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boe_tCP02.00.01 - Capital Adequacy - Risk Exposure Amounts

CP02.00.01
Current reporting monthQ1Q2Q3Q4Q5Q6Q7Q8Year-end following Q8
010020030040050060070080090100
TOTAL RISK EXPOSURE AMOUNT010
Of which: Investment firms under Article 95 paragraph 2 and Article 98 of CRR020
Of which : Investment firms under Article 96 paragraph 2 and Article 97 of CRR030
RISK WEIGHTED EXPOSURE AMOUNTS FOR CREDIT, COUNTERPARTY CREDIT AND DILUTION RISKS AND FREE DELIVERIES040
Standardised Approach (SA)050
SA exposure classes excluding securitisation positions060
Central governments or central banks070
Regional governments or local authorities080
Public sector entities090
Multilateral Development Banks100
International Organisations110
Institutions120
Corporates130
Retail140
Secured by mortgages on immovable property150
Exposures in default160
Items associated with particular high risk170
Covered bonds180
Claims on institutions and corporates with a short-term credit assessment190
Collective investments undertakings (CIU)200
Equity210
Other items211
Securitisation positions SA220
of which: resecuritisation230
Internal ratings based Approach(IRB)240
IRB approaches when neither own estimates of LGD nor Conversion Factors are used250
Central governments and central banks260
Institutions270
Corporates - SME280
Corporates - Specialised Lending290
Corporates - Other300
IRB approaches when own estimates of LGD and/or Conversion Factors are used310
Central governments and central banks320
Institutions330
Corporates - SME340
Corporates - Specialised Lending350
Corporates - Other360
Retail - Secured by real estate SME370
Retail - Secured by real estate non-SME380
Retail - Qualifying revolving390
Retail - Other SME400
Retail - Other non-SME410
Equity IRB420
Securitisation positions IRB430
Of which: resecuritisation440
Other non credit-obligation assets450
Risk exposure amount for contributions to the default fund of a CCP460
TOTAL RISK EXPOSURE AMOUNT FOR SETTLEMENT/DELIVERY490
Settlement/delivery risk in the non-Trading book500
Settlement/delivery risk in the Trading book510
TOTAL RISK EXPOSURE AMOUNT FOR POSITION, FOREIGN EXCHANGE AND COMMODITIES RISKS520
Risk exposure amount for position, foreign exchange and commodities risks under standardised approaches (SA)530
Traded debt instruments540
Equity550
Particular approach for position risk in CIUs555
Memo item: CIUs exclusively invested in traded debt instruments556
Memo item: CIUs invested exclusively in equity instruments or in mixed instruments557
Foreign Exchange560
Commodities570
Risk exposure amount for Position, foreign exchange and commodities risks under internal models (IM)580
TOTAL RISK EXPOSURE AMOUNT FOR OPERATIONAL RISK (OpR )590
OpR Basic indicator Approach (BIA)600
OpR Standardised (STA) / Alternative Standardised (ASA) approaches610
OpR Advanced measurement approaches (AMA)620
ADDITIONAL RISK EXPOSURE AMOUNT DUE TO FIXED OVERHEADS630
TOTAL RISK EXPOSURE AMOUNT FOR CREDIT VALUATION ADJUSTMENT640
Advanced method650
Standardised method660
Based on OEM670
TOTAL RISK EXPOSURE AMOUNT RELATED TO LARGE EXPOSURES IN THE TRADING BOOK680
OTHER RISK EXPOSURE AMOUNTS690
Of which: Additional stricter prudential requirements based on Art 458710
Of which: requirements for large exposures720
Of which: due to modified risk weights for targeting asset bubbles in the residential and commercial property730
Of which: due to intra financial sector exposures740
Of which: Additional stricter prudential requirements based on Art 459750
Of which: Additional risk exposure amount due to Article 3 CRR760

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