COREP 2015-B

TOCTable of ContentsCOREP 2015-BC 00.01Nature of Report (COREP)C 01.00Capital Adequacy - Own funds definitionC 02.00Capital Adequacy - Risk Exposure AmountsC 03.00Capital Adequacy - RatiosC 04.00Capital Adequacy - Memorandum ItemsC 05.01Capital Adequacy - Transitional provisions: SummaryC 05.02Capital Adequacy - Transitional provisions: Grandfathered instruments constituting State aidC 06.01Group Solvency - TotalC 06.02Group SolvencyC 07.00.aCredit and counterparty credit risks and free deliveries: Standardised Approach to capital requirementsC 07.00.bCredit and counterparty credit risks and free deliveries: Standardised Approach to capital requirements - Of which: Arising from Counterparty Credit RiskC 07.00.cCredit and counterparty credit risks and free deliveries: Standardised Approach to capital requirements - Memorandum items - Secured on PropertyC 07.00.dCredit and counterparty credit risks and free deliveries: Standardised Approach to capital requirements - Memorandum items - in defaultC 08.01.aCredit and counterparty credit risks and free deliveries: IRB Approach to capital requirements - TOTALC 08.01.bCredit and counterparty credit risks and free deliveries: IRB Approach to capital requirements - TOTAL - Of which arising from counterparty credit risk and off balance sheetC 08.02Credit and counterparty credit risks and free deliveries: IRB Approach to capital requirements - Breakdown of exposures assigned to obligor grades or pools by obligor gradesC 09.01.aGeographical breakdown of exposures by residence of the obligor (SA exposures)C 09.01.bGeographical breakdown of exposures by residence of the obligor (SA exposures) - Exposures in defaultC 09.02Geographical breakdown of exposures by residence of the obligor (IRB exposures)C 09.03Geographical breakdown of relevant credit exposures for the purpose of calculation of the institution-specific countercyclical bufferC 10.01Credit risk: Equity - IRB approaches to capital requirements - TOTALC 10.02Credit risk: Equity - IRB approaches to capital requirements - Breakdown of total exposures under the PD/LGD Approach by obligor gradesC 11.00Settlement/Delivery riskC 12.00Credit risk: Securitisations - Standardised Approach to own funds requirementsC 13.00Credit risk: Securitisations - IRB Approach to own funds requirementsC 14.00Detailed information on securitisationsC 15.00Exposures and losses from lending collateralised immovable propertyC 16.00.aOperational risk - Excluding AMAC 16.00.bOperational risk - AMAC 17.00.aOperational risk: Losses and recoveries by business lines and event types in the last yearC 17.00.bOperational risk: Thresholds applied in data collectionsC 18.00Market risk: Standardised Approach for traded debt instrumentsC 19.00Market risk: Standardised Approach for specific risk in securitisationsC 20.00Market risk: Standardised Approach for specific risk in the correlation trading portfolioC 21.00Market risk: Standardised Approach for position risk in equitiesC 22.00Market risk: Standardised Approaches for foreign exchange riskC 23.00Market risk: Standardised Approach for position risk in commoditiesC 24.00Market risk: Internal models - TotalC 25.00CVA RISKC 26.00Large exposures limitsC 27.00Identification of the counterpartyC 28.00Exposures in the non-trading and trading bookC 29.00Detail of the exposures to individual clients within groups of connected clientsC 30.00Maturity buckets of the 10 largest exposures to institutions and the 10 largest exposures to unregulated financial entitiesC 31.00Maturity buckets of the 10 largest exposures to institutions and the 10 largest exposures to unregulated financial entities: detail of the exposures to individual clients within groups of connected clientsC 40.00Alternative treatment of the Exposure MeasureC 41.00On- and off-balance sheet items additional breakdown of exposuresC 42.00Alternative definition of capitalC 43.00.aBreakdown of leverage ratio exposure measure components: Off-balance sheet items, derivatives, SFTs and trading bookC 43.00.bBreakdown of leverage ratio exposure measure components: Other non-trading book exposures (SA)C 43.00.cBreakdown of leverage ratio exposure measure components: Other non-trading book exposures (IRB)C 44.00General InformationC 47.00Leverage ratio calculationC 51.00.aLiquidity Coverage. Liquid assets (I). TotalC 51.00.bLiquidity Coverage. Liquid assets (II). TotalC 51.00.wLiquidity Coverage. Liquid assets (I). Significant currenciesC 51.00.xLiquidity Coverage. Liquid assets (II). Significant currenciesC 52.00.aLiquidity Coverage. Outflows (I). TotalC 52.00.bLiquidity Coverage. Outflows (II). TotalC 52.00.cLiquidity Coverage. Outflows (III). TotalC 52.00.dLiquidity Coverage. Outflows (IV). TotalC 52.00.wLiquidity Coverage. Outflows (I). Significant currenciesC 52.00.xLiquidity Coverage. Outflows (II). Significant currenciesC 52.00.yLiquidity Coverage. Outflows (III). Significant currenciesC 52.00.zLiquidity Coverage. Outflows (IV). Significant currenciesC 53.00.aLiquidity Coverage. Inflows (I). TotalC 53.00.bLiquidity Coverage. Inflows (II). TotalC 53.00.cLiquidity Coverage. Inflows (III). TotalC 53.00.wLiquidity Coverage. Inflows (I). Significant currenciesC 53.00.xLiquidity Coverage. Inflows (II). Significant currenciesC 53.00.yLiquidity Coverage. Inflows (III). Significant currenciesC 54.00.aLiquidity Coverage. Collateral swaps. TotalC 54.00.wLiquidity Coverage. Collateral swaps. Significant currenciesC 60.00.aStable funding. Items requiring stable funding (I). TotalC 60.00.bStable funding. Items requiring stable funding (II). TotalC 60.00.wStable funding. Items requiring stable funding (I). Significant currenciesC 60.00.xStable funding. Items requiring stable funding (II). Significant currenciesC 61.00.aStable funding. Items providing stable funding (I). TotalC 61.00.bStable funding. Items providing stable funding (II). TotalC 61.00.wStable funding. Items providing stable funding (I). Significant currenciesC 61.00.xStable funding. Items providing stable funding (II). Significant currenciesC 66.00.aContractual template. TotalC 66.00.bContractual template. Total. CumulatedC 66.00.wContractual template. Significant currenciesC 66.00.xContractual template. Significant currencies. CumulatedC 67.00.aConcentration of funding by counterparty. TotalC 67.00.wConcentration of funding by counterparty. Significant currenciesC 68.00.aConcentration of funding by product type. TotalC 68.00.wConcentration of funding by product type. Significant currenciesC 69.00.aPrices for various lengths of funding. TotalC 69.00.wPrices for various lengths of funding. Significant currenciesC 70.00.aRoll-over of funding. TotalC 70.00.wRoll-over of funding. Significant currenciesC 71.00.aConcentration of counterbalancing capacity by issuer/counterparty. TotalC 71.00.wConcentration of counterbalancing capacity by issuer/counterparty. Significant currenciesC 72.00.aLiquidity Coverage . Liquid assets. Total (DA)C 72.00.wLiquidity Coverage. Liquid assets. Significant currencies (DA)C 73.00.aLiquidity Coverage. Outflows. Total (DA)C 73.00.wLiquidity Coverage. Outflows. Significant currencies (DA)C 74.00.aLiquidity Coverage. Inflows. Total (DA)C 74.00.wLiquidity Coverage. Inflows. Significant currencies (DA)C 75.00.aLiquidity Coverage. Collateral swaps. Total (DA)C 75.00.wLiquidity Coverage. Collateral swaps. Significant currencies (DA)C 76.00.aLiquidity Coverage. Calculations. Total (DA)C 76.00.wLiquidity Coverage. Calculations. Significant currencies (DA)

C 00.01C 00.01 - Nature of Report (COREP)ColumnsNature of Report010RowAccounting framework010
ojones: Base = Memorandum itemsMetric = Accounting standard [ei:AS:AS1]31870
ojones: Metric = Accounting standard [ei:AS:AS1]Base = Memorandum itemsReporting Level020
ojones: Base = Memorandum itemsMetric = Reporting level [ei:SC:SC1]37969
ojones: Metric = Reporting level [ei:SC:SC1]Base = Memorandum items

C 01.00C 01.00 - Capital Adequacy - Own funds definitionColumnsAmount010RowOWN FUNDS010
ojones: Base = Own fundsMain category = Regulatory capital itemsMetric = Amount including transitional provisions [mi]Own funds = Total own funds33413
ojones: Metric = Amount including transitional provisions [mi]Base = Own fundsMain category = Regulatory capital itemsOwn funds = Total own fundsTIER 1 CAPITAL015
ojones: Base = Own fundsMain category = Regulatory capital itemsMetric = Amount including transitional provisions [mi]Own funds = T1 Capital84817
ojones: Metric = Amount including transitional provisions [mi]Base = Own fundsMain category = Regulatory capital itemsOwn funds = T1 CapitalCOMMON EQUITY TIER 1 CAPITAL020
ojones: Base = Own fundsMain category = Regulatory capital itemsMetric = Amount including transitional provisions [mi]Own funds = CET1 Capital33411
ojones: Metric = Amount including transitional provisions [mi]Base = Own fundsMain category = Regulatory capital itemsOwn funds = CET1 CapitalCapital instruments eligible as CET1 Capital030
ojones: Base = Own fundsControlling and non-controlling owners = Owners of the parentMain category = Equity instruments issued. CapitalMetric = Computable amount [mi]Own funds = CET1 Capital33306
ojones: Metric = Computable amount [mi]Base = Own fundsControlling and non-controlling owners = Owners of the parentMain category = Equity instruments issued. CapitalOwn funds = CET1 CapitalPaid up capital instruments040
ojones: Base = Own fundsControlling and non-controlling owners = Owners of the parentMain category = Equity instruments issued. Capital. Paid upMetric = Carrying amount [mi]Own funds = CET1 Capital32673
ojones: Metric = Carrying amount [mi]Base = Own fundsControlling and non-controlling owners = Owners of the parentMain category = Equity instruments issued. Capital. Paid upOwn funds = CET1 CapitalOf which: Capital instruments subscribed by public authorities in emergency situations045
ojones: Base = Own fundsControlling and non-controlling owners = Owners of the parentCounterparty = State, public authority or public-owned entityMain category = Equity instruments issued. Capital. Paid upMetric = Carrying amount [mi]Own funds = CET1 CapitalPurpose = Emergency situation117442
ojones: Metric = Carrying amount [mi]Base = Own fundsControlling and non-controlling owners = Owners of the parentCounterparty = State, public authority or public-owned entityMain category = Equity instruments issued. Capital. Paid upOwn funds = CET1 CapitalPurpose = Emergency situationMemorandum item: Capital instruments not eligible050
ojones: Base = Own fundsControlling and non-controlling owners = Owners of the parentMain category = Equity instruments issued. Capital. Paid upMetric = Carrying amount [mi]Own funds = Non-eligible as CET1 due to reversible situations32675
ojones: Metric = Carrying amount [mi]Base = Own fundsControlling and non-controlling owners = Owners of the parentMain category = Equity instruments issued. Capital. Paid upOwn funds = Non-eligible as CET1 due to reversible situationsShare premium060
ojones: Base = Own fundsControlling and non-controlling owners = Owners of the parentMain category = Share premiumMetric = Carrying amount [mi]Own funds = CET1 Capital32681
ojones: Metric = Carrying amount [mi]Base = Own fundsControlling and non-controlling owners = Owners of the parentMain category = Share premiumOwn funds = CET1 Capital(-) Own CET1 instruments070
ojones: Base = Own fundsControlling and non-controlling owners = Owners of the parentMain category = HoldingsMain category of the underlying = Own equity instruments issuedMetric = Computable amount [mi]Own funds = CET1 Capital33299
ojones: Metric = Computable amount [mi]Base = Own fundsControlling and non-controlling owners = Owners of the parentMain category of the underlying = Own equity instruments issuedMain category = HoldingsOwn funds = CET1 Capital(-) Direct holdings of CET1 instruments080
ojones: Base = Own fundsControlling and non-controlling owners = Owners of the parentMain category = Direct holdingsMain category of the underlying = Own equity instruments issuedMetric = Carrying amount [mi]Own funds = CET1 Capital32669
ojones: Metric = Carrying amount [mi]Base = Own fundsControlling and non-controlling owners = Owners of the parentMain category of the underlying = Own equity instruments issuedMain category = Direct holdingsOwn funds = CET1 Capital(-) Indirect holdings of CET1 instruments090
ojones: Base = Own fundsControlling and non-controlling owners = Owners of the parentMain category = Indirect holdingsMain category of the underlying = Own equity instruments issuedMetric = Computable amount [mi]Own funds = CET1 Capital33295
ojones: Metric = Computable amount [mi]Base = Own fundsControlling and non-controlling owners = Owners of the parentMain category of the underlying = Own equity instruments issuedMain category = Indirect holdingsOwn funds = CET1 Capital(-) Synthetic holdings of CET1 instruments091
ojones: Base = Own fundsControlling and non-controlling owners = Owners of the parentMain category = Synthetic holdingsMain category of the underlying = Own equity instruments issuedMetric = Computable amount [mi]Own funds = CET1 Capital33297
ojones: Metric = Computable amount [mi]Base = Own fundsControlling and non-controlling owners = Owners of the parentMain category of the underlying = Own equity instruments issuedMain category = Synthetic holdingsOwn funds = CET1 Capital(-) Actual or contingent obligations to purchase own CET1 instruments092
ojones: Base = Own fundsControlling and non-controlling owners = Owners of the parentMain category = Actual or contingent obligations to purchase holdingsMain category of the underlying = Own equity instruments issuedMetric = Computable amount [mi]Own funds = CET1 Capital33301
ojones: Metric = Computable amount [mi]Base = Own fundsControlling and non-controlling owners = Owners of the parentMain category of the underlying = Own equity instruments issuedMain category = Actual or contingent obligations to purchase holdingsOwn funds = CET1 CapitalRetained earnings130
ojones: Base = Own fundsControlling and non-controlling owners = Owners of the parentMain category = Retained earnings, Profit or lossMetric = Computable amount [mi]Own funds = CET1 Capital33309
ojones: Metric = Computable amount [mi]Base = Own fundsControlling and non-controlling owners = Owners of the parentMain category = Retained earnings, Profit or lossOwn funds = CET1 CapitalPrevious years retained earnings140
ojones: Base = Own fundsControlling and non-controlling owners = Owners of the parentMain category = Retained earningsMetric = Carrying amount [mi]Own funds = CET1 Capital32679
ojones: Metric...