. \n= -1.1.5.2a"]
[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)\n1.2.1.2.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) of Directive 2006/48/EC, 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) of Directive 2006/48/EC."]
[null,"1.2.1.5","Other items",null,"Article 57, sentence 1 lit. (f) of Directive 2006/48/EC in conjunction with Article 63 para. (1) of Directive 2006/48/EC."]
[null,"1.2.1.6","Securities of indeterminate duration and other instruments",null,"Article 57, sentence 1 lit. (f) of Directive 2006/48/EC in conjunction with Article 63 para. (2) of Directive 2006/48/EC."]
[null,"1.2.1.7","IRB Provision excess",null,"Article 63 para. (3) of Directive 2006/48/EC."]
[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) of Directive 2006/48/EC. 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) of Directive 2006/48/EC."]
[null,"1.2.2.2","Fixed-term cumulative preferential shares",null,"Article 57, sentence 1 lit. (h) of Directive 2006/48/EC in conjunction with Article 64 (3), sentence 1 of Directive 2006/48/EC."]
[null,"1.2.2.3","Subordinated loan capital",null,"Article 57, sentence 1 lit. (h) of Directive 2006/48/EC in conjunction with Article 64 (3), sentence 2 of Directive 2006/48/EC, 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) of Directive 2006/48/EC."]
[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) of Directive 2006/48/EC. 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: (-) From Original Own Funds",null,"Article 66, paragraph 2 of Directive 2006/48/EC.\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 of Directive 2006/48/EC."]
[null,"1.3.T2*","Of which: (-) From Additional Own Funds",null,"Article 66, para 2 of Directive 2006/48/EC. \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 of Directive 2006/48/EC."]
[null,"1.3.1","(-) Holdings in other credit and financial institutions amounting to more than 10% of their capital",null,"Article 66 (2) of Directive 2006/48/EC in conjunction with Article 57 sentence 2 lit. (l) of Directive 2006/48/EC."]
[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 (2) of Directive 2006/48/EC in conjunction with Article 57 sentence 2 lit. (m) of Directive 2006/48/EC."]
[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 (2) of Directive 2006/48/EC in conjunction with Article 57 sentence 2 lit. (n), 1st alternative of Directive 2006/48/EC."]
[null,"1.3.4","(-) Participations hold in insurance undertakings, reinsurance undertakings and insurance holding companies",null,"Article 57, sentence 2 lit. (o) of Directive 2006/48/EC.\nIt must be noted that supervisors may not apply deductions referred in this line (see article 59 of Directive 2006/48/EC) and apply mutatis mutandis methods 1, 2 or 3 of annex I to Directive 2002/87.\nThe issue as to how credit institutions considered as conglomerate apply for reporting purposes 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) of Directive 2006/48/EC.\nIt must be noted that supervisors may not apply deductions referred in this line (see article 59 of Directive 2006/48/EC) and apply mutatis mutandis methods 1, 2 or 3 of annex I 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 necessary)"]
[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 or in the net positions subject to capital charge, respectively",null,"Article 57, sentence 2 lit (r) of Directive 2006/48/EC, unless Article 66, paragraph 2, sentence 3 of Directive 2006/48/EC applies."]
[null,"1.3.8","(-) IRB Provision shortfall and IRB equity expected loss amounts",null,"Article 57 sentence 2 lit. (q) of Directive 2006/48/EC."]
[null,"1.3.9","(-) Qualified participating interest in non financial institutions",null,"Article 120 of Directive 2006/48/EC, Article 122 (2) of Directive 2006/48/EC."]
[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 2 of Directive 2006/49/EC"]
[null,"1.3.11","(-) Other country specific deductions from Original and Additional Own Funds",null,"Article 61, paragraph 1 of Directive 2006/48/EC.\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,"Article 13 paragraph 5 of Directive 2006/49/CE 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,"Article 13 paragraph 2 lit. (b) of Directive 2006/49/EC. Includes the profits/losses originating from valuation adjustments/reserves as laid down in annex VII, part B, points 14-15 of Directive 2006/49/EC."]
[null,"1.6.3","Short term subordinated loan capital  ",null,"Article 13 paragraph 2 lit. (c) of Directive 2006/49/EC."]
[null,"1.6.4","(-) Illiquid assets",null,"Article 13 paragraph 2 lit. (d) of Directive 2006/49/EC."]
[null,"1.6.5","(-) Excess on limit for Own Funds Specific to Cover Market Risks",null,"Article 13, paragraph 4 of  Directive 2006/49/EC in conjunction with Article 14 of  Directive 2006/49/EC."]
[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 as those mentioned in article 31 lit (b) of  Directive 2006/49/EC."]
[null,"1.6.7","(-) Unused but eligible Own Funds Specific to Cover Market Risks",null,"Article 13, paragraph 2 of  Directive 2006/49/EC.\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 4 of Directive 2006/48/EC."]
[null,"1.8","MEMORANDUM ITEMS:"]
[null,"1.8.1","IRB provision excess (+) / shortfall (-)",null,"\n=1.8.1.1+1.8.1.2"]
[null,"1.8.1.1","Amount of provisions for IRB",null,"Value adjustments and provisions related to the exposures mentioned in Annex VII Part 1 point 36 of Directive 2006/48/EC"]
[null,"\n1.8.1.1*","Of which: General provision / Allowances for collectively assessed financial assets ",null,"General provisions as mentioned in paragraph 380 of the BCBS document \"International Convergence of Capital Measurements and Capital Standards: A Revised Framework - Comprehensive Version\" published in June 2006.  ≈ FINREP: Allowances for collectively assessed financial assets (includes allowances for incurred but not reported losses)"]
[null,"1.8.1.1**","Of which: Specific provision / Allowances for individually assessed financial assets ",null,"Specific provisions as mentioned in paragraph 380 of the BCBS document \"International Convergence of Capital Measurements and Capital Standards: A Revised Framework - Comprehensive Version\" published in June 2006.  ≈ FINREP: Allowances for individually assessed financial assets "]
[null,"1.8.1.1***","Of which: Other and country specific value adjustments and provisions included in the calculation of the IRB provision excess (+) / shortfall ",null,"Includes any value adjustment or provision included in the calculation of the IRB provision excess (+) / shortfall (-) mentioned in Annex Vii, part 1, point 36 of Directive 2006/48/EC not reported in tems 1.8.1.1* or 1.8.1.1**"]
[null,"1.8.1.2","(-) IRB measurement of expected losses",null,"Expected loss amounts calculated in accordance with Annex VII Part 1 points 30, 31 and 35 of Directive 2006/48/EC as mentioned in Annex VII Part 1 point 36 of Directive 2006/48/EC"]
[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. Article 64, paragraph 3 (c) of Directive 2006/48/EC."]
[null,"1.8.3","Minimum initial capital required",null,"Articles 9, 10(2) and 10(4) of Directive 2006/48/EC and articles  5(1), 5(3), 6, 9, 10(1) and 10(3) of Directive 2006/49/EC."]
[]
[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 2006/49/EC = Max [2.1+2.2+2.3+2.6, 2.5]\nFor investment firms under article 20(3) and 25 of Directive 2006/49/EC = 2.1+2.2+2.3+2.5+2.6\nFor investment firms under article 46 of Directive 2006/49/EC = 2.1+2.2+ 2.3+ 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 2006/49/EC = 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 2006/49/EC = 2.1+2.2+2.3+2.5+2.6"]
[null,"2c","Of which: Investment firms under article 46",null,"For investment firms under article 46, paragraphs 1 to 3 of Directive 2006/49/EC = 2.1+2.2+ 2.3+ 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 AND DILUTION RISKS AND FREE DELIVERIES",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 Article 86 of Directive 2006/48/EC, paragraph 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 securitisation positions",null,"CR SA template at the level of total exposures.\nThe SA exposure classes are those mentioned in Article 79, paragraph 1of Directive 2006/48/EC, excluding securitisation positions.\n2.1.1.1a.i , i = 01 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-commercial undertakings",null,"CR SA. Claims or contingent claims"]
[null,"2.1.1.1a.04","Multilateral Development 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 belonging 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 securitisation positions",null,"CR SA template at the level of total exposures+2.1.1.1b.06b\n2.1.1.1b.i, i = 01 to 06\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 Article 86 of Directive 2006/48/EC and paragraphs 11 and 12 of Art. 87 of Directive 2006/48/EC."]
[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 VII part 3 point 13 of Directive 2006/48/EC and annex VII part 1 point 27 of Directive 2006/48/EC)."]
[null,"2.1.1.2","Securitisation positions SA",null,"CR SEC SA template at the level of total securitisation types"]
[null,"2.1.1.2*","of which: resecuritisation",null,"CR SEC SA template at the level of total securitisation types"]
[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 template at the level of total exposures (when own estimates of LGD and/or CCF are not used)  / =2.1.2.1.01+2.1.2.1.02+2.1.2.1.03"]
[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 template at the level of total exposures (when own estimates of LGD and/or CCF are used)  / =2.1.2.2.01+2.1.2.2.02+2.1.2.2.03+2.1.2.2.04"]
[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","Securitisation positions IRB",null,"CR SEC IRB template at the level of total securitisation types"]
[null,"2.1.2.4*","of which: resecuritisation",null,"CR SEC IRB template at the level of total securitisation types"]
[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/DELIVERY RISK",null,"=2.2.1+2.2.2"]
[null,"2.2.1","Settlement/delivery risk in the non-Trading book",null,"CR SETT"]
[null,"2.2.2","Settlement/delivery risk in the Trading book",null,"CR SETT"]
[null,"2.3","TOTAL CAPITAL REQUIREMENTS FOR POSITION, FOREIGN EXCHANGE AND COMMODITIES RISKS",null,"=2.3.1+2.3.2"]
[null,"2.3.1","Position, foreign exchange and commodities 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,"=2.3.1.1.01+2.3.1.1.02+2.3.1.1.03"]
[null,"2.3.1.1.01","General and specific risk reported in MKR SA TDI",null,"MKR SA TDI template at the level of total currencies. \nGeneral risk of all positions (including securitisation positions and CTP positions) will be reported in the MKR SA TDI. \nSpecific risk of interest positions except of securitisation positions and CTP positions will be reported in the MKR SA TDI"]
[null,"2.3.1.1.02","Specific risk securitisation positions ",null,"MKR SA SEC\n"]
[null,"2.3.1.1.03","Specific risk correlation trading portfolio",null,"MKR SA CTP\n"]
[null,"2.3.1.2","Equity",null,"MKR SA EQU template at the level of total national markets."]
[null,"2.3.1.3","Foreign Exchange",null,"MKR SA FX"]
[null,"2.3.1.4","Commodities",null,"MKR SA COM template at the level of total commodities."]
[null,"2.3.2","Position, foreign exchange and commodities risks under internal models (IM)",null,"MKR IM\n"]
[null,"2.4","TOTAL CAPITAL REQUIREMENTS FOR OPERATIONAL RISK (OpR )",null,"=2.4.1+2.4.2+2.4.3\nFor investment firms under article 20(2), 24, 20(3) and 25 of Directive 2006/49/EC this element will be zero."]
[null,"2.4.1","OpR Basic indicator approach (BIA)",null,"OPR"]
[null,"2.4.2","OpR Standardised (STA) / Alternative Standardised (ASA) approaches",null,"OPR"]
[null,"2.4.3","OpR Advanced measurement approaches (AMA)",null,"OPR"]
[null,2.5,"CAPITAL REQUIREMENTS RELATED TO FIXED OVERHEADS",null,"Only for investment firms under articles 20(2), 24, 20(3), 25 and 46 of Directive 2006/49/EC. See also article 21 of Directive 2006/49/EC."]
[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 2006/48/EC, which are applicable until 31.12.2011.\nWithout link to any template. ≥ 0"]
[null,"2.6.2","Complement to capital requirements for investment firms under article 46",null,"For investment firms under article 46 of Directive 2006/49/EC, the amount referred to in paragraph 4 of article 46 of Directive 2006/49/EC (starting \"Applying this ….\"). "]
[null,"2.6.3","Other own funds requirements",null,"Without link to any template. Among others, additional capital requirements mentioned in article 31 lit (b) of Directive 2006/49/EC might be included. It also introduces 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 2006/48/EC. Accordingly it takes into account the specific own funds requirements laid down in paragraph 2 of article 136 of Directive 2006/48/EC."]
[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,"=3.4.1-3.4.2"]
[null,"3.4.1","Internal assessment of capital",null,"Article 123 of Directive 2006/48/EC."]
[null,"3.4.2","Internal assessment of capital needs",null,"Article 123 of Directive 2006/48/EC."]
[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":"CR SA","index":2,"n_rows":37,"n_cols":24,"rows_kept":37,"merged":[[2,1,2,2],[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],[36,1,36,23]],"flags":["formulas_cached_only"]}
[]
[null,"CR SA","CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: 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"]
[{"$nulls":3},"OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK",null,null,"UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (Ga)",null,"FUNDED CREDIT PROTECTION",null,"SUBSTITUTION OF THE EXPOSURE DUE TO CRM",null,null,"VOLATILITY ADJUSTMENT TO THE EXPOSURE ","(-) FINANCIAL COLLATERAL: ADJUSTED VALUE (Cvam)",null,null,{"v":0,"d":"0%"},{"v":0.2,"d":"20%"},{"v":0.5,"d":"50%"},{"v":1,"d":"100%"}]
[{"$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"]
[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":"10%"}]
[null,{"v":0.2,"d":"20%"}]
[null,{"v":0.35,"d":"35%"}]
[null,{"v":0.5,"d":"50%"}]
[null,"of which:                past due (a)"]
[null,"without credit assessment by a nominated ECAI (a)"]
[null,"secured by commercial real estate(a)"]
[null,{"v":0.7,"d":"70%"}]
[null,{"v":0.75,"d":"75%"}]
[null,{"v":1,"d":"100%"}]
[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":"150%"}]
[null,"of which:                 past due (a)"]
[null,{"v":2,"d":"200%"}]
[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 IRB","index":3,"n_rows":41,"n_cols":29,"rows_kept":41,"merged":[[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 AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: 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","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"]
[{"$nulls":18},"REAL ESTATE","OTHER PHYSICAL COLLATERAL ","RECEIVABLES"]
[]
[null,null,1,2,3,4,5,6,7,8,"9=2+7+8",10,11,12,13,14,15,16,17,18,19,20,21,22,23,24,25,26,27]
[null,"1. TOTAL EXPOSURES",{"$nulls":23},"Cell linked to CA"]
[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 OR POOLS: TOTAL"]
[null,"BREAKDOWN OF TOTAL EXPOSURES ASSIGNED TO OBLIGOR GRADES OR POOLS:"]
[null,"OBLIGOR GRADE OR POOL(a):1"]
[null,2]
[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% AND OTHER EXPOSURES SUBJECT TO RISK WEIGHTS"]
[null,"1.5 DILUTION RISK: TOTAL PURCHASED RECEIVABLES"]
[]
[null,"(a) Order from the lower to the higher according to the 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 SEC SA","index":4,"n_rows":36,"n_cols":40,"rows_kept":36,"merged":[[1,1,1,2],[5,2,7,2],[5,3,5,5],[5,7,7,7],[5,8,7,8],[5,9,5,12],[5,13,7,13],[5,14,7,14],[5,15,7,15],[5,16,5,19],[5,20,7,20],[5,23,5,33],[5,34,7,34],[5,35,7,35],[5,36,7,36],[5,37,7,37],[5,38,7,38],[5,39,7,39],[6,3,7,3],[6,5,7,5],[6,6,7,6],[6,9,7,9],[6,10,7,10],[6,11,6,12],[6,16,7,16],[6,17,7,17],[6,18,7,18],[6,19,7,19],[6,21,7,21],[6,22,7,22],[6,23,6,29],[6,30,6,31],[6,32,6,33],[9,0,9,1],[11,0,11,1],[22,0,22,1],[33,0,33,1]],"flags":["formulas_cached_only"]}
[]
[null,"CR SEC SA",null,"CREDIT RISK: SECURITISATIONS - STANDARDISED APPROACH TO CAPITAL REQUIREMENTS"]
[]
[null,"Securitisation type:"]
[]
[null,null,"TOTAL AMOUNT OF SECURITISATION 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",{"$nulls":3},"NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS","(-) CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE AMOUNT OF THE EXPOSURE: FUNDED CREDIT PROTECTION FINANCIAL COLLATERAL COMPREHENSIVE METHOD ADJUSTED VALUE (Cvam)","FULLY ADJUSTED EXPOSURE VALUE (E*)","BREAKDOWN OF THE FULLY ADJUSTED EXPOSURE VALUE (E*) OF OFF BALANCE SHEET ITEMS ACCORDING TO CONVERSION FACTORS",{"$nulls":3},"EXPOSURE VALUE    ",null,null,"BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS ACCORDING TO RISK WEIGHTS",{"$nulls":10},"RISK WEIGHTED EXPOSURE AMOUNT","OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONS","ADJUSTMENT TO THE RISK WEIGHTED EXPOSURE AMOUNT DUE TO MATURITY MISMATCHES","TOTAL CAPITAL REQUIREMENTS BEFORE CAP","MEMORANDUM ITEM:\nCAPITAL REQUIREMENTS CORRESPONDING TO THE OUTFLOWS FROM THE SA SECURITISATION TO OTHER EXPOSURE CLASSES","TOTAL CAPITAL REQUIREMENTS AFTER CAP"]
[{"$nulls":3},"(-) FUNDED CREDIT PROTECTION (Cva) \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",{"$nulls":4},{"v":0,"d":"0%"},">0% and <=20%",">20% and <=50%",">50% and <=100%",null,"(-) DEDUCTED FROM OWN FUNDS","SUBJECT TO RISK WEIGHTS","RATED\n(CREDIT QUALITY STEPS 1 TO 4)",{"$nulls":6},{"v":12.5,"d":"1250%"},null,"LOOK-THROUGH"]
[{"$nulls":4},"UNFUNDED CREDIT PROTECTION ADJUSTED VALUES (G*) ",{"$nulls":6},"(-) TOTAL OUTFLOWS ","TOTAL INFLOWS",{"$nulls":10},{"v":0.2,"d":"20%"},{"v":0.4,"d":"40%"},{"v":0.5,"d":"50%"},{"v":1,"d":"100%"},{"v":2.25,"d":"225%"},{"v":3.5,"d":"350%"},{"v":6.5,"d":"650%"},"RATED","UNRATED",null,"OF WHICH: SECOND LOSS IN ABCP"]
[null,null,1,2,3,4,5,6,"7=5+6",8,9,10,11,12,13,14,15,16,17,18,19,20,"21=19+20",22,"22b",23,24,"24b",25,"25b",26,27,28,29,30,"30tris","30bis",31,32,33]
["TOTAL EXPOSURES",{"$nulls":38},"Cell linked to CA"]
[null,"OF WHICH : RE-SECURITISATION",{"$nulls":37},"Cell linked to CA"]
["ORIGINATOR: TOTAL EXPOSURES"]
[null,"ON BALANCE SHEET ITEMS"]
[null,"MOST SENIOR"]
[null,"MEZZANINE"]
[null,"FIRST LOSS"]
[null,"SECURITISATIONS"]
[null,"RE-SECURITISATIONS"]
[null,"OFF BALANCE SHEET ITEMS AND DERIVATIVES"]
[null,"SECURITISATIONS"]
[null,"RE-SECURITISATIONS"]
[null,"EARLY AMORTIZATION"]
["INVESTOR: TOTAL EXPOSURES"]
[null,"of which: originated and sponsored by entities not complying with the retention requirement (Art. 122a of amended CRD)"]
[null,"ON BALANCE SHEET ITEMS"]
[null,"MOST SENIOR"]
[null,"MEZZANINE"]
[null,"FIRST LOSS"]
[null,"SECURITISATIONS"]
[null,"RE-SECURITISATIONS"]
[null,"OFF BALANCE SHEET ITEMS AND DERIVATIVES"]
[null,"SECURITISATIONS"]
[null,"RE-SECURITISATIONS"]
["SPONSOR: TOTAL EXPOSURES"]
[null,"ON BALANCE SHEET ITEMS"]
[null,"OFF BALANCE ITEMS AND DERIVATIVES"]

{"sheet":"CR SEC SA Reflist","index":5,"n_rows":53,"n_cols":4,"rows_kept":53,"merged":[[4,1,4,3],[35,1,35,3],[49,1,49,3]],"flags":["formulas_cached_only"]}
[]
[null,"CR SEC SA"]
[]
[null,"ID","Label","Legal references & Comments"]
[null,"COLUMNS"]
[null,1,"TOTAL AMOUNT OF SECURITISATION EXPOSURES ORIGINATED","Originator credit institutions must report all the current securitisation exposures originated in the securitisation transaction, irrespective of who holds the positions. As such, on balance sheet securitisation exposures (e.g. bonds, subordinated loans) as well as off-balance sheet and derivatives exposures (e.g. subordinated credit lines, liquidity facilities, interest rate swaps, CDS, etc.) that have been originated in the securitisation should be reported. In the case of overlapping positions as specified under annex IX part 4 point 5 of Directive 2006/48/EC (e.g. overlapping liquidity facilities) only the position or portion of a position producing the higher risk weighted exposure amounts should be reported. For the row total on balance sheet items the amount reported under this column corresponds to the current amount of securitised exposures, as specified in the answer to Q127 issued by the EU Commission’s CRDTG. In case of early amortization clauses, institutions must specify the amount of \"investors' interest\" as defined in Annex IX part 4 point 19 of the Directive 2006/48/EC."]
[null,"2-4","SYNTHETIC SECURITIZATIONS: CREDIT PROTECTION TO THE SECURITISED EXPOSURES","Annex IX part 2 points 4 to 7 of Directive 2006/48/EC. Following these provisions the credit protection to the securitised exposures should be as there was no security mismatch."]
[null,2,"(-) FUNDED CREDIT PROTECTION (Cva)  ","Annex VIII, part 3, point 33 of the Directive 2006/48/EC. "]
[null,3," (-) UNFUNDED CREDIT PROTECTION ADJUSTED VALUES (G*) ","Annex VIII, part 3, point 84 of the Directive 2006/48/EC. "]
[null,4,"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,5,"SECURITISATION POSITIONS:\nORIGINAL EXPOSURE PRE CONVERSION FACTORS","Securitisation positions held by the reporting institution, calculated according to annex IX part 4 points 1, 2, 4 and 5 of Directive 2006/48/EC, without applying credit conversion factors and gross of value adjustments and provisions. Netting only relevant with respect to multiple derivative contracts provided to the same SSPE, covered by eligible netting agreement. In case of early amortization clauses, institutions must specify the amount of \"investors' interest\" as defined in Annex IX part 4 point 19 of the Directive 2006/48/EC. In synthetic securitisations the securitisation positions held by the originator in the form of on-balance sheet items and/or investor’s interest (early amortisation) will be the result of the column computation: (1) + (2) + (3) + (4)."]
[null,6,"(-) VALUE ADJUSTMENTS AND PROVISIONS ","See CR SA template"]
[null,7,"EXPOSURE NET OF VALUE ADJUSTMENTS AND PROVISIONS","Securitization positions according to annex IX part 4 points 1,2, 4 and 5 of Directive 2006/48/EC, without applying convesion factors"]
[null,"8-11","CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE","See CR SA template"]
[null,8,"UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (Ga)","See CR SA template"]
[null,9,"FUNDED CREDIT PROTECTION","See CR SA template"]
[null,10," (-) TOTAL OUTFLOWS","See CR SA template"]
[null,11,"TOTAL INFLOWS","See CR SA template"]
[null,12,"NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS","See CR SA template."]
[null,13,"(-) 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,14,"FULLY ADJUSTED EXPOSURE VALUE (E*)","Securitization positions according to annex IX part 4 points 1, 2 (a), 2 (b), 3, 4 and 5 of Directive 2006/48/EC, therefore without applying the conversion figures laid down in annex IX part 4 point 2( c) of Directive 2006/48/EC."]
[null,"15-18","BREAKDOWN OF THE FULLY ADJUSTED EXPOSURE VALUE (E*) OF OFF BALANCE SHEET ITEMS ACCORDING TO CONVERSION FACTORS","Annex IX part 4 point 2 (c) of Directive 2006/48/EC."]
[null,19,"EXPOSURE VALUE    ","Securitization positions according to annex IX part 4 points 1 to 5 of Directive 2006/48/EC."]
[null,20,"(-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS","Annex IX part 4 point 35 of Directive 2006/48/EC."]
[null,21,"EXPOSURE VALUE SUBJECT TO RISK WEIGHTS","=19+20"]
[null,"'22-26","Rated","Annex IX part 1 point 1 of Directive 2006/48/EC."]
[null,27,"Unrated","Annex IX part 1 point 1 of Directive 2006/48/EC."]
[null,28,"LOOK-THROUGH","Annex IX part 4 points 9, 10, 11, 12 and 24 of Directive 2006/48/EC. The look-through columns comprise all the cases of unrated exposures where the risk weight is  obtained 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,29,"OF WHICH: SECOND LOSS IN ABCP","Exposure value subject to the treatment specified in annex IX part 4 point 11 of Directive 2006/48/EC."]
[null,30,"RISK WEIGHTED EXPOSURE AMOUNT","Annex IX part 4 of Directive 2006/48/EC without taking into account the provisions in annex IX part 4 points 8 or 22 of Directive 2006/48/EC regarding the maximum risk-weighted exposure amounts and excluding any risk weighted exposure amount  corresponding to exposures redistributed via outflows to another template. For synthetic securitisations with maturity mismatches, the amount to be reported in this column should ignore any maturity mismatch."]
[null,"30tris","OVERALL EFFECT (ADUSTEMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONS","Article 122a, point 5 of Directive 2006/48/EC"]
[null,"30bis","ADJUSTMENT TO THE RISK WEIGHTED EXPOSURE AMOUNT DUE TO MATURITY MISMATCHES","For maturity mismatches in synthetic securitisations RW*-RW(SP), as defined in Annex IX Part 2 point 7 of the Directive 2006/48/EC, should be included, except in the case of tranches subject to a risk weighting of 1250% where the amount to be reported is zero. Note that RW(SP) not only includes the risk weighted exposure amounts reported under column 36 30 but also the risk weighted exposure amounts corresponding to exposures redistributed via outflows to other templates."]
[null,31,"TOTAL CAPITAL REQUIREMENTS BEFORE CAP","Capital requirements derived from the risk weighted exposure amount without taking into account the provisions in annex IX part 4 points 8 or 22 of Directive 2006/48/EC regarding the maximum risk-weighted exposure amounts. 31=(30+30bis+30tris)*8%"]
[null,32,"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,33,"TOTAL CAPITAL REQUIREMENTS AFTER CAP","Total capital requirements subject to securitisation treatment after applying the cap as specified in annex IX part 4 points 8 or 22 of Directive 2006/48/EC. (33=30+30bis+30tris)*8%"]
[null,"ROWS"]
[null,null,"Of which: Re-securitisation","Article 4 (40a) and (40b) of Directive 2006/48/EC"]
[null,null,"Originator","Article 4 (41) of Directive 2006/48/EC."]
[null,null,"Investor","Credit institution that holds a securitisation positions in a securitisation transaction for which it is neither originator nor sponsor"]
[null,null,"of which: originated and sponsored by entities not complying with the retention requirement (Art. 122a of amended CRD)","Article 122a, point 5 of Directive 2006/48/EC"]
[null,null,"Sponsor","Article 4 (42) of Directive 2006/48/EC. 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 and Annex IX, part 4, point 2, letters (a) and (b) of Directive 2006/48/EC"]
[null,null,"OFF BALANCE SHEET ITEMS AND DERIVATIVES","Off-balance sheet securitisation positions subject to a conversion factor under the securitisation framework as mentioned in Annex IX part 4 point 2 letter c) and securitisation positions arising from a derivative instrument listed in Annex IV of Directive 2006/48/EC. 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 annex IX part 4 point 3 of Directive 2006/48/EC as specified in the CR SA template."]
[null,null,"Most senior","Annex IX part 4 point 47 of Directive 2006/48/EC."]
[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 2006/48/EC) 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 IX part 4 point 12 of Directive 2006/48/EC) to the next tranch in the ranking of the securitisation, 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,"SECURITISATIONS","Annex IX part 4 table 1 of Directive 2006/48/EC"]
[null,null,"RE-SECURITISATIONS","Annex IX part 4 table 1 of Directive 2006/48/EC"]
[null,null,"Early amortisation","Article 100, paragraph 2 of Directive 2006/48/EC. 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 2006/48/EC."]
[null,"                                                                                 ","Synthetic securitisation","Article 4 (38) of Directive 2006/48/EC."]

{"sheet":"CR SEC IRB ","index":6,"n_rows":49,"n_cols":52,"rows_kept":49,"merged":[[5,3,8,3],[5,4,5,6],[5,8,5,11],[5,12,8,12],[5,13,8,13],[5,14,8,14],[5,15,5,18],[5,19,8,19],[5,22,5,44],[5,45,8,45],[5,46,8,46],[5,47,8,47],[5,48,8,48],[5,49,8,49],[5,50,8,50],[5,51,8,51],[6,4,8,4],[6,5,7,5],[6,6,8,6],[6,7,8,7],[6,8,8,8],[6,9,8,9],[6,10,7,11],[6,15,8,15],[6,16,8,16],[6,17,8,17],[6,18,8,18],[6,20,8,20],[6,21,8,21],[6,22,6,37],[6,38,6,39],[6,40,6,41],[6,42,8,42],[6,43,6,44],[7,22,8,22],[7,23,8,23],[7,24,8,24],[7,25,8,25],[7,26,8,26],[7,27,8,27],[7,28,8,28],[7,29,8,29],[7,30,8,30],[7,31,8,31],[7,32,8,32],[7,33,8,33],[7,34,8,34],[7,35,8,35],[7,36,8,36],[7,37,8,37],[7,38,8,38],[7,39,8,39],[7,40,7,41],[7,43,7,44],[10,0,10,1],[12,0,12,1],[17,1,19,1],[20,1,21,1],[23,1,25,1],[26,1,27,1],[29,0,29,1],[35,1,37,1],[38,1,39,1],[41,1,43,1],[44,1,45,1],[46,0,46,1],[49,38,49,45]],"flags":["formulas_cached_only"]}
[]
[null,"CR SEC IRB",null,"CREDIT RISK: SECURITISATIONS  - IRB APPROACH TO CAPITAL REQUIREMENTS"]
[]
[null,"Securitisation type:"]
[]
[{"$nulls":3},"TOTAL AMOUNT OF SECURITISATION EXPOSURES ORIGINATED","SYNTHETIC SECURITISATIONS: CREDIT PROTECTION TO THE SECURITISED EXPOSURES",null,null,"SECURITISATION POSITIONS","CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE",{"$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)","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":22},"(-) REDUCTION IN RISK WEIGHTED EXPOSURE AMOUNT DUE TO VALUE ADJUSTMENTS AND PROVISIONS","RISK WEIGHTED EXPOSURE AMOUNT","OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONS","ADJUSTMENT TO THE RISK WEIGHTED EXPOSURE AMOUNT DUE TO MATURITY MISMATCHES","TOTAL CAPITAL REQUIREMENTS BEFORE CAP","MEMORANDUM ITEM:\nCAPITAL REQUIREMENTS CORRESPONDING TO THE OUTFLOWS FROM THE IRB SECURITISATION TO OTHER EXPOSURE CLASSES ","TOTAL CAPITAL REQUIREMENTS AFTER CAP"]
[{"$nulls":4},"(-) FUNDED CREDIT PROTECTION (Cva) "," (-) TOTAL OUTFLOWS   ","NOTIONAL AMOUNT RETAINED OR REPURCHASED OF CREDIT PROTECTION","ORIGINAL EXPOSURE PRE CONVERSION FACTORS","UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (Ga)","FUNDED CREDIT PROTECTION","SUBSTITUTION OF THE EXPOSURE DUE TO CRM",{"$nulls":4},{"v":0,"d":"0%"},">0% and\n <=20%",">20% and\n <=50%",">50% and\n <=100%",null,"(-) DEDUCTED FROM OWN FUNDS","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)",{"$nulls":15},{"v":12.5,"d":"1250%"},null,"SUPERVISORY FORMULA METHOD",null,"LOOK-THROUGH"," INTERNAL ASSESMENT APPROACH"]
[{"$nulls":22},"67 - 10%","12 - 18%","20 - \n35%","540 - \n75%",{"v":1,"d":"100%"},{"v":1.5,"d":"150%"},{"v":2,"d":"200%"},{"v":2.25,"d":"225%"},{"v":2.5,"d":"250%"},{"v":3,"d":"300%"},{"v":3.5,"d":"350%"},{"v":4.25,"d":"425%"},{"v":5,"d":"500%"},{"v":6.5,"d":"650%"},{"v":7.5,"d":"750%"},{"v":8.5,"d":"850%"},"RATED","UNRATED","SECURITISATION POSITIONS",null,null,"SECURITISATION POSITIONS"]
[{"$nulls":5},"UNFUNDED CREDIT PROTECTION ADJUSTED VALUES (G*)    ",{"$nulls":4},"(-) TOTAL OUTFLOWS ","TOTAL INFLOWS",{"$nulls":29},"AVERAGE RISK WEIGHT (%)",null,null,"AVERAGE RISK WEIGHT (%)"]
[{"$nulls":3},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,"24b","24c","24d",25,"25b","25c",26,"26b",27,"27b","27c",28,29,30,31,32,33,34,35,36,"36tris","36bis",37,38,39]
["TOTAL EXPOSURES",{"$nulls":50},"Cell linked to CA"]
[null,"OF WHICH : RE-SECURITISATION",{"$nulls":49},"Cell linked to CA"]
["ORIGINATOR: TOTAL EXPOSURES"]
[null,"ON BALANCE SHEET ITEMS"]
[null,"MOST SENIOR"]
[null,"MEZZANINE"]
[null,"FIRST LOSS"]
[null,"SECURITISATIONS","A"]
[null,null,"B"]
[null,null,"C "]
[null,"RE-SECURITISATIONS","D"]
[null,null,"E"]
[null,"OFF BALANCE SHEET ITEMS AND DERIVATIVES"]
[null,"SECURITISATIONS","A"]
[null,null,"B"]
[null,null,"C "]
[null,"RE-SECURITISATIONS","D"]
[null,null,"E"]
[null,"EARLY AMORTIZATION"]
["INVESTOR: TOTAL EXPOSURES"]
[null,"of which: originated and sponsored by entities not complying with the retention requirement (Art. 122a of amended CRD)"]
[null,"ON BALANCE SHEET ITEMS"]
[null,"MOST SENIOR"]
[null,"MEZZANINE"]
[null,"FIRST LOSS"]
[null,"SECURITISATIONS","A"]
[null,null,"B"]
[null,null,"C "]
[null,"RE-SECURITISATIONS","D"]
[null,null,"E"]
[null,"OFF BALANCE SHEET ITEMS AND DERIVATIVES"]
[null,"SECURITISATIONS","A"]
[null,null,"B"]
[null,null,"C "]
[null,"RE-SECURITISATIONS","D"]
[null,null,"E"]
["SPONSOR: TOTAL EXPOSURES"]
[null,"ON BALANCE SHEET ITEMS"]
[null,"OFF BALANCE SHEET ITEMS AND DERIVATIVES"]

{"sheet":"CR SEC IRB Reflist","index":7,"n_rows":55,"n_cols":4,"rows_kept":55,"merged":[[4,1,4,3],[38,1,38,3],[51,1,51,3]],"flags":["formulas_cached_only"]}
[]
[null,"CR SEC IRB"]
[]
[null,"ID","Label","Legal references & Comments"]
[null,"COLUMNS"]
[null,1,"TOTAL AMOUNT OF SECURITISATION EXPOSURES ORIGINATED","Originator credit institutions must report all the current securitisation exposures originated in the securitisation transaction, irrespective of who holds the positions. As such, on balance sheet securitisation exposures (e.g. bonds, subordinated loans) as well as off-balance sheet and derivatives exposures (e.g. subordinated credit lines, liquidity facilities, interest rate swaps, CDS, etc.) that have been originated in the securitisation should be reported. In the case of overlapping positions as specified under annex IX part 4 point 5 of Directive 2006/48/EC (e.g. overlapping liquidity facilities) only the position or portion of a position producing the higher risk weighted exposure amounts should be reported. For the row total on balance sheet items the amount reported under this column corresponds to the current amount of securitised exposures, as specified in the answer to Q127 issued by the EU Commission’s CRDTG.\nIn case of early amortization clauses, institutions must specify the amount of \"investors' interest\" as defined in  Annex IX part 4 point 70 of the Directive 2006/48/EC."]
[null,"2-4","SYNTHETIC SECURITIZATIONS: CREDIT PROTECTION TO THE SECURITISED EXPOSURES","Annex IX part 2 points 4 to 7 of Directive 2006/48/EC. Following these provisions the credit protection to the securitised exposures should be as there was no security mismatch."]
[null,2,"(-) FUNDED CREDIT PROTECTION (Cva)  ","Annex VIII, part 3, point 33 of the Directive 2006/48/EC. "]
[null,3," (-) UNFUNDED CREDIT PROTECTION ADJUSTED VALUES (G*) ","Annex VIII, part 3, point 84 of the Directive 2006/48/EC. "]
[null,4,"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,5,"SECURITISATION POSITIONS:\nORIGINAL EXPOSURE PRE CONVERSION FACTORS","Securitization positions held by the reporting institution, calculated according to annex IX part 4 points 1,2, 4 and 5 of Directive 2006/48/EC, 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. In case of early amortisation clauses, institutions must specify the amount of \"investors' interest\", as defined in Annex IX, part 4, point 70 of Directive 2006/48/EC.\nIn synthetic securitisations the securitisation positions held by the originator in the form of on-balance sheet items and/or investor’s interest (early amortisation) 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,6,"UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (Ga)","See CR SA template"]
[null,7,"FUNDED CREDIT PROTECTION","See CR SA template"]
[null,8," (-) TOTAL OUTFLOWS","See CR SA template"]
[null,9,"TOTAL INFLOWS","See CR SA template"]
[null,10,"EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS","See CR SA template. "]
[null,11,"(-) 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,12,"FULLY ADJUSTED EXPOSURE VALUE (E*)","Securitization positions according to annex IX part 4 points 1, 2 (a), 2 (b), 3, 4 and 5 of Directive 2006/48/EC, therefore without applying the conversion figures laid down in annex IX part 4 point 2 (c) of Directive 2006/48/EC."]
[null,"13-16","BREAKDOWN OF THE FULLY ADJUSTED EXPOSURE VALUE (E*) OF OFF BALANCE SHEET ITEMS ACCORDING TO CONVERSION FACTORS","Annex IX part 4 point 2 (c) of Directive 2006/48/EC."]
[null,17,"EXPOSURE VALUE    ","Securitization positions according to annex IX part 4 points 1 to 5 of Directive 2006/48/EC."]
[null,18,"(-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS","Annex IX part 4 point 74 of Directive 2006/48/EC. See also annex IX part 4 point 75  of Directive 2006/48/EC."]
[null,19,"EXPOSURE VALUE SUBJECT TO RISK WEIGHTS","=17+18"]
[null,"21-27 20-27c","RATINGS BASED METHOD","Annex IX part 4 points 46 to 51 of Directive 2006/48/EC."]
[null,28,"Rated","Annex IX part 1 point 1 of Directive 2006/48/EC."]
[null,29,"Unrated","Annex IX part 1 point 1 of Directive 2006/48/EC."]
[null,30,"SUPERVISORY FORMULA METHOD","Annex IX part 4 points 52 to 54 of Directive 2006/48/EC."]
[null,31,"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 IX part 4 point 63 of Directive 2006/48/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 IX part 4 point 67 of Directive 2006/48/EC. Exposure value weighted average risk weight should be provided."]
[null,32,"LOOK-THROUGH","Annex IX part 4 points 58 and 59 of Directive 2006/48/EC. For early amortisations see annex IX part 4 points 68 and 24 of the Directive 2006/48/EC."]
[null,33,"INTERNAL ASSESSMENT APPROACH","Annex IX part 4 points 43 and 44 of Directive 2006/48/EC."]
[null,34,"AVERAGE RISK WEIGHT","Exposure value weighted average risk weight should be provided"]
[null,35,"REDUCTION IN RISK WEIGHTED EXPOSURE AMOUNT DUE TO VALUE ADJUSTMENTS AND PROVISIONS (-)","Annex IX part 4 points 72 and 73 of Directive 2006/48/EC. Paragraph 72 of Directive 2006/48/EC only applicable for originators and when the exposure has not been deducted from own funds"]
[null,36,"RISK WEIGHTED EXPOSURE AMOUNT","Annex IX part 4 of Directive 2006/48/EC without taking into account the provisions in annex IX part 4 point 44 of Directive 2006/48/EC regarding the maximum risk-weighted exposure amounts and excluding any risk weighted exposure amount corresponding to exposures redistributed via outflows to another template. For synthetic securitisations with maturity mismatches teh amount to be reported in this column should ignore any maturity mismatch."]
[null,"36tris","OVERALL EFFECT (ADUSTEMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONS","Article 122a, point 5 of Directive 2006/48/EC"]
[null,"36bis","ADJUSTMENT TO THE RISK WEIGHTED EXPOSURE AMOUNT DUE TO MATURITY MISMATCHES","For maturity mismatches in synthetic securitisations RW*-RW(SP), as defined in Annex IX Part 2 point 7 of the Directive 2006/48/EC, should be included, except in the case of tranches subject to a risk weighting of 1250% where the amount to be reported is zero. Note that RW(SP) not only includes the risk weighted exposure amounts reported under column 36 but also the risk weighted exposure amounts corresponding to exposures redistributed via outflows to other templates."]
[null,37,"TOTAL CAPITAL REQUIREMENTS BEFORE CAP","Capital requirements derived from the risk weighted exposure amount without taking into account the provisions in annex IX part 4 point 45 of Directive 2006/48/EC regarding the maximum risk-weighted exposure amounts. 37=(36+36bis+36tris)*8%"]
[null,38,"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,39,"TOTAL CAPITAL REQUIREMENTS AFTER CAP","Total capital requirements subject to securitisation treatment after applying the cap as specified in annex IX part 4 point 45 of Directive 2006/48/EC."]
[null,"ROWS"]
[null,null,"Of which: Re-securitisation","Article 4 (40a) and (40b) of Directive 2006/48/EC"]
[null,null,"Originator","Article 4 (41) of Directive 2006/48/EC."]
[null,null,"Investor","Credit institution that holds a securitisation position in a securitisation transaction for which it is neither originator nor sponsor"]
[null,null,"of which: originated and sponsored by entities not complying with the retention requirement (Art. 122a of amended CRD)","Article 122a, point 5 of Directive 2006/48/EC"]
[null,null,"Sponsor","Article 4 (42) of Directive 2006/48/EC. If a sponsor is also securitising its 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 and Annex IX, part 4, point 2, letters (a) and (b) of Directive 2006/48/EC"]
[null,null,"OFF BALANCE SHEET ITEMS AND DERIVATIVES","Off-balance sheet securitisation positions subject to a conversion factor under the securitisation framework as mentioned in Annex IX part 4 point 2 letter c) and securitisation positions arising from a derivative instrument listed in Annex IV of Directive 2006/48/EC. 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 annex IX part 4 point 3 of Directive 2006/48/EC as specified in the CR SA template."]
[null,null,"Most senior","Annex IX part 4 point 47 of Directive 2006/48/EC."]
[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 2006/48/EC) 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 IX part 4 point 12 of Directive 2006/48/EC) to the next tranch in the ranking of the securitisation, 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,"Levels A to E","Annex IX part 4 table 4 of Directive 2006/48/EC"]
[null,null,"Early amortisation","Article 100, paragraph 2 of Directive 2006/48/EC. 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 2006/48/EC."]
[null,"                                                                                 ","Synthetic securitisation","Article 4 (38) of Directive 2006/48/EC."]

{"sheet":"CR SEC Details","index":8,"n_rows":18,"n_cols":34,"rows_kept":18,"merged":[[3,1,6,1],[3,2,6,2],[3,3,6,3],[3,4,6,4],[3,5,3,7],[3,8,6,8],[3,9,3,10],[3,20,3,30],[3,31,6,31],[3,32,6,32],[3,33,6,33],[4,5,6,5],[4,6,6,6],[4,7,6,7],[4,9,6,9],[4,10,6,10],[4,11,5,11],[4,12,6,12],[4,13,6,13],[4,14,6,14],[4,15,6,15],[4,16,6,16],[4,17,6,17],[4,18,6,18],[4,19,6,19],[4,20,4,25],[4,26,4,28],[4,29,4,30],[5,20,5,21],[5,22,5,23],[5,24,5,25],[5,26,6,26],[5,27,6,27],[5,28,6,28],[5,29,6,29],[5,30,6,30]],"flags":["formulas_cached_only"]}
[]
[null,"CR SEC Details",{"$nulls":7},"CREDIT RISK: DETAILED INFORMATION ON SECURITISATIONS BY ORIGINATORS, SPONSORS AND ORIGINAL LENDERS"]
[]
[null,"INTERNAL CODE","IDENTIFIER OF THE SECURITISATION","SECURITISATION TYPE:\nTRADITIONAL / SYNTHETIC   ","SECURITISATION OR RE-SECURITISATION ?","Retention",null,null,"ROLE OF THE INSTITUTION:\nORIGINATOR/ SPONSOR/ ORIGINAL LENDER","NON ABCP PROGRAMS",null,null,"SECURITISED EXPOSURES",{"$nulls":6},"SECURITISATION STRUCTURE","SECURITISATION POSITIONS (ORIGINAL EXPOSURE PRE CONVERSION FACTORS)",{"$nulls":10},"(-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS","TOTAL CAPITAL REQUIREMENTS BEFORE CAP","TOTAL CAPITAL REQUIREMENTS AFTER CAP"]
[{"$nulls":5},"Type of retention applied","% of retention at reporting date","Compliance with the retention requirement?",null,"ORIGINATION DATE \n(mm/yyyy)","TOTAL AMOUNT OF SECURITISED EXPOSURES 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":20},"MOST SENIOR",null,"MEZZANINE ",null,"FIRST LOSS ",null,"DIRECT CREDIT SUBSTITUTES","ELIGIBLE LIQUIDITY FACILITIES","OTHER","CONTROLLED? (yes/No)","CONVERSION FACTOR APPLIED"]
[{"$nulls":20},"RATED","UNRATED","RATED","UNRATED","RATED","UNRATED"]
[null,1,2,3,"3a","3b","3c","3d",4,5,6,7,8,9,10,11,12,13,14,15,16,17,18,19,20,21,22,23,24,25,26,27,28,29]
{"$rows_empty":9}
[null,"..."]

{"sheet":"CR SEC Details Ref list","index":9,"n_rows":43,"n_cols":4,"rows_kept":43,"merged":[[4,1,4,3]],"flags":["formulas_cached_only"]}
[]
[null,"CR SEC Details"]
[]
[null,"ID","Label","Legal references & Comments"]
[null,"COLUMNS"]
[null,1,"INTERNAL CODE","Internal code used by the institution to identify the securitisation"]
[null,2,"IDENTIFIER OF THE SECURITISATION","Name or coding by which the securitisation is known in the market"]
[null,3,"SECURITISATION TYPE: TRADITIONAL / SYNTHETIC  ","Report 'T' for Traditional and 'S' for Synthetic according to definitions in Article 4, points 37 and 38 of Directive 2006/48/EC. See CR SEC SA and CR SEC IRB"]
[null,"3a","SECURITISATION OR RE-SECURITISATION ?","Annex I, point 16a of Direcitive 2006/49/EC. \nReport 'S' for securitisation and 'R' for re-securitisation according to definitions in Article 4, points 36 and 40a of Directive 2006/48/EC."]
[null,"3b-3d","Retention","Article 122a of Directive 2006/48/EC"]
[null,"3b","Type of retention applied","Article 122a point 1 of Directive 2006/48/EC\n\nReport the following abbreviations:\nA - Vertical slice (securitisation positions)\nA* - Vertical slice (securitised exposures);\nB - Revolving exposures;\nC- On-balance sheet;\nD- First loss;\nE-Exempted\nN-Not applicable\nU-In breach or unknown"]
[null,"3c","% of retention at reporting date","Article 122a point 1 of Directive 2006/48/EC"]
[null,"3d","Compliance with the retention requirement?","Article 122a point 1 of Directive 2006/48/EC\n\nReport the following abbreviations:\nY-Yes\nN-No"]
[null,4,"ROLE OF THE INSTITUTION: ORIGINATOR / SPONSOR / ORIGINAL LENDER","Report 'O' for Originator, 'S' for Sponsor and 'L' for Original Lender according to definitions in Article 4 points 41 (Originator) and 42 (Sponsor). Original lenders are assumed to be those institutions that being subject to the retention requirement as stated in Art 122a, para. 1 of Directive 2006/48/EC do not act as originators or sponsors. "]
[null,5,"ORIGINATION DATE ","Origination date is the cut-off date of the pool (closing date). "]
[null,6,"TOTAL AMOUNT OF SECURITISED EXPOSURES 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 ","In the case of multi-seller securitisations, only the amount corresponding to the reporting institution should be reported"]
[null,7,"TOTAL AMOUNT","See CR SEC SA and CR SEC IRB. "]
[null,8,"INSTITUTION'S SHARE","In the case of multi-seller securitisations, credit institutions should report the share the total amount of securitised exposures by them represents on the total securitised exposures of the securitisation."]
[null,9,"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 (and re-securitisations); 9-other assets. In case the pool consists of different types of assets, the institution should indicate the most important type. In case of re-securitisations, the institution should refer to the ultimate underlying pool of assets."]
[null,10,"APPROACH APPLIED (SA/IRB/MIX)","Report 'SA' for Standardised Approach, 'IRB' for Internal Ratings Based Approach and 'MIX' if both approaches are used in the treatment of the securitised exposures"]
[null,11,"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,12," 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 IX part 4 point 53 of Directive 2006/48/EC."]
[null,13,"(-) VALUE ADJUSTMENTS AND PROVISIONS","See CR SEC SA and CR SEC IRB"]
[null,14,"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)"]
[null,15,"SECURITISATION STRUCTURE: FIRST 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\n\nAnnex IX part 4 point 47 of Directive 2006/48/EC."]
[null,"18-19","MEZZANINE ","See CR SEC SA and CR SEC IRB\n\nAll tranches that do not qualify as most senior or first losses will be included in this category."]
[null,"20-21","FIRST LOSS","See CR SEC SA and CR SEC IRB\n\nPositions in those securitisation tranches (Article 4 (39) of Directive 2006/48/EC) 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 IX part 4 point 12 of Directive 2006/48/EC) to the next tranch in the ranking of the securitisation, 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,"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,22,"DIRECT CREDIT SUBSTITUTES","See full risk items in annex II of Directive 2006/48/EC."]
[null,23,"ELIGIBLE LIQUIDITY FACILITIES","Liquidity facilities satisfying the requirements established in annex IX part 4 point 13 of Directive 2006/48/EC."]
[null,24,"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,25,"CONTROLLED? (yes/No)","Yes should be reported when the conditions in annex IX part 4 point 25 of Directive 2006/48/EC are met."]
[null,26,"CONVERSION FACTOR APPLIED","See CR SEC SA and CR SEC IRB"]
[null,27,"(-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS","See CR SEC SA and CR SEC IRB"]
[null,28,"TOTAL CAPITAL REQUIREMENTS BEFORE CAP","See CR SEC SA and CR SEC IRB"]
[null,29,"TOTAL CAPITAL REQUIREMENTS AFTER CAP","See CR SEC SA and CR SEC IRB"]

{"sheet":"CR SETT","index":10,"n_rows":17,"n_cols":8,"rows_kept":17,"flags":["formulas_cached_only"]}
[]
[null,"CR TB SETT",null,null,"                    SETTLEMENT/DELIVERY 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,null,"1. Total unsettled transactions in the Non-trading Book",{"$nulls":4},"Cell linked to CA"]
[{"$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"]
[null,null,"1. 2. Total unsettled transactions in the Trading Book",{"$nulls":4},"Cell linked to CA"]
[{"$nulls":3},"1.1 2.1 Transactions unsettled up to 4 days"]
[{"$nulls":3},"1.2 2.2 Transactions unsettled between 5 and 15 days"]
[{"$nulls":3},"1.3 2.3 Transactions unsettled between 16 and 30 days"]
[{"$nulls":3},"1.4 2.4 Transactions unsettled between 31 and 45 days"]
[{"$nulls":3},"1.5 2.5 Transactions unsettled for 46 days or more"]

{"sheet":"CR SETT Ref list","index":11,"n_rows":21,"n_cols":4,"rows_kept":21,"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 point 1 of Directive 2006/49/EC."]
[null,"2","Price difference exposure due to unsettled transactions","Annex II point 1 of Directive 2006/49/EC."]
[null,"3","Capital requirements","The capital charge for any exposure according to paragraph point 1 of Annex II of Directive 2006/49/EC."]
[null,"ROWS"]
[null,"1","TOTAL UNSETTLED TRANSACTIONS IN THE NON-TRADING BOOK","Unsettled transactions in the non-trading book and their correspondent capital requirements for settlement risk according to article 18(1) point (a) of Directive 2006/49/EC and point 1 of Annex II of Directive 2006/49/EC, and article 75 (c) of Directive 2006/48/EC. Be aware that the counterparty credit risk and the free deliveries referred to in Annex II will be dealt with in the CR SA or CR IRB templates"]
[null,"1.1","Transactions unsettled up to 4 days","Annex II point 1 Table 1 of Directive 2006/49/EC."]
[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."]
[null,"1 2","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(1) paragraph (1) point (a) of Directive 2006/49/EC and paragraph point 1 of Annex II of Directive 2006/49/EC, and article 75 (b c) of Directive 2006/48/EC. Be aware that the counterparty credit risk and the free deliveries referred to in Annex II will be dealt with in the CR SA or CR IRB templates."]
[null,"1.1 2.1","Transactions unsettled up to 4 days","Annex II point 1 Table 1 of Directive 2006/49/EC."]
[null,"1.2 2.2","Transactions unsettled between 5 and 15 days","Id."]
[null,"1.3 2.3","Transactions unsettled between 16 and 30 days","Id."]
[null,"1.4 2.4","Transactions unsettled between 31 and 45 days","Id."]
[null,"1.5 2.5","Transactions unsettled for 46 days or more","Id."]

{"sheet":"MKR SA TDI","index":12,"n_rows":58,"n_cols":15,"rows_kept":58,"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",{"$nulls":12},"Cell linked to CA"]
[null,"    1 General risk. Maturity-based approach"]
[null,null,"1.1 Zone 1"]
[{"$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",{"$nulls":10},{"v":100,"d":"100.00"}]
[null,"    3 Specific risk"]
[null,null,"3.1 Debt securities under the first category in Table 1 (point 14 annex I, Directive 2006/49/EC) or article 19, paragraph 1",{"$nulls":10},{"v":0,"d":"0.00"}]
[null,null,"3.2 Debt securities under the second category in Table 1 (point 14 annex I, Directive2006/49/EC)"]
[{"$nulls":3},"3.2.a With residual term  ≤ 6 months",{"$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 (point 14 annex I, Directive 2006/48/EC)",{"$nulls":10},{"v":8,"d":"8.00"}]
[null,null,"3.4 Debt securities under the fourth category in Table 1 (point 14 annex I, Directive 2006/48/EC)",{"$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":13,"n_rows":47,"n_cols":4,"rows_kept":47,"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 2006/49/EC. These are gross positions not netted by instruments but excluding underwriting positions subscribed or sub-underwritten by third parties (annex I point 41 second sentence of Directive 2006/49/EC). Regarding the "]
[null,3,"(-) Reduction effect for underwriting positions","Annex I point 41, first subparagraph, last sentence of Directive 2006/49/EC and annex I point 41 third sub-paragraph of Directive 2006/49/EC."]
[null,4.5,"Net positions","Annex I points 1-5 and 13 of Directive 2006/49/EC. Regarding the distinction between Long and Short positions see annex I point 4 last sub-paragraph of Directive 2006/49/EC."]
[null,6.7,"ALLOWANCE DUE TO TRADING BOOK POSITIONS HEDGED BY CREDIT DERIVATIVES","Annex I points 42-46 of Directive 2006/49/EC. 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 approaches considered in annex I of Directive 2006/49/EC, receive a capital charge."]
[null,null,"Risk capital charge","The capital charged (%) for position risks on the relevant net positions according to the different approaches considered in annex I of Directive 2006/49/EC."]
[null,"9","Capital requirements","The capital charge for any relevant position according to annex I of Directive 2006/49/EC."]
[null,"ROWS","ROWS"]
[null,null,"Traded debt instruments in trading book","Positions in traded debt instruments in Trading Book and their correspondent cCapital requirements for position risk according to article 18, paragraph 1 (a) of Directive 2006/49/EC and annex I of Directive 2006/49/EC, and article 75 (b) of Directive 2006"]
[null,"1","General risk. Maturity-based approach","Positions in traded debt instruments subject to the maturiry-based apprach according to Annex I, points 17-24 of Directive 2006/49/EC and their correspondent capital requirements set up in point 25"]
[null,"1.1","Zone 1","Annex I point 20 Table 2 of Directive 2006/49/EC."]
[null,"1.2","Zone 2","Annex I point 20 Table 2 of Directive 2006/49/EC."]
[null,"1.3","Zone 3","Annex I point 20 Table 2 of Directive 2006/49/EC."]
[null,"1.a","Matched weighted position in all maturity bands","Annex I points 19-25 of Directive 2006/49/EC."]
[null,"1.b","Matched weighted position in zone 1","Annex I points 19-25 of Directive 2006/49/EC."]
[null,"1.c","Matched weighted position in zone 2","Annex I points 19-25 of Directive 2006/49/EC."]
[null,"1.d","Matched weighted position in zone 3","Annex I points 19-25 of Directive 2006/49/EC."]
[null,"1.e1","Matched weighted position between zone 1 and 2","Annex I points 19-25 of Directive 2006/49/EC."]
[null,"1.e2","Matched weighted position between zone 2 and 3","Annex I points 19-25 of Directive 2006/49/EC."]
[null,"1.f","Matched weighted position between zone 1 and 3","Annex I points 19-25 of Directive 2006/49/EC."]
[null,"1.g","Residual unmatched weighted positions","Annex I points 19-25 of Directive 2006/49/EC."]
[null,"2","General risk. Duration-based approach","Positions in traded debt instruments subject to the duration-based approach according to annex I points 26-31 of Directive 2006/49/EC and their correspondent capital requirements set up in annex I point 32 of Directive 2006/49/EC."]
[null,"2.1","Zone 1","Annex I point 29 Table 3 of Directive 2006/49/EC."]
[null,"2.2","Zone 2","Annex I point 29 Table 3 of Directive 2006/49/EC."]
[null,"2.3","Zone 3","Annex I point 29 Table 3 of Directive 2006/49/EC."]
[null,"2.a","Matched duration-weighted position in all zones","Annex I points 28-32 of Directive 2006/49/EC. "]
[null,"2.b1","Matched duration-weighted position between zone 1 and 2","Annex I points 28-32 of Directive 2006/49/EC. "]
[null,"2.b2","Matched duration-weighted position between zone 2 and 3","Annex I points 28-32 of Directive 2006/49/EC. "]
[null,"2.c","Matched duration-weighted position between zone 1 and 3","Annex I points 28-32 of Directive 2006/49/EC. "]
[null,"2.d","Residual unmatched duration-weighted positions","Annex I points 28-32 of Directive 2006/49/EC. "]
[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 points 14, 15 and 16 of Directive 2006/49/EC. Be also aware of last sentence in annex I point 1 of Directive 2006/49/EC."]
[null,"3.1","Debt securities under the first category in Table 1 (point 14 annex I, Directive  2006/49/EC) 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 points 14-16 of Directive 2006/49/EC. Be also aware of last sentence  in annex I point 1 of Directive 2006/49/EC."]
[null,"3.2","Debt securities under the second category in Table 1 (point 14 annex I, Directive 2006/49/EC)","Positions in traded debt instruments subject to the specific risk capital charge and their correspondent capital charge according to annex I points 14-16 of Directive 2006/49/EC. Be also aware of last sentence  in annex I point 1 of Directive 2006/49/EC."]
[null,"3.3","Debt securities under the third category in Table 1 (point 14 annex I, Directive 2006/49/EC)","Positions in traded debt instruments subject to the specific risk capital charge and their correspondent capital charge according to annex I points 14-16 of Directive 2006/49/EC. Be also aware of last sentence  in annex I point 1 of Directive 2006/49/EC."]
[null,"3.4 ","Debt securities under the fourth category in Table 1 (point 14 annex I, Directive 2006/49/EC)","Positions in traded debt instruments subject to the specific risk capital charge and their correspondent capital charge according to annex I points 14-16 of Directive 2006/49/EC. Be also aware of last sentence  in annex I point 1 of Directive 2006/49/EC."]
[null,"3.5","Securitisation exposures subject to 1250% risk weighting or deduction and unrated liquidity facilities","Annex I point 14 of Directive 2006/49/EC."]
[null,"4","Particular approach for position risk in CIUs","Annex I points 47-56 of Directive 2006/49/EC. Applicable when positions in CIUs or the underlying instruments are not treated in accordance with the methods set out in Annex V of Directive 2006/49/EC. It includes, if it is the case, the effects of applica"]
[null,"5","Margin-based approach for exchange traded futures and options","Annex I points 4-5 of Directive 2006/49/EC."]
[null,"6","Margin-based approach for OTC futures and options","Annex I points 4-5 of Directive 2006/49/EC."]
[null,"7","Other non-delta risks for options","Annex I point 5, 3rd sub-paragraph, first sentence of Directive 2006/49/EC.\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 ma"]
[null,"OTHERS"]
[null,null,"Currency","Annex I point 13 of Directive 2006/49/EC.\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 SEC","index":14,"n_rows":29,"n_cols":65,"rows_kept":29,"merged":[[3,1,6,3],[3,4,4,5],[3,6,4,7],[3,8,4,9],[3,10,3,32],[3,33,3,55],[3,56,4,57],[3,58,4,60],[3,61,4,63],[3,64,5,64],[4,10,4,25],[4,26,4,27],[4,28,4,29],[4,30,5,30],[4,31,4,32],[4,33,4,48],[4,49,4,50],[4,51,4,52],[4,53,5,53],[4,54,4,55],[7,1,7,3],[8,2,8,3],[9,1,9,3],[12,1,12,2],[16,1,16,2],[19,1,19,64],[29,26,29,33],[30,2,30,41]],"flags":["formulas_cached_only"]}
[]
[null,null,"MKR SA SEC",{"$nulls":12},"MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS "]
[]
[{"$nulls":4},"ALL POSITIONS",null,"(-) POSITIONS DEDUCTED FROM OWN FUNDS",null,"NET POSITIONS",null,"BREAKDOWN OF THE NET POSITIONS (LONG) ACCORDING TO SA AND IRB RISK WEIGHTS",{"$nulls":22},"BREAKDOWN OF THE NET POSITIONS (SHORT) ACCORDING TO SA AND IRB RISK WEIGHTS",{"$nulls":22},"OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONS",null,"BEFORE CAP",null,null,"AFTER CAP ",null,null,"TOTAL CAPITAL REQUIREMENTS "]
[{"$nulls":10},"RISK WEIGHTS < 1250%",{"$nulls":15},{"v":12.5,"d":"1250%"},null,"SUPERVISORY FORMULA METHOD",null,"LOOK-THROUGH"," INTERNAL ASSESMENT APPROACH",null,"RISK WEIGHTS < 1250%",{"$nulls":15},{"v":12.5,"d":"1250%"},null,"SUPERVISORY FORMULA METHOD",null,"LOOK-THROUGH"," INTERNAL ASSESMENT APPROACH"]
[{"$nulls":4},"LONG","SHORT","LONG","SHORT","LONG","SHORT","7 - 10%","12 - 18%","20 - 35%","40 - 75%",{"v":1,"d":"100%"},{"v":1.5,"d":"150%"},{"v":2,"d":"200%"},{"v":2.25,"d":"225%"},{"v":2.5,"d":"250%"},{"v":3,"d":"300%"},{"v":3.5,"d":"350%"},{"v":4.25,"d":"425%"},{"v":5,"d":"500%"},{"v":6.5,"d":"650%"},{"v":7.5,"d":"750%"},{"v":8.5,"d":"850%"},"RATED","UNRATED",null,"AVERAGE RISK WEIGHT (%)",null,null,"AVERAGE RISK WEIGHT (%)","7 - 10%","12 - 18%","20 - 35%","40 - 75%",{"v":1,"d":"100%"},{"v":1.5,"d":"150%"},{"v":2,"d":"200%"},{"v":2.25,"d":"225%"},{"v":2.5,"d":"250%"},{"v":3,"d":"300%"},{"v":3.5,"d":"350%"},{"v":4.25,"d":"425%"},{"v":5,"d":"500%"},{"v":6.5,"d":"650%"},{"v":7.5,"d":"750%"},{"v":8.5,"d":"850%"},"RATED","UNRATED",null,"AVERAGE RISK WEIGHT (%)",null,null,"AVERAGE RISK WEIGHT (%)","WEIGHTED NET LONG POSITIONS","WEIGHTED NET SHORT POSITIONS","WEIGHTED NET LONG POSITIONS","WEIGHTED NET SHORT POSITIONS","SUM OF WEIGHTED NET LONG AND SHORT POSITIONS","WEIGHTED NET LONG POSITIONS","WEIGHTED NET SHORT POSITIONS","SUM OF WEIGHTED NET LONG AND SHORT POSITIONS"]
[{"$nulls":4},"1","2","3","4","5","6","7","8","9","10","11","12","13","14","15","16","17","18","19","20","21","22","23","24","25","26","27","28","29","30","31","32","33","34","35","36","37","38","39","40","41","42","43","44","45","46","47","48","49","50","51","52","53","54","55","56","57","58","59","60","61"]
[null,"TOTAL EXPOSURES",{"$nulls":62},"Cell linked to CA"]
[null,null,"Of which: RE-SECURITISATIONS"]
[null,"ORIGINATOR: TOTAL EXPOSURES"]
[null,null,"SECURITISATIONS"]
[null,null,"RE-SECURITISATIONS"]
[null,"INVESTOR: TOTAL EXPOSURES"]
[null,null,"Of which: originated and sponsored by entities not complying with the retention requirement (Art. 122a of amended CRD)"]
[null,null,"SECURITISATIONS"]
[null,null,"RE-SECURITISATIONS"]
[null,"SPONSOR: TOTAL EXPOSURES"]
[null,null,"SECURITISATIONS"]
[null,null,"RE-SECURITISATIONS"]
[null,"BREAKDOWN OF THE TOTAL SUM OF WEIGHTED NET LONG AND NET SHORT POSITIONS BY UNDERLYING TYPES:"]
[null,null,"1. Residential mortgages"]
[null,null,"2. Commercial mortgages"]
[null,null,"3. Credit card receivables"]
[null,null,"4. Leasing"]
[null,null,"5. Loans to corporates or SMEs"]
[null,null,"6. Consumer loans"]
[null,null,"7. Trade receivables"]
[null,null,"8. Securitisations"]
[null,null,"9. Other assets"]

{"sheet":"MKR SA SEC Ref list","index":15,"n_rows":29,"n_cols":4,"rows_kept":29,"merged":[[5,1,5,3],[18,1,18,3],[27,1,27,3],[28,2,28,3]],"flags":["formulas_cached_only"]}
[]
[null,"MKR SA SEC "]
[]
[]
[null,"ID","Label","Legal references & Comments"]
[null,"COLUMNS"]
[null,"1-2","ALL POSITIONS","Art 11 and 33 in connection with Annex I para. 16a of Directive 2006/49/EC (securitisation positions). Regarding the distinction between Long and Short positions, also applicable to these gross positions, see Annex I point 4 last sub-paragraph of Directive 2006/49/EC."]
[null,"3-4","(-) POSITIONS DEDUCTED FROM OWN FUNDS","Annex IX part 4 point 35 of Directive 2006/48/EC."]
[null,"5-6","NET POSITIONS","Annex I points 1 to 5 and 13 of Directive 2006/49/EC. Regarding the distinction between Long and Short positions see Annex I point 4 last sub-paragraph of Directive 2006/49/EC"]
[null,"7-8","BREAKDOWN OF THE NET POSITIONS  ACCORDING TO RISK WEIGHTS","Annex IX Part 4 Table 1 and 4 of Directive 2006/48/EC"]
[null,"23-24 / 46-47",{"v":12.5,"d":"1250%"},"Annex IX Part 1 Point 1 of Directive 2006/48/EC."]
[null,"25-26 / 48-49","SUPERVISORY FORMULA METHOD","Annex I point 16a second subparagraph in connection with Annex IX Part 4 Points 52 to 54 of Directive 2006/48/EC."]
[null,"27/50","LOOK THROUGH","SA: Annex IX part 4 points 9, 10, 11, 12 and 24 of Directive 2006/48/EC. The look-through columns comprise all the cases of unrated exposures where the risk weight is  obtained 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).\nIRB: Annex IX Part 4 Points 58 and 59 of Directive 2006/48/EC. For early amortisations see Annex IX Part 4 points 68 and 24 of the Directive 2006/48/EC."]
[null,"28-29 / 51-52","INTERNAL ASSESSMENT APPROACH","Annex IX Part 4 Points 43 and 44 of Directive 2006/48/EC."]
[null,"53, 54","OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONS","Annex I point 16a. Subparagraph 3 of Directive 2006/EC/49) in connection with Article 122a, point 5 of Directive 2006/48/EC"]
[null,"55-57","BEFORE CAP - WEIGHTED NET LONG / SHORT POSITIONS AND SUM OF WEIGHTED NET LONG AND SHORT POSITIONS","Annex I points 14a and 16a of Directive 2006/49/EC without taking into account the discretion of Annex I point 14 second subparagraph of Directive 2006/49/EC"]
[null,"58-60","AFTER CAP - WEIGHTED NET LONG / SHORT POSITIONS AND SUM OF WEIGHTED NET LONG AND SHORT POSITIONS","Annex I points 14a and 16a of Directive 2006/49/EC taking into account the discretion of Annex I point 14 second subparagraph of Directive 2006/49/EC"]
[null,"61","TOTAL CAPITAL REQUIREMENTS","According to Annex I point 16a (fifth paragraph) of Directive 2006/49/EC for a transitional period ending 31 December 2013, the institution shall sum separately its weighted net long positions (col. 58) and its weighted net short positions (col. 59). The larger of those sums (after cap) shall constitute the capital requirement. From 2014 onwards according to Annex I para 16a fourth paragraph, the institution shall sum its weighted net positions, regardless whether they are long or short (col. 60), in order to calculate the capital requirement."]
[null,"ROWS"]
[null,null,"TOTAL EXPOSURES","Total amount of outstanding securitisations (held in the trading book) reported by the institution playing the role/s of originator and/or investor and/or sponsor."]
[null,null,"SECURITISATIONS","Article 3(1) lit. t first subparagraph of Direction 2006/49/EC in connection with Art 4 (40a) of Directive 2006/48/EC"]
[null,null,"RE-SECURITISATIONS","Article 3(1) lit. t first subparagraph of Direction 2006/49/EC in connection with Art 4 (40b) of Directive 2006/48/EC"]
[null,null,"ORIGINATOR","Article 4 (41) of Directive 2006/48/EC."]
[null,null,"INVESTOR","Credit institution that holds a securitisation positions in a securitisation transaction for which it is neither originator nor sponsor"]
[null,null,"Of which: originated and sponsored by entities not complying with the retention requirement (Art. 122a of amended CRD)","Article 122a, point 5 of Directive 2006/48/EC"]
[null,null,"SPONSOR","Article 4 (42) of Directive 2006/48/EC. 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,"BREAKDOWN OF THE TOTAL SUM OF WEIGHTED NET LONG AND NET SHORT POSITIONS BY UNDERLYING TYPES","Annex I point 16a subparagraph 5 of Directive 2006/49/EC.\n\nThe breakdown of the underlying assets follows the classification used in the SEC Details template (Column 'Type'):\n1-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 (and re-securitisations); 9-other assets. For each securitisation, in case the pool consists of different types of assets, the institution should consider the most important type."]
[null,"OTHER"]
[null,null,"The MKR SA SEC template determines the capital requirement only for the specific risk of securitisation positions according to Annex I point 16a of amended Directive 2006/49/EC, whose risk weights are determined following both the Standardised Approach and the Internal Ratings Based Approach according to Article 94 of Directive 2006/48/EC. The reporting of the capital requirements of the general risk of these positions is conducted in the MKR SA TDI or the MKR IM template."]

{"sheet":"MKR SA CTP","index":16,"n_rows":20,"n_cols":49,"rows_kept":20,"merged":[[3,1,6,3],[3,4,4,5],[3,6,4,7],[3,8,4,9],[3,10,3,26],[3,27,3,43],[3,44,4,45],[3,46,4,47],[3,48,5,48],[4,10,4,18],[4,19,4,20],[4,21,4,22],[4,23,5,23],[4,24,4,25],[4,26,5,26],[4,27,4,35],[4,36,4,37],[4,38,4,39],[4,40,5,40],[4,41,4,42],[4,43,5,43],[7,1,7,3],[8,1,8,3],[10,2,10,3],[11,2,11,3],[12,1,12,3],[14,2,14,3],[15,2,15,3],[16,1,16,3],[18,2,18,3],[19,2,19,3],[20,19,20,27],[21,2,21,43]],"flags":["formulas_cached_only"]}
[]
[null,null,"MKR SA CTP",{"$nulls":6},"MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN THE CORRELATION TRADING PORTFOLIO"]
[]
[{"$nulls":4},"ALL POSITIONS",null,"(-) POSITIONS DEDUCTED FROM OWN FUNDS",null,"NET POSITIONS",null,"BREAKDOWN OF THE NET POSITION (LONG) ACCORDING TO SA AND IRB RISK WEIGHTS",{"$nulls":16},"BREAKDOWN OF THE NET POSITION (SHORT) ACCORDING TO SA AND IRB RISK WEIGHTS",{"$nulls":16},"BEFORE CAP",null,"AFTER CAP",null,"TOTAL CAPITAL REQUIREMENTS"]
[{"$nulls":10},"RISK WEIGHTS < 1250%",{"$nulls":8},{"v":12.5,"d":"1250%"},null,"SUPERVISORY FORMULA METHOD",null,"LOOK-THROUGH"," INTERNAL ASSESMENT APPROACH",null,"OTHER","RISK WEIGHTS < 1250%",{"$nulls":8},{"v":12.5,"d":"1250%"},null,"SUPERVISORY FORMULA METHOD",null,"LOOK-THROUGH"," INTERNAL ASSESMENT APPROACH",null,"OTHER"]
[{"$nulls":4},"LONG","SHORT","LONG","SHORT","LONG","SHORT","7 - 10%","12 - 18%","20 - 35%","40- 75%",{"v":1,"d":"100%"},{"v":2.5,"d":"250%"},{"v":3.5,"d":"350%"},{"v":4.25,"d":"425%"},{"v":6.5,"d":"650%"},"RATED","UNRATED",null,"AVERAGE RISK WEIGHT (%)",null,null,"AVERAGE RISK WEIGHT (%)",null,"7 - 10%","12 - 18%","20 - 35%","40 - 75%",{"v":1,"d":"100%"},{"v":2.5,"d":"250%"},{"v":3.5,"d":"350%"},{"v":4.25,"d":"425%"},{"v":6.5,"d":"650%"},"RATED","UNRATED",null,"AVERAGE RISK WEIGHT (%)",null,null,"AVERAGE RISK WEIGHT (%)",null,"WEIGHTED NET LONG POSITIONS","WEIGHTED NET SHORT POSITIONS ","WEIGHTED NET LONG POSITIONS","WEIGHTED NET SHORT POSITIONS "]
[{"$nulls":4},"1","2","3","4","5","6","7","8","9","10","11","12","13","14","15","16","17","18","19","20","21","22","23","24","25","26","27","28","29","30","31","32","33","34","35","36","37","38","39","40","41","42","43","44","45"]
[null,"TOTAL EXPOSURES",{"$nulls":46},"Cell linked to CA "]
[null,"ORIGINATOR: TOTAL EXPOSURES"]
[null,null,"SECURITISATIONS"]
[null,null,"N-TH-TO-DEFAULT CREDIT DERIVATIVES"]
[null,null,"OTHER CTP POSITIONS"]
[null,"INVESTOR: TOTAL EXPOSURES"]
[null,null,"SECURITISATIONS"]
[null,null,"N-TH-TO-DEFAULT CREDIT DERIVATIVES"]
[null,null,"OTHER CTP POSITIONS"]
[null,"SPONSOR: TOTAL EXPOSURES"]
[null,null,"SECURITISATIONS"]
[null,null,"N-TH-TO-DEFAULT CREDIT DERIVATIVES"]
[null,null,"OTHER CTP POSITIONS"]

{"sheet":"MKR SA CTP Ref list","index":17,"n_rows":28,"n_cols":4,"rows_kept":28,"merged":[[5,1,5,3],[18,1,18,3],[23,3,25,3],[26,1,26,3],[27,1,27,3]],"flags":["formulas_cached_only"]}
[]
[null,"MKR SA CTP"]
[]
[]
[null,"ID","Label","Legal references & Comments"]
[null,"COLUMNS"]
[null,"1-2","ALL POSITIONS","Art. 11 and 33 in connection with positions assigned to the Correlation Trading Portfolio according to Annex I points 14b and 14c of Directive 2006/49/EC. Regarding the distinction between Long and Short positions, also applicable to these gross positions, see Annex I point 4 last sub-paragraph of Directive 2006/49/EC."]
[null,"3-4","(-) POSITIONS DEDUCTED FROM OWN FUNDS","Annex IX part 4 point 35 of Directive 2006/48/EC."]
[null,"5-6","NET POSITIONS","Annex I points 1 to 5 and 13 of Directive 2006/49/EC. Regarding the distinction between Long and Short positions see Annex I point 4 last sub-paragraph of Directive 2006/49/EC."]
[null,"7-40","BREAKDOWN OF THE NET POSITIONS  ACCORDING TO RISK WEIGHTS","Annex IX part 4 Table 1 and Table 4 of Directive 2006/48/EC."]
[null,"16-17 / 35-36",{"v":12.5,"d":"1250%"},"Annex IX Part 1 point 1 of Directive 2006/48/EC."]
[null,"18-19 / 33-34","SUPERVISORY FORMULA METHOD","Annex IX Part 4 points 52 to 54 of Directive 2006/48/EC."]
[null,"20/37","LOOK THROUGH","SA: Annex IX part 4 points 9, 10, 11, 12 and 24 of Directive 2006/48/EC. The look-through columns comprise all the cases of unrated exposures where the risk weight is  obtained 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).\nIRB: Annex IX Part 4 points 58 and 59 of Directive 2006/48/EC. For early amortisations see Annex IX Part 4 points 68 and 24 of the Directive 2006/48/EC."]
[null,"21-22/ 38-39\n","INTERNAL ASSESSMENT APPROACH","Annex IX Part 4 points 43 and 44 of Directive 2006/48/EC."]
[null,"23/40","OTHER","Other risk weights not explicitly mentioned in the previous columns."]
[null,"41-42","BEFORE CAP - WEIGHTED NET LONG / SHORT POSITIONS","Annex I points 14 and 14a of Directive 2006/49/EC without taking into account the discretion of Annex I point 14 second subparagraph of Directive 2006/49/EC"]
[null,"43-44","AFTER CAP - WEIGHTED NET LONG / SHORT POSITIONS","Annex I points 14 and 14a of Directive 2006/49/EC taking into account the discretion of Annex I point 14 second subparagraph of Directive 2006/49/EC"]
[null,"45","TOTAL CAPITAL REQUIREMENTS","The capital requirement is determined as the larger of either (i) the specific risk charge that would apply just to the net long positions (col. 41) or (ii) the specific risk charge that would apply just to the net short positions (col. 42)."]
[null,"ROWS"]
[null,null,"TOTAL EXPOSURES","Total amount of outstanding positions (held in the correlation trading portfolio) reported by the institution playing the role/s of originator and/or investor and/or sponsor."]
[null,null,"ORIGINATOR","Article 4 (41) of Directive 2006/48/EC."]
[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 2006/48/EC. 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,"SECURITISATIONS","The correlation trading portfolio comprises securitisations, n-th-to-default credit derivatives and eventually other hedging positions that meet the criteria set in Annex I points 14b and 14c (second subparagraph) of Directive 2006/49/EC.\n\nDerivatives of securitisation exposures that provide a pro-rata share as well as positions hedging CTP positions should be included in row 'Other CTP positions'."]
[null,null,"N-TH-TO-DEFAULT CREDIT DERIVATIVES"]
[null,null,"OTHER CTP POSITIONS"]
[null,"OTHER"]
[null,"The MKR SA CTP template determines the capital requirement only for the specific risk of positions assigned to the Correlation Trading Portfolio according to Annex I points 14b and 14c of Directive 2006/49/EC, whose risk weights are determined following both the Standardised Approach and the Internal Ratings Based Approach according to Article 94 of Directive 2006/48/EC. The reporting of the capital requirements of the general risk of these positions is conducted in the MKR SA TDI or the MKR IM template."]

{"sheet":"MKR SA EQU","index":18,"n_rows":19,"n_cols":13,"rows_kept":19,"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",{"$nulls":10},"Cell linked  to CA"]
[null,"    1 General risk",{"$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",{"$nulls":9},{"v":8,"d":"8.00"}]
[null,null,"2.1 High quality, liquid and diversified portfolios subject to lower capital requirements",{"$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":19,"n_rows":25,"n_cols":4,"rows_kept":25,"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 2006/49/EC. These are gross positions not netted by instruments but excluding underwriting positions subscribed or sub-underwritten by third parties (annex I point 41 second sentence of Directive 2006/49/EC). Regarding the distinction between Long and Short positions, also applicable to these gross positions, see annex I point 4 last sub-paragraph of the same Directive."]
[null,3,"(-) Reduction effect for underwriting positions","Annex I point 41 last sentence of Directive 2006/49/EC."]
[null,4.5,"Net positions","Annex I points 1-5 of Directive 2006/49/EC. Regarding the distinction between Long and Short positions see annex I point 4, last sub-paragraph of the same Directive."]
[null,6,"Net position subject to capital charge","Those net positions that, according to the different approaches considered in annex I of Directive 2006/49/EC, receive a capital charge."]
[null,null,"Risk capital charge","The capital charged (%) for position risks on the relevant net positions according to the different approaches considered in annex I of Directive 2006/49/EC."]
[null,"7","Capital requirements","The capital charge for any relevant position according to annex I of Directive 2006/49/EC."]
[null,"ROWS"]
[null,null,"Equities in Trading Book","Positions in equities in Trading Book and their correspondent cCapital requirements for position risk according to article 18, point 1 (a) of Directive 2006/49/EC and annex I of Directive 2006/49/EC, and article 75 (b) of Directive 2006/48/EC. "]
[null,1,"General risk","Positions in equities subject to general risk  and their correspondent capital requirement according to annex I points 36 and 39-40 of Directive 2006/49/EC."]
[null,"1.1","Exchange traded stock-index futures broadly diversified and subject to particular approach","Annex I points 39-40 of Directive 2006/49/EC."]
[null,"1.2","Other equities than exchange traded stock-index futures broadly diversified","Annex I point 36 of Directive 2006/49/EC."]
[null,"2","Specific risk","Positions in equities subject to specific risk and the correspondent capital requirement according to annex I points 34-35 and 39-40 of Directive 2006/49/EC. "]
[null,"2.1","High quality, liquid and diversified portfolios subject to lower capital requirements","Annex I point 35 of Directive 2006/49/EC."]
[null,"2.2","Other equities than high quality, liquid and diversified portfolios","Annex I point 34 of Directive 2006/49/EC."]
[null,"3","Particular approach for position risk in Cius","Annex I points 47-56 of Directive 2006/49/EC.  Applicable when positions in CIUs or the underlying instruments are not treated in accordance with the methods set out in annex V of Directive 2006/49/EC. It includes, if it is the case, the effects of applicable caps in the capital requirements. It also includes the positions in CIUs subject to the treatment specified in Annex I, point 48 first sentence of Directive 2006/49/EC, irrespective of the type of assets where the CIUs might invest."]
[null,"4","Margin-based approach for exchange traded futures and options","Annex I points 4-5 of Directive 2006/49/EC."]
[null,"5","Margin-based approach for OTC futures and options","Annex I points 4-5 of Directive 2006/49/EC."]
[null,"6","Other non-delta risks for options","Annex I point 5, 3rd sub-paragraph, first sentence of Directive 2006/49/EC.\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 (Amendment to the Capital Accord to Incorporate Market Risks: A.2, paragraph 2)."]

{"sheet":"MKR SA FX","index":20,"n_rows":38,"n_cols":18,"rows_kept":38,"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],[10,1,10,4],[11,1,11,4],[12,1,12,4],[13,1,13,4],[14,1,14,4],[15,1,15,4]],"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",{"$nulls":15},"Cell linked to CA"]
[null,"    1 Currencies in second stage of EMU",{"$nulls":14},"1,6"]
[null,"    2 Currencies subject to intergovernmental agreements"]
[null,"    3 Currencies closely correlated",{"$nulls":14},{"v":4,"d":"4.00"}]
[null,"    4 All other currencies (including CIUs treated as different currencies)",{"$nulls":12},{"v":8,"d":"8.00"},{"v":8,"d":"8.00"}]
[null,"    5 Gold",{"$nulls":12},{"v":8,"d":"8.00"},{"v":8,"d":"8.00"}]
[null,"    6 Other non-delta risks for currency options"]
[null,"Memorandum items: Currency positions"]
[null,null,"Euro"]
[null,null,"ERM2 II currencies"]
[{"$nulls":3},"DKK"]
[{"$nulls":3},"EEK"]
[{"$nulls":3},"LTL"]
[{"$nulls":3},"SIT"]
[{"$nulls":3},"CYP"]
[{"$nulls":3},"LVL"]
[{"$nulls":3},"MTL"]
[{"$nulls":3},"SKK"]
[null,null,"GBP"]
[null,null,"SEK"]
[null,null,"CHF"]
[null,null,"Other EEA currencies"]
[null,null,"CHF"]
[null,null,"USD"]
[null,null,"CAD"]
[null,null,"AUD"]
[null,null,"JPY"]
[null,null,"Other non-EEA currencies"]
[null,null,"CIUs treated as separate currencies"]

{"sheet":"MKR SA FX Ref list","index":21,"n_rows":34,"n_cols":4,"rows_kept":34,"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 point 2.1 of Directive 2006/49/EC."]
[null,2,"All positions: Short","Gross positions due to liabilities, amounts to be paid and similar items referred to in annex III point 2.1 of Directive 2006/49/EC."]
[null,"3-4","Memorandum item: Hedging positions for capital ratio","Annex III point 2.1 antepenultimate sub-paragraph of Directive 2006/49/EC."]
[null,"5-6","Net positions","Annex III point 2.1 last sub-paragraph of Directive 2006/49/EC. The net positions are calculated by each currency, accordingly there may be simoultaneous long and short positions."]
[null,"7,8,9","Positions subject to capital charge","Annex III points 2.2, 3.1 and 3.2 of Directive 2006/49/EC."]
[null,null,"Risk capital charge (%)","Annex III points 1, 3.1 and 3.2 of Directive 2006/49/EC."]
[null,10,"Capital requirements","The capital charge for any relevant position according to annex III of Directive 2006/49/EC."]
[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) of Directive 2006/49/EC and annex III points 2.2 (for conversion into the reporting currency) of Directive 2006/49/EC and article 75 (c) of Directive 2006/48/EC."]
[null,"1","Currencies in second stage of EMU","Positions and their correspondent capital requirements for currencies referred to in annex III point 3.2 last sub-paragraph of Directive 2006/49/EC."]
[null,"2","Currencies subject to intergovernmental agreements","Positions and their correspondent capital requirements for currencies referred to in annex III point 3.2 first sub-paragraph of Directive 2006/49/EC."]
[null,"3","Currencies closely correlated","Positions and their correspondent capital requirements for currencies referred to in annex III point 3.1 of Directive 2006/49/EC."]
[null,"4","All other currencies (including CIUs treated as different currencies)","Positions and their correspondent capital requirements for currencies subject to the general procedure referred to in annex III points 1 and 2.2 of Directive 2006/49/EC. It is also relevant to take into account the unmatched positions arising from the application of the special treatments considered in annex III points 3.1, 3.2 of Directive 2006/49/EC."]
[null,"5","Gold","Positions and their correspondent capital requirements for currencies subject to the general procedure referred to in annex III points 1 and 2.2 of Directive 2006/49/EC. "]
[null,"6","Other non-delta risks for currency options","Annex I point 5, third sub-paragraph of Directive 2006/49/EC.\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 II currencies","Currencies under the Exchange Rate Mechanism 2 II"]
[null,null,"GBP"]
[null,null,"SEK"]
[null,null,"CHF"]
[null,null,"Other EEA currencies","Other currencies of countries in the European Economic Area"]
[null,null,"CHF"]
[null,null,"USD"]
[null,null,"CAD"]
[null,null,"AUD"]
[null,null,"JPY"]
[null,null,"Other non-EEA currencies","Rest of non-reporting currencies"]
[null,null,"CIUs treated as separate currencies","Annex III point 2.1, penultimate sub-paragraph of Directive 2006/49/EC."]

{"sheet":"MKR IM","index":22,"n_rows":18,"n_cols":22,"rows_kept":18,"merged":[[1,2,1,18],[3,1,5,2],[3,3,3,4],[3,5,3,6],[3,7,4,7],[3,8,4,8],[3,9,3,10],[3,11,3,14],[3,15,4,15],[3,16,3,21],[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"]
[]
[{"$nulls":3},"VaR",null,"STRESSED VaR",null,"SPECIFIC RISK SURCHARGE","INCREMENTAL DEFAULT RISK SURCHARGE","INCREMENTAL DEFAULT AND MIGRATION RISK CAPITAL CHARGE",null,"ALL PRICE RISKS CAPITAL CHARGE FOR CTP",{"$nulls":3},"CAPITAL REQUIREMENTS","MEMORANDUM ITEMS"]
[{"$nulls":3},"MULTIPLICATION FACTOR (mc) x AVERAGE OF PREVIOUS 60 WORKING DAYS VaR (VaRavg)","PREVIOUS DAY VaR (VaRt-1)","MULTIPLICATION FACTOR (ms) x AVERAGE OF PREVIOUS 60 WORKING DAYS (SVaRavg)","LATEST AVAILABLE (SVaRt-1)",null,null,"12 WEEKS AVERAGE MEASURE","LAST MEASURE","FLOOR","12 WEEKS AVERAGE MEASURE","LAST MEASURE","SUPPLEMENTAL CAPITAL CHARGE (STRESS TEST)",null,"Number of overshootings\nduring previous 250 working days","Multiplication factor ","VaR Multiplication Factor (mc)","SVaR Multiplication Factor (ms)","ASSUMED CHARGE FOR CTP FLOOR - WEIGHTED NET LONG POSITIONS AFTER CAP","ASSUMED CHARGE FOR CTP FLOOR - WEIGHTED NET SHORT POSITIONS AFTER CAP"]
[{"$nulls":3},"(1)","(2)","(3a)","(3b)","(3)","(4)","(4a)","(4b)","(4c) = \n8% * max[(8), (9)]","(4d)","(4e)","(4f)","(5) = Max[(1),(2)] + Max[(3a),(3b)] + Max [(4a),(4b)] + Max [(4c), (4d),(4e)] + (4f) ","(6)","(7)","(7a)","(7b)","(8)","(9)"]
[null,"TOTAL POSITIONS",{"$nulls":13},"Cell linked to CA"]
[null,"Memorandum items: breakdown of market risk"]
[null,"1 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 Commoditiesy risk"]
[null,"5 Total amount for general risk"]
[null,"6 Total amount for specific risk"]

{"sheet":"MKR IM Ref list","index":23,"n_rows":33,"n_cols":4,"rows_kept":33,"merged":[[4,1,4,3],[18,3,19,3],[21,1,21,3]],"flags":["formulas_cached_only"]}
[]
[null,"MKR IM"]
[]
[null,"ID","Label","Legal References & Comments"]
[null,"COLUMNS"]
[null,1,"Multiplication factor (mc) x Average of previous 60 working days VaR (VaRavg)","Annex V, points 10b lit(a) and 10 of Directive 2006/49/EC."]
[null,2,"Previous day VaR (VaRt-1)","Annex V, points 10b lit(a) and 10 of Directive 2006/49/EC."]
[null,3,"Specific risk surcharge","Article 47 of Directive 2006/49/EC. If applicable, the specific risk surcharge according to annex V point 8 of Directive 2006/49/EC as stood prior to 31 December 2006."]
[null,"3a","Multiplication factor (ms) x Average of previous 60 working days (SVaRavg)","Annex V, points 10b lit(b) and 10a of Directive 2006/49/EC."]
[null,"3b","Latest available (SVaRt-1)","Annex V, points 10b lit(b) and 10a of Directive 2006/49/EC."]
[null,4,"Incremental Default Risk Surcharge","If applicable, the incremental default risk surcharge according to annex V point 5 of Directive 2006/49/EC should be included."]
[null,"4a-4b","Incremental Default and Migration Risk Capital Charge","Annex V, points 5a and 10b lit d), 1st clause of Directive 2006/49/EC. "]
[null,"4c-4f","All Price Risks Capital Charge for CTP","Annex V, points 5l and 10b lit d), 2nd clause of Directive 2006/49/EC."]
[null,"4c","Floor","Annex V, point 5l third sub-paragraph of Directive 2006/49/EC.\n'= 8% of the capital charge that would be calculated in accordance with Annex I, point 14a of Directive 2006/49/EC for all positions in the \"all price risks\" capital charge."]
[null,"4f","Supplemental Capital Charge (stress test)","Annex V, point 5l last sub-paragraph of Directive 2006/49/EC."]
[null,5,"Capital Requirements","Annex V point 9 10b of Directive 2006/49/EC: total VaR of all risk factors taking into account correlation effects if applicable."]
[null,6,"Number of overshootings (during previous 250 working days)","Annex V point 8 of Directive 2006/49/EC."]
[null,7,"Multiplication Factor","Annex V points 7 and 8 of Directive 2006/49/EC."]
[null,"7a","VaR Multiplication Factor (mc)","Annex V points 7 and 8 of Directive 2006/49/EC."]
[null,"7b","SVaR Multiplication Factor (ms)"]
[null,"8-9","ASSUMED CHARGE FOR CTP FLOOR - WEIGHTED NET LONG/ SHORT POSITIONS AFTER CAP","The amounts reported and serving as the basis to calculate the floor capital charge for all price risks according to Annex V point 5l, third sub-paragraph of Directive 2006/49/EC take into account the discretion of Annex I point 14 second sub-paragraph of Directive 2006/49/EC which says that the institution may cap the product of the weight and the net position at the maximum possible default-risk related loss. \n"]
[null,"ROWS"]
[null,null,"Total Positions","Corresponds to the part of position, foreign exchange and commodities risk referred to in annex V point 1 of Directive 2006/49/EC linked to the risk factors specified in Annex V point 12 of Directive 2006/49/EC."]
[null,"1","Traded debt instruments","Corresponds to the part of position risk referred to in annex V point 1 of Directive 2006/49/EC linked to the interest rates risk factors as specified in Annex V point 12 of Directive 2006/49/EC."]
[null,"1.1","TDI General Risk","General risk defined in Annex I, point 12 of Directive 2006/49/EC."]
[null,"1.2","TDI Specific Risk","Specific risk defined in Annex I, point 12 of Directive 2006/49/EC."]
[null,"2","Equities","Corresponds to the part of position risk referred to in Annex V, point 1 of Directive 2006/49/EC linked to the equity risk factors as specified in point 12 of Directive 2006/49/EC."]
[null,"2.1","Equities General Risk","General risk defined in Annex I, point 12 of Directive 2006/49/EC."]
[null,"2.2","Equities Specific Risk","Specific risk defined in Annex I, point 12 of Directive 2006/49/EC."]
[null,"3","Foreign exchange risk","Annex V, points 1 and 12 of Directive 2006/49/EC."]
[null,"4","Commodities risk","Annex V, points 1 and 12 of Directive 2006/49/EC."]
[null,"5","Total amount for general risk","Annex V, points 9a or 9b of Directive 2006/49/EC: VaR for general risk of all risk factors (taking into account correlation effects if applicable). If applicable, correlation effects should be taken into account. General risk component of traded debt instruments, equities, foreign exchange and commodities."]
[null,"6","Total amount for specific risk","Annex V, point 8 of Directive 2006/49/EC as stood prior to 31 December 2006: 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. Specific risk component of traded debt instruments, equities, foreign exchange and commodities."]

{"sheet":"MKR IM Details","index":24,"n_rows":33,"n_cols":11,"rows_kept":33,"merged":[[3,1,3,6],[4,1,4,4],[4,5,4,6],[11,1,13,1],[11,2,11,6],[11,7,13,7],[11,8,13,8],[11,9,12,10],[12,2,12,4],[12,5,13,5],[12,6,13,6]],"flags":["formulas_cached_only"]}
[]
[null,"MKR IM Details","MARKET RISKS INTERNAL MODELS DETAILS"]
[null,"TABLE A"]
[null,"BASIC INFORMATION"]
[null,"REGULATORY VaR",{"$nulls":3},"INTERNAL VaR"]
[null,"INSTRUMENT CODE FOR REGULATORY MODEL","SPECIFIC RISK EQUITIES CALCULATION CODE","SPECIFIC RISK DEBT INSTRUMENTS CALCULATION CODE","P&L CODE USED FOR THE CALCULATION OF NUMBER OF OVERSHOOTINGS","CONFIDENCE INTERVAL OF INTERNAL VaR (a)","HOLDING PERIOD OF INTERNAL VaR (b)"]
[null,"(1)","(2)","(3)","(4)","(5)","(6)"]
[]
[]
[]
[null,"TABLE B"]
[null,"Day ","REGULATORY VaRs ",{"$nulls":4},"INTERNAL VaR\n(c) ","INTERNAL VaR LIMIT","P&L EFFECTIVELY USED FOR BACKTESTING"]
[null,null,"CONFIDENCE LEVEL = 99%",null,null,"INCREMENTAL DEFAULT AND MIGRATION RISK CAPITAL CHARGE","APR CAPITAL CHARGE FOR CTP (excluding supplemental capital charge)"]
[null,null,"VaR (T=10)","VaR (T=1)","SVaR (T=10)",{"$nulls":4},"Hypothetical","Actual"]
[null,"(7)","(8)","(9)","(9b)","(11a)","(11b)","(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":25,"n_rows":25,"n_cols":4,"rows_kept":25,"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. If entities has more than one internal model, they may require table B for each row included in table A."]
[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 (Annex V, point 5 of Directive 2006/49/EC), including event and default risk (cf. Annex V, point 5 of Directive 2006/49/EC);  \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, point  8, lit. a) of Directive 2006/49/EC as stood prior to 31st December 2006); \n4 = specific risk is modeled, excluding event and default risk, with a calculation for subtrading books involving specific risk (cf. Annex V, point  8, lit b) of Directive 2006/49/EC as stood prior to 31st December 2006). "]
[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 (Annex V, point 5 of Directive 2006/49/EC);  \n3 = specific risk is modeled, excluding event and default risk, with that part of the value-at risk that concerns specific risk (Annex V, point 9, lit. a) of Directive 2006/49/EC); \n4 = specific risk is modeled, excluding event and default risk, with a calculation for subtrading books involving specific risk (cf. Annex V, point 9, lit. b) of Directive 2006/49/EC). \n2 = specific risk is modeled, including default and migration risks (Annex V, point 5 of Directive 2006/49/EC);  \n3 = specific risk is modeled, including default and migration risks but excluding securitisation positions and nth-to-default credit derivatives (subject to a capital requirement in accordance with Annex I of Directive 2006/49/EC); \n4 = specific risk is modeled, excluding default and migration risks (Annex V, point 5 of Directive 2006/49/EC); \n5= specific risk is modeled, excluding default and migration risks and excluding also securitisation positions and nth-to-default credit derivatives (subject to a capital requirement in accordance with Annex I of Directive 2006/49/EC)."]
[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 point 8 of Directive 2006/49/EC): \n1 = actual trading results for the days concerned (cf. annex V point 4 of Directive 2006/49/EC); \n2 = hypothetical trading results for the days concerned on the positions fixed at the end of the previous (trading) day (cf. Annex V, point 4 of Directive 2006/49/EC)."]
[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 V point 10 of Directive 2006/49/EC, before application of a multiplication factor Mc, with a 10-day equivalent holding period and a 99th percentile, one tailed confidence interval."]
[null,9,"Regulatory VaR (confidence interval = 99 %) Var (T=1)","VaR calculated in accordance of provisions in Annex V point 10 of Directive 2006/49/EC, before application of a multiplication factor Mc, with a 1-day equivalent holding period and a 99th percentile, one tailed confidence interval."]
[null,"9b","Regulatory Stressed VaR (confidence interval = 99 %) SVar (T=10)","Stressed VaR calculated in accordance of provisions in Annex V point 10a of Directive 2006/49/EC, before application of a multiplication factor Ms, with a 10-day equivalent holding period and a 99th percentile, one tailed confidence interval."]
[null,10,"Specific risk surchage","Article 47 of Directive 2006/49/EC. Surcharge for specific risk defined in annex V point 8 of directive 2006/49/EC."]
[null,11,"Incremental Default Risk Surcharge","If applicable, the incremental default risk surcharge according to annex V paragraph 5 of Directive 2006/49/EC should be included."]
[null,"11a","Incremental Default and Migration Risk Capital Charge","Annex V, points 5a and 10b lit d) of Directive 2006/49/EC."]
[null,"11b","All Price Risks (APR) Capital Charge for CTP (excluding supplemental capital charge)","Annex V, points 5l and 10b lit d) of Directive 2006/49/EC."]
[null,12,"Internal VaR","VaR result used for risk management purposes. Calculations must be based on the informations provided in columns 5 and 6."]
[null,13,"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,14,"Hypothetical","Hypothetical daily P&L defined in Annex V, point 4 of Directive 2006/49/EC."]
[null,15,"Actual","Real daily P&L defined in Annex V, point 4 of Directive 2006/49/EC."]