ANNEX IV
SECTION 1
Critical counterparties (Assets)
Legal entity | Critical counterparty | Currency | Original exposure | Credit risk mitigations | Value adjustments and provisions | Net exposure | Impact on CET1 ratio | ||
Entity name | Legal identifier | Entity name | Legal identifier | ||||||
010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 |
Bank A | 111 | UK government | 789 | GBP | 200,000 | 0 | 0 | 200,000 | 200 bp |
Bank B | 112 | Bank W | 444 | EUR | 1,000,000 | 500,000 | 200,000 | 300,000 | 300 bp |
Bank A | 111 | Corporate U | 650 | EUR | 500,000 | 0 | 400,000 | 100,000 | 100 bp |
SECTION 2
Critical counterparties (Liabilities)
Legal entity | Critical counterparty | Funding | ||||
Entity name | Legal identifier | Entity name | Legal identifier | Type | Amount | Currency |
010 | 020 | 030 | 040 | 050 | 060 | 070 |
SECTION 3
Critical counterparties (Material hedges)
Legal entity | Critical counterparty | Material hedges (on-balance sheet) | Material hedges (off-balance sheet) | ||||||||
Entity name | Legal identifier | Entity name | Legal identifier | Type | Amount | Currency | Purpose of hedge | Type | Amount | Currency | Purpose of hedge |
010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | 110 | 120 |