EBA欧洲银行-AT003_7页_1mb

Summary of Capital Composition as of 30 September 2011 (CRD3 Rules)

Core Capital Composition

• Common Equity before deductions (Original own funds without hybrid instruments and government support measures other than ordinary shares):

  • Amount: 537 million EUR
  • Includes:
    • Eligible capital and reserves: 469 million EUR
    • Intangibles assets (including goodwill): -286 million EUR
    • Adjustment to valuation differences in other AFS assets: 0 million EUR

• Deductions from common equity:

  • Amount: -72 million EUR
  • Includes:
    • Deductions of participations and subordinated claims: -28 million EUR
    • Securitisation exposures not included in RWA (50% of exposures in the trading book subject to 1250% risk weight): -44 million EUR

• Common Equity (A + B):

  • Amount: 465 million EUR
  • Ratio to RWA: 1.74%

• Other Existing government support measures:

  • Amount: 1,000 million EUR

• Core Tier 1 including existing government support measures (C + D):

  • Amount: 1,465 million EUR
  • Ratio to RWA: 5.48%

• Shortfall to 9% before application of sovereign capital buffer:

  • Amount: 942 million EUR
  • Ratio to RWA: 3.52%

• Hybrid instruments not subscribed by government:

  • Amount: 848 million EUR

• Tier 1 Capital (E + F):

  • Amount: 2,312 million EUR
  • Ratio to RWA: 8.65%

• RWA as of end September 2011 including add-on for CRD3:

  • Amount: 26,737 million EUR

• RWA add-on for CRD III as of end September 2011:

  • Amount: 510 million EUR

• Sovereign Capital Buffer:

  • Prudential filter (AFS sovereign assets in EEA): 0 million EUR
  • Difference between book value and fair value of sovereign assets (Bonds and Loans and advances in HTM and Loans & Receivables portfolios): 112 million EUR
  • Sovereign capital buffer for exposures in EEA (G + H): 112 million EUR
  • Ratio to RWA: 0.42%

• Overall Shortfall after including sovereign capital buffer:

  • Amount: 1,053 million EUR
  • Ratio to RWA: 3.94%

Exposure Details by Country and Residual Maturity

Austria

• 3M:

  • GROSS DIRECT LONG EXPOSURES: 0
  • NET DIRECT POSITIONS: 0
  • DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES: 0
  • INDIRECT SOVEREIGN EXPOSURES: 0

• 1Y:

  • GROSS DIRECT LONG EXPOSURES: 184
  • NET DIRECT POSITIONS: 184
  • DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES: 0
  • INDIRECT SOVEREIGN EXPOSURES: 0

• 2Y:

  • GROSS DIRECT LONG EXPOSURES: 3
  • NET DIRECT POSITIONS: 3
  • DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES: 0
  • INDIRECT SOVEREIGN EXPOSURES: 0

• 3Y:

  • GROSS DIRECT LONG EXPOSURES: 115
  • NET DIRECT POSITIONS: 83
  • DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES: 21
  • INDIRECT SOVEREIGN EXPOSURES: 0

• 5Y:

  • GROSS DIRECT LONG EXPOSURES: 61
  • NET DIRECT POSITIONS: 30
  • DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES: 21
  • INDIRECT SOVEREIGN EXPOSURES: 0

• 10Y:

  • GROSS DIRECT LONG EXPOSURES: 306
  • NET DIRECT POSITIONS: 7
  • DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES: -53
  • INDIRECT SOVEREIGN EXPOSURES: 0

• 15Y:

  • GROSS DIRECT LONG EXPOSURES: 731
  • NET DIRECT POSITIONS: 226
  • DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES: 0
  • INDIRECT SOVEREIGN EXPOSURES: 0

• 15Y (continued):

  • GROSS DIRECT LONG EXPOSURES: 1261
  • NET DIRECT POSITIONS: 626
  • DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES: 0
  • INDIRECT SOVEREIGN EXPOSURES: 0

Belgium

• 3M:

  • GROSS DIRECT LONG EXPOSURES: 0
  • NET DIRECT POSITIONS: 0
  • DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES: 0
  • INDIRECT SOVEREIGN EXPOSURES: 0

• 1Y:

  • GROSS DIRECT LONG EXPOSURES: 0
  • NET DIRECT POSITIONS: 0
  • DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES: 0
  • INDIRECT SOVEREIGN EXPOSURES: 0

• 2Y:

  • GROSS DIRECT LONG EXPOSURES: 0
  • NET DIRECT POSITIONS: 0
  • DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES: 0
  • INDIRECT SOVEREIGN EXPOSURES: 0

• 3Y:

  • GROSS DIRECT LONG EXPOSURES: 42
  • NET DIRECT POSITIONS: 0
  • DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES: 21
  • INDIRECT SOVEREIGN EXPOSURES: 0

• 5Y:

  • GROSS DIRECT LONG EXPOSURES: 0
  • NET DIRECT POSITIONS: 0
  • DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES: 21
  • INDIRECT SOVEREIGN EXPOSURES: 0

• 10Y:

  • GROSS DIRECT LONG EXPOSURES: 0
  • NET DIRECT POSITIONS: 0
  • DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES: -3
  • INDIRECT SOVEREIGN EXPOSURES: 0

• 15Y:

  • GROSS DIRECT LONG EXPOSURES: 33
  • NET DIRECT POSITIONS: 0
  • DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES: 0
  • INDIRECT SOVEREIGN EXPOSURES: 0

Cyprus

• 3M:

  • GROSS DIRECT LONG EXPOSURES: 0
  • NET DIRECT POSITIONS: 0
  • DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES: 0
  • INDIRECT SOVEREIGN EXPOSURES: 0

• 1Y:

  • GROSS DIRECT LONG EXPOSURES: 0
  • NET DIRECT POSITIONS: 0
  • DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES: 0
  • INDIRECT SOVEREIGN EXPOSURES: 0

• 2Y:

  • GROSS DIRECT LONG EXPOSURES: 13
  • NET DIRECT POSITIONS: 13
  • DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES: 0
  • INDIRECT SOVEREIGN EXPOSURES: 5

• 3Y:

  • GROSS DIRECT LONG EXPOSURES: 0
  • NET DIRECT POSITIONS: 0
  • DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES: 0
  • INDIRECT SOVEREIGN EXPOSURES: 0

• 5Y:

  • GROSS DIRECT LONG EXPOSURES: 0
  • NET DIRECT POSITIONS: 0
  • DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES: 0
  • INDIRECT SOVEREIGN EXPOSURES: 1

• 10Y:

  • GROSS DIRECT LONG EXPOSURES: 0
  • NET DIRECT POSITIONS: 0
  • DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES: 0
  • INDIRECT SOVEREIGN EXPOSURES: 5

• 15Y:

  • GROSS DIRECT LONG EXPOSURES: 0
  • NET DIRECT POSITIONS: 0
  • DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES: 7
  • INDIRECT SOVEREIGN EXPOSURES: 25

Germany

• 3M:

  • GROSS DIRECT LONG EXPOSURES: 15
  • NET DIRECT POSITIONS: 15
  • DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES: 0
  • INDIRECT SOVEREIGN EXPOSURES: 0

• 1Y:

  • GROSS DIRECT LONG EXPOSURES: 1
  • NET DIRECT POSITIONS: 1
  • DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES: 0
  • INDIRECT SOVEREIGN EXPOSURES: 0

• 2Y:

  • GROSS DIRECT LONG EXPOSURES: 6
  • NET DIRECT POSITIONS: 6
  • DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES: 0
  • INDIRECT SOVEREIGN EXPOSURES: 0

• 3Y:

  • GROSS DIRECT LONG EXPOSURES: 10
  • NET DIRECT POSITIONS: 10
  • DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES: 0
  • INDIRECT SOVEREIGN EXPOSURES: 0

• 5Y:

  • GROSS DIRECT LONG EXPOSURES: 18
  • NET DIRECT POSITIONS: 13
  • DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES: 0
  • INDIRECT SOVEREIGN EXPOSURES: 5

• 10Y:

  • GROSS DIRECT LONG EXPOSURES: 12
  • NET DIRECT POSITIONS: 2
  • DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES: 0
  • INDIRECT SOVEREIGN EXPOSURES: 10

• 15Y:

  • GROSS DIRECT LONG EXPOSURES: 0
  • NET DIRECT POSITIONS: 0
  • DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES: 0
  • INDIRECT SOVEREIGN EXPOSURES: 0

• 10F:

  • GROSS DIRECT LONG EXPOSURES: 62
  • NET DIRECT POSITIONS: 62
  • DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES: 0
  • INDIRECT SOVEREIGN EXPOSURES: 0

Greece

• 3M:

  • GROSS DIRECT LONG EXPOSURES: 0
  • NET DIRECT POSITIONS: 0
  • DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES: 0
  • INDIRECT SOVEREIGN EXPOSURES: 0

• 1Y:

  • GROSS DIRECT LONG EXPOSURES: 0
  • NET DIRECT POSITIONS: 0
  • DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES: 0
  • INDIRECT SOVEREIGN EXPOSURES: 0

• 2Y:

  • GROSS DIRECT LONG EXPOSURES: 0
  • NET DIRECT POSITIONS: 0
  • DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES: 0
  • INDIRECT SOVEREIGN EXPOSURES: 0

• 3Y:

  • GROSS DIRECT LONG EXPOSURES: 0
  • NET DIRECT POSITIONS: 0
  • DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES: 0
  • INDIRECT SOVEREIGN EXPOSURES: 0

• 5Y:

  • GROSS DIRECT LONG EXPOSURES: 0
  • NET DIRECT POSITIONS: 0
  • DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES: 0
  • INDIRECT SOVEREIGN EXPOSURES: 0

• 10Y:

  • GROSS DIRECT LONG EXPOSURES: 31
  • NET DIRECT POSITIONS: 9
  • DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES: 0
  • INDIRECT SOVEREIGN EXPOSURES: 35

• 15Y:

  • GROSS DIRECT LONG EXPOSURES: 0
  • NET DIRECT POSITIONS: 0
  • DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES: 0
  • INDIRECT SOVEREIGN EXPOSURES: 0

• 15F:

  • GROSS DIRECT LONG EXPOSURES: 32
  • NET DIRECT POSITIONS: 32
  • DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES: 0
  • INDIRECT SOVEREIGN EXPOSURES: 0

Malta

• 3M:

  • GROSS DIRECT LONG EXPOSURES: 0
  • NET DIRECT POSITIONS: 0
  • DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES: 0
  • INDIRECT SOVEREIGN EXPOSURES: 0

• 1Y:

  • GROSS DIRECT LONG EXPOSURES: 5
  • NET DIRECT POSITIONS: 5
  • DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES: 0
  • INDIRECT SOVEREIGN EXPOSURES: 0

• 2Y:

  • GROSS DIRECT LONG EXPOSURES: 5
  • NET DIRECT POSITIONS: 5
  • DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES: 0
  • INDIRECT SOVEREIGN EXPOSURES: 0

• 3Y:

  • GROSS DIRECT LONG EXPOSURES: 27
  • NET DIRECT POSITIONS: 27
  • DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES: 0
  • INDIRECT SOVEREIGN EXPOSURES: 0

• 5Y:

  • GROSS DIRECT LONG EXPOSURES: 2
  • NET DIRECT POSITIONS: 2
  • DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES: 0
  • INDIRECT SOVEREIGN EXPOSURES: 0

• 10Y:

  • GROSS DIRECT LONG EXPOSURES: 22
  • NET DIRECT POSITIONS: 22
  • DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES: 0
  • INDIRECT SOVEREIGN EXPOSURES: 0

• 15Y:

  • GROSS DIRECT LONG EXPOSURES: 0
  • NET DIRECT POSITIONS: 0
  • DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES: 0
  • INDIRECT SOVEREIGN EXPOSURES: 0

Netherlands

• 3M:

  • GROSS DIRECT LONG EXPOSURES: 0
  • NET DIRECT POSITIONS: 0
  • DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES: 0
  • INDIRECT SOVEREIGN EXPOSURES: 0

• 1Y:

  • GROSS DIRECT LONG EXPOSURES: 0
  • NET DIRECT POSITIONS: 0
  • DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES: 0
  • INDIRECT SOVEREIGN EXPOSURES: 0

• 2Y:

  • GROSS DIRECT LONG EXPOSURES: 0
  • NET DIRECT POSITIONS: 0
  • DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES: 0
  • INDIRECT SOVEREIGN EXPOSURES: 0

• 3Y:

  • GROSS DIRECT LONG EXPOSURES: 0
  • NET DIRECT POSITIONS: 0
  • DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES: 0
  • INDIRECT SOVEREIGN EXPOSURES: 0

• 5Y:

  • GROSS DIRECT LONG EXPOSURES: 0
  • NET DIRECT POSITIONS: 0
  • DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES: 0
  • INDIRECT SOVEREIGN EXPOSURES: 0

• 10Y:

  • GROSS DIRECT LONG EXPOSURES: 2
  • NET DIRECT POSITIONS: 2
  • DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES: 0
  • INDIRECT SOVEREIGN EXPOSURES: 0

• 15Y:

  • GROSS DIRECT LONG EXPOSURES: 9
  • NET DIRECT POSITIONS: 9
  • DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES: 0
  • INDIRECT SOVEREIGN EXPOSURES: 0

Norway

• 3M:

  • GROSS DIRECT LONG EXPOSURES: 0
  • NET DIRECT POSITIONS: 0
  • DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES: 0
  • INDIRECT SOVEREIGN EXPOSURES: 0

• 1Y:

  • GROSS DIRECT LONG EXPOSURES: 0
  • NET DIRECT POSITIONS: 0
  • DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES: 0
  • INDIRECT SOVEREIGN EXPOSURES: 0

• 2Y:

  • GROSS DIRECT LONG EXPOSURES: 0
  • NET DIRECT POSITIONS: 0
  • DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES: 0
  • INDIRECT SOVEREIGN EXPOSURES: 0

• 5Y:

  • GROSS DIRECT LONG EXPOSURES: 0
  • NET DIRECT POSITIONS: 0
  • DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES: 0
  • INDIRECT SOVEREIGN EXPOSURES: 0

• 10Y:

  • GROSS DIRECT LONG EXPOSURES: 0
  • NET DIRECT POSITIONS: 0
  • DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES: 0
  • INDIRECT SOVEREIGN EXPOSURES: 0

• 15Y:

  • GROSS DIRECT LONG EXPOSURES: 0
  • NET DIRECT POSITIONS: 0
  • DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES: 0
  • INDIRECT SOVEREIGN EXPOSURES: 0

Poland

• 3M:

  • GROSS DIRECT LONG EXPOSURES: 0
  • NET DIRECT POSITIONS: 0
  • DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES: 0
  • INDIRECT SOVEREIGN EXPOSURES: 0

• 1Y:

  • GROSS DIRECT LONG EXPOSURES: 22
  • NET DIRECT POSITIONS: 11
  • DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES: 0
  • INDIRECT SOVEREIGN EXPOSURES: 0

• 2Y:

  • GROSS DIRECT LONG EXPOSURES: 8
  • NET DIRECT POSITIONS: 0
  • DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES: 0
  • INDIRECT SOVEREIGN EXPOSURES: 0

• 3Y:

  • GROSS DIRECT LONG EXPOSURES: 23
  • NET DIRECT POSITIONS: 23
  • DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES: 0
  • INDIRECT SOVEREIGN EXPOSURES: 0

• 5Y:

  • GROSS DIRECT LONG EXPOSURES: 5
  • NET DIRECT POSITIONS: 0
  • DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES: 0
  • INDIRECT SOVEREIGN EXPOSURES: 0

• 10Y:

  • GROSS DIRECT LONG EXPOSURES: 37
  • NET DIRECT POSITIONS: 39
  • DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES: 0
  • INDIRECT SOVEREIGN EXPOSURES: 3

• 15Y:

  • GROSS DIRECT LONG EXPOSURES: 40
  • NET DIRECT POSITIONS: 40
  • DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES: 0
  • INDIRECT SOVEREIGN EXPOSURES: 0

• 15Y (continued):

  • GROSS DIRECT LONG EXPOSURES: 135
  • NET DIRECT POSITIONS: 104
  • DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES: 0
  • INDIRECT SOVEREIGN EXPOSURES: 25

Portugal

• 3M:

  • GROSS DIRECT LONG EXPOSURES: 0
  • NET DIRECT POSITIONS: 0
  • DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES: 0
  • INDIRECT SOVEREIGN EXPOSURES: 0

• 1Y:

  • GROSS DIRECT LONG EXPOSURES: 0
  • NET DIRECT POSITIONS: 0
  • DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES: 0
  • INDIRECT SOVEREIGN EXPOSURES: 0

• 2Y:

  • GROSS DIRECT LONG EXPOSURES: 0
  • NET DIRECT POSITIONS: 0
  • DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES: -11
  • INDIRECT SOVEREIGN EXPOSURES: 0

• 3Y:

  • GROSS DIRECT LONG EXPOSURES: 0
  • NET DIRECT POSITIONS: 0
  • DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES: 0
  • INDIRECT SOVEREIGN EXPOSURES: 0

• 5Y:

  • GROSS DIRECT LONG EXPOSURES: 0
  • NET DIRECT POSITIONS: 0
  • DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES: -22
  • INDIRECT SOVEREIGN EXPOSURES: 0

• 10Y:

  • GROSS DIRECT LONG EXPOSURES: 0
  • NET DIRECT POSITIONS: 0
  • DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES: 0
  • INDIRECT SOVEREIGN EXPOSURES: 0

• 15Y:

  • GROSS DIRECT LONG EXPOSURES: 20
  • NET DIRECT POSITIONS: 29
  • DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES: 0
  • INDIRECT SOVEREIGN EXPOSURES: 0

• 15Y (continued):

  • GROSS DIRECT LONG EXPOSURES: 20
  • NET DIRECT POSITIONS: 29
  • DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES: -31
  • INDIRECT SOVEREIGN EXPOSURES: 0

Romania

• 3M:

  • GROSS DIRECT LONG EXPOSURES: 37
  • NET DIRECT POSITIONS: 37
  • DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES: 0
  • INDIRECT SOVEREIGN EXPOSURES: 0

• 1Y:

  • GROSS DIRECT LONG EXPOSURES: 108
  • NET DIRECT POSITIONS: 108
  • DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES: 0
  • INDIRECT SOVEREIGN EXPOSURES: 0

• 2Y:

  • GROSS DIRECT LONG EXPOSURES: 12
  • NET DIRECT POSITIONS: 4
  • DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES: 0
  • INDIRECT SOVEREIGN EXPOSURES: 1

• 3Y:

  • GROSS DIRECT LONG EXPOSURES: 15
  • NET DIRECT POSITIONS: 6
  • DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES: 36
  • INDIRECT SOVEREIGN EXPOSURES: 0

• 10Y:

  • GROSS DIRECT LONG EXPOSURES: 48
  • NET DIRECT POSITIONS: 36
  • DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES: 0
  • INDIRECT SOVEREIGN EXPOSURES: 0

• 15Y:

  • GROSS DIRECT LONG EXPOSURES: 40
  • NET DIRECT POSITIONS: 27
  • DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES: 0
  • INDIRECT SOVEREIGN EXPOSURES: 0

• 10F:

  • GROSS DIRECT LONG EXPOSURES: 23
  • NET DIRECT POSITIONS: 0
  • DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES: 0
  • INDIRECT SOVEREIGN EXPOSURES: 44

Latvia

• 3M:

  • GROSS DIRECT LONG EXPOSURES: 0
  • NET DIRECT POSITIONS: 0
  • DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES: 0
  • INDIRECT SOVEREIGN EXPOSURES: 0

• 1Y:

  • GROSS DIRECT LONG EXPOSURES: 0
  • NET DIRECT POSITIONS: 0
  • DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES: 0
  • INDIRECT SOVEREIGN EXPOSURES: 0

• 2Y:

  • GROSS DIRECT LONG EXPOSURES: 0
  • NET DIRECT POSITIONS: 0
  • DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES: 0
  • INDIRECT SOVEREIGN EXPOSURES: 0

• 3Y:

  • GROSS DIRECT LONG EXPOSURES: 0
  • NET DIRECT POSITIONS: 0
  • DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES: 0
  • INDIRECT SOVEREIGN EXPOSURES: 0

• 10Y:

  • GROSS DIRECT LONG EXPOSURES: 48
  • NET DIRECT POSITIONS: 36
  • DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES: 0
  • INDIRECT SOVEREIGN EXPOSURES: 0

• 15Y:

  • GROSS DIRECT LONG EXPOSURES: 40
  • NET DIRECT POSITIONS: 27
  • DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES: 0
  • INDIRECT SOVEREIGN EXPOSURES: 0

• 10F:

  • GROSS DIRECT LONG EXPOSURES: 23
  • NET DIRECT POSITIONS: 0
  • DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES: 0
  • INDIRECT SOVEREIGN EXPOSURES: 44

Liechtenstein

• 3M:

  • GROSS DIRECT LONG EXPOSURES: 0
  • NET DIRECT POSITIONS: 0
  • DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES: 0
  • INDIRECT SOVEREIGN EXPOSURES: 0

• 1Y:

  • GROSS DIRECT LONG EXPOSURES: 0
  • NET DIRECT POSITIONS: 0
  • DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES: 0
  • INDIRECT SOVEREIGN EXPOSURES: 0

• 2Y:

  • GROSS DIRECT LONG EXPOSURES: 0
  • NET DIRECT POSITIONS: 0
  • DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES: 0
  • INDIRECT SOVEREIGN EXPOSURES: 0

• 3Y:

  • GROSS DIRECT LONG EXPOSURES: 0
  • NET DIRECT POSITIONS: 0
  • DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES: 0
  • INDIRECT SOVEREIGN EXPOSURES: 0

• 5Y:

  • GROSS DIRECT LONG EXPOSURES: 0
  • NET DIRECT POSITIONS: 0
  • DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES: 0
  • INDIRECT SOVEREIGN EXPOSURES: 0

• 15Y:

  • GROSS DIRECT LONG EXPOSURES: 0
  • NET DIRECT POSITIONS: 0
  • DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES: 0
  • INDIRECT SOVEREIGN EXPOSURES: 0

• 15F:

  • GROSS DIRECT LONG EXPOSURES: 0
  • NET DIRECT POSITIONS: 0
  • DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES: 0
  • INDIRECT SOVEREIGN EXPOSURES: 0

• 15F (continued):

  • GROSS DIRECT LONG EXPOSURES: 32
  • NET DIRECT POSITIONS: 32
  • DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES: 0
  • INDIRECT SOVEREIGN EXPOSURES: 0

Notes and Definitions

• (1) The amount is already included in the computation of the eligible capital and reserves and is provided separately for information purposes.
• (2) According to CRD3, it can include 50% securitisation exposures in the trading book subject to 1250% risk weight and not included in RWA.
• (3) It includes possible differences between the book value and the fair value of:
  • i) direct sovereign exposures in derivatives
  • ii) indirect sovereign exposures in the banking and trading book
• (4) Please report the prudential filter as a positive number if the AFS revaluation reserve for sovereign assets is negative. Please report it as a negative number if the AFS revaluation reserve is positive. If the bank does not apply a prudential filter on AFS sovereign assets, please fill in zero.