ANNEX VIII
TEMPLATES FOR REPORTING LARGE EXPOSURES AND CONCENTRATION RISK
LARGE EXPOSURES TEMPLATES
Template number | Template code | Name of the template/group of templates | Short name |
LARGE EXPOSURES | LE | ||
26 | C 26.00 | Large Exposures limits | LE LIMITS |
27 | C 27.00 | Identification of the counterparty | LE 1 |
28 | C 28.00 | Exposures in the non-trading and trading book | LE 2 |
29 | C 29.00 | Detail of the exposures to individual clients within groups of connected clients | LE 3 |
30 | C 30.00 | Maturity buckets of the exposures in the non-trading and trading book | LE 4 |
31 | C 31.00 | Maturity buckets of exposures to individual clients within groups of connected clients | LE 5 |
C 26.00 — Large Exposures limits (LE Limits)
Applicable limit | ||
column | ||
010 | ||
row | ||
010 | Non institutions | |
020 | Institutions | |
030 | Institutions in % | |
C 27.00 — Identification of the counterparty (LE 1)
COUNTERPARTY IDENTIFICATION | ||||||
Code | Name | LEI code | Residence of the counterparty | Sector of the counterparty | NACE code | Type of counterparty |
010 | 020 | 030 | 040 | 050 | 060 | 070 |
C 28.00 — Exposures in the non-trading and trading book (LE 2)
COUNTERPARTY | ORIGINAL EXPOSURES | (-) Value adjustments and provisions | (-) Exposures deducted from own funds | Exposure value before application of exemptions and CRM | ELIGIBLE CREDIT RISK MITIGATION (CRM) TECHNIQUES | (-) Amounts exempted | Exposure value after application of exemptions and CRM | |||||||||||||||||||||||||||
Code | Group or individual | Transactions where there is an exposure to underlying assets | (-) Substitution effect of eligible credit risk mitigation techniques | (-) Funded credit protection other than substitution effect | (-) Real estate | |||||||||||||||||||||||||||||
Direct exposures | Indirect exposures | Additional exposures arising from transactions where there is an exposure to underlying assets | ||||||||||||||||||||||||||||||||
Total original exposure | Of which: defaulted | Debt instruments | Equity instruments | Derivatives | Off balance sheet items | Debt instruments | Equity instruments | Derivatives | Off balance sheet items | Total | Of which: Non-trading book | % of eligible capital | (-) Debt instruments | (-) Equity instruments | (-) Derivatives | (-) Off balance sheet items | Total | Of which: Non-trading book | % of eligible capital | |||||||||||||||
Loan commitments | Financial guarantees | Other commitments | Loan commitments | Financial guarantees | Other commitments | (-) Loan commitments | (-) Financial guarantees | (-) Other commitments | ||||||||||||||||||||||||||
010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | 110 | 120 | 130 | 140 | 150 | 160 | 170 | 180 | 190 | 200 | 210 | 220 | 230 | 240 | 250 | 260 | 270 | 280 | 290 | 300 | 310 | 320 | 330 | 340 | 350 |
C 29.00 — Detail of the exposures to individual clients within groups of connected clients (LE 3)
COUNTERPARTY | ORIGINAL EXPOSURES | (-) Value adjustments and provisions | (-) Exposures deducted from own funds | Exposure value before application of exemptions and CRM | ELIGIBLE CREDIT RISK MITIGATION (CRM) TECHNIQUES | (-) Amounts exempted | Exposure value after application of exemptions and CRM | ||||||||||||||||||||||||||||
Code | Group code | Transactions where there is an exposure to underlying assets | Type of connection | (-) Substitution effect of eligible credit risk mitigation techniques | (-) Funded credit protection other than substitution effect | (-) Real estate | |||||||||||||||||||||||||||||
Direct exposures | Indirect exposures | Additional exposures arising from transactions where there is an exposure to underlying assets | |||||||||||||||||||||||||||||||||
Total original exposure | Of which: defaulted | Debt instruments | Equity instruments | Derivatives | Off balance sheet items | Debt instruments | Equity instruments | Derivatives | Off balance sheet items | Total | Of which: Non-trading book | % of eligible capital | (-) Debt instruments | (-) Equity instruments | (-) Derivatives | (-) Off balance sheet items | Total | Of which: Non-trading book | % of eligible capital | ||||||||||||||||
Loan commitments | Financial guarantees | Other commitments | Loan commitments | Financial guarantees | Other commitments | (-) Loan commitments | (-) Financial guarantees | (-) Other commitments | |||||||||||||||||||||||||||
010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | 110 | 120 | 130 | 140 | 150 | 160 | 170 | 180 | 190 | 200 | 210 | 220 | 230 | 240 | 250 | 260 | 270 | 280 | 290 | 300 | 310 | 320 | 330 | 340 | 350 | 360 |
C 30.00 — Maturity buckets of the exposures in the non-trading and trading book (LE 4)
COUNTER PARTY | MATURITY BUCKETS OF THE EXPOSURE | MATURITY BUCKETS OF THE EXPOSURE | ||||||||||||||||||||||
Code | Up to 1 Month | Greater than 1 month up to 2 Months | Greater than 2 months up to 3 Months | Greater than 3 months up to 4 Months | Greater than 4 months up to 5 Months | Greater than 5 months up to 6 Months | Greater than 6 months up to 7 Months | Greater than 7 months up to 8 Months | Greater than 8 months up to 9 Months | Greater than 9 months up to 10 Months | Greater than 10 months up to 11 Months | Greater than 11 months up to 12 Months | Greater than 12 months up to 15 Months | Greater than 15 months up to 18 Months | Greater than 18 months up to 21 Months | Greater than 21 months up to 24 Months | Greater than 24 months up to 27 Months | Greater than 27 months up to 30 Months | Greater than 30 months up to 33 Months | Greater than 33 months up to 36 Months | Greater than 3 years up to 5 years | Greater than 5 years up to 10 years | Greater than 10 years | Undefined maturity |
010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | 110 | 120 | 130 | 140 | 150 | 160 | 170 | 180 | 190 | 200 | 210 | 220 | 230 | 240 | 250 |
C 31.00 — Maturity buckets of the exposures to individual clients within groups of connected clients (LE 5)
COUNTERPARTY | MATURITY BUCKETS OF THE EXPOSURE | MATURITY BUCKETS OF THE EXPOSURE | |||||||||||||||||||||||
Code | Group code | Up to 1 Month | Greater than 1 month up to 2 Months | Greater than 2 months up to 3 Months | Greater than 3 months up to 4 Months | Greater than 4 months up to 5 Months | Greater than 5 months up to 6 Months | Greater than 6 months up to 7 Months | Greater than 7 months up to 8 Months | Greater than 8 months up to 9 Months | Greater than 9 months up to 10 Months | Greater than 10 months up to 11 Months | Greater than 11 months up to 12 Months | Greater than 12 months up to 15 Months | Greater than 15 months up to 18 Months | Greater than 18 months up to 21 Months | Greater than 21 months up to 24 Months | Greater than 24 months up to 27 Months | Greater than 27 months up to 30 Months | Greater than 30 months up to 33 Months | Greater than 33 months up to 36 Months | Greater than 3 years up to 5 years | Greater than 5 years up to 10 years | Greater than 10 years | Undefined maturity |
010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | 110 | 120 | 130 | 140 | 150 | 160 | 170 | 180 | 190 | 200 | 210 | 220 | 230 | 240 | 250 | 260 |