Template EU LI1 - Differences between the accounting scope and the scope of prudential consolidation and mapping of financial statement categories with regulatory risk categories
a | b | c | d | e | f | g | ||
Carrying values as reported in published financial statements | Carrying values under scope of prudential consolidation | Carrying values of items | ||||||
Subject to the credit risk framework | Subject to the CCR framework | Subject to the securitisation framework | Subject to the market risk framework | Not subject to own funds requirements or subject to deduction from own funds | ||||
Breakdown by asset clases according to the balance sheet in the published financial statements | ||||||||
1 | ||||||||
2 | ||||||||
3 | ||||||||
.... | ||||||||
xxx | Total assets | |||||||
Breakdown by liability classes according to the balance sheet in the published financial statements | ||||||||
1 | ||||||||
2 | ||||||||
3 | ||||||||
.... | ||||||||
xxx | Total liabilities | |||||||
Template EU LI2 - Main sources of differences between regulatory exposure amounts and carrying values in financial statements
a | b | c | d | e | ||
Total | Items subject to | |||||
Credit risk framework | Securitisation framework | CCR framework | Market risk framework | |||
1 | Assets carrying value amount under the scope of prudential consolidation (as per template LI1) | |||||
2 | Liabilities carrying value amount under the scope of prudential consolidation (as per template LI1) | |||||
3 | Total net amount under the scope of prudential consolidation | |||||
4 | Off-balance-sheet amounts | |||||
5 | Differences in valuations | |||||
6 | Differences due to different netting rules, other than those already included in row 2 | |||||
7 | Differences due to consideration of provisions | |||||
8 | Differences due to the use of credit risk mitigation techniques (CRMs) | |||||
9 | Differences due to credit conversion factors | |||||
10 | Differences due to Securitisation with risk transfer | |||||
11 | Other differences | |||||
12 | Exposure amounts considered for regulatory purposes | |||||
Template EU LI3 - Outline of the differences in the scopes of consolidation (entity by entity)
a | b | c | d | e | f | g | h |
Name of the entity | Method of accounting consolidation | Method of prudential consolidation | Description of the entity | ||||
Full consolidation | Proportional consolidation | Equity method | Neither consolidated nor deducted | Deducted | |||
Entity A | Full consolidation | X | Credit institution | ||||
Entity N | Full consolidation | X | Credit institution | ||||
Entity Z | Full consolidation | X | Insurance entity | ||||
Entity AA | Full consolidation | X | Immaterial leasing company | ||||
Table EU LIA - Explanations of differences between accounting and regulatory exposure amounts
Free format text boxes for disclosure of qualitative information
Legal basis | Row number | Qualitative information - Free format |
Article 436(b) CRR | (a) | Differences between columns (a) and (b) in template EU LI1 |
Article 436(d) CRR | (b) | Qualitative information on the main sources of differences between the accounting and regulatoy scope of consolidation shown in template EU LI2 |
Table EU LIB - Other qualitative information on the scope of application
Free format text boxes for disclosure of qualitative information
Legal basis | Row number | Qualitative information - Free format |
Article 436(f) CRR | (a) | Impediment to the prompt transfer of own funds or to the repayment of liabilities within the group |
Article 436(g) CRR | (b) | Subsidiaries not included in the consolidation with own funds less than required |
Article 436(h) CRR | (c) | Use of derogation referred to in Article 7 CRR or individual consolidation method laid down in Article 9 CRR |
Article 436(g) CRR | (d) | Aggregate amount by which the actual own funds are less than required in all subsidiaries that are not included in the consolidation |
Template EU PV1 - Prudent valuation adjustments (PVA)
Fixed format
a | b | c | d | e | EU e1 | EU e2 | f | g | h | ||
Risk category | Category level AVA - Valuation uncertainty | Total category level post-diversification | |||||||||
Category level AVA | Equity | Interest Rates | Foreign exchange | Credit | Commodities | Unearned credit spreads AVA | Investment and funding costs AVA | Of which: Total core approach in the trading book | Of which: Total core approach in the banking book | ||
1 | Market price uncertainty | ||||||||||
2 | Not applicable | ||||||||||
3 | Close-out cost | ||||||||||
4 | Concentrated positions | ||||||||||
5 | Early termination | ||||||||||
6 | Model risk | ||||||||||
7 | Operational risk | ||||||||||
8 | Not applicable | ||||||||||
9 | Not applicable | ||||||||||
10 | Future administrative costs | ||||||||||
11 | Not applicable | ||||||||||
12 | Total Additional Valuation Adjustments (AVAs) | ||||||||||