Reporting on own funds and own funds requirements


C 02.00 - OWN FUNDS REQUIREMENTS (CA2)



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C 02.00 - OWN FUNDS REQUIREMENTS (CA2)

  1. Instructions concerning specific positions





Row

Legal references and instructions

010

1. TOTAL RISK EXPOSURE AMOUNT
Articles 92(3), 95, 96 and 98 of CRR



020

1* Of which: Investment firms under Article 95 paragraph 2 and Article 98 of CRR
For investment firms under Article 95 (2) and Article 98 of CRR


030

1** Of which : Investment firms under Article 96 paragraph 2 and Article 97 of CRR
For investment firms under Article 96 (2) and Article 97 of CRR


040

1.1 RISK WEIGHTED EXPOSURE AMOUNTS FOR CREDIT, COUNTERPARTY CREDIT AND DILUTION RISKS AND FREE DELIVERIES
Article 92(3) points (a) and (f) of CRR



050

1.1.1 Standardised approach (SA)
CR SA and SEC SA templates at the level of total exposures.



060

1.1.1.1 SA exposure classes excluding securitisations positions
CR SA template at the level of total exposures. The SA exposure classes are those mentioned in Article 112 of CRR excluding securitisation positions.


070

1.1.1.1.01 Central governments or central banks
See CR SA template

080

1.1.1.1.02 Regional governments or local authorities
See CR SA template

090

1.1.1.1.03 Public sector entities
See CR SA template

100

1.1.1.1.04 Multilateral Development Banks

See CR SA template

110

1.1.1.1.05 International Organisations
See CR SA template

120

1.1.1.1.06 Institutions
See CR SA template

130

1.1.1.1.07 Corporates
See CR SA template

140

1.1.1.1.08 Retail
See CR SA template

150

1.1.1.1.09 Secured by mortgages on immovable property
See CR SA template

160

1.1.1.1.10 Exposures in default
See CR SA template

170

1.1.1.1.11 Items associated with particular high risk
See CR SA template

180

1.1.1.1.12 Covered bonds
See CR SA template

190

1.1.1.1.13 Claims on institutions and corporate with a short-term credit assessment
See CR SA template

200


1.1.1.1.14 Collective investments undertakings (CIU)

See CR SA template

210

1.1.1.1.15 Equity
See CR SA template

211

1.1.1.1.16 Other items
See CR SA template

220

1.1.1.2 Securitisations positions SA
CR SEC SA template at the level of total securitisation types


230

1.1.1.2.* Of which: resecuritisation
CR SEC SA template at the level of total securitisation types


240

1.1.2 Internal ratings based Approach (IRB)



250

1.1.2.1 IRB approaches when neither own estimates of LGD nor Conversion Factors are used
CR IRB template at the level of total exposures (when own estimates of LGD and/or CCF are not used)


260

1.1.2.1.01 Central governments and central banks
See CR IRB template

270

1.1.2.1.02 Institutions
See CR IRB template

280

1.1.2.1.03 Corporates - SME
See CR IRB template

285

1.1.2.1.03* Of which: subject to SME-supporting factor

See CR IRB template

290

1.1.2.1.04 Corporates – Specialised Lending
See CR IRB template

300

1.1.2.1.05 Corporates – Other
See CR IRB template

310

1.1.2.2 IRB approaches when own estimates of LGD and/or Conversion Factor are used
CR IRB template at the level of total exposures (when own estimates of LGD and/or CCF are used)


320

1.1.2.2.01 Central governments and central banks
See CR IRB template

330

1.1.2.2.02 Institutions
See CR IRB template

340

1.1.2.2.03 Corporates - SME
See CR IRB template

345

1.1.2.2.03* Of which: subject to SME-supporting factor

See CR IRB template

350

1.1.2.2.04 Corporates – Specialised Lending
See CR IRB template

360

1.1.2.2.05 Corporates – Other
See CR IRB template

370

1.1.2.2.06 Retail – secure by real estate SME
See CR IRB template

375

1.1.2.2.06* Of which: subject to SME-supporting factor

See CR IRB template

380

1.1.2.2.07 Retail – secure by real estate non-SME
See CR IRB template

390

1.1.2.2.08 Retail – Qualifying revolving
See CR IRB template

400

1.1.2.2. 09 Retail – Other SME
See CR IRB template

405

1.1.2.2.09* Of which: subject to SME-supporting factor

See CR IRB template

410

1.1.2.2.10 Retail – Other non-SME
See CR IRB template

420

1.1.2.3 Equity IRB
See CR EQU IRB template

430

1.1.2.4 Securitisations positions IRB
CR SEC IRB template at the level of total securitisation types

440

1.1.2.4* Of which: resecuritisation
CR SEC IRB template at the level of total securitisation types

450

1.1.2.5 Other non credit-obligation assets
The amount to be reported is the risk weighted exposure amount as calculated according to Article 156 of CRR.

460

1.1.3 Risk exposure amount for default funds contributions

Articles 307 to 309 of CRR

490

1.2 TOTAL RISK EXPOSURE AMOUNT FOR SETTLEMENT/DELIVERY RISKS EXPOSURE AMOUNT
Articles 92(3) point (c) (ii) and 92(4) point (b) of CRR

500

1.2.1 Settlement/delivery risk in the non-Trading book
See CR SETT template

510

1.2.2 Settlement/delivery risk in the Trading book
See CR SETT template

520

1.3 TOTAL RISK EXPOSURE AMOUNT FOR POSITION, FOREIGN EXCHANGE AND COMMODITIES RISKS
Articles 92(3) points (b) (i) and (c) (i) and (iii), and 92(4) point (b) of CRR


530

1.3.1 Risk exposure amount for position, foreign exchange and commodities risks under standardised approaches (SA)


540

1.3.1.1 Traded debt instruments
MKR SA TDI template at the level of total currencies.


550

1.3.1.2 Equity
MKR SA EQU template at the level of total national markets.

560

1.3.1.3 Foreign Exchange
See MKR SA FX template

570

1.3.1.4 Commodities
See MKR SA COM template

580


1.3.2 Risk exposure amount for positions, foreign exchange and commodity risks under internal models (IM)
See MKR IM template

590

1.4 TOTAL RISK EXPOSURE AMOUNT FOR OPERATIONAL RISK (OpR)
Article 92(3) point (e) and 92(4) point (b) of CRR

For investment firms under Article 95 (2), Article 96 (2) and Article 98 of CRR this element shall be zero.

600


1.4.1 OpR Basic Indicator approach (BIA)
See OPR template

610

1.4.2 OpR Standardised (TSA) / Alternative Standardised (ASA) approaches
See OPR template

620

1.4.3 OpR Advanced measurement approaches (AMA)
See OPR template

630

1.5 ADDITIONAL RISK EXPOSURE AMOUNT DUE TO FIXED OVERHEADS
Articles 95(2), 96(2), 97 and 98(1) point (a) of CRR

Only for investment firms under Article 95 (2), Article 96 (2) and Article 98 of CRR. See also Article 97 of CRR

Investment firms under Article 96 of CRR shall report the amount referred to in Article 97 multiplied by 12.5.

Investment firms under Article 95 of CRR shall report:

  • If the amount referred to in article 95(2) point (a) of CRR is greater than the amount referred to in article 95(2) point (b) of CRR, the amount to be reported is zero.

  • If the amount referred to in article 95(2) point (b) of CRR is greater than the amount referred to in article 95(2) point (a) of CRR, the amount to be reported is the result of subtracting the latter amount from the former.

640

1.6 TOTAL RISK EXPOSURE AMOUNT FOR CREDIT VALUATION ADJUSTMENT
Article 92(3) point (d) of CRR See CVA template.




650

1.6.1 Advanced method
Own funds requirements for credit valuation adjustment risk according to Article 383 of CRR. See CVA template.


660

1.6.2 Standardised method
Own funds requirements for credit valuation adjustment risk according to Article 384 of CRR. See CVA template.

670

1.6.3. Based on OEM
Own funds requirements for credit valuation adjustment risk according to Article 385 of CRR. See CVA template.


680

1.7 TOTAL RISK EXPOSURE AMOUNT RELATED TO LARGE EXPOSURES IN THE TRADING BOOK
Articles 92(3) point (b) (ii) and 395 to 401 of CRR

690

1.8 OTHER RISK EXPOSURE AMOUNTS
Articles 3, 458, 459 and 500 of CRR and risk exposure amounts which cannot be assigned to one of the items from 1.1 to 1.7.
Institutions shall report the amounts needed to comply with the following:

The temporary capital ratio for the Basel I floor set in Article 500 (IRB institutions).

Stricter prudential requirements imposed by the Commission, in accordance with Article 458 and 459 of CRR

Additional risk exposure amounts due to Article 3 CRR
This item does not have a link to a details template.



700

1.8.1 Of which: Additional risk exposure amount due to application of Basel I floor
Article 500 (1) point b) of CRR


710

1.8.2 Of which: Additional stricter prudential requirements based on Art 458
Article 458 of CRR


720

1.8.2* Of which: requirements for large exposures
Article 458 of CRR

730


1.8.2** Of which: due to modified risk weights for targeting asset bubbles in the residential and commercial property
Article 458 of CRR

740


1.8.2*** Of which: Of which: due to intra financial sector exposures
Article 458 of CRR

750

1.8.3 Of which: Additional stricter prudential requirements based on Art 459
Article 459 of CRR

760

1.8.4 Of which: Additional risk exposure amount due to Article 3 CRR
Article 3 CRR
The additional risk exposure amount has to be reported. shall only include the additional amounts (e.g. if an exposure of 100 has a risk-weight of 20% and the institutions applies a risk weight of 50% based on article 3 CRR, the amount to be reported is 30).



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